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TradeAggregationEvent

Package: velox.api.layer1.datastructure.events

Type: Class

Inheritance: java.lang.Object → velox.api.layer1.datastructure.events.Event → TradeAggregationEvent

All Implemented Interfaces: Serializable, Cloneable, CloneableSerializable, CustomGeneratedEvent

Description​

Aggregation of trade events in some time interval

See Also:

  • Serialized Form

Fields​

bidAggressorMap​

public Map<Double, Map<Integer, Integer>> bidAggressorMap

Map of trades, where bid is aggressor, where key is price level (if multiplied by instrument pips, will give price), and value is map, describing trades at this level, in following format:
Key: size of trade, value: number of trades of this size

askAggressorMap​

public Map<Double, Map<Integer, Integer>> askAggressorMap

Map of trades, where ask is aggressor, where key is price level (if multiplied by instrument pips, will give price), and value is map, describing trades at this level, in following format:
Key: size of trade, value: number of trades of this size

lastPrice​

public double lastPrice

Last trade price (in requested interval). Double.NaN if none.

lastSize​

public Integer lastSize

Last trade size (in requested interval). null if none.

lastAggressorBid​

public Boolean lastAggressorBid

Last trade aggressor (in requested interval). null if none.

Fields inherited from class velox.api.layer1.datastructure.events.Event:

  • eventType
  • time

Constructors​

TradeAggregationEvent​

public TradeAggregationEvent(long time)

Methods​

clone​

public Object clone()

Specified by:

  • clone in interface CloneableSerializable
  • clone in class Event

getBidTradeSize​

public int getBidTradeSize()

getAskTradeSize​

public int getAskTradeSize()

getTotalTradeSize​

public int getTotalTradeSize()

toString​

public String toString()

Overrides: toString in class Object

Methods inherited from class velox.api.layer1.datastructure.events.Event:

  • getTime

Methods inherited from class java.lang.Object:

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