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

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Normalised public trade — anyone's order match, from the venue's trade tape.

Distinct from DpExchange.Core.Types.Fill, which is the caller's own match. The two are easy to conflate and must not be: a tape trade is public market data, a fill is an account event.

:timestamp is the venue's own, used as-is.

:side is who removed liquidity, not who owned it

Venues report the taker's side. Gemini says buy means an ask was removed by an incoming buy order — a statement about pressure, and the opposite of the resting order's side. A package mapping it to "the maker was selling" inverts every entry while every number stays real.

:broken — a trade the exchange cancelled

Exchanges bust erroneous prints, and a broken trade did not stand: its price is not a price the market traded at. Leaving one in a series puts a phantom high or low into every range, breakout and volatility figure built on it, and none of them will error.

Defaults to false, and get_trades/2 excludes broken trades unless asked. false means the venue said not broken or said nothing — a venue with no concept of busts reports false because nothing was busted, which is the same answer.

An explicit broken: nil is "said nothing", not a caller mistake

:broken is not in @enforce_keys — a caller omitting it gets the struct's own default, false, exactly as documented above. But @enforce_keys guards presence, not nil (see DpExchange.Core.Types.Validate), and a PRESENT broken: nil — the shape a JSON decode produces from a venue field that came back null — bypassed the default entirely and built %Trade{broken: nil}, a value outside its own boolean() typespec that only happens to look safe because nil and false are both falsy in a bare if. A case matching true and false with no third clause does not get that courtesy, and this is exactly the field a phantom high or low rides in on. new/1 normalises it to false — "the venue said nothing" is what nil already means here, by this module's own stated policy — rather than let it leak into a value nothing downstream expects.

Summary

Types

t()

Functions

new(attrs)

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

notional(trade)

The trade's notional value — price times quantity.

Types

t()

@type t() :: %DpExchange.Core.Types.Trade{
  broken: boolean(),
  id: String.t(),
  price: Decimal.t(),
  provider: atom() | String.t(),
  quantity: Decimal.t(),
  side: :buy | :sell,
  symbol: String.t(),
  timestamp: DateTime.t()
}

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. Unlike the enforced fields, an explicit broken: nil is not an error: it is normalised to false, per this module's "broken: nil is 'said nothing'" section above.

notional(trade)

@spec notional(t()) :: Decimal.t()

The trade's notional value — price times quantity.

Provided so every package computes it the same way rather than each deciding whether to round. It does not round: Decimal multiplication is exact, and a caller that wants a currency's precision applies it knowing which currency.