GetL2Snapshot
Last updated
Last updated
Category: User Permissions: Public Call Type: Synchronous
Provides a current Level 2 snapshot of a specific instrument trading on an Order Management System to a user-determined market depth. The Level 2 snapshot allows the user to specify the level of market depth information on either side of the bid and ask.
Depth in this call is "depth of market," the number of buyers and sellers at greater or lesser prices in the order book for the instrument.
Key | Value |
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The response is an array of elements for one specific instrument, the number of elements corresponding to the market depth specified in the Request. It is sent as an uncommented, comma-delimited list of numbers. The example is commented. The Level2UpdateEvent contains the same data, but is sent by the OMS whenever trades occur. To receive Level2UpdateEvents, a user must subscribe to Level2UpdateEvents.
Key | Value |
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OMSId
integer. The ID of the Order Management System where the instrument is traded.
InstrumentId
integer. The ID of the instrument that is the subject of the snapshot.
Depth
integer. Depth of the market — the number of buyers and sellers at greater or lesser prices in the order book for the instrument. Defaults to 100.
Account Id
integer. Number to identify account.
ActionDateTime
long integer.. ActionDateTime identifies the time and date that the snapshot was taken or the event occurred, in POSIX format X 1000 (milliseconds since 1 January 1970).
ActionType
integer. L2 information provides price data. This value shows whether this data is: 0 new 1 update 2 deletion
LastTradePrice
real. The price at which the instrument was last traded.
Order Id
integer. Number to identify order.
Price
real. Bid or Ask price for the Quantity (see Quantity below).
ProductPairCode
integer. ProductPairCode is the same value and used for the same purpose as InstrumentID. The two are completely equivalent. InstrumentId 47 = ProductPairCode 47.
Quantity
real. Quantity available at a given Bid or Ask price (see Price above).
Side
integer. One of: 0 Buy 1 Sell 2 Short (reserved for future use) 3 Unknown (error condition)