com.dxfeed.event.market

Class Order

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.market.OrderBase

com.dxfeed.event.market.Order

All Implemented Interfaces:

EventType<String>, IndexedEvent<String>, Serializable

Direct Known Subclasses:

AnalyticOrder

public class Order
extends OrderBase

Order event is a snapshot for a full available market depth for a symbol. The collection of order events of a symbol represents the most recent information that is available about orders on the market at any given moment of time. Order events give information on several levels of details, called scopes - see Scope. Scope of an order is available via scope property.

Order events arrive from multiple sources for the same market symbol and are distinguished by their index. Index is a unique per symbol identifier of the event. It is unique across all the sources of depth information for the symbol. The event with sizeAsDouble either 0 or NaN is a signal to remove previously received order for the corresponding index. The method hasSize is a convenient method to test for size presence.

Events from finer-grained Scope of detail give more information and include events from coarse-grained Scope of detail. For a consistent representation of the market depth to the end-user, order events must be filtered to remove coarse-grained events that are superseded by the finer-grained events.

Properties

Order event has the following properties:

• eventSymbol - symbol of this event;
• source - source of this event;
• eventFlags - transactional event flags;
• index - unique per-symbol index of this order;
• time - time of this order;
• timeNanoPart - microseconds and nanoseconds time part of this order;
• sequence - sequence of this order;
• price - price of this order;
• size - size of this order as integer number (rounded toward zero);
• sizeAsDouble - size of this order as floating number with fractions;
• OrderBase.getExecutedSize() - executed size of this order;
• count - number of individual orders in this aggregate order;
• exchangeCode - exchange code of this order;
• orderSide - side of this order;
• scope - scope of this order;
• marketMaker - market maker or other aggregate identifier of this order.

Event flags, transactions and snapshots

Some order event sources provide a consistent view of the price-level or detailed order book. Their updates may incorporate multiple changes to price levels or to individual orders that have to be processed at the same time. The corresponding information is carried in eventFlags property.

See Event Flags section of OrderBase class documentation for details.

The composite quotes with Scope.COMPOSITE and regional quotes with Scope.REGIONAL come individually from different venues and are not related to each other in any transactional way. The result of getEventFlags method for them is always zero.

OrderBookModel class contains all the appropriate logic to deal with transactions and snapshots for Order events. The client-visible changes to the model are reported only when the snapshot for the specific source id is received completely and when there is no ongoing transaction for the specific source id. It relies on the code of AbstractIndexedEventModel to handle this logic. Use the source code of AbstractIndexedEventModel for clarification on transactions and snapshot logic.

Publishing order books

When publishing an order event with DXPublisher.publishEvents method, least significant 32 bits of order index must be in a range of from 0 to Integer.MAX_VALUE inclusive. Use setSource method after setIndex to properly include source identifier into the index. A snapshot has to be published in the descending order of index, starting with an event with the largest index and marking it with IndexedEvent.SNAPSHOT_BEGIN bit in eventFlags, and finishing the snapshot with an event that has zero 32 least significant bits of index. IndexedEvent.SNAPSHOT_END bit in eventFlags is optional during publishing. It will be properly set on receiving end anyway.

Limitations

This event type cannot be used with DXFeed.getLastEvent method.

Full Order Book Support

Some feeds provide support for "Full Order Book" (FOB) where additional fields will be available:

• action - event business meaning (see OrderAction for more details)
• actionTime - time of the last action
• orderId - ID of this order
• auxOrderId - additional ID for this order
• tradeId - trade (order execution) ID
• tradePrice - price of the trade
• tradeSize - size of the trade

Implementation details

This event is implemented on top of QDS record Quote for composite quotes with Scope.COMPOSITE, record Quote&X for regional exchange best quotes with Scope.REGIONAL, record MarketMaker for market-maker quotes and futures price level aggregates with Scope.AGGREGATE, record Order for the most fine-grained Scope.ORDER with zero source id, and records Order#<source-id> for specific source ids, where <source-id> is up to 4 ASCII characters with a mnemonic for the source like "NTV".

See Also:

Serialized Form

Field Summary

Fields inherited from class com.dxfeed.event.market.OrderBase

LEVEL_AGGREGATE, LEVEL_COMPOSITE, LEVEL_ORDER, LEVEL_REGIONAL, MAX_SEQUENCE, SIDE_BUY, SIDE_SELL

Fields inherited from interface com.dxfeed.event.IndexedEvent

REMOVE_EVENT, SNAPSHOT_BEGIN, SNAPSHOT_END, SNAPSHOT_MODE, SNAPSHOT_SNIP, TX_PENDING

Constructor Summary

Constructors

Constructor and Description
Order() Creates new order with default values.
Order(String eventSymbol) Creates new order with the specified event symbol.

Method Summary

Modifier and Type	Method and Description
String	getMarketMaker() Returns market maker or other aggregate identifier of this order.
void	setMarketMaker(String marketMaker) Changes market maker or other aggregate identifier of this order.
String	toString() Returns string representation of this order event.

Methods inherited from class com.dxfeed.event.market.OrderBase

getAction, getActionTime, getAuxOrderId, getCount, getEventFlags, getExchangeCode, getExecutedSize, getIndex, getLevel, getOrderId, getOrderSide, getPrice, getScope, getSequence, getSide, getSize, getSizeAsDouble, getSource, getTime, getTimeNanoPart, getTimeNanos, getTimeSequence, getTradeId, getTradePrice, getTradeSize, hasSize, setAction, setActionTime, setAuxOrderId, setCount, setEventFlags, setExchangeCode, setExecutedSize, setIndex, setLevel, setOrderId, setOrderSide, setPrice, setScope, setSequence, setSide, setSize, setSizeAsDouble, setSource, setTime, setTimeNanoPart, setTimeNanos, setTimeSequence, setTradeId, setTradePrice, setTradeSize

Methods inherited from class com.dxfeed.event.market.MarketEvent

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.dxfeed.event.EventType

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Constructor Detail

Order

public Order()

Creates new order with default values.

Order

public Order(String eventSymbol)

Creates new order with the specified event symbol.

Parameters:

eventSymbol - event symbol.

Method Detail

getMarketMaker

public String getMarketMaker()

Returns market maker or other aggregate identifier of this order. This value is defined for Scope.AGGREGATE and Scope.ORDER orders.

Returns:

market maker or other aggregate identifier of this order.

setMarketMaker

public void setMarketMaker(String marketMaker)

Changes market maker or other aggregate identifier of this order.

Parameters:

marketMaker - market maker or other aggregate identifier of this order.

toString

public String toString()

Returns string representation of this order event.

Overrides:

toString in class OrderBase

Returns:

string representation of this order event.