Order Book

MarketDepthControl - a graphical component for displaying the order book. The component allows displaying quotes and own orders.

Main properties and methods

• MarketDepthControl.MaxDepth - order book depth.
• MarketDepthControl.IsBidsOnTop - display bids on top.
• MarketDepthControl.UpdateFormat(StockSharp.BusinessEntities.Security security ) - update the format of price and volume display using the instrument.
• MarketDepthControl.ProcessOrder(StockSharp.BusinessEntities.Order order, System.Decimal price, System.Decimal balance, StockSharp.Messages.OrderStates state ) - process an order.
• MarketDepthControl.UpdateDepth(StockSharp.Messages.IOrderBookMessage message, StockSharp.BusinessEntities.Security security ) - update the order book using a message.

Below are code fragments demonstrating its usage:

<Window x:Class="SampleBarChart.QuotesWindow"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    xmlns:xaml="http://schemas.stocksharp.com/xaml"
    Title="QuotesWindow" Height="600" Width="280">
    <xaml:MarketDepthControl x:Name="DepthCtrl" x:FieldModifier="public" />
</Window>

public class MarketDepthWindow
{
    private readonly Connector _connector;
    private readonly Security _security;
    private Subscription _depthSubscription;
    
    public MarketDepthWindow(Connector connector, Security security)
    {
        InitializeComponent();
        
        _connector = connector;
        _security = security;
        
        // Configure order book formatting
        DepthCtrl.UpdateFormat(security);
        
        // Subscribe to order book reception event
        _connector.OrderBookReceived += OnMarketDepthReceived;
        
        // Create a subscription to order book for the selected instrument
        _depthSubscription = new Subscription(DataType.MarketDepth, security);
        
        // Start subscription
        _connector.Subscribe(_depthSubscription);
    }
    
    // Handler for order book reception event
    private void OnMarketDepthReceived(Subscription subscription, IOrderBookMessage depth)
    {
        // Check if the order book belongs to our subscription
        if (subscription != _depthSubscription)
            return;
            
        // Update the order book in the user interface thread
        this.GuiAsync(() => DepthCtrl.UpdateDepth(depth, _security));
    }
    
    // Method for unsubscribing when the window is closed
    public void Unsubscribe()
    {
        if (_depthSubscription != null)
        {
            _connector.OrderBookReceived -= OnMarketDepthReceived;
            _connector.UnSubscribe(_depthSubscription);
            _depthSubscription = null;
        }
    }
}

Displaying own orders in the order book

public class MarketDepthWithOrdersWindow
{
    private readonly Connector _connector;
    private readonly Security _security;
    
    public MarketDepthWithOrdersWindow(Connector connector, Security security)
    {
        InitializeComponent();
        
        _connector = connector;
        _security = security;
        
        // Configure order book formatting
        DepthCtrl.UpdateFormat(security);
        
        // Subscribe to order book and order reception events
        _connector.OrderBookReceived += OnMarketDepthReceived;
        _connector.OrderReceived += OnOrderReceived;
        
        // Create a subscription to order book
        var depthSubscription = new Subscription(DataType.MarketDepth, security);
        _connector.Subscribe(depthSubscription);
        
        // If necessary, create a subscription to orders
        var ordersSubscription = new Subscription(DataType.Transactions, null);
        _connector.Subscribe(ordersSubscription);
    }
    
    // Handler for order book reception event
    private void OnMarketDepthReceived(Subscription subscription, IOrderBookMessage depth)
    {
        if (depth.SecurityId != _security.ToSecurityId())
            return;
            
        // Update the order book in the user interface thread
        this.GuiAsync(() => DepthCtrl.UpdateDepth(depth, _security));
    }
    
    // Handler for order reception event
    private void OnOrderReceived(Subscription subscription, Order order)
    {
        if (order.Security != _security)
            return;
            
        // Display the order in the order book
        this.GuiAsync(() => DepthCtrl.ProcessOrder(
            order, 
            order.Price, 
            order.Balance, 
            order.State));
    }
}

Getting best prices from the order book

// Method to get best prices from the order book
public (decimal? BestBid, decimal? BestAsk) GetBestPrices(IOrderBookMessage depth)
{
    if (depth == null)
        return (null, null);
        
    var bestBid = depth.GetBestBid()?.Price;
    var bestAsk = depth.GetBestAsk()?.Price;
    
    return (bestBid, bestAsk);
}

// Using the method to display spread
private void OnMarketDepthReceived(Subscription subscription, IOrderBookMessage depth)
{
    if (depth.SecurityId != _security.ToSecurityId())
        return;
        
    // Get best prices
    var (bestBid, bestAsk) = GetBestPrices(depth);
    
    // Calculate and display spread
    if (bestBid.HasValue && bestAsk.HasValue)
    {
        var spread = bestAsk.Value - bestBid.Value;
        var spreadPercent = bestBid.Value > 0 ? spread / bestBid.Value * 100 : 0;
        
        this.GuiAsync(() => 
        {
            SpreadLabel.Content = $"Spread: {spread:F2} ({spreadPercent:F2}%)";
        });
    }
    
    // Update order book
    this.GuiAsync(() => DepthCtrl.UpdateDepth(depth, _security));
}