DpExchange.Core.Types.Quote (DpExchangeCore v0.1.45)

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Normalised trade data for a symbol: what it last traded at, how much has traded, and when the venue says so.

There is no bid and no ask here, deliberately

This struct used to carry :bid and :ask, and every venue package in the family filled them in. That was wrong. A bid and an ask are the order book — resting orders, what someone is willing to trade at. A price is an execution — what someone did trade at. Putting both in one struct invites a caller to reach for whichever is populated, and invites a package to fill price from ask when the venue sends no price, which is exactly what one of them did.

Book data lives in Core.Types.TopOfBook (best bid/ask) and Core.Types.OrderBook (depth). A caller that wants both makes two calls and gets two values that say what they are. Nothing in this struct can stand in for a book, and nothing in a book can stand in for a price.

:timestamp is the venue's own

Whatever it gave us, used as-is. Not normalised, not substituted, and never invented: a quote whose freshness we cannot state is a quote we must not return.

This guarantee is why TopOfBook has a separate :observed_at. A best bid/ask is real time and many venues publish no timestamp with it, so the honest stamp is when the package read it — a different fact, in a differently named field, rather than a call time written into a field documented as the venue's.

:volume is nil when the venue publishes none

Never 0. A venue that reports no volume and a venue reporting a genuinely flat period are different facts, and 0 claims the second.

Summary

Types

t()

Functions

new(attrs)

Builds a t/0, failing closed if a required field is absent or nil.

Types

t()

@type t() :: %DpExchange.Core.Types.Quote{
  price: Decimal.t(),
  provider: atom(),
  symbol: String.t(),
  timestamp: DateTime.t(),
  volume: Decimal.t() | nil
}

Functions

new(attrs)

@spec new(keyword() | map()) :: t()

Builds a t/0, failing closed if a required field is absent or nil.

@enforce_keys guards presence, not nil — see DpExchange.Core.Types.Validate.