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: 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