MarketDepthGenerator
The order book generator using random method.
Inherits: MarketDataGenerator
Constructors
MarketDepthGenerator(SecurityId)
The order book generator using random method.
- securityId
- The identifier of the instrument, for which data shall be generated.
Properties
GenerateDepthOnEachTrade : bool
Shall order books be generated after each trade. The default is .
GenerateOrdersCount : bool
Generate OrdersCount.
MaxAsksDepth : int
The maximal depth of offers.
MaxBidsDepth : int
The maximal depth of bids.
MaxGenerations : int
The maximal number of generations after last occurrence of source data for the order book.
MaxSpreadStepCount : int
The maximal value of spread between the best quotes in units of price increments number. The spread value will be selected randomly between MinSpreadStepCount and MaxSpreadStepCount.
MinSpreadStepCount : int
The minimal value of spread between the best quotes in units of price increments number. The spread value will be selected randomly between MinSpreadStepCount and MaxSpreadStepCount.
UseTradeVolume : bool
To use to generate best quotes in the order book volume of history trades.
Methods
CopyTo(MarketDepthGenerator)
Copy the message into the .
- destination
- The object, to which copied information.
CreateQuote(decimal, Sides) : QuoteChange
To create the quote using random method.
- startPrice
- The initial price, based on which a quote price shall be got using random method.
- side
- The quote direction.
Returns: The random quote.
Init()
Initialize provider.