Class MboAnnotatedTrade

Namespace

ATAS.DataFeedsCore

Assembly

ATAS.DataFeedsCore.dll

Trade fill enriched with MBO-derived classification and matching-event metadata.

Added in ATAS 8.0.15.

public sealed class MboAnnotatedTrade

Inheritance

object

MboAnnotatedTrade

Extension Methods

Extensions.ConvertToMyTrade<T>(T, Portfolio, Security, Action<MyTrade, T>)

LoggerHelper.DisposeLogger(object)

LoggerHelper.LogDebug(object, string, params object?[])

LoggerHelper.LogError(object, string, Exception, bool)

LoggerHelper.LogError(object, string, params object?[])

LoggerHelper.LogFatal(object, string, Exception, bool)

LoggerHelper.LogInfo(object, string, params object?[])

LoggerHelper.LogWarn(object, string, params object?[])

Constructors

MboAnnotatedTrade()

public MboAnnotatedTrade()

Properties

AggressorEventVolume

Gets or sets the total volume filled by the same aggressor within the matching event; 0 when RoundIndex is -1. The same applies to the other Aggressor* aggregates.

public decimal AggressorEventVolume { get; set; }

Property Value

decimal

AggressorFirstPrice

Gets or sets the price of the first fill of the aggressor within the matching event.

public decimal AggressorFirstPrice { get; set; }

Property Value

decimal

AggressorLastPrice

Gets or sets the price of the last fill of the aggressor within the matching event.

public decimal AggressorLastPrice { get; set; }

Property Value

decimal

AggressorMaxPrice

Gets or sets the highest fill price of the aggressor within the matching event.

public decimal AggressorMaxPrice { get; set; }

Property Value

decimal

AggressorMinPrice

Gets or sets the lowest fill price of the aggressor within the matching event.

public decimal AggressorMinPrice { get; set; }

Property Value

decimal

AggressorOrderId

Gets or sets the exchange order id of the aggressor order; null when the feed does not provide it.

public long? AggressorOrderId { get; set; }

Property Value

long?

AggressorPassiveOrderCount

Gets or sets the number of distinct passive orders the aggressor filled against within the matching event; fills without a passive order id are not counted.

public int AggressorPassiveOrderCount { get; set; }

Property Value

int

AggressorPriceLevels

Gets or sets the number of distinct prices the aggressor filled at within the matching event.

public int AggressorPriceLevels { get; set; }

Property Value

int

AggressorPriceRange

Gets or sets the difference between AggressorMaxPrice and AggressorMinPrice, in price units.

public decimal AggressorPriceRange { get; set; }

Property Value

decimal

AggressorTradeCount

Gets or sets the number of fills of the aggressor within the matching event.

public int AggressorTradeCount { get; set; }

Property Value

int

Direction

Gets or sets the aggressor side of the fill.

public TradeDirection Direction { get; set; }

Property Value

TradeDirection

EventMs

Gets or sets the time of the matching event this fill belongs to, in milliseconds since the Unix epoch (UTC).

public long EventMs { get; set; }

Property Value

long

EventTicks

Gets or sets the System.DateTime.Ticks of the first fill of the matching event this fill belongs to; fills of one matching event share the value.

public long EventTicks { get; set; }

Property Value

long

Id

Gets or sets the trade identifier reported by the feed.

public long Id { get; set; }

Property Value

long

IsSweep

Gets or sets a value indicating whether the aggressor filled at more than one price level within the matching event.

public bool IsSweep { get; set; }

Property Value

bool

Kind

Gets or sets the classification of the fill.

public MboTradeKind Kind { get; set; }

Property Value

MboTradeKind

OpenInterest

Gets or sets the open interest reported with the fill.

public decimal OpenInterest { get; set; }

Property Value

decimal

PassiveOrderId

Gets or sets the exchange order id of the resting (passive) order; null when the feed does not provide it.

public long? PassiveOrderId { get; set; }

Property Value

long?

Price

Gets or sets the fill price.

public decimal Price { get; set; }

Property Value

decimal

RoundIndex

Gets or sets the zero-based index of the aggressor round within the matching event: 0 is the initiating aggressor, higher indices are orders triggered by it (classified as Stop); -1 when the fill cannot be classified (no aggressor order id or no buy/sell direction).

public int RoundIndex { get; set; }

Property Value

int

Sequence

Gets or sets the arrival order of the fill assigned by the classifier; orders fills that share EventTicks. Restarts from 0 when the analytics are reset.

public long Sequence { get; set; }

Property Value

long

Time

Gets or sets the time of the fill reported by the feed (UTC).

public DateTime Time { get; set; }

Property Value

DateTime

Volume

Gets or sets the fill volume.

public decimal Volume { get; set; }

Property Value

decimal