Message

TickerStockState

OHLCV state of a stock for the current trading session. Open, close, high and low are scoped to the current market_time session: a new state starts when the session changes (premarket to regular to postmarket).

fields11 topicticker-stock-states

▶Proto definition.proto

message TickerStockState {
  string ticker = 1;
  int64 total_volume = 2;
  int64 start_total_volume = 3;
  int64 volume = 4;
  double open = 5;
  double close = 6;
  double high = 7;
  double low = 8;
  int64 tape_time = 9;
  string date = 10;
  MarketTime market_time = 13;
}

Fields

ticker string 1

The stock symbol. Also the Kafka message key.

total_volume int64 2

Cumulative shares traded for the whole day so far, across all sessions.

start_total_volume int64 3

Snapshot of total_volume at the start of the current market_time session. 0 during premarket.

volume int64 4

Shares traded within the current market_time session only (total_volume - start_total_volume).

open double 5

First trade price of the current session.

close double 6

Most recent trade price of the current session.

high double 7

Highest trade price of the current session.

low double 8

Lowest trade price of the current session.

tape_time int64 9

Execution time of the latest trade in milliseconds since 1970 (unix).

date string 10

The New York trading date in YYYY-MM-DD format.

market_time MarketTime 13

The trading session this state belongs to.