> For the complete documentation index, see [llms.txt](https://developer.barchart.com/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://developer.barchart.com/architecture/openfeed-proto.md).

# openfeed.proto

## AddOrder

Add an order to the order book. Indexed by orderId, which is unique per channel

| Field           | Type                  | Label | Description |
| --------------- | --------------------- | ----- | ----------- |
| transactionTime | [sint64](#sint64)     |       |             |
| orderId         | [sint64](#sint64)     |       |             |
| side            | [BookSide](#BookSide) |       |             |
| price           | [sint64](#sint64)     |       |             |
| quantity        | [sint64](#sint64)     |       |             |
| isImplied       | [bool](#bool)         |       |             |
| priority        | [sint64](#sint64)     |       |             |

## AddPriceLevel

Insert a new price level, pushing existing levels down

| Field           | Type                  | Label | Description                                  |
| --------------- | --------------------- | ----- | -------------------------------------------- |
| transactionTime | [sint64](#sint64)     |       | UTC Timestamp, nano seconds since Unix epoch |
| level           | [sint32](#sint32)     |       | price level index, starting at 1             |
| side            | [BookSide](#BookSide) |       |                                              |
| price           | [sint64](#sint64)     |       | Divide by priceDenominator                   |
| quantity        | [sint64](#sint64)     |       | Divide by quantityDenominator                |
| orderCount      | [sint32](#sint32)     |       |                                              |
| impliedQuantity | [sint64](#sint64)     |       |                                              |

## AdminMessage

Administrative Message

| Field           | Type                                       | Label | Description                                                    |
| --------------- | ------------------------------------------ | ----- | -------------------------------------------------------------- |
| originationTime | [sint64](#sint64)                          |       | Origination time = UTC timestamp nano seconds since Unix epoch |
| source          | [string](#string)                          |       |                                                                |
| languageCode    | [string](#string)                          |       |                                                                |
| headLine        | [string](#string)                          |       |                                                                |
| text            | [string](#string)                          |       |                                                                |
| status          | [AdminMessage.Status](#AdminMessageStatus) |       |                                                                |
| channel         | [sint32](#sint32)                          |       |                                                                |

## BestBidOffer

Best Bid and Offer. / If a side is not present, then that side has been deleted. / By default this value is the NBBO, if regional/participant quote then regional = true

| Field                  | Type              | Label | Description                                                                     |
| ---------------------- | ----------------- | ----- | ------------------------------------------------------------------------------- |
| transactionTime        | [sint64](#sint64) |       | UTC Timestamp, nano seconds since Unix epoch                                    |
| bidPrice               | [sint64](#sint64) |       | Divide by priceDenominator                                                      |
| bidQuantity            | [sint64](#sint64) |       | Divide by quantityDenominator                                                   |
| bidOrderCount          | [sint32](#sint32) |       |                                                                                 |
| bidOriginator          | [bytes](#bytes)   |       | Liquidity provider information For Forex: BANK:CITY For Equities: EXCHANGE\_MIC |
| bidQuoteCondition      | [bytes](#bytes)   |       |                                                                                 |
| offerPrice             | [sint64](#sint64) |       | Divide by priceDenominator                                                      |
| offerQuantity          | [sint64](#sint64) |       | Divide by quantityDenominator                                                   |
| offerOrderCount        | [sint32](#sint32) |       |                                                                                 |
| offerOriginator        | [bytes](#bytes)   |       | Liquidity provider information For Forex: BANK:CITY For Equities: EXCHANGE\_MIC |
| offerQuoteCondition    | [bytes](#bytes)   |       |                                                                                 |
| quoteCondition         | [bytes](#bytes)   |       |                                                                                 |
| regional               | [bool](#bool)     |       | True if regional/participant member quote                                       |
| transient              | [bool](#bool)     |       | True if not persisted in the EOD database.                                      |
| boloBidParticipantId   | [bytes](#bytes)   |       | Best Odd Lot Order (BOLO)                                                       |
| boloBidPrice           | [sint64](#sint64) |       |                                                                                 |
| boloBidQuantity        | [sint64](#sint64) |       |                                                                                 |
| boloOfferParticipantId | [bytes](#bytes)   |       |                                                                                 |
| boloOfferPrice         | [sint64](#sint64) |       |                                                                                 |
| boloOfferQuantity      | [sint64](#sint64) |       |                                                                                 |

## CapitalDistributions

Capital Distributions

| Field                    | Type              | Label    | Description                              |
| ------------------------ | ----------------- | -------- | ---------------------------------------- |
| transactionTime          | [sint64](#sint64) |          |                                          |
| instrumentType           | [string](#string) |          |                                          |
| corporateAction          | [string](#string) |          | Corporate Action                         |
| payableDate              | [sint32](#sint32) |          | Date only, format 2012-07-04 -> 20120704 |
| recordDate               | [sint32](#sint32) |          |                                          |
| exDate                   | [sint32](#sint32) |          |                                          |
| shortTermCapitalGain     | [sint64](#sint64) |          | Distributions                            |
| longTermCapitalGain      | [sint64](#sint64) |          |                                          |
| unallocatedDistributions | [sint64](#sint64) |          |                                          |
| returnOfCapital          | [sint64](#sint64) |          |                                          |
| currencyCode             | [string](#string) |          |                                          |
| notes                    | [string](#string) | repeated |                                          |
| reinvestDate             | [sint32](#sint32) |          |                                          |

## ChannelReset

Channel Reset

| Field           | Type              | Label | Description |
| --------------- | ----------------- | ----- | ----------- |
| channel         | [sint32](#sint32) |       |             |
| transactionTime | [sint64](#sint64) |       |             |

## ClearBook

Clear all data from the order books that are configured for this market.

| Field           | Type              | Label | Description |
| --------------- | ----------------- | ----- | ----------- |
| reserved        | [sint32](#sint32) |       |             |
| transactionTime | [sint64](#sint64) |       |             |

## Close

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| price           | [sint64](#sint64) |       | Divide by priceDenominator               |
| currency        | [string](#string) |       |                                          |

## Context

| Field       | Type                        | Label    | Description |
| ----------- | --------------------------- | -------- | ----------- |
| data        | [ContextData](#ContextData) | repeated |             |
| tracePoints | [TracePoint](#TracePoint)   | repeated |             |

## ContextData

| Field   | Type              | Label | Description |
| ------- | ----------------- | ----- | ----------- |
| id      | [string](#string) |       |             |
| vstring | [string](#string) |       |             |
| vbytes  | [bytes](#bytes)   |       |             |
| vbool   | [bool](#bool)     |       |             |
| vsint32 | [sint32](#sint32) |       |             |
| vsint64 | [sint64](#sint64) |       |             |
| vfloat  | [float](#float)   |       |             |
| vdouble | [double](#double) |       |             |

## DeleteOrder

Delete an order from the order book. Indexed by orderId, which is unique per channel

| Field           | Type                  | Label | Description |
| --------------- | --------------------- | ----- | ----------- |
| transactionTime | [sint64](#sint64)     |       |             |
| orderId         | [sint64](#sint64)     |       |             |
| side            | [BookSide](#BookSide) |       |             |

## DeletePriceLevel

Delete an existing price level, pulling existing levels up

| Field           | Type                  | Label | Description                                  |
| --------------- | --------------------- | ----- | -------------------------------------------- |
| transactionTime | [sint64](#sint64)     |       | UTC Timestamp, nano seconds since Unix epoch |
| level           | [sint32](#sint32)     |       | price level index, starting at 1             |
| side            | [BookSide](#BookSide) |       |                                              |

