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‎src/systemathics/apis/services/tick/v2/tick_raw.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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// Raw tick by tick data extraction in provider format for a given watchlist and a specific look-back period. This can be useful to:
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// <br>- Audit provider raw data reception and completion
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// <br>- Compare provider data formats
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// <br>- Compare raw provider format data to normalized data
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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/level.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/raw.proto";
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package systemathics.apis.services.tick.v2;
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// Called to request tick by tick raw data.
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service TickRawService
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{
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// Gets tick by tick historical data
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rpc TickRaw(TickRawRequest) returns (stream TickRawResponse);
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}
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// The required inputs to request the TickRawService.
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message TickRawRequest
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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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// [Mandatory] The stream level (Level 1 or Level 1 and 2)
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systemathics.apis.type.shared.v1.Level level = 3;
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}
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// Represents the RAW response
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message TickRawResponse
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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.Raw raw = 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_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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// 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/mappings.proto";
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import "systemathics/apis/type/shared/v1/level.proto";
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import "systemathics/apis/type/shared/v1/identifier.proto";
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import "systemathics/apis/type/shared/v2/market_fields_updates.proto";
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import "systemathics/apis/type/shared/v2/mbl_market_book_updates.proto";
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import "systemathics/apis/type/shared/v2/mbo_market_book_updates.proto";
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package systemathics.apis.services.tick.v2;
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// Called to request tick by tick normalized historical data.
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service TickUpdatesService
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{
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// Get tick by tick normalized historical Updates
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rpc TickUpdates(TickUpdatesRequest) returns (stream TickUpdatesResponse);
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}
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// The required inputs to request the TickUpdatesService.
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message TickUpdatesRequest
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{
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// [Mandatory] The instrument identifier: a ticker and exchange
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repeated systemathics.apis.type.shared.v1.Identifier identifiers = 1;
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// [Mandatory] Level representing either Trades only(Level 1) or Trades + Book (Level 1 and Level 2)
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systemathics.apis.type.shared.v1.Level level = 2;
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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 = 3;
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// [Optional] The corporate action adjustment, by default the value is set to false
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bool adjustment = 4;
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}
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// Contains the tick by tick normalized historical data: event source, timestamp and payload.
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message TickUpdatesResponse
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{
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// Event source: short code for instrument identifier
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uint32 event_source = 1;
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// Timestamp from the market
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google.protobuf.Timestamp time_stamp = 2;
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// Payload: that can be a mapping (event source and instrument identifier), some fields update or some books update
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oneof payload
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{
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// Some fields update
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systemathics.apis.type.shared.v2.MarketFieldsUpdates fields_updates = 3;
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// Some MBL books update
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systemathics.apis.type.shared.v2.MblMarketBookUpdates mbl_book_updates = 4;
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// Some MBO books update
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systemathics.apis.type.shared.v2.MboMarketBookUpdates mbo_book_updates = 5;
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// Event source and instrument identifier mapping. It's sent once when streaming begins.
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systemathics.apis.type.shared.v1.Mappings mappings = 6;
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}
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}

‎src/systemathics/apis/type/shared/v1/trade_and_book.proto‎

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// The book
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BookLimit book = 4;
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}

