ATAS.DataFeedsCore Namespace Reference

Namespaces
namespace	Commissions
namespace	ConnectorWebsocket
namespace	Database
namespace	Dom
namespace	Exceptions
namespace	Rebate
namespace	SessionServer
namespace	Statistics
namespace	TradeStatistics

Classes
class	AsyncConnector
	Connector base that allows to use await to switch to the connector queue thread. More...
class	AsyncConnectorMessage
	Service message for passing continuations to the connector thread. More...
class	AsyncMessageQueue
class	AsyncWrapQueueMessage
	Service message for passing continuations to the queue thread. More...
class	BaseConnector
class	BaseMessageQueue
class	BasketConnector
class	BasketConnectorSettings
class	ConnectionStateEventArgs
class	ConnectorLatencyManager
class	EcnHelper
class	Exchange
class	Extensions
class	GroupExchange
class	HistoryMyTrade
	Represents a historical trade record. More...
interface	IConnectorLatencyManager
interface	IDataFeedConnector
interface	IEntity
	Represents an entity in the application. More...
interface	IEntityFactory
interface	IKnowSession
interface	ILiquidationFeed
	Provides liquidation orders stream for securities. More...
interface	IMarketByOrdersManager
	Interface for manager that provides access to market by order data. More...
interface	IMarketDataPublisher
interface	IMarketDepth
	Represents a market depth entry. More...
interface	IMessageQueue
class	InstrumentExchange
interface	IOptionsDataFeed
interface	IOrderOptionCloseOnTrigger
	Represents an order option for closing a position when triggered. More...
interface	IOrderOptionPostOnly
	Represents an order option for placing a post-only order. More...
interface	IOrderOptionReduceOnly
	Represents an order option for reducing the position size. More...
interface	IPasswordChanger
interface	ISecurityPositionManager
interface	ISecurityTradingOptions
	Represents an interface for providing trading options related to a security or trading connector. More...
interface	ISupportChangePosition
interface	ISupportResetPortfolio
interface	ISupportTPlusLimits
class	MarketByOrder
	Market by Order (MBO) describes an order-based data feed that provides the ability to view individual queue position, full depth of book and the size of individual orders at each price level. More...
class	MarketByOrdersManager
	Manager that provides access to market by order data. More...
class	MarketDepth
	Represents a market depth entry. More...
class	MarketDepthComparer
struct	Money
	Represents decimal amount in some currency. More...
class	MultiConnectorMessageQueue
class	MyTrade
	Represents a trade entity in the system. More...
class	News
class	Order
	Represents an order for trading on a financial exchange. More...
class	OvernightSwapValue
class	PnLTradesQueue
class	Portfolio
	Represents a portfolio entity with various properties related to account balance, Profit and Loss (PnL), permissions, trading options, and more. More...
class	PortfolioChange
class	PortfolioGroup
	Represents a portfolio group used in the application. More...
class	PortfolioState
class	PortfolioViewer
	Represents a portfolio viewer used in the application. More...
class	Position
	Represents a trading position. More...
class	PositionState
class	PositionTradesQueue
struct	PriceUnit
class	QueueAsyncWrap
	Allows to use the power of async / await in compatible way with IQueue interface. More...
class	Security
	Represents a security entity used in the application. More...
class	SecurityFilter
class	SecurityMargin
class	SecurityPositionManager
class	SecurityRoute
class	SecurityRouteCache
class	SecurityTradingOptions
	Each connector may have different order placement settings like TimeInForce or ReduceOnly etc. This class shows connector configuration. More...
class	ServerPnL
class	SimpleMessageQueue
class	SimpleMyTrade
class	SubscriptionCounter
class	SubscriptionManager
class	Trade
	Represents an tick on a financial exchange. More...
class	TradesTimeChecker
class	TradingOptions
class	TradingOptionsSecurity
class	UniversalMarketData
class	User
class	UserChange
class	UserChangeHistory
class	UserGroup
class	UserRole
class	UserRoleRight
struct	VolumeUnit
class	WorkingTime