## DepthOrder

Depth By Order

| Field  | Type                                 | Label    | Description |
| ------ | ------------------------------------ | -------- | ----------- |
| orders | [DepthOrder.Entry](#DepthOrderEntry) | repeated |             |

## DepthOrder.Entry

| Field       | Type                        | Label | Description |
| ----------- | --------------------------- | ----- | ----------- |
| addOrder    | [AddOrder](#AddOrder)       |       |             |
| deleteOrder | [DeleteOrder](#DeleteOrder) |       |             |
| modifyOrder | [ModifyOrder](#ModifyOrder) |       |             |

## DepthPriceLevel

Depth Price Level

| Field  | Type                                           | Label    | Description |
| ------ | ---------------------------------------------- | -------- | ----------- |
| levels | [DepthPriceLevel.Entry](#DepthPriceLevelEntry) | repeated |             |

## DepthPriceLevel.Entry

| Field            | Type                                  | Label | Description |
| ---------------- | ------------------------------------- | ----- | ----------- |
| addPriceLevel    | [AddPriceLevel](#AddPriceLevel)       |       |             |
| deletePriceLevel | [DeletePriceLevel](#DeletePriceLevel) |       |             |
| modifyPriceLevel | [ModifyPriceLevel](#ModifyPriceLevel) |       |             |

## DividendsIncomeDistributions

Dividends and Income Distributions

| Field                        | Type              | Label    | Description                              |
| ---------------------------- | ----------------- | -------- | ---------------------------------------- |
| transactionTime              | [sint64](#sint64) |          |                                          |
| instrumentType               | [string](#string) |          |                                          |
| corporateAction              | [string](#string) |          | Corporate Action                         |
| distributionType             | [string](#string) |          | Distribution Type                        |
| payableDate                  | [sint32](#sint32) |          | Date only, format 2012-07-04 -> 20120704 |
| recordDate                   | [sint32](#sint32) |          |                                          |
| exDividendDate               | [sint32](#sint32) |          |                                          |
| amount                       | [sint64](#sint64) |          | Cash amount of distribution              |
| currencyCode                 | [string](#string) |          |                                          |
| notes                        | [string](#string) | repeated |                                          |
| totalCashDistribution        | [sint64](#sint64) |          |                                          |
| nonQualifiedCashDistribution | [sint64](#sint64) |          |                                          |
| qualifiedCashDistribution    | [sint64](#sint64) |          |                                          |
| taxFreeCashDistribution      | [sint64](#sint64) |          |                                          |
| ordinaryForeignTaxCredit     | [sint64](#sint64) |          |                                          |
| qualifiedForeignTaxCredit    | [sint64](#sint64) |          |                                          |
| stockDividendRatio           | [sint64](#sint64) |          |                                          |
| reinvestDate                 | [sint32](#sint32) |          |                                          |

## EODCommoditySummary

EOD commodity summary. Used to represent consolidated total values for the group of contracts. Total volume for / all ES futures, for example.

| Field                    | Type              | Label | Description                       |
| ------------------------ | ----------------- | ----- | --------------------------------- |
| tradeDate                | [sint32](#sint32) |       | Trade date in the format YYYYMMDD |
| contractRoot             | [string](#string) |       | Contract root, for example ES.    |
| consolidatedVolume       | [sint64](#sint64) |       | Consolidated volume.              |
| consolidatedOpenInterest | [sint64](#sint64) |       | Consolidated open interest.       |
| auxiliaryData            | [bytes](#bytes)   |       | For internal use only. Ignore     |

## HeartBeat

Heart Beat

| Field           | Type              | Label | Description                                                 |
| --------------- | ----------------- | ----- | ----------------------------------------------------------- |
| transactionTime | [sint64](#sint64) |       | UTC timestamp of transaction, nano seconds since Unix epoch |
| status          | [string](#string) |       |                                                             |
| exchange        | [bool](#bool)     |       |                                                             |
| channel         | [sint32](#sint32) |       |                                                             |

## High

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| price           | [sint64](#sint64) |       | Divide by priceDenominator               |
| currency        | [string](#string) |       |                                          |

## HighRolling

24 hour rolling window

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| price           | [sint64](#sint64) |       | Divide by priceDenominator               |
| currency        | [string](#string) |       |                                          |

## IndexValue

For non-tradable index products

| Field           | Type              | Label | Description                                  |
| --------------- | ----------------- | ----- | -------------------------------------------- |
| transactionTime | [sint64](#sint64) |       | UTC Timestamp, nano seconds since Unix epoch |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704     |
| last            | [sint64](#sint64) |       |                                              |
| volume          | [sint64](#sint64) |       |                                              |
| open            | [sint64](#sint64) |       |                                              |
| settlementOpen  | [sint64](#sint64) |       |                                              |
| specialOpen     | [sint64](#sint64) |       |                                              |
| high            | [sint64](#sint64) |       |                                              |
| low             | [sint64](#sint64) |       |                                              |
| close           | [sint64](#sint64) |       |                                              |
| bid             | [sint64](#sint64) |       |                                              |
| offer           | [sint64](#sint64) |       |                                              |

## InstrumentAction

Instrument Action

| Field           | Type                                          | Label | Description |
| --------------- | --------------------------------------------- | ----- | ----------- |
| transactionTime | [sint64](#sint64)                             |       |             |
| tradeDate       | [sint32](#sint32)                             |       |             |
| action          | [ActionType](#ActionType)                     |       |             |
| message         | [string](#string)                             |       |             |
| oldAlias        | [string](#string)                             |       |             |
| instrument      | [InstrumentDefinition](#InstrumentDefinition) |       |             |
| newInstrument   | [InstrumentDefinition](#InstrumentDefinition) |       |             |

## InstrumentGroupStatus

Instrument Group Status

| Field             | Type                                                | Label | Description                                                 |
| ----------------- | --------------------------------------------------- | ----- | ----------------------------------------------------------- |
| transactionTime   | [sint64](#sint64)                                   |       | UTC Timestamp of transaction, nano seconds since Unix epoch |
| instrumentGroupId | [string](#string)                                   |       |                                                             |
| tradingStatus     | [InstrumentTradingStatus](#InstrumentTradingStatus) |       |                                                             |
| tradeDate         | [sint32](#sint32)                                   |       |                                                             |
| channel           | [sint32](#sint32)                                   |       |                                                             |

## InstrumentStatus

Instrument Status

| Field                           | Type                                                                | Label | Description                                  |
| ------------------------------- | ------------------------------------------------------------------- | ----- | -------------------------------------------- |
| transactionTime                 | [sint64](#sint64)                                                   |       | UTC Timestamp, nano seconds since Unix epoch |
| tradingStatus                   | [InstrumentTradingStatus](#InstrumentTradingStatus)                 |       | Trading status.                              |
| openingTime                     | [sint64](#sint64)                                                   |       | UTC Timestamp, nano seconds since Unix epoch |
| note                            | [string](#string)                                                   |       |                                              |
| tradeDate                       | [sint32](#sint32)                                                   |       | Date only, format 2012-07-04 -> 20120704     |
| regulationSHOShortSalePriceTest | [RegulationSHOShortSalePriceTest](#RegulationSHOShortSalePriceTest) |       |                                              |
| priorTradingStatus              | [InstrumentTradingStatus](#InstrumentTradingStatus)                 |       | Prior trading status for the instrument.     |

## Last

| Field              | Type              | Label | Description                                                   |
| ------------------ | ----------------- | ----- | ------------------------------------------------------------- |
| transactionTime    | [sint64](#sint64) |       |                                                               |
| tradeDate          | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704                      |
| price              | [sint64](#sint64) |       | Divide by priceDenominator                                    |
| quantity           | [sint64](#sint64) |       | Divide by quantityDenominator                                 |
| currency           | [string](#string) |       |                                                               |
| quantityFractional | [sint64](#sint64) |       | Quantity Fractional. Divide by quantityFractionalDenominator. |
| session            | [string](#string) |       |                                                               |

