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MarketDepth Class

Order book.
Inheritance Hierarchy
SystemObject
  CloneableMarketDepth
    StockSharp.BusinessEntitiesMarketDepth

Namespace:  StockSharp.BusinessEntities
Assembly:  StockSharp.BusinessEntities (in StockSharp.BusinessEntities.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
[SerializableAttribute]
public class MarketDepth : Cloneable<MarketDepth>, 
	IEnumerable<Quote>, IEnumerable

The MarketDepth type exposes the following members.

Constructors
  NameDescription
Public methodMarketDepth
Create order book.
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Properties
  NameDescription
Public propertyAsks
Get the array of asks sorted by ascending price. The first (best) ask will be the minimum price.
Public propertyAutoVerify
Public propertyBestAsk
The best ask. If the order book does not contain asks, will be returned .
Public propertyBestBid
The best bid. If the order book does not contain bids, will be returned .
Public propertyBestPair
The best pair. If the order book is empty, will be returned .
Public propertyBids
Get the array of bids sorted by descending price. The first (best) bid will be the maximum price.
Public propertyCount
Total quotes count (bids + asks).
Public propertyCurrency
Trading security currency.
Public propertyDepth
Depth of book.
Public propertyLastChangeTime
Last change time.
Public propertyLocalTime
The order book local time stamp.
Public propertyMaxDepth Obsolete.
The maximum depth of order book.
Public propertySecurity
Security.
Public propertyTotalAsksPrice
To get the total price size by offers.
Public propertyTotalAsksVolume
Get asks total volume.
Public propertyTotalBidsPrice
To get the total price size by bids.
Public propertyTotalBidsVolume
Get bids total volume.
Public propertyTotalPrice
To get the total price size.
Public propertyTotalVolume
Get total volume.
Public propertyUseAggregatedQuotes
Whether to use aggregated quotes AggregatedQuote at the join of the volumes with the same price.
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Methods
  NameDescription
Public methodAddAsk
Add sell quote.
Public methodAddBid
Add buy quote.
Public methodAddQuote
To add the quote. If a quote with the same price is already in the order book, they are combined into the AggregatedQuote.
Public methodClone
Create a copy of MarketDepth.
(Overrides Cloneable.Clone.)
Public methodDecrease
To reduce the order book to the required depth.
Public methodEquals
Determines whether the specified object is equal to the current object.
(Inherited from Object.)
Protected methodFinalize
Allows an object to try to free resources and perform other cleanup operations before it is reclaimed by garbage collection.
(Inherited from Object.)
Public methodGetBestQuote
To get the best quote by the direction Sides.
Public methodGetEnumerator
To get the enumerator object.
Public methodGetHashCode
Serves as a hash function for a particular type.
(Inherited from Object.)
Public methodGetPair
To get a pair of quotes (bid + offer) by the depth index.
Public methodGetQuote(Decimal)
To get a quote by the price.
Public methodGetQuote(Sides, Int32)
To get a quote by the direction Sides and the depth index.
Public methodGetQuotes
To get quotes by the direction Sides.
Public methodGetTopPairs
To get a pair of quotes for a given book depth.
Public methodGetTopQuotes
To get quotes for a given book depth.
Public methodGetType
Gets the Type of the current instance.
(Inherited from Object.)
Protected methodMemberwiseClone
Creates a shallow copy of the current Object.
(Inherited from Object.)
Public methodRemove(Quote, DateTimeOffset)
Remove the quote.
Public methodRemove(Decimal, Decimal, DateTimeOffset)
Remove the volume for the price.
Public methodRemove(Sides, Decimal, Decimal, DateTimeOffset)
Remove the volume for the price.
Public methodToPairs
To get all pairs from the order book.
Public methodToString
Returns a string that represents the current object.
(Overrides ObjectToString.)
Public methodUpdate(IEnumerableQuote, DateTimeOffset)
Update the order book by new quotes.
Public methodUpdate(Quote, Quote, DateTimeOffset)
To update the order book. The version without checks and blockings.
Public methodUpdate(IEnumerableQuote, IEnumerableQuote, Boolean, DateTimeOffset)
Update the order book by new bids and asks.
Public methodUpdateQuote
