Order Book Description
Description
The Order Book is a market data depth that provides you with an insight into order flow for different analytics. dxFeed Order Book's Order event provides a list of orders for particular security including shows of every single quote and order at every price level for stocks. By default, the order sizes don’t reflect the “real” order size as reserve/iceberg orders are often placed with a limited showing shares number in the Order Book.
Order Book fields
When you work with dxFeed Order Book, you receive data for the following fields:
Field | Description |
|---|---|
EventSymbol | Symbol of this event |
EventTime | Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed) |
Index | Unique index in the Order Book |
Time | Time of this order |
Sequence | Sequence of this order |
Price | Price of this order |
Size | Size of this order |
Flags | Transactional event flags that contain Side, Exchange, and Scope properties: |
MarketMaker | Market maker or other aggregate identifier of this order (optional field) |
Count (optional) | Number of individual orders in this aggregate order (optional field) |
ExecutedSize | Executed size of this order (optional field) |
See QD Model of Market Events and com.dxfeed.event.market to check the full fields list.