LevelOneServiceManager

QuantConnect.Brokerages.LevelOneOrderBook.LevelOneServiceManager

LevelOneServiceManager(
    data_aggregator: IDataAggregator,
    subscribe_callback: Callable[
        [List[Symbol], TickType], bool
    ],
    unsubscribe_callback: Callable[
        [List[Symbol], TickType], bool
    ],
)

Bases: Object, IDisposable

Manages subscriptions and real-time updates for multiple LevelOneMarketData instances. Facilitates routing of quote and trade data to a shared IDataAggregator in a thread-safe manner.

Initializes a new instance of the LevelOneServiceManager class.

Parameters:

Name	Type	Description	Default
data_aggregator	IDataAggregator	The aggregator to which all tick data will be published.	required
subscribe_callback	Callable[[List[Symbol], TickType], bool]	Delegate used to perform symbol subscription logic.	required
unsubscribe_callback	Callable[[List[Symbol], TickType], bool]	Delegate used to perform symbol unsubscription logic.	required

is_empty

is_empty: bool

Gets whether there are no active subscriptions.

count

count: int

Gets the number of currently subscribed symbols.

dispose

dispose() -> None

Releases all resources used by the LevelOneServiceManager.

get_subscribed_symbols

get_subscribed_symbols() -> Iterable[Symbol]

Returns subscribed symbols

Returns:

Type	Description
Iterable[Symbol]	list of Symbol currently subscribed.

handle_last_trade

handle_last_trade(
    symbol: Union[Symbol, str, BaseContract],
    trade_date_time_utc: Optional[datetime],
    last_quantity: Optional[float],
    last_price: Optional[float],
    sale_condition: str = ...,
    exchange: str = ...,
) -> None

Handles incoming last trade data for a symbol and routes it to the corresponding LevelOneMarketData instance.

Parameters:

Name	Type	Description	Default
symbol	Union[Symbol, str, BaseContract]	The symbol for which trade data is received.	required
trade_date_time_utc	Optional[datetime]	The UTC timestamp of the trade.	required
last_quantity	Optional[float]	The trade size.	required
last_price	Optional[float]	The trade price.	required
sale_condition	str	Optional sale condition string.	...
exchange	str	Optional exchange identifier.	...

handle_open_interest

handle_open_interest(
    symbol: Union[Symbol, str, BaseContract],
    open_interest_date_time_utc: Optional[datetime],
    open_interest: Optional[float],
) -> None

Handles open interest updates for the specified symbol. If the symbol is subscribed, forwards the open interest data to the corresponding LevelOneMarketData instance for publishing.

Parameters:

Name	Type	Description	Default
symbol	Union[Symbol, str, BaseContract]	The trading symbol associated with the open interest update.	required
open_interest_date_time_utc	Optional[datetime]	The UTC timestamp when the open interest value was observed.	required
open_interest	Optional[float]	The reported open interest value.	required

handle_quote

handle_quote(
    symbol: Union[Symbol, str, BaseContract],
    quote_date_time_utc: Optional[datetime],
    bid_price: Optional[float],
    bid_size: Optional[float],
    ask_price: Optional[float],
    ask_size: Optional[float],
) -> None

Handles incoming quote data for a symbol. Deduplicates updates and routes changes to the relevant LevelOneMarketData instance.

Parameters:

Name	Type	Description	Default
symbol	Union[Symbol, str, BaseContract]	The symbol for which quote data is received.	required
quote_date_time_utc	Optional[datetime]	The UTC timestamp of the quote.	required
bid_price	Optional[float]	The bid price.	required
bid_size	Optional[float]	The size at the bid price.	required
ask_price	Optional[float]	The ask price.	required
ask_size	Optional[float]	The size at the ask price.	required

set_ignore_zero_size_updates

set_ignore_zero_size_updates(
    symbol: Union[Symbol, str, BaseContract],
    ignore_zero_size_updates: bool,
) -> None

Sets the LevelOneMarketData.ignore_zero_size_updates flag for the specified symbol, controlling how zero-sized quote updates are handled for that symbol's market data stream.

Parameters:

Name	Type	Description	Default
symbol	Union[Symbol, str, BaseContract]	The symbol whose quote update behavior should be configured.	required
ignore_zero_size_updates	bool	If true, zero-sized bid or ask updates will be ignored for the given symbol, preserving existing book values. If false, zero sizes will be applied as valid updates.	required

subscribe

subscribe(data_config: SubscriptionDataConfig) -> None

Subscribes to the specified symbol based on the given SubscriptionDataConfig.

Parameters:

Name	Type	Description	Default
data_config	SubscriptionDataConfig	The subscription configuration containing symbol and type information.	required

unsubscribe

unsubscribe(data_config: SubscriptionDataConfig) -> None

Unsubscribes from the specified symbol and removes its associated service instance.

Parameters:

Name	Type	Description	Default
data_config	SubscriptionDataConfig	The subscription configuration used for unsubscription.	required