QD Model of Market Events

All events that occur on exchanges (placed and canceled orders, trades, and so on) are received by dxFeed in individual formats and in accordance with the protocols of each exchange. Hereupon dxFeed normalizes all the data into its own records with a predefined set of fields — dxFeed internal QD-model (Quote Distribution).

Records in the QD-model are described below.

On the US market, different exchanges may trade the same instruments. The cumulative feed of events from all exchanges we call composite. Individual events from each exchange we call regional. To distinguish regional events, each exchange has a corresponding code. In Europe, there are no regional events: each financial instrument has a different ticker symbol at each European exchange.

The list of the codes you can find here.

Records in the QD-model are described below. If you plan to use dxFeed API to process dxFeed market data, please check this documentation.

Snapshot of the best bid and ask prices, and other fields that may change with each quote. It represents the most recent information that is available about the best quote on the market at any given moment.

#=Quote, EventSymbol, EventTime, BidTime, BidExchangeCode, BidPrice, BidSize, AskTime, AskExchangeCode, AskPrice, AskSize
Quote, FBGX, 20180926-100000.000-0400, 20180926-095959-0400, Q, 297.01, 25, 20180926-095959-0400, Q, 298.23, 25

Similar to Quote, but represents the best bid and offer for a given exchange code. For possible values of X please refer to the Exchange codes chapter.

#=Quote&Z, EventSymbol, EventTime, BidTime, BidPrice, BidSize, AskTime, AskPrice, AskSize
Quote&Z, MU, 20180926-100000.000-0400, 20180926-095959-0400, 44.33, 4, 20180926-095959-0400, 44.34, 1

A record of a security instrument description. It represents the most recent information that is available about the traded security on the market at any given moment.

#=Profile, EventSymbol, EventTime, Beta, Eps, DivFreq, ExdDivAmount, ExdDivDate, HighPrice52, LowPrice52, Shares, FreeFloat, HighLimitPrice, LowLimitPrice, HaltStartTime, HaltEndTime, Flags, Description, StatusReason
Profile, FPI, 20180926-100000.135-0400,0.01985423, -0.06,4, 0.05, 20180928, 9.68,5.15, 3.2867817000000004E7, NaN, NaN, NaN, 0,0,10, "Farmland Partners Inc", "Trading Range Indication"

   31...4    3    2    1    0
+---------+----+----+----+-----+
|         |   SSR   |  Status  |
+---------+----+----+----+-----+

A record that contains all available depth of market. X may stand for:

*FOD — Full order depth, PLB — Price level book

  31..11     10...4      3    2   1    0
+--------+------------+----+----+----+----+
|        |   Exchange |   Side  |  Scope  |
+--------+------------+----+----+----+----+

#=Order#NTV, EventSymbol, EventTime, Void, Index, Time, Sequence, Price, Size, Flags, MarketMaker
Order#NTV, A, 20180925-195959.999-0400, 0, 24, 0, 0, NaN, 0, 3, \NULL,EventFlags=SNAPSHOT_BEGIN

Represents an extension of the Order record introducing analytic information, e.g. adding to this order iceberg related information. The collection of analytic order records of a symbol represents the most recent analytic information that is available about orders on the market at any given moment.

X may stand for:

  31..11     10...4      3    2   1    0
+--------+------------+----+----+----+----+
|        |   Exchange |   Side  |  Scope  |
+--------+------------+----+----+----+----+

   1    0
+-----+----+
|   Type   |
+-----+----+

This record contains data aggregated by price (price level book), by Market Maker, or by a bank.

#=MarketMaker, EventSymbol, EventTime, ExchangeCode, MarketMaker, BidTime, BidPrice, BidSize, BidCount, AskTime, AskPrice, AskSize, AskCount
MarketMaker, INTC,20180925-195959.999-0400, Q, XGWD, 20180925-160004-0400, 44.36, 0, 0, 20180925-160004-0400, 48.18, 0, 0, EventFlags=SNAPSHOT_BEGIN

Summary information record about the trading session that includes the session’s highs, lows, etc. It represents the most recent information that is available about the trading session on the market at any given moment.

