SecurityState

StockSharp.MatchingEngine

Per-security state for matching engine. Contains order book, order manager, and security definition.

Constructors

public SecurityState(SecurityId securityId)

securityState = SecurityState(securityId)

Per-security state for matching engine. Contains order book, order manager, and security definition.

public bool HasDepthSubscription { get; }

value = securityState.HasDepthSubscription

Whether depth subscription is active.

OrderBook

public OrderBook OrderBook { get; }

value = securityState.OrderBook

Order book for this security.

OrderManager

public OrderLifecycleManager OrderManager { get; }

value = securityState.OrderManager

Active order manager.

PriceStep

public decimal PriceStep { get; }

value = securityState.PriceStep

Price step from security definition or auto-detected.

SecurityId

public SecurityId SecurityId { get; }

value = securityState.SecurityId

Security identifier.

VolumeStep

public decimal VolumeStep { get; }

value = securityState.VolumeStep

Volume step from security definition or auto-detected.

public void ProcessMarketData(MarketDataMessage msg)

securityState.ProcessMarketData(msg)

Process market data subscriptions (depth only).

public void ProcessQuoteChange(QuoteChangeMessage msg, List<Message> results)

securityState.ProcessQuoteChange(msg, results)

Process quote change (snapshot) — update order book.

public void ProcessSecurity(SecurityMessage msg)

securityState.ProcessSecurity(msg)

Process security definition message.

UpdateSteps

public void UpdateSteps(decimal price, decimal? volume)

securityState.UpdateSteps(price, volume)

Auto-detect price/volume step from market data.