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dxFeed Order Book

Overview

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:

  • Exchange - exchange code

  • Side - the initiator of an order

  • Scope - specification of the order value

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.

Read more in the following sections: