GetL2Snapshot

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.

Request

{
  "OMSId": 1,
  "InstrumentId": 1,
  "Depth": 100 
}
KeyValue

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.

Response

[
    [
        0, // MDUpdateId        
        1, // Number of Unique Accounts
        123,// ActionDateTime in Posix format X 1000
        0,   // ActionType 0 (New), 1 (Update), 2(Delete)
        0.0, // LastTradePrice
        0, // Number of Orders
        0.0, //Price
        0,  // ProductPairCode
        0.0, // Quantity
        0, // Side
    ],
]

// This is how the response is sent:

[[0,1,123,0,0.0,0,0.0,0,0.0,0]]

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.

KeyValue

MDUpdateID

integer. Market Data Update ID. This sequential ID identifies the order in which the update was created.

Number of Unique Accounts

integer. Number of accounts that placed orders.

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.

Number of Orders

integer. Number of orders in the GetL2Snapshot.

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)

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