IMarketDepthHistoryProvider.cs File Reference

Classes
interface	ATAS.DataFeedsCore.IMarketDepthHistoryProvider
	Optional connector capability: historical order book (market depth) data, e.g. the dxFeed ORCS service. Consumers (the heatmap) probe for this interface on the instrument's connectors and backfill the book history when supported. More...

Namespaces
namespace	ATAS
namespace	ATAS.DataFeedsCore

Functions
readonly record struct	ATAS.DataFeedsCore.MarketDepthHistoryLevel (long TimeNanos, decimal Price, decimal Volume, bool IsAsk)
	One historical order-book level update: at TimeNanos (UTC, Unix-epoch nanoseconds) the resting volume at Price on the given side became Volume (0 removes the level). Replaying the chronologically ordered updates rebuilds the historical book.