OrderBook

OrderBook

public OrderBook(SecurityId securityId)

orderBook = OrderBook(securityId)

Order book implementation.

AskLevels

public int AskLevels { get; }

value = orderBook.AskLevels

Number of ask levels.

BestAsk

public ValueTuple<decimal, decimal>? BestAsk { get; }

value = orderBook.BestAsk

Get best ask price and volume.

BestBid

public ValueTuple<decimal, decimal>? BestBid { get; }

value = orderBook.BestBid

Get best bid price and volume.

BidLevels

public int BidLevels { get; }

value = orderBook.BidLevels

Number of bid levels.

SecurityId

public SecurityId SecurityId { get; }

value = orderBook.SecurityId

Security ID.

TotalAskVolume

public decimal TotalAskVolume { get; }

value = orderBook.TotalAskVolume

Total volume of all asks.

TotalBidVolume

public decimal TotalBidVolume { get; }

value = orderBook.TotalBidVolume

Total volume of all bids.

AddQuote

public void AddQuote(EmulatorOrder order)

orderBook.AddQuote(order)

Add a quote to the order book.

order

Order or market quote to add. If TransactionId is default, it is treated as a market quote.

Clear

public void Clear(Sides side)

orderBook.Clear(side)

Clear all quotes for a specific side.

side

Side to clear.

Clear

public void Clear()

orderBook.Clear()

Clear all quotes.

ConsumeVolume

public IEnumerable<ValueTuple<decimal, decimal, IReadOnlyList<MatchFill>>> ConsumeVolume(Sides side, decimal? maxPrice, decimal volume)

result = orderBook.ConsumeVolume(side, maxPrice, volume)

Consume volume from best levels (for matching).

side

Side to consume from (opposite to order side).

maxPrice

Maximum price for buy / minimum for sell.

volume

Volume to consume.

Returns: Executions (price, volume, volume taken from each resting order).

GetLevels

public IEnumerable<OrderBookLevel> GetLevels(Sides side)

result = orderBook.GetLevels(side)

Get quotes for a side, ordered by price (best first).

side

Side to retrieve levels for.

GetOrdersAtPrice

public IEnumerable<EmulatorOrder> GetOrdersAtPrice(Sides side, decimal price)

result = orderBook.GetOrdersAtPrice(side, price)

Get all user orders at a specific price level.

side

Side to query.

price

Price level to query.

GetTotalVolume

public decimal GetTotalVolume(Sides side)

result = orderBook.GetTotalVolume(side)

Get total volume for a side.

side

Side to get total volume for.

GetVolumeAtPrice

public decimal GetVolumeAtPrice(Sides side, decimal price)

result = orderBook.GetVolumeAtPrice(side, price)

Get volume at a specific price level.

side

Side to query.

price

Price level to query.

GetWorstAsk

public ValueTuple<decimal, decimal>? GetWorstAsk()

result = orderBook.GetWorstAsk()

Get worst (highest) ask level.

GetWorstBid

public ValueTuple<decimal, decimal>? GetWorstBid()

result = orderBook.GetWorstBid()

Get worst (lowest) bid level.

HasLevel

public bool HasLevel(Sides side, decimal price)

result = orderBook.HasLevel(side, price)

Check if there's a quote at the specified price.

side

Side to check.

price

Price level to check.

RemoveLevel

public IEnumerable<EmulatorOrder> RemoveLevel(Sides side, decimal price)

result = orderBook.RemoveLevel(side, price)

Remove entire level at price.

side

Side to remove level from.

price

Price level to remove.

Returns: Removed orders that were present at that level.

RemoveQuote

public bool RemoveQuote(long transactionId, Sides side, decimal price)

result = orderBook.RemoveQuote(transactionId, side, price)

Remove a quote from the order book.

transactionId

Transaction id of the order to remove.

side

Side (buy/sell) where the order is placed.

price

Price level of the order.

Returns: True if removed, false if not found.

SetSnapshot

public void SetSnapshot(IEnumerable<QuoteChange> bids, IEnumerable<QuoteChange> asks)

orderBook.SetSnapshot(bids, asks)

Set the order book from a snapshot (replaces all non-user quotes).

bids

Sequence of bid quote changes to set.

asks

Sequence of ask quote changes to set.

ToMessage

public QuoteChangeMessage ToMessage(DateTime localTime, DateTime serverTime)

result = orderBook.ToMessage(localTime, serverTime)

Create a QuoteChangeMessage from current state.

localTime

Local time to set on the generated message.

serverTime

Server time to set on the generated message.

TryRemoveOrder

public bool TryRemoveOrder(long transactionId, Sides side, EmulatorOrder order)

result = orderBook.TryRemoveOrder(transactionId, side, order)

Find and remove order by transaction ID from any level.

UpdateLevel

public void UpdateLevel(Sides side, decimal price, decimal volume)

orderBook.UpdateLevel(side, price, volume)

Update volume at a price level (for market quotes).

side

Side to update.

price

Price level to update.

volume

New market volume at the level.