Struct TradeMsg

Namespace

DatabentoDotNet.Dbn

Assembly

DatabentoDotNet.Dbn.dll

A trade. The record of the Trades schema, and market-by-price with a book depth of 0.

public readonly struct TradeMsg : IRecord<TradeMsg>

Implements

IRecord<TradeMsg>

Inherited Members

ValueType.Equals(object)

ValueType.GetHashCode()

ValueType.ToString()

object.Equals(object, object)

object.GetType()

object.ReferenceEquals(object, object)

Examples

if (record.TryGet(out TradeMsg trade))
{
    // Prices are fixed-point integers at a 1e-9 scale, not floating point. Dividing through
    // decimal keeps the exact value; dividing through double would not.
    decimal price = (decimal)trade.Price / DbnConstants.FixedPriceScale;

    // IndexTs, not Header.TsEvent: trades index on ts_recv, and the two can fall on opposite
    // sides of UTC midnight — which is how a symbol lookup returns the wrong day with nothing
    // looking broken.
    Instant when = DbnTime.ToInstant(trade.IndexTs);

    // ActionChar and SideChar are the raw ASCII the wire carries; Action and Side are the same
    // bytes as enums, and a venue may send a value neither enum names.
    Console.WriteLine($"{when} {price} x {trade.Size} {trade.ActionChar}{trade.SideChar}");
}

Remarks

Field order is transcribed from the #[repr(C)] Rust declaration, not from its encode_order attributes. Note that it differs from MboMsg: here RawAction and RawSide precede Flags, whereas in MboMsg they follow it.

Fields

Depth

The book level where the update event occurred.

public readonly byte Depth

Field Value

byte

Flags

A bit field indicating event end, message characteristics, and data quality.

public readonly FlagSet Flags

Field Value

FlagSet

Header

The common header.

public readonly RecordHeader Header

Field Value

RecordHeader

Price

The trade price, where every 1 unit corresponds to 1e-9.

public readonly long Price

Field Value

long

RawAction

The raw wire byte behind Action. Always 'T' for this schema. Not validated on decode — pass it to TryFromAction(byte, out Action) for a checked conversion.

public readonly byte RawAction

Field Value

byte

RawSide

The raw wire byte behind Side. Not validated on decode — pass it to TryFromSide(byte, out Side) for a checked conversion.

public readonly byte RawSide

Field Value

byte

Sequence

The message sequence number assigned at the venue.

public readonly uint Sequence

Field Value

uint

Size

The trade quantity.

public readonly uint Size

Field Value

uint

TsInDelta

The matching-engine-sending timestamp, in nanoseconds before TsRecv.

public readonly int TsInDelta

Field Value

int

TsRecv

The capture-server-received timestamp, in nanoseconds since the UNIX epoch. This, not TsEvent, is the record's index timestamp.

public readonly ulong TsRecv

Field Value

ulong

Properties

Action

The event action. Undefined wire bytes cast through to an unnamed value rather than throwing; see RawAction.

public Action Action { get; }

Property Value

Action

ActionChar

The event action as its raw ASCII character.

public char ActionChar { get; }

Property Value

char

IndexTs

The record's index timestamp: the one to sort by, and the one to key a symbol map with. Nanoseconds since the UNIX epoch.

public ulong IndexTs { get; }

Property Value

ulong

Remarks

This is usually ts_recv, not TsEvent. Fourteen of the twenty-one record structs carry a ts_recv and index on it; the rest have no ts_recv at all and fall back to the header's ts_event. Port of upstream's Record::raw_index_ts (record/traits.rs:52-54), whose default body is ts_event and which the #[dbn(index_ts)] field attribute overrides per struct (record.rs, compat.rs).

The distinction is not cosmetic: ts_event and ts_recv can fall on opposite sides of UTC midnight, so resolving a symbol by the wrong one silently returns the previous day's symbol, or nothing, with no error anywhere.

This is a raw timestamp and can be UndefTimestamp. Convert it with ToUtcDate(ulong) or TryToUtcDate(ulong, out LocalDate), which check the sentinel.

Side

The aggressor side. Undefined wire bytes cast through to an unnamed value rather than throwing; see RawSide.

public Side Side { get; }

Property Value

Side

SideChar

The aggressor side as its raw ASCII character.

public char SideChar { get; }

Property Value

char

WireSize

The struct's exact size on the wire, in bytes, excluding any trailing ts_out.

public static int WireSize { get; }

Property Value

int

Methods

HasRType(RType)

Reports whether TradeMsg is the layout for records carrying rtype.

public static bool HasRType(RType rtype)

Parameters

rtype RType

The record type read from a record header.

Returns

bool

true if rtype is one of the record types this struct decodes. This is necessary but not sufficient to identify the record — see the remarks on IRecord<TSelf>.