dxFeed is extending its data model by adding a new field, tradeId, to events that provide trade information: TimeAndSale, Trade and TradeETH.
Technical details
Based on the practices of leading data providers (OPRA, Cboe, CME) and aiming to balance utility and performance, this field will be published as a 64-bit value (long format).
A tradeId value of 0 indicates the absence of trade identifier information. If the original feed includes a tradeId field that fits the 64-bit format and is compatible, it will be published without modification. Otherwise, a normalized and most variable part of the identifier will be provided, with an attempt to ensure uniqueness but without a guarantee of absolute uniqueness.
According to the data model:
- In the TimeAndSale event, the tradeId field represents the unique trade number (or the maximal representable part given format constraints) assigned by the original data provider.
- In the Trade event, which reflects the last official price, the tradeId corresponds to the market trade during which this price was last updated.
- In the TradeETH event, which reflects the last price during extended trading hours, the tradeId corresponds to the market trade during which this price was last updated.
- If the last official price was received without referencing a specific trade, the tradeId field will be omitted and its value set to 0.
Effective date
Data migration will occur gradually over the next several months. For inquiries about availability timelines (ETAs) of this feature for your data feeds, please contact your sales manager.
This update is backward compatible. If tradeId information is not relevant to your use case, it can be safely ignored.
Please refer to dxFeed Help Desk if you have any questions or concerns.