A7 Analytics Platform - Order Book API

openapi: 3.0.0
info:
  title: A7 Analytics Platform - Algo management Algo management API Order book API API
  description: 'A7 Analytics Platform for the main T7 trading venues of Deutsche Börse Group and for the MDP feed of CME Group. The platform enables clients to perform pre/at/post trade analysis and to interact with market data and analytics.It provides clients access to the most granular un-normalized/genuine historical order book data (EOBI, MDP) as well as constructed order books, off-the-shelf analytics and allows them to build their own custom analytics utilizing algo functionality, which is a flexible high-performance framework based on historical order book data.<br/><br/> The A7 data can be accessed either via the <a href="https://a7.deutsche-boerse.com/">user interface</a> or via RESTful API.</br></br>

    The algo management API provides access to the A7 algos and their results. With the API it is possible to create, update, delete and run algos and to access the results of the algo runs. All available endpoints are described in detail below.<br/><br/>

    <b>Security measures:</b></br> In order to prevent unauthorized access to the API an authentication token must be used. A7 utilises the bearer authentication scheme for this purpose. The authentication token must be added to the header of each request message. Depending on the implementation it might be necessary to add the keyword "Bearer" to the token string as a prefix followed by a space.</br></br> A token can be generated at the <a href="https://a7.deutsche-boerse.com/">A7 user interface</a>. After login the user has to click on the user icon in the upper right corner, click on <b>API token generation</b> and finally click on <b>Request API key</b>. The generated token will be displayed directly in the user interface.<br/><br/>

    '
  contact:
    name: Deutsche Börse Data & Analytics
    url: https://www.mds.deutsche-boerse.com
    email: analytics@deutsche-boerse.com
  version: 1.0.2
servers:
- url: /api/v1
  description: A7 production environment
security:
- bearerAuth: []
tags:
- name: Order book API
paths:
  /ob/{marketId}/{date}/{marketSegmentId}/{securityId}:
    get:
      tags:
      - Order book API
      summary: Retrieve order books for T7
      description: 'The request delivers either the order book valid at a given time or a list of order books for a given time period.</br> If `limit` is equal to `1`, the response will contain a single order book otherwise the response will contain a list of order books.</br> If `from` query parameter is not provided, the first order book of the day will be returned.

        '
      operationId: getOrderbookT7
      parameters:
      - $ref: '#/components/parameters/marketId'
      - $ref: '#/components/parameters/date'
      - $ref: '#/components/parameters/marketSegmentId'
      - $ref: '#/components/parameters/securityId'
      - $ref: '#/components/parameters/from'
      - $ref: '#/components/parameters/to'
      - $ref: '#/components/parameters/limit'
      - $ref: '#/components/parameters/levels'
      - $ref: '#/components/parameters/orderbook'
      - $ref: '#/components/parameters/trades'
      - $ref: '#/components/parameters/indicatives'
      responses:
        '200':
          description: successful operation
          content:
            application/json:
              schema:
                oneOf:
                - $ref: '#/components/schemas/T7Orderbook'
                - $ref: '#/components/schemas/T7Orderbooks'
                - $ref: '#/components/schemas/InternalError'
            application/gzip:
              schema:
                oneOf:
                - $ref: '#/components/schemas/T7Orderbook'
                - $ref: '#/components/schemas/T7Orderbooks'
                - $ref: '#/components/schemas/InternalError'
              format: binary
        '401':
          $ref: '#/components/responses/401'
        '404':
          $ref: '#/components/responses/404'
  /ob/{exchange}/{date}/{asset}/{securityId}:
    get:
      tags:
      - Order book API
      summary: Retrieve order books for CME
      description: 'The request delivers either the order book valid at a given time or a list of order books for a given time period.</br> If `limit` is equal to `1`, the response will contain a single order book otherwise the response will contain a list of order books.</br> If `from` query parameter is not provided, the first order book of the day will be returned.

