Class MarketByOrder

Namespace

ATAS.DataFeedsCore

Assembly

ATAS.DataFeedsCore.dll

Market by Order (MBO) describes an order-based data feed that provides the ability to view individual queue position, full depth of book and the size of individual orders at each price level.

public class MarketByOrder : IEntity

Inheritance

object

MarketByOrder

Implements

IEntity

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?[])

Constructors

MarketByOrder()

public MarketByOrder()

Properties

ExchangeOrderId

Exchange order id of this order.

public long ExchangeOrderId { get; set; }

Property Value

long

Flags

Batch boundary markers, when the feed delivers atomic batches.

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

public MarketByOrderFlags Flags { get; set; }

Property Value

MarketByOrderFlags

Price

Price associated with this order.

public decimal Price { get; set; }

Property Value

decimal

Priority

Priority of this order in the exchange's matching engine queue.

public long Priority { get; set; }

Property Value

long

Reason

Why the row changed. Stays Unknown unless the feed states it.

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

public MarketByOrderReason Reason { get; set; }

Property Value

MarketByOrderReason

ReceivedTime

UTC time the platform received the row. Stamped by the connector base when left default.

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

public DateTime ReceivedTime { get; set; }

Property Value

DateTime

Security

Gets or sets the security associated with the market by order entry.

public Security? Security { get; set; }

Property Value

Security

Side

Side of the order.

public MarketDataType Side { get; set; }

Property Value

MarketDataType

SourceTimeNs

Gets or sets the exchange (source) time of the entry in nanoseconds since the Unix epoch (UTC). Keeps the sub-tick precision Time cannot hold; 0 when the feed does not provide it.

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

public long SourceTimeNs { get; set; }

Property Value

long

Time

Gets or sets the date and time of the market by order entry.

public DateTime Time { get; set; }

Property Value

DateTime

Type

Type of market by order update.

public MarketByOrderUpdateTypes Type { get; set; }

Property Value

MarketByOrderUpdateTypes

Volume

Volume associated with this order.

public decimal Volume { get; set; }

Property Value

decimal

Methods

ToString()

public override string ToString()

Returns

string