com.dxfeed.event.market

Class SpreadOrder

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.market.OrderBase

com.dxfeed.event.market.SpreadOrder

All Implemented Interfaces:

EventType<String>, IndexedEvent<String>, Serializable

public class SpreadOrder
extends OrderBase

Spread order event is a snapshot for a full available market depth for all spreads on a given underlying symbol. The collection of spread order events of a symbol represents the most recent information that is available about spread orders on the market at any given moment of time.

Spread order is similar to a regular Order, but it has a spreadSymbol property that contains the symbol of the actual spread that is being represented by spread order object. eventSymbol property contains the underlying symbol that was used in subscription.

Like regular orders, spread order events arrive from multiple sources for the same market symbol and are distinguished by their index. 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.

Properties

SpreadOrder event has the following properties:

• eventSymbol - underlying 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;
• 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;
• spreadSymbol - spread symbol of this event.

Event flags, transactions and snapshots

Some spread 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.

IndexedEventModel class handles all the snapshot and transaction logic and conveniently represents a list current of events. 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 records SpreadOrder#<source-id>, where <source-id> is up to 4 ASCII characters with a mnemonic for the source like "ISE".

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
SpreadOrder() Creates new spread order with default values.
SpreadOrder(String eventSymbol) Creates new order with the specified underlying event symbol.

Method Summary

Modifier and Type	Method and Description
String	getSpreadSymbol() Returns spread symbol of this event.
void	setSpreadSymbol(String spreadSymbol) Changes spread symbol of this event.
String	toString() Returns string representation of this spread 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

SpreadOrder

public SpreadOrder()

Creates new spread order with default values.

SpreadOrder

public SpreadOrder(String eventSymbol)

Creates new order with the specified underlying event symbol.

Parameters:

eventSymbol - underlying event symbol.

Method Detail

getSpreadSymbol

public String getSpreadSymbol()

Returns spread symbol of this event.

Returns:

spread symbol of this event.

setSpreadSymbol

public void setSpreadSymbol(String spreadSymbol)

Changes spread symbol of this event.

Parameters:

spreadSymbol - spread symbol of this event.

toString

public String toString()

Returns string representation of this spread order event.

Overrides:

toString in class OrderBase

Returns:

string representation of this spread order event.