Enumerations
enum	RebateResult { Valid = 0 , WrongRefCode = 1 , WrongBroker = 2 , WrongBrokerRefCode = 3 }
enum	Currencies {   USD = 0 , EUR = 1 , GBP = 2 , JPY = 3 ,   RUB = 4 , AUD = 5 , CHF = 6 , BTC = 7 ,   ETH = 8 , EOS = 9 , XRP = 10 , LTC = 11 ,   BCH = 12 , XTZ = 13 , UNI = 14 , DOT = 15 ,   ADA = 16 , LINK = 17 , USDT = 18 , BIT = 19 ,   LUNA = 20 , MANA = 21 , SOL = 22 , BUSD = 23 ,   USDC = 24 , XCH = 25 , BNB = 26 , DOGE = 27 ,   UST = 28 , AVAX = 29 , SHIB = 30 , DAI = 31 ,   MATIC = 32 , TRX = 33 , BGB = 34 , INCH = 35 ,   CNY = 36 , LOT = 10000 }
	Represents a list of currency values used in the application. More...
enum	EcnId {   NONE , NASDAQ , NYSE , SIAC ,   ISI , ISLAND , ARCA , ADFN ,   BATS , INCA , NYOB , MKXT ,   CME , ESSEX , CHIC , BRASS ,   BOS , SUMO , INET , BLZ ,   EDGX , CBOT , IPE , NYBOT ,   USFE , EUREX , EDGA , TSE ,   AMEX , CBOE , PCX , BOX ,   ISE , PHX , CMECBT , VSE ,   PENSON , OTC , NSE , MI ,   CHX , EDGE , BATX , BATY ,   EDGD , PHL , ARCX , NTRF ,   IEX , MEMX , PEARL , SMALL ,   LTSE , LSE , UNKNOWN = 255 }
enum	EntityAction {   Logon = 0 , Logout = 1 , UserAdd = 2 , UserChange = 3 ,   UserRemove = 4 , UserLock = 29 , UserKick = 30 , UserChangeExpiration = 47 ,   UserGroupAdd = 5 , UserGroupChange = 6 , UserGroupRemove = 7 , UserRoleAdd = 8 ,   UserRoleChange = 9 , UserRoleRemove = 10 , ExchangeAdd = 11 , ExchangeChange = 12 ,   ExchangeRemove = 13 , CommissionGroupAdd = 17 , CommissionGroupChange = 18 , CommissionGroupRemove = 19 ,   SecurityMarginAdd = 20 , SecurityMarginChange = 21 , SecurityMarginRemove = 22 , PortfolioAdd = 23 ,   PortfolioChange = 32 , PortfolioValue = 24 , PortfolioLock = 25 , OrderRegister = 26 ,   OrderMove = 27 , OrderCancel = 28 , NewsSend = 31 , ServerSettings = 33 ,   RequestStatistics = 34 , OrderCancelled = 35 , OrderMatched = 36 , ServerPnL = 37 ,   PortfolioSuspend = 38 , PortfolioViewerAdd = 39 , ConnectorAdd = 40 , ConnectorChange = 41 ,   ConnectorRemove = 42 , ConnectorEnable = 43 , PortfolioViewerRemove = 44 , TradeAllowed = 45 ,   PortfolioReset = 46 , GetUserChangeHistory = 48 , GetPortfolioChangeHistory = 49 }
enum	MissingDataCases { None , Opening , Closing }
	Describes what part of the HistoryMyTrade was incomplete. More...
enum	EntityType {   Security , SecurityMargin , Portfolio , Position ,   MarketDepth , Trade , Order , MyTrade ,   News , UserRole , UserGroup , User ,   UserChange , CommissionGroup , WorkingTime , Exchange ,   PortfolioChange , TradingOptions , PortfolioState , PositionState ,   Connector , MarketByOrder }
	Represents the types of entities used in the application. More...
