private bool TryAddLevel2()
{
// Update the last Dom total and time
// so we can log any changes if ticks don't
// come in timely due to a pause in the market.
level2Bids.UpdateTotalSize();
level2Asks.UpdateTotalSize();
if (level2Bids.LastPrice > 0 && level2Asks.LastPrice > 0)
{
tick.SetQuote(level2Bids.LastPrice, level2Asks.LastPrice);
tick.SetDepth(level2Bids.DepthSizes, level2Asks.DepthSizes);
if (trace)
{
log.Trace("Level2 SetQuote(), SetDepth()");
}
return(true);
}
else
{
return(false);
}
}