Struct MarketDepthHistoryQuote

Namespace

ATAS.DataFeedsCore

Assembly

ATAS.DataFeedsCore.dll

The historical top of book at TimeNanos (UTC, Unix-epoch nanoseconds).

Aggregated depth history describes level changes but not every level removal, so a book replayed from it drifts and eventually crosses. The service's own best bid/ask is the authority that keeps the replayed book honest; a zero price means the side had no quote.

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

public readonly struct MarketDepthHistoryQuote

Extension Methods

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

Constructors

MarketDepthHistoryQuote(long, decimal, decimal, decimal, decimal)

The historical top of book at TimeNanos (UTC, Unix-epoch nanoseconds).

Aggregated depth history describes level changes but not every level removal, so a book replayed from it drifts and eventually crosses. The service's own best bid/ask is the authority that keeps the replayed book honest; a zero price means the side had no quote.

public MarketDepthHistoryQuote(long TimeNanos, decimal BidPrice, decimal BidVolume, decimal AskPrice, decimal AskVolume)

Parameters

TimeNanos long

The time of the quote, UTC, Unix-epoch nanoseconds.

BidPrice decimal

The best bid price; 0 when there was no bid.

BidVolume decimal

The volume at the best bid.

AskPrice decimal

The best ask price; 0 when there was no ask.

AskVolume decimal

The volume at the best ask.

Properties

AskPrice

The best ask price; 0 when there was no ask.

public decimal AskPrice { get; init; }

Property Value

decimal

AskVolume

The volume at the best ask.

public decimal AskVolume { get; init; }

Property Value

decimal

BidPrice

The best bid price; 0 when there was no bid.

public decimal BidPrice { get; init; }

Property Value

decimal

BidVolume

The volume at the best bid.

public decimal BidVolume { get; init; }

Property Value

decimal

TimeNanos

The time of the quote, UTC, Unix-epoch nanoseconds.

public long TimeNanos { get; init; }

Property Value

long

Methods

Deconstruct(out long, out decimal, out decimal, out decimal, out decimal)

public void Deconstruct(out long TimeNanos, out decimal BidPrice, out decimal BidVolume, out decimal AskPrice, out decimal AskVolume)

Parameters

TimeNanos long

BidPrice decimal

BidVolume decimal

AskPrice decimal

AskVolume decimal

Equals(MarketDepthHistoryQuote)

public bool Equals(MarketDepthHistoryQuote other)

Parameters

other MarketDepthHistoryQuote

Returns

bool

Equals(object)

public override bool Equals(object obj)

Parameters

obj object

Returns

bool

GetHashCode()

public override int GetHashCode()

Returns

int

ToString()

public override string ToString()

Returns

string

Operators

operator ==(MarketDepthHistoryQuote, MarketDepthHistoryQuote)

public static bool operator ==(MarketDepthHistoryQuote left, MarketDepthHistoryQuote right)

Parameters

left MarketDepthHistoryQuote

right MarketDepthHistoryQuote

Returns

bool

operator !=(MarketDepthHistoryQuote, MarketDepthHistoryQuote)

public static bool operator !=(MarketDepthHistoryQuote left, MarketDepthHistoryQuote right)

Parameters

left MarketDepthHistoryQuote

right MarketDepthHistoryQuote

Returns

bool