#=Summary, EventSymbol, EventTime, DayId, DayOpenPrice, DayHighPrice, DayLowPrice, DayClosePrice, PrevDayId, PrevDayClosePrice, PrevDayVolume, OpenInterest, Flags
Summary, AON, 20180926-100000.018-0400, 20180926, 155.82, 156, 154.82, NaN, 20180925, 155.81, NaN, 0, 3

  31...4   3    2    1      0
+--------+----+----+----+------+
|        |  Close  | PrevClose |
+--------+----+----+----+------+

Similar to the Summary record but represents summary information for a given exchange code. For possible values of X please refer to the Exchange codes chapter.

#=Summary&P, EventSymbol, EventTime, DayId, DayOpenPrice, DayHighPrice, DayLowPrice, DayClosePrice, PrevDayId, PrevDayClosePrice, Flags
Summary&P, MRK, 20180926-100000.006-0400, 20180926, 70.94, 71.14, 70.8, NaN, 20180925, 70.65, 3

A record of the price and size of the last trade during regular trading hours, along with the overall day volume and day turnover. It represents the most recent information available about the last regular trade on the market at any given moment.

  31...4    3    2    1    0
+--------+----+----+----+-----+
|        |  Direction   | ETH |
+--------+----+----+----+-----+

Similar to Trade record but represents trades for a given exchange code. For possible values of X please refer to Exchange codes chapter.

#=Trade&D, EventSymbol, EventTime, Time, Sequence, Price, Size, Tick, Change, Flags, DayVolume, DayTurnover
Trade&D, BABA, 20180926-100000.002-0400, 20180926-095959-0400, 0, 166.74, 100, 1, 2.48, 0, 929667, NaN

A record of the price and size of the last trade during extended trading hours, and the extended trading hours day volume and day turnover. This record is defined only for symbols (typically stocks and ETFs) that have extended trading hours (ETH, pre-market and post-market trading sessions). It represents the most recent information that is available about ETH last trade on the market at any given moment.

#=TradeETH, EventSymbol, EventTime, Time, Sequence, ExchangeCode, Price, Size, Flags, DayVolume, DayTurnover
TradeETH, SPLPpA, 20180926-100154.380-0400, 20180920-160124-0400, 0, D, 22.65, 454, 0, 0, NaN

Similar to the TradeETH record but represents ETH trades for a given exchange code. For possible values of X please refer to Exchange codes chapter.

#=TradeETH&P, EventSymbol, EventTime, Time, Sequence, Price, Size, Flags, DayVolume, DayTurnover
TradeETH&P, CRVS, 20180926-100000.155-0400, 20180815-092803-0400, 0, 9.69, 100, 0, 35, NaN

Represents a trade or other market event with price, like market open/close price, etc. TimeAndSale record is intended to provide information about trades in a continuous time slice (unlike Trade records, which are supposed to provide a snapshot of the current last trade).

#=TimeAndSale, EventSymbol, EventTime, Time, Sequence, ExchangeCode, Price, Size, BidPrice, AskPrice, SaleConditions, Flags
TimeAndSale, BABA, 20180926-100000.002-0400, 20180926-095959-0400, 872 :33427, D,166.8177, 31,166.71, 166.74, "4 I", 12576

   31..16  15...8    7    6    5     4     3     2      1    0
+--------+---------+----+----+----+-----+-----+------+----+----+
|        |   TTE   |    |   Side  |  SL | ETH |  VT  |  Type   |
+--------+---------+----+----+----+-----+-----+------+----+----+

Similar to the TimeAndSale but represents TimeAndSale record for a given exchange code. For a list of possible values for X please refer to the Exchange codes chapter.

#=TimeAndSale&P, EventSymbol, EventTime, Time, Sequence, ExchangeCode, Price, Size, BidPrice, AskPrice, SaleConditions, Flags
TimeAndSale&P, AMZN, 20180802-030000.059-0500, 20180802-030000-0500, 13:0, P, 1799, 1, 1798.97, 1800, "@ TI", 8264