com.dxfeed.event.market

Class Trade

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.market.TradeBase

com.dxfeed.event.market.Trade

All Implemented Interfaces:

EventType<String>, LastingEvent<String>, Serializable

public class Trade
extends TradeBase

Trade event is a snapshot of the price and size of the last trade during regular trading hours and an overall day volume and day turnover. It represents the most recent information that is available about the regular last trade on the market at any given moment of time.

Properties

Trade event has the following properties:

• eventSymbol - symbol of this event;

Information about last trade which occurred in regular trading hours

• time - time of the last trade;
• timeNanoPart - microseconds and nanoseconds time part of the last trade;
• sequence - sequence of the last trade;
• exchangeCode - exchange code of the last trade;
• price - price of the last trade;
• change - change of the last trade;
• size - size of the last trade as integer number (rounded toward zero);
• sizeAsDouble - size of the last trade as floating number with fractions;
• tickDirection - tick direction of the last trade;
• extendedTradingHours - whether the last trade was in extended trading hours;

Accumulated trade statistics for a current day - both regular trading hours and extended trading hours

• dayId - identifier of the current trading day;
• dayVolume - total volume traded for a day as integer number (rounded toward zero);
• dayVolumeAsDouble - total volume traded for a day as floating number with fractions;
• dayTurnover - total turnover traded for a day;

Trading sessions

The Trade event defines last trade price as officially defined by the corresponding exchange for its regular trading hours (RTH). It also include an official exchange dayVolumeAsDouble and dayTurnover for the whole trading day identified by dayId. So, Trade event captures all the official numbers that are typically reported by exchange.

Trades that happen in extended trading hours (ETH, pre-market and post-market trading sessions), which are typically defined for stocks and ETFs, do not update last trade time, exchangeCode, price, change, sizeAsDouble, and tickDirection in the Trade event, but they do update dayVolumeAsDouble and dayTurnover.

During extended trading hours a TradeETH event is generated on each trade with its extendedTradingHours property set to true.

Volume and Turnover

The volume and turnover are included into the Trade event instead of Summary event, because both volume and turnover typically update with each trade. The dayId field identifies current trading day for which volume and turnover statistics are computed. This solution avoids generation of multiple events on each trade during regular trading hours. Summary event is generated during the trading day only when new highs or lows are reached or other properties change.

Note that one can compute volume-weighted average price (VWAP) for a day by this formula:
vwap = dayTurnover / dayVolumeAsDouble;

Daily reset

Daily reset procedure that happens on a schedule during non-trading hours resets Trade dayVolumeAsDouble and dayTurnover to NaN and sets dayId to the next trading day in preparation to the next day's pre-market trading session (or for regular trading if there is no pre-market) while leaving all other properties intact. They reflect information about the last known RTH trade until the next RTH trade happens.

Implementation details

This event is implemented on top of QDS records Trade and Trade&X for regional exchange trades. Regional records do not explicitly store a field for exchangeCode property.

See Also:

Serialized Form

Field Summary

Fields inherited from class com.dxfeed.event.market.TradeBase

MAX_SEQUENCE

Constructor Summary

Constructors

Constructor and Description
Trade() Creates new trade with default values.
Trade(String eventSymbol) Creates new trade with the specified event symbol.

Method Summary

Modifier and Type	Method and Description
String	toString() Returns string representation of this trade event.

Methods inherited from class com.dxfeed.event.market.TradeBase

getChange, getDayId, getDayTurnover, getDayVolume, getDayVolumeAsDouble, getExchangeCode, getPrice, getSequence, getSize, getSizeAsDouble, getTickDirection, getTime, getTimeNanoPart, getTimeNanos, getTimeSequence, isExtendedTradingHours, setChange, setDayId, setDayTurnover, setDayVolume, setDayVolumeAsDouble, setExchangeCode, setExtendedTradingHours, setPrice, setSequence, setSize, setSizeAsDouble, setTickDirection, setTime, setTimeNanoPart, setTimeNanos, setTimeSequence

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

Trade

public Trade()

Creates new trade with default values.

Trade

public Trade(String eventSymbol)

Creates new trade with the specified event symbol.

Parameters:

eventSymbol - event symbol.

Method Detail

toString

public String toString()

Returns string representation of this trade event.

Overrides:

toString in class TradeBase

Returns:

string representation of this trade event.