Interface IMarketDepthHistoryProvider

Namespace

ATAS.DataFeedsCore

Assembly

ATAS.DataFeedsCore.dll

Optional connector capability: historical order book (market depth) data, e.g. the dxFeed ORCS service. Consumers (the heatmap) probe for this interface on the instrument's connectors and backfill the book history when supported.

Added in ATAS 8.0.15.

public interface IMarketDepthHistoryProvider

Extension Methods

Extensions.ConvertToMyTrade<T>(T, Portfolio, Security, Action<MyTrade, T>)

LoggerHelper.DisposeLogger(object)

LoggerHelper.LogDebug(object, string, params object?[])

LoggerHelper.LogError(object, string, Exception, bool)

LoggerHelper.LogError(object, string, params object?[])

LoggerHelper.LogFatal(object, string, Exception, bool)

LoggerHelper.LogInfo(object, string, params object?[])

LoggerHelper.LogWarn(object, string, params object?[])

Properties

MarketDepthHistoryRetention

How far back the service serves history; requests older than this return nothing.

        <p>Not in ATAS 8.0.15 yet: available from the next version.</p>

TimeSpan MarketDepthHistoryRetention { get; }

Property Value

TimeSpan

Methods

GetMarketDepthHistoryAsync(Security, DateTime, DateTime, int, CancellationToken)

Chronologically ordered historical book level updates for [fromUtc, toUtc); empty when the service has no data for the range.

Not in ATAS 8.0.15 yet: available from the next version.

Task<IReadOnlyList<MarketDepthHistoryLevel>> GetMarketDepthHistoryAsync(Security security, DateTime fromUtc, DateTime toUtc, int granularitySeconds = 1, CancellationToken cancellation = default)

Parameters

security Security

The security whose book history is requested.

fromUtc DateTime

Start of the range (UTC, inclusive).

toUtc DateTime

End of the range (UTC, exclusive).

granularitySeconds int

Aggregation step of the returned levels. 1 second is the finest dxFeed ORCS serves; unsupported values make the service return an empty list rather than an error, so callers must only pass steps the provider documents.

cancellation CancellationToken

Cancels the request.

Returns

Task<IReadOnlyList<MarketDepthHistoryLevel>>

GetMarketDepthHistoryQuotesAsync(Security, DateTime, DateTime, int, CancellationToken)

Chronologically ordered historical best bid/ask for the same range and step as GetMarketDepthHistoryAsync(Security, DateTime, DateTime, int, CancellationToken); empty when the provider serves no quote history. Consumers use it to keep a replayed book consistent with the real top of book.

Not in ATAS 8.0.15 yet: available from the next version.

Task<IReadOnlyList<MarketDepthHistoryQuote>> GetMarketDepthHistoryQuotesAsync(Security security, DateTime fromUtc, DateTime toUtc, int granularitySeconds = 1, CancellationToken cancellation = default)

Parameters

security Security

fromUtc DateTime

toUtc DateTime

granularitySeconds int

cancellation CancellationToken

Returns

Task<IReadOnlyList<MarketDepthHistoryQuote>>

IsMarketDepthHistorySupported(Security)

Whether historical order book data may be available for the security.

bool IsMarketDepthHistorySupported(Security security)

Parameters

security Security

Returns

bool