public class AnalyticOrder extends Order
Orderintroducing analytic information, e.g. adding to this order iceberg related information (
icebergExecutedSize). The collection of analytic order events of a symbol represents the most recent analytic information that is available about orders on the market at any given moment of time.
Analytic order is similar to a regular
Order. In addition this event has few additional properties:
icebergPeakSize- the size of the peak, i.e. the visible part of the iceberg, that is being continually refilled until the order is fully traded or cancelled;
icebergHiddenSize- the prediction of current hidden size of the iceberg, as inferred by the model;
icebergExecutedSize- the executed size of the iceberg order. For
IcebergType.SYNTHETICtype represents total executed size of all orders сomposing current iceberg;
getIcebergType()- type of the iceberg, either native (exchange-managed) or synthetic (managed outside of the exchange).
Like regular orders, analytic order events arrive from
multiple sources for the same market symbol and are distinguished by their
It is unique across all the sources of depth information for the symbol.
The event with
is a signal to remove previously received order for the corresponding index.
hasSize is a convenient method to test for size presence.
Analytic event has the following properties:
eventSymbol- underlying symbol of this event;
source- source of this event;
eventFlags- transactional event flags;
index- unique per-symbol index of this order;
time- time of this order;
timeNanoPart- microseconds and nanoseconds time part of this order;
sequence- sequence of this order;
price- price of this order;
size- size of this order as integer number (rounded toward zero);
sizeAsDouble- size of this order as floating number with fractions;
executedSize- executed size of this order;
count- number of individual orders in this aggregate order;
exchangeCode- exchange code of this order;
orderSide- side of this order;
scope- scope of this order;
marketMaker- market maker or other aggregate identifier of this order;
icebergPeakSize- iceberg peak size of this analytic order;
icebergHiddenSize- iceberg hidden size of this analytic order;
icebergExecutedSize- iceberg executed size of this analytic order;
icebergType- iceberg type of this analytic order.
Analytic order event sources provide a consistent view of the analytic order book. Their updates
may incorporate multiple changes to individual orders that have to be processed at the same time.
The corresponding information is carried in
IndexedEventModel class handles all the snapshot and transaction logic and conveniently represents
a list current of events.
It relies on the code of
AbstractIndexedEventModel to handle this logic.
Use the source code of
AbstractIndexedEventModel for clarification on transactions and snapshot logic.
When publishing an order event with
method, least significant 32 bits of order
index must be in a range of from 0 to
setSource method after
setIndex to properly
include source identifier into the index.
A snapshot has to be published in the descending order of
index, starting with
an event with the largest index and marking it with
IndexedEvent.SNAPSHOT_BEGIN bit in
and finishing the snapshot with an event that has zero 32 least significant bits of index.
IndexedEvent.SNAPSHOT_END bit in
eventFlags is optional during publishing.
It will be properly set on receiving end anyway.
This event type cannot be used with
action- event business meaning (see
OrderActionfor more details)
actionTime- time of the last action
orderId- ID of this order
auxOrderId- additional ID for this order
tradeId- trade (order execution) ID
tradePrice- price of the trade
tradeSize- size of the trade
This event is implemented on top of QDS records
<source-id> is up to 4 ASCII characters with a mnemonic for the source like "GLBX".
LEVEL_AGGREGATE, LEVEL_COMPOSITE, LEVEL_ORDER, LEVEL_REGIONAL, MAX_SEQUENCE, SIDE_BUY, SIDE_SELL
|Constructor and Description|
Creates new analytic order with default values.
Creates new analytic order with the specified event symbol.
|Modifier and Type||Method and Description|
Returns iceberg executed size of this analytic order.
Returns iceberg hidden size of this analytic order.
Returns iceberg peak size of this analytic order.
Returns iceberg type of this analytic order.
Changes iceberg executed size of this analytic order.
Changes iceberg hidden size of this analytic order.
Changes iceberg peak size of this analytic order.
Changes iceberg type of this analytic order.
Returns string representation of this analytic order.
getAction, getActionTime, getAuxOrderId, getCount, getEventFlags, getExchangeCode, getExecutedSize, getIndex, getLevel, getOrderId, getOrderSide, getPrice, getScope, getSequence, getSide, getSize, getSizeAsDouble, getSource, getTime, getTimeNanoPart, getTimeNanos, getTimeSequence, getTradeId, getTradePrice, getTradeSize, hasSize, setAction, setActionTime, setAuxOrderId, setCount, setEventFlags, setExchangeCode, setExecutedSize, setIndex, setLevel, setOrderId, setOrderSide, setPrice, setScope, setSequence, setSide, setSize, setSizeAsDouble, setSource, setTime, setTimeNanoPart, setTimeNanos, setTimeSequence, setTradeId, setTradePrice, setTradeSize
getEventSymbol, getEventTime, setEventSymbol, setEventTime
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
public AnalyticOrder(String eventSymbol)
eventSymbol- event symbol.
public double getIcebergPeakSize()
public void setIcebergPeakSize(double icebergPeakSize)
icebergPeakSize- iceberg peak size of this analytic order.
public double getIcebergHiddenSize()
public void setIcebergHiddenSize(double icebergHiddenSize)
icebergHiddenSize- iceberg hidden size of this analytic order.
public double getIcebergExecutedSize()
public void setIcebergExecutedSize(double icebergExecutedSize)
icebergExecutedSize- iceberg executed size of this analytic order.
public IcebergType getIcebergType()
public void setIcebergType(IcebergType icebergType)
icebergType- iceberg type of this analytic order.
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