Represents a full order book for a security. It contains prices and order sizes for each bid and ask level. The best bid and ask prices are also kept up to date. More...

Inheritance diagram for QuantConnect.Brokerages.DefaultOrderBook:

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Public Member Functions
	DefaultOrderBook (Symbol symbol)
	Initializes a new instance of the DefaultOrderBook class More...

void	Clear ()
	Clears all bid/ask levels and prices. More...

void	UpdateBidRow (decimal price, decimal size)
	Updates or inserts a bid price level in the order book More...

void	UpdateAskRow (decimal price, decimal size)
	Updates or inserts an ask price level in the order book More...

void	RemoveBidRow (decimal price)
	Removes a bid price level from the order book More...

void	RemoveAskRow (decimal price)
	Removes an ask price level from the order book More...

void	RemovePriceLevel (decimal priceLevel)
	Common price level removal method More...

Public Member Functions inherited from QuantConnect.Brokerages.IOrderBookUpdater< decimal, decimal >
void	UpdateBidRow (K price, V size)
	Updates or inserts a bid price level in the order book More...

void	UpdateAskRow (K price, V size)
	Updates or inserts an ask price level in the order book More...

void	RemoveBidRow (K price)
	Removes a bid price level from the order book More...

void	RemoveAskRow (K price)
	Removes an ask price level from the order book More...

Protected Attributes
readonly SortedDictionary< decimal, decimal >	Bids = new SortedDictionary<decimal, decimal>()
	Represents bid prices and sizes More...

readonly SortedDictionary< decimal, decimal >	Asks = new SortedDictionary<decimal, decimal>()
	Represents ask prices and sizes More...

Properties
Symbol	Symbol `[get]`
	Represents a unique security identifier of current Order Book More...

decimal	BestBidPrice `[get]`
	The best bid price More...

decimal	BestBidSize `[get]`
	The best bid size More...

decimal	BestAskPrice `[get]`
	The best ask price More...

decimal	BestAskSize `[get]`
	The best ask size More...

Events
EventHandler< BestBidAskUpdatedEventArgs >	BestBidAskUpdated
	Event fired each time BestBidPrice or BestAskPrice are changed More...

Events inherited from QuantConnect.Brokerages.IOrderBookUpdater< decimal, decimal >
EventHandler< BestBidAskUpdatedEventArgs >	BestBidAskUpdated
	Event fired each time BestBidPrice or BestAskPrice are changed More...

Detailed Description

Represents a full order book for a security. It contains prices and order sizes for each bid and ask level. The best bid and ask prices are also kept up to date.

Definition at line 27 of file DefaultOrderBook.cs.

Constructor & Destructor Documentation

◆ DefaultOrderBook()

QuantConnect.Brokerages.DefaultOrderBook.DefaultOrderBook ( Symbol symbol )

Initializes a new instance of the DefaultOrderBook class

Parameters

symbol The symbol for the order book

Definition at line 115 of file DefaultOrderBook.cs.

Member Function Documentation

◆ Clear()

void QuantConnect.Brokerages.DefaultOrderBook.Clear ( )

Clears all bid/ask levels and prices.

Definition at line 123 of file DefaultOrderBook.cs.

◆ UpdateBidRow()

void QuantConnect.Brokerages.DefaultOrderBook.UpdateBidRow	(	decimal	price,
		decimal	size
	)

Updates or inserts a bid price level in the order book

Parameters

price	The bid price level to be inserted or updated
size	The new size at the bid price level

Definition at line 142 of file DefaultOrderBook.cs.

◆ UpdateAskRow()

void QuantConnect.Brokerages.DefaultOrderBook.UpdateAskRow	(	decimal	price,
		decimal	size
	)

Updates or inserts an ask price level in the order book

Parameters

price	The ask price level to be inserted or updated
size	The new size at the ask price level

Definition at line 163 of file DefaultOrderBook.cs.

◆ RemoveBidRow()

void QuantConnect.Brokerages.DefaultOrderBook.RemoveBidRow ( decimal price )

Removes a bid price level from the order book

Parameters

price The bid price level to be removed

Definition at line 183 of file DefaultOrderBook.cs.

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◆ RemoveAskRow()

void QuantConnect.Brokerages.DefaultOrderBook.RemoveAskRow ( decimal price )

Removes an ask price level from the order book

Parameters

price The ask price level to be removed

Definition at line 204 of file DefaultOrderBook.cs.

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◆ RemovePriceLevel()

void QuantConnect.Brokerages.DefaultOrderBook.RemovePriceLevel ( decimal priceLevel )

Common price level removal method

Parameters

priceLevel

Definition at line 225 of file DefaultOrderBook.cs.

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Member Data Documentation

◆ Bids

readonly SortedDictionary<decimal, decimal> QuantConnect.Brokerages.DefaultOrderBook.Bids = new SortedDictionary<decimal, decimal>()

protected

Represents bid prices and sizes

Definition at line 38 of file DefaultOrderBook.cs.

◆ Asks

readonly SortedDictionary<decimal, decimal> QuantConnect.Brokerages.DefaultOrderBook.Asks = new SortedDictionary<decimal, decimal>()

protected

Represents ask prices and sizes

Definition at line 43 of file DefaultOrderBook.cs.

Property Documentation

◆ Symbol

Symbol QuantConnect.Brokerages.DefaultOrderBook.Symbol

get

Represents a unique security identifier of current Order Book

Definition at line 48 of file DefaultOrderBook.cs.

◆ BestBidPrice

decimal QuantConnect.Brokerages.DefaultOrderBook.BestBidPrice

get

The best bid price

Definition at line 59 of file DefaultOrderBook.cs.

◆ BestBidSize

decimal QuantConnect.Brokerages.DefaultOrderBook.BestBidSize

get

The best bid size

Definition at line 73 of file DefaultOrderBook.cs.

◆ BestAskPrice

decimal QuantConnect.Brokerages.DefaultOrderBook.BestAskPrice

get

The best ask price

Definition at line 87 of file DefaultOrderBook.cs.

◆ BestAskSize

decimal QuantConnect.Brokerages.DefaultOrderBook.BestAskSize

get

The best ask size

Definition at line 101 of file DefaultOrderBook.cs.

Event Documentation

◆ BestBidAskUpdated

EventHandler<BestBidAskUpdatedEventArgs> QuantConnect.Brokerages.DefaultOrderBook.BestBidAskUpdated

Event fired each time BestBidPrice or BestAskPrice are changed

Definition at line 53 of file DefaultOrderBook.cs.

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

Brokerages/DefaultOrderBook.cs

Public Member Functions

Protected Attributes

Properties

Events

Detailed Description

Constructor & Destructor Documentation

◆ DefaultOrderBook()

Member Function Documentation

◆ Clear()

◆ UpdateBidRow()

◆ UpdateAskRow()

◆ RemoveBidRow()

◆ RemoveAskRow()

◆ RemovePriceLevel()

Member Data Documentation

◆ Bids

◆ Asks

Property Documentation

◆ Symbol

◆ BestBidPrice

◆ BestBidSize

◆ BestAskPrice

◆ BestAskSize

Event Documentation

◆ BestBidAskUpdated