pulling and stacking

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mdtrader
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pulling and stacking

Post by mdtrader » Thu Jul 25, 2019 10:50 am

How can I get access to the pulled and stacked orders in the book around a pricelevel?
I need to see how much is pulled and how much is stacked, say +/- 5 levels from the actual price.
Is where any example to do this and what is a workaround to do this?

Thanks

AndreyR
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Re: pulling and stacking

Post by AndreyR » Wed Jul 31, 2019 11:56 am

You can use DepthListener of the Simplified interface. Use depth updates to fill your own orderBook and to track levels sizes changing around best bid/ask

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