ATAS.DataFeedsCore.IMarketDepthHistoryProvider Interface Reference

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...

Public Member Functions
bool	IsMarketDepthHistorySupported (Security security)
	Whether historical order book data may be available for the security.
Task< IReadOnlyList< MarketDepthHistoryLevel > >	GetMarketDepthHistoryAsync (Security security, DateTime fromUtc, DateTime toUtc, CancellationToken cancellation=default)
	Chronologically ordered historical book level updates for [fromUtc , toUtc ); empty when the service has no data for the range.

Detailed Description

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.

Member Function Documentation

GetMarketDepthHistoryAsync()

Task< IReadOnlyList< MarketDepthHistoryLevel > > ATAS.DataFeedsCore.IMarketDepthHistoryProvider.GetMarketDepthHistoryAsync	(	Security	security,
		DateTime	fromUtc,
		DateTime	toUtc,
		CancellationToken	cancellation = default
	)

Chronologically ordered historical book level updates for [fromUtc , toUtc ); empty when the service has no data for the range.

IsMarketDepthHistorySupported()

bool ATAS.DataFeedsCore.IMarketDepthHistoryProvider.IsMarketDepthHistorySupported

(

Security

security

)

Whether historical order book data may be available for the security.

---

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

• IMarketDepthHistoryProvider.cs