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){}
	    }
	}

Example 3

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)
        {
        }
    }
}