Real-Time Quote Fields: Prices, Volume, and Order Book Depth

Summary

The document outlines a real-time quote retrieval interface that accepts a security list and requested fields. It catalogs common daily price fields, including previous close, open, high, low, and current price, along with traded volume, turnover value, and trade count. It also describes ten levels of bid and ask prices and sizes, plus aggregate bid and ask quantities and average prices.

A sample table illustrates the returned data for two Chinese stocks, showing how the quote fields may appear together in a tabular result. This is a reference for identifying available quote and depth data, not an explanation of how to construct a signal or execute orders. It does not specify update frequency, timestamp conventions, field availability by security, or data quality guarantees, so those details would need confirmation from the provider before use in live research or trading.

Key ideas

• The quote request takes securities and a selection of fields.
• Available fields cover daily price levels, volume, traded value, and trade count.
• The interface includes ten levels of bid and ask prices and sizes, along with aggregate depth measures.
• The sample demonstrates returned quote data but does not establish update timing or data quality guarantees.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.