## Low

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| price           | [sint64](#sint64) |       | Divide by priceDenominator               |
| currency        | [string](#string) |       |                                          |

## LowRolling

24 hour rolling window

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| price           | [sint64](#sint64) |       | Divide by priceDenominator               |
| currency        | [string](#string) |       |                                          |

## MarketOpenInterest

Market Open interest

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| volume          | [sint64](#sint64) |       |                                          |

## MarketSession

Session used in snapshot.

| Field                    | Type                                                  | Label | Description                                  |
| ------------------------ | ----------------------------------------------------- | ----- | -------------------------------------------- |
| tradeDate                | [sint32](#sint32)                                     |       | Date only, format 2012-07-04 -> 20120704     |
| open                     | [Open](#Open)                                         |       | Most recent opening price                    |
| high                     | [High](#High)                                         |       | High price for the trading session           |
| low                      | [Low](#Low)                                           |       | Low price for the trading session            |
| last                     | [Last](#Last)                                         |       | Most recent traded price and quantity        |
| volume                   | [Volume](#Volume)                                     |       | Total traded volume                          |
| settlement               | [Settlement](#Settlement)                             |       | Most recent settlement price                 |
| prevSettlement           | [Settlement](#Settlement)                             |       | Most recent settlement price                 |
| openInterest             | [OpenInterest](#OpenInterest)                         |       | Most recent open interest                    |
| numberOfTrades           | [NumberOfTrades](#NumberOfTrades)                     |       | Number of trades                             |
| monetaryValue            | [MonetaryValue](#MonetaryValue)                       |       | Monetary value                               |
| transactionTime          | [sint64](#sint64)                                     |       | UTC Timestamp, nano seconds since Unix epoch |
| officialBestBidOffer     | [OfficialBestBidOffer](#OfficialBestBidOffer)         |       |                                              |
| referenceVolatilityPrice | [ReferenceVolatilityPrice](#ReferenceVolatilityPrice) |       |                                              |
| priceLimits              | [PriceLimits](#PriceLimits)                           |       |                                              |
| marketOpenInterest       | [MarketOpenInterest](#MarketOpenInterest)             |       |                                              |
| vwap                     | [Vwap](#Vwap)                                         |       |                                              |
| warrantBand              | [WarrantBand](#WarrantBand)                           |       |                                              |
| positionBand             | [PositionBand](#PositionBand)                         |       |                                              |
| lastTrade                | [Last](#Last)                                         |       |                                              |

## MarketSnapshot

Snapshot for a market

| Field                        | Type                                                          | Label    | Description                                                                                                                                       |
| ---------------------------- | ------------------------------------------------------------- | -------- | ------------------------------------------------------------------------------------------------------------------------------------------------- |
| marketId                     | [sint64](#sint64)                                             |          | Unique id identifying the market                                                                                                                  |
| transactionTime              | [sint64](#sint64)                                             |          | UTC Timestamp of transaction, nano seconds since Unix epoch                                                                                       |
| marketSequence               | [int64](#int64)                                               |          | Instrument level sequence number                                                                                                                  |
| tradeDate                    | [sint32](#sint32)                                             |          | Date only, format 2012-07-04 -> 20120704                                                                                                          |
| totalChunks                  | [sint32](#sint32)                                             |          | A snapshot with market depth may exceed the maximum message size. In that case, the snapshot will be broken up across multiple snapshot messages. |
| currentChunk                 | [sint32](#sint32)                                             |          |                                                                                                                                                   |
| symbol                       | [string](#string)                                             |          | Optional symbol identifier                                                                                                                        |
| priceDenominator             | [sint32](#sint32)                                             |          | Divide prices by this value to get real price values. Optional, use value / from InstrumentDefinition if not set.                                 |
| service                      | [Service](#Service)                                           |          |                                                                                                                                                   |
| instrumentStatus             | [InstrumentStatus](#InstrumentStatus)                         |          |                                                                                                                                                   |
| bbo                          | [BestBidOffer](#BestBidOffer)                                 |          | Best Bid Offer                                                                                                                                    |
| index                        | [IndexValue](#IndexValue)                                     |          | Index Value                                                                                                                                       |
| priceLevels                  | [AddPriceLevel](#AddPriceLevel)                               | repeated | Price Level Book                                                                                                                                  |
| orders                       | [AddOrder](#AddOrder)                                         | repeated | Order Book                                                                                                                                        |
| news                         | [News](#News)                                                 |          |                                                                                                                                                   |
| open                         | [Open](#Open)                                                 |          | Most recent opening price                                                                                                                         |
| high                         | [High](#High)                                                 |          | High price for the trading session                                                                                                                |
| low                          | [Low](#Low)                                                   |          | Low price for the trading session                                                                                                                 |
| close                        | [Close](#Close)                                               |          | Most recent closing price                                                                                                                         |
| prevClose                    | [PrevClose](#PrevClose)                                       |          | Previous closing price                                                                                                                            |
| last                         | [Last](#Last)                                                 |          | Most recent traded price and quantity                                                                                                             |
| yearHigh                     | [YearHigh](#YearHigh)                                         |          | Year high price                                                                                                                                   |
| yearLow                      | [YearLow](#YearLow)                                           |          | Year low price                                                                                                                                    |
| volume                       | [Volume](#Volume)                                             |          | Total traded volume                                                                                                                               |
| settlement                   | [Settlement](#Settlement)                                     |          | Most recent settlement price                                                                                                                      |
| openInterest                 | [OpenInterest](#OpenInterest)                                 |          | Most recent open interest                                                                                                                         |
| vwap                         | [Vwap](#Vwap)                                                 |          | Most recent volume weighted average price                                                                                                         |
| dividendsIncomeDistributions | [DividendsIncomeDistributions](#DividendsIncomeDistributions) |          |                                                                                                                                                   |
| numberOfTrades               | [NumberOfTrades](#NumberOfTrades)                             |          |                                                                                                                                                   |
| monetaryValue                | [MonetaryValue](#MonetaryValue)                               |          |                                                                                                                                                   |
| capitalDistributions         | [CapitalDistributions](#CapitalDistributions)                 |          |                                                                                                                                                   |
| sharesOutstanding            | [SharesOutstanding](#SharesOutstanding)                       |          |                                                                                                                                                   |
| netAssetValue                | [NetAssetValue](#NetAssetValue)                               |          |                                                                                                                                                   |
| previousSession              | [MarketSession](#MarketSession)                               |          | Previous session.                                                                                                                                 |
| tSession                     | [MarketSession](#MarketSession)                               |          | 'T' session.                                                                                                                                      |
| volumeAtPrice                | [VolumeAtPrice](#VolumeAtPrice)                               |          | Volume at price. Used by the market state/ JERQ.                                                                                                  |
| highRolling                  | [HighRolling](#HighRolling)                                   |          |                                                                                                                                                   |
| lowRolling                   | [LowRolling](#LowRolling)                                     |          |                                                                                                                                                   |
| zSession                     | [MarketSession](#MarketSession)                               |          | 'Z' session. Includes all trades, even the ones that do not update Last.                                                                          |
| referenceVolatilityPrice     | [ReferenceVolatilityPrice](#ReferenceVolatilityPrice)         |          |                                                                                                                                                   |
| priceLimits                  | [PriceLimits](#PriceLimits)                                   |          |                                                                                                                                                   |
| sessions                     | [MarketSession](#MarketSession)                               | repeated | Older previous sessions                                                                                                                           |
| officialBestBidOffer         | [OfficialBestBidOffer](#OfficialBestBidOffer)                 |          |                                                                                                                                                   |
| marketOpenInterest           | [MarketOpenInterest](#MarketOpenInterest)                     |          |                                                                                                                                                   |
| warrantBand                  | [WarrantBand](#WarrantBand)                                   |          |                                                                                                                                                   |
| positionBand                 | [PositionBand](#PositionBand)                                 |          |                                                                                                                                                   |
| lastTrade                    | [Last](#Last)                                                 |          |                                                                                                                                                   |

