Assembly: T4API.40 (in T4API.40.dll)
public class Depth
Public Class Depth
public ref class Depth
Each market has last trade and bid/offer data available if the exchange provides it. The amount of depth information the API receives, and how frequently it is received is determined by the market subscription levels requested.
Depth is stored in order, from the lowest offer price up to the highest, from the highest bid price down to the lowest.
Not all exchanges provide the same information, e.g. CME only provide the best 5 bids and offers, whereas eCBOT provide all of them (though the server currently restricts this at 20 lines of depth for performance reasons). CME and eCBOT currently provide realtime data, whereas Eurex only provides snapshot data on a regular interval (at least once per second).
Additionally, the implied price information (generated between strategies and outrights) is seperate in eCBOT, but included in the depth on CME.