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;
    }

  }

}