TABLE OF CONTENTS



Field name (REST)

Field tag (WS)


Possible values

Description

MsgType

35

M

W (snapshot) or X (increment)


MDStreamId

1500

M

string


LastUpdateTime

779

M

timestamp


Symbol

55

C

string

Sent for all types of data except MarketWatch

MDEntry

268

M

Array of MDEntry


Additional fields for the order book channel

MDBookType

1021

M

2 — PriceDepth


LowRangePx

35601

M

decimal

Price range boundaries

HighRangePx

35602

M

decimal

LowLimit

35603

M

decimal

Price limits

HighLimit

35604

M

decimal

ClearingPx

35605

M

decimal

Mark price

BestBid

1502

M

decimal


BestAsk

1503

M

decimal


MDEntry

Order book

Field name (REST)

Field tag (WS)


Possible values

Description

MDEntryType

269

M

0 — Bid

1 — Offer


MDEntryPx

270

M

decimal

Price

MDEntrySize

271

C

decimal

Volume

NumberOfOrders

346

C

int


Additional fields for an incremental refresh

MDUpdateAction

279

M

0 — New

1 — Change

2 — Delete

Indicates the type of the change (see the example below)


Consider there were two orders in the order book, bid and ask. The MDEntry field of the snapshot will contain these elements:

  • MDEntryType: 0 (Bid), MDEntryPx: 8900, MDEntrySize: 100, NumberOfOrders: 1

  • MDEntryType: 1 (Offer), MDEntryPx: 9000, MDEntrySize: 150, NumberOfOrders: 1

Then if the bid moved to 8950, and the ask has changed its volume, the client will receive the following MDEntries in the incremental refresh:

  • MDEntryType: 0 (Bid), MDEntryPx: 8900, MDUpdateAction: 2 (Delete)

  • MDEntryType: 0 (Bid), MDEntryPx: 8950, MDEntrySize: 100, NumberOfOrders: 1, MDUpdateAction: 0 (New)

  • MDEntryType: 1 (Offer), MDEntryPx: 9000, MDEntrySize: 200, NumberOfOrders: 1, MDUpdateAction: 1 (Change)

Samples

WS

REST



Trades

Field name (REST)

Field tag (WS)


Possible values

Description

MDEntryType

269

M

2 — Trade


MDEntryPx

270

M

decimal

Price

MDEntrySize

271

M

decimal

Volume

TransactTime

60

M

timestamp

Date and time of the trade

TradeID

1003

M

string


AggressorSide

1501

M

Side


Samples

WS

REST



Candles

Field name (REST)

Field tag (WS)


Possible values

Description

FirstPx

1025

M

decimal

Open

HighPx

332

M

decimal

High

LowPx

333

M

decimal

Low

LastPx

31

M

decimal

Close

BuyVolume

330

M

decimal


SellVolume

331

M

decimal


TradeVolume

1020

M

decimal

Total volume (buy + sell)

TransactTime

60

M

timestamp

Date and time of the opening of the bar

Samples

WS

REST



Market watch

Field name (REST)

Field tag (WS)


Possible values

Description

Symbol

55

M

string


FirstPx

1025

M

decimal

Current day’s open

HighPx

332

M

decimal

Current day’s high

LowPx

333

M

decimal

Current day’s low

LastPx

31

M

decimal

Close

BuyVolume

330

M

decimal

Current day’s buy volume

SellVolume

331

M

decimal

Current day’s sell volume

Bid

1502

M

decimal

Best bid

Ask

1502

M

decimal

Best offer

Samples

WS

REST