/// <summary>
/// Construct a market depth object with the specified instrument key and maximum depth
/// </summary>
/// <param name="key">InstrumentKey for the TTInstrument associated with this depth</param>
/// <param name="maxDepthCount">The maximum number of depth levels allowed for the associated instrument</param>
public TTMarketDepth(int maxDepthCount)
{
_depthCount = maxDepthCount;
_marketDepth = new TTMarketDepthLevel[maxDepthCount];
for (int i = 0; i < maxDepthCount; i++)
{
_marketDepth[i] = new TTMarketDepthLevel();
}
}
/// <summary>
/// Set the market depth at a specified level by specifying bid/ask price/quantity
/// </summary>
/// <param name="level">market depth level to change</param>
/// <param name="bid">bid price</param>
/// <param name="bidQty">bid quantity</param>
/// <param name="ask">ask price</param>
/// <param name="askQty">ask quantity</param>
public void SetDepth(int level, Price bid, Quantity bidQty, Price ask, Quantity askQty)
{
if (_marketDepth[level] == null)
{
_marketDepth[level] = new TTMarketDepthLevel();
}
_marketDepth[level].Bid = bid;
_marketDepth[level].BidQty = bidQty;
_marketDepth[level].Ask = ask;
_marketDepth[level].AskQty = askQty;
}
/// <summary>
/// Index into the market depth levels (use like marketDepth[2] to return level 2 market depth)
/// </summary>
/// <param name="index">market depth level to return</param>
/// <returns>MarketDepthLevel object containing market depth for the specified level</returns>
public TTMarketDepthLevel this[int index]
{
get
{
return(_marketDepth[index]);
}
set
{
if (_marketDepth[index] == null)
{
_marketDepth[index] = new TTMarketDepthLevel();
}
_marketDepth[index].Bid = value.Bid;
_marketDepth[index].BidQty = value.BidQty;
_marketDepth[index].Ask = value.Ask;
_marketDepth[index].AskQty = value.AskQty;
}
}
/// <summary>
/// Set the market depth at a specified level
/// </summary>
/// <param name="level">market depth level to change</param>
/// <param name="depthLevel">new MarketDepthLevel object for the specified level</param>
public void SetDepth(int level, TTMarketDepthLevel depthLevel)
{
SetDepth(level, depthLevel.Bid, depthLevel.BidQty, depthLevel.Ask, depthLevel.AskQty);
}