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MarketDepth

Summary

Access to MarketDepth Ask Entries, Bid Entries and the event at which the market depth gets updated

Signature 

1
public abstract interface MarketDepth

Namespace

cAlgo.API

Examples

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    using System;
    using System.Text;
    using cAlgo.API;
    namespace cAlgo.Indicators
    {
        [Indicator]
        public class MarketDepthIndicator : Indicator
        {
            private MarketDepth _marketDepth;
            public override void Calculate(int index){}
            protected override void Initialize()
            {
              //  Get Market Depth
                _marketDepth = MarketData.GetMarketDepth(Symbol);
              // subscribe to event Updated
                _marketDepth.Updated += MarketDepthUpdated;
            }
            void MarketDepthUpdated()
            {
              // Draw Market Depth Entries in the indicator panel
                var se = new StringBuilder();
                se.Append("Bid");
                se.Append("                              ");
                se.Append("Ask");
              Chart.DrawStaticText("DOM", se.ToString(), VerticalAlignment.Center, HorizontalAlignment.Center, Color.White);
                se.Clear();
                se.AppendLine();
                se.AppendLine();
                foreach (var entry in _marketDepth.BidEntries)
                {
                    double dVolume  = Math.Round(entry.Volume / 1000000.0, 2);
                    string volume = string.Format("{0}{1}", dVolume, "m");
                    double entryPrice = entry.Price;
                    string askText = string.Format("{0}    {1}", entryPrice.ToString("0.00000"), volume);
                    se.AppendLine(askText);
                }
              Chart.DrawStaticText("Bid", se.ToString(), VerticalAlignment.Center, HorizontalAlignment.Center, Color.Red);
                se.Clear();
                se.AppendLine();
                se.AppendLine();
                foreach (var entry in _marketDepth.AskEntries)
                {
                    double dVolume = Math.Round(entry.Volume / 1000000.0, 2);
                    string volume = string.Format("{0}{1}", dVolume, "m");
                    double entryPrice = entry.Price;
                    se.Append("                                    ");
                    string bidText = string.Format("{0}     {1}", entryPrice.ToString("0.00000"), volume);
                    se.AppendLine(bidText);
                }
              Chart.DrawStaticText("Ask", se.ToString(), VerticalAlignment.Center, HorizontalAlignment.Center, Color.Turquoise);
            }
        }
    }

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    using cAlgo.API;
    namespace cAlgo.Indicators
    {
        [Indicator]
        public class Level2 : Indicator
        {
            [Output("BidEntries", LineColor = "Red", PlotType = PlotType.Histogram, Thickness = 5)]
            public IndicatorDataSeries BidResult { get; set; }
            [Output("AskEntries", LineColor = "Blue", PlotType = PlotType.Histogram, Thickness = 5)]
            public IndicatorDataSeries AskResult { get; set; }
            MarketDepth _marketDepth;
            protected override void Initialize()
            {
                _marketDepth = MarketData.GetMarketDepth(Symbol);
                _marketDepth.Updated += OnMarketDepthUpdated;
            }
            void OnMarketDepthUpdated()
            {
                var index = Bars.ClosePrices.Count - 1;
                for (var i = 0; i < _marketDepth.AskEntries.Count; i++)
                    AskResult[index - i] = double.NaN;
              var askNo = 0;
                foreach (var entry in _marketDepth.AskEntries)
                {
                    AskResult[index - askNo] = (-1) * entry.Volume;
                    askNo++;
                }
                for (var i = 0; i < _marketDepth.BidEntries.Count; i++)
                    BidResult[index - i] = double.NaN;
              var bidNo = 0;
                foreach (var entry in _marketDepth.BidEntries)
                {
                    BidResult[index - bidNo] = entry.Volume;
                    bidNo++;
                }
            }
            public override void Calculate(int index){}
        }
    }

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 using cAlgo.API;
 using cAlgo.API.Internals;
 namespace cAlgo
 {
     // This sample shows how to get a symbol market depth and use it
     [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
     public class MarketDepthSample : Indicator
     {
         private int _askNo;
         private int _bidNo;
         private MarketDepth _marketDepth;
         [Output("Bid Entries", LineColor = "Red", PlotType = PlotType.Histogram, Thickness = 5)]
         public IndicatorDataSeries BidResult { get; set; }
         [Output("Ask Entries", LineColor = "Blue", PlotType = PlotType.Histogram, Thickness = 5)]
         public IndicatorDataSeries AskResult { get; set; }
         protected override void Initialize()
         {
             _marketDepth = MarketData.GetMarketDepth(SymbolName);
             _marketDepth.Updated += MarketDepth_Updated; ;
         }
         private void MarketDepth_Updated()
         {
             _askNo = 0;
             _bidNo = 0;
             var index = Bars.ClosePrices.Count - 1;
             for (var i = 0; i < _marketDepth.AskEntries.Count; i++)
                 AskResult[index - i] = double.NaN;
             foreach (var entry in _marketDepth.AskEntries)
             {
                 AskResult[index - _askNo] = (-1) * entry.VolumeInUnits;
                 _askNo++;
             }
             for (var i = 0; i < _marketDepth.BidEntries.Count; i++)
                 BidResult[index - i] = double.NaN;
             foreach (var entry in _marketDepth.BidEntries)
             {
                 BidResult[index - _bidNo] = entry.VolumeInUnits;
                 _bidNo++;
             }
         }
         public override void Calculate(int index)
         {
         }
     }
 }

