GetLevel1

Category: User Permissions: GetLevel1, Trading Call Type: Synchronous

Provides a current Level 1 snapshot (best bid, best offer) of a specific instrument trading on an Order Management System. The Level 1 snapshot does not allow the user to specify the level of market depth information on either side of the bid and ask.

Request

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

OMSId

integer. The ID of the OMS on which the snapshot will be taken.

InstrumentId

integer. The ID of the instrument whose Level 1 market snapshot will be taken.

Response

productPairCode is the same as InstrumentId. The two are synonymous and refer to the same object.

{
  "exchangeId": 0,
  "productPairCode": 0,
  "bestBid": 0.0,
  "bestOffer": 0.0,
  "volume": 0.0,
  "lastTradedPx": 0.0,
  "lastTradedVolume": 0.0,
  "lastTradeTime": 0,
  "timeStamp": 0,
  "bidQty": 0.0,
  "askQty": 0.0,
  "bidOrderCt": 0,
  "askOrderCt": 0,
  "sessionOpen": 0.0,
  "sessionHigh": 0.0,
  "sessionLow": 0.0,
  "sessionClose": 0.0,
  "currentDayVolume": 0.0,
  "currentDayNumTrades": 0.0,
  "currentDayPxChange": 0.0,
  "currentNotional": 0.0,
  "rolling24HrNotional": 0.0,
  "rolling24HrVolume": 0.0,
  "rolling24NumTrades": 0.0,
  "rolling24HrPxChange": 0.0,
  "rolling24HrPxChangePercent": 0.0
} 
KeyValue

exchangeId

integer. The ID of the exchange whose snapshot was taken.

productPairCode

integer. The ID of the instrument (the product pair) whose prices, bids, asks, and volumes are being reported.

bestBid

real. The current best bid for the instrument (product pair).

bestOffer

real. The current best offer for the instrument (product pair).

volume

real. The unit volume of the instrument traded, either during a true session (with a market open and close), or in 24-hour markets, it is the period from UTC Midnight to UTC Midnight, regardless of the nominal location of the market.

lastTradedPX

real. The last-traded price for the instrument.

lastTradedVolume

real. The last quantity that was traded.

lastTradeTime

real. The last time that the instrument was traded.

timeStamp

real. The date and time of this snapshot.

bidQty

real. The quantity currently being bid.

askQty

real. The quantity currently being asked.

bidOrderCt

integer. The count of bid orders.

askOrderCt

integer. The count of ask orders.

sessionOpen

real. Opening price. In markets with openings and closings, this is the opening price for the current session; in 24-hour markets, it is the price as of UTC Midnight beginning the current day.

sessionHigh

real. Highest price during the trading day, either during a true session (openings and closings) or UTC Midnight to UTC Midnight.

sessionLow

real. Lowest price during the trading day, either during a true session (openings and closings) or UTC Midnight to UTC Midnight.

sessionClose

real. The closing price. In markets that open and close, this is the closing price for the current or most recent session; for 24-hour markets, it is the price as of the most recent UTC Midnight.

currentDayVolume

real. The unit volume of the instrument that is the subject of the snapshot, either during a true session (openings and closings) or in 24-hour markets, during the period UTC Midnight to UTC Midnight.

currentDayNumTrades

integer. The number of trades during the current day, either during a true session (openings and closings) or in a 24-hour market the period from UTC Midnight to UTC Midnight.

currentDayPxChange

real. Change in price over the current session or from UTC Midnight to UTC Midnight.

currentNotional

decimal. Current day quote volume - resets at UTC Midnight.

rolling24HrNotional

decimal. Rolling 24 hours quote volume.

rolling24HrVolume

real. Unit volume of the instrument over the past 24 hours, regardless of time zone. This value recalculates continuously.

rolling24HrNumTrades

real. Number of trades during the past 24 hours, regardless of time zone. This value recalculates continuously.

rolling24HrPxChange

real. Price change during the past 24 hours, regardless of time zone. This value recalculates continuously.

rolling24HrPxChangePercent

real. Percent change in price during the past 24 hours.

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