## MarketSnapshotResponse

Used by market state to return snapshot.

| Field          | Type                                            | Label | Description |
| -------------- | ----------------------------------------------- | ----- | ----------- |
| result         | [SnapshotRequestResult](#SnapshotRequestResult) |       |             |
| message        | [string](#string)                               |       |             |
| marketSnapshot | [MarketSnapshot](#MarketSnapshot)               |       |             |

## MarketStatus

Market Status

| Field            | Type                                  | Label | Description                                                 |
| ---------------- | ------------------------------------- | ----- | ----------------------------------------------------------- |
| transactionTime  | [sint64](#sint64)                     |       | UTC Timestamp of transaction, nano seconds since Unix epoch |
| channel          | [sint32](#sint32)                     |       |                                                             |
| marketWideStatus | [MarketWideStatus](#MarketWideStatus) |       |                                                             |

## MarketSummary

Intra and EOD Market Summary

| Field            | Type                                                   | Label | Description                                |
| ---------------- | ------------------------------------------------------ | ----- | ------------------------------------------ |
| transactionTime  | [sint64](#sint64)                                      |       |                                            |
| tradingDate      | [sint32](#sint32)                                      |       | Date only, format 2012-07-04 -> 20120704   |
| startOfDay       | [bool](#bool)                                          |       |                                            |
| endOfDay         | [bool](#bool)                                          |       |                                            |
| clear            | [MarketSummary.ClearSet](#MarketSummaryClearSet)       |       |                                            |
| instrumentStatus | [InstrumentStatus](#InstrumentStatus)                  |       |                                            |
| bbo              | [BestBidOffer](#BestBidOffer)                          |       |                                            |
| open             | [Open](#Open)                                          |       |                                            |
| high             | [High](#High)                                          |       |                                            |
| low              | [Low](#Low)                                            |       |                                            |
| close            | [Close](#Close)                                        |       |                                            |
| prevClose        | [PrevClose](#PrevClose)                                |       |                                            |
| last             | [Last](#Last)                                          |       |                                            |
| volume           | [Volume](#Volume)                                      |       |                                            |
| settlement       | [Settlement](#Settlement)                              |       |                                            |
| openInterest     | [OpenInterest](#OpenInterest)                          |       |                                            |
| vwap             | [Vwap](#Vwap)                                          |       |                                            |
| session          | [string](#string)                                      |       | Used by CME ITC.                           |
| summaryType      | [MarketSummary.SummaryType](#MarketSummarySummaryType) |       |                                            |
| prevVolume       | [Volume](#Volume)                                      |       | Total traded volume for the prior day.     |
| transient        | [bool](#bool)                                          |       | True if not persisted in the EOD database. |
| lastTrade        | [Last](#Last)                                          |       |                                            |

## MarketUpdate

Market Update for an instrument

| Field                        | Type                                                          | Label | Description                                                                                                       |
| ---------------------------- | ------------------------------------------------------------- | ----- | ----------------------------------------------------------------------------------------------------------------- |
| marketId                     | [sint64](#sint64)                                             |       | Unique id identifying the market                                                                                  |
| symbol                       | [string](#string)                                             |       | Optional symbol identifier                                                                                        |
| transactionTime              | [sint64](#sint64)                                             |       | UTC Timestamp of transaction, nano seconds since Unix epoch / This is usually the execution venue timestamp.      |
| distributionTime             | [sint64](#sint64)                                             |       | Distribution time in nano seconds since epoch.                                                                    |
| marketSequence               | [sint64](#sint64)                                             |       | Market level sequencing number                                                                                    |
| sourceSequence               | [sint64](#sint64)                                             |       | Data source sequence number                                                                                       |
| originatorId                 | [bytes](#bytes)                                               |       | Market participant/originator                                                                                     |
| priceDenominator             | [sint32](#sint32)                                             |       | Divide prices by this value to get real price values. Optional, use value / from InstrumentDefinition if not set. |
| context                      | [Context](#Context)                                           |       | Feed specific context data set as required.                                                                       |
| session                      | [MarketSession](#MarketSession)                               |       | Current session. This is used to 'enhance' updates from the translator in the Market State                        |
| tSession                     | [MarketSession](#MarketSession)                               |       | 'T' session. This is used to 'enhance' updates from the translator in the Market State                            |
| previousSession              | [MarketSession](#MarketSession)                               |       | Previous session. This is used to 'enhance' updates from the translator in the Market State                       |
| regional                     | [bool](#bool)                                                 |       | True if message applies to regional/participant member                                                            |
| zSession                     | [MarketSession](#MarketSession)                               |       | 'Z' session. Includes all trades, even the ones that do not update Last.                                          |
| news                         | [News](#News)                                                 |       |                                                                                                                   |
| clearBook                    | [ClearBook](#ClearBook)                                       |       |                                                                                                                   |
| instrumentStatus             | [InstrumentStatus](#InstrumentStatus)                         |       |                                                                                                                   |
| bbo                          | [BestBidOffer](#BestBidOffer)                                 |       |                                                                                                                   |
| depthPriceLevel              | [DepthPriceLevel](#DepthPriceLevel)                           |       |                                                                                                                   |
| depthOrder                   | [DepthOrder](#DepthOrder)                                     |       |                                                                                                                   |
| index                        | [IndexValue](#IndexValue)                                     |       |                                                                                                                   |
| trades                       | [Trades](#Trades)                                             |       |                                                                                                                   |
| open                         | [Open](#Open)                                                 |       |                                                                                                                   |
| high                         | [High](#High)                                                 |       |                                                                                                                   |
| low                          | [Low](#Low)                                                   |       |                                                                                                                   |
| close                        | [Close](#Close)                                               |       |                                                                                                                   |
| prevClose                    | [PrevClose](#PrevClose)                                       |       |                                                                                                                   |
| last                         | [Last](#Last)                                                 |       |                                                                                                                   |
| yearHigh                     | [YearHigh](#YearHigh)                                         |       |                                                                                                                   |
| yearLow                      | [YearLow](#YearLow)                                           |       |                                                                                                                   |
| volume                       | [Volume](#Volume)                                             |       |                                                                                                                   |
| settlement                   | [Settlement](#Settlement)                                     |       |                                                                                                                   |
| openInterest                 | [OpenInterest](#OpenInterest)                                 |       |                                                                                                                   |
| vwap                         | [Vwap](#Vwap)                                                 |       |                                                                                                                   |
| dividendsIncomeDistributions | [DividendsIncomeDistributions](#DividendsIncomeDistributions) |       |                                                                                                                   |
| numberOfTrades               | [NumberOfTrades](#NumberOfTrades)                             |       |                                                                                                                   |
| monetaryValue                | [MonetaryValue](#MonetaryValue)                               |       |                                                                                                                   |
| capitalDistributions         | [CapitalDistributions](#CapitalDistributions)                 |       |                                                                                                                   |
| sharesOutstanding            | [SharesOutstanding](#SharesOutstanding)                       |       |                                                                                                                   |
| netAssetValue                | [NetAssetValue](#NetAssetValue)                               |       |                                                                                                                   |
| marketSummary                | [MarketSummary](#MarketSummary)                               |       |                                                                                                                   |
| highRolling                  | [HighRolling](#HighRolling)                                   |       |                                                                                                                   |
| lowRolling                   | [LowRolling](#LowRolling)                                     |       |                                                                                                                   |
| requestForQuote              | [RequestForQuote](#RequestForQuote)                           |       |                                                                                                                   |
| referenceVolatilityPrice     | [ReferenceVolatilityPrice](#ReferenceVolatilityPrice)         |       |                                                                                                                   |
| priceLimits                  | [PriceLimits](#PriceLimits)                                   |       |                                                                                                                   |
| officialBestBidOffer         | [OfficialBestBidOffer](#OfficialBestBidOffer)                 |       |                                                                                                                   |
| marketOpenInterest           | [MarketOpenInterest](#MarketOpenInterest)                     |       |                                                                                                                   |
| warrantBand                  | [WarrantBand](#WarrantBand)                                   |       |                                                                                                                   |
| positionBand                 | [PositionBand](#PositionBand)                                 |       |                                                                                                                   |

