Code Set MDStatisticTypeCodeSet Scenario base

SYNOPSIS: Type of statistic value.

ID Datatype
2456int

Codes

ID Name Value Description Supported Added EP Updated EP Deprecated EP
2456001Count1SYNOPSIS: Count
ELABORATION: Simple count of entities or events, e.g. orders transactions during a period of time.
✓FIX.5.0SP2191
2456002AverageVolume2SYNOPSIS: Average volume
ELABORATION: Average quantity of entities, e.g. average volume of incoming quotes or average trade volume.
✓FIX.5.0SP2191FIX.5.0SP2231
2456003TotalVolume3SYNOPSIS: Total volume
ELABORATION: Aggregated quantities of entities across events, e.g. total trade volume during a period of time.
✓FIX.5.0SP2191FIX.5.0SP2231
2456004Distribution4SYNOPSIS: Distribution
ELABORATION: Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types.
✓FIX.5.0SP2191
2456005Ratio5SYNOPSIS: Ratio
ELABORATION: Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders.
✓FIX.5.0SP2191
2456006Liquidity6SYNOPSIS: Liquidity
ELABORATION: Measurement of liquidity of an instrument, e.g. by providing the spread between bid and offer or the trade volume needed to move the price.
✓FIX.5.0SP2191
2456007VWAP7SYNOPSIS: Volume weighted average price (VWAP)
ELABORATION: Benchmark price.
✓FIX.5.0SP2191
2456008Volatility8SYNOPSIS: Volatility
ELABORATION: Volatility of entities, e.g. price movements of incoming orders.
✓FIX.5.0SP2191
2456009Duration9SYNOPSIS: Duration
ELABORATION: Time period of events, e.g. resting period of passive orders.
✓FIX.5.0SP2191
2456010Tick10SYNOPSIS: Tick
ELABORATION: Price movement of an instrument in number of ticks.
✓FIX.5.0SP2191
2456011AverageValue11SYNOPSIS: Average value
ELABORATION: Average quantity multiplied by price.
✓FIX.5.0SP2191FIX.5.0SP2231
2456012TotalValue12SYNOPSIS: Total value
ELABORATION: Aggregated quantity multiplied by price; also described as turnover.
✓FIX.5.0SP2191FIX.5.0SP2231
2456013High13SYNOPSIS: High
ELABORATION: Highest price.
✓FIX.5.0SP2191
2456014Low14SYNOPSIS: Low
ELABORATION: Lowest price.
✓FIX.5.0SP2191
2456015Midpoint15SYNOPSIS: Midpoint
ELABORATION: Midpoint price between bid and offer.
✓FIX.5.0SP2191
2456016First16SYNOPSIS: First
ELABORATION: First price or initial value.
✓FIX.5.0SP2191
2456017Last17SYNOPSIS: Last
ELABORATION: Most recent price or value.
✓FIX.5.0SP2191
2456018Final18SYNOPSIS: Final
ELABORATION: Final price or confirmed value.
✓FIX.5.0SP2191
2456019ExchangeBest19SYNOPSIS: Exchange best
ELABORATION: Best price of a single venue regardless of volume.
✓FIX.5.0SP2191
2456020ExchangeBestWithVolume20SYNOPSIS: Exchange best with volume
ELABORATION: Best price of a single venue with volume at or above a pre-defined threshold.
✓FIX.5.0SP2191
2456021ConsolidatedBest21SYNOPSIS: Consolidated best
ELABORATION: Best price across multiple venues regardless of volume.
✓FIX.5.0SP2191
2456022ConsolidatedBestWithVolume22SYNOPSIS: Consolidated best with volume
ELABORATION: Best price across multiple venues with volume at or above a pre-defined threshold.
✓FIX.5.0SP2191
2456023TWAP23SYNOPSIS: Time weighted average price (TWAP)
✓FIX.5.0SP2191
2456024AverageDuration24SYNOPSIS: Average duration
ELABORATION: Average duration of time periods of events.
✓FIX.5.0SP2231
2456025AveragePrice25SYNOPSIS: Average price
ELABORATION: Average price across entities e.g. trade prices.
✓FIX.5.0SP2231
2456026TotalFees26SYNOPSIS: Total fees
ELABORATION: Aggregated fees.
✓FIX.5.0SP2231
2456027TotalBenefits27SYNOPSIS: Total benefits
ELABORATION: Aggregated benefits.
✓FIX.5.0SP2231
2456028MedianValue28SYNOPSIS: Median value
ELABORATION: Median quantity multiplied by price for orders or quotes.
✓FIX.5.0SP2231
2456029AverageLiquidity29SYNOPSIS: Average liquidity
ELABORATION: Average liquidity of an instrument e.g. average effective spread.
✓FIX.5.0SP2231
2456030MedianDuration30SYNOPSIS: Median duration
ELABORATION: Median duration of time periods of events.
✓FIX.5.0SP2231