NxMSG_MMQUOTE

NxMSG_MMQUOTE message

The second parameter to the NxCoreCallback function, NxCoreMessage, holds the symbol and session information in pNxCoreMessage->coreHeader, and data information in pNxCoreMessage->coreData.MMQuote, which is a NxCoreMMQuote data structure.

Sent for every Market Maker Quote ("level 2") from either Nasdaq SuperMontage, Intermarket quotes on Nasdaq issues (e.g. Cincinnati -- ISLD, pacific -- ARCA), or Nasdaq Intermarket quotes on listed (NYSE/AMEX) securities. A typical trading day will have 40+ million or so of these messages. MMQuotes contain Market Maker identifiers and quote types in addition to bid and ask prices, sizes, condition codes and price/size changes. For depth messages, the market makers will be D1/D2/D3/D4/D5/D6/D7/D8/D9/D10 to signify the 5 or 10 levels of depth

Simplest example

Here's the simplest example.

#include "NxCoreAPI.h"
int processNxCoreMMQuote(const NxCoreSystem* pNxCoreSys, const NxCoreMessage* pNxCoreMsg)
{
    return NxCALLBACKRETURN_CONTINUE;
}
int __stdcall OnNxCoreCallback(const NxCoreSystem* pNxCoreSys, const NxCoreMessage* pNxCoreMsg)
{
    switch( pNxCoreMsg->MessageType ) {
        case NxMSG_STATUS:       break;
        case NxMSG_EXGQUOTE:     break;
        case NxMSG_MMQUOTE:      return processNxCoreMMQuote(pNxCoreSys, pNxCoreMsg);
        case NxMSG_TRADE:        break;
        case NxMSG_CATEGORY:     break;
        case NxMSG_SYMBOLCHANGE: break;
        case NxMSG_SYMBOLSPIN:   break;
    }
    return NxCALLBACKRETURN_CONTINUE;
}

Example

Here's an example of printing out every Level 2 quote that happens

C++ Java Python

#define _CRT_SECURE_NO_WARNINGS
#include <stdio.h>
#include "NxCoreAPI.h"
#include "NxCoreAPI_Wrapper_C++.h"              
              
NxCoreClass NxCore;              

int __stdcall nxCoreCallback(const NxCoreSystem* pNxCoreSys, const NxCoreMessage* pNxCoreMessage)
{
    switch (pNxCoreMessage->MessageType) {
        case NxMSG_MMQUOTE:
            const NxCoreHeader&   ch = pNxCoreMessage->coreHeader;
            const NxCoreMMQuote&  mm = pNxCoreMessage->coreData.MMQuote;
            const NxCoreQuote&    cq = mm.coreQuote;
            const NxTime& t = pNxCoreSys->nxTime;    
       
            char buf[1024] = {0};
            char* p = buf;    
    
            if (cq.BidPriceChange || cq.BidSizeChange)
            {
                p += sprintf(p, "MM_bid(%d @ %.2f)[%s|%d] ",
                    cq.BidSize,
                    NxCore.PriceToDouble(cq.BidPrice, cq.PriceType),
                    mm.pnxStringMarketMaker->String,
                    ch.ReportingExg);
            }
            if (cq.AskPriceChange || cq.AskSizeChange)
            {
                p += sprintf(p, "MM_ask(%d @ %.2f)[%s|%d] ",
                    cq.AskSize,
                    NxCore.PriceToDouble(cq.AskPrice, cq.PriceType),
                    mm.pnxStringMarketMaker->String,
                    ch.ReportingExg);
            }
            if (p > buf)
            {
                printf("%02d:%02d:%02d.%03d %s %s\n",
                    (int) t.Hour, (int) t.Minute, (int) t.Second, (int) t.Millisecond,
                    pNxCoreMessage->coreHeader.pnxStringSymbol->String, buf);
            }
    
