Market Data
Following is the sample market data that user receives when the session is configured with additional market data types like "A p q r s t". Here, subscription is made with additional market data types Imbalance, Indicative open, close, bid, ask and settlement.
Session configuration
com.apama.fix.SessionConfiguration("TT_MARKET_DATA", {"FixChannel":"FIX",
"SubscriptionManager.UpdateDataWithoutEntryId":"true",
"TT_SERVICEID":"TT-FIX", "SubscriptionManager.AdditionalMDEntryTypes":"A p q r s t",
"SubscriptionManager.RepeatingGroupTags":"[146 55 167 200 10455]"})
Depth Event
com.apama.marketdata.Depth("ES",[550,450,435],[410],[480,-1,-1],[2,20,100],[1],
{"167":"MLEG","207":"CME","263":"1","35":"X","48":"00CESDERFEK00ESZ110ASDEDFEZ1",
"52":"20100601-14:38:27.327","IMBALANCE_10455":"ESM0-SU0","IMBALANCE_15":"USD",
"IMBALANCE_167":"MLEG","IMBALANCE_207":"CME",
"IMBALANCE_48":"00CES200A0FK00ESZ1100A0IK00ESZ1",
"IMBALANCE_MDEntryPx":"350","IMBALANCE_MDEntrySize":"2",
"INDICATIVE_CLOSE_10455":"ESM0-ESU0","INDICATIVE_CLOSE_15":"USD",
"INDICATIVE_CLOSE_167":"MLEG","INDICATIVE_CLOSE_207":"CME",
"INDICATIVE_CLOSE_48":"00CES200A0FK00ESZ1100A0IK00ESZ1",
"INDICATIVE_CLOSE_MDEntryPx":"350","INDICATIVE_CLOSE_MDEntrySize":"2",
"INDICATIVE_OPEN_10455":"ESM0-ESU0","INDICATIVE_OPEN_15":"USD",
"INDICATIVE_OPEN_167":"MLEG","INDICATIVE_OPEN_207":"CME",
"INDICATIVE_OPEN_48":"00CES200A0FK00ESZ1100A0IK00ESZ1",
"INDICATIVE_OPEN_MDEntryPx":"350","INDICATIVE_OPEN_MDEntrySize":"2",
"INDICATIVE_SETTLEMENT_10455":"ESM0-ESU0",
"INDICATIVE_SETTLEMENT_15":"USD","INDICATIVE_SETTLEMENT_167":"MLEG",
"INDICATIVE_SETTLEMENT_207":"CME",
"INDICATIVE_SETTLEMENT_48":"00CES200A0FK00ESZ1100A0IK00ESZ1",
"INDICATIVE_SETTLEMENT_MDEntryPx":"350",
"INDICATIVE_SETTLEMENT_MDEntrySize":"2","INDICATIVE_ASK_0_MDEntryPx":"325",
"INDICATIVE_ASK_0_MDEntrySize":"2",
"INDICATIVE_BID_0_MDEntryPx":"440",
"INDICATIVE_BID_0_MDEntrySize":"10"})
Extra parameters with following prefix indicates respective market data entries:
IMBALANCE_#TAG
INDICATIVE_OPEN_#TAG
INDICATIVE_CLOSE_#TAG
INDICATIVE_SETTLEMENT_#TAG
INDICATIVE_BID_#LEVEL_#TAG
INDICATIVE_ASK_#LEVEL_#TAG
where,
#LEVEL: represents the market data level for the entry.
#TAG: represents the respective tag under market data type indicated in prefix.