enum	MarketByOrderUpdateTypes { Snapshot , New , Change , Delete }
	Type of market by order update. More...
enum	MarketDataDelayPeriods { Realtime , Delayed15M }
enum	MarketDataType { Bid = 0 , Ask = 1 , Trade = 2 }
	Specifies the type of market data. More...
enum	MessageType { Warning , Error , Information }
enum	NewsType { Text , Admin , Risk }
enum	OptionTypes { Put , Call }
enum	OrderDirections { Buy = 0 , Sell = 1 }
	Specifies the direction of an order. More...
enum	OrderStates { None = 0 , Active = 1 , Done = 2 , Failed = 3 }
	Represents the possible states of an order. More...
enum	OrderStatus {   None = 0 , Placed = 1 , Filled = 2 , PartlyFilled = 3 ,   Canceled = 4 }
	Represents the possible status of an order. More...
enum	OrderTypes {   Limit = 0 , Market = 1 , Stop = 2 , StopLimit = 3 ,   Unknown }
	Specifies the type of an order. More...
enum	PortfolioChangeType { IncreaseBalance , ReduceBalance , ChangeLeverage , OvernightSwap }
enum	TPlusLimits { T0 = 0 , T1 = 1 , T2 = 2 , Tx = 365 }
	Represents different T+ (settlement) periods for trading. T+ refers to the number of days it takes for a trade to settle and for the funds and securities to be exchanged between the parties involved in the transaction. More...
enum	PositionAveragePriceValueTypes {   None , ReceivedFromServer , CalculatedByAllTrades , CalculatedByPartTrades ,   NotCalculated }
	Represents different types of values for the average price of a position. The average price is the average cost of all the trades that make up a position. More...
enum	PnlPercentType { Portfolio , Margin }
	Represents the type of percentage calculation for profit and loss (PNL). More...
enum	PriceUnitTypes { Price , Tick , Percent }
enum	SecType {   Future = 0 , Forex = 1 , Stock = 2 , Bitcoin = 3 ,   CryptoFutures = 4 , Indexes = 5 , Option = 6 }
	Represents the type of security or financial instrument. More...
enum	SubscriptionType {   None = 0x0000 , Prints = 0x0001 , Best = 0x0002 , Quotes = 0x0004 ,   MarketByOrder = 0x0008 }
enum	TimeInForce {   None = 0 , GoodTillCancel = 1 << 0 , FillOrKill = 1 << 1 , ImmediateOrCancel = 1 << 2 ,   Day = 1 << 3 , Default = GoodTillCancel | FillOrKill | Day }
	Specifies the time in force options for an order. More...
enum	TradeDirection { Buy = 1 , Sell = 2 , Between = 0 }
	Represents the trade direction. More...
enum	TriggerPriceType { None = 0 , Last = 1 << 0 , Index = 1 << 1 , Mark = 1 << 2 }
	Defines price source for conditional order trigger. More...
enum	UserChangeTypes { ExtendExpirationPeriod , ReduceExpirationPeriod }
enum	VolumeUnitTypes { Absolute , Percent }

