Type of statistic value.
| 1 | = | Count Simple count of entities or events, e.g. orders transactions during a period of time. | Added EP191
| | [Count] |
| 2 | = | Average volume Average quantity of entities, e.g. average volume of incoming quotes or average trade volume. | Added EP191
Updated EP231
| | [AverageVolume] |
| 3 | = | Total volume Aggregated quantities of entities across events, e.g. total trade volume during a period of time. | Added EP191
Updated EP231
| | [TotalVolume] |
| 4 | = | Distribution Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types. | Added EP191
| | [Distribution] |
| 5 | = | Ratio Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders. | Added EP191
| | [Ratio] |
| 6 | = | 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. | Added EP191
| | [Liquidity] |
| 7 | = | Volume weighted average price (VWAP) Benchmark price. | Added EP191
| | [VWAP] |
| 8 | = | Volatility Volatility of entities, e.g. price movements of incoming orders. | Added EP191
| | [Volatility] |
| 9 | = | Duration Time period of events, e.g. resting period of passive orders. | Added EP191
| | [Duration] |
| 10 | = | Tick Price movement of an instrument in number of ticks. | Added EP191
| | [Tick] |
| 11 | = | Average value Average quantity multiplied by price. | Added EP191
Updated EP231
| | [AverageValue] |
| 12 | = | Total value Aggregated quantity multiplied by price; also described as turnover. | Added EP191
Updated EP231
| | [TotalValue] |
| 13 | = | High Highest price. | Added EP191
| | [High] |
| 14 | = | Low Lowest price. | Added EP191
| | [Low] |
| 15 | = | Midpoint Midpoint price between bid and offer. | Added EP191
| | [Midpoint] |
| 16 | = | First First price or initial value. | Added EP191
| | [First] |
| 17 | = | Last Most recent price or value. | Added EP191
| | [Last] |
| 18 | = | Final Final price or confirmed value. | Added EP191
| | [Final] |
| 19 | = | Exchange best Best price of a single venue regardless of volume. | Added EP191
| | [ExchangeBest] |
| 20 | = | Exchange best with volume Best price of a single venue with volume at or above a pre-defined threshold. | Added EP191
| | [ExchangeBestWithVolume] |
| 21 | = | Consolidated best Best price across multiple venues regardless of volume. | Added EP191
| | [ConsolidatedBest] |
| 22 | = | Consolidated best with volume Best price across multiple venues with volume at or above a pre-defined threshold. | Added EP191
| | [ConsolidatedBestWithVolume] |
| 23 | = | Time weighted average price (TWAP) | Added EP191
| | [TWAP] |
| 24 | = | Average duration Average duration of time periods of events. | Added EP231
| | [AverageDuration] |
| 25 | = | Average price Average price across entities e.g. trade prices. | Added EP231
| | [AveragePrice] |
| 26 | = | Total fees Aggregated fees. | Added EP231
| | [TotalFees] |
| 27 | = | Total benefits Aggregated benefits. | Added EP231
| | [TotalBenefits] |
| 28 | = | Median value Median quantity multiplied by price for orders or quotes. | Added EP231
| | [MedianValue] |
| 29 | = | Average liquidity Average liquidity of an instrument e.g. average effective spread. | Added EP231
| | [AverageLiquidity] |
| 30 | = | Median duration Median duration of time periods of events. | Added EP231
| | [MedianDuration] |