Click or drag to resize

OrderLogHelperToMarketDepths Method (IEnumerableExecutionMessage, IOrderLogMarketDepthBuilder, TimeSpan, Int32)

Build market depths from order log.

Namespace:  StockSharp.Algo
Assembly:  StockSharp.Algo (in StockSharp.Algo.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
public static IEnumerable<QuoteChangeMessage> ToMarketDepths(
	this IEnumerable<ExecutionMessage> items,
	IOrderLogMarketDepthBuilder builder,
	TimeSpan interval = null,
	int maxDepth = 2147483647
)

Parameters

items
Type: System.Collections.GenericIEnumerableExecutionMessage
Orders log lines.
builder
Type: StockSharp.MessagesIOrderLogMarketDepthBuilder
Order log to market depth builder.
interval (Optional)
Type: SystemTimeSpan
The interval of the order book generation. The default is Zero, which means order books generation at each new string of orders log.
maxDepth (Optional)
Type: SystemInt32
The maximal depth of order book. The default is MaxValue, which means endless depth.

Return Value

Type: IEnumerableQuoteChangeMessage
Market depths.

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type IEnumerableExecutionMessage. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic) or Extension Methods (C# Programming Guide).
See Also