Functions
delegate void	ConnectorEventHandler (IDataFeedConnector connector)
delegate void	ConnectorEventHandler< in T > (IDataFeedConnector connector, T arg)
delegate void	ConnectorEventHandler< in T1, in T2 > (IDataFeedConnector connector, T1 arg1, T2 arg2)
delegate void	ConnectorEventHandler< in T1, in T2, in T3 > (IDataFeedConnector connector, T1 arg1, T2 arg2, T3 arg3)
record struct	CurrencyInfo (string Code, bool IsBase, int Precision)
	Represents currency information for a decimal value.

Enumeration Type Documentation

Currencies

enum ATAS.DataFeedsCore.Currencies

Represents a list of currency values used in the application.

Enumerator
USD	United States Dollar.
EUR	Euro.
GBP	British Pound Sterling.
JPY	Japanese Yen.
RUB	Russian Ruble.
AUD	Australian Dollar.
CHF	Swiss Franc.
BTC	Bitcoin.
ETH	Ethereum.
EOS	EOS.
XRP	Ripple (XRP).
LTC	Litecoin.
BCH	Bitcoin Cash (BCH).
XTZ	Tezos (XTZ).
UNI	Uniswap (UNI).
DOT	Polkadot (DOT).
ADA	Cardano (ADA).
LINK	Chainlink (LINK).
USDT	Tether (USDT).
BIT	BitToken (BIT).
LUNA	Terra (LUNA).
MANA	Decentraland (MANA).
SOL	Solana (SOL).
BUSD	Binance USD (BUSD).
USDC	USD Coin (USDC).
XCH	Chia (XCH).
BNB	Binance Coin (BNB).
DOGE	Dogecoin (DOGE).
UST	TerraUSD (UST).
AVAX	Avalanche (AVAX).
SHIB	Shiba Inu (SHIB).
DAI	Dai.
MATIC	Polygon (MATIC).
TRX	TRON (TRX).
BGB	BAGBUX Token (BGB).
INCH	1inch (INCH).
CNY	Chinese Yuan (CNY).
LOT	LottoCoin.

EcnId

enum ATAS.DataFeedsCore.EcnId

Enumerator
NONE
NASDAQ
NYSE
SIAC
ISI
ISLAND
ARCA
ADFN
BATS
INCA
NYOB
MKXT
CME
ESSEX
CHIC
BRASS
BOS
SUMO
INET
BLZ
EDGX
CBOT
IPE
NYBOT
USFE
EUREX
EDGA
TSE
AMEX
CBOE
PCX
BOX
ISE
PHX
CMECBT
VSE
PENSON
OTC
NSE
MI
CHX
EDGE
BATX
BATY
EDGD
PHL
ARCX
NTRF
IEX
MEMX
PEARL
SMALL
LTSE
LSE
UNKNOWN

EntityAction

enum ATAS.DataFeedsCore.EntityAction

Enumerator
Logon
Logout
UserAdd
UserChange
UserRemove
UserLock
UserKick
UserChangeExpiration
UserGroupAdd
UserGroupChange
UserGroupRemove
UserRoleAdd
UserRoleChange
UserRoleRemove
ExchangeAdd
ExchangeChange
ExchangeRemove
CommissionGroupAdd
CommissionGroupChange
CommissionGroupRemove
SecurityMarginAdd
SecurityMarginChange
SecurityMarginRemove
PortfolioAdd
PortfolioChange
PortfolioValue
PortfolioLock
OrderRegister
OrderMove
OrderCancel
NewsSend
ServerSettings
RequestStatistics
OrderCancelled
OrderMatched
ServerPnL
PortfolioSuspend
PortfolioViewerAdd
ConnectorAdd
ConnectorChange
ConnectorRemove
ConnectorEnable
PortfolioViewerRemove
TradeAllowed
PortfolioReset
GetUserChangeHistory
GetPortfolioChangeHistory

EntityType

enum ATAS.DataFeedsCore.EntityType

Represents the types of entities used in the application.

Enumerator
Security	Represents a security entity.
SecurityMargin	Represents a security margin entity.
Portfolio	Represents a portfolio entity.
Position	Represents a position entity.
MarketDepth	Represents a market depth entity.
Trade	Represents a trade entity.
Order	Represents an order entity.
MyTrade	Represents a user's trade entity.
News	Represents a news entity.
UserRole	Represents a user role entity.
UserGroup	Represents a user group entity.
User	Represents a user entity.
UserChange	Represents a user change entity.
CommissionGroup	Represents a commission group entity.
WorkingTime	Represents a working time entity.
Exchange	Represents an exchange entity.
PortfolioChange	Represents a portfolio change entity.
TradingOptions	Represents trading options entity.
PortfolioState	Represents the state of a portfolio entity.
PositionState	Represents the state of a position entity.
Connector	Represents a connector entity.
MarketByOrder	Represents a Market by Order (MBO) item.

