Namespace DxFeed.Graal.Net.Events.Market
Classes
- AnalyticOrder
Represents an extension of Order introducing analytics information, e.g. adding to this order iceberg related information (IcebergPeakSize, IcebergHiddenSize, IcebergExecutedSize). The collection of analytic order events of a symbol represents the most recent analytic information that is available about orders on the market at any given moment of time.
For more details see Javadoc.
- MarketEvent
Abstract base class for all market events. All market events are objects that extend this class. Market event classes are simple beans with setter and getter methods for their properties and minimal business logic. All market events have EventSymbol property that is defined by this class.
For more details see Javadoc.
- MarketEventSymbols
Helper class to compose and parse symbols for market events.
Regional symbols
Regional symbol subscription receives events only from a designated exchange, marketplace, or venue instead of receiving composite events from all venues (by default). Regional symbol is composed from a base symbol, ampersand character ('&'), and an exchange code character. For example,
- "SPY" is the symbol for composite events for SPDR S&P 500 ETF from all exchanges,
- "SPY&N" is the symbol for event for SPDR S&P 500 ETF that originate only from NYSE marketplace.
Symbol attributes
Market event symbols can have a number of attributes attached to then in curly braces with "<key>=<value>" paris separated by commas. For example,
- "SPY{price=bid}" is the market symbol "SPY" with an attribute key "price" set to value "bid".
- "SPY(=5m,tho=true}" is the market symbol "SPY" with two attributes. One has an empty key and value "5m", while the other has key "tho" and value "true".
For more details see Javadoc.
- OptionSale
Option Sale event represents a trade or another market event with the price (for example, market open/close price, etc.) for each option symbol listed under the specified Underlying. Option Sales are intended to provide information about option trades in a continuous time slice with the additional metrics, like Option Volatility, Option Delta, and Underlying Price.
Option Sale events have unique Index which can be used for later correction/cancellation processing.
For more details see Javadoc.
- Order
Order event is a snapshot for a full available market depth for a symbol. The collection of order events of a symbol represents the most recent information that is available about orders on the market at any given moment of time. Order events give information on several levels of details, called scopes - see Scope. Scope of an order is available via Scopeproperty.
For more details see Javadoc.
- OrderBase
Base class for common fields of Order, AnalyticOrder and SpreadOrder events. Order events represent a snapshot for a full available market depth for a symbol. The collection of order events of a symbol represents the most recent information that is available about orders on the market at any given moment of time.
Order event represents market depth for a specific symbol.
AnalyticOrder event represents market depth for a specific symbol extended with an analytic information, for example, whether particular order represent an iceberg or not.
SpreadOrder event represents market depth for all spreads on a given underlying symbol.
For more details see Javadoc.
- OrderSource
Identifies source of Order, AnalyticOrder and SpreadOrder events.
- Synthetic sources COMPOSITE_BID, COMPOSITE_ASK, REGIONAL_BID and REGIONAL_ASK are provided for convenience of a consolidated order book and are automatically generated based on the corresponding Quote events.
- Aggregate sources AGGREGATE_BID and AGGREGATE_ASK provide futures depth (aggregated by price level) and NASDAQ Level II (top of book for each market maker). These source cannot be directly published to via dxFeed API.
- IsPublishable(Type) sources DEFAULT, NTV and ISE support full range of dxFeed API features.
- OtcMarketsOrder
Represents an extension of Order for the symbols traded on the OTC Markets. It includes the OTC Markets specific quote data. For more information about original fields, QAP, Quote Flags and Extended Quote Flags, see OTC Markets Multicast Data Feed.
- Profile
Profile information snapshot that contains security instrument description. It represents the most recent information that is available about the traded security on the market at any given moment of time.
For more details see Javadoc.
- Quote
Quote event is a snapshot of the best bid and ask prices, and other fields that change with each quote. It represents the most recent information that is available about the best quote on the market at any given moment of time.
For more details see Javadoc.
- SpreadOrder
Spread order event is a snapshot for a full available market depth for all spreads on a given underlying symbol. The collection of spread order events of a symbol represents the most recent information that is available about spread orders on the market at any given moment of time.
Spread order is similar to a regular Order, but it has a SpreadSymbol property that contains the symbol of the actual spread that is being represented by spread order object. EventSymbol property contains the underlying symbol that was used in subscription.
For more details see Javadoc.
- Summary
Summary information snapshot about the trading session including session highs, lows, etc. It represents the most recent information that is available about the trading session in the market at any given moment of time.
For more details see Javadoc.
- TimeAndSale
Time and Sale represents a trade or other market event with price, like market open/close price, etc. Time and Sales are intended to provide information about trades in a continuous time slice (unlike Trade events which are supposed to provide snapshot about the current last trade).
Time and Sale events have unique Index which can be used for later correction/cancellation processing.
For more details see Javadoc.
- Trade
Trade event is a snapshot of the price and size of the last trade during regular trading hours and an overall day volume and day turnover. It represents the most recent information that is available about the regular last trade on the market at any given moment of time.
For more details see Javadoc.
- TradeBase
Base class for common fields of Trade and TradeETH events. Trade events represent the most recent information that is available about the last trade on the market at any given moment of time.
For more details see Javadoc.
- TradeETH
TradeETH event is a snapshot of the price and size of the last trade during extended trading hours and the extended trading hours day volume and day turnover. This event is defined only for symbols (typically stocks and ETFs) with a designated extended trading hours (ETH, pre market and post market trading sessions). It represents the most recent information that is available about ETH last trade on the market at any given moment of time.
For more details see Javadoc.
Enums
- Direction
Direction of the price movement. For example tick direction for last trade price.
For more details see Javadoc.
- IcebergType
Type of an iceberg order.
- OrderAction
Action enum for the Full Order Book (FOB) Orders. Action describes business meaning of the Order event: whether order was added or replaced, partially or fully executed, etc.
- OtcMarketsPriceType
Type of prices on the OTC Markets.
Please see OTC Markets Data Display Requirements
- PriceType
Type of the price value.
- Scope
Scope of an order.
- ShortSaleRestriction
Short sale restriction on an instrument.
- TimeAndSaleType
Type of a time and sale event.
For more details see Javadoc.
- TradingStatus
Trading status of an instrument.