Code Set
MDStatisticTypeCodeSet
| ID | 2456 |
| Type | int |
| Pedigree | Added EP191 |
Type of statistic value.
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| Count | 1 | Count | Simple count of entities or events, e.g. orders transactions during a period of time. | Added EP191 |
| AverageVolume | 2 | Average volume | Average quantity of entities, e.g. average volume of incoming quotes or average trade volume. | Added EP191, Updated EP231 |
| TotalVolume | 3 | Total volume | Aggregated quantities of entities across events, e.g. total trade volume during a period of time. | Added EP191, Updated EP231 |
| Distribution | 4 | Distribution | Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types. | Added EP191 |
| Ratio | 5 | Ratio | Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders. | Added EP191 |
| Liquidity | 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 |
| VWAP | 7 | Volume weighted average price (VWAP) | Benchmark price. | Added EP191 |
| Volatility | 8 | Volatility | Volatility of entities, e.g. price movements of incoming orders. | Added EP191 |
| Duration | 9 | Duration | Time period of events, e.g. resting period of passive orders. | Added EP191 |
| Tick | 10 | Tick | Price movement of an instrument in number of ticks. | Added EP191 |
| AverageValue | 11 | Average value | Average quantity multiplied by price. | Added EP191, Updated EP231 |
| TotalValue | 12 | Total value | Aggregated quantity multiplied by price; also described as turnover. | Added EP191, Updated EP231 |
| High | 13 | High | Highest price. | Added EP191 |
| Low | 14 | Low | Lowest price. | Added EP191 |
| Midpoint | 15 | Midpoint | Midpoint price between bid and offer. | Added EP191 |
| First | 16 | First | First price or initial value. | Added EP191 |
| Last | 17 | Last | Most recent price or value. | Added EP191 |
| Final | 18 | Final | Final price or confirmed value. | Added EP191 |
| ExchangeBest | 19 | Exchange best | Best price of a single venue regardless of volume. | Added EP191 |
| ExchangeBestWithVolume | 20 | Exchange best with volume | Best price of a single venue with volume at or above a pre-defined threshold. | Added EP191 |
| ConsolidatedBest | 21 | Consolidated best | Best price across multiple venues regardless of volume. | Added EP191 |
| ConsolidatedBestWithVolume | 22 | Consolidated best with volume | Best price across multiple venues with volume at or above a pre-defined threshold. | Added EP191 |
| TWAP | 23 | Time weighted average price (TWAP) | Added EP191 | |
| AverageDuration | 24 | Average duration | Average duration of time periods of events. | Added EP231 |
| AveragePrice | 25 | Average price | Average price across entities e.g. trade prices. | Added EP231 |
| TotalFees | 26 | Total fees | Aggregated fees. | Added EP231 |
| TotalBenefits | 27 | Total benefits | Aggregated benefits. | Added EP231 |
| MedianValue | 28 | Median value | Median quantity multiplied by price for orders or quotes. | Added EP231 |
| AverageLiquidity | 29 | Average liquidity | Average liquidity of an instrument e.g. average effective spread. | Added EP231 |
| MedianDuration | 30 | Median duration | Median duration of time periods of events. | Added EP231 |
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