/// <summary>
/// Full Constructor
/// </summary>
/// <param name="tickerId">The ticker Id that was specified previously in the call to reqMktDepth().</param>
/// <param name="position">Specifies the row Id of this market depth entry.</param>
/// <param name="operation">Identifies how this order should be applied to the market depth.</param>
/// <param name="side">Identifies the side of the book that this order belongs to.</param>
/// <param name="price">The order price.</param>
/// <param name="size">The order size.</param>
public UpdateMarketDepthEventArgs(int tickerId, int position, MarketDepthOperation operation, MarketDepthSide side,
decimal price, int size)
{
this.tickerId = tickerId;
this.size = size;
this.price = price;
this.side = side;
this.operation = operation;
this.position = position;
}
/// <summary>
/// Full Constructor
/// </summary>
/// <param name="tickerId">The ticker Id that was specified previously in the call to reqMktDepth().</param>
/// <param name="position">Specifies the row Id of this market depth entry.</param>
/// <param name="operation">Identifies how this order should be applied to the market depth.</param>
/// <param name="side">Identifies the side of the book that this order belongs to.</param>
/// <param name="price">The order price.</param>
/// <param name="size">The order size.</param>
public UpdateMarketDepthEventArgs(int tickerId, int position, MarketDepthOperation operation, MarketDepthSide side,
decimal price, int size)
{
this.tickerId = tickerId;
this.size = size;
this.price = price;
this.side = side;
this.operation = operation;
this.position = position;
}
/// <summary>
/// Full Constructor
/// </summary>
/// <param name="tickerId">The ticker Id that was specified previously in the call to <see cref="IBClient.RequestMarketDepth"/>.</param>
/// <param name="position">Specifies the row id of this market depth entry.</param>
/// <param name="marketMaker">Specifies the exchange hosting this order.</param>
/// <param name="operation">Identifies the how this order should be applied to the market depth.</param>
/// <param name="side">Identifies the side of the book that this order belongs to.</param>
/// <param name="price">The order price.</param>
/// <param name="size">The order size.</param>
public UpdateMarketDepthL2EventArgs(int tickerId, int position, string marketMaker, MarketDepthOperation operation,
MarketDepthSide side, double price, int size)
{
this.tickerId = tickerId;
this.size = size;
this.price = price;
this.side = side;
this.operation = operation;
this.marketMaker = marketMaker;
this.position = position;
}
/// <summary>
/// Full Constructor
/// </summary>
/// <param name="tickerId">The ticker Id that was specified previously in the call to <see cref="IBClient.RequestMarketDepth"/>.</param>
/// <param name="position">Specifies the row id of this market depth entry.</param>
/// <param name="marketMaker">Specifies the exchange hosting this order.</param>
/// <param name="operation">Identifies the how this order should be applied to the market depth.</param>
/// <param name="side">Identifies the side of the book that this order belongs to.</param>
/// <param name="price">The order price.</param>
/// <param name="size">The order size.</param>
public UpdateMarketDepthL2EventArgs(int tickerId, int position, string marketMaker, MarketDepthOperation operation,
MarketDepthSide side, double price, int size)
{
this.tickerId = tickerId;
this.size = size;
this.price = price;
this.side = side;
this.operation = operation;
this.marketMaker = marketMaker;
this.position = position;
}
/// <summary>
/// Raised when New Quote Prices are received
/// </summary>
private void OnUpdateMarketDepth(object sender, UpdateMarketDepthEventArgs eventArgs)
{
try
{
lock (_lock)
{
MarketDepthSide type = eventArgs.Side;
if (type.Equals(MarketDepthSide.Ask))
{
Tick tick = _tickList[eventArgs.TickerId];
_ask.Security.Symbol = tick.Security.Symbol;
_ask.AskSize = eventArgs.Size;
_ask.AskPrice = eventArgs.Price;
_ask.DateTime = DateTime.Now;
if (TickArrived != null)
{
TickArrived(_ask);
}
}
else if (type.Equals(MarketDepthSide.Bid))
{
Tick tick = _tickList[eventArgs.TickerId];
_bid.Security.Symbol = tick.Security.Symbol;
_bid.BidSize = eventArgs.Size;
_bid.BidPrice = eventArgs.Price;
_bid.DateTime = DateTime.Now;
if (TickArrived != null)
{
TickArrived(_bid);
}
}
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "OnUpdateMarketDepth");
}
}
