MBPUpdate¶

class roq.MBPUpdate¶

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

__init__(*args, **kwargs)¶

Overloaded function.

__init__(self: roq.MBPUpdate, arg0: roq.MBPUpdate) -> None
__init__(self: roq.MBPUpdate, price: typing.SupportsFloat = nan, quantity: typing.SupportsFloat = 0.0, implied_quantity: typing.SupportsFloat = nan, number_of_orders: typing.SupportsInt = 0, update_action: roq.UpdateAction = <UpdateAction.UNDEFINED: 0>, price_level: typing.SupportsInt = 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