A7 Analytics Platform - Order Book API
Constructed historical order books for the T7 trading venues of Deutsche Börse Group (Eurex, Xetra) with nanosecond granularity, accessed over REST with bearer-token authentication.
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OpenAPI Specification
openapi: 3.2.0
info:
title: A7 Analytics Platform - Order book Order book API
description: A7 Analytics Platform for the main T7 trading venues of Deutsche Börse Group and for the MDP feed of CME Group.
contact:
name: Deutsche Börse Data & Analytics
url: https://www.mds.deutsche-boerse.com
email: analytics@deutsche-boerse.com
version: 1.0.1
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.
If `limit` is equal to `1`, the response will contain a single order book otherwise the response will contain a list of order books.
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.
If `limit` is equal to `1`, the response will contain a single order book otherwise the response will contain a list of order books.
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':
$ref: '#/components/responses/404'
components:
parameters:
date:
name: date
in: path
description: Trading day in the format YYYYMMDD
example: '20200106'
required: true
schema:
type: string
pattern: ^\d{8}$
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'
asset:
name: asset
in: path
description: Unique product identifier or product pool identifier.
example: GE
required: true
schema:
type: string
trades:
name: trades
in: query
description: Display trades.
required: false
schema:
type: boolean
default: false
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
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
marketId:
name: marketId
in: path
description: Market identifier code as specified in ISO 10383.
example: XEUR
required: true
schema:
type: string
marketSegmentId:
name: marketSegmentId
in: path
description: Unique product identifier or product pool identifier on T7.
example: '1210'
required: true
schema:
type: integer
indicatives:
name: indicatives
in: query
description: Indicative auction uncrossing.
required: false
schema:
type: boolean
default: false
levels:
name: levels
in: query
description: Define depth of the order book.
required: false
schema:
type: integer
default: 10
minimum: 1
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
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'
schemas:
T7Orderbooks:
type: array
items:
$ref: '#/components/schemas/T7Orderbook'
InternalError:
properties:
success:
type: string
example: 'false'
message:
type: string
example: Error message
required:
- success
- message
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
CMEOrderbooks:
type: array
items:
$ref: '#/components/schemas/CMEOrderbook'
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
securitySchemes:
bearerAuth:
type: http
scheme: bearer