File: WebAPI/historical_2.proto
Volume profile snapshot item.
Type: sint64
Description: Price.
Note: Unique for each volume profile snapshot reported.
Type: uint64
Description: Note: Use ‘volume’ instead.
Type: cqg.Decimal
Description: Total volume of all trades with this price for the time range asked.
Note: volume, ask_volume, bid_volume are omitted if volume is empty. Trade volume is either associated with bid side or with ask side in the following manner:
1. If best bid and best ask are equal or crossed and the trade has happened, half of its volume is associated with the bid and half - with the ask.
2. If the trade is less than or equal to best bid, all of its volume is associated with bid.
3. If the trade is greater than or equal to best ask, all of its volume is associated with ask.
4. If the trade is less than best ask and greater than best bid, its volume shall be split among bid and ask inversely proportional to the distances to best bid/best ask (closer trade to best bid, more qty associated with bid).
Type: cqg.Decimal
Description: Ask part of total volume.
Type: cqg.Decimal
Description: Bid part of total volume.
Type: uint32
Description: Total tick volume of all trades with this price for the time range asked.
Note: tick_volume, ask_tick_volume, bid_tick_volume are omitted if tick_volume is 0.
Type: cqg.Decimal
Description: Ask part of tick volume.
Type: cqg.Decimal
Description: Bid part of tick volume.