Class MboHiddenDetectEvidence

Namespace

ATAS.DataFeedsCore

Assembly

ATAS.DataFeedsCore.dll

Data behind one hidden-volume detection of an iceberg order.

Added in ATAS 8.0.15.

public sealed class MboHiddenDetectEvidence

Inheritance

object

MboHiddenDetectEvidence

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

MboHiddenDetectEvidence()

public MboHiddenDetectEvidence()

Properties

Hidden

Gets or sets the detected hidden volume: SumTrades minus the consumed visible volume (VisibleBefore + PositiveDelta - VisibleAfter).

public decimal Hidden { get; set; }

Property Value

decimal

Ms

Gets or sets the time of the update window the hidden volume was detected in, in milliseconds since the Unix epoch (UTC).

public long Ms { get; set; }

Property Value

long

OrderKey

Gets or sets the UTC System.DateTime.Ticks of the window time.

public long OrderKey { get; set; }

Property Value

long

PositiveDelta

Gets or sets the sum of the visible volume increases within the window.

public decimal PositiveDelta { get; set; }

Property Value

decimal

Price

Gets or sets the order price at the detection.

public decimal Price { get; set; }

Property Value

decimal

SumTrades

Gets or sets the passive fill volume within the window.

public decimal SumTrades { get; set; }

Property Value

decimal

VisibleAfter

Gets or sets the visible order volume after the window.

public decimal VisibleAfter { get; set; }

Property Value

decimal

VisibleBefore

Gets or sets the visible order volume at the start of the window.

public decimal VisibleBefore { get; set; }

Property Value

decimal