MDStatisticType

Simple count of entities or events, e.g. orders transactions during a period of time.

Average quantity of entities, e.g. average volume of incoming quotes or average trade volume.

Aggregated quantities of entities across events, e.g. total trade volume during a period of time.

Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types.

Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders.

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.

Benchmark price.

Volatility of entities, e.g. price movements of incoming orders.

Time period of events, e.g. resting period of passive orders.

Price movement of an instrument in number of ticks.

Average quantity multiplied by price.

Aggregated quantity multiplied by price; also described as turnover.

Highest price.

Lowest price.

Midpoint price between bid and offer.

First price or initial value.

Most recent price or value.

Final price or confirmed value.

Best price of a single venue regardless of volume.

Best price of a single venue with volume at or above a pre-defined threshold.

Best price across multiple venues regardless of volume.

Best price across multiple venues with volume at or above a pre-defined threshold.

Average duration of time periods of events.

Average price across entities e.g. trade prices.

Aggregated fees.

Aggregated benefits.

Median quantity multiplied by price for orders or quotes.

Average liquidity of an instrument e.g. average effective spread.

Median duration of time periods of events.