File: WebAPI/historical_2.proto
Parameters of a time bar request.
Type: uint32
Description: Contract ID for a bar request. If the contract is a synthetic strategy, the request provides Spread Bars.
Source: metadata_2.ContractMetadata.contract_id.
Type: uint32
Description: For a spread bar request this field specifies spread bar interval bar unit.
Source: BarUnit.
Type: uint32
Description: Number of units per a single bar for Intra-day bars (must be within 24 hours period). For a spread bar request this field specifies spread bar interval unit number.
Type: uint32
Description: Leg bar unit for a spread bar request (when contract_id represents a Synthetic Strategy). This field is associated with BarUnit enum type. Minimal allowed intervals:
•Month leg bar interval - for Year, Semiannual, and Quarter spread bar interval,
•Day leg bar interval - for Month spread bar interval,
•Hour leg bar interval - for Week spread bar interval,
•5 min leg bar interval - for Day spread bar interval.
•1 min leg bar interval - for intra-day spread bar intervals.
Default value is the minimal allowed.
Type: uint32
Description: Leg bar unit number for a spread bar request (when contract_id represents a Synthetic Strategy). Number of units per a single bar for Intra-day leg bars (must be within 24 hours period). Default value - see leg_bar_unit.
last_bar_spans_to_end_of_all_sessions
Type: bool
Description: For inter-commodity spreads, or any spread where the two contracts have different trading hours, the option defines how to handle the pricing when one entity is not trading.
•If true, the spread is calculated using the closing value for each subsequent bar of the later closing commodity plotted against the closing value of the contract with the earlier close.
•If false, the spread stops updating when the early contract closes, with all the values representing concurrent prices between the two commodities.
Applicable to spread bar requests with intra-day leg bars only. Default value is false.
Type: sint64
Description: Optional bars period time to start from.
Note: Either from_utc_time or bar_count must be specified.
1. For daily and multi-day bars represents starting trade date (time part is ignored), inclusive.
2. For intra-day bars represents starting time, inclusive.
3. Start time is automatically aligned to the closest starting time of selected unit. For example if bar_unit is BAR_UNIT_MONTH and from_utc_time is November 08 bar starting time will be set the first working day of November.
Type: uint32
Description: Optional number of requested bars.
Note: Either from_utc_time or bar_count must be specified. When specified, from_utc_time is calculated based on to_utc_time, bar_count, selected bar_unit and unit_number (for intra-day bars).
Note: The maximum number of bars that can be requested in one message is limited, 100000 by default.
Type: sint64
Description: Optional bars period finish time.
Note: Latest allowed and available time is used if it is not specified.
1. For daily and multi-day bars represents trade date of the last returned bar (time part is ignored), inclusive.
2. For intra-day bars represents finish time, exclusive.
3. Finish time is automatically aligned to the closest finish time of selected unit. For example if bar_unit is BAR_UNIT_MONTH and to_utc_time is November 08 bar finish time will be set to the last working day of November.
deprecated_close_price_preference (deprecated)
Type: uint32
Description: Note: Use close_sources instead.
Type: uint32[]
Description: List of sources for closing price in bar building.
Note: Order of sources defines what is used if several sources are available (from highest to lowest priority). This field is associated with metadata_2.CloseSource enum type. When the list is empty, default close sources are used (ContractMetadata.close_sources). If the list is not empty, it must contain CLOSE_SOURCE_LAST_QUOTE, otherwise the request is rejected. Can be non-empty for requests with bar_unit equal to BAR_UNIT_DAY or greater, otherwise request is rejected.
Type: ContinuationParameters
Description: Continuation parameters.
Request for Spread Bars with continuation uses bars for legs with continuation, so the continuation parameters are adapted for each leg:
•a Future leg takes the continuation type specified,
•a Bond leg takes active continuation if any continuation type is specified,
•bars for other legs are requested without continuation,
•equalization is not supported.
Type: uint32[]
Description: List of tick types to be used in bar building.
Note: When the list is empty, commodity default tick types are used. It can be non-empty for intra-day bar requests only, otherwise the request is rejected. BAR_BUILDING_TICK_TYPE_SETTLEMENT tick type can only be used in combination with other type(s), otherwise request is rejected.
Note: not supported for Spread Bar requests.
Source: BarBuildingTickType.
Type: uint32
Description: Update interval, in milliseconds, after which bar is reported, if changed.
Note: Minimum is 1 second for Intra-day bars and 10 seconds for historical bars. Maximum is 1 hour for both. Maximum update interval for Intra-day bars is also limited by chosen bar_unit and bar_number values (e.g., if bar_unit is MINUTE and bar_number is 10 update interval can’t exceed 600 seconds). Default is 1 second for Intra-day bars or 10 seconds for historical bars, if omitted.