developers:websocket:quotes

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developers:websocket:quotes [2025/03/15 14:43] – [Secondary Market Data] chaddevelopers:websocket:quotes [2026/04/29 00:07] (current) – [Unsubscribing] chad
Line 52: Line 52:
 MarketDepthSubscribe { MarketDepthSubscribe {
    ExchangeId = "CME",    ExchangeId = "CME",
-   ContractId = "ESM25",+   ContractId = "ES",
    MarketId = "XCME_C ES (M25)",    MarketId = "XCME_C ES (M25)",
    Buffer = DepthBuffer.Smart,    Buffer = DepthBuffer.Smart,
Line 66: Line 66:
 MarketDepthSubscribe { MarketDepthSubscribe {
    ExchangeId = "CME",    ExchangeId = "CME",
-   ContractId = "ESM25",+   ContractId = "ES",
    MarketId = "XCME_C ES (M25)",    MarketId = "XCME_C ES (M25)",
    Buffer = DepthBuffer.NoSubscription,    Buffer = DepthBuffer.NoSubscription,
Line 80: Line 80:
   * **MarketDefinition** – Sent once per market, unless already received via another feed.   * **MarketDefinition** – Sent once per market, unless already received via another feed.
   * **MarketSnapshot** – Provides a full market state on initial subscription.   * **MarketSnapshot** – Provides a full market state on initial subscription.
-  * **MarketDepthUpdate** – Sends incremental changes to depth.+  * **MarketDepth** – Sends incremental changes to depth.
  
 Example MBP message handling: Example MBP message handling:
Line 97: Line 97:
             break;             break;
  
-        case ServerMessage.PayloadOneofCase.MarketDepthUpdate: +        case ServerMessage.PayloadOneofCase.MarketDepth: 
-            ProcessMarketDepthUpdate(serverMessage.MarketDepthUpdate);+            ProcessMarketDepth(serverMessage.MarketDepth);
             break;             break;
  
Line 126: Line 126:
 MarketByOrderSubscribe { MarketByOrderSubscribe {
    exchange_id = "CME",    exchange_id = "CME",
-   contract_id = "ESM25",+   contract_id = "ES",
    market_id = "XCME_C ES (M25)",    market_id = "XCME_C ES (M25)",
    subscribe = true    subscribe = true
Line 139: Line 139:
 MarketByOrderSubscribe { MarketByOrderSubscribe {
    exchange_id = "CME",    exchange_id = "CME",
-   contract_id = "ESM25",+   contract_id = "ES",
    market_id = "XCME_C ES (M25)",    market_id = "XCME_C ES (M25)",
    subscribe = false    subscribe = false
Line 211: Line 211:
 ^ **Message** ^ **Description** ^ ^ **Message** ^ **Description** ^
 | MarketDepthTrade | If a `Trade` feed is subscribed, the trade ticker is sent as a feed of MarketDepthTrade messages. | | MarketDepthTrade | If a `Trade` feed is subscribed, the trade ticker is sent as a feed of MarketDepthTrade messages. |
-| MarketHighLow | Publishes update to the high and low prices reached by the market. |+| MarketHighLow | Publishes updates to the high and low prices reached by the market. |
 | MarketPriceLimits | Publishes the price limits (bands or collars) set by the exchange for the market. | | MarketPriceLimits | Publishes the price limits (bands or collars) set by the exchange for the market. |
 | MarketSettlement | Contains the latest market settlement, held settlment, open interest, cleared volume and VWAP information as published by the exchange. | | MarketSettlement | Contains the latest market settlement, held settlment, open interest, cleared volume and VWAP information as published by the exchange. |
  • developers/websocket/quotes.1742049798.txt.gz
  • Last modified: 2025/03/15 14:43
  • by chad