Level1_Values
This structure defines the domain of Level 1 (market data) fields. It is used to generate the Values array fields in the InstrumentMarket table. It is also used to generate Level 1 specific API code.
| Name | Type | Size (bytes) | Description |
|---|---|---|---|
| Bid | Integer (signed) | 8 | The price of the best bid. |
| BidSize | Integer (signed) | 8 | The quantity at the best bid price. |
| Ask | Integer (signed) | 8 | The price of the best Ask. |
| AskSize | Integer (signed) | 8 | The quantity at the best ask price. |
| Last | Integer (signed) | 8 | The price at which the last trade occurred. |
| LastTimestamp | Integer (unsigned) | 8 | The timestamp at which the last trade occurred. |
| High | Integer (signed) | 8 | The highest price at which the InstrumentMarket has ever traded. |
| Low | Integer (signed) | 8 | The lowest price at which the InstrumentMarket has ever traded. |
| Volume | Integer (signed) | 8 | The current cumulative volume traded. |
| Volume24hAgo | Integer (signed) | 8 | The traded volume from 24 hours ago. Combined with the current Volume to create the Volume for a rolling 24 hour window. |
| Value | Integer (signed) | 8 | The current cumulative value of all the trades. |
| Value24hAgo | Integer (signed) | 8 | The traded value from 24 hours ago. Combined with the current Value to create the Value for a rolling 24 hour window. |
| Change | Integer (signed) | 8 | The price change since the engine has started or cycled. |
| PercentChange | Integer (signed) | 8 | The change in price since the engine has started or cycled, expressed as a percentage. |
| Increment | Integer (signed) | 8 | The change in price resulting from the last trade. |
| Open | Integer (signed) | 8 | The opening price for today. This is the price of the first Trade recorded today. |
| Aggressor | One of Aggressor | 1 | A measure of the aggressor in the last traded price. The value may be -1, 0 or 1 depending on whether the aggressor was the buyer or the seller for the trade. |
| Swing | Integer (signed) | 8 | The direction of the last change in traded price. |
| Prev | Integer (signed) | 8 | The price of the most recent trade before today. |
| PrevDate | Integer (signed) | 4 | The date on which the previous price occurred. |
| FiftyTwoWeekHigh | Integer (signed) | 8 | The highest traded price over the preceding year. It does not include todays prices. |
| FiftyTwoWeekLow | Integer (signed) | 8 | The lowest traded price over the preceding year. It does not include todays prices. |
| HistHigh | Integer (signed) | 8 | The highest traded price ever recorded for this InstrumentMarket. This does not include todays prices. |
| HistLow | Integer (signed) | 8 | The lowest traded price ever recorded for this InstrumentMarket. This does not include todays prices. |
| IndicativePrice | Integer (signed) | 8 | The price at which the InstrumentMarket would trade if the match were to take place given the current state of the order book. This is only produced when the InstrumentMarket in question is in an auction phase. |
| IndicativeVolume | Integer (signed) | 8 | The volume that would trade at the IndicativePrice. |
| Status | Set of Status | 4 | The status of the InstrumentMarket. |
| Session | Foreign key to Session | 8 | The name of the current session under which the InstrumentMarket is operating. |
| Date | Integer (signed) | 4 | Represents a date as an integer in YYYYMMDD format. |
| ClosePrice | Integer (signed) | 8 | The calculated close price. |
| ClosePriceDate | Integer (signed) | 4 | The date of the last calculation of the close price. |
| Bids | Integer (signed) | 8 | |
| BidsTotal | Integer (signed) | 8 | |
| BidSizeTotal | Integer (signed) | 8 | |
| Asks | Integer (signed) | 8 | |
| AsksTotal | Integer (signed) | 8 | |
| AskSizeTotal | Integer (signed) | 8 | |
| Trades | Integer (signed) | 8 | |
| LotSize | Integer (unsigned) | 4 | An InstrumentMarket may trade in lots, where a lot is a fixed number of units of the InstrumentMarket. LotSize defines the number of units per lot for an InstrumentMarket. If an InstrumentMarket trades in single units, the LotSize is 1. Prices are always on a per-lot basis. This value determines the LotSize for the instances of this Level1_Values. |
| PrevBidsTotal | Integer (signed) | 8 | |
| PrevBidSizeTotal | Integer (signed) | 8 | |
| PrevAsksTotal | Integer (signed) | 8 | |
| PrevAskSizeTotal | Integer (signed) | 8 | |
| MinOrderPrice | Integer (signed) | 8 | |
| MaxOrderPrice | Integer (signed) | 8 | |
| RefPrice | Integer (signed) | 8 | |
| PrevAONOrders | Integer (unsigned) | 8 | |
| AONOrders | Integer (unsigned) | 8 | Number of AON orders in the order book for this InstrumentMarket. |