ATAS.DataFeedsCore.MarketByOrder Class Reference

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. More...

Inheritance diagram for ATAS.DataFeedsCore.MarketByOrder:

Collaboration diagram for ATAS.DataFeedsCore.MarketByOrder:

Public Member Functions
override string	ToString ()

Properties
Security?	Security [get, set]
	Gets or sets the security associated with the market by order entry.
DateTime	Time [get, set]
	Gets or sets the date and time of the market by order entry.
long	SourceTimeNs [get, set]
	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.
MarketByOrderUpdateTypes	Type [get, set]
	Type of market by order update.
MarketDataType	Side [get, set]
	Side of the order.
long	Priority [get, set]
	Priority of this order in the exchange's matching engine queue.
long	ExchangeOrderId [get, set]
	Exchange order id of this order.
decimal	Price [get, set]
	Price associated with this order.
decimal	Volume [get, set]
	Volume associated with this order.
MarketByOrderReason	Reason [get, set]
	Why the row changed. Stays MarketByOrderReason.Unknown unless the feed states it.
MarketByOrderFlags	Flags [get, set]
	Batch boundary markers, when the feed delivers atomic batches.
DateTime	ReceivedTime [get, set]
	UTC time the platform received the row. Stamped by the connector base when left default.
Properties inherited from ATAS.DataFeedsCore.IEntity
EntityType	EntityType [get]
	Gets the type of the entity.

Detailed Description

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.

Member Function Documentation

ToString()

override string ATAS.DataFeedsCore.MarketByOrder.ToString

(

)

Property Documentation

ExchangeOrderId

long ATAS.DataFeedsCore.MarketByOrder.ExchangeOrderId

getset

Exchange order id of this order.

Flags

MarketByOrderFlags ATAS.DataFeedsCore.MarketByOrder.Flags

getset

Batch boundary markers, when the feed delivers atomic batches.

Price

decimal ATAS.DataFeedsCore.MarketByOrder.Price

getset

Price associated with this order.

Priority

long ATAS.DataFeedsCore.MarketByOrder.Priority

getset

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

Reason

MarketByOrderReason ATAS.DataFeedsCore.MarketByOrder.Reason

getset

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

ReceivedTime

DateTime ATAS.DataFeedsCore.MarketByOrder.ReceivedTime

getset

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

Security

Security? ATAS.DataFeedsCore.MarketByOrder.Security

getset

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

Side

MarketDataType ATAS.DataFeedsCore.MarketByOrder.Side

getset

Side of the order.

SourceTimeNs

long ATAS.DataFeedsCore.MarketByOrder.SourceTimeNs

getset

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.

Time

DateTime ATAS.DataFeedsCore.MarketByOrder.Time

getset

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

Type

MarketByOrderUpdateTypes ATAS.DataFeedsCore.MarketByOrder.Type

getset

Type of market by order update.

Volume

decimal ATAS.DataFeedsCore.MarketByOrder.Volume

getset

Volume associated with this order.

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The documentation for this class was generated from the following file:

• MarketByOrder.cs