SubscribeTrades

Category: User Permissions: Operator, Trading, Level1MarketData Call Type: Synchronous

Subscribes an authenticated user to the Trades Market Data Feed for a specific instrument. Each trade has two sides: Buy and Sell.

SubscribeTrades returns the response documented here for your immediate information, then periodically sends the OrderTradeEvent documented in SubscribeAccountEvents.

Only a user with Operator permission can issue the permission Level1MarketData using the call AddUserMarketDataPermission.

Request

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

OMSId

integer. The ID of the Order Management System on which the instrument is traded.

InstrumentId

long integer. The ID of the instrument whose trades will be reported.

IncludeLastCount

integer. Specifies the number of previous trades to retrieve in the immediate snapshot. Default is 100.

Response

Numerical keys reduce package transmission load. See Response table for an explanation.

[
     {
         0: 1713390,
         1: 1,
         2: 0.25643269,
         3: 6419.77,
         4: 203100209,
         5: 203101083,
         6: 1534863265752,
         7: 2,
         8: 1,
         9: 0,
         10: 0
     }
 ]

The response returns an array of trades. The keys of each trade are numbers to reduce payload traffic.

KeyValue

0 (TradeId)

integer. The ID of this trade.

1 (ProductPairCode)

integer. ProductPairCode is the same number and used for the same purpose as InstrumentID. The two are completely equivalent in value. InstrumentId 47 = ProductPairCode 47.

2 (Quantity)

real. The quantity of the instrument traded.

3 (Price)

real. The price at which the instrument traded.

4 (Order1)

integer. The ID of the first order that resulted in the trade, either Buy or Sell.

5 (Order2)

integer. The ID of the second order that resulted in the trade, either Buy or Sell.

6 (Tradetime)

long integer. UTC trade time in Total Milliseconds. POSIX format.

7 (Direction)

integer. Effect of the trade on the instrument’s market price. One of: 0 NoChange 1 UpTick 2 DownTick

8 (TakerSide)

integer. Which side of the trade took liquidity? One of: 0 Buy 1 Sell The maker side of the trade provides liquidity by placing the order on the book (this can be a buy or a sell order). The other, taker, side takes the liquidity. It, too, can be buy-side or sell-side.

9 (BlockTrade)

Boolean. Was this a privately negotiated trade that was reported to the OMS? A private trade returns 1 (true); otherwise 0 (false). Default is false. Block trades are not supported in exchange version 3.1

10 (order1ClientId or order2ClientId)

integer. The client-supplied order ID for the trade. Internal logic determines whether the program reports the order1ClientId or the order2ClientId.

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