Support Board
Date/Time: Sat, 01 Mar 2025 16:00:47 +0000
Post From: API Sample for Receiving Denali MBO data in real-time
| [2021-10-01 20:40:36] |
| Sierra123 - Posts: 27 |
|
I have reviewed what I could find in the sample code and online documentation but not yet found what I am looking for. I see the functions such as sc.GetBidMarketLimitOrdersForPrice, which I can query to find out what is already added to the order book. I want to be able to access the info earlier. I want to develop logic that continually watches for every add, change, and delete message that comes from the Denali feed for the orderbook, and manage my own internal structure of the orderbook. For example, while (x=ReceiveOrderBookEntry) { if (x.type == ADD) { manage ADD Operation } else if (x.type == CHANGE) { manage CHANGE Operation (e.g. price or size change) } else if (x.type == DELETE) { manage DELETE operation; } } I assume each order message would contain at least the following: orderID size price bid/ask Can you direct me to the appropriate APIs and / or sample code? |