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Historical Price Data Messages


HISTORICAL_PRICE_DATA_REQUEST [s_HistoricalPriceDataRequest structure] Client >> Server

This is a message from the Client to the Server for requesting historical price data.

This request can be on the same or a separate network socket connection compared to the streaming market data. This is going to be specified by the Server.

Field Name Field Description
[unsigned int16] Size

The standard message size field. Automatically set by constructor.

[unsigned int16] Type

The standard message type field. Automatically set by constructor.

[int32] RequestID

Unique integer identifier to identify this request. The historical price data response messages from the Server will contain this identifier so they can be matched up with the request from the Client. This identifier only needs to be unique to the historical price data messages. It can conflict with identifiers used with other classes of messages.

[char] Symbol

The Symbol historical price data is requested for.

[char] Exchange

Optional: The exchange for the Symbol.

[HistoricalDataIntervalEnum] RecordInterval

The interval/timeframe of each record for the time range of the historical data requested. Can be any of:

  • INTERVAL_TICK = 0
  • INTERVAL_1_SECOND = 1
  • INTERVAL_1_MINUTE = 60
  • INTERVAL_1_DAY = 86400
  • INTERVAL_1_WEEK = 604800
[t_DateTime] StartDateTime

The starting Date-Time for the historical price data returned, if available for the specified Symbol.

If it is not set or set to 0, then this is a request to the Server to return data starting at the earliest data available for the Symbol.

[t_DateTime] EndDateTime

The ending Date-Time for the historical price data returned.

If it is not set or set to 0, then this is a request to the Server to return data ending at the very latest data available for the symbol.

[unsigned int32] MaxDaysToReturn

MaxDaysToReturn specifies the maximum number of days of data the Server needs to return, if available, counting back from the latest Date-Time of data available for the symbol, or counting back from EndDateTime if it is set to a value other than 0.

If MaxDaysToReturn is set to 0, then it is ignored by the Server.

[unsigned int8] UseZLibCompression

Set this to 1, to request the Server use ZLib compression in the response when returning data. The Server can optionally ignore this if it does not support compression or does not want to use compression for any reason.

The HISTORICAL_PRICE_DATA_RESPONSE_HEADER will not be compressed. Only the historical price data records themselves.

When receiving a batch of data on the network socket, give it to ZLib. It will respond with some uncompressed data and you put that into a buffer and then process as many complete historical data messages out of it that you can. Continue with this process until finished.

[unsigned int8] RequestDividendAdjustedStockData

In the case of a stock symbol, setting this to a value of 1 will request dividend adjusted data from the Server, if available. It is optional for the Server to support this.

[unsigned int16] Integer_1

A general purpose 2 byte flag field from the Client to the Server which can be used for any special purpose the Client and Server require.

HISTORICAL_PRICE_DATA_RESPONSE_HEADER [s_HistoricalPriceDataResponseHeader structure] Server >> Client

When a historical price data request is not rejected, this message header will begin the historical price data response from the Server. There will be one HISTORICAL_PRICE_DATA_RESPONSE_HEADER message sent ahead of the HISTORICAL_PRICE_DATA_RECORD_RESPONSE / HISTORICAL_PRICE_DATA_TICK_RECORD_RESPONSE messages. If the NoRecordsToReturn field is nonzero, then there are no further records that will be sent by the Server in response to the request by the Client.

This message is never compressed.

Field Name Field Description
[unsigned int16] Size

The standard message size field. Automatically set by constructor.

[unsigned int16] Type

The standard message type field. Automatically set by constructor.

[int32] RequestID

The numeric identifier from the historical price data request that this response is in response to.

[HistoricalDataIntervalEnum] RecordInterval

The data interval of type HistoricalDataIntervalEnum requested by the Client.

[unsigned int8] UseZLibCompression

1 = All subsequent messages are using standard ZLib compression. 0 = no compression.

[unsigned int8] NoRecordsToReturn

If there are no records to return in response to the request and there was no error, this will be set to 1.

[float] IntToFloatPriceDivisor

This field is no longer used.

HISTORICAL_PRICE_DATA_REJECT [s_HistoricalPriceDataReject structure] Server >> Client

When the Server rejects a historical price data request from the Client, a HISTORICAL_PRICE_DATA_REJECT message will be sent.

This message is never compressed.

Field Name Field Description
[unsigned int16] Size

The standard message size field. Automatically set by constructor.

[unsigned int16] Type

The standard message type field. Automatically set by constructor.

[int32] RequestID

The numeric identifier from the historical price data request that this response is in response to.

[char] RejectText

Text reason for rejection.

[HistoricalPriceDataRejectReasonCodeEnum] RejectReasonCode

Integer identifier identifying the reason for the rejection. For the text reason, refer to the RejectText field.

[unsigned int16] RetryTimeInSeconds

This is an optional field from the Server. This field will normally be zero.

If a retry is intended to be performed, the server may give an indication of how long to wait in seconds. This field indicates that.