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 import clr
 clr.AddReference("cAlgo.API")
 from cAlgo.API import *
 import math
 class Test():    
     def initialize(self):
         # Get Market Depth
         self.marketDepth = api.MarketData.GetMarketDepth(api.Symbol)
         # Subscribe to event Updated
         self.marketDepth.Updated += self.on_market_depth_updated
     def on_market_depth_updated(self):
         # Draw Market Depth Entries in the indicator panel
         dom = "Bid                              Ask"
         api.Chart.DrawStaticText("DOM", dom, VerticalAlignment.Center, HorizontalAlignment.Center, Color.White)
         bids = "\n\n"
         for entry in self.marketDepth.BidEntries:
             volume  = round(entry.Volume / 1000000.0, 2)
             bids = f"{bids}\n{entry.Price}    {volume}m"
         api.Chart.DrawStaticText("Bid", bids, VerticalAlignment.Center, HorizontalAlignment.Center, Color.Red)
         asks = "\n\n"
         for entry in self.marketDepth.AskEntries:
             volume = round(entry.Volume / 1000000.0, 2)
             asks = f"{asks}\n                                                                        {entry.Price}     {volume}m"
         api.Chart.DrawStaticText("Ask", asks, VerticalAlignment.Center, HorizontalAlignment.Center, Color.Turquoise)

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 import clr
 clr.AddReference("cAlgo.API")
 from cAlgo.API import *
 import math
 class Test():    
     def initialize(self):
         # Get Market Depth
         self.marketDepth = api.MarketData.GetMarketDepth(api.Symbol)
         # Subscribe to event Updated
         self.marketDepth.Updated += self.on_market_depth_updated
     def on_market_depth_updated(self):
         index = api.Bars.ClosePrices.Count - 1
         # AskResult and BidResult are line outputs of type histogram defined in C# file of indicator 
         for i in range(self.marketDepth.AskEntries.Count):
             api.AskResult[index - i] = float('nan')
         askNo = 0
         for entry in self.marketDepth.AskEntries:
             api.AskResult[index - askNo] = (-1) * entry.Volume
             askNo += 1
         for i in range(self.marketDepth.BidEntries.Count):
             api.BidResult[index - i] = float('nan')
         bidNo = 0
         for entry in self.marketDepth.BidEntries:
             api.BidResult[index - bidNo] = entry.Volume
             bidNo += 1

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 import clr
 clr.AddReference("cAlgo.API")
 from cAlgo.API import *
 from System import Double
 from math import nan
 class MarketDepthSample():
     def initialize(self):
         self.marketDepth = api.MarketData.GetMarketDepth(api.SymbolName)
         self.marketDepth.Updated += self.on_market_depth_updated
     def on_market_depth_updated(self):
         self.askNo = 0
         self.bidNo = 0
         index = api.Bars.ClosePrices.Count - 1
         for i in range(self.marketDepth.AskEntries.Count):
             api.AskResult[index - i] = nan
         for entry in self.marketDepth.AskEntries:
             api.AskResult[index - self.askNo] = (-1) * entry.VolumeInUnits
             self.askNo += 1
         for i in range(self.marketDepth.BidEntries.Count):
             api.BidResult[index - i] = nan
         for entry in self.marketDepth.BidEntries:
             api.BidResult[index - self.bidNo] = entry.VolumeInUnits
             self.bidNo += 1

Properties

AskEntries

Summary

The total number of Ask entries

Signature 

1
public abstract IReadonlyList<MarketDepthEntry> AskEntries {get;}

Return Value

IReadonlyList

Examples

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 foreach (var entry in _marketDepth.AskEntries)
 {
     volume  = entry.VolumeInUnits;
     entryPrice = entry.Price;
 }

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 for entry in self.marketDepth.AskEntries:
     volume  = entry.VolumeInUnits
     entryPrice = entry.Price

BidEntries

Summary

The total number of Bid entries

Signature 

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public abstract IReadonlyList<MarketDepthEntry> BidEntries {get;}

Return Value

IReadonlyList

Examples

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 foreach (var entry in _marketDepth.BidEntries)
 {
     volume  = entry.VolumeInUnits;
     entryPrice = entry.Price;
 }

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 for entry in self.marketDepth.BidEntries:
     volume  = entry.VolumeInUnits
     entryPrice = entry.Price

Events

Updated

Summary

The event at which the market depth gets updated

Signature 

1
public abstract event Action Updated;

Examples

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 MarketDepth _marketDepth;
 protected override void Initialize()
 {
     _marketDepth = MarketData.GetMarketDepth(Symbol);
     // subscribe to event Updated
     _marketDepth.Updated += MarketDepthUpdated;
 }
 // user defined function MarketDepthUpdated
 void MarketDepthUpdated()
 {
     // Do something
 }

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 def initialize(self):
     # Get Market Depth
     self.marketDepth = api.MarketData.GetMarketDepth(api.Symbol)
     # Subscribe to event Updated
     self.marketDepth.Updated += self.on_market_depth_updated
 def on_market_depth_updated(self):
     # Do something
     pass