Statistics

Exchanges publish statistics with varying frequency.

The roq::StatisticsUpdate event is meant to capture changes to these values using roq::Statistics.

For each statistics, when possible, we capture

  • Type

  • Value

  • Begin-time for the sample period (optional)

  • End-time for the sample period (optional)

The following table lists semantic types

roq::StatisticsType

FIX

Description

OPEN_PRICE

4 (Opening Price)

Open price. Typically the first traded price of the session. Could also be an auction price based on pre-open settlement.

SETTLEMENT_PRICE

6 (Settlement Price)

Settlement price. Typically an exchange published price used for official settlement.

CLOSE_PRICE

5 (Closing Price)

Close price. Typically the last traded price of the session. Could also be an exchange published VWAP price.

OPEN_INTEREST

C (Open Interest)

Open interest. The number of open contracts (mostly relevant to futures). Could be live, but more likely to be some historically sampled value, e.g. at close of yesterday.

PRE_OPEN_INTEREST

Open Interest indication (ahead of official open interest).

PRE_SETTLEMENT_PRICE

Settlement price indication (ahead of official open interest).

PRE_CLOSE_PRICE

Close price indication (ahead of official open interest).

HIGHEST_TRADED_PRICE

7 (Trading Session High Price)

Highest traded price of the session.

LOWEST_TRADED_PRICE

8 (Trading Session Low Price)

Lowest traded price of the session.

UPPER_LIMIT_PRICE

Upper limit-price. Typically the maximum price allowed to be cleared for this session. Could be an actual limit on the limit price allowed to be entered, or a clearing price where trading will be halted.

LOWER_LIMIT_PRICE

Lower limit-price. Typically the minimum price allowed to be cleared for this session. Could be an actual limit on the limit price allowed to be entered, or a clearing price where trading will be halted.

INDEX_VALUE

Current index value (mostly relevant to index or derivatives thereof).

MARGIN_RATE

G (Margin Rate)

Margin rate. Typically used to publish current lending rate used for leveraged trading.

FUNDING_RATE

Funding rate used to compute settlement price for perpetual futures (mostly relevant to cryptocurrencies).

DAILY_FUNDING_RATE

The daily funding rate used for perpetual futures (mostly relevant to cryptocurrencies).