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Message

StockPriceLevelVolume

A stock activity update for one ticker and price level, split between lit and off lit trades. Updates are published as INCREMENTAL updates for the time window they computed. If you store the data in a database you should be adding the values to the existing values in the database.

fields8 topicstock-price-level-volume
▶Proto definition.proto 
message StockPriceLevelVolume {
  string ticker = 1;
  string date = 2;
  int64 tape_time = 3;
  int64 dark_pool_volume = 4;
  int64 regular_volume = 5;
  double price = 6;
  int32 dark_pool_trades = 7;
  int32 regular_trades = 8;
}
Fields
ticker string 1
The stock ticker. Also the Kafka message key.
date string 2
The trading date in YYYY-MM-DD format.
tape_time int64 3
Execution time of the latest trade in the incremental update in Unix epoch milliseconds.
dark_pool_volume int64 4
Shares traded off lit at this price level in the incremental update.
regular_volume int64 5
Shares traded on lit venues at this price level in the incremental update.
price double 6
The stock price level represented by this incremental update.
dark_pool_trades int32 7
Number of off lit trades at this price level in the incremental update.
regular_trades int32 8
Number of lit trades at this price level in the incremental update.