Struct OrderBook

Namespace: WhalesSecret.TradeScriptLib.Entities.MarketData

Assembly: WhalesSecret.TradeScriptLib.dll

Immutable L2 order book snapshot for particular SymbolPair on an exchange.

public readonly struct OrderBook : IEquatable<OrderBook>

Implements: IEquatable<OrderBook>

Inherited Members: object.Equals(object, object)

object.GetType()

object.ReferenceEquals(object, object)

Extension Methods: LogExtensions.ToBoundedString(object?, int, bool)

Remarks

In rare situations, the bid price might be higher than the ask price. In such situation, the order book information is provided as is without any attempt to fix the bug.

Constructors

OrderBook(ExchangeSymbolPair, long, DateTime, IReadOnlyList<OrderBookEntry>, IReadOnlyList<OrderBookEntry>): Creates a new instance of the object.

Properties

Asks: List of asks.

Bids: List of bids.

ExchangeMarket: Exchange market where the symbol pair is traded.

ExchangeSymbolPair: Exchange market where SymbolPair is traded and the order book snapshot comes from.

LastUpdate: UTC time when the latest piece of information for this instance was received.

LastUpdateId: ID of the last applied order book update to this order book snapshot.

Spread: Bid-ask spread: Difference between the ask price and the bid price, or null if either the bid side or the ask side of the order book is empty.

SymbolPair: Order book's symbol pair.

Methods

Equals(object?): Indicates whether this instance and a specified object are equal.

Equals(OrderBook): Indicates whether the current object is equal to another object of the same type.

GetEstimatedRawUpperBoundarySize(): Returns a quick estimation on the upper boundary of the raw size of the update in JSON serialized form.

GetHashCode(): Returns the hash code for this instance.

ToFullString()

Creates a fully detailed string representation of the order book update.

This is a helper method for debugging purposes only.

ToString(): Returns the fully qualified type name of this instance.

Operators

operator ==(OrderBook, OrderBook): Determines whether two specified order books have the same value.

operator !=(OrderBook, OrderBook): Determines whether two specified order books have different values.