MBPUpdate

class roq.MBPUpdate

Represents the update status of a single aggregate price level in the order book

__init__(*args, **kwargs)

Overloaded function.

  1. __init__(self: roq.MBPUpdate, arg0: roq.MBPUpdate) -> None

  2. __init__(self: roq.MBPUpdate, price: float = nan, quantity: float = 0.0, implied_quantity: float = nan, number_of_orders: int = 0, update_action: roq.UpdateAction = <UpdateAction.UNDEFINED: 0>, price_level: int = 0) -> None

property implied_quantity

Total implied quantity at price (optional)

property number_of_orders

Number of orders at price (optional)

property price

Price

property price_level

Price level (0-based indexing)

property quantity

Total quantity available at price (zero means remove price level)

property update_action

Type of update action