OrderBook

OrderBook(SecurityId)

Order book implementation.

AskLevels : int

Number of ask levels.

BestAsk : ValueTuple?<decimal, decimal>

Get best ask price and volume.

BestBid : ValueTuple?<decimal, decimal>

Get best bid price and volume.

BidLevels : int

Number of bid levels.

SecurityId : SecurityId

SecurityId

TotalAskVolume : decimal

Total volume of all asks.

TotalBidVolume : decimal

Total volume of all bids.

AddQuote(EmulatorOrder)

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(Sides)

Clear all quotes for a specific side.

side

Side to clear.

Clear()

Clears all adapter states and resets current state to Disconnected.

ConsumeVolume(Sides, decimal?, decimal) : IEnumerable<ValueTuple<decimal, decimal, IReadOnlyList<EmulatorOrder>>>

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.

Возвращает: Executions (price, volume, affected orders).

GetLevels(Sides) : IEnumerable<OrderBookLevel>

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

side

Side to retrieve levels for.

GetOrdersAtPrice(Sides, decimal) : IEnumerable<EmulatorOrder>

Get all user orders at a specific price level.

side

Side to query.

price

Price level to query.

GetTotalVolume(Sides) : decimal

Get total volume for a side.

side

Side to get total volume for.

GetVolumeAtPrice(Sides, decimal) : decimal

Get volume at a specific price level.

side

Side to query.

price

Price level to query.

GetWorstAsk() : ValueTuple?<decimal, decimal>

Get worst (highest) ask level.

GetWorstBid() : ValueTuple?<decimal, decimal>

Get worst (lowest) bid level.

HasLevel(Sides, decimal) : bool

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

side

Side to check.

price

Price level to check.

RemoveLevel(Sides, decimal) : IEnumerable<EmulatorOrder>

Remove entire level at price.

side

Side to remove level from.

price

Price level to remove.

Возвращает: Removed orders that were present at that level.

RemoveQuote(long, Sides, decimal) : bool

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.

Возвращает: True if removed, false if not found.

SetSnapshot(IEnumerable<QuoteChange>, IEnumerable<QuoteChange>)

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(DateTime, DateTime) : QuoteChangeMessage

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(Sides, int) : IEnumerable<EmulatorOrder>

Remove worst levels that exceed max depth.

side

Side to trim.

maxDepth

Maximum allowed depth to keep.

Возвращает: Removed orders from trimmed levels.

TryRemoveOrder(long, Sides, EmulatorOrder) : bool

Find and remove order by transaction ID from any level.

UpdateLevel(Sides, decimal, decimal)

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.