This field is not recommended to be used. If it is used, it is really an indication of a substandard Server.

HISTORICAL_PRICE_DATA_RECORD_RESPONSE [s_HistoricalPriceDataRecordResponse structure] Server >> Client

The HISTORICAL_PRICE_DATA_TICK_RECORD_RESPONSE message is used when the RecordInterval field in a historical data request message is set to a value greater than INTERVAL_TICK. For example, if the RecordInterval is INTERVAL_1_MINUTE, then a message of this type will contain data for a 1 minute timeframe with a start time specified by the StartDateTime field.

Even when RecordInterval is INTERVAL_TICK, the HISTORICAL_PRICE_DATA_TICK_RECORD_RESPONSE message can still be used instead of HISTORICAL_PRICE_DATA_TICK_RECORD_RESPONSE.

This message can be part of a compressed series of messages of this same type, if the Client requested compression be used.

Field Name Field Description
[unsigned int16] Size

The standard message size field. Automatically set by constructor.

[unsigned int16] Type

The standard message type field. Automatically set by constructor.

[int32] RequestID

The numeric identifier from the historical price data request that this response is in response to.

[t_DateTime] StartDateTime

The starting Date-Time in UTC of the data record in this message.

It is part of the DTC Protocol specification that this must be the starting Date-Time of the data record.

[double] OpenPrice

The Open price of the data record in this message.

[double] HighPrice

The High price of the data record in this message.

In the case where NumTrades is 1, the HighPrice field can be the Ask/Offer price at the time of the trade. In this case the OpenPrice field needs to be 0 in this case.

[double] LowPrice

The Low price of the data record in this message.

In the case where NumTrades is 1, the LowPrice field can be the Bid price at the time of the trade. In this case the OpenPrice field needs to be 0 in this case.

[double] LastPrice

The Last price of the data record in this message.

[double] Volume

The Volume of this data record of this message.

(union)
[unsigned int32] OpenInterest
[unsigned int32] NumTrades

The Open Interest or Number of Trades of this data record in this message.

[double] BidVolume

The volume of trades at the bid price or lower of the data record in this message.

In the case where this message consists of a single trade, if the trade was at the Ask, then BidVolume must be zero.

[double] AskVolume

The volume of trades at the ask price or higher of the data record in this message.

In the case where this message consists of a single trade, if the trade was at the Bid, then AskVolume must be zero.

[unsigned int8] IsFinalRecord

Set to 1 to indicate final record in response to the historical price data request.

The default is 0 meaning there are more records to follow.

HISTORICAL_PRICE_DATA_TICK_RECORD_RESPONSE [s_HistoricalPriceDataTickRecordResponse structure] Server >> Client

This is the response message when the RecordInterval field in a historical data request message is set to INTERVAL_TICK.

If the Server does not support 1 Tick historical data or does not have 1 Tick historical data for the specified time period, it can respond with HISTORICAL_PRICE_DATA_RECORD_RESPONSE messages instead. The Server must only respond with messages of one type in response to a particular historical price data request.

This message can be part of a compressed series of messages of this same type, if the Client requested compression be used.

Field Name Field Description
[unsigned int16] Size

The standard message size field. Automatically set by constructor.

[unsigned int16] Type

The standard message type field. Automatically set by constructor.

[int32] RequestID

The numeric identifier from the historical price data request that this response is in response to.

[t_DateTimeWithMilliseconds] DateTime

The Date-Time of the trade.

[AtBidOrAskEnum] AtBidOrAsk

This indicates whether the trade occurred at the Bid price or lower or at the Ask price or higher.

[double] Price

The price of the trade.

[double] Volume

The volume of the trade.

[unsigned int8] IsFinalRecord

Set to 1 to indicate final record in response to the historical price data request.

The default is 0 meaning there are more records to follow.

Providing Bid Volume and Ask Volume in Historical Data

There are different ways of providing volume of trades that have occurred at the Bid price, and volume of the trades that have occurred at the Ask price, in the historical price data response messages.

One way of doing this, is to use the HISTORICAL_PRICE_DATA_RECORD_RESPONSE message to provide tick by tick data. Follow the instructions below.

  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::OpenPrice to 0.
  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::HighPrice to the Ask/Offer price at the time of the trade.
  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::LowPrice to the Bid price at the time of the trade.
  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::LastPrice to the trade price.
  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::NumTrades to 1.
  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::Volume to the volume or quantity of the trade.
  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::BidVolume to the volume of the trade, if it occurred at the Bid. If you want to let the Client make this determination of whether the trade occurred at the bid or ask, then set this to 0.
  • Set HISTORICAL_PRICE_DATA_RECORD_RESPONSE::AskVolume to the volume of the trade, if it occurred at the Ask. If you want to let the Client make this determination of whether the trade occurred at the bid or ask, then set this to 0.

*Last modified Thursday, 23rd September, 2021.