NxCoreQuote

The structure NxCoreQuote is defined in NxCoreAPI.h as:


struct NxCoreQuote {
    int           AskSize;
    int           BidSize;
    int           AskSizeChange;
    int           BidSizeChange;
    int           AskPrice;
    int           BidPrice;
    int           AskPriceChange;
    int           BidPriceChange;
    unsigned char PriceType;
    unsigned char Refresh;
    unsigned char QuoteCondition;
    unsigned char NasdaqBidTick;
    unsigned char alignment[4];
};

AskSize

Represents the size of the current Ask from the exchange NxCoreMessage.coreHeader.ReportingExg. For US level 1 equity quotes, the AskSize represents the number of round lots (a round lot is 100 shares in this case). For other equity quotes, the AskSize represents the number of shares. For options contracts, the AskSize represents the number of option contracts. The size fields are set to the values as sent by the exchanges.

BidSize

Represents the size of the current Bid from the exchange NxCoreMessage.coreHeader.ReportingExg. For US level 1 equity quotes, the BidSize represents the number of round lots (a round lot is 100 shares in this case). For other equity quotes, the BidSize represents the number of shares. For options contracts, the BidSize represents the number of option contracts. The size fields are set to the values as sent by the exchanges.

AskSizeChange

Represents the changes (if any) of the AskSize since the last ExgQuote was processed from the same NxCoreMessage.coreHeader.ReportingExg. It is important that you remember this change field applies to the last ExgQuote update from the same NxCoreMessage.coreHeader.ReportingExg, and not just the last quote (though the last quote could be from the same exchange).

These price and size change fields are computed by NxCoreAPI at practically zero CPU and memory costs. Having the quote change data readily available in memory removes the burden of storing and retrieving an exchange quote record for each reporting exchange should one or more of your analysis require that information for processing.

BidSizeChange

Represents the changes (if any) of the BidSize since the last ExgQuote was processed from the same NxCoreMessage.coreHeader.ReportingExg. It is important that you remember this change field applies to the last ExgQuote update from the same NxCoreMessage.coreHeader.ReportingExg, and not just the last quote (though the last quote could be from the same exchange).

AskPrice

Represent the value of the current ask from the exchange identified as NxCoreMessage.coreHeader.ReportingExg.

Use member PriceType to convert to double: nxCoreClass.PriceToDouble(AskPrice, PriceType)

BidPrice

Represent the value of the current bid from the exchange identified as NxCoreMessage.coreHeader.ReportingExg.

Use member PriceType to convert to double: nxCoreClass.PriceToDouble(BidPrice, PriceType)

AskPriceChange

Represents the changes (if any) of the AskPrice since the last ExgQuote was processed from the same NxCoreMessage.coreHeader.ReportingExg. It is important that you remember this change field applies to the last ExgQuote update from the same NxCoreMessage.coreHeader.ReportingExg, and not just the last quote (though the last quote could be from the same exchange).

Use member PriceType to convert to double: nxCoreClass.PriceToDouble(AskPriceChange, PriceType)

BidPriceChange

Represents the changes (if any) of the BidPrice since the last ExgQuote was processed from the same NxCoreMessage.coreHeader.ReportingExg. It is important that you remember this change field applies to the last ExgQuote update from the same NxCoreMessage.coreHeader.ReportingExg, and not just the last quote (though the last quote could be from the same exchange).

Use member PriceType to convert to double: nxCoreClass.PriceToDouble(BidPriceChange, PriceType)

PriceType

AskPrice, AskPriceChange, BidPrice, and BidPriceChange always have the same PriceType

For some equities that are quoted on multiple exchanges, PriceType may change from quote to quote, as some exchanges uses more decimal precision than others. There are exported functions which allow you to convert between price types, and compare prices with different price types that are discussed in NxPriceType.

Refresh

If a quote is real-time, Refresh will be zero, otherwise it's one of:

#define	Value	Comments
NxQTE_REFRESH_REALTIME	0	This quote is real-time, not refreshed
NxQTE_REFRESH_SOURCE	1	The source of the data has refreshed quote. Only seen for Market Makers in morning reset
NxQTE_REFRESH_MISMATCH	2	A mismatch detected in NxCore processors from last received quote information.
NxQTE_REFRESH_SYNCHRONIZE	3	NxCore processors are resending last known quotes to ensure synchronization. Rare.

QuoteCondition

Quote condition assigned by exchange, from the NxST_QUOTECONDITION table

QuoteCondition is non-zero if the quote condition is not Regular. For a list of all Quote Conditions and what they mean, see NxQuoteCondition.

NasdaqBidTick

The data member NasdaqBidTick is set to a non-zero value for Nasdaq Stocks with a bid tick. This value comes from Nasdaq.

For Nasdaq stocks only, one of:

#define	Value	Comments
NxQTE_NASDBIDTICK_NA	0	bid tick is not applicable for symbol.
NxQTE_NASDBIDTICK_UP	1	set when bid tick is up.
NxQTE_NASDBIDTICK_DN	2	set when bid tick is down.
NxQTE_NASDBIDTICK_NO	3	NASDAQ stock that does not carry a bid tick (small caps, etc)

API Documentation