Interface IMboAnalyticsDataProvider

Namespace

ATAS.DataFeedsCore

Assembly

ATAS.DataFeedsCore.dll

Optional online-provider capability for MBO-derived analytics.

Added in ATAS 8.0.15.

public interface IMboAnalyticsDataProvider

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

MboAnalyticsDataStatus

Gets a snapshot of the state of the Market-By-Order data reaching the analytics; NotStarted when nothing has been started.

MboAnalyticsDataStatus MboAnalyticsDataStatus { get; }

Property Value

MboAnalyticsDataStatus

MboAnalyticsDiagnostics

Gets a human-readable description of the analytics state (local history settings, counters) for logs and troubleshooting. The format is not stable and must not be parsed.

string MboAnalyticsDiagnostics { get; }

Property Value

string

Methods

GetMboAnnotatedTrades(DateTime, DateTime)

Returns the annotated fills whose Time lies within the inclusive range, from memory and the local history, ordered by EventTicks and Sequence.

IReadOnlyList<MboAnnotatedTrade> GetMboAnnotatedTrades(DateTime from, DateTime to)

Parameters

from DateTime

Start of the range (UTC), inclusive.

to DateTime

End of the range (UTC), inclusive.

Returns

IReadOnlyList<MboAnnotatedTrade>

The matching fills; an empty list when there are none or MBO data is not available.

GetMboIcebergs(DateTime, DateTime)

Returns the icebergs whose lifetime (FirstMs to LastMs) overlaps the range, one record per order, from memory and the local history.

IReadOnlyList<MboIcebergRecord> GetMboIcebergs(DateTime from, DateTime to)

Parameters

from DateTime

Start of the range (UTC), inclusive.

to DateTime

End of the range (UTC), inclusive.

Returns

IReadOnlyList<MboIcebergRecord>

The matching icebergs; an empty list when there are none or MBO data is not available.

GetMboOrderEvents(DateTime, DateTime)

Returns the normalized order book updates whose Time lies within the inclusive range, from memory and the local history.

IReadOnlyList<MboOrderEvent> GetMboOrderEvents(DateTime from, DateTime to)

Parameters

from DateTime

Start of the range (UTC), inclusive.

to DateTime

End of the range (UTC), inclusive.

Returns

IReadOnlyList<MboOrderEvent>

The matching updates; an empty list when there are none or MBO data is not available.

GetMboStopTrades(DateTime, DateTime)

Returns the annotated fills classified as Stop within the inclusive range; ordered as GetMboAnnotatedTrades(DateTime, DateTime).

IReadOnlyList<MboAnnotatedTrade> GetMboStopTrades(DateTime from, DateTime to)

Parameters

from DateTime

Start of the range (UTC), inclusive.

to DateTime

End of the range (UTC), inclusive.

Returns

IReadOnlyList<MboAnnotatedTrade>

The matching fills; an empty list when there are none or MBO data is not available.

GetMboSweepTrades(DateTime, DateTime)

Returns the annotated fills with IsSweep set within the inclusive range; ordered as GetMboAnnotatedTrades(DateTime, DateTime).

IReadOnlyList<MboAnnotatedTrade> GetMboSweepTrades(DateTime from, DateTime to)

Parameters

from DateTime

Start of the range (UTC), inclusive.

to DateTime

End of the range (UTC), inclusive.

Returns

IReadOnlyList<MboAnnotatedTrade>

The matching fills; an empty list when there are none or MBO data is not available.

SubscribeMboAnalyticsData()

Starts the MBO analytics of the instrument for this consumer. Subscriptions are reference-counted: call UnsubscribeMboAnalyticsData() once for every call of this method.

Task SubscribeMboAnalyticsData()

Returns

Task

A task that completes when the analytics have been started.

UnsubscribeMboAnalyticsData()

Releases a subscription taken by SubscribeMboAnalyticsData(); the MBO stream stops when the last subscription is released. Extra calls are ignored.

void UnsubscribeMboAnalyticsData()

Events

MboAnnotatedTradesEmitted

Occurs when a matching event is complete; the argument holds the annotated fills of that event in arrival order. Raised on a background thread while the analytics are subscribed (see SubscribeMboAnalyticsData()).

event Action<IReadOnlyList<MboAnnotatedTrade>>? MboAnnotatedTradesEmitted

Event Type

Action<IReadOnlyList<MboAnnotatedTrade>>

MboIcebergsChanged

Occurs when icebergs are detected, updated or finalized; the argument holds the latest state of each changed iceberg (one record per order). Raised on a background thread while the analytics are subscribed.

event Action<IReadOnlyList<MboIcebergRecord>>? MboIcebergsChanged

Event Type

Action<IReadOnlyList<MboIcebergRecord>>