Introducing

Changes to Aggregate Feed

Jul 19, 2018

We are making a couple small changes to the aggregate feed tick schema. We are removing a few less useful attributes, and adding some that have been much requested.

The updated schema will begin streaming this upcoming monday ( July 23rd, 2018 ).

Before:

type Agg struct {
	Symbol 		string		`json:"sym"`
	Volume 		uint32		`json:"v"`
	Transactions 	int		`json:"x"`
	Open		float64		`json:"o"`
	Close		float64		`json:"c"`
	High		float64		`json:"h"`
	Low		float64		`json:"l"`
	Average		float64		`json:"a"`
	TotalValue 	float64		`json:"t"`
	Start		int64		`json:"s"`
	End		int64		`json:"e"`
}

The new Schema:

type Agg struct {
	Symbol 		string		`json:"sym"`
	Volume 		uint32		`json:"v"`
	AccumulatedVol 	uint64		`json:"av"`
	OpeningPrice 	float64 	`json:"op"`
	VWAP 		float64 	`json:"vw"`
	Open		float64		`json:"o"`
	Close		float64		`json:"c"`
	High		float64		`json:"h"`
	Low		float64		`json:"l"`
	Average		float64		`json:"a"`
	Start		int64		`json:"s"`
	End		int64		`json:"e"`
}

So we have removed Transactions and TotalValue since those are of little use.

We have added:

AccumulatedVol - Accumulated volume for the entire day up to this tick. This is synced from the exchanges and can vary slightly from doing a sum of all aggregates.

OpeningPrice - Opening price for this symbol for the current day. This will be set to 0 until 9:30am when official market open happens.

VWAP - Volume weighted average price.

• 

  Quinton Pike

  quintonpike

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