Interface IL2OrderBookDiff<A, L>

Namespace

Virtufin.Core.Position

Assembly

Virtufin.Core.dll

A Level-2 depth diff: a set of price-level mutations to apply on top of an IL2OrderBook<A, L>. A size of zero removes the level.

public interface IL2OrderBookDiff<A, L> where A : IFixedPointAmount where L : IFixedPointAmount

Type Parameters

A

Depth (size) amount type.

L

Level (price) amount type.

Properties

Asks

Ask-level mutations.

IReadOnlyList<(L Price, A Size)> Asks { get; }

Property Value

IReadOnlyList<(L Price, A Size)>

Bids

Bid-level mutations.

IReadOnlyList<(L Price, A Size)> Bids { get; }

Property Value

IReadOnlyList<(L Price, A Size)>

FirstUpdateId

The venue's first update id covered by this diff.

long FirstUpdateId { get; }

Property Value

long

LastUpdateId

The venue's final (last) update id covered by this diff.

long LastUpdateId { get; }

Property Value

long