MarketDepth

Summary

Syntax

public interface MarketDepth

Members

Example 1

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");
            ChartObjects.DrawText("DOM", se.ToString(), StaticPosition.TopLeft, Colors.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);
            }
            ChartObjects.DrawText("Bid", se.ToString(), StaticPosition.TopLeft, Colors.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);
            }
            ChartObjects.DrawText("Ask", se.ToString(), StaticPosition.TopLeft, Colors.Turquoise);
            
        }
    }
}   

Example 2

using cAlgo.API;
namespace cAlgo.Indicators
{
    [Indicator]
    public class Level2 : Indicator
    {
        [Output("BidEntries", Color = Colors.Red, PlotType = PlotType.Histogram, Thickness = 5)]
        public IndicatorDataSeries BidResult { get; set; }
        [Output("AskEntries", Color = Colors.Blue, PlotType = PlotType.Histogram, Thickness = 5)]
        public IndicatorDataSeries AskResult { get; set; }
        MarketDepth GBPUSD;
        private int _askNo;
        private int _bidNo;
        protected override void Initialize()
        {
            GBPUSD = MarketData.GetMarketDepth(Symbol);
            GBPUSD.Updated += OnGbpUsdUpdated;
        }
        void OnGbpUsdUpdated()
        {
            _askNo = 0;
            _bidNo = 0;
            var index = MarketSeries.Close.Count - 1;
            for (var i = 0; i < GBPUSD.AskEntries.Count; i++)
                AskResult[index - i] = double.NaN;
            foreach (var entry in GBPUSD.AskEntries)
            {
                AskResult[index - _askNo] = (-1) * entry.Volume;
                _askNo++;
            }
            for (var i = 0; i < GBPUSD.BidEntries.Count; i++)
                BidResult[index - i] = double.NaN;
            foreach (var entry in GBPUSD.BidEntries)
            {
                BidResult[index - _bidNo] = entry.Volume;
                _bidNo++;
            }
        }
        public override void Calculate(int index){}
    }
}