‎src/systemathics/apis/type/shared/v2/field.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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// Represents market data field types for time and sales. This excludes book updates, to learn more about market book updates please refer to <a href="#systemathics/apis/type/v1/market_book_updates.proto">the dedicated section</a>.
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syntax = "proto3";
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package systemathics.apis.type.shared.v2;
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// Contains the field tyoes for <a href="#systemathics/apis/type/v1/market_fields_updates.proto">a market field update</a>.
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enum Field
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{
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// The unspecfied field
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FIELD_UNSPECIFIED = 0;
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// The open price (associated value type is double)
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FIELD_OPEN_PRICE = 1;
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// The open size (associated value type is long)
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FIELD_OPEN_SIZE = 2;
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// The close price (associated value type is double)
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FIELD_CLOSE_PRICE = 3;
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// The close size (associated value type is long)
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FIELD_CLOSE_SIZE = 4;
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// The low price (associated value type is double)
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FIELD_LOW_PRICE = 5;
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// The low size (associated value type is long)
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FIELD_LOW_SIZE = 6;
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// The high price (associated value type is double)
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FIELD_HIGH_PRICE = 7;
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// The high size (associated value type is long)
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FIELD_HIGH_SIZE = 8;
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// The last trade price (associated value type is double)
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FIELD_TRADE_PRICE = 9;
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// The last trade size (associated value type is long)
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FIELD_TRADE_SIZE = 10;
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// The trading condition (associated value type is string)
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FIELD_TRADING_CONDITION = 11;
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// The trade count (associated value type is long)
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FIELD_TRADE_COUNT = 12;
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// The last otc trade price (associated value type is double)
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FIELD_TRADE_OTC_PRICE = 13;
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// The last otc trade size (associated value type is long)
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FIELD_TRADE_OTC_SIZE = 14;
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// The otc trade count (associated value type is long)
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FIELD_TRADE_OTC_COUNT = 15;
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// The daily volume (associated value type is long)
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FIELD_VOLUME = 16;
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// The official vwap (associated value type is double)
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FIELD_VWAP_OFFICIAL = 17;
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// The electronic vwap (associated value type is double)
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FIELD_VWAP_ELECTRONIC = 18;
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// The theoretical price (associated value type is double)
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FIELD_THEORETICAL_PRICE = 19;
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// The theoretical size (associated value type is long)
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FIELD_THEORETICAL_SIZE = 20;
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// The upper price (associated value type is double)
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FIELD_UPPER_PRICE = 21;
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// The lower price (associated value type is double)
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FIELD_LOWER_PRICE = 22;
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// The variation (associated value type is double)
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FIELD_VARIATION = 23;
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// The percentage variation (associated value type is double)
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FIELD_VARIATION_PERCENTAGE = 24;
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// The trade id (associated value type is string)
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FIELD_TRADE_ID = 25;
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}

‎src/systemathics/apis/type/shared/v2/market_fields_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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// Represents the times and sales market data.
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syntax = "proto3";
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import "systemathics/apis/type/shared/v1/action.proto";
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import "systemathics/apis/type/shared/v2/field.proto";
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package systemathics.apis.type.shared.v2;
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// Represents market field updates.
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message MarketFieldsUpdates
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{
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// If is a snapshot, previous data must be cleared, otherwise it's incremental
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bool is_snapshot = 1;
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// The market book updates: an array of MarketFieldUpdate objects
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repeated MarketFieldUpdate updates = 2;
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}
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// Represents a market field update
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message MarketFieldUpdate
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{
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// Action on market field update
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systemathics.apis.type.shared.v1.Action action = 1;
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// Field of market field update
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Field field = 2;
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// Value of the market field update
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oneof value
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{
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// long value (depends of the field)
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int64 long_value = 3;
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// double value (depends of the field)
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double double_value = 4;
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// string value (depends of the field)
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string string_value = 5;
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}
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}

‎src/systemathics/apis/type/shared/v2/mbl_market_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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// Represents the book market data.
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syntax = "proto3";
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import "google/protobuf/wrappers.proto";
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import "systemathics/apis/type/shared/v1/action.proto";
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import "systemathics/apis/type/shared/v1/side.proto";
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package systemathics.apis.type.shared.v2;
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// Contains MBL market book updates data.
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message MblMarketBookUpdates
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{
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// If is a snapshot, previous data must be cleared, otherwise it's incremental
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bool is_snapshot = 1;
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// The market book updates: an array of MarketBookUpdate objects
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repeated systemathics.apis.type.shared.v2.MblMarketBookUpdate updates = 2;
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}
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// Represents a MBL market book update.
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message MblMarketBookUpdate
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{
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// Action of the market book update
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systemathics.apis.type.shared.v1.Action action = 1;
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// Side of the market book update
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systemathics.apis.type.shared.v1.Side side = 2;
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// Depth of the market book update
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uint32 depth = 3;
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// Size of the market book update
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google.protobuf.Int64Value size = 4;
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// Price of the market book update
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google.protobuf.DoubleValue price = 5;
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}

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