private static void Symbol_NewLevel2(Symbol symbol, Level2Quote level2, DOMQuote dom)
{
// Snapshot level2 update
if (dom != null)
{
List <Level2Quote> bids = dom.Bids;
List <Level2Quote> asks = dom.Asks;
}
// Incremental level2 update
if (level2 != null)
{
QuotePriceType priceType = level2.PriceType; // Bid or Ask
double price = level2.Price;
double size = level2.Size;
if (level2.Closed)
{
// If level is closed and should be deleted
}
}
// Get market depth info from symbol
var depthOfMarket = symbol.DepthOfMarket.GetDepthOfMarketAggregatedCollections();
}
public static String Level2QuoteToString(Level2Quote quote)
{
return(quote.Quantity + " @ " + quote.Price.ToString(Constants.FORMAT_PRICE));
}