        '
      operationId: getOrderbookCME
      parameters:
      - $ref: '#/components/parameters/exchange'
      - $ref: '#/components/parameters/date'
      - $ref: '#/components/parameters/asset'
      - $ref: '#/components/parameters/securityId'
      - $ref: '#/components/parameters/from'
      - $ref: '#/components/parameters/to'
      - $ref: '#/components/parameters/limit'
      - $ref: '#/components/parameters/levels'
      - $ref: '#/components/parameters/orderbook'
      - $ref: '#/components/parameters/trades'
      responses:
        '200':
          description: successful operation
          content:
            application/json:
              schema:
                oneOf:
                - $ref: '#/components/schemas/CMEOrderbook'
                - $ref: '#/components/schemas/CMEOrderbooks'
                - $ref: '#/components/schemas/InternalError'
            application/gzip:
              schema:
                oneOf:
                - $ref: '#/components/schemas/CMEOrderbook'
                - $ref: '#/components/schemas/CMEOrderbooks'
                - $ref: '#/components/schemas/InternalError'
              format: binary
        '401':
          $ref: '#/components/responses/401'
        '404':
          $ref: '#/components/responses/404'
components:
  schemas:
    InternalError:
      properties:
        success:
          type: string
          example: 'false'
        message:
          type: string
          example: Error message
      required:
      - success
      - message
    T7Orderbooks:
      type: array
      items:
        $ref: '#/components/schemas/T7Orderbook'
    T7Orderbook:
      type: object
      properties:
        MarketId:
          type: string
          example: XEUR
        MarketSegmentId:
          type: integer
          example: 3
        SecurityId:
          type: integer
          example: 1552181
        Timestamp:
          type: string
          format: UTCTimestamp
          example: 1591599781302474758
        prev:
          type: string
          format: UTCTimestamp
          example: 1591599781297766655
        next:
          type: string
          format: UTCTimestamp
          example: 1591599781297766665
        Buy:
          type: array
          items:
            type: object
            properties:
              Price:
                type: string
                example: 179000000
              Quantity:
                type: string
                example: 210000
              OrderCount:
                type: integer
                example: 2
              Orders:
                type: array
                items:
                  type: object
                  properties:
                    TemplateID:
                      type: integer
                      example: 13101
                    MsgSeqNum:
                      type: integer
                      example: 3964
                    TrdRegTSTimeIn:
                      type: string
                      format: UTCTimestamp
                      example: 1591599781297741667
                    TrdRegTSPrevTimePriority:
                      type: string
                      format: UTCTimestamp
                      example: 1591599727321193695
                    PrevPrice:
                      type: string
                      example: 176000000
                    PrevDisplayQty:
                      type: string
                      example: 100000
                    TrdRegTSTimePriority:
                      type: string
                      format: UTCTimestamp
                      example: 1591599781297766655
                    DisplayQty:
                      type: integer
                      example: 100000
        Sell:
          type: array
          items:
            type: object
            properties:
              Price:
                type: string
                example: 246000000
              Quantity:
                type: string
                example: 110000
              OrderCount:
                type: integer
                example: 1
              Orders:
                type: array
                items:
                  type: object
                  properties:
                    TemplateID:
                      type: integer
                      example: 13101
                    MsgSeqNum:
                      type: integer
                      example: 3965
                    TrdRegTSTimeIn:
                      type: string
                      format: UTCTimestamp
                      example: 1591599781297741667
                    TrdRegTSPrevTimePriority:
                      type: string
                      format: UTCTimestamp
                      example: 1591599727321193695
                    PrevPrice:
                      type: string
                      example: 246000000
                    PrevDisplayQty:
                      type: string
                      example: 100000
                    TrdRegTSTimePriority:
                      type: string
                      format: UTCTimestamp
                      example: 1591599781297766655
                    DisplayQty:
                      type: integer
                      example: 100000
        Trades:
          type: array
          items:
            type: object
            properties:
              TemplateID:
                type: integer
                example: 13105
              MsgSeqNum:
                type: integer
                example: 393
              Side:
                type: string
                example: SELL
              AlgorithmicTradeIndicator:
                type: integer
                example: 1
              TrdMatchID:
                type: integer
                example: 1136
              Price:
                type: string
                example: 246000000
              TrdRegTSTimePriority:
                type: string
                format: UTCTimestamp
                example: 1591599727321193695
              LastQty:
                type: string
                example: 3500000
              LastPx:
                type: string
                example: 246000000
        Indicatives:
          type: array
          items:
            type: object
            properties:
              TemplateID:
                type: integer
                example: 13501
              MsgSeqNum:
                type: integer
                example: 393
              LastQty:
                type: string
                example: 3500000
              LastPx:
                type: string
                example: 246000000
              ImbalanceQty:
                type: string
                example: 3500000
              ImbalanceSide:
                type: string
                example: BUY
              SecurityTradingStatus:
                type: string
                example: 7
              PotentialSecurityTradingEvent:
                type: string
                example: 0
            required:
            - TemplateID
            - MsgSeqNum
            - LastPx
      required:
      - MarketId
      - MarketSegmentId
      - SecurityId
      - Timestamp
    CMEOrderbooks:
      type: array
      items:
        $ref: '#/components/schemas/CMEOrderbook'
    CMEOrderbook:
      type: object
      properties:
        Exchange:
          type: string
          example: XCEC
        Asset:
          type: string
          example: HG
        SecurityId:
          type: integer
          example: 14334
        Timestamp:
          type: string
          format: UTCTimestamp
          example: 1651010868506262487
        prev:
          type: string
          format: UTCTimestamp
          example: 1651010610978256347
        next:
          type: string
          format: UTCTimestamp
          example: 1651010878790821909
        Buy:
          type: array
          items:
            type: object
            properties:
              Price:
                type: string
                example: 45505000000000
              Quantity:
                type: string
                example: 2
              OrderCount:
                type: integer
                example: 1
              Orders:
                type: array
                items:
                  type: object
                  properties:
                    OrderID:
                      type: integer
                      example: 766951730572
                    MDOrderPriority:
                      type: integer
                      example: 13109289399
                    MDEntryPx:
                      type: object
                      properties:
                        mantissa:
                          type: integer
                          example: 45505000000000
                        exponent:
                          type: integer
                          example: -9
                    MDDisplayQty:
                      type: integer
                      example: 2
                    SecurityID:
                      type: integer
                      example: 14334
                    MDUpdateAction:
                      type: string
                      example: New
                    MDEntryType:
                      type: string
                      example: Bid
        Sell:
          type: array
          items:
            type: object
            properties:
              Price:
                type: string
                example: 45200000000000
              Quantity:
                type: string
                example: 13
              OrderCount:
                type: integer
                example: 1
              Orders:
                type: array
                items:
                  type: object
                  properties:
                    OrderID:
                      type: integer
                      example: 766858203326
                    MDOrderPriority:
                      type: integer
                      example: 13001112903
                    MDEntryPx:
                      type: object
                      properties:
                        mantissa:
                          type: integer
                          example: 45200000000000
                        exponent:
                          type: integer
                          example: -9
                    MDDisplayQty:
                      type: integer
                      example: 13
                    SecurityID:
                      type: integer
                      example: 14334
                    MDUpdateAction:
                      type: string
                      example: New
                    MDEntryType:
                      type: string
                      example: Ask
        Trades:
          type: array
          items:
            type: object
      required:
      - Exchange
      - Asset
      - SecurityId
      - Timestamp
  parameters:
    marketId:
      name: marketId
      in: path
      description: Market identifier code as specified in ISO 10383.
      example: XEUR
      required: true
      schema:
        type: string
    limit:
      name: limit
      in: query
      description: Max number of elements in the response (Minimum = 1 / Maximum = 10000).
      required: false
      schema:
        type: integer
        default: 1
        minimum: 1
        maximum: 10000
    asset:
      name: asset
      in: path
      description: Unique product identifier or product pool identifier.
      example: GE
      required: true
      schema:
        type: string
    levels:
      name: levels
      in: query
      description: Define depth of the order book.
      required: false
      schema:
        type: integer
        default: 10
        minimum: 1
    from:
      name: from
      in: query
      description: 'Timestamp of when the order book was valid or starting time of the time interval.<br/> Format: Nanoseconds since 1970 (EOBI TransactTime)