## ModifyOrder

Modify the price or quantity of an order. The side and implied flag cannot change

| Field           | Type                  | Label | Description |
| --------------- | --------------------- | ----- | ----------- |
| transactionTime | [sint64](#sint64)     |       |             |
| orderId         | [sint64](#sint64)     |       |             |
| side            | [BookSide](#BookSide) |       |             |
| price           | [sint64](#sint64)     |       |             |
| quantity        | [sint64](#sint64)     |       |             |
| isImplied       | [bool](#bool)         |       |             |
| priority        | [sint64](#sint64)     |       |             |

## ModifyPriceLevel

Modify the quantity or orderCount of an existing price level. / The price itself will not change.

| Field           | Type                  | Label | Description                                  |
| --------------- | --------------------- | ----- | -------------------------------------------- |
| transactionTime | [sint64](#sint64)     |       | UTC Timestamp, nano seconds since Unix epoch |
| level           | [sint32](#sint32)     |       | price level index, starting at 1             |
| side            | [BookSide](#BookSide) |       |                                              |
| price           | [sint64](#sint64)     |       | Divide by priceDenominator                   |
| quantity        | [sint64](#sint64)     |       | Divide by quantityDenominator                |
| orderCount      | [sint32](#sint32)     |       |                                              |
| impliedQuantity | [sint64](#sint64)     |       |                                              |

## MonetaryValue

Total monetary value of trades

| Field             | Type              | Label | Description                              |
| ----------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime   | [sint64](#sint64) |       |                                          |
| tradeDate         | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| value             | [sint64](#sint64) |       | 2 decimals of precision                  |
| valueCurrencyCode | [string](#string) |       |                                          |

## NetAssetValue

| Field           | Type              | Label | Description |
| --------------- | ----------------- | ----- | ----------- |
| netAssetValue   | [sint64](#sint64) |       |             |
| transactionTime | [sint64](#sint64) |       |             |

## News

News or informational message

| Field           | Type              | Label    | Description                                                    |
| --------------- | ----------------- | -------- | -------------------------------------------------------------- |
| originationTime | [sint64](#sint64) |          | Origination time = UTC timestamp nano seconds since Unix epoch |
| source          | [string](#string) |          |                                                                |
| languageCode    | [string](#string) |          |                                                                |
| headLine        | [string](#string) |          |                                                                |
| text            | [string](#string) |          |                                                                |
| symbols         | [string](#string) | repeated |                                                                |

## NumberOfTrades

Total number of trades

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| numberTrades    | [sint64](#sint64) |       |                                          |

## OfficialBestBidOffer

Official Best Bid and Offer.

| Field           | Type              | Label | Description                                  |
| --------------- | ----------------- | ----- | -------------------------------------------- |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704     |
| transactionTime | [sint64](#sint64) |       | UTC Timestamp, nano seconds since Unix epoch |
| bidPrice        | [sint64](#sint64) |       | Divide by priceDenominator                   |
| offerPrice      | [sint64](#sint64) |       | Divide by priceDenominator                   |

## Ohlc

Open,High,Low,Close

| Field           | Type              | Label    | Description                                  |
| --------------- | ----------------- | -------- | -------------------------------------------- |
| marketId        | [sint64](#sint64) |          |                                              |
| symbol          | [string](#string) |          |                                              |
| open            | [Open](#Open)     |          |                                              |
| high            | [High](#High)     |          |                                              |
| low             | [Low](#Low)       |          |                                              |
| close           | [Close](#Close)   |          |                                              |
| volume          | [sint64](#sint64) |          | Sum of volume                                |
| priceVolume     | [double](#double) |          | Sum of price volume using normalized price   |
| numberTrades    | [sint64](#sint64) |          |                                              |
| tradeDate       | [sint32](#sint32) |          |                                              |
| transactionTime | [sint64](#sint64) |          | UTC Timestamp, nano seconds since Unix epoch |
| tradeIds        | [string](#string) | repeated | Trade Ids used in this OHLC                  |
| openStartTime   | [sint64](#sint64) |          |                                              |
| closeEndTime    | [sint64](#sint64) |          |                                              |

## Open

| Field                   | Type                                                | Label | Description                              |
| ----------------------- | --------------------------------------------------- | ----- | ---------------------------------------- |
| transactionTime         | [sint64](#sint64)                                   |       |                                          |
| tradeDate               | [sint32](#sint32)                                   |       | Date only, format 2012-07-04 -> 20120704 |
| price                   | [sint64](#sint64)                                   |       | Divide by priceDenominator               |
| OpenCloseSettlementFlag | [OpenCloseSettlementFlag](#OpenCloseSettlementFlag) |       |                                          |
| currency                | [string](#string)                                   |       |                                          |

## OpenInterest

Open interest

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| volume          | [sint64](#sint64) |       |                                          |

## OpenfeedMessage

A wrapper for Openfeed data. Will contain exactly one of the supported message types

| Field                 | Type                                            | Label | Description                                                                                                                                   |
| --------------------- | ----------------------------------------------- | ----- | --------------------------------------------------------------------------------------------------------------------------------------------- |
| sendingTime           | [sint64](#sint64)                               |       | Nano second unix epoch at time of message transmission (UTC)                                                                                  |
| totalCount            | [sint32](#sint32)                               |       | The total number of markets available on this channel at the time the message was sent. For UDP snapshot and definition feeds.                |
| syncSequence          | [int64](#int64)                                 |       | The most recent packet sequence number sent on the incremental feed at the time this message was sent. For UDP snapshot and definition feeds. |
| context               | [Context](#Context)                             |       | Feed specific context data                                                                                                                    |
| channelReset          | [ChannelReset](#ChannelReset)                   |       |                                                                                                                                               |
| heartBeat             | [HeartBeat](#HeartBeat)                         |       |                                                                                                                                               |
| adminMessage          | [AdminMessage](#AdminMessage)                   |       |                                                                                                                                               |
| instrumentDefinition  | [InstrumentDefinition](#InstrumentDefinition)   |       |                                                                                                                                               |
| instrumentGroupStatus | [InstrumentGroupStatus](#InstrumentGroupStatus) |       |                                                                                                                                               |
| marketSnapshot        | [MarketSnapshot](#MarketSnapshot)               |       |                                                                                                                                               |
| marketUpdate          | [MarketUpdate](#MarketUpdate)                   |       |                                                                                                                                               |
| marketStatus          | [MarketStatus](#MarketStatus)                   |       |                                                                                                                                               |
| eodCommoditySummary   | [EODCommoditySummary](#EODCommoditySummary)     |       |                                                                                                                                               |
| instrumentAction      | [InstrumentAction](#InstrumentAction)           |       |                                                                                                                                               |

