{"id":7015,"date":"2025-08-28T22:11:57","date_gmt":"2025-08-29T03:11:57","guid":{"rendered":"https:\/\/librarytestdev.wpenginepowered.com\/?post_type=doc&p=7015"},"modified":"2026-06-29T11:14:49","modified_gmt":"2026-06-29T16:14:49","slug":"extracting-market-data-values","status":"publish","type":"doc","link":"https:\/\/library-staging.tradingtechnologies.com\/apis\/tt-core-sdk\/subscribing-for-market-data\/extracting-market-data-values\/","title":{"rendered":"Extracting Market Data Values"},"content":{"rendered":"\n

After the subscription starts, TT Core SDK invokes the event handler method you registered with the subscription for every price update passing an instance of a\u00a0PriceSnap<\/strong>\u00a0struct. The\u00a0PriceSnap<\/strong>\u00a0struct contains members for each element of market data, such as:<\/p>\n\n\n\n

    \ndouble open_price = NAN;                  \ndouble close_price = NAN;         \ndouble high_price = NAN;          \ndouble low_price = NAN;           \ndouble last_trade_price = NAN;    \ndouble last_trade_quantity = NAN; \ndouble volume = NAN;              \ndouble cum_last_trade_quantity = NAN; \ndouble settlement_price = NAN;    \ndouble open_interest = NAN;   <\/code><\/pre>\n\n\n\n
It also contains an array of the\u00a0DepthLevel<\/strong>\u00a0struct for bid depth and an array of the\u00a0DepthLevel<\/strong>\u00a0struct for ask depth.<\/p>\n\n\n\n
\n\nstruct DepthSnap\n{\n  \/\/ a single level of the total depth\n\n  struct DepthLevel\n  {\n    double price;            \/\/!< Price\n    int32_t order_count;     \/\/!< Number of orders that make up the total quantity\n    double quantity;         \/\/!< Total quantity at this level\n    double implied_quantity; \/\/!< Implied quantity contributing to the total quantity\n  } levels[MAX_DEPTH_LEVEL];\n\n  size_t count; \/\/!< Number of available price depth levels\n};\n\n\n    <\/code><\/pre>\n\n\n\n
DepthSnap asks; DepthSnap bids; Note: All prices are delivered in Points. The following code snippet demonstrates how to process a price subscription update.<\/p>\n\n\n\n

\n\nstd::string to_string(const ttsdk::PriceSnap& snap)\n{\n  std::ostringstream ss;\n\n  if (snap.event_type == ttsdk::PriceEventType::DIRECT)\n    ss << \"PriceSnap:     [direct event]\\n\";\n  else if (snap.event_type == ttsdk::PriceEventType::CALCULATED_IMPLIEDS)\n    ss << \"PriceSnap:     [calculated implieds event]\\n\";\n  else if (snap.event_type == ttsdk::PriceEventType::SIMULATED)\n    ss << \"PriceSnap:     [simulated event]\\n\";\n  else\n    ss << \"PriceSnap:     [unknown event]\\n\";\n\n  ss << \"market_state=\" << (int)snap.market_state\n     << \" asks.count=\" << snap.asks.count\n     << \" bids.count=\" << snap.bids.count\n     << '\\n'\n     << \"open=\" << snap.open_price\n     << \" close=\" << snap.close_price\n     << \" high=\" << snap.high_price\n     << \" low=\" << snap.low_price\n     << \" settle=\" << snap.settlement_price\n     << '\\n'\n     << \"ltp=\" << snap.last_trade_price\n     << \" ltq=\" << snap.last_trade_quantity\n     << \" volume=\" << snap.volume\n     << '\\n';\n\n  if (snap.asks.count > 0 || snap.bids.count > 0)\n  {\n      ss << \"  #order   imp Q       Q  |     price     |       Q   imp Q  #order\\n\";\n  }\n\n  for (int i = snap.asks.count - 1; i >= 0; --i)\n  {\n    const auto& level = snap.asks.levels[i];\n    ss << \"                          |\"\n       << std::setw(15) << std::setprecision(6) << level.price\n       << \"|\"\n       << std::setw(8) << level.quantity\n       << std::setw(8) << level.implied_quantity\n       << std::setw(8) << level.order_count << '\\n';\n  }\n\n  for (int i = 0; i < snap.bids.count; ++i)\n  {\n    const auto& level = snap.bids.levels[i];\n    ss << std::setw(8) << level.order_count\n       << std::setw(8) << level.implied_quantity\n       << std::setw(8) << level.quantity\n       << \"  |\"\n       << std::setw(15) << std::setprecision(6) << level.price << \"|\\n\";\n  }\n\n  return ss.str();\n}\n\n                      <\/code><\/pre>\n","protected":false},"excerpt":{"rendered":"
After the subscription starts, TT Core SDK invokes the event handler method you registered with the subscription for every price update passing an instance of a\u00a0PriceSnap<\/strong>\u00a0struct. The\u00a0PriceSnap<\/strong>\u00a0struct contains members for each element of market data, such as:<\/p>\n
It also contains an array of the\u00a0DepthLevel<\/strong>\u00a0struct for bid depth and an array of the\u00a0DepthLevel<\/strong>\u00a0struct for ask depth.<\/p>\n
DepthSnap asks; DepthSnap bids; Note: All prices are delivered in Points. The following code snippet demonstrates how to process a price subscription update.<\/p>\n","protected":false},"author":2,"template":"wp-custom-template-single-doc-tt-core-sdk","meta":{"_acf_changed":false,"footnotes":""},"docs-category":[447],"class_list":["post-7015","doc","type-doc","status-publish","hentry","docs-category-subscribing-for-market-data"],"acf":[],"_links":{"self":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7015","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc"}],"about":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/types\/doc"}],"author":[{"embeddable":true,"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/users\/2"}],"version-history":[{"count":0,"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/doc\/7015\/revisions"}],"wp:attachment":[{"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/media?parent=7015"}],"wp:term":[{"taxonomy":"docs-category","embeddable":true,"href":"https:\/\/library-staging.tradingtechnologies.com\/ja\/wp-json\/wp\/v2\/docs-category?post=7015"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}