Table of Contents

Struct Quote

Namespace
MassiveDotNet.Rest.Models
Assembly
MassiveDotNet.Rest.dll

One NBBO quote from the v3 quotes feed: bid and ask price, size, and exchange, with conditions, indicators, and three nanosecond timestamps.

[JsonConverter(typeof(QuoteJsonConverter))]
public readonly record struct Quote : IEquatable<Quote>
Implements
Inherited Members

Remarks

A tick-level type, so a struct (decision D4). Timestamps are stored as nanosecond long values and exposed as Instant only when read (decision D5).

Properties

AskExchangeId

The ask exchange ID

[JsonPropertyName("ask_exchange")]
public int? AskExchangeId { get; init; }

Property Value

int?

AskPrice

The ask price.

[JsonPropertyName("ask_price")]
public double? AskPrice { get; init; }

Property Value

double?

AskSize

The total number of shares available for sale at the current ask price.

[JsonPropertyName("ask_size")]
public double? AskSize { get; init; }

Property Value

double?

BidExchangeId

The bid exchange ID

[JsonPropertyName("bid_exchange")]
public int? BidExchangeId { get; init; }

Property Value

int?

BidPrice

The bid price.

[JsonPropertyName("bid_price")]
public double? BidPrice { get; init; }

Property Value

double?

BidSize

The total number of shares that buyers want to purchase at the current bid price.

[JsonPropertyName("bid_size")]
public double? BidSize { get; init; }

Property Value

double?

Conditions

A list of condition codes.

[JsonPropertyName("conditions")]
[JsonConverter(typeof(PooledArrayConverter<int>))]
public int[]? Conditions { get; init; }

Property Value

int[]

Indicators

A list of indicator codes.

[JsonPropertyName("indicators")]
[JsonConverter(typeof(PooledArrayConverter<int>))]
public int[]? Indicators { get; init; }

Property Value

int[]

ParticipantTimestamp

The moment the exchange generated this quote, converted from ParticipantTimestampNanoseconds.

[JsonIgnore]
public Instant ParticipantTimestamp { get; }

Property Value

Instant

ParticipantTimestampNanoseconds

The nanosecond accuracy Participant/Exchange Unix Timestamp. This is the timestamp of when the quote was actually generated at the exchange.

[JsonPropertyName("participant_timestamp")]
public long ParticipantTimestampNanoseconds { get; init; }

Property Value

long

SequenceNumber

The sequence number represents the sequence in which quote events happened. These are increasing and unique per ticker symbol, but will not always be sequential (e.g., 1, 2, 6, 9, 10, 11). Values reset after each trading session/day.

[JsonPropertyName("sequence_number")]
public long SequenceNumber { get; init; }

Property Value

long

SipTimestamp

The moment the SIP received this quote, converted from SipTimestampNanoseconds.

[JsonIgnore]
public Instant SipTimestamp { get; }

Property Value

Instant

SipTimestampNanoseconds

The nanosecond accuracy SIP Unix Timestamp. This is the timestamp of when the SIP received this quote from the exchange which produced it.

[JsonPropertyName("sip_timestamp")]
public long SipTimestampNanoseconds { get; init; }

Property Value

long

Tape

There are 3 tapes which define which exchange the ticker is listed on. These are integers in our objects which represent the letter of the alphabet. Eg: 1 = A, 2 = B, 3 = C. * Tape A is NYSE listed securities * Tape B is NYSE ARCA / NYSE American * Tape C is NASDAQ

[JsonPropertyName("tape")]
public int? Tape { get; init; }

Property Value

int?

TrfTimestamp

The moment the trade reporting facility received this quote, converted from TrfTimestampNanoseconds, or null when the quote did not pass through one.

[JsonIgnore]
public Instant? TrfTimestamp { get; }

Property Value

Instant?

TrfTimestampNanoseconds

The nanosecond accuracy TRF (Trade Reporting Facility) Unix Timestamp. This is the timestamp of when the trade reporting facility received this quote.

[JsonPropertyName("trf_timestamp")]
public long? TrfTimestampNanoseconds { get; init; }

Property Value

long?
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