Book Depth

A series of simple examples are provided showing how to retrieve book depth from OneTick Cloud.

Book Depth Events

Book depth events are retrieved by specifying either the PRL or PRL_FULL table, depending on whether Market by Level (MBL) or Market by Order (MBO) data is available. Typically book depth data is analysed using orderbook processing.

Book Depth Event Retrieval

SELECT * FROM LSE_SAMPLE.PRL_FULL
WHERE SYMBOL_NAME='VOD'
and TIMESTAMP >= '2024-01-03 00:00:00 UTC'
and TIMESTAMP < '2024-01-04 00:00:00 UTC'
LIMIT 10

Book Depth Event Retrieval Results

Symbol	Timestamp	PRICE	SIZE	SYMBOL_NAME	TICK_TYPE	OMDSEQ	DELETED_TIME	TICK_STATUS	BUY_SELL_FLAG	UPDATE_TYPE	ORDER_ID	PART_ID	ORDER_TYPE	RECORD_TYPE
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	0	0	LSE_SAMPLE::VOD	PRL_FULL	0		0	0					Z
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	69	600	LSE_SAMPLE::VOD	PRL_FULL	0		0	0	A	233244094926020495		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	69	5,800	LSE_SAMPLE::VOD	PRL_FULL	1		0	0	A	233244094926209592		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	67.2	50,000	LSE_SAMPLE::VOD	PRL_FULL	2		0	0	A	232452446553925487		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	67	10,000	LSE_SAMPLE::VOD	PRL_FULL	3		0	0	A	233244094925636785		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	66.94	7,300	LSE_SAMPLE::VOD	PRL_FULL	4		0	0	A	233244094925636407		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	66.66	20,000	LSE_SAMPLE::VOD	PRL_FULL	5		0	0	A	233244094925845524		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	66.34	7,360	LSE_SAMPLE::VOD	PRL_FULL	6		0	0	A	233244094925636400		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	66	3,000	LSE_SAMPLE::VOD	PRL_FULL	7		0	0	A	233244094925636417		L	R
LSE_SAMPLE::VOD	2024-01-03 05:00:07.876	65	70,000	LSE_SAMPLE::VOD	PRL_FULL	8		0	0	A	233244094925636406		L	R

Order Book Price Level Updates

Updates to order books are retrieved by using the OB_SNAPSHOT syntax, specifying IS_RUNNING_AGGR='TRUE' and SHOW_ONLY_CHANGES='TRUE', along with defining the table which is either PRL or PRL_FULL , depending on whether Market by Level (MBL) or Market by Order (MBO) data is available. In this case the SYMBOL_NAME should specify both the database and symbol seperated by ::. e.g. LSE_SAMPLE::HSBA An initial state of the book is returned, following by deltas if SHOW_ONLY_CHANGES='TRUE'. Alternatively each new book can be output if SHOW_ONLY_CHANGES='FALSE'.

When using the OB_SNAPSHOT syntax, data is returned with each row representing a price level identified with the LEVEL field, and side identified with the BUY_SELL_FLAG field. PRICE and SIZE fields present the current price and remaining size or quantity of the price level.

Alternative representations are available using:

• OB_SNAPSHOT for each record representing either an order, or a price level and side.

• OB_SNAPSHOT_WIDE for each record representing a price level with both Bid and Ask.

• OB_SNAPSHOT_FLAT for each record represnting every level in the book

The returned results can be further filtered by additionally specifying:

• Maximum Number of Price Levels to return through MAX_LEVELS

• Maximum Depth in Cumulative Size to return through MAX_DEPTH_SHARES

• Maximum Depth in % Price Skew from BBO to return through MAX_DEPTH_FOR_PRICE

Order Book Depth Updates Retrieval

SELECT * FROM OTQ_CHAIN."OB_SNAPSHOT(IS_RUNNING_AGGR='TRUE',SHOW_ONLY_CHANGES='TRUE');PRL_FULL"
WHERE SYMBOL_NAME = 'LSE_SAMPLE::HSBA'
and TIMESTAMP >= '2024-01-03 00:00:00 UTC'
and TIMESTAMP < '2024-01-04 00:00:00 UTC'
LIMIT 10

