Depth of market data

admin
15 Nov 2012, 14:34

It is already on Spotware cAlgo where you can test it and it is due for release on all the other broker platforms very soon.

You can use  MarketDepth and MarkeData interfaces  to access Depth of Market for various symbols.

For instance:

        private MarketDepth GBPUSD;
        private MarketDepth _md;

        protected override void Initialize()
        {            
            _md = MarketData.GetMarketDepth("EURUSD");
            GBPUSD = MarketData.GetMarketDepth(Symbol);
            GBPUSD.Updated += OnGbpUsdUpdated;
        }

        void OnGbpUsdUpdated()
        {
            // Implement this function according to what you want to do 
            // when the Depth of Market gets updated
        }