File: WebAPI/market_data_2.proto
Specific quote information.
RealTimeMarketData, TimeAndSalesReport
Type: uint32
Description: Source: Quote.Type.
Type: sint64
Description: Time of the quote (UTC).
Note: If time of first quote is not specified quote_utc_times are unknown. Settlement quotes may not have quote_utc_time(even if past_quotes_included=True). If time of snapshot quotes is required, subscribe with include_past_quotes(subscription may be slower). If MarketDataSubscriptionStatus returned with flag past_quotes_included, quotes shall contain valid quote_utc_time. quote_utc_time is set if the time of this quote is different from the previous one in the list of quotes. Several RealTimeMarketData messages can be sent with the same quote_utc_time.
Type: sint64
Description: Quote price.
Type: sint64
Description: Source contract quote price. See MarketDataSubscription.include_source_prices.
Note: correct_price_scale from source contract metadata should be used to convert scaled_source_price to correct source price. For Flat and Basis contracts there is no source contract. In this case, use correct_price_scale from this contract metadata to convert scaled_source_price to correct source price. However, scaled_source_price may be imprecise with error up to half a tick due to rounding. Use Price or NetBasis contributor parameters in contract metadata to get precise correct source price.
Type: double
Description: Yield
See: MarketDataSubscription.include_yields.
Note: Included if subscribed and the contract support yields.
Type: uint64
Description: Note: Use ‘volume’ instead.
Type: cqg.Decimal
Description: Quote volume.
Note: Not set if volume is unknown or if volumes were not requested (see MarketDataSubscription.Level.LEVEL_TRADES_BBA for example). Zero volume indicates that the quote has been cleared. It is included even if volumes were not requested.
Type: uint32
Description: Source: Quote.Indicator.
Type: uint32
Description: Source: Quote.SalesCondition.
Type: TradeAttributes
Description: Trade attributes.
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.
Type: sint64
Description: Premium that was added to the quote price.
Note: It is rounded to the tick size. correct_price_scale should be used to get premium in correct price format. Premium is calculated as a percent of quote price for bid and ask quotes. scaled_price already includes premium!
Description: Type of the quote.
•TYPE_TRADE = 0
Trade quote.
•TYPE_BESTBID = 1
Combined DOM Best bid quote.
Note: Best bid/ask quotes are not guaranteed to be consistent with bid/ask quotes in the short term. Thus, best bid/ask quotes must not be used to update DOM.
•TYPE_BESTASK = 2
Combined DOM Best ask quote.
See: TYPE_BESTBID.
•TYPE_BID = 3
Combined DOM Bid quote (DOM level).
•TYPE_ASK = 4
Combined DOM Ask quote (DOM level).
•TYPE_SETTLEMENT = 5
Settlement quote.
•TYPE_IMPLIED_BID = 10
Implied Bid quote (For DOM and DetailedDOM level and DOM subscription type that includes Implied DOM).
•TYPE_IMPLIED_ASK = 11
Implied Ask quote (For DOM and DetailedDOM level and DOM subscription type that includes Implied DOM).
Description: Optional indicator(s) (e.g., this quote also updates some of Open/High/Low/Last prices for the current trading day).
•INDICATOR_OPEN = 1
Price of this quote is a new open price of the contract for the current trading day.
•INDICATOR_HIGH = 2
Price of this quote is a new high price of the contract for the current trading day.
•INDICATOR_LOW = 3
Price of this quote is a new low price of the contract for the current trading day.
•INDICATOR_LAST = 4
Price of this quote is a new last price of the contract for the current trading day (corresponds to MarketValues.scaled_last_price_no_settlement). Contains any last received price, excluding settlement price.
•INDICATOR_CLOSE = 11
Price of this quote is a new close price of the contract for the current trading day. Contains any last received price, including settlement price.
•INDICATOR_PAST = 5
This quote doesn’t belong to the current trading day.
•INDICATOR_FALL_BACK_TO_TRADE_OR_SETTLEMENT = 6
Quote is generated from another one.
Note: E.g. for contracts with PricingFallBack OTC contributor parameter set to 1 if there is no best ask, but there is a trade, trade price is sent as a best ask with this indicator along with the trade.
•INDICATOR_INSERTION = 7
Quote is insertion correction. Settlement insertion is a part of RealTimeMarketData.quotes, insertion of other quote types - part of RealTimeMarketData.corrections.
•INDICATOR_DELETION = 8
Quote is deletion correction. Used only when Quote is a part of RealTimeMarketData.corrections.
•INDICATOR_OFF_MARKET = 9
This is an Off Market quote, it does not affect MarketValues and is not used in bar updating. Can affect volume in some cases, but in this case WebAPI provides a separate MarketValues update. So, clients do not need to apply it themselves.
•INDICATOR_CURRENCY_RATE_CHANGED = 10
Quote is caused by change in currency conversion price.
Note: Applicable only for best bid and best ask quotes.
Description: Optional sales condition of the quote.
•SALES_CONDITION_HIT = 1
Hit trade.
•SALES_CONDITION_TAKE = 2
Take trade.
•SALES_CONDITION_SPREAD_LEG = 3
One leg of a spread.
•SALES_CONDITION_BUY_SIDE_AGGRESSOR = 4
The market participant was the originator of the transaction.
Note: He completes trade on buy with price matched by latest Best Ask price.
•SALES_CONDITION_SELL_SIDE_AGGRESSOR = 5
The market participant was the originator of the transaction.
Note: He completes trade on sell with price matched by latest Best Bid price.