Package velox.api.layer1.datastructure.events

Class TradeAggregationEvent

java.lang.Object

velox.api.layer1.datastructure.events.Event

velox.api.layer1.datastructure.events.TradeAggregationEvent

All Implemented Interfaces:

Serializable, Cloneable, CloneableSerializable, CustomGeneratedEvent

public class TradeAggregationEvent
extends Event

Aggregation of trade events in some time interval

See Also:

• Serialized Form

Field Summary

Fields

Modifier and Type	Field	Description
Map<Double,Map<Integer,Integer>>	askAggressorMap	Map of trades, where ask is aggressor, where key is price level (if multiplied by instrument pips, will give price), and value is map, describing trades at this level, in following format: Key: size of trade, value: number of trades of this size
Map<Double,Map<Integer,Integer>>	bidAggressorMap	Map of trades, where bid is aggressor, where key is price level (if multiplied by instrument pips, will give price), and value is map, describing trades at this level, in following format: Key: size of trade, value: number of trades of this size
Boolean	firstAggressorBid	First trade aggressor (in requested interval).
double	firstPrice	First trade price (in requested interval).
Integer	firstSize	First trade size (in requested interval).
Boolean	lastAggressorBid	Last trade aggressor (in requested interval).
double	lastPrice	Last trade price (in requested interval).
Integer	lastSize	Last trade size (in requested interval).

Fields inherited from class velox.api.layer1.datastructure.events.Event

eventType, time

Constructor Summary

Constructors

Constructor	Description
TradeAggregationEvent(long time)

Method Summary

Modifier and Type	Method	Description
Object	clone()
boolean	equals(Object o)
int	getAskTradeSize()
int	getBidTradeSize()
int	getTotalTradeSize()
int	hashCode()
String	toString()

Methods inherited from class velox.api.layer1.datastructure.events.Event

getTime

Methods inherited from class java.lang.Object

finalize, getClass, notify, notifyAll, wait, wait, wait

Field Details

bidAggressorMap

public Map<Double,Map<Integer,Integer>> bidAggressorMap

Map of trades, where bid is aggressor, where key is price level (if multiplied by instrument pips, will give price), and value is map, describing trades at this level, in following format:
Key: size of trade, value: number of trades of this size

askAggressorMap

public Map<Double,Map<Integer,Integer>> askAggressorMap

Map of trades, where ask is aggressor, where key is price level (if multiplied by instrument pips, will give price), and value is map, describing trades at this level, in following format:
Key: size of trade, value: number of trades of this size

lastPrice

public double lastPrice

Last trade price (in requested interval). Double.NaN if none.

lastSize

public Integer lastSize

Last trade size (in requested interval). null if none.

lastAggressorBid

public Boolean lastAggressorBid

Last trade aggressor (in requested interval). null if none.

firstPrice

public double firstPrice

First trade price (in requested interval). Double.NaN if none.

firstSize

public Integer firstSize

First trade size (in requested interval). null if none.

firstAggressorBid

public Boolean firstAggressorBid

First trade aggressor (in requested interval). null if none.

Constructor Details

TradeAggregationEvent

public TradeAggregationEvent(long time)

Method Details

clone

public Object clone()

Specified by:

clone in interface CloneableSerializable

Specified by:

clone in class Event

getBidTradeSize

public int getBidTradeSize()

getAskTradeSize

public int getAskTradeSize()

getTotalTradeSize

public int getTotalTradeSize()

toString

public String toString()

Overrides:

toString in class Object

equals

public boolean equals(Object o)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object