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, OtcMarketsOrder
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.
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.
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.
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.
OtcMarketsOrder
An OtcMarketsOrder event is an expanded version of the Order event for symbols traded on the OTC Markets. It includes the OTC Markets specific quote data, such as Quote Access Payment (QAP) value, Quote Price Type, Open/Closed status, and Unsolicited Quote indicator. The exchange's original event is presented as two separate OTCMarketsOrder events for both bid and ask sides. Note that the field descriptions, such as QAP, maintain the original quote term.
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.
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.
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.
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:
Transmit OHLC values.
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.
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
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:
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"
Market-wide circuit breaker (MWCB) information for some data feeds. It is disseminated under MWCB
MICsymbol, such asXNASorXNYS. MWCB containsJava 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]"
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.
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.
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.
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.
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.
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 |