MarketDepthSubscribe(DepthBuffer, DepthLevels) Method

public void DepthSubscribe(
	DepthBuffer penBuffer,
	DepthLevels penLevels
)

Public Sub DepthSubscribe ( 
	penBuffer As DepthBuffer,
	penLevels As DepthLevels
)

Parameters

penBuffer  DepthBuffer

The subscription buffering.

penLevels  DepthLevels

The depth levels needed.

To subscribe to a market you need to specify a buffering value (how frequently you want updates) and the amount of depth levels you want.

Due to the massive volume of depth updates that the exchanges generate it is HIGHLY recommended that the Smart or SlowSmart buffer levels are used. Both of these use variable speed buffers to send changes to the best bid/offer or last trade out rapidly while only sending out updates off the market less frequently.

It is also recommended that the DepthLevels be kept to the minimum needed, though All will only send out a maximum of 20 lines of depth at the moment.

To unsubscribe from a market specify DepthBuffer::NoSubscription.

Reference