C# Class FastQuant.OrderBookAggr

显示文件 Open project: fastquant/fastquant.dll

Public Methods

Method	Description
GetAskVolume ( ) : int
GetAvgAskPrice ( ) : double
GetAvgBidPrice ( ) : double
GetBidVolume ( ) : int
GetLevel2Snapshot ( List providers = null ) : Level2Snapshot
GetQuote ( int level ) : Quote
OrderBookAggr ( int instrumentId ) : System

Private Methods

Method	Description
GetAvgTickPrice ( IEnumerable ticks ) : double
GetTickVolume ( IEnumerable ticks ) : int
OnLevel2 ( Level2Snapshot l2s ) : void
OnLevel2 ( Level2Update l2u ) : void
method_3 ( ) : void
method_7 ( List providers = null ) : void

Method Details

GetAskVolume() public method

public GetAskVolume ( ) : int
return	int

GetAvgAskPrice() public method

public GetAvgAskPrice ( ) : double
return	double

GetAvgBidPrice() public method

public GetAvgBidPrice ( ) : double
return	double

GetBidVolume() public method

public GetBidVolume ( ) : int
return	int

GetLevel2Snapshot() public method

public GetLevel2Snapshot ( List providers = null ) : Level2Snapshot
providers	List
return	Level2Snapshot

GetQuote() public method

public GetQuote ( int level ) : Quote
level	int
return	Quote

OrderBookAggr() public method

public OrderBookAggr ( int instrumentId ) : System
instrumentId	int
return	System