/// <summary>
/// Create a Market Data web socket to receive real-time market data.
/// </summary>
/// <param name="instruments">Instruments to watch.</param>
/// <param name="entries">Market data entries to watch.</param>
/// <param name="level"></param>
/// <param name="depth">Depth of the book.</param>
/// <param name="cancellationToken">Custom cancellation token to end the socket task.</param>
/// <returns>The market data web socket.</returns>
public MarketDataWebSocket CreateMarketDataSocket(IEnumerable <Instrument> instruments,
IEnumerable <Entry> entries,
uint level, uint depth,
CancellationToken cancellationToken
)
{
var marketDataToRequest = new MarketDataInfo()
{
Depth = depth,
Entries = entries.ToArray(),
Level = level,
Products = instruments.ToArray()
};
return(new MarketDataWebSocket(this, marketDataToRequest, cancellationToken));
}
public void ApplyTo(ref MarketDataInfo other)
{
if (BidOrZero != 0)
{
other.BidOrZero = BidOrZero;
}
if (AskOrZero != 0)
{
other.AskOrZero = AskOrZero;
}
if (LastOrZero != 0)
{
other.LastOrZero = LastOrZero;
}
other.UpdateCount += UpdateCount;
}
/// <summary>
/// Create a Market Data web socket to receive real-time market data.
/// </summary>
/// <param name="instruments">Instruments to watch.</param>
/// <param name="entries">Market data entries to watch.</param>
/// <param name="level"></param>
/// <param name="depth">Depth of the book.</param>
/// <param name="cancellationToken">Custom cancellation token to end the socket task.</param>
/// <returns>The market data web socket.</returns>
public MarketDataWebSocket CreateMarketDataSocket(IEnumerable <Instrument> instruments,
IEnumerable <Entry> entries,
uint level, uint depth,
CancellationToken cancellationToken
)
{
var wsScheme = (_baseUri.Scheme == "https" ? "wss" : "ws");
var url = new UriBuilder(_baseUri)
{
Scheme = wsScheme
};
var marketDataToRequest = new MarketDataInfo()
{
Depth = depth,
Entries = entries.ToArray(),
Level = level,
Products = instruments.ToArray()
};
return(new MarketDataWebSocket(marketDataToRequest, url.Uri, AccessToken, cancellationToken));
}
public void SetMarketData(MarketDataInfo marketData)
{
EventType = XEventType.MarketData;
EventData = marketData;
}