Description
Type: int
Type of statistic value.
Valid values:
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1 = Count
Simple count of entities or events, e.g. orders transactions during a period of time.
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2 = Average volume
Average quantity of entities, e.g. average volume of incoming quotes or average trade volume.
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3 = Total volume
Aggregated quantities of entities across events, e.g. total trade volume during a period of time.
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4 = Distribution
Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types.
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5 = Ratio
Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders.
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6 = Liquidity
Measurement of liquidity of an instrument, e.g. by providing the spread between bid and offer or the trade volume needed to move the price.
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7 = Volume weighted average price (VWAP)
Benchmark price.
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8 = Volatility
Volatility of entities, e.g. price movements of incoming orders.
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9 = Duration
Time period of events, e.g. resting period of passive orders.
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10 = Tick
Price movement of an instrument in number of ticks.
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11 = Average value
Average quantity multiplied by price.
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12 = Total value
Aggregated quantity multiplied by price; also described as turnover.
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13 = High
Highest price.
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14 = Low
Lowest price.
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15 = Midpoint
Midpoint price between bid and offer.
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16 = First
First price or initial value.
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17 = Last
Most recent price or value.
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18 = Final
Final price or confirmed value.
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19 = Exchange best
Best price of a single venue regardless of volume.
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20 = Exchange best with volume
Best price of a single venue with volume at or above a pre-defined threshold.
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21 = Consolidated best
Best price across multiple venues regardless of volume.
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22 = Consolidated best with volume
Best price across multiple venues with volume at or above a pre-defined threshold.
- 23 = Time weighted average price (TWAP)
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24 = Average duration
Average duration of time periods of events.
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25 = Average price
Average price across entities e.g. trade prices.
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26 = Total fees
Aggregated fees.
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27 = Total benefits
Aggregated benefits.
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28 = Median value
Median quantity multiplied by price for orders or quotes.
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29 = Average liquidity
Average liquidity of an instrument e.g. average effective spread.
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30 = Median duration
Median duration of time periods of events.