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<EmulatorOrder>>> 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, affected orders).

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.

TrimToDepth

public IEnumerable<EmulatorOrder> TrimToDepth(Sides side, int maxDepth)

result = orderBook.TrimToDepth(side, maxDepth)

Remove worst levels that exceed max depth.

side

Side to trim.

maxDepth

Maximum allowed depth to keep.

Returns: Removed orders from trimmed levels.

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.