File: WebAPI/historical_2.proto
Time and sales report.
Requests: TimeAndSalesRequest.
Type: uint32
Description: ID of a corresponding request.
Source: TimeAndSalesRequest.request_id.
Type: uint32
Description: Source: TimeAndSalesReport.ResultCode.
Type: market_data_2.Quote
Description: List of the requested Time and Sales as quotes.
Note: In order to simplify linking of T&S with real time quotes by a client server will atomically include all quotes with the same time-stamp into T&S without splitting the group.
Type: market_data_2.Quote
Description: List of corrections.
Type: int64
Description: Time up to which the quotes were included in this report.
Note: If there were several quotes with the same time-stamp equal to this time then all are included in the report (UTC). This time is set only for ‘up-to-current’ requests.
Type: bool
Default: true
Description: Note: True means that requested data is complete at the moment, false means more report messages are expected for completeness.
Type: string
Description: Optional failure details.
Type: shared_1.Text
Description: Optional failure details.
Type: bool
Description: Request contains dates partially outside of allowed historical data depth.
Type: bool
Description: Off Market trade quotes are included.
Note: Always False if the user didn’t request Off Market trades.
Type: bool
Description: Trade attributes are included.
Note: Always False if user didn’t request trade attributes.
Description: Result code.
•RESULT_CODE_SUCCESS = 0
Request is processed successfully.
•RESULT_CODE_DROPPED = 2
The request is dropped by the client.
•RESULT_CODE_DISCONNECTED = 4
Request processing status that indicates that currently processing is impossible because of communication issues.
Note: Clients should not resend requests in this case, the server will restore processing with sending RESULT_CODE_SUCCESS status once communication issues are resolved. If the client is not interested in this request any longer it should send REQUEST_TYPE_DROP request.
•RESULT_CODE_FAILURE = 101
General failure.
•RESULT_CODE_ACCESS_DENIED = 103
The user is not allowed to access this instrument data.
•RESULT_CODE_NOT_FOUND = 104
Requested information is not found.
•RESULT_CODE_OUTSIDE_ALLOWED_RANGE = 105
Requested data is outside of the allowed range.
•RESULT_CODE_ACTIVE_REQUESTS_LIMIT_VIOLATION = 106
The limit of the active historical requests has been violated.
•RESULT_CODE_REQUEST_RATE_LIMIT_VIOLATION = 107
The request rate limit has been violated.
•RESULT_CODE_NOT_SUPPORTED = 110
T&S request is not supported for specified contract.
•RESULT_CODE_INVALID_PARAMS = 111
Parameters of a T&S request are invalid.