com.dxfeed.event.market

Class OtcMarketsOrder

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.market.OrderBase

com.dxfeed.event.market.Order

com.dxfeed.event.market.OtcMarketsOrder

All Implemented Interfaces:

EventType<String>, IndexedEvent<String>, Serializable

public class OtcMarketsOrder
extends Order

Represents an extension of Order for the symbols traded on the OTC Markets. It includes the OTC Markets specific quote data, such as Quote Access Payment (QAP) value, Quote Price Type, Open/Closed status, and Unsolicited quote indicator. The original event (OTC Quote) published by the exchange is presented in the form of two separate OTCMarketsOrder events (bid and ask side). Note that the description of the fields (e.g. QAP) uses the original "quote" term.

For more information about original fields, QAP, Quote Flags and Extended Quote Flags, see OTC Markets Multicast Data Feed.

For more information about display requirements, see OTC Markets Display Requirements.

Like regular orders, OTC Markets order events arrive from multiple sources for the same market symbol and are distinguished by their index. It is unique across all the sources of depth information for the symbol. The event with sizeAsDouble either 0 or NaN is a signal to remove previously received order for the corresponding index. The method hasSize is a convenient method to test for size presence.

Quote Flags

Quote Flags from OTC Markets are mapped to the access methods of this class as follows:

• Update Side - orderSide
• State - open
• Ask/Bid Unsolicited - unsolicited
• Ask/Bid Priced, Aks/Bid OW/BW - otcMarketsPriceType

Extended Quote Flags

Extended Quote Flags from OTC Markets are mapped to the access methods of this class as follows:

• QuoteSaturatedFlag - saturated
• Bid/Offer AutoExFlag - autoExecution
• NMSConditionalQuoteFlag - nmsConditional

Properties

OTCMarketsOrder 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;
• QAP - Quote Access Payment of this OTC Markets order event;
• open - whether this OTC Markets order event is open;
• unsolicited - whether this OTC Markets order event is unsolicited;
• otcMarketsPriceType - OTC Markets price type of this OTC Markets order.
• saturated - whether this OTC Markets order event should NOT be considered for the inside price.
• autoExecution - whether this OTC Markets order is in 'AutoEx' mode.
• nmsConditional - whether this OTC Markets order represents a NMS conditional.

Event flags, transactions and snapshots

OTC Markets order event sources provide a consistent view of the 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 eventFlags property.

See Event Flags section of OrderBase class documentation for details.

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.

Publishing order books

When publishing an order event with DXPublisher.publishEvents method, least significant 32 bits of order index must be in a range of from 0 to Integer.MAX_VALUE inclusive. Use 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 eventFlags, 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.

Limitations

This event type cannot be used with DXFeed.getLastEvent method.

Full Order Book Support

Some feeds provide support for "Full Order Book" (FOB) where additional fields will be available:

• action - event business meaning (see OrderAction for 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

Implementation details

This event is implemented on top of QDS records OtcMarketsOrder#<source-id>, where <source-id> is up to 4 ASCII characters with a mnemonic for the source like "pink".

See Also:

Serialized Form

Field Summary

Fields inherited from class com.dxfeed.event.market.OrderBase

LEVEL_AGGREGATE, LEVEL_COMPOSITE, LEVEL_ORDER, LEVEL_REGIONAL, MAX_SEQUENCE, SIDE_BUY, SIDE_SELL

Fields inherited from interface com.dxfeed.event.IndexedEvent

REMOVE_EVENT, SNAPSHOT_BEGIN, SNAPSHOT_END, SNAPSHOT_MODE, SNAPSHOT_SNIP, TX_PENDING

Constructor Summary

Constructors

Constructor and Description
OtcMarketsOrder() Creates new OTC Markets order event with default values.
OtcMarketsOrder(String eventSymbol) Creates new OTC Markets order event with the specified event symbol.

Method Summary

Modifier and Type	Method and Description
protected StringBuilder	fieldsToString(StringBuilder sb) Appends the field values of this event to a provided StringBuilder.
OtcMarketsPriceType	getOtcMarketsPriceType() Returns OTC Markets price type of this OTC Markets order events.
int	getQuoteAccessPayment() Returns Quote Access Payment (QAP) of this OTC Markets order.
boolean	isAutoExecution() Returns whether this event is in 'AutoEx' mode.
boolean	isNmsConditional() Returns whether this event represents a NMS conditional.
boolean	isOpen() Returns whether this event is available for business within the operating hours of the OTC Link system.
boolean	isSaturated() Returns whether this event should NOT be considered for the inside price.
boolean	isUnsolicited() Returns whether this event is unsolicited.
void	setAutoExecution(boolean autoExecution) Changes whether this event is in 'AutoEx' mode.
void	setNmsConditional(boolean nmsConditional) Changes whether this event represents a NMS conditional.
void	setOpen(boolean open) Changes whether this event is available for business within the operating hours of the OTC Link system.
void	setOtcMarketsPriceType(OtcMarketsPriceType otcPriceType) Changes OTC Markets price type of this OTC Markets order events.
void	setQuoteAccessPayment(int quoteAccessPayment) Changes Quote Access Payment (QAP) of this OTC Markets order.
void	setSaturated(boolean saturated) Changes whether this event should NOT be considered for the inside price.
void	setUnsolicited(boolean unsolicited) Changes whether this event is unsolicited.