## PositionBand

Position band. Used by LME.

| Field       | Type                                  | Label    | Description |
| ----------- | ------------------------------------- | -------- | ----------- |
| tradeDate   | [sint32](#sint32)                     |          |             |
| productCode | [string](#string)                     |          |             |
| shortBands  | [PositionBandItem](#PositionBandItem) | repeated |             |
| longBands   | [PositionBandItem](#PositionBandItem) | repeated |             |

## PositionBandItem

| Field              | Type                        | Label    | Description |
| ------------------ | --------------------------- | -------- | ----------- |
| positionLowerValue | [sint32](#sint32)           |          |             |
| positionUpperValue | [sint32](#sint32)           |          |             |
| promptCounts       | [PromptCount](#PromptCount) | repeated |             |

## PrevClose

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| price           | [sint64](#sint64) |       | Divide by priceDenominator               |
| currency        | [string](#string) |       |                                          |

## PriceLimits

Price limits.

| Field           | Type              | Label | Description                                                                        |
| --------------- | ----------------- | ----- | ---------------------------------------------------------------------------------- |
| tradeDate       | [sint32](#sint32) |       | trade date                                                                         |
| transactionTime | [sint64](#sint64) |       | Transaction time.                                                                  |
| upperPriceLimit | [sint64](#sint64) |       | Upper price limit for the outright tradable instrument for the current trading day |
| lowerPriceLimit | [sint64](#sint64) |       | Lower price limit for the outright tradable instrument for the current trading day |

## PromptCount

| Field            | Type              | Label | Description |
| ---------------- | ----------------- | ----- | ----------- |
| promptDateLabel  | [string](#string) |       |             |
| expiryDate       | [sint32](#sint32) |       |             |
| participantCount | [sint32](#sint32) |       |             |

## ReferenceVolatilityPrice

The Reference Volatility Price message provides ‘raw’ strikes. LME volatilities are quoted in Delta space.

| Field         | Type              | Label | Description                                                                      |
| ------------- | ----------------- | ----- | -------------------------------------------------------------------------------- |
| tradeDate     | [sint32](#sint32) |       | trade date                                                                       |
| atm           | [sint32](#sint32) |       | Identifies the ATM strike (1) or delta point (0).                                |
| surfaceDomain | [string](#string) |       | Indicates whether the reference volatility was created in Delta or Strike space. |
| volatility    | [sint64](#sint64) |       | Volatility                                                                       |
| premium       | [sint64](#sint64) |       | premium                                                                          |
| delta         | [sint64](#sint64) |       | Option delta for the volatility point.                                           |

## RequestForQuote

Request For Quote

| Field          | Type              | Label | Description |
| -------------- | ----------------- | ----- | ----------- |
| quoteRequestId | [string](#string) |       |             |
| symbol         | [string](#string) |       |             |
| securityId     | [sint64](#sint64) |       |             |
| orderQuantity  | [sint32](#sint32) |       |             |
| quoteType      | [sint32](#sint32) |       |             |
| side           | [sint32](#sint32) |       |             |

## Settlement

Settlement value for futures and options markets.

| Field             | Type                                  | Label | Description                                |
| ----------------- | ------------------------------------- | ----- | ------------------------------------------ |
| transactionTime   | [sint64](#sint64)                     |       |                                            |
| tradeDate         | [sint32](#sint32)                     |       | Date only, format 2012-07-04 -> 20120704   |
| price             | [sint64](#sint64)                     |       | Divide by priceDenominator                 |
| preliminarySettle | [bool](#bool)                         |       |                                            |
| currency          | [string](#string)                     |       |                                            |
| settlementSource  | [SettlementSource](#SettlementSource) |       |                                            |
| session           | [string](#string)                     |       | Used by CME ITC.                           |
| transient         | [bool](#bool)                         |       | True if not persisted in the EOD database. |
| reserved          | [bool](#bool)                         |       | Reserved                                   |

## SharesOutstanding

| Field             | Type              | Label | Description |
| ----------------- | ----------------- | ----- | ----------- |
| sharesOutstanding | [sint64](#sint64) |       |             |
| transactionTime   | [sint64](#sint64) |       |             |

## SnapshotRequest

Request for the snapshot to the Market state.

| Field                | Type                                                                       | Label    | Description |
| -------------------- | -------------------------------------------------------------------------- | -------- | ----------- |
| channel              | [int32](#int32)                                                            |          |             |
| resetNumber          | [int32](#int32)                                                            |          |             |
| requestId            | [string](#string)                                                          |          |             |
| snapshotRequestTypes | [SnapshotRequest.SnapshotRequestType](#SnapshotRequestSnapshotRequestType) | repeated |             |

## TCPHistoricalReplayRequest

TCP replay request.

| Field       | Type              | Label | Description |
| ----------- | ----------------- | ----- | ----------- |
| channel     | [int32](#int32)   |       |             |
| resetNumber | [int32](#int32)   |       |             |
| sequence    | [int64](#int64)   |       |             |
| count       | [int32](#int32)   |       |             |
| requestId   | [string](#string) |       |             |

## TracePoint

Tracing

| Field              | Type              | Label | Description |
| ------------------ | ----------------- | ----- | ----------- |
| id                 | [string](#string) |       |             |
| componentId        | [string](#string) |       |             |
| timestampNs        | [sint64](#sint64) |       |             |
| componentLatencyNs | [int32](#int32)   |       |             |

## Trade

A live trade. When received, update the "last" field

| Field                      | Type                                | Label | Description                                                   |
| -------------------------- | ----------------------------------- | ----- | ------------------------------------------------------------- |
| originatorId               | [bytes](#bytes)                     |       | Market participant/originator                                 |
| transactionTime            | [sint64](#sint64)                   |       | UTC Timestamp, nano seconds since Unix epoch                  |
| price                      | [sint64](#sint64)                   |       | Divide by priceDenominator                                    |
| quantity                   | [sint64](#sint64)                   |       | Divide by quantityDenominator                                 |
| tradeId                    | [bytes](#bytes)                     |       |                                                               |
| side                       | [BookSide](#BookSide)               |       | The side of the aggressing order that caused the trade        |
| tradeDate                  | [sint32](#sint32)                   |       | Date only, format 2012-07-04 -> 20120704                      |
| buyerId                    | [bytes](#bytes)                     |       |                                                               |
| sellerId                   | [bytes](#bytes)                     |       |                                                               |
| openingTrade               | [bool](#bool)                       |       |                                                               |
| systemPriced               | [bool](#bool)                       |       |                                                               |
| marketOnClose              | [bool](#bool)                       |       |                                                               |
| oddLot                     | [bool](#bool)                       |       |                                                               |
| settlementTerms            | [SettlementTerms](#SettlementTerms) |       |                                                               |
| crossType                  | [CrossType](#CrossType)             |       |                                                               |
| byPass                     | [bool](#bool)                       |       |                                                               |
| lastPrice                  | [sint64](#sint64)                   |       |                                                               |
| saleCondition              | [bytes](#bytes)                     |       |                                                               |
| currency                   | [string](#string)                   |       |                                                               |
| doesNotUpdateLast          | [bool](#bool)                       |       | Does not update Last                                          |
| doesNotUpdateVolume        | [bool](#bool)                       |       | Does not update Volume                                        |
| session                    | [string](#string)                   |       |                                                               |
| blockTrade                 | [bool](#bool)                       |       | Is this a block trade.                                        |
| distributionTime           | [sint64](#sint64)                   |       | Distribution time in nano seconds since epoch.                |
| transactionTime2           | [sint64](#sint64)                   |       | time in nano seconds since epoch.                             |
| consolidatedPriceIndicator | [string](#string)                   |       |                                                               |
| transient                  | [bool](#bool)                       |       | True if not persisted in the EOD database.                    |
| indexShortName             | [string](#string)                   |       | Index short name used to identify index.                      |
| quantityFractional         | [sint64](#sint64)                   |       | Fractional Quantity. Divide by quantityFractionalDenominator. |

