'Protobuf files change'

Author: Build System

src/systemathics/apis/services/tick/v2/tick_quotes.proto

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+// Copyright (c) 2021 Systemathics
+// 
+// Permission is hereby granted, free of charge, to any person obtaining a copy
+// of this software and associated documentation files (the "Software"), to deal
+// in the Software without restriction, including without limitation the rights
+// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the Software is
+// furnished to do so, subject to the following conditions:
+// 
+// The above copyright notice and this permission notice shall be included in all
+// copies or substantial portions of the Software.
+// 
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+// SOFTWARE.
+
+// Normalized tick by tick data extraction for a given watchlist and a specific look-back period. This can be useful to:
+// <br>- Get specific historical dataset such as trades, top of book data...
+// <br>- Compute analytics on the top of preselected tick by tick data dataset
+// <br>- Feed best execution reports for a given watchlist over the time
+syntax = "proto3";
+
+import "google/protobuf/timestamp.proto";
+import "google/protobuf/wrappers.proto";
+
+import "systemathics/apis/type/shared/v1/constraints.proto";
+import "systemathics/apis/type/shared/v1/identifier.proto";
+import "systemathics/apis/type/shared/v1/keys.proto";
+import "systemathics/apis/type/shared/v2/quotes_data.proto";
+
+package systemathics.apis.services.tick.v2;
+
+// Called to request tick by tick normalized quotes data (MBO only).
+service TickQuotesService 
+{
+    // Get tick by tick normalized trades and book historical 
+    rpc TickQuotes(TickQuotesRequest) returns (stream TickQuotesResponse);
+}
+
+// The required inputs to request the TickQuotesService.
+message TickQuotesRequest
+{
+	// [Mandatory] The instrument identifiers: a list of tickers and changes
+    repeated systemathics.apis.type.shared.v1.Identifier identifiers = 1;
+       
+    // [Optional] The time constraints used to define the look-back period.
+	// If empty, then all the available data is retrieved.
+    systemathics.apis.type.shared.v1.Constraints constraints = 2;
+
+    // [Optional] The corporate action adjustment, by default the value is set to false
+    bool adjustment = 3;
+}
+
+// Contains the tick by tick normalized quotes: key and data
+message TickQuotesResponse 
+{
+	oneof payload 
+	{
+		// The trade and book data
+		systemathics.apis.type.shared.v2.QuotesData data = 1;
+		
+		// The mapping data
+		systemathics.apis.type.shared.v1.Keys mapping = 2;
+	}
+}

src/systemathics/apis/type/shared/v2/quote.proto

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+// Copyright (c) 2021 Systemathics
+// 
+// Permission is hereby granted, free of charge, to any person obtaining a copy
+// of this software and associated documentation files (the "Software"), to deal
+// in the Software without restriction, including without limitation the rights
+// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the Software is
+// furnished to do so, subject to the following conditions:
+// 
+// The above copyright notice and this permission notice shall be included in all
+// copies or substantial portions of the Software.
+// 
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+// SOFTWARE.
+
+// Represents the book market data.
+syntax = "proto3";
+
+
+import "google/protobuf/wrappers.proto";
+
+package systemathics.apis.type.shared.v2;
+
+// Contains a quote
+message Quote
+{    
+    // ID of the quote
+    string id = 1;
+    
+    // Size of the quote
+    google.protobuf.Int64Value size = 2;
+    
+    // Price of the quote 
+    google.protobuf.DoubleValue price = 3;
+
+    // Condition of the quote
+    google.protobuf.Int32Value condition = 4;
+}

src/systemathics/apis/type/shared/v2/quotes_data.proto

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+// Copyright (c) 2021 Systemathics
+// 
+// Permission is hereby granted, free of charge, to any person obtaining a copy
+// of this software and associated documentation files (the "Software"), to deal
+// in the Software without restriction, including without limitation the rights
+// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the Software is
+// furnished to do so, subject to the following conditions:
+// 
+// The above copyright notice and this permission notice shall be included in all
+// copies or substantial portions of the Software.
+// 
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+// SOFTWARE.
+
+// The market data trades
+syntax = "proto3";
+
+import "google/protobuf/timestamp.proto";
+
+import "systemathics/apis/type/shared/v2/quote.proto";
+
+package systemathics.apis.type.shared.v2;
+
+message QuotesData
+{
+	// The instrument mapping key: short code for instrument identifier.
+	uint32 mapping = 1;
+    
+	// The times tamp of the trade and book
+	google.protobuf.Timestamp time_stamp = 2;
+
+	// The quotes
+	repeated Quote quotes = 3;
+}