Apama Capital Markets Foundation Documentation : Capital Markets Foundation : Finance Smart Blocks for Developing Scenarios : CMF legacy finance support smart blocks : Market Data Management—Market Depth v3.0 and Order Flow v3.0
Market Data Management—Market Depth v3.0 and Order Flow v3.0
The two Market Data Management blocks allow scenarios to subscribe to market data events for specific instruments. The two blocks differ only in their output feeds. Note that not all services may provide both market depth and order flow; although in practice, most do. As the instrument name is included in the output feed, these blocks may subscribe to more than one instrument. After a subscription, the most recent trade information will be made available on the output feed shortly.
Description
The Order Flow block gives details of the most recent trade, and the Market Depth block provides information on up to 5 of the best orders present for bids and asks. Some services only provide the top bid and ask, some may provide more when available. The number of depths provided is supplied as an output feed field.
Note that the blocks must be started by calling their start operations before they will produce any output. There are no input feeds.
To make these blocks available to your scenario, you must add the Legacy Finance Support bundle to your project.
Parameters
Parameter
Description
instrument
The name of the instrument to track.
service identifier
The name of the service to use, or an empty string for any service. See Addressing services.
market identifier
The name of the market to subscribe to. Some services may not require this parameter.
extra parameters
Any extra parameters for the service.
Operations
Operation
Description
start
Start receiving information for the specified instrument.
stop
Stop receiving information for the specified instrument.
stop all
Stop receiving information for all instruments started from this block.
Note that stop all only stops events from these blocks – subscriptions from other blocks are not affected.
Output feed — Market Depth v3.0
Feed
Fields
Description
depth
instrument
The name of the instrument tracked, as provided by the instrument parameter.
bid price 1
The best bid price.
bid price 2
The second best bid price.
bid price 3
The third best bid price.
bid price 4
The fourth best bid price.
bid price 5
The fifth best bid price.
ask price 1
The best ask price.
ask price 2
The second best ask price.
ask price 3
The third best ask price.
ask price 4
The fourth best ask price.
ask price 5
The fifth best ask price.
mid price 1
Mid price 1.
mid price 2
The mid point of the second best ask and bid prices.
mid price 3
The mid point of the third best ask and bid prices.
mid price 4
The mid point of the fourth best ask and bid prices.
mid price 5
The mid point of the fifth best ask and bid prices.
bid quantity 1
The best bid’s quantity.
bid quantity 2
The second best bid’s quantity.
bid quantity 3
The third best bid’s quantity.
bid quantity 4
The fourth best bid’s quantity.
bid quantity 5
The fifth best bid’s quantity.
ask quantity 1
The best ask’s quantity.
ask quantity 2
The second best ask’s quantity.
ask quantity 3
The third best ask’s quantity.
ask quantity 4
The fourth best ask’s quantity.
ask quantity 5
The fifth best ask’s quantity.
depth
The number of depths supplied. Some providers may only supply the best, in which case this will be 1.
extra parameters
An extra parameters string, containing extra information about the symbol.
Output feed – Order Flow v3.0
Feed
Fields
Description
trade
instrument
The name of the instrument tracked, as provided by the instrument parameter.
price
The last traded price.
quantity
The last traded quantity.
extra parameters
An extra parameters string, containing extra information about the symbol.
Output feed — Common to Order Flow v3.0 and Market Depth v3.0
Feed
Fields
Description
status
instrument
The name of the instrument tracked, as provided by the instrument parameter.
status
A free-form status message describing the status of the subscription.
Fault
true if there is a fault with the subscription – if true, market data may not be supplied.
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