DpExchange.Core.Types.Quote (DpExchangeCore v0.3.10)

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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.

:venue_time is the venue's own; :observed_at is when we read it — BREAKING in 0.2.0

These replace a single :timestamp, and the reason is the whole point of the split.

:timestamp was documented as "the venue's own, never invented". Two venues could not keep that promise, because the frames they decode carry no venue time at all: dp_exchange_schwab's LEVELONE_* quotes, and dp_exchange_gemini's partial-depth books (the vendor's own AsyncAPI requires only [lastUpdateId, bids, asks] there, where BookTicker requires E). With one field their only options were to lie or to drop real data, and they lied — a read time in a field a consumer was told was the venue's.

So:

  • :venue_time — whatever the venue gave us, used as-is. Not normalised, not substituted, and nil where the venue published none. A nil here is information, not an omission: it says the venue did not date this.
  • :observed_at — when this package read it. Always present, never nil.

TopOfBook has had exactly this shape from the start, and its own doc already explained why. This is that decision finishing its journey to the other two payload types.

Why :observed_at is mandatory and :venue_time is not

Requested by the consumer who decided this design (dp-exchange-core issue #31), and it is the property that makes strict honesty affordable: a consumer always has a usable time, so :venue_time can be left nil without anyone being forced to invent one. Drop the guarantee and every caller needs a fallback, which is the substitution this whole change exists to remove, relocated into consumer code.

What that buys, in their words: they store :venue_time as the point time where the venue dated the frame, and where it did not they store :observed_at and record that they did — so a mis-bucketed candle is attributable rather than invisible. With one field they could not make that decision at all, because they could not see which kind of time they had.

What this is not

It is not a licence to fill :venue_time from a local clock when the venue is quiet. The rule that field carries is unchanged and absolute: whatever the venue gave us, or nil. dp_exchange_schwab's Streamer book is the model — it reads the venue's snapshot_time and fails closed when it is absent rather than substituting.

: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{
  observed_at: DateTime.t(),
  price: Decimal.t(),
  provider: atom(),
  symbol: String.t(),
  venue_time: DateTime.t() | nil,
  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.