1) What does Operation.Remove and Operation.Insert mean? Does this mean limit orders being removed or added?
2) Can you confirm Position of 0 refers to the best bid/offer.
3) What if I use both OnMarketData and OnMarketDepth and the top most bid updates. Do both OnMarkeData and OnMarketDepth get called? So if I wanted to handle all limit order data in OnMarketDepth, could I write:
if (e.MarketDataType == MarketDataType.Bid) { return; }
then under OnMarketDepth write:
if (e.MarketDataType == MarketDataType.Bid && e.Position == 0 && e.Operation == Operation.Update) { //do stuff}
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