This function is called when the Level II market depth changes.
Sub updateMktDepthL2(ByVal id As Integer, ByVal position As Integer, ByVal marketMaker As String, ByVal operation As Integer, ByVal side As Integer, ByVal price As Double, ByVal size As Integer)
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Parameter |
Description |
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id |
The ticker ID that was specified previously in the call to reqMktDepth() |
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position |
Specifies the row id of this market depth entry. |
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marketMaker |
Specifies the exchange hosting this order. |
|
operation |
Identifies the how this order should be applied to the market depth. Valid values are: · 0 = insert (insert this new order into the row identified by 'position')· · 1 = update (update the existing order in the row identified by 'position')· · 2 = delete (delete the existing order at the row identified by 'position') |
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side |
Identifies the side of the book that this order belongs to. Valid values are: · 0 = ask · 1 = bid |
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price |
The order price. |
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size |
The order size. |