To refresh the quote. If a quote with the same price is already in the order book, it is updated as passed. Otherwise, it automatically rebuilds the order book.
Public methodVerify
To determine whether the order book is in the right state.
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Events
  NameDescription
Public eventDepthChanged
Depth Depth changed.
Public eventQuoteOutOfDepth Obsolete.
Event on exceeding the maximum allowable depth of quotes.
Public eventQuotesChanged
Quotes changed.
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Extension Methods
  NameDescription
Public Extension MethodEmulateTrades
To delete in order book levels, which shall disappear in case of trades occurrence trades.
(Defined by TraderHelper.)
Public Extension MethodGetCurrentPrice
To calculate the current price by the order book depending on the order direction.
(Defined by TraderHelper.)
Public Extension MethodGetFilteredQuotes
To filter the order book from own orders.
(Defined by TraderHelper.)
Public Extension MethodGetTheoreticalTrades(Order)Overloaded.
To get probable trades for order book for the given order.
(Defined by TraderHelper.)
Public Extension MethodGetTheoreticalTrades(Sides, Decimal)Overloaded.
To get probable trades by the order book for the market price and given volume.
(Defined by TraderHelper.)
Public Extension MethodGetTheoreticalTrades(Sides, Decimal, Decimal)Overloaded.
To get probable trades by order book for given price and volume.
(Defined by TraderHelper.)
Public Extension MethodGroup(Unit)Overloaded.
To group quotes by the price range.
(Defined by TraderHelper.)
Public Extension MethodGroup(Unit)Overloaded.
To group the order book by the price range.
(Defined by TraderHelper.)
Public Extension MethodImpliedVolatility(BlackScholes, DateTimeOffset)Overloaded.
To create the volatility order book from usual order book.
(Defined by DerivativesHelper.)
Public Extension MethodImpliedVolatility(ISecurityProvider, IMarketDataProvider, DateTimeOffset, Decimal, Decimal)Overloaded.
To create the volatility order book from usual order book.
(Defined by DerivativesHelper.)
Public Extension MethodIsFullEmpty
To determine, is the order book empty.
(Defined by TraderHelper.)
Public Extension MethodIsHalfEmpty
To determine, is the order book half-empty.
(Defined by TraderHelper.)
Public Extension MethodJoin
To merge the initial order book and its sparse representation.
(Defined by TraderHelper.)
Public Extension MethodSparseOverloaded.
To create from regular order book a sparse on, with minimal price step of PriceStep.
(Defined by TraderHelper.)
Public Extension MethodSparse(Decimal)Overloaded.
To create the sparse collection of quotes from regular quotes.
(Defined by TraderHelper.)
Public Extension MethodSparse(Decimal)Overloaded.
To create from regular order book a sparse one.
(Defined by TraderHelper.)
Public Extension MethodToMessage
Cast MarketDepth to the QuoteChangeMessage.
(Defined by MessageConverterHelper.)
Public Extension MethodToMessagesQuote, TMessage
To convert trading objects into messages.
(Defined by MessageConverterHelper.)
Public Extension MethodTruncate
Truncate the specified order book by max depth value.
(Defined by TraderHelper.)
Public Extension MethodUnGroup
To de-group the order book, grouped using the method Group(MarketDepth, Unit).
(Defined by TraderHelper.)
Public Extension MethodWhenBestAskPriceLess
To create a rule for the event of the best offer decrease on a specific value.
(Defined by MarketRuleHelper.)
Public Extension MethodWhenBestAskPriceMore
To create a rule for the event of the best offer increase on a specific value.
(Defined by MarketRuleHelper.)
Public Extension MethodWhenBestBidPriceLess
To create a rule for the event of the best bid decrease on a specific value.
(Defined by MarketRuleHelper.)
Public Extension MethodWhenBestBidPriceMore
To create a rule for the event of the best bid increase on a specific value.
(Defined by MarketRuleHelper.)
Public Extension MethodWhenChanged
To create a rule for the order book change event.
(Defined by MarketRuleHelper.)
Public Extension MethodWhenSpreadLess
To create a rule for the event of order book spread size decrease on a specific value.
(Defined by MarketRuleHelper.)
Public Extension MethodWhenSpreadMore
To create a rule for the event of order book spread size increase on a specific value.
(Defined by MarketRuleHelper.)
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See Also