Description

Type: int

Type of statistic value.

Valid values:

  • 1 = Count

    Simple count of entities or events, e.g. orders transactions during a period of time.

  • 2 = Average volume

    Average quantity of entities, e.g. average volume of incoming quotes or average trade volume.

  • 3 = Total volume

    Aggregated quantities of entities across events, e.g. total trade volume during a period of time.

  • 4 = Distribution

    Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types.

  • 5 = Ratio

    Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders.

  • 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.

  • 7 = Volume weighted average price (VWAP)

    Benchmark price.

  • 8 = Volatility

    Volatility of entities, e.g. price movements of incoming orders.

  • 9 = Duration

    Time period of events, e.g. resting period of passive orders.

  • 10 = Tick

    Price movement of an instrument in number of ticks.

  • 11 = Average value

    Average quantity multiplied by price.

  • 12 = Total value

    Aggregated quantity multiplied by price; also described as turnover.

  • 13 = High

    Highest price.

  • 14 = Low

    Lowest price.

  • 15 = Midpoint

    Midpoint price between bid and offer.

  • 16 = First

    First price or initial value.

  • 17 = Last

    Most recent price or value.

  • 18 = Final

    Final price or confirmed value.

  • 19 = Exchange best

    Best price of a single venue regardless of volume.

  • 20 = Exchange best with volume

    Best price of a single venue with volume at or above a pre-defined threshold.

  • 21 = Consolidated best

    Best price across multiple venues regardless of volume.

  • 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)
  • 24 = Average duration

    Average duration of time periods of events.

  • 25 = Average price

    Average price across entities e.g. trade prices.

  • 26 = Total fees

    Aggregated fees.

  • 27 = Total benefits

    Aggregated benefits.

  • 28 = Median value

    Median quantity multiplied by price for orders or quotes.

  • 29 = Average liquidity

    Average liquidity of an instrument e.g. average effective spread.

  • 30 = Median duration

    Median duration of time periods of events.

Used In