The market depth of a financial instrument is a chronological list of data on buyers and sellers in the market. The buyers list is a list of prices and their respective quantities at which the buyers are willing to buy the instrument for. Similarly, the sellers list is a list of prices and their respective quantities at which the sellers are willing to sell the instrument for. If you are new to the concept of market depth, the explanation in the How it works… section of this recipe will give you more clarity.
Market depth helps in predicting where the price of an instrument is heading. It also helps to understand whether an order with a large quantity can change the price significantly or not. Market depth is dynamic in nature, meaning it changes constantly during the live trading hours. This recipe helps find out the market depth of a financial instrument in real time.
Getting ready
Make sure the broker_connection and instrument1 objects...
