MarketDepthEventArgs

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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

A Instrument object representing the instrument of the market data

IsReset

A 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.

MarketDataType

Possible values are:

MarketDataType.Ask

MarketDataType.Bid

MarketMaker

A string representing the market maker id

Operation

Represents the action you should take when building a level two book.
Possible values are:
Operation.Add

Operation.Update

Operation.Remove

Position

An int value representing the zero based position in the depth ladder.

Price

A double value representing the price

Time

A DateTime structure representing the time

ToString()

A string representation of the MarketDataEventArgs object

Volume

A long value representing volume

 

Examples

ns

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

 

 

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