Interface IL2OrderBookSnapshot<A, L>

Namespace

Virtufin.Core.Position

Assembly

Virtufin.Core.dll

A full Level-2 depth snapshot: bootstraps (or re-bootstraps) an IL2OrderBook<A, L> wholesale.

public interface IL2OrderBookSnapshot<A, L> where A : IFixedPointAmount where L : IFixedPointAmount

Type Parameters

A

Depth (size) amount type.

L

Level (price) amount type.

Properties

Asks

Ask levels, lowest price first.

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

Property Value

IReadOnlyList<(L Price, A Size)>

Bids

Bid levels, highest price first.

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

Property Value

IReadOnlyList<(L Price, A Size)>

LastUpdateId

The venue's update id for the snapshot.

long LastUpdateId { get; }

Property Value

long