## TradeCancel

Trade Cancel/Break

| Field                            | Type              | Label | Description                                                             |
| -------------------------------- | ----------------- | ----- | ----------------------------------------------------------------------- |
| originatorId                     | [bytes](#bytes)   |       | Market participant/originator                                           |
| transactionTime                  | [sint64](#sint64) |       |                                                                         |
| correctedTradePrice              | [sint64](#sint64) |       |                                                                         |
| correctedTradeQuantity           | [sint64](#sint64) |       |                                                                         |
| tradeId                          | [bytes](#bytes)   |       |                                                                         |
| saleCondition                    | [bytes](#bytes)   |       |                                                                         |
| currency                         | [string](#string) |       |                                                                         |
| distributionTime                 | [sint64](#sint64) |       | Distribution time in nano seconds since epoch.                          |
| transactionTime2                 | [sint64](#sint64) |       | time in nano seconds since epoch.                                       |
| correctedTradeQuantityFractional | [sint64](#sint64) |       | Corrected Fractional Quantity. Divide by quantityFractionalDenominator. |

## TradeCorrection

Trade Correction

| Field                      | Type                                | Label | Description                                                             |
| -------------------------- | ----------------------------------- | ----- | ----------------------------------------------------------------------- |
| originatorId               | [bytes](#bytes)                     |       | Market participant/originator                                           |
| transactionTime            | [sint64](#sint64)                   |       |                                                                         |
| price                      | [sint64](#sint64)                   |       | Corrected Price                                                         |
| quantity                   | [sint64](#sint64)                   |       | Corrected Quantity                                                      |
| tradeId                    | [bytes](#bytes)                     |       |                                                                         |
| side                       | [BookSide](#BookSide)               |       |                                                                         |
| tradeDate                  | [sint32](#sint32)                   |       | Date only, format 2012-07-04 -> 20120704                                |
| buyerId                    | [bytes](#bytes)                     |       |                                                                         |
| sellerId                   | [bytes](#bytes)                     |       |                                                                         |
| openingTrade               | [bool](#bool)                       |       |                                                                         |
| systemPriced               | [bool](#bool)                       |       |                                                                         |
| marketOnClose              | [bool](#bool)                       |       |                                                                         |
| oddLot                     | [bool](#bool)                       |       |                                                                         |
| settlementTerms            | [SettlementTerms](#SettlementTerms) |       |                                                                         |
| crossType                  | [CrossType](#CrossType)             |       |                                                                         |
| byPass                     | [bool](#bool)                       |       |                                                                         |
| originalTradeId            | [bytes](#bytes)                     |       |                                                                         |
| saleCondition              | [bytes](#bytes)                     |       |                                                                         |
| currency                   | [string](#string)                   |       |                                                                         |
| distributionTime           | [sint64](#sint64)                   |       | Distribution time in nano seconds since epoch.                          |
| transactionTime2           | [sint64](#sint64)                   |       | time in nano seconds since epoch.                                       |
| originalTradePrice         | [sint64](#sint64)                   |       | Original Price                                                          |
| originalTradeQuantity      | [sint64](#sint64)                   |       | Original Quantity                                                       |
| quantityFractional         | [sint64](#sint64)                   |       | Corrected Fractional Quantity. Divide by quantityFractionalDenominator. |
| originalQuantityFractional | [sint64](#sint64)                   |       | Original Fractional Quantity. Divide by quantityFractionalDenominator.  |

## Trades

Trades

| Field  | Type                         | Label    | Description |
| ------ | ---------------------------- | -------- | ----------- |
| trades | [Trades.Entry](#TradesEntry) | repeated |             |

## Trades.Entry

| Field           | Type                                | Label | Description |
| --------------- | ----------------------------------- | ----- | ----------- |
| trade           | [Trade](#Trade)                     |       |             |
| tradeCorrection | [TradeCorrection](#TradeCorrection) |       |             |
| tradeCancel     | [TradeCancel](#TradeCancel)         |       |             |

## Volume

Total volume traded

| Field            | Type              | Label | Description                                               |
| ---------------- | ----------------- | ----- | --------------------------------------------------------- |
| transactionTime  | [sint64](#sint64) |       |                                                           |
| tradeDate        | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704                  |
| volume           | [sint64](#sint64) |       | Total volume traded.                                      |
| volumeFractional | [sint64](#sint64) |       | Fractional Volume. Divide by volumeFractionalDenominator. |

## VolumeAtPrice

The VolumeAtPrice class encapsulates all of the trades throughout the day, / and organizes a table of volume at prices.

| Field                | Type                                                             | Label    | Description                                                 |
| -------------------- | ---------------------------------------------------------------- | -------- | ----------------------------------------------------------- |
| marketId             | [sint64](#sint64)                                                |          |                                                             |
| symbol               | [string](#string)                                                |          |                                                             |
| transactionTime      | [sint64](#sint64)                                                |          | UTC Timestamp of transaction, nano seconds since Unix epoch |
| lastPrice            | [sint64](#sint64)                                                |          |                                                             |
| lastQuantity         | [sint64](#sint64)                                                |          |                                                             |
| lastCumulativeVolume | [sint64](#sint64)                                                |          |                                                             |
| tradeDate            | [sint32](#sint32)                                                |          | Date only, format 2012-07-04 -> 20120704                    |
| priceVolumes         | [VolumeAtPrice.PriceLevelVolume](#VolumeAtPricePriceLevelVolume) | repeated |                                                             |

## VolumeAtPrice.PriceLevelVolume

| Field  | Type              | Label | Description |
| ------ | ----------------- | ----- | ----------- |
| price  | [sint64](#sint64) |       |             |
| volume | [sint64](#sint64) |       |             |

## Vwap

Volume Weighted Average Price

| Field           | Type              | Label | Description                              |
| --------------- | ----------------- | ----- | ---------------------------------------- |
| transactionTime | [sint64](#sint64) |       |                                          |
| tradeDate       | [sint32](#sint32) |       | Date only, format 2012-07-04 -> 20120704 |
| vwap            | [sint64](#sint64) |       |                                          |

## WarrantBand

Warrant band. Used by LME.

| Field       | Type                                | Label    | Description |
| ----------- | ----------------------------------- | -------- | ----------- |
| tradeDate   | [sint32](#sint32)                   |          |             |
| type        | [string](#string)                   |          |             |
| productCode | [string](#string)                   |          |             |
| bands       | [WarrantBandItem](#WarrantBandItem) | repeated |             |

## WarrantBandItem

| Field            | Type              | Label | Description |
| ---------------- | ----------------- | ----- | ----------- |
| lowerValue       | [sint32](#sint32) |       |             |
| upperValue       | [sint32](#sint32) |       |             |
| participantCount | [sint32](#sint32) |       |             |

## YearHigh

52 week

| Field           | Type              | Label | Description                |
| --------------- | ----------------- | ----- | -------------------------- |
| transactionTime | [sint64](#sint64) |       |                            |
| price           | [sint64](#sint64) |       | Divide by priceDenominator |
| currency        | [string](#string) |       |                            |

