Hello, I have a strategy where I access the market depth. In OnMarketDepth I get the MarketDepth object of the instrument which already contains the entire order book so it saves me from making it from scratch. I save this as a snapshot of the order book on every OnMarketDepth update. The only problem is the MarketDepth object is usually a few updates ahead of OnMarketDepth so I end up saving the same MarketDepth object sometimes 20+ times while OnMarketDepth catches up.
Are there events ONLY for when the MarketDepth object is updated? I had a look through the code multiple times but couldn't find anything like that. I can always build my own order book from OnMarketDepth events but this seems less efficient, as the MarketDepth object seems to get multiple updates at once in the space of a single OnMarketDepth event, then gets nothing for multiple OnMarketDepth events as OnMarketDepth catches up. So it seems monitoring MarketDepth is more efficient as there would be much less events overall.
Are there events ONLY for when the MarketDepth object is updated? I had a look through the code multiple times but couldn't find anything like that. I can always build my own order book from OnMarketDepth events but this seems less efficient, as the MarketDepth object seems to get multiple updates at once in the space of a single OnMarketDepth event, then gets nothing for multiple OnMarketDepth events as OnMarketDepth catches up. So it seems monitoring MarketDepth is more efficient as there would be much less events overall.
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