Discussion of article "Prices in DoEasy library (part 63): Depth of Market and its abstract request class"

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New article Prices in DoEasy library (part 63): Depth of Market and its abstract request class has been published:

In the article, I will start developing the functionality for working with the Depth of Market. I will also create the class of the Depth of Market abstract order object and its descendants.

In this article, I will start implementing the functionality for working with the Depth of Market (DOM). Conceptually, classes for working with DOM will not differ from all previously implemented library classes. At the same time, we will have a mold of DOM featuring data about orders stored in DOM. The data is obtained by the MarketBookGet() function when the OnBookEvent() handler is activated. In case of any change in DOM, an event is activated for each of the symbols in the handler having the active subscription to DOM events.

Thus, the DOM class structure is to be as follows:

  1. DOM order object class — the object describing data of one order out of multiple orders obtained from DOM when OnBookEvent() handler is triggered for one symbol;
  2. DOM mold object class — the object describing data on all orders obtained from DOM simultaneously at a single activation of the OnBookEvent() handler for a single symbol — p1 set of objects making up the current DOM mold;
  3. Timeseries class consisting of the p2 object sequence entered into the timeseries list at each OnBookEvent() activation for a single symbol;
  4. Timeseries collection class of DOM data of all used symbols with enabled subscription to DOM events.

Today I will implement the order object class (1) and test obtaining DOM data when OnBookEvent() is activated for the current symbol.

Author: Artyom Trishkin