API Documentation

NxCoreStateMMQuote

One of a number of market maker quotes in NxCoreStateMMQuotes.StateMMQuotes

The struct NxCoreStateMMQuote is defined in NxCoreAPI.h as:

struct NxCoreStateMMQuote {
    int                 AskPrice;
    int                 BidPrice;
    int                 AskSize;
    int                 BidSize;
    NxString*           pnxStringMarketMaker;
    unsigned char       MarketMakerType;
    unsigned char       QuoteType;
    unsigned char       alignment[2];
};

AskPrice

Represents the value of the current ask from the market maker identified as pnxStringMarketMaker.

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

BidPrice

Represents the value of the current bid from the market maker identified as pnxStringMarketMaker.

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

AskSize

Represents the size of the current Ask from the market maker identified as pnxStringMarketMaker. For most equities, the AskSize represents the number of round lots (a round lot is 100 shares in this case). 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 market maker identified as pnxStringMarketMaker. For most equities, the BidSize represents the number of round lots (a round lot is 100 shares in this case). For options contracts, the BidSize represents the number of option contracts. The size fields are set to the values as sent by the exchanges.

pnxStringMarketMaker

Described here

MarketMakerType

Described here

QuoteType

Described here

Example

Here's an example of getting the MM quote information for every symbol that trades

#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_TRADE:
        {
            // If this is an option exit out....options don't have market maker data which is what we
            // want to retrive below.
            if (pNxCoreMessage->coreHeader.pnxStringSymbol->String[0]=='o') return NxCALLBACKRETURN_CONTINUE;

            const NxCoreHeader& ch = pNxCoreMessage->coreHeader;
            const NxTime&       t  = pNxCoreSys->nxTime;

            // First get exchange quotes so we have a list of possible exchanges to query for MM states
            NxCoreStateExgQuotes q;
            int rc = NxCore.StateGetExgQuotes(&q, pNxCoreMessage->coreHeader.pnxStringSymbol);
            if (rc != 0)
            {
                break;
            }

            char buf[16 * 1024];

            // Cycle through the exchanges returned in exg state quotes
            for (int eqi = 0; eqi < q.StateQuoteCount; eqi++)
            {

                // Now get the Market Maker state quotes for symbol and for the specific exchange
                NxCoreStateMMQuotes mmq;
                rc = NxCore.StateGetMMQuotes(q.StateExgQuotes[eqi].ReportingExg, &mmq, pNxCoreMessage->coreHeader.pnxStringSymbol);
                if (rc != 0)
                {
                    continue;
                }

                char* p = buf;
                bool printThis = false;

                p += sprintf(p, "\n  Exg[%d] ", q.StateExgQuotes[eqi].ReportingExg);

                // Now cycle through the state quotes and print data
                for (int i = 0; i < mmq.StateQuoteCount; i++)
                {
                    const NxCoreStateMMQuote& mm = mmq.StateMMQuotes[i];

                    if (mm.BidPrice > 0 && mm.BidSize > 0)
                    {
                        printThis = true;
                        p += sprintf(p, "\n     %s_bid(%ld @ %.2lf) ",
                            mm.pnxStringMarketMaker->String,
                            mm.BidSize, NxCore.PriceToDouble(mm.BidPrice, mmq.PriceType));
                    }
                    if (mm.AskPrice > 0 && mm.AskSize > 0)
                    {
                        printThis = true;
                        p += sprintf(p, "\n     %s_ask(%ld @ %.2lf) ",
                            mm.pnxStringMarketMaker->String,
                            mm.AskSize, NxCore.PriceToDouble(mm.AskPrice, mmq.PriceType));
                    }
                }
                if (printThis)
                {
                    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"))
    {
        fprintf(stderr, "loading library failed\n");
        return -1;
    }
    NxCore.ProcessTape(argv[1], 0, NxCF_EXCLUDE_CRC_CHECK, 0, nxCoreCallback);
    return 0;
}

import net.nanex.NxCoreClass;
class StateMMQuoteSample extends NxCoreClass{

    @Override
    public int OnNxCoreCallback(NxCoreSystem nxCoreSys, NxCoreMessage nxCoreMsg) {
        switch (nxCoreMsg.MessageType)
        {
            case defines.NxMSG_TRADE:
                NxCoreHeader ch = nxCoreMsg.coreHeader;
                NxTime t = nxCoreSys.nxTime;

                 // If this is an option exit out....options don't have market maker data which is what we
                // want to retrive below.
                if (ch.pnxStringSymbol.String.charAt(0)=='o') return defines.NxCALLBACKRETURN_CONTINUE;

                // First get exchange quotes so we have a list of possible exchanges to query for MM states
                NxCoreStateExgQuotes q = StateGetExgQuotes(ch.ListedExg, ch.pnxStringSymbol.String);
                if(q == null)
                    break;