Order Book Depth Updates Retrieval Results

Symbol	Timestamp	PRICE	SIZE	SYMBOL_NAME	TICK_TYPE	UPDATE_TIME	LEVEL	BUY_SELL_FLAG
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	640	7,035	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:47:11.727	1	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	642	2,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:35:12.759	2	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	650	38,600	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 17:10:02.567	3	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	655	16,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 17:30:00.059	4	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	659.8	800	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 07:50:03.005	5	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	660	16,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 17:30:00.059	6	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	665	32,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:50:00.058	7	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	669.3	12,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 07:50:03.004	8	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	680	15,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:40:15.570	9	1
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	682	4,800	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 07:50:03.004	10	1

Order Book L3 Depth Updates

For Level 3 Book depth stored in PRL_FULL tables, book updates can be retrieved at an order by order basis by specifying SHOW_FULL_DETAIL='TRUE'. In this case the ORDER_ID field will also be output in the results.

Order Book Full Depth Updates Retrieval

SELECT * FROM OTQ_CHAIN."OB_SNAPSHOT(IS_RUNNING_AGGR='TRUE',SHOW_ONLY_CHANGES='TRUE',SHOW_FULL_DETAIL='TRUE');PRL_FULL"
WHERE SYMBOL_NAME = 'LSE_SAMPLE::HSBA'
and TIMESTAMP >= '2024-01-03 00:00:00 UTC'
and TIMESTAMP < '2024-01-04 00:00:00 UTC'
LIMIT 10

Order Book Full Depth Updates Retrieval Results

Symbol	Timestamp	PRICE	SIZE	SYMBOL_NAME	TICK_TYPE	OMDSEQ	DELETED_TIME	TICK_STATUS	UPDATE_TIME	LEVEL	BUY_SELL_FLAG	UPDATE_TYPE	ORDER_ID	PART_ID	ORDER_TYPE	RECORD_TYPE
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	640	7,035	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 05:00:09.192	16	2024-01-02 05:00:09.192	1	1	A	225960944935921699		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	642	2,000	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 07:50:03.010	16	2024-01-02 07:50:03.010	2	1	A	233244109958022143		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	650	2,000	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 05:00:09.192	16	2024-01-02 05:00:09.192	3	1	A	232452461586102765		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	650	36,600	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 07:50:03.006	16	2024-01-02 07:50:03.006	3	1	A	233244109958022117		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	655	16,000	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 07:50:03.004	16	2024-01-02 07:50:03.004	4	1	A	233244109958022100		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	659.8	800	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 07:50:03.005	16	2024-01-02 07:50:03.005	5	1	A	233244109958022109		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	660	16,000	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 07:50:03.005	16	2024-01-02 07:50:03.005	6	1	A	233244109958022111		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	665	16,000	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 05:00:09.192	16	2024-01-02 05:00:09.192	7	1	A	228177560377546089		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	665	16,000	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 07:50:03.007	16	2024-01-02 07:50:03.007	7	1	A	233244109958022126		L	R
LSE_SAMPLE::HSBA	2024-01-03 00:00:00	669.3	12,000	LSE_SAMPLE::HSBA	PRL_FULL	21	2024-01-02 07:50:03.004	16	2024-01-02 07:50:03.004	8	1	A	233244109958022099		L	R

Order Book Depth Bars

Order Book state can be returned at periodic intervals generating book depth bars, by specifying the BUCKET_INTERVAL parameter, whcih represents a time in seconds. Milliseconds are supported by specifying a decimal (e.g. 0.1)

As before, alternative representations are available using:

• OB_SNAPSHOT for each record representing either an order, or a price level and side.

• OB_SNAPSHOT_WIDE for each record representing a price level with both Bid and Ask.

