ReferencesCommonOnMarketDepth()

MarketDepthEventArgs

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Definition

Represents a change in level two market data also known as market depth and is passed as a parameter in the OnMarketDepth() method.

Methods and Parameters

  • Instrument
  • IsReset
  • MarketDataType
  • MarketMaker
  • Operation
  • Position
  • Price
  • Time
ToString()Volume
A Instrument object representing the instrument of the market dataA bool value representing if a UI reset is needed after a manual disconnect.

Note: This is only relevant for columns. Whenever this property is true, the UI needs to be reset.

  • Possible values are:
    MarketDataType.Ask
    MarketDataType.Bid
  • A string representing the market maker id
  • Represents the action you should take when building a level two book.
    Possible values are:
    Operation.Add
    Operation.Update
    Operation.Remove
  • An int value representing the zero based position in the depth ladder.
  • A double value representing the price
  • A DateTime structure representing the time
  • A string representation of the MarketDataEventArgs object
  • A long value representing volume

Examples

1protected override void OnMarketDepth(MarketDepthEventArgs marketDepthUpdate)
2{
3     // Print some data to the Output window
4     if (marketDepthUpdate.MarketDataType == MarketDataType.Ask && marketDepthUpdate.Operation == Operation.Update)
5         Print("The most recent ask change is " + marketDepthUpdate.Price + " " + marketDepthUpdate.Volume);
6}

Tip: For an example of how to use IsReset please see \MarketAnalyzerColumns\AskPrice.cs