Support for UMDF 2.0
Starting from UMDF v2.0 support, all real-time statistics are stored separately based on venue (Stream ID). The following set of MDStreamID (tag 1500) are used:
E - Electronic
X - Ex-pit
O - Option Exercise
T - Termo
N - Index
L - Lending (BTC)
A - All
The default value is E.
Each market data statistics will appear as: MDStreamID + "_ " + "statisticsType".
MDEntryType "D"(Composite Underlying Price) statistics appear as: MDStreamID + "_" + "UnderlyingSecurityID" + "_" + "statisticsType".
Example:
com.apama.marketdata.Depth("ALLL3",*.*,{"E_AvgDailyTradedQty":"28",
"E_Close":"8.96","E_1_UnderlyingPrice":"1.232",
"E_TotalTradedQuantity":"1634500", "T_1_UnderlyingPrice":"1.232",
"Market":"BVMF_UMDF_TRANSPORT", "T_AvgDailyTradedQty":"18",
"T_MaxTradeVol":"28","UpdateType":"I"})
com.apama.marketdata.Tick("ALLL3",*.*,{"E_AvgDailyTradedQty":"28",
"E_Close":"8.96","E_High":"9.08","E_TotalTradedQuantity":"1634500",
"Market":"BVMF_UMDF_TRANSPORT","T_AvgDailyTradedQty":"18","
T_MaxTradeVol":"28","UpdateType":"I"})