Class MboOrderEvent

Namespace

ATAS.DataFeedsCore

Assembly

ATAS.DataFeedsCore.dll

Normalized Market-By-Order update consumed and stored by MBO analytics.

Added in ATAS 8.0.15.

public sealed class MboOrderEvent

Inheritance

object

MboOrderEvent

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

MboOrderEvent()

public MboOrderEvent()

Properties

CanceledVolume

Visible quantity withdrawn by this event: for a delete the remainder not explained by fills, for a change the decrease not explained by fills.

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

public decimal CanceledVolume { get; set; }

Property Value

decimal

Epoch

Continuity generation of the source stream; incremented on every book reset or gap.

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

public int Epoch { get; set; }

Property Value

int

ExecutedVolume

Quantity of this event attributed to fills (raw, may exceed the visible size for iceberg orders).

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

public decimal ExecutedVolume { get; set; }

Property Value

decimal

Flags

The flags of the source row: snapshot boundaries and similar markers of the stream.

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

public MarketByOrderFlags Flags { get; set; }

Property Value

MarketByOrderFlags

OrderId

Gets or sets the exchange order id.

public long OrderId { get; set; }

Property Value

long

Ordinal

Monotonic position of the event in the source stream as observed by the platform (per analytics core lifetime).

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

public long Ordinal { get; set; }

Property Value

long

Price

Gets or sets the order price after the update.

public decimal Price { get; set; }

Property Value

decimal

Priority

Gets or sets the priority of the order in the exchange matching engine queue, as reported by the feed.

public long Priority { get; set; }

Property Value

long

Reason

Why the order changed; see ReasonSource for how it was obtained.

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

public MarketByOrderReason Reason { get; set; }

Property Value

MarketByOrderReason

ReasonSource

Where Reason came from.

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

public MboReasonSource ReasonSource { get; set; }

Property Value

MboReasonSource

ReceivedTime

UTC time the platform received the source row.

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

public DateTime ReceivedTime { get; set; }

Property Value

DateTime

SessionId

Identifier of the analytics core instance that stamped this record.

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

public int SessionId { get; set; }

Property Value

int

Side

Gets or sets the book side of the order.

public MboOrderSide Side { get; set; }

Property Value

MboOrderSide

SourceTimeNs

Exchange (source) time in nanoseconds since the Unix epoch (UTC), with the sub-tick precision Time cannot hold; 0 when the feed does not provide it. Live only: the order journal (format v3) does not store it, so rows read back from disk carry 0.

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 time of the update reported by the feed (UTC).

public DateTime Time { get; set; }

Property Value

DateTime

Type

Gets or sets the kind of the update.

public MboOrderUpdateType Type { get; set; }

Property Value

MboOrderUpdateType

Volume

Gets or sets the visible order volume reported by the update.

public decimal Volume { get; set; }

Property Value

decimal