MarketByOrderUpdateTypes

enum ATAS.DataFeedsCore.MarketByOrderUpdateTypes

Type of market by order update.

Enumerator
Snapshot	Indicates that the MBO data is from a cache and not from the real-time data stream.
New	Indicates that the MBO data represents a new order added to the order book of this instrument.
Change	Indicates that the MBO data represents a change to an existing order.
Delete	Indicates that the MBO data represents a deletion of an existing order.

MarketDataDelayPeriods

enum ATAS.DataFeedsCore.MarketDataDelayPeriods

Enumerator
Realtime
Delayed15M

MarketDataType

enum ATAS.DataFeedsCore.MarketDataType

Specifies the type of market data.

Enumerator
Bid	Represents bid (buy) market data.
Ask	Represents ask (sell) market data.
Trade	Represents trade market data.

MessageType

enum ATAS.DataFeedsCore.MessageType

Enumerator
Warning
Error
Information

MissingDataCases

enum ATAS.DataFeedsCore.MissingDataCases

Describes what part of the HistoryMyTrade was incomplete.

Enumerator
None	The trade has complete data.
Opening	Missing the opening part of the trade.
Closing	Missing the closing part of the trade.

NewsType

enum ATAS.DataFeedsCore.NewsType

Enumerator
Text
Admin
Risk

OptionTypes

enum ATAS.DataFeedsCore.OptionTypes

Enumerator
Put
Call

OrderDirections

enum ATAS.DataFeedsCore.OrderDirections

Specifies the direction of an order.

Enumerator
Buy	Indicates a "Buy" order direction.
Sell	Indicates a "Sell" order direction.

OrderStates

enum ATAS.DataFeedsCore.OrderStates

Represents the possible states of an order.

Enumerator
None	The order is in none state.
Active	The order is in active state, i.e., it is currently being processed or waiting to be executed.
Done	The order is in done state, i.e., it has been fully executed or processed successfully.
Failed	The order is in failed state, i.e., it could not be processed or executed successfully.

OrderStatus

enum ATAS.DataFeedsCore.OrderStatus

Represents the possible status of an order.

Enumerator
None	The order has no specific status.
Placed	The order has been placed successfully.
Filled	The order has been fully filled (executed).
PartlyFilled	The order has been partly filled (partially executed).
Canceled	The order has been canceled.

OrderTypes

enum ATAS.DataFeedsCore.OrderTypes

Specifies the type of an order.

Enumerator
Limit	Indicates a "Limit" order type.
Market	Indicates a "Market" order type.
Stop	Indicates a "StopMarket" order type.
StopLimit	Indicates a "StopLimit" order type.
Unknown	Indicates an unknown or unsupported order type.

PnlPercentType

enum ATAS.DataFeedsCore.PnlPercentType

Represents the type of percentage calculation for profit and loss (PNL).

Enumerator
Portfolio	Percentage calculation based on the portfolio.
Margin	Percentage calculation based on the margin.

PortfolioChangeType

enum ATAS.DataFeedsCore.PortfolioChangeType

Enumerator
IncreaseBalance
ReduceBalance
ChangeLeverage
OvernightSwap

PositionAveragePriceValueTypes

enum ATAS.DataFeedsCore.PositionAveragePriceValueTypes

Represents different types of values for the average price of a position. The average price is the average cost of all the trades that make up a position.

Enumerator
None	No specific average price value is set.
ReceivedFromServer	The average price is received from the server.
CalculatedByAllTrades	The average price is calculated using all trades that contribute to the position.
CalculatedByPartTrades	The average price is calculated using only a part of the trades that contribute to the position.
NotCalculated	The average price is not calculated or set for the position.

PriceUnitTypes

enum ATAS.DataFeedsCore.PriceUnitTypes

Enumerator
Price
Tick
Percent

RebateResult

enum ATAS.DataFeedsCore.RebateResult

Enumerator
Valid
WrongRefCode
WrongBroker
WrongBrokerRefCode

SecType

enum ATAS.DataFeedsCore.SecType

Represents the type of security or financial instrument.

