Tick Charts

1
{
2
  "symbol": "ESU9",
3
  "chartDescription": {
4
    "underlyingType": "Tick",
5
    "elementSize": 1,
6
    "elementSizeUnit": "UnderlyingUnits"
7
  },
8
  "timeRange": {
9
    ...
10
  }
11
}

1
{
2
    "charts": [                     // Array of packets.
3
        {
4
            "id": 16335,            // Subscription ID, the same as historical/real-time subscription IDs from request response.
5
            "s": "db",              // Source of packet data.
6
            "td": 20210718,         // Trade date YYYYMMDD.
7
            "bp": 11917,            // Base price of the packet (integer number of contract tick sizes).
8
                                    // Tick prices are calculated as relative from this one.
9
            "bt": 1563421179735,    // Base timestamp of the packet.
10
                                    // Tick timestamps are calculated as relative from this value.
11
            "ts": 0.25,             // Tick size of the contract for which the tick chart is requested.
12
            "tks": [                // Array of ticks of this packet.
13
                {
14
                    "t": 0,         // Tick relative timestamp.
15
                                    // Actual tick timestamp is packet.bt + tick.t
16
                    "p": 0,         // Tick relative price (in contract tick sizes).
17
                                    // Actual tick price is packet.bp + tick.p
18
                    "s": 3,         // Tick size (seems more proper name should be tick volume).
19
                                    // Please don't confuse with contract tick size (packet.ts).
20
                    "b": -1,        // Bid relative price (optional).
21
                                    // Actual bid price is packet.bp + tick.b
22
                    "a": 0,         // Ask relative price (optional).
23
                                    // Actual ask price is packet.bp + tick.a
24
                    "bs": 122.21,   // Bid size (optional).
25
                    "as": 28.35,    // Ask size (optional).
26
                    "id": 11768401  // Tick ID
27
                },
28
                ...
29
            ]
30
        },
31
        // Multiple packets are possible...
32
        {
33
            "id": 16335,
34
            eoh: true               // End of history flag.
35
                                    // If the request time range assumes historical data,
36
                                    // this flag indicates that historical ticks are loaded and
37
                                    // further packets will contain real-time ticks.
38
        }
39
    ]
40
};

1
function processTickChartMessage(msg) {
2
  const result = [];
3
  if (msg.charts && msg.charts.length) {
4
    for (let i = 0; i < msg.charts.length; ++i) {
5
      const packet = msg.charts[i];
6
      if (packet.eoh) {
7
        //end-of-history,
8
        // Historical ticks are loaded.
9
      } else if (packet.tks && packet.tks.length) {
10
        for (let j = 0; j < packet.tks.length; ++j) {
11
          const tick = packet.tks[j];
12
13
          const timestamp = packet.bt + tick.t; // Actual tick timestamp
14
          const price = packet.bp + tick.p; // Actual tick price
15
16
          const bid = tick.bs && packet.bp + tick.b; // Actual bid price (if bid size defined)
17
          const ask = tick.as && packet.bp + tick.a; // Actual ask price (if ask size defined)
18
19
          result.push({
20
            id: tick.id,
21
            timestamp: new Date(timestamp),
22
23
            price: price * packet.ts, // Tick price as contract price
24
            size: tick.s, // Tick size (tick volume)
25
26
            bidPrice: bid && bid * packet.ts, // Bid price as contract price
27
            bidSize: tick.bs,
28
29
            askPrice: ask && ask * packet.ts, // Ask price as contract price
30
            askSize: tick.as,
31
          });
32
        }
33
      }
34
    }
35
  }
36
  return result;
37
}