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ATAS.DataFeedsCore.Valuation Namespace Reference

Classes

class  MoneyCurrencies
 The catalog of display currencies (PLAT-5080) and the rules that map exchange asset codes to them.
 
class  SecurityNotionalExtensions
 Resolves the NotionalSpec of a security (PLAT-5080).
 

Functions

sealed record MoneyCurrencyInfo (string Code, string Symbol, bool SymbolBeforeAmount, int Decimals)
 A fiat currency volumes, positions and filter thresholds can be valued in.
 
sealed record NotionalSpec (decimal Multiplier, bool PriceDependent, string Currency, bool IsCurrencyAssumed=false)
 How the money (notional) value of a security's volume is computed: notional = volume × Multiplier × (PriceDependent ? price : 1) in Currency.
 

Function Documentation

◆ MoneyCurrencyInfo()

sealed record ATAS.DataFeedsCore.Valuation.MoneyCurrencyInfo ( string  Code,
string  Symbol,
bool  SymbolBeforeAmount,
int  Decimals 
)

A fiat currency volumes, positions and filter thresholds can be valued in.

Parameters
CodeISO 4217 code.
SymbolSymbol shown next to the amount.
SymbolBeforeAmountTrue when the symbol precedes the amount ($100), false when it follows it (100 CHF).
DecimalsNumber of fractional digits commonly shown for the currency.

◆ NotionalSpec()

sealed record ATAS.DataFeedsCore.Valuation.NotionalSpec ( decimal  Multiplier,
bool  PriceDependent,
string  Currency,
bool  IsCurrencyAssumed = false 
)

How the money (notional) value of a security's volume is computed: notional = volume × Multiplier × (PriceDependent ? price : 1) in Currency.

Parameters
MultiplierLinear contracts: quantity of the priced asset per unit of volume (1 for spot and coin-quantity futures, CtVal for OKX lots, the point value for CME-style futures). Inverse contracts: money value of one contract (1 USD on Bybit, 100 USD for OKX BTC-USD-SWAP).
PriceDependentFalse for inverse contracts, whose contract value is fixed in money.
CurrencyCurrency or settlement asset of the notional (USDT, USD, EUR...).
IsCurrencyAssumedTrue when the currency is a guess (no connector or exchange data), e.g. USD for an unknown futures exchange.

Returns the notional of a volume traded at a price.