Enumerator
Future	Represents a future contract.
Forex	Represents a forex (foreign exchange) pair.
Stock	Represents a stock.
Bitcoin	Represents any crypto security, not limited to Bitcoin only.
CryptoFutures	Represents a crypto futures contract.
Indexes	Represents indexes or index-based securities.
Option	Represents an option contract.

SubscriptionType

enum ATAS.DataFeedsCore.SubscriptionType

Enumerator
None	None.
Prints	Single ticks.
Best	Best bid/ask prices.
Quotes	Depth of Market (DOM)
MarketByOrder	Market by Order (MBO)

TimeInForce

enum ATAS.DataFeedsCore.TimeInForce

Specifies the time in force options for an order.

Enumerator
None	No specific time in force specified.
GoodTillCancel	Order will be active until filled completely or cancelled by the user.
FillOrKill	Order will either fill completely or will be cancelled if not fully filled.
ImmediateOrCancel	Order may be filled completely or partially; if partially filled, the unfilled part will be cancelled.
Day	Order is valid only for the current trading session and will be cancelled at the end of the trading day.
Default	The default time in force options supported by connectors.

TPlusLimits

enum ATAS.DataFeedsCore.TPlusLimits

Represents different T+ (settlement) periods for trading. T+ refers to the number of days it takes for a trade to settle and for the funds and securities to be exchanged between the parties involved in the transaction.

Enumerator
T0	Same-day settlement (T0). The trade is settled on the same day it occurs.
T1	One-day settlement (T1). The trade is settled one business day after the trade date.
T2	Two-day settlement (T2). The trade is settled two business days after the trade date.
Tx	Custom settlement period (Tx). The trade is settled after a custom number of days (365 days in this case).

TradeDirection

enum ATAS.DataFeedsCore.TradeDirection

Represents the trade direction.

Enumerator
Buy	Indicates a buy trade direction.
Sell	Indicates a sell trade direction.
Between	Indicates a trade direction that is neither buy nor sell.

TriggerPriceType

enum ATAS.DataFeedsCore.TriggerPriceType

Defines price source for conditional order trigger.

Enumerator
None
Last	Order will trigger based on last tick on the exchange.
Index	Index price is calculated based on several exchanges price with their weight Implementation may vary on exchange.
Mark	Estimated fair value of a contract Implementation may vary on exchange.

UserChangeTypes

enum ATAS.DataFeedsCore.UserChangeTypes

Enumerator
ExtendExpirationPeriod
ReduceExpirationPeriod

VolumeUnitTypes

enum ATAS.DataFeedsCore.VolumeUnitTypes

Enumerator
Absolute
Percent

Function Documentation

ConnectorEventHandler()

delegate void ATAS.DataFeedsCore.ConnectorEventHandler

(

IDataFeedConnector

connector

)

ConnectorEventHandler< in T >()

delegate void ATAS.DataFeedsCore.ConnectorEventHandler< in T >	(	IDataFeedConnector	connector,
		T	arg
	)

ConnectorEventHandler< in T1, in T2 >()

delegate void ATAS.DataFeedsCore.ConnectorEventHandler< in T1, in T2 >	(	IDataFeedConnector	connector,
		T1	arg1,
		T2	arg2
	)

ConnectorEventHandler< in T1, in T2, in T3 >()

delegate void ATAS.DataFeedsCore.ConnectorEventHandler< in T1, in T2, in T3 >	(	IDataFeedConnector	connector,
		T1	arg1,
		T2	arg2,
		T3	arg3
	)

CurrencyInfo()

record struct ATAS.DataFeedsCore.CurrencyInfo	(	string	Code,
		bool	IsBase,
		int	Precision
	)

Represents currency information for a decimal value.

Parameters

Code	Currency code
IsBase	True- Currency is base for security
Precision	Number of numbers after the decimal point

Get display format for decimal value

Get edit format for decimal value