Detailed Quotes

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Detailed:	Trade	Quote

Detailed Quotes

This guide assumes you have already read the "Introduction to Quotes" guide. This guide will processing market maker quotes and NBBO from exchange quotes.

Code

using System;
using NxCoreAPI;

class DetailedQuoteSample {
    static unsafe int OnNxCoreCallback(NxCoreSystem* pNxCoreSys, NxCoreMessage* pNxCoreMsg) {
        if (pNxCoreMsg->MessageType == NxCore.NxMSG_MMQUOTE) {
            NxCoreHeader* pHeader = &pNxCoreMsg->coreHeader;
            String symbol = new String(&pHeader->pnxStringSymbol->String);
            NxTime* pTimestamp = &pHeader->nxExgTimestamp;

            NxCoreMMQuote* pQuote = &pNxCoreMsg->coreData.MMQuote;
            NxCoreQuote* pCoreQuote = &pQuote->coreQuote;
            String marketMaker = new String(&pQuote->pnxStringMarketMaker->String);
            int sizeBid = pCoreQuote->BidSize;
            int sizeAsk = pCoreQuote->AskSize;
            double priceBid = NxCore.PriceToDouble(pCoreQuote->BidPrice, pCoreQuote->PriceType);
            double priceAsk = NxCore.PriceToDouble(pCoreQuote->AskPrice, pCoreQuote->PriceType);

            Console.WriteLine("Market Maker Quote for {0:s} at {1:d2}:{2:d2}:{3:d2} by: {4:s} Bid: {5:d} lots at ${6:f2} Ask: {7:d} lots at ${8:f2}",
                symbol, pTimestamp->Hour, pTimestamp->Minute, pTimestamp->Second, marketMaker,
                sizeBid, priceBid, sizeAsk, priceAsk);
        }
        if (pNxCoreMsg->MessageType == NxCore.NxMSG_EXGQUOTE) {
            NxCoreHeader* pHeader = &pNxCoreMsg->coreHeader;
            String symbol = new String(&pHeader->pnxStringSymbol->String);
            NxTime* pTimestamp = &pHeader->nxExgTimestamp;
            
            NxCoreExgQuote* pQuote = &pNxCoreMsg->coreData.ExgQuote;
            if (pQuote->BBOChangeFlags == 0)
                return NxCore.NxCALLBACKRETURN_CONTINUE;
            int sizeBid = pQuote->BestBidSize;
            int sizeAsk = pQuote->BestAskSize;
            double priceBid = NxCore.PriceToDouble(pQuote->BestBidPrice, pQuote->coreQuote.PriceType);
            double priceAsk = NxCore.PriceToDouble(pQuote->BestAskPrice, pQuote->coreQuote.PriceType);
            
            Console.WriteLine("New NBBO Quote for {0:s} on at {1:d2}:{2:d2}:{3:d2} Bid: {4:d} lots at ${5:f2} Ask: {6:d} lots at ${7:f2}",
                symbol, pTimestamp->Hour, pTimestamp->Minute, pTimestamp->Second,
                sizeBid, priceBid, sizeAsk, priceAsk);
        }
        return NxCore.NxCALLBACKRETURN_CONTINUE;
    }

    static unsafe void Main(string[] args) {
        if (args.Length < 1)
            return;
        int returnValue = NxCore.ProcessTape(args[0], null, 0, 0, DetailedQuoteSample.OnNxCoreCallback);
        NxCore.processReturnValue(returnValue);
    }
}

Market Maker Quote

NxMSG_MMQUOTE type messages are used for both Market Maker quotes (often referred to as Level 2 quotes) as well as market by price books. The pnxStringMarketMaker field contains either the Market Maker ID or "D" followed by the depth in the book.

if (pNxCoreMsg->MessageType == NxCore.NxMSG_MMQUOTE) {
    ...
    NxCoreMMQuote* pQuote = &pNxCoreMsg->coreData.MMQuote;
    NxCoreQuote* pCoreQuote = &pQuote->coreQuote;
    String marketMaker = new String(&pQuote->pnxStringMarketMaker->String);
    int sizeBid = pCoreQuote->BidSize;
    int sizeAsk = pCoreQuote->AskSize;
    double priceBid = NxCore.PriceToDouble(
        pCoreQuote->BidPrice, pCoreQuote->PriceType);
    double priceAsk = NxCore.PriceToDouble(
        pCoreQuote->AskPrice, pCoreQuote->PriceType);
    ...
}

NBBO Quote

For feeds with multiple reporting exchanges, an NBBO will be maintained in the ExgQuote object. BBOChangeFlags is a bitmap of which fields in the NBBO changed as the result of the exchange quote in coreQuote. The price type for the NBBO prices is PriceType in coreQuote.

if (pNxCoreMsg->MessageType == NxCore.NxMSG_EXGQUOTE) {
    ...
    NxCoreExgQuote* pQuote = &pNxCoreMsg->coreData.ExgQuote;
    if (pQuote->BBOChangeFlags == 0)
        return NxCore.NxCALLBACKRETURN_CONTINUE;
    int sizeBid = pQuote->BestBidSize;
    int sizeAsk = pQuote->BestAskSize;
    double priceBid = NxCore.PriceToDouble(
        pQuote->BestBidPrice, pQuote->coreQuote.PriceType);
    double priceAsk = NxCore.PriceToDouble(
        pQuote->BestAskPrice, pQuote->coreQuote.PriceType);
    ...
}

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