Support Board

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SCSFExport scsf_MarketLimitOrdersForPriceExample(SCStudyInterfaceRef sc)

{

if (sc.SetDefaults)

{

// Set the configuration and defaults



sc.GraphName = "MarketLimitOrdersForPrice Example";



sc.AutoLoop = 0;

return;

}





// Do data processing

int BidNumLevels = sc.GetBidMarketDepthNumberOfLevels();

int AskNumLevels = sc.GetAskMarketDepthNumberOfLevels();



const int NumberOfMarketOrderDataElements = 20;

n_ACSIL::s_MarketOrderData MarketOrderData[NumberOfMarketOrderDataElements];



for (int LevelIndex = 0; LevelIndex < BidNumLevels; LevelIndex++)

{

s_MarketDepthEntry MarketDepthEntry;

sc.GetBidMarketDepthEntryAtLevel(MarketDepthEntry, LevelIndex);



int ActualLevels = sc.GetBidMarketLimitOrdersForPrice(sc.Round(MarketDepthEntry.Price / sc.TickSize), NumberOfMarketOrderDataElements, MarketOrderData);



for (int OrderDataIndex = 0; OrderDataIndex < ActualLevels; OrderDataIndex++)

{

uint64_t OrderID = MarketOrderData[OrderDataIndex].OrderID;

t_MarketDataQuantity MarketDataQuantity = MarketOrderData[OrderDataIndex].OrderQuantity;

}



}



for (int LevelIndex = 0; LevelIndex < AskNumLevels; LevelIndex++)

{

s_MarketDepthEntry MarketDepthEntry;

sc.GetAskMarketDepthEntryAtLevel(MarketDepthEntry, LevelIndex);



int ActualLevels = sc.GetAskMarketLimitOrdersForPrice(sc.Round(MarketDepthEntry.Price / sc.TickSize), NumberOfMarketOrderDataElements, MarketOrderData);



for (int OrderDataIndex = 0; OrderDataIndex < ActualLevels; OrderDataIndex++)

{

uint64_t OrderID = MarketOrderData[OrderDataIndex].OrderID;

t_MarketDataQuantity MarketDataQuantity = MarketOrderData[OrderDataIndex].OrderQuantity;

}



}



}