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
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 crypto markets). |
|
FUNDING_RATE_PREDICITON |
The predicted/expected funding rate for the next period. |