                // Cycle through the exchanges returned in exg state quotes
                for(int eqi = 0; eqi < q.StateQuoteCount; eqi++) {
                    // Now get the Market Maker state quotes for symbol and for the specific exchange.
                    // Due to lack of pointers in Java, the parameters are slightly different for StateGetMMQuotes
                    // The parameters are Reporting Exchange, Listed Exchange, and Symbol String
                    NxCoreStateMMQuotes mmq = StateGetMMQuotes(q.StateExgQuotes[eqi].ReportingExg, ch.ListedExg, ch.pnxStringSymbol.String);
                    if(mmq == null)
                        continue;

                    String quoteString = "";
                    boolean printThis = false;

                    quoteString += String.format("\n  Exg[%d] ", q.StateExgQuotes[eqi].ReportingExg);

                    // Now cycle through the state quotes and print data
                    for(int i = 0; i < mmq.StateQuoteCount; i++) {
                        NxCoreStateMMQuote mm = mmq.StateMMQuotes[i];

                        if (mm.BidPrice > 0 && mm.BidSize > 0) {
                            printThis = true;
                            quoteString += String.format("\n     %s_bid(%d @ %.2f) ",
                                mm.pnxStringMarketMaker.String,
                                mm.BidSize, PriceToDouble(mm.BidPrice, mmq.PriceType));
                        }
                        if (mm.AskPrice > 0 && mm.AskSize > 0) {
                            printThis = true;
                            quoteString += String.format("\n     %s_ask(%d @ %.2f) ",
                                mm.pnxStringMarketMaker.String,
                                mm.AskSize, PriceToDouble(mm.AskPrice, mmq.PriceType));
                        }
                    }
                    if (printThis)
                    {
                    System.out.println(
                        String.format("%02d:%02d:%02d.%03d %s %s",
                        t.Hour, t.Minute, t.Second, t.Millisecond, ch.pnxStringSymbol.String, quoteString));
                    }
                }
                break;
        }
        return defines.NxCALLBACKRETURN_CONTINUE;
    }

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

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

import NxCore

tapePath = ""

def OnNxCoreCallback(NxCoreSys, NxCoreMsg):
    if NxCoreMsg.MessageType == NxCore.NxMSG_TRADE:


        ch = NxCoreMsg.coreHeader
        t = NxCoreSys.nxTime

        # If this is an option exit out....options don't have market maker data which is what we
        # want to retrive below.
        if ch.pnxStringSymbol.String[0] == 'o':# If an option....
            return NxCore.NxCALLBACKRETURN_CONTINUE

        #First get exchange quotes so we have a list of possible exchanges to query for MM states
        q = NxCore.StateGetExgQuotes(ch.ListedExg, ch.pnxStringSymbol.String)
        if not q:
            return NxCore.NxCALLBACKRETURN_CONTINUE

        # Cycle through the exchanges returned in exg state quotes
        for eqi in range(q.StateQuoteCount):

            # Now get the Market Maker state quotes for symbol and for the specific exchange.
            # Due to lack of pointers in Java, the parameters are slightly different for StateGetMMQuotes
            # The parameters are Reporting Exchange, Listed Exchange, and Symbol String
            mmq = NxCore.StateGetMMQuotes(q.StateExgQuotes[eqi].ReportingExg, ch.ListedExg, ch.pnxStringSymbol.String)
            if not mmq:
                return NxCore.NxCALLBACKRETURN_CONTINUE

            printThis = False;
            quoteString = "\n  Exg[{}] ".format(q.StateExgQuotes[eqi].ReportingExg);

            # Now cycle through the state quotes and print data
            for i in range(mmq.StateQuoteCount):
                mm = mmq.StateMMQuotes[i]
                if mm.BidPrice > 0 and mm.BidSize > 0:
                    printThis = True
                    quoteString += "\n     {}_bid({} @ {:.2f}) ".format(
                        mm.pnxStringMarketMaker.String,
                        mm.BidSize, NxCore.PriceToFloat(mm.BidPrice, mmq.PriceType))
                if mm.AskPrice > 0 and mm.AskSize > 0 :
                    printThis = True
                    quoteString += "\n     {}_ask({} @ {:.2f}) ".format(
                        mm.pnxStringMarketMaker.String,
                    mm.AskSize, NxCore.PriceToFloat(mm.AskPrice, mmq.PriceType))

            if printThis:
                print("{:02d}:{:02d}:{:02d}.{:03d} {} {}"
                .format(t.Hour, t.Minute, t.Second, t.Millisecond, ch.pnxStringSymbol.String, quoteString))
    return NxCore.NxCALLBACKRETURN_CONTINUE

if NxCore.LoadNxCore("NxCoreAPI64.dll"):
    NxCore.ProcessTape(tapePath, 0, 0, 0, OnNxCoreCallback)
else:
    print("loading library failed")
NxCore API Documentation. Copyright Nanex, LLC and Eric Scott Hunsader, 2003- ©. All rights reserved.