MarketByPrice

class roq.utils.mbp.MarketByPrice

Maintains order book (by price) state

__init__(self: roq.utils.mbp.MarketByPrice, exchange: str = '', symbol: str) → None

apply(self: roq.utils.mbp.MarketByPrice, arg0: roq.MarketByPriceUpdate) → None

Apply an update

clear(self: roq.utils.mbp.MarketByPrice) → None

Reset state

extract(self: roq.utils.mbp.MarketByPrice, arg0: int) → list

Extract best levels from book