File: WebAPI/market_data_2.proto
Real time data delivery.
Note: Snapshot is sent as the first message after subscription and may appear periodically when subscribed.
Type: uint32
Description: Contract ID assigned by server.
Source: metadata_2.ContractMetadata.contract_id.
Type: Quote
Description: Contract quotes.
Note: DOM is updated by new volumes per price. Zero volume is used to clean this price record from DOM. Snapshot quotes have no indicators, except INDICATOR_PAST for quotes that belong to the previous trading day. If is_snapshot=False, contains new quotes for the contract. If is_snapshot=True, contains one last quote of each type (best ask, best bid, trade and settlement). If MarketDataSubscription.include_past_quotes=False, includes last quotes for most recent trading day or new day in pre-open. If MarketDataSubscription.include_past_quotes=True, includes last quotes for last N trading days or new day in pre-open. N by default equals to 7 and can’t be changed by client. Contact customer support if you want to increase this value. If you need to get last settlement, prefer to use message MarketValues because it contains trade_date.
Type: sint64
Description: Trading day the quotes belong to.
Type: Quote
Description: Contract correction quotes.
Note: If correction affects fields of MarketValues, and MarketValues for affected trading day was sent in the snapshot (see MarketDataSubscription.include_past_market_values), then a separate update for MarketValues will be sent.
Type: bool
Description: Note: True if this is a snapshot (all previously known quotes, market values, detailed DOM, market state for this contract should be cleaned).
Type: uint32
Description: Collapsing level that was applied by server.
Note: NONE if the field is omitted.
Source: user_session_2.RealTimeCollapsingLevel.
Type: MarketValues
Description: Market values of a contract (e.g., Open/High/Low/Last) for several past trading days.
Note: Present in snapshots and in updates if some values are changed (only changed values are included in updates).
Type: DetailedDOM
Description: Detailed Combined DOM for MarketDataSubscription.Level.LEVEL_TRADES_BBA_DETAILED_DOM subscription level.
Type: RFQ
Description: List of RFQs.
Note: Never presents in snapshots, can be provided in updates only.
Type: MarketState
Description: Specifies the current market state.
Note: Not all contracts provide such data.
Received on subscription and in updates if the state is changed.
Type: double
Description: Scale to convert scaled_* prices of RealTimeMarketData and its submessages to correct prices, most of the time same as metadata_2.ContractMetadata.correct_price_scale with possible exception of short periods between metadata change notifications and real-time data snapshots.
See: RealTimeMarketData, metadata_2.ContractMetadata.
Note: Set in snapshots only, if missing, use the previous one.