Expand description
Market quotes and order-book data structures.
Market microstructure data at three granularity levels:
| Level | Type | Data |
|---|---|---|
| Tick | Tick | Individual trades (time & sales) |
| L1 | Level1Quote | Best bid/ask (top-of-book) |
| L2 | OrderBook | Full depth-of-market order book |
A feed pushes trades, the order book and Level 1 quotes into the chart through
Sink. A Quote summarises a symbol for watchlists, the
symbol’s panels and the order ticket; the host streams it through the
Quotes service.
Structs§
- Extended
Hours Quote - The latest trade of a symbol outside its regular session.
- Level1
Quote - Level 1 quote – best bid and ask (top-of-book).
- Order
Book - Full depth-of-market order book snapshot (Level 2).
- Order
Book Level - A single price level in a Level 2 order book.
- Quote
- The quote of one symbol: its last price and change from the previous close, the session’s
volume, the best bid and ask, and the latest extended-hours trade. Fields the host does not
know stay
None. - Session
Quote - A host-supplied session price, independent of the regular close and hovered history.
- Tick
- A single trade execution (time & sales entry).
- Trade
Conditions - Sale conditions of a trade, as a set of flags. Combine them with
|and test them withintersects:
Enums§
- Extended
Session - The session of an extended-hours trade.