• OB_SNAPSHOT_FLAT for each record represnting every level in the book

Order Book 1 Minute Bars to 5 Levels of Depth Retrieval

SELECT * FROM OTQ_CHAIN."OB_SNAPSHOT(BUCKET_INTERVAL='60',MAX_LEVELS='5');PRL_FULL"
WHERE SYMBOL_NAME = 'LSE_SAMPLE::HSBA'
and TIMESTAMP >= '2024-01-03 00:00:00 UTC'
and TIMESTAMP < '2024-01-04 00:00:00 UTC'
LIMIT 10

Order Book 1 Minute Bars to 5 Levels of Depth Retrieval Results

Symbol	Timestamp	PRICE	SIZE	SYMBOL_NAME	TICK_TYPE	UPDATE_TIME	LEVEL	BUY_SELL_FLAG
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	640	7,035	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:47:11.727	1	1
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	642	2,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:35:12.759	2	1
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	650	38,600	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 17:10:02.567	3	1
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	655	16,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 17:30:00.059	4	1
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	659.8	800	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 07:50:03.005	5	1
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	610	80	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:40:00.145	1	0
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	600	500	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 17:30:00.058	2	0
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	580	50	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 17:30:00.059	3	0
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	575	1,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 07:50:03.003	4	0
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	500	2,000	LSE_SAMPLE::HSBA	PRL_FULL	2024-01-02 16:40:00.145	5	0

Order Book Wide (Bid & Ask on same row) 1 Minute Bars to 5 Levels of Depth Retrieval

SELECT * FROM OTQ_CHAIN."OB_SNAPSHOT_WIDE(BUCKET_INTERVAL='60',MAX_LEVELS='5');PRL_FULL"
WHERE SYMBOL_NAME = 'LSE_SAMPLE::HSBA'
and TIMESTAMP >= '2024-01-03 00:00:00 UTC'
and TIMESTAMP < '2024-01-04 00:00:00 UTC'
LIMIT 10

Order Book Wide (Bid & Ask on same row) 1 Minute Bars to 5 Levels of Depth Retrieval Results

Symbol	Timestamp	BID_PRICE	ASK_PRICE	BID_SIZE	ASK_SIZE	SYMBOL_NAME	TICK_TYPE	LEVEL	BID_UPDATE_TIME	ASK_UPDATE_TIME
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	610	640	80	7,035	LSE_SAMPLE::HSBA	PRL_FULL	1	2024-01-02 16:40:00.145	2024-01-02 16:47:11.727
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	600	642	500	2,000	LSE_SAMPLE::HSBA	PRL_FULL	2	2024-01-02 17:30:00.058	2024-01-02 16:35:12.759
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	580	650	50	38,600	LSE_SAMPLE::HSBA	PRL_FULL	3	2024-01-02 17:30:00.059	2024-01-02 17:10:02.567
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	575	655	1,000	16,000	LSE_SAMPLE::HSBA	PRL_FULL	4	2024-01-02 07:50:03.003	2024-01-02 17:30:00.059
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	500	659.8	2,000	800	LSE_SAMPLE::HSBA	PRL_FULL	5	2024-01-02 16:40:00.145	2024-01-02 07:50:03.005
LSE_SAMPLE::HSBA	2024-01-03 00:02:00	610	640	80	7,035	LSE_SAMPLE::HSBA	PRL_FULL	1	2024-01-02 16:40:00.145	2024-01-02 16:47:11.727
LSE_SAMPLE::HSBA	2024-01-03 00:02:00	600	642	500	2,000	LSE_SAMPLE::HSBA	PRL_FULL	2	2024-01-02 17:30:00.058	2024-01-02 16:35:12.759
LSE_SAMPLE::HSBA	2024-01-03 00:02:00	580	650	50	38,600	LSE_SAMPLE::HSBA	PRL_FULL	3	2024-01-02 17:30:00.059	2024-01-02 17:10:02.567
LSE_SAMPLE::HSBA	2024-01-03 00:02:00	575	655	1,000	16,000	LSE_SAMPLE::HSBA	PRL_FULL	4	2024-01-02 07:50:03.003	2024-01-02 17:30:00.059
LSE_SAMPLE::HSBA	2024-01-03 00:02:00	500	659.8	2,000	800	LSE_SAMPLE::HSBA	PRL_FULL	5	2024-01-02 16:40:00.145	2024-01-02 07:50:03.005

Order Book Flat (All Levels on same row) 1 Minute Bars to 5 Levels of Depth Retrieval

