MarketDepth

Definition

The OnMarketDepth() method is called and guaranteed to be in the correct sequence for every change in level two market data (market depth) for the underlying instrument.

Method Return Value

This method does not return a value.

Syntax

MarketDepth

Examples

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protected override void OnMarketDepth(Data.MarketDepthEventArgs marketDepthUpdate)
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{
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    if (marketDepthUpdate.MarketDataType == MarketDataType.Ask && marketDepthUpdate.Operation == Operation.Update)
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        // Do something
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}