Detailed Quotes

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Basic:	Intro/Trade	Quote	Category	Status	Symbol	Options
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

import net.nanex.NxCoreClass;
class DetailedQuoteSample extends NxCoreClass{
    
    @Override
    public int OnNxCoreCallback(NxCoreSystem nxCoreSys, NxCoreMessage nxCoreMsg) {
        if (nxCoreMsg.MessageType ==  defines.NxMSG_MMQUOTE) {
            NxCoreHeader header = nxCoreMsg.coreHeader;
            String symbol = header.pnxStringSymbol.String;
            NxTime timestamp = header.nxExgTimestamp;

            NxCoreMMQuote quote = nxCoreMsg.coreData.MMQuote;
            NxCoreQuote coreQuote = quote.coreQuote;
            String marketMaker =  quote.pnxStringMarketMaker.String;
            int sizeBid = coreQuote.BidSize;
            int sizeAsk = coreQuote.AskSize;
            double priceBid = PriceToDouble(coreQuote.BidPrice, coreQuote.PriceType);
            double priceAsk = PriceToDouble(coreQuote.AskPrice, coreQuote.PriceType);

            System.out.println("Market Maker Quote for " + symbol + " at "
                + String.format("%02d:%02d:%02d", timestamp.Hour, timestamp.Minute, timestamp.Second)
                + " by: " + marketMaker + " Bid: " + sizeBid + " lots at $" + String.format("%.2f", priceBid)
                + " Ask: " + sizeAsk + " lots at $" + String.format("%.2f", priceAsk));
        }
        if (nxCoreMsg.MessageType ==  defines.NxMSG_EXGQUOTE) {
            NxCoreHeader header = nxCoreMsg.coreHeader;
            String symbol = header.pnxStringSymbol.String;
            NxTime timestamp = header.nxExgTimestamp;

            NxCoreExgQuote quote = nxCoreMsg.coreData.ExgQuote;
            if (quote.BBOChangeFlags == 0)
                return defines.NxCALLBACKRETURN_CONTINUE;
            int sizeBid = quote.BestBidSize;
            int sizeAsk = quote.BestAskSize;
            double priceBid = PriceToDouble(quote.BestBidPrice, quote.coreQuote.PriceType);
            double priceAsk = PriceToDouble(quote.BestAskPrice, quote.coreQuote.PriceType);

            System.out.println("New NBBO Quote for " + symbol + " at "
                + String.format("%02d:%02d:%02d", timestamp.Hour, timestamp.Minute, timestamp.Second)
                + " Bid: " + sizeBid + " lots at $" + String.format("%.2f", priceBid)
                + " Ask: " + sizeAsk + " lots at $" + String.format("%.2f", priceAsk));
        }
        return defines.NxCALLBACKRETURN_CONTINUE;
    }
    
    public static void main(String args[]) {
        TradeSample nxCore = new TradeSample();

        if (args.length > 1 && nxCore.LoadNxCore(args[0]) != 0){
            int returnValue = nxCore.ProcessTape(args[1], 0, 0, 0);
            nxCore.ProcessReturnValue(returnValue);
        }
        else
            System.out.println("loading library failed");
    }
}

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 (nxCoreMsg.MessageType ==  defines.NxMSG_MMQUOTE) {
    ...
    NxCoreMMQuote quote = nxCoreMsg.coreData.MMQuote;
    NxCoreQuote coreQuote = quote.coreQuote;
    String marketMaker =  quote.pnxStringMarketMaker.String;
    int sizeBid = coreQuote.BidSize;
    int sizeAsk = coreQuote.AskSize;
    double priceBid = PriceToDouble(
        coreQuote.BidPrice, coreQuote.PriceType);
    double priceAsk = PriceToDouble(
        coreQuote.AskPrice, coreQuote.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 (nxCoreMsg.MessageType ==  defines.NxMSG_EXGQUOTE) {
    ...
    NxCoreExgQuote quote = nxCoreMsg.coreData.ExgQuote;
    if (quote.BBOChangeFlags == 0)
        return defines.NxCALLBACKRETURN_CONTINUE;
    int sizeBid = quote.BestBidSize;
    int sizeAsk = quote.BestAskSize;
    double priceBid = PriceToDouble(
        quote.BestBidPrice, quote.coreQuote.PriceType);
    double priceAsk = PriceToDouble(
        quote.BestAskPrice, quote.coreQuote.PriceType);
    ...
}

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