Methods inherited from class com.dxfeed.event.market.Order

getMarketMaker, setMarketMaker

Methods inherited from class com.dxfeed.event.market.OrderBase

getAction, getActionTime, getAuxOrderId, getCount, getEventFlags, getExchangeCode, getExecutedSize, getFlags, 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, setFlags, setIndex, setLevel, setOrderId, setOrderSide, setPrice, setScope, setSequence, setSide, setSize, setSizeAsDouble, setSource, setTime, setTimeNanoPart, setTimeNanos, setTimeSequence, setTradeId, setTradePrice, setTradeSize, toString

Methods inherited from class com.dxfeed.event.market.MarketEvent

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.dxfeed.event.EventType

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Constructor Detail

OtcMarketsOrder

public OtcMarketsOrder()

Creates new OTC Markets order event with default values.

OtcMarketsOrder

public OtcMarketsOrder(String eventSymbol)

Creates new OTC Markets order event with the specified event symbol.

Parameters:

eventSymbol - event symbol.

Method Detail

getQuoteAccessPayment

public int getQuoteAccessPayment()

Returns Quote Access Payment (QAP) of this OTC Markets order. QAP functionality allows participants to dynamically set access fees or rebates, in real-time and on a per-security basis through OTC Dealer or OTC FIX connections. Positive integers (1 to 30) indicate a rebate, and negative integers (-1 to -30) indicate an access fee. 0 indicates no rebate or access fee.

Returns:

QAP of this OTC Markets order.

setQuoteAccessPayment

public void setQuoteAccessPayment(int quoteAccessPayment)

Changes Quote Access Payment (QAP) of this OTC Markets order.

Parameters:

quoteAccessPayment - QAP of this OTC Markets order.

isOpen

public boolean isOpen()

Returns whether this event is available for business within the operating hours of the OTC Link system. All quotes will be closed at the start of the trading day and will remain closed until the traders open theirs.

Returns:

true if this event is available for business within the operating hours of the OTC Link system.

setOpen

public void setOpen(boolean open)

Changes whether this event is available for business within the operating hours of the OTC Link system.

Parameters:

open - true if this event is available for business within the operating hours of the OTC Link system.

isUnsolicited

public boolean isUnsolicited()

Returns whether this event is unsolicited.

Returns:

true if this event is unsolicited.

setUnsolicited

public void setUnsolicited(boolean unsolicited)

Changes whether this event is unsolicited.

Parameters:

unsolicited - true if this event is unsolicited.

getOtcMarketsPriceType

public OtcMarketsPriceType getOtcMarketsPriceType()

Returns OTC Markets price type of this OTC Markets order events.

Returns:

OTC Markets price type of this OTC Markets order events.

setOtcMarketsPriceType

public void setOtcMarketsPriceType(OtcMarketsPriceType otcPriceType)

Changes OTC Markets price type of this OTC Markets order events.

Parameters:

otcPriceType - OTC Markets price type of this OTC Markets order events.

isSaturated

public boolean isSaturated()

Returns whether this event should NOT be considered for the inside price.

Returns:

true if this event should NOT be considered for the inside price.

setSaturated

public void setSaturated(boolean saturated)

Changes whether this event should NOT be considered for the inside price.

Parameters:

saturated - true if this event should NOT be considered for the inside price.

isAutoExecution

public boolean isAutoExecution()

Returns whether this event is in 'AutoEx' mode. If this event is in 'AutoEx' mode then a response to an OTC Link trade message will be immediate.

Returns:

true if this event is in 'AutoEx' mode.

setAutoExecution

public void setAutoExecution(boolean autoExecution)

Changes whether this event is in 'AutoEx' mode.

Parameters:

autoExecution - true if this event is in 'AutoEx' mode.

isNmsConditional

public boolean isNmsConditional()

Returns whether this event represents a NMS conditional. This flag indicates the displayed size is a round lot at least two times greater than the minimum round lot size in the security and a trade message relating to the event cannot be sent or filled for less than the displayed size.

Returns:

true if this event represents a NMS conditional.

setNmsConditional

public void setNmsConditional(boolean nmsConditional)

Changes whether this event represents a NMS conditional.

Parameters:

nmsConditional - true if this event represents a NMS conditional.

fieldsToString

protected StringBuilder fieldsToString(StringBuilder sb)

Appends the field values of this event to a provided StringBuilder. This method is responsible for converting each field to a string representation and appending it to the StringBuilder passed as a parameter.

Inheritor classes are encouraged to override this method to add additional fields specific to their implementations. When overriding, the subclass should first call super.fieldsToString(sb) before appending its own fields to maintain the structure of the data representation.

Overrides:

fieldsToString in class Order

Parameters:

sb - instance to which field values are appended.

Returns:

instance passed in, after field values have been appended.