LevelOneMarketData
LevelOneMarketData(
symbol: Union[Symbol, str, BaseContract],
)
Bases: Object
This class has no documentation.
Initializes a new instance of the LevelOneMarketData class for a given symbol.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
symbol
|
Union[Symbol, str, BaseContract]
|
The trading symbol to monitor. |
required |
base_data_received: _EventContainer[
Callable[[Object, BaseDataEventArgs], Any], Any
]
Occurs when a new tick is received, such as a last trade update or a change in bid/ask values.
symbol_date_time_zone: Any
Gets the time zone associated with the symbol's exchange. Used for consistent time stamping.
last_trade_price: float
Gets the price of the last executed trade.
last_trade_size: float
Gets the size of the last executed trade.
best_bid_price: float
Gets the best available bid price.
best_bid_size: float
Gets the size of the best available bid.
best_ask_price: float
Gets the best available ask price.
best_ask_size: float
Gets the size of the best available ask.
open_interest: float
Gets the latest reported open interest value.
ignore_zero_size_updates: bool
Gets or sets a value indicating whether quote updates with a size of zero should be ignored when updating Level 1 market data.
When set to true, incoming bid or ask updates with a size of zero are treated as missing or incomplete and will not overwrite the existing known price or size. This is typically used for real-time (non-delayed) feeds where a zero size may indicate a temporary data gap rather than an actionable market change.
When set to false (default), zero-sized updates are applied normally, which is appropriate for delayed feeds or sources where a size of zero has semantic meaning (e.g., clearing out a book level).
update_last_trade(
trade_date_time_utc: Optional[datetime],
last_quantity: Optional[float],
last_price: Optional[float],
sale_condition: str = ...,
exchange: str = ...,
) -> None
Updates the last trade price and size. Constructs and publishes a trade Tick to the Data.IDataAggregator.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
trade_date_time_utc
|
Optional[datetime]
|
The UTC timestamp when the trade occurred. |
required |
last_quantity
|
Optional[float]
|
The quantity of the last trade. |
required |
last_price
|
Optional[float]
|
The price at which the last trade occurred. |
required |
sale_condition
|
str
|
Optional sale condition string. |
...
|
exchange
|
str
|
Optional exchange identifier. |
...
|
update_open_interest(
open_interest_date_time_utc: Optional[datetime],
open_interest: Optional[float],
) -> None
Updates the open interest value and publishes a corresponding Tick.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
open_interest_date_time_utc
|
Optional[datetime]
|
The UTC timestamp of the open interest update. |
required |
open_interest
|
Optional[float]
|
The reported open interest value. |
required |
update_quote(
quote_date_time_utc: Optional[datetime],
bid_price: Optional[float],
bid_size: Optional[float],
ask_price: Optional[float],
ask_size: Optional[float],
) -> None
Updates the best bid and ask prices and sizes. Constructs and publishes a quote Tick to the IDataAggregator.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
quote_date_time_utc
|
Optional[datetime]
|
The UTC timestamp when the quote was received. |
required |
bid_price
|
Optional[float]
|
The best bid price. |
required |
bid_size
|
Optional[float]
|
The size available at the best bid. |
required |
ask_price
|
Optional[float]
|
The best ask price. |
required |
ask_size
|
Optional[float]
|
The size available at the best ask. |
required |