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) - Candles, Greeks, TheoPrice, Underlying, Series
Events on orders
Quote
A Quote is a last event that represents the best bid and ask prices, and other fields that change with each quote. This is the most recent information that is available about the best quote on the market.
By default, the bidTime and askTime fields are transferred with seconds precision. You can change this behavior using the dxscheme.bat system property, which allows two options:
Seconds (default): transfers the fields with seconds precision
Millis: transfers the fields with milliseconds precision
Order
An Order is an event that gives different information on several levels of detail depending on the Scope flag. The Scope of an order is available via scope property and may have one of the following business model:
Scope.Composite
flag - a composite BBO from the whole market. For example, PLB (price level book).Scope.Regional
flag - a regional BBO from a particular exchange or aggregated information. For example, EOB (Enhanced Order Book).Scope.AGGREGATE
flag - an aggregate given price level or BBO information from a particular market maker.Scope.Order
flag - an individual order on the market.
SpreadOrder
A SpreadOrder is similar to Order event, 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.
Events on transactions
Trade
A Trade is an event that 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.
Info
No Trade events are provided for Forex symbols. A Quote event should be used instead.
TradeETH
The same set of fields as in the Trade event. When switching to ETH hours, this flag switches to true in both events.
TimeAndSale
TimeAndSale is an event that 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 event provides the most recent information about the trading session including session highs, lows, etc. There are two goals:
To transmit OHLC values.
To 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 is an event that 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.
Configuration
Configuration is a lasting event with application-specific attachment. Some datafeeds use the Configuration event to disseminate additional information not covered by other events.
The Attachment field 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
MIC
symbol, such asXNAS
orXNYS
. 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"
The Version field contains data for the Configuration version. The version can only increase. This field defines the most current event for the Ticker contract.
Calculated
Candles
Candles provide a snapshot of aggregated market data for a specific time period, showing the opening, high, low, and closing prices (OHLC), along with additional metrics like volume, bid/ask volume, and implied volatility. They are used for charting and analyzing price trends and market activity in defined intervals, offering a clear visual representation of market movements.
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 |
Indexes | 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 |