## YearLow

52 week

| Field           | Type              | Label | Description                |
| --------------- | ----------------- | ----- | -------------------------- |
| transactionTime | [sint64](#sint64) |       |                            |
| price           | [sint64](#sint64) |       | Divide by priceDenominator |
| currency        | [string](#string) |       |                            |

## ActionType

Instrument Actions

| Name            | Number | Description |
| --------------- | ------ | ----------- |
| UNKNOWN\_ACTION | 0      |             |
| LISTING         | 1      |             |
| DELISTING       | 2      |             |
| EXCHANGE\_MOVE  | 3      |             |
| ALIAS\_CHANGED  | 4      |             |

## AdminMessage.Status

| Name | Number | Description |
| ---- | ------ | ----------- |
| OK   | 0      |             |

## BookSide

Book side

| Name                | Number | Description |
| ------------------- | ------ | ----------- |
| UNKNOWN\_BOOK\_SIDE | 0      |             |
| BID                 | 1      |             |
| OFFER               | 2      |             |

## CrossType

| Name                 | Number | Description |
| -------------------- | ------ | ----------- |
| UNKNOWN\_CROSS\_TYPE | 0      |             |
| DEFAULT              | 1      |             |
| INTERNAL             | 2      |             |
| BASIS                | 3      |             |
| CONTINGENT           | 4      |             |
| SPECIAL              | 5      |             |
| VWAP                 | 6      |             |
| REGULAR              | 7      |             |

## InstrumentTradingStatus

| Name                         | Number | Description                   |
| ---------------------------- | ------ | ----------------------------- |
| UNKNOWN\_TRADING\_STATUS     | 0      |                               |
| TRADING\_RESUME              | 1      |                               |
| PRE\_OPEN                    | 2      |                               |
| OPEN                         | 3      |                               |
| PRE\_CLOSE                   | 4      |                               |
| CLOSE                        | 5      |                               |
| TRADING\_HALT                | 6      |                               |
| QUOTATION\_RESUME            | 7      |                               |
| OPEN\_DELAY                  | 8      |                               |
| NO\_OPEN\_NO\_RESUME         | 9      |                               |
| FAST\_MARKET                 | 10     |                               |
| FAST\_MARKET\_END            | 11     |                               |
| LATE\_MARKET                 | 12     |                               |
| LATE\_MARKET\_END            | 13     |                               |
| POST\_SESSION                | 14     |                               |
| POST\_SESSION\_END           | 15     |                               |
| NEW\_PRICE\_INDICATION       | 16     |                               |
| NOT\_AVAILABLE\_FOR\_TRADING | 17     |                               |
| PRE\_CROSS                   | 18     |                               |
| CROSS                        | 19     |                               |
| POST\_CLOSE                  | 20     |                               |
| NO\_CHANGE                   | 21     |                               |
| NAFT                         | 22     | Not available for trading.    |
| TRADING\_RANGE\_INDICATION   | 23     |                               |
| MARKET\_IMBALANCE\_BUY       | 24     |                               |
| MARKET\_IMBALANCE\_SELL      | 25     |                               |
| MOC\_IMBALANCE\_BUY          | 26     | Market On Close Imbalance Buy |
| MOC\_IMBALANCE\_SELL         | 27     |                               |
| NO\_MARKET\_IMBALANCE        | 28     |                               |
| NO\_MOC\_IMBALANCE           | 29     |                               |
| SHORT\_SELL\_RESTRICTION     | 30     |                               |
| LIMIT\_UP\_LIMIT\_DOWN       | 31     |                               |

## MarketSummary.ClearSet

Clears sets of fields

| Name      | Number | Description |
| --------- | ------ | ----------- |
| NONE      | 0      |             |
| ALL       | 1      |             |
| BA        | 2      |             |
| CUSTOM\_1 | 3      |             |

## MarketSummary.SummaryType

Used to differentiate various ddf messages.

| Name                      | Number | Description                                                   |
| ------------------------- | ------ | ------------------------------------------------------------- |
| EXCHANGE\_REFRESH         | 0      | DDF 2/1 Exchange refresh                                      |
| REFRESH\_LIVE\_PRICE      | 1      | DDF 2/6 Live Prices refresh                                   |
| EOD\_COMMODITY\_PRICES    | 2      | DDF 3/C end-of-day commodity prices                           |
| EOD\_STOCK\_FOREX\_PRICES | 3      | DDF 3/S end-of-day stock and forex prices and volume          |
| EOD\_COMMODITY\_STATS     | 4      | DDF 3/I end-of-day commodity volume and open interest message |

## MarketWideStatus

| Name                   | Number | Description |
| ---------------------- | ------ | ----------- |
| STATUS\_UNKNOWN        | 0      |             |
| STATUS\_START\_OF\_DAY | 1      |             |
| STATUS\_END\_OF\_DAY   | 2      |             |
| STATUS\_OPEN           | 3      |             |
| STATUS\_CLOSE          | 4      |             |

## OpenCloseSettlementFlag

| Name                    | Number | Description |
| ----------------------- | ------ | ----------- |
| UNKNOWN                 | 0      |             |
| DAILY\_OPEN             | 1      |             |
| INDICATIVE\_OPEN\_PRICE | 2      |             |

## RegulationSHOShortSalePriceTest

| Name                             | Number | Description |
| -------------------------------- | ------ | ----------- |
| UNKNOWN\_PRICE\_TEST             | 0      |             |
| PRICE\_TEST\_NONE                | 1      |             |
| PRICE\_TEST\_IN\_EFFECT          | 2      |             |
| PRICE\_TEST\_REMAINS\_IN\_EFFECT | 3      |             |

## Service

| Name                 | Number | Description |
| -------------------- | ------ | ----------- |
| UNKNOWN\_SERVICE     | 0      |             |
| REAL\_TIME           | 1      |             |
| DELAYED              | 2      |             |
| REAL\_TIME\_SNAPSHOT | 3      |             |
| DELAYED\_SNAPSHOT    | 4      |             |
| END\_OF\_DAY         | 5      |             |

## SettlementSource

| Name                        | Number | Description |
| --------------------------- | ------ | ----------- |
| UNKNOWN\_SETTLEMENT\_SOURCE | 0      |             |
| GLOBEX                      | 1      |             |
| ITC                         | 2      |             |
| MANUAL                      | 3      |             |

## SettlementTerms

| Name                       | Number | Description |
| -------------------------- | ------ | ----------- |
| UNKNOWN\_SETTLEMENT\_TERMS | 0      |             |
| CASH                       | 1      |             |
| NON\_NET                   | 2      |             |
| CONTINGENT\_TRADE          | 3      |             |
| CASH\_TODAY                | 4      |             |
| DATE                       | 5      |             |

## SnapshotRequest.SnapshotRequestType

| Name              | Number | Description |
| ----------------- | ------ | ----------- |
| ALL               | 0      |             |
| QUOTE             | 1      |             |
| DEPTH             | 2      |             |
| VOLUME\_AT\_PRICE | 3      |             |

## SnapshotRequestResult

| Name                                       | Number | Description |
| ------------------------------------------ | ------ | ----------- |
| SNAPSHOT\_REQUEST\_UNKNOWN\_RESULT         | 0      |             |
| SNAPSHOT\_REQUEST\_SUCCESS                 | 1      |             |
| SNAPSHOT\_REQUEST\_NOT\_FOUND              | 2      |             |
| SNAPSHOT\_REQUEST\_SERVICE\_NOT\_AVAILABLE | 3      |             |
| SNAPSHOT\_REQUEST\_GENERIC\_FAILURE        | 4      |             |


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