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dxFeed API Market Events

Event types

Market events can be divided into several subgroups:

  • Events on orders (orders, order book, price-level) - Quote, Order, SpreadOrder, SpreadOrder#ISE

  • Events on transactions (completed or canceled) - Trade, TradeETH, TimeAndSale, Summary

  • Meta-data (auxiliary information) - Profile, Configuration

  • Calculated data (records for events that came from our service dxPrice) - Greeks, TheoPrice, Underlying, Series

Events on orders

Quote

A Quote event is a snapshot of the best bid and ask prices, and other fields that change with each quote.

List of properties

Info

Milliseconds in Quote events are not provided. No Trade events are provided for Forex symbols. A Quote event should be used instead.

Orders

An Order event is a snapshot of the full available market depth for a symbol. Order events give information on several levels of detail, called scopes - see Scope. The Scope of an order is available via scope property.

List of properties

SpreadOrder

SpreadOrder is similar to Order, but it is designed for a multi-leg order. It has a spreadSymbol property that contains the symbol of the actual spread that is being represented by the spread order object. The eventSymbol property contains the underlying symbol that was used in the subscription.

List of properties

SpreadOrder#ISE

As in the case of Order, SpreadOrder is a generic model, and SpreadOrder#ISE is its subclass. The list of fields is the same as those listed in the general SpreadOrder model.

MarketMaker

A MarketMaker event is used for all aggregated books. Accordingly, the MarketMaker field in the MarketMaker record has different meanings in different feeds.

  • ExchangeCode - exchange code

  • MarketMaker - either a market maker ID (Nasdaq Level 2), or a price-level number (CME), or a bank identifier (Morningstar Forex feed)

  • BidTime - the last bid change time

  • BidPrice - bid price

  • BidSize - bid volume

  • BidCount - bid order in the aggregated feed

  • AskTime - the last ask change time

  • AskPrice - ask price

  • AskSize - ask volume

  • AskCount - ask sequence in the aggregated feed

Events on transactions

Trade

A Trade event provides prices and the volume of the last transaction in regular trading hours, as well as the total amount per day in the number of securities and in their value. This event does not contain information about all transactions, but only about the last transaction for a single instrument.

List of properties

If the flag extendedTradingHours = true, in the Trade record the Size continues to be updated, but the Price is not updated (this tradition came from the exchanges themselves - they update the trading volumes even in ETH).

TradeETH

The same set of fields as in Trade event. When switching to ETH hours, this flag switches to true in both events.

List of properties

TimeAndSale

TimeAndSale event represents a trade or other market event with a price, like market open/close price. TimeAndSale events are intended to provide information about trades in a continuous-time slice (unlike Trade events which are supposed to provide snapshots about the most recent trade). TimeAndSale events have a unique index that can be used for later correction/cancellation processing.

List of properties

Trade vs TimeAndSale

Trade

TimeAndSale

Updated by aggregated triggers

Updated by exact trade in the market

Represents the most recent trade

Represents the end of a transaction

Consists of price and size of the last trade, overall day volume and turnover

Consists of a trade or other market event with a price.

Summary

Summary is an information snapshot about the trading session including session highs, lows, etc. This record has two goals:

  1. Transmit OHLC values.

  2. Provide data for charting. OHLC is required for a daily chart, and if an exchange does not provide it, the charting services refer to the Summary event.

Before opening the bidding, the values are reset to N/A or NaN.

List of properties

Meta

Profile

A Profile event provides the security instrument description. It represents the most recent information that is available about the traded security on the market at any given moment of time.

  • Beta - the correlation coefficient of this instrument to the S&P500 index. This data is available for NYSE and Nasdaq stocks

  • Eps - earning per share (company earnings divided by the number of shares). The value comes directly from the company’s annual quarterly accounting reports (we take it from Morningstar). Eps is available for stocks and ETFs

  • DivFreq - how often a dividend is paid in a year (the number of dividends, divided by amount)

  • ExdDivAmount is the size of the last dividend paid

  • ExdDivDate is the date of the last dividend paid

  • HighPrice52 - the maximum price for 52 weeks. 52 weeks are considered as follows: we take the full 52 weeks (from Monday to Friday) and add the full days from the current week

