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fixparser

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FIX.Latest / 5.0 SP2 Parser / AI Agent Trading

fixparser.dev

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/** * Type of statistic value. * - Tag: 2456 * - FIX Specification type: int * - Mapped type: number * @readonly * @public */ export declare const MDStatisticType: Readonly<{ /** Count Simple count of entities or events, e.g. orders transactions during a period of time. */ readonly Count: 1; /** Average volume Average quantity of entities, e.g. average volume of incoming quotes or average trade volume. */ readonly AverageVolume: 2; /** Total volume Aggregated quantities of entities across events, e.g. total trade volume during a period of time. */ readonly TotalVolume: 3; /** Distribution Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types. */ readonly Distribution: 4; /** Ratio Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders. */ readonly Ratio: 5; /** Liquidity Measurement of liquidity of an instrument, e.g. by providing the spread between bid and offer or the trade volume needed to move the price. */ readonly Liquidity: 6; /** Volume weighted average price (VWAP) Benchmark price. */ readonly VWAP: 7; /** Volatility Volatility of entities, e.g. price movements of incoming orders. */ readonly Volatility: 8; /** Duration Time period of events, e.g. resting period of passive orders. */ readonly Duration: 9; /** Tick Price movement of an instrument in number of ticks. */ readonly Tick: 10; /** Average value Average quantity multiplied by price. */ readonly AverageValue: 11; /** Total value Aggregated quantity multiplied by price; also described as turnover. */ readonly TotalValue: 12; /** High Highest price. */ readonly High: 13; /** Low Lowest price. */ readonly Low: 14; /** Midpoint Midpoint price between bid and offer. */ readonly Midpoint: 15; /** First First price or initial value. */ readonly First: 16; /** Last Most recent price or value. */ readonly Last: 17; /** Final Final price or confirmed value. */ readonly Final: 18; /** Exchange best Best price of a single venue regardless of volume. */ readonly ExchangeBest: 19; /** Exchange best with volume Best price of a single venue with volume at or above a pre-defined threshold. */ readonly ExchangeBestWithVolume: 20; /** Consolidated best Best price across multiple venues regardless of volume. */ readonly ConsolidatedBest: 21; /** Consolidated best with volume Best price across multiple venues with volume at or above a pre-defined threshold. */ readonly ConsolidatedBestWithVolume: 22; /** Time weighted average price (TWAP) */ readonly TWAP: 23; /** Average duration Average duration of time periods of events. */ readonly AverageDuration: 24; /** Average price Average price across entities e.g. trade prices. */ readonly AveragePrice: 25; /** Total fees Aggregated fees. */ readonly TotalFees: 26; /** Total benefits Aggregated benefits. */ readonly TotalBenefits: 27; /** Median value Median quantity multiplied by price for orders or quotes. */ readonly MedianValue: 28; /** Average liquidity Average liquidity of an instrument e.g. average effective spread. */ readonly AverageLiquidity: 29; /** Median duration Median duration of time periods of events. */ readonly MedianDuration: 30; }>; export type MDStatisticType = (typeof MDStatisticType)[keyof typeof MDStatisticType];