Instrument Definitions


Value Description
S5 5 second candlesticks, minute alignment
S10 10 second candlesticks, minute alignment
S15 15 second candlesticks, minute alignment
S30 30 second candlesticks, minute alignment
M1 1 minute candlesticks, minute alignment
M2 2 minute candlesticks, hour alignment
M4 4 minute candlesticks, hour alignment
M5 5 minute candlesticks, hour alignment
M10 10 minute candlesticks, hour alignment
M15 15 minute candlesticks, hour alignment
M30 30 minute candlesticks, hour alignment
H1 1 hour candlesticks, hour alignment
H2 2 hour candlesticks, day alignment
H3 3 hour candlesticks, day alignment
H4 4 hour candlesticks, day alignment
H6 6 hour candlesticks, day alignment
H8 8 hour candlesticks, day alignment
H12 12 hour candlesticks, day alignment
D 1 day candlesticks, day alignment
W 1 week candlesticks, aligned to start of week
M 1 month candlesticks, aligned to first day of the month

Value Description
Monday Monday
Tuesday Tuesday
Wednesday Wednesday
Thursday Thursday
Friday Friday
Saturday Saturday
Sunday Sunday

Candlestick is an application/json object with the following Schema:

{
    # 
    # The start time of the candlestick
    # 
    time : (DateTime),

    # 
    # The candlestick data based on bids. Only provided if bid-based candles
    # were requested.
    # 
    bid : (CandlestickData),

    # 
    # The candlestick data based on asks. Only provided if ask-based candles
    # were requested.
    # 
    ask : (CandlestickData),

    # 
    # The candlestick data based on midpoints. Only provided if midpoint-based
    # candles were requested.
    # 
    mid : (CandlestickData),

    # 
    # The number of prices created during the time-range represented by the
    # candlestick.
    # 
    volume : (integer),

    # 
    # A flag indicating if the candlestick is complete. A complete candlestick
    # is one whose ending time is not in the future.
    # 
    complete : (boolean)
}

CandlestickData is an application/json object with the following Schema:

{
    # 
    # The first (open) price in the time-range represented by the candlestick.
    # 
    o : (PriceValue),

    # 
    # The highest price in the time-range represented by the candlestick.
    # 
    h : (PriceValue),

    # 
    # The lowest price in the time-range represented by the candlestick.
    # 
    l : (PriceValue),

    # 
    # The last (closing) price in the time-range represented by the
    # candlestick.
    # 
    c : (PriceValue)
}

CandlestickResponse is an application/json object with the following Schema:

{
    # 
    # The instrument whose Prices are represented by the candlesticks.
    # 
    instrument : (InstrumentName),

    # 
    # The granularity of the candlesticks provided.
    # 
    granularity : (CandlestickGranularity),

    # 
    # The list of candlesticks that satisfy the request.
    # 
    candles : (Array[Candlestick])
}

OrderBook is an application/json object with the following Schema:

{
    # 
    # The order book’s instrument
    # 
    instrument : (InstrumentName),

    # 
    # The time when the order book snapshot was created.
    # 
    time : (DateTime),

    # 
    # The price (midpoint) for the order book’s instrument at the time of the
    # order book snapshot
    # 
    price : (PriceValue),

    # 
    # The price width for each bucket. Each bucket covers the price range from
    # the bucket’s price to the bucket’s price + bucketWidth.
    # 
    bucketWidth : (PriceValue),

    # 
    # The partitioned order book, divided into buckets using a default bucket
    # width. These buckets are only provided for price ranges which actually
    # contain order or position data.
    # 
    buckets : (Array[OrderBookBucket])
}

OrderBookBucket is an application/json object with the following Schema:

{
    # 
    # The lowest price (inclusive) covered by the bucket. The bucket covers the
    # price range from the price to price + the order book’s bucketWidth.
    # 
    price : (PriceValue),

    # 
    # The percentage of the total number of orders represented by the long
    # orders found in this bucket.
    # 
    longCountPercent : (DecimalNumber),

    # 
    # The percentage of the total number of orders represented by the short
    # orders found in this bucket.
    # 
    shortCountPercent : (DecimalNumber)
}

PositionBook is an application/json object with the following Schema:

{
    # 
    # The position book’s instrument
    # 
    instrument : (InstrumentName),

    # 
    # The time when the position book snapshot was created
    # 
    time : (DateTime),

    # 
    # The price (midpoint) for the position book’s instrument at the time of
    # the position book snapshot
    # 
    price : (PriceValue),

    # 
    # The price width for each bucket. Each bucket covers the price range from
    # the bucket’s price to the bucket’s price + bucketWidth.
    # 
    bucketWidth : (PriceValue),

    # 
    # The partitioned position book, divided into buckets using a default
    # bucket width. These buckets are only provided for price ranges which
    # actually contain order or position data.
    # 
    buckets : (Array[PositionBookBucket])
}

PositionBookBucket is an application/json object with the following Schema:

{
    # 
    # The lowest price (inclusive) covered by the bucket. The bucket covers the
    # price range from the price to price + the position book’s bucketWidth.
    # 
    price : (PriceValue),

    # 
    # The percentage of the total number of positions represented by the long
    # positions found in this bucket.
    # 
    longCountPercent : (DecimalNumber),

    # 
    # The percentage of the total number of positions represented by the short
    # positions found in this bucket.
    # 
    shortCountPercent : (DecimalNumber)
}