  • LowPrice52 - minimum price for 52 weeks

  • Shares - shares outstanding. In general, this is the total number of shares issued by this company (only for stocks)

  • HighLimitPrice - the maximum allowable price. This is a part of the exchange mechanism to protect against sharp price fluctuations. The exchanges set a corridor in which you can trade this security. That is, if the price goes too high, the trade will stop or the order will not be served

  • HaltStartTime - time when trading suspension started. Only unscheduled stops are indicated

  • HaltEndTime - time when trading suspension ended

  • Flags - contains individual flags specific to this type of event:

    • ShortSaleRestriction is a flag of a special mode of protection against short sales (the exchange may place such a ban based on some of its rules). Provided only for a few markets

    • TradingStatus - the state of the instrument (undefined, halted, or active)

    • Description - a description of the instrument (usually taken from Morningstar)

    • StatusReason - a description of the reason for an unplanned stop

List of properties

Configuration

Configuration is a lasting event with application-specific attachment. Some data feeds use the Configuration event to disseminate additional information not covered by other events.

The Configuration event contains the Attachment and Version fields, and may contain different data depending on the feed:

  1. Index constituents for index instruments (from Borsa Istanbul market data feed).

    Example:

    =Configuration EventSymbol Version Configuration 
Configuration ZPYTI:TR 1644548400 "ALCTL:TR,ARDYZ:TR,ASELS:TR,INDES:TR,KAREL:TR,LOGO:TR,NETAS:TR,PENTA:TR,TCELL:TR,TTKOM:TR"

  2. Market-wide circuit breaker (MWCB) information for some data feeds. It is disseminated under MWCB MIC symbol, such as XNAS or XNYS. MWCB contains Java Map<String, String> with the following keys:

    • Decline Level 1, Decline Level 2, Decline Level 3 — breach threshold values for each level

    • Status — if present, this key contains the current MWCB level

    • Timestamp — time of the change

    Example:

    =Configuration EventSymbol Version Configuration                                                                                                 
Configuration   "Market-Wide Circuit Breaker XNYS"      1644584417      "[Decline Level 1=4188.79, Decline Level 2=3918.54, Decline Level 3=3603.26, Timestamp=20220211-070017-0600]"

  3. Comma-separated symbol lists for some indicators (from Value-Added Processor (VAP)):

    • Top-N symbols are maximally above or below the average market

    • Top-N of advance/declined issues

    Example:

    =Configuration EventSymbol Version Configuration
Configuration	$TOP10G/Q	1612818599	"AFRM,FLGT,ILMN,LRCX,FCNCA,ZJZZT,COHR,NVAX,NVDA,MSTR rO0ABXQAM0FGUk0sRkxHVCxJTE1OLExSQ1gsRkNOQ0EsWkpaWlQsQ09IUixOVkFYLE5WREEsTVNUUg"

Note

The Version field contains the version of the Configuration event. The version can only increase, that allows to choose the latest event version between the Configuration events.

List of properties

Calculated

Greeks

Greek ratios, or simply Greeks, are differential values that show how the price of an option depends on other market parameters: on the price of the underlying asset, its volatility, etc. Greeks are used to assess the risks of customer portfolios. Greeks are derivatives of the value of securities in different axes. If a derivative is very far from zero, then the portfolio has a risky sensitivity in this parameter.

List of properties

Series

A series event is a snapshot of computed values that are available for all option series for a given underlying symbol based on the option prices on the market. It represents the most recent information that is available about the corresponding values on the market at any given moment of time.

List of properties

TheoPrice

Theo price is a snapshot of the theoretical option price computation that is periodically performed by dxPrice model-free computation. dxFeed does not send recalculations for all options at the same time, so we provide you with a formula so you can perform calculations based on values from this event.

List of properties

A model may assume that underlyings for all options has the same dividends and interest. And it may be different for all options. The model passes all the parameters to use the formula.

Underlying

An Underlying event is a snapshot of computed values that are available for an option underlying symbol based on the options prices on the market.

List of properties

Please find more detailed information at Options Analytics Solution.

Market events matrix

Quote

Trade

TimeAndSale

Order

Summary

Profile

Equities

X

X

X

X

X

X

Indices

X

X

X

Futures

X

X

X

X

X

X

Options

X

X

X

X

X

X

Spreads

X

X

X

X

X

FX

X

X

X

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