Typedef

Static Public Summary
public	Aggressor: enumeration
public	BigInt: Object A built-in JavaScript Object that provides a way to represent whole numbers larger than 2^53-1
public	BookAction: enumeration
public	BookLevel: object
public	BookType: enumeration
public	ChannelReset: object
public	DailyStatistics: object
public	DailyStatisticsType: enumeration
public	EventIndicator: enumeration
public	HaltReason: enumeration
public	Header: object
public	Instrument: Object
public	InvestigateStatus: enumeration
public	LimitsBanding: object
public	Meta: object
public	OrderBook: object
public	PutOrCall: enumeration
public	SecurityEvent: enumeration
public	SecurityStatus: object
public	SecurityType: enumeration
public	SessionStatistics: object
public	SessionStatisticsType: enumeration
public	SettleType: enumeration
public	StateType: enumeration
public	TradeMatch: object
public	TradeSummary: enumeration
public	TransactionMarker: object
public	TransactionType: enumeration
public	UnionID: enumeration
public	VolumeUpdate: object
public	enumeration: Object A built-in JavaScript Object that only contains member variables with corresponding number(s)

Static Public

public Aggressor: enumeration source

Properties:

Name	Type	Attribute	Description
NoAggressor	number		0
Buy	number		1
Sell	number		2

public BigInt: Object source

A built-in JavaScript Object that provides a way to represent whole numbers larger than 2^53-1

See:

https://developer.mozilla.org/en-US/docs/Web/JavaScript/Reference/Global_Objects/BigInt

public BookAction: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		255
New	number		0
Change	number		1
Delete	number		2
DeleteThru	number		3
DeleteFrom	number		4
Overlay	number		5
Replace	number		6

public BookLevel: object source

Properties:

Name	Type	Attribute	Description
price	number		The price of the current Event
quantity	number		The total quantity matched for the the current Event
orders	number		The number of orders that participated at the current Event’s price level
impliedQuantity	number		The total implied quantity at the current event’s price level
impliedOrders	number		The total number of implied orders at the current event’s price level
level	number		The price level at which the event occurred
action	BookAction		The book action of the order corresponding to the current event
type	BookType		The type of the current Event
isEndEvent	boolean		Whether or not the current Event is the last Event of the packet

public BookType: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		85
Bid	number		66
Ask	number		83
ImpliedBid	number		98
ImpliedAsk	number		115
BookReset	number		82

public ChannelReset: object source

Properties:

Name	Type	Attribute	Description
type	BookType		The type of the current Event

public DailyStatistics: object source

Properties:

Name	Type	Attribute	Description
price	number		The price of the current Event
instrumentID	number		The unique instrument identifier for the current exchange
impliedQuantity	number		The total number of Events in the current session : Only applies to OpenInterest type
impliedOrders	number		The total number of implied orders at the current event's price level
level	number		The price level at which the event occurred
action	BookAction		The book action of the order corresponding to the current event
type	DailyStatisticsType		The type of the current Event
settleType	SettleType		The settlement type of the current Event
isEndEvent	boolean		Whether or not the current Event is the last Event of the packet

public DailyStatisticsType: enumeration source

Properties:

Name	Type	Attribute	Description
SettlePrice	number		'6'
ClearedVolume	number		'B'
OpenInterest	number		'C'
Fixing	number		'W'

public EventIndicator: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		0
LastOfType	number		1
EndOfEvent	number		128

public HaltReason: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		255
GroupSchedule	number		0
SurveillanceIntervention	number		1
MarketEvent	number		2
InstrumentActivation	number		3
InstrumentExpiration	number		4
Unknown	number		5
RecoveryInProcess	number		6

public Header: object source

Properties:

Name	Type	Attribute	Description
unionID	number		Enumerated value used to find the type of an Event object
sequence	number		The current Event object's session array index
time	number		The exact time of the current Event in nanoseconds as a BigInt
timeH	number		The higher half of the aforementioned time member as a Number
timeL	number		The lower half of the aforementioned time member as a Number
milliseconds	number		The aforementioned time member in milliseconds as a Number

public Instrument: Object source

Properties:

Name	Type	Attribute	Description
activationDate	string
asset	string
completed	Boolean
contractSymbol	string
currency	string
definitionID	number
depthLevel	number
displayFactor	number
displayType	number
displayTypeEx	number
eosInstrumentID	number
exchInstrumentID	number
exchType	string
exchangeCode	string
expireDate	string
firstDataDate	string
firstDefined	string
groupCode	string
impliedDepth	number
instrumentType	number
lastDataDate	string
lastDefined	string
lastExchUpdateTime	string
loadSource	number
marketTypeID	number
maturityDay	number
maturityMonth	number
maturityYear	number
priceDenominator	number
roots	string
settleDenominator	number
tickSize	number
tickValue	number
unitOfMeasure	number
userDefined	Boolean
vxaChannel	number
vxaId	number

public InvestigateStatus: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		0
UnderInvestigation	number		1
InvestigationStatus	number		2

public LimitsBanding: object source

Properties:

Name	Type	Attribute	Description
highLimit	number		The lowest price level the contract can trade in this session
lowLimit	number		The highest price level the contract can trade in this session
maxVariation	number		The maximum tradeable range for this session

public Meta: object source

Properties:

Name	Type	Attribute	Description
instruments	Instrument[]
message	string
records	number
restartTime	number
sessionTime	number
status	number
symbol	string
symbolID	number
userID	number

public OrderBook: object source

Properties:

Name	Type	Attribute	Description
price	number		The price of the current Event
type	BookType		The type of the current Event
quantity	number		The total quantity matched for the current Event
priorityID	number		The order priority for execution on the current order book : Lower = higher priority
auxilaryID	boolean		The first OrderID assigned because some exchanges change the orderID : Only ICE and Eurex Exchanges
previousID	number		If an orderID is changed, this is the ID that was just replaced : Eurex
orderID	number		The identifier for the current Event's order
action	BookAction		The book action of the order corresponding to the current event

public PutOrCall: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		255
Put	number		0
Call	number		1

public SecurityEvent: enumeration source

Properties:

Name	Type	Attribute	Description
NoEvent	number		0
NoCancel	number		1
ResetStatistics	number		4
ImpliedMatchingON	number		5
ImpliedMatchingOFF	number		6

public SecurityStatus: object source

Properties:

Name	Type	Attribute	Description
group	number		The exchange specific code assigned to a group of related securities, which are concurrently affected by market events
asset	BookType		The underlying asset code represented as a String
sessionDate	number		The date of the current Event's trading session
type	number		The total implied quantity at the current event's price level
haltReason	HaltReason		The reason why the market has been halted
securityEvent	SecurityEvent		Additional reasoning for the market being halted

public SecurityType: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		0
TradingHalt	number		2
Close	number		4
NewPriceIndication	number		15
ReadyToTrade	number		17
NotAvailableForTrading	number		18
UnknownorInvalid	number		20
PreOpen	number		21
PreCross	number		24
PostClose	number		26
NoChange	number		103
PreClose	number		150 : Only ICE Exchange
Restricted	number		200 : Only EUREX Exchange
Freeze	number		201 : Only EUREX Exchange

public SessionStatistics: object source

Properties:

Name	Type	Attribute	Description
price	number		The price of the current Event
instrumentID	number		The unique instrument identifier for the current exchange
stateType	StateType		The OpeningPrice type of the current Event
action	BookAction		The book action of the order corresponding to the current event
type	SessionStatisticsType		The type of the current Event
size	number		The total number of Events in the current session

public SessionStatisticsType: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		127
OpenPrice	number		0
HighTrade	number		1
LowTrade	number		2
LastTrade	number		3
HighestBid	number		4
LowestAsk	number		5
ClosePrice	number		6

public SettleType: enumeration source

Properties:

Name	Type	Attribute	Description
Final	number		1
Actual	number		2
Rounded	number		4
Intraday	number		8
ReservedBits	number		16
NullValue	number		128

public StateType: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		255
DailyOpenPrice	number		0
IndicativeOpeningPrice	number		5
DailyClosingPrice	number		10

public TradeMatch: object source

Properties:

Name	Type	Attribute	Description
price	number		The price of the current Event
quantity	number		The total quantity matched for the current Event
number	number		The enumerated value from 0 to number of TradeSummary.matches
isAggressor	boolean		Whether or not the current Event was made by the aggressor of the trade.
orderID	number		The identifier for the current Event’s order
auxilaryID	number		The original identifier for the current Event’s order.
flags	number		These bits are exchange specific. If you don’t know which exchange this file came from, the exchange for this instrId is located in the Instrument Information message.

public TradeSummary: enumeration source

Properties:

Name	Type	Attribute	Description
price	number		The price of the current Event
quantity	number		The total quantity matched for the the current Event
matches	number		The number of upcoming orders that will participate in the current Event
aggressor	Aggressor		The aggressor of the trade the current Event is summarizing
isImplied	boolean		Whether or not the trade the current Event is summarizing was implied
isSnapshot	number		Whether or not the current Event is a market summary
volume	number		The accumulated volume of the current session

public TransactionMarker: object source

Properties:

Name	Type	Attribute	Description
type	TransactionType		The type of the current Event

public TransactionType: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		255
TransactionStart	number		0
TransactionEnd	number		1

public UnionID: enumeration source

Properties:

Name	Type	Attribute	Description
NotSet	number		255
NotMapped	number		250
TradeSummary	number		0 : Message that contains summary information about trades
TradeMatch	number		1 : Message that contains information on a match of a trade event
VolumeUpdate	number		2 : Message that updates volume data after a TradeSummary event. On certain exchanges if two implied quotes are matched, a VolumeUpdate event will occur showing the change in the total volume, but it will not be tied to a TradeSummary event
BookLevel	number		3 : Message that contains information on a quote that occurred in the first n levels of the book. The instrument definition from the exchange specifies the exact number of levels. This message can show up alongside an OD message
OrderBook	number		4 : Message that contains information on a quote for all price levels
SecurityStatus	number		5 : Message that provides the security group market state change
DailyStatistics	number		6 : Message that provides information about a complete session
SessionStatistics	number		7 : Message that provides information about the session during the session
LimitsBanding	number		8 : Message that provides the daily limits for the current session
ChannelReset	number		9 : Message that indicates if the channel the contract is on was reset and at what time
TransactionMarker	number		10 : The TS message marks the start of a bundle, and the TE message marks the end of that bundle. The exchange considers all the messages between the start and end marker to have been processed together, regardless of how the packets were split during exchange transmission

public VolumeUpdate: object source

Properties:

Name	Type	Attribute	Description
volume	number		The total volume for the session including the current Event
vwap	number		An ICE-specific stat metric

public enumeration: Object source

A built-in JavaScript Object that only contains member variables with corresponding number(s)