File: WebAPI/market_data_2.proto
Market data values of a contract.
Note: The market values are sent after subscription and when there are changes not reflected in quotes. Market values do not duplicate the updates sent as quotes. E.g. customers are expected to maintain total_volume, tick_volume and OHLC based on quotes and quote indicators. If both quotes and market_values are sent in a single RealTimeMarketData update (is_snapshot=False), then the order of applying quotes and market_values to a user snapshot doesn’t matter.
Type: sint64
Description: First price among all tick types from ContractMetadata.bar_building_tick_types.
Type: sint64
Description: Highest price among all tick types from ContractMetadata.bar_building_tick_types.
Type: sint64
Description: Lowest price among all tick types from ContractMetadata.bar_building_tick_types.
scaled_last_price (deprecated)
Type: sint64
Description: Note: Left for backward compatibility. Sometimes we provide in this field ‘scaled_close_price’, sometimes - ‘scaled_last_price_no_settlement’. Use ‘scaled_last_price_no_settlement’/‘scaled_close_price’ instead.
Type: sint64
Description: Close price.
Note: Details can be found in enum CloseSource and field ContractMetadata.close_sources from metadata_2.proto file. Contains any last received price, including settlement price.
scaled_last_price_no_settlement
Type: sint64
Description: Latest price among all tick types from metadata_2.ContractMetadata.bar_building_tick_types, except for metadata_2.ContractMetadata.bar_building_tick_types.BAR_BUILDING_TICK_TYPE_SETTLEMENT.
Note: Settlements don’t affect last_price. Contains any last received price, excluding settlement price. May not be available for delayed data.
Type: sint64
Description: Exchange close price.
Note: May not be available for delayed data.
Type: sint64
Description: Yesterday settlement price.
Note: Available for current trading day only.
scaled_total_volume (deprecated)
Type: uint64
Description: Note: Use ‘total_volume’ instead.
Type: cqg.Decimal
Description: Contract total volume.
scaled_yesterday_last (deprecated)
Type: sint64
Description: Yesterday last price.
Note: Available for current trading day only. Left for backward compatibility. Sometimes this field contains scaled yesterday close price, sometimes - scaled yesterday last. Use MarketValues with day_index=-1 and ‘scaled_last_price_no_settlement’/‘scaled_close_price’ instead.
Type: sint64
Description: Indicative open price.
Note: May not be available for delayed data.
scaled_indicative_open_volume (deprecated)
Type: uint64
Description: Note: Use ‘indicative_open_volume’ instead. May not be available for delayed data.
Type: cqg.Decimal
Description: Indicative open volume. Note: May not be available for delayed data.
Type: sint32
Description: Day index the market values are related to.
Note: 0 - most recent trading day, -1 - trading day before most recent trading day, etc. When new trading day starts, WebAPI sends real-time market data snapshot.
scaled_open_interest (deprecated)
Type: sint64
Description: Note: Use ‘open_interest’ instead.
Type: cqg.Decimal
Description: Open interest.
Type: uint32
Description: Contract tick volume.
Type: sint64
Description: Settlement price.
Type: sint64
Description: Marker price. Also known as PTMMM, Pre-Trade Mid-Market Mark.
Note: For cryptocurrency contracts it contains mark price. May not be available for delayed data.
Type: sint64
Description: Last trade price.
Type: cqg.Decimal
Description: Last trade volume.
Type: google.protobuf.Timestamp
Description: Time of the last trade (UTC).
Note: Has accuracy of a minute or higher.
Type: uint32
Description: Identifiers of fields being cleared.
Note: It also specifies to clear corresponding yield values in market_yields.
Type: sint64
Description: Trading date the market values belong to.
Type: uint32
Description: Session index the market values are related to.
Note: 0 - first session of the day, 1 - second session of the day, etc.
Type: MarketYields
Description: Market yields.
Note: Included if subscribed and the contract support yields.
Type: sint64
Description: Currency price used to calculate scaled prices in this message.
Note: correct_price_scale from currency rate contract should be used to get correct price.