            break;
    }
    return NxCALLBACKRETURN_CONTINUE;
}  

int main(int argc, char** argv)
{
    if (!NxCore.LoadNxCore("NxCoreAPI64.dll") &&
        !NxCore.LoadNxCore("NxCoreAPI.dll"))
    {
        printf("loading library failed\n");
        return -1;
    }
    NxCore.ProcessTape(argv[1], 0, NxCF_EXCLUDE_CRC_CHECK, 0, nxCoreCallback);
    return 0;
}

import net.nanex.NxCoreClass;
class MMQuoteSample extends NxCoreClass{
    
    @Override
    public int OnNxCoreCallback(NxCoreSystem nxCoreSys, NxCoreMessage nxCoreMsg) {
        switch (nxCoreMsg.MessageType) {
            case defines.NxMSG_MMQUOTE:
                NxCoreHeader   ch = nxCoreMsg.coreHeader;
                NxCoreMMQuote  mm = nxCoreMsg.coreData.MMQuote;
                NxCoreQuote    cq = mm.coreQuote;
                NxTime t = ch.nxExgTimestamp;
                String buf = "";    
                
                if (cq.BidPriceChange != 0 || cq.BidSizeChange != 0) {
                    buf += String.format("MM_bid(%d @ %.2f)[%s|%d] ",
                        cq.BidSize,
                        PriceToDouble(cq.BidPrice, cq.PriceType),
                        mm.pnxStringMarketMaker.String,
                        ch.ReportingExg);
                }
                if (cq.AskPriceChange != 0 || cq.AskSizeChange != 0) {
                    buf += String.format("MM_ask(%d @ %.2f)[%s|%d] ",
                        cq.AskSize,
                        PriceToDouble(cq.AskPrice, cq.PriceType),
                        mm.pnxStringMarketMaker.String,
                        ch.ReportingExg);
                }
                
                if (buf.length() > 0) {
                    System.out.println(String.format("%02d:%02d:%02d.%03d %s %s",
                        t.Hour, t.Minute, t.Second, t.Millisecond,
                        nxCoreMsg.coreHeader.pnxStringSymbol.String, buf));
                }
                break;
        }
        return defines.NxCALLBACKRETURN_CONTINUE;
    }

    public static void main(String args[]) {
        MMQuoteSample nxCore = new MMQuoteSample();

        if (nxCore.LoadNxCore("NxCoreAPI64.dll") != 0){
            nxCore.ProcessTape(args[0], 0, defines.NxCF_EXCLUDE_CRC_CHECK, 0);
        }
        else
            System.out.println("loading library failed");
    }
}

import NxCore

tapePath = ""

def OnNxCoreCallback(NxCoreSys, NxCoreMsg):
    if NxCoreMsg.MessageType == NxCore.NxMSG_MMQUOTE:
        ch = NxCoreMsg.coreHeader
        mm = NxCoreMsg.coreData.MMQuote
        cq = mm.coreQuote
        t = ch.nxExgTimestamp
        
        buf = "" 
        
        if cq.BidPriceChange or cq.BidSizeChange:
            buf += "MM_bid({} @ {:.2f})[{}|{}] ".format(
                cq.BidSize,
                NxCore.PriceToDouble(cq.BidPrice, cq.PriceType),
                mm.pnxStringMarketMaker.String,
                ch.ReportingExg);
        if cq.AskPriceChange or cq.AskSizeChange:
            buf += "MM_ask({} @ {:.2f})[{}|{}] ".format(
                cq.AskSize,
                NxCore.PriceToDouble(cq.AskPrice, cq.PriceType),
                mm.pnxStringMarketMaker.String,
                ch.ReportingExg);
        
        if len(buf) > 0:
            print("{:02d}:{:02d}:{:02d}.{:03d} {} {}".format(
                t.Hour, t.Minute, t.Second, t.Millisecond,
                NxCoreMsg.coreHeader.pnxStringSymbol.String, buf));
    return NxCore.NxCALLBACKRETURN_CONTINUE

if NxCore.LoadNxCore("NxCoreAPI64.dll"):
    returnValue = NxCore.ProcessTape(tapePath, 0, NxCore.NxCF_EXCLUDE_CRC_CHECK, 0, OnNxCoreCallback)
else:
    print("loading library failed")

API Documentation