fixparser
Version:
FIX.Latest / 5.0 SP2 Parser / AI Agent Trading
106 lines (105 loc) • 3.98 kB
TypeScript
/**
* Type of market data entry.
* - Tag: 269
* - FIX Specification type: char
* - Mapped type: string
* @readonly
* @public
*/
export declare const MDEntryType: Readonly<{
/** Bid */
readonly Bid: "0";
/** Offer */
readonly Offer: "1";
/** Trade */
readonly Trade: "2";
/** Index value
A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR). */
readonly IndexValue: "3";
/** Opening price */
readonly OpeningPrice: "4";
/** Closing price */
readonly ClosingPrice: "5";
/** Settlement price */
readonly SettlementPrice: "6";
/** Trading session high price */
readonly TradingSessionHighPrice: "7";
/** Trading session low price */
readonly TradingSessionLowPrice: "8";
/** Volume Weighted Average Price
VWAP */
readonly VWAP: "9";
/** Imbalance */
readonly Imbalance: "A";
/** Trade volume */
readonly TradeVolume: "B";
/** Open interest */
readonly OpenInterest: "C";
/** Composite underlying price */
readonly CompositeUnderlyingPrice: "D";
/** Simulated sell price */
readonly SimulatedSellPrice: "E";
/** Simulated buy price */
readonly SimulatedBuyPrice: "F";
/** Margin rate */
readonly MarginRate: "G";
/** Mid-price */
readonly MidPrice: "H";
/** Empty book */
readonly EmptyBook: "J";
/** Settle high price */
readonly SettleHighPrice: "K";
/** Settle low price */
readonly SettleLowPrice: "L";
/** Prior settle price */
readonly PriorSettlePrice: "M";
/** Session high bid */
readonly SessionHighBid: "N";
/** Session low offer */
readonly SessionLowOffer: "O";
/** Early prices */
readonly EarlyPrices: "P";
/** Auction clearing price */
readonly AuctionClearingPrice: "Q";
/** Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP) */
readonly SwapValueFactor: "S";
/** Daily value adjustment for long positions */
readonly DailyValueAdjustmentForLongPositions: "R";
/** Cumulative value adjustment for long positions */
readonly CumulativeValueAdjustmentForLongPositions: "T";
/** Daily value adjustment for short positions */
readonly DailyValueAdjustmentForShortPositions: "U";
/** Cumulative value adjustment for short positions */
readonly CumulativeValueAdjustmentForShortPositions: "V";
/** Fixing price */
readonly FixingPrice: "W";
/** Cash rate */
readonly CashRate: "X";
/** Recovery rate */
readonly RecoveryRate: "Y";
/** Recovery rate for long positions */
readonly RecoveryRateForLong: "Z";
/** Recovery rate for short positions */
readonly RecoveryRateForShort: "a";
/** Market bid */
readonly MarketBid: "b";
/** Market offer */
readonly MarketOffer: "c";
/** Short sale minimum price */
readonly ShortSaleMinPrice: "d";
/** Previous closing price */
readonly PreviousClosingPrice: "e";
/** Threshold limits and price banding
Conveys incremental real time change to pre-configured or previously disseminated pricing thresholds and/or banding parameters. */
readonly ThresholdLimitPriceBanding: "g";
/** Daily financing value
The financing cost of rolling an analogous total return swap from the previous business day to the current business day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price. */
readonly DailyFinancingValue: "h";
/** Accrued financing value
The total of the daily funding values or amounts from a contract's first day of trading to the current day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price. */
readonly AccruedFinancingValue: "i";
/** Time Weighted Average Price
TWAP */
readonly TWAP: "t";
}>;
export type MDEntryType = (typeof MDEntryType)[keyof typeof MDEntryType];