SELECT * FROM OTQ_CHAIN."OB_SNAPSHOT_FLAT(BUCKET_INTERVAL='60',MAX_LEVELS='5');PRL_FULL"
WHERE SYMBOL_NAME = 'LSE_SAMPLE::HSBA'
and TIMESTAMP >= '2024-01-03 00:00:00 UTC'
and TIMESTAMP < '2024-01-04 00:00:00 UTC'
LIMIT 10

Order Book Flat (All Levels on same row) 1 Minute Bars to 5 Levels of Depth Retrieval Results

Symbol	Timestamp	SYMBOL_NAME	TICK_TYPE	BID_PRICE1	BID_UPDATE_TIME1	BID_SIZE1	ASK_PRICE1	ASK_UPDATE_TIME1	ASK_SIZE1	BID_PRICE2	BID_UPDATE_TIME2	BID_SIZE2	ASK_PRICE2	ASK_UPDATE_TIME2	ASK_SIZE2	BID_PRICE3	BID_UPDATE_TIME3	BID_SIZE3	ASK_PRICE3	ASK_UPDATE_TIME3	ASK_SIZE3	BID_PRICE4	BID_UPDATE_TIME4	BID_SIZE4	ASK_PRICE4	ASK_UPDATE_TIME4	ASK_SIZE4	BID_PRICE5	BID_UPDATE_TIME5	BID_SIZE5	ASK_PRICE5	ASK_UPDATE_TIME5	ASK_SIZE5
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:02:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:03:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:04:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:05:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:06:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:07:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:08:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:09:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800
LSE_SAMPLE::HSBA	2024-01-03 00:10:00	LSE_SAMPLE::HSBA	PRL_FULL	610	2024-01-02 16:40:00.145	80	640	2024-01-02 16:47:11.727	7,035	600	2024-01-02 17:30:00.058	500	642	2024-01-02 16:35:12.759	2,000	580	2024-01-02 17:30:00.059	50	650	2024-01-02 17:10:02.567	38,600	575	2024-01-02 07:50:03.003	1,000	655	2024-01-02 17:30:00.059	16,000	500	2024-01-02 16:40:00.145	2,000	659.8	2024-01-02 07:50:03.005	800

Book Depth Statistics

Statistics on book depth can be retrieved by using the OB_SUMMARY syntax, and specifying a book filter

• Maximum Number of Price Levels through MAX_LEVELS

• Maximum Depth in Cumulative Size through MAX_DEPTH_SHARES

• Maximum Depth in % Price Skew from BBO through MAX_DEPTH_FOR_PRICE

Book depth statistics return:

• BEST_BID_PRICE and BEST_ASK_PRICE

• Cumulative BID_SIZE and ASK_SIZE

• NUM_ASK_LEVELS and NUM_BID_LEVELS

• WORST_BID_PRICE and WORST_ASK_PRICE

• BID_VWAP and ASK_VWAP

Book Depth Statistics by minute to trade a quantity of 1000 Retrieval

SELECT * FROM OTQ_CHAIN."OB_SUMMARY(BUCKET_INTERVAL='60',MAX_DEPTH_SHARES='1000');PRL_FULL"
WHERE SYMBOL_NAME = 'LSE_SAMPLE::HSBA'
and TIMESTAMP >= '2024-01-03 00:00:00 UTC'
and TIMESTAMP < '2024-01-04 00:00:00 UTC'
LIMIT 10

Book Depth Statistics by minute to trade a quantity of 1000 Retrieval Results

Symbol	Timestamp	BID_SIZE	ASK_SIZE	SYMBOL_NAME	TICK_TYPE	ASK_VWAP	BID_VWAP	BEST_ASK_PRICE	BEST_BID_PRICE	WORST_ASK_PRICE	WORST_BID_PRICE	NUM_ASK_LEVELS	NUM_BID_LEVELS
LSE_SAMPLE::HSBA	2024-01-03 00:01:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:02:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:03:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:04:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:05:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:06:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:07:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:08:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:09:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4
LSE_SAMPLE::HSBA	2024-01-03 00:10:00	1,000	1,000	LSE_SAMPLE::HSBA	PRL_FULL	640	590.55	640	610	640	575	1	4