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

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// Copyright (c) 2021 Systemathics
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//
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// Permission is hereby granted, free of charge, to any person obtaining a copy
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// of this software and associated documentation files (the "Software"), to deal
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// in the Software without restriction, including without limitation the rights
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// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the Software is
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// furnished to do so, subject to the following conditions:
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//
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// The above copyright notice and this permission notice shall be included in all
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// copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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// SOFTWARE.
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// Normalized tick by tick data extraction for a given watchlist and a specific look-back period. This can be useful to:
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// <br>- Get specific historical dataset such as trades, top of book data...
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// <br>- Compute analytics on the top of preselected tick by tick data dataset
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// <br>- Feed best execution reports for a given watchlist over the time
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syntax = "proto3";
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import "google/protobuf/timestamp.proto";
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import "google/protobuf/wrappers.proto";
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import "systemathics/apis/type/shared/v1/constraints.proto";
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import "systemathics/apis/type/shared/v1/identifier.proto";
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import "systemathics/apis/type/shared/v1/keys.proto";
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import "systemathics/apis/type/shared/v2/book_updates.proto";
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import "systemathics/apis/type/shared/v2/book_data.proto";
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package systemathics.apis.services.tick.v2;
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// Called to request tick by tick normalized trades historical data.
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service TickBookService
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{
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// Get tick by tick normalized trades historical Book
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rpc TickBook(TickBookRequest) returns (stream TickBookResponse);
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}
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// The required inputs to request the TickBookService.
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message TickBookRequest
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{
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// [Mandatory] The instrument identifiers: a list of tickers and exchanges
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repeated systemathics.apis.type.shared.v1.Identifier identifiers = 1;
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// [Optional] The time constraints used to define the look-back period.
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// If empty, then all the available data is retrieved.
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systemathics.apis.type.shared.v1.Constraints constraints = 2;
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// [Optional] The corporate action adjustment, by default the value is set to false
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bool adjustment = 3;
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// [Optional] The maximum number of depth, if not set use the default (10).
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google.protobuf.Int32Value maxDepth = 4;
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// [Mandatory] The book update scheme (snapshots only, or, initial snapshot then incremental updates)
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systemathics.apis.type.shared.v2.BookUpdates BookUpdates = 5;
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}
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// Contains the tick by tick normalized trades data: key, time stamp, price, size, condition.
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message TickBookResponse
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{
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oneof payload
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{
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// The limit data
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systemathics.apis.type.shared.v2.BookData data = 1;
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// The mapping data
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systemathics.apis.type.shared.v1.Keys mapping = 2;
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}
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}

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

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

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

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import "systemathics/apis/type/shared/v1/constraints.proto";
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import "systemathics/apis/type/shared/v1/identifierandlevel.proto";
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import "systemathics/apis/type/shared/v1/keys.proto";
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import "systemathics/apis/type/shared/v2/trade_and_book.proto";
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import "systemathics/apis/type/shared/v2/book_updates.proto";
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import "systemathics/apis/type/shared/v2/trade_and_book_data.proto";
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package systemathics.apis.services.tick.v2;
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// [Optional] The corporate action adjustment, by default the value is set to false
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bool adjustment = 3;
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// [Optional] The maximum number of depth, if not set use the default.
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// [Optional] The maximum number of depth, if not set use the default (10).
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google.protobuf.Int32Value maxDepth = 4;
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// [Mandatory] The book update scheme (snapshots only, or, initial snapshot then incremental updates)
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systemathics.apis.type.shared.v2.BookUpdates BookUpdates = 5;
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}
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// Contains the tick by tick normalized trades data: key, time stamp, price, size, condition.
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oneof payload
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{
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// The trade and book data
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systemathics.apis.type.shared.v2.TradeAndBook data = 1;
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systemathics.apis.type.shared.v2.TradeAndBookData data = 1;
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// The mapping data
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systemathics.apis.type.shared.v1.Keys mapping = 2;

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

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// Copyright (c) 2021 Systemathics
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//
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// Permission is hereby granted, free of charge, to any person obtaining a copy
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// of this software and associated documentation files (the "Software"), to deal
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// in the Software without restriction, including without limitation the rights
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// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the Software is
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// furnished to do so, subject to the following conditions:
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//
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// The above copyright notice and this permission notice shall be included in all
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// copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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// SOFTWARE.
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// The market data trades
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syntax = "proto3";
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import "google/protobuf/timestamp.proto";
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import "systemathics/apis/type/shared/v2/trade.proto";
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import "systemathics/apis/type/shared/v2/book.proto";
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package systemathics.apis.type.shared.v2;
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message BookData
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{
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// The instrument mapping key: short code for instrument identifier.
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uint32 mapping = 1;
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// The times tamp of the trade and book
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google.protobuf.Timestamp time_stamp = 2;
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// The book
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Book book = 4;
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}

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

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// Copyright (c) 2021 Systemathics
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//
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// Permission is hereby granted, free of charge, to any person obtaining a copy
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// of this software and associated documentation files (the "Software"), to deal
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// in the Software without restriction, including without limitation the rights
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// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the Software is
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// furnished to do so, subject to the following conditions:
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//
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// The above copyright notice and this permission notice shall be included in all
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// copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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// SOFTWARE.
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syntax = "proto3";
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package systemathics.apis.type.shared.v2;
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// Contains the types of updates book services are able to deliver
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enum BookUpdates
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{
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// The unspecfied update type
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BOOK_UPDATES_UNSPECIFIED = 0;
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// Snapshots on each change
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BOOK_UPDATES_SNAPSHOTS_ONLY = 1;
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// Initial Snapshot then incremental updates on each change
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BOOK_UPDATES_INITIAL_SNAPSHOT_THEN_INCREMENTAL_UPDATES = 2;
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}

src/systemathics/apis/type/shared/v2/trade_and_book.proto renamed to src/systemathics/apis/type/shared/v2/trade_and_book_data.proto

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package systemathics.apis.type.shared.v2;
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message TradeAndBook
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message TradeAndBookData
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{
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// The instrument mapping key: short code for instrument identifier.
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uint32 mapping = 1;

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

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// Copyright (c) 2021 Systemathics
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//
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// Permission is hereby granted, free of charge, to any person obtaining a copy
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// of this software and associated documentation files (the "Software"), to deal
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// in the Software without restriction, including without limitation the rights
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// to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
7+
// copies of the Software, and to permit persons to whom the Software is
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// furnished to do so, subject to the following conditions:
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//
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// The above copyright notice and this permission notice shall be included in all
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// copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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// IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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// FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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// AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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// LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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// OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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// SOFTWARE.
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// The market data trades
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syntax = "proto3";
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import "google/protobuf/timestamp.proto";
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import "systemathics/apis/type/shared/v2/trade.proto";
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package systemathics.apis.type.shared.v2;
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message TradeData
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{
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// The instrument mapping key: short code for instrument identifier.
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uint32 mapping = 1;
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// The times tamp of the trade and book
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google.protobuf.Timestamp time_stamp = 2;
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// The trade
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Trade trade = 3;
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}

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