        '
      example: '1589175000156121100'
      required: false
      schema:
        type: string
        default: '0'
    to:
      name: to
      in: query
      description: "Ending time of the time interval.<br/> Format: Nanoseconds since 1970 (EOBI TransactTime) \n"
      example: '1589175000156121100'
      required: false
      schema:
        type: string
        default: '9999999999999999999'
    orderbook:
      name: orderbook
      in: query
      description: "Define if orders should be shown or aggregated.</br> Mode options:\n  * aggregated = Aggregate orders\n  * complete = Display orders\n"
      required: false
      schema:
        type: string
        default: aggregated
    securityId:
      name: securityId
      in: path
      description: Unique security identifier
      example: 27299
      required: true
      schema:
        type: integer
    exchange:
      name: exchange
      in: path
      description: Exchange identifier code.
      example: XCME
      required: true
      schema:
        type: string
    trades:
      name: trades
      in: query
      description: Display trades.
      required: false
      schema:
        type: boolean
        default: false
    date:
      name: date
      in: path
      description: Trading day in the format  YYYYMMDD
      example: '20200106'
      required: true
      schema:
        type: string
        pattern: ^\d{8}$
    indicatives:
      name: indicatives
      in: query
      description: Indicative auction uncrossing.
      required: false
      schema:
        type: boolean
        default: false
    marketSegmentId:
      name: marketSegmentId
      in: path
      description: Unique product identifier or product pool identifier on T7.
      example: '1210'
      required: true
      schema:
        type: integer
  securitySchemes:
    bearerAuth:
      type: http
      scheme: bearer