Sha256: 561ee30d1ae4538258d1a315c13e884294b42aebf1181fdbd879aea722d847c9
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Size: 1.54 KB
Versions: 27
Compression:
Stored size: 1.54 KB
Contents
module IB
module Messages
module Incoming
MarketDepth =
def_message 12, [:request_id, :int],
[:position, :int], # The row Id of this market depth entry.
[:operation, :int], # How it should be applied to the market depth:
# 0 = insert this new order into the row identified by :position
# 1 = update the existing order in the row identified by :position
# 2 = delete the existing order at the row identified by :position
[:side, :int], # side of the book: 0 = ask, 1 = bid
[:price, :decimal],
[:size, :int]
class MarketDepth
def side
@data[:side] == 0 ? :ask : :bid
end
def operation
@data[:operation] == 0 ? :insert : @data[:operation] == 1 ? :update : :delete
end
def to_human
"<#{self.message_type}: #{operation} #{side} @ "+
"#{position} = #{price} x #{size}>"
end
end
MarketDepthL2 =
def_message 13, MarketDepth, # Fields descriptions - see above
[:request_id, :int],
[:position, :int],
[:market_maker, :string], # The exchange hosting this order.
[:operation, :int],
[:side, :int],
[:price, :decimal],
[:size, :int]
end # module Incoming
end # module Messages
end # module IB
Version data entries
27 entries across 27 versions & 3 rubygems