getSummary

Data Summary Services: Get current daily statistics

Syntax: getSummary parms

Where parms is a dictionary of parameters, returns a table of real-time current statistics, with one entry per instrument ID.

Current daily statistics are tracked in real time and are immediately accessible through getSummary. The response time is orders of magnitude faster than getStats queries for real-time data. Parameters for getTicks and getStats are also parameters for getSummary, with the exceptions described below. The only parameters required for getSummary are symList, assetClass and analytics. Omitting them signals an error.

The query result returns no time series, so no temporal parameters need setting.

Analytics

Key         analytics     required
Value       one or more analytics as symbol atom or vector
Valid       (see lists below) ` (calculate all)
Examples    `VWAP
            `closePrice`time
            `

The same analytics are available as for getStats, with the exception of first* aggregators:

Analytic	Description	Datatype
avgAskPrice	day average ask price	float
avgAskSize	day average ask size	float
avgBidPrice	day average price	float
avgBidSize	day average bid size	float
avgMidPrice	day average mid price	float
avgPrice	day average price	float
avgSpread	day average spread	float
avgVolume	day average volume	float
closePrice	current day close price	float
exchTime	time at which the most recent record was entered – as defined by the exchange	timestamp
highPrice	current day high price	float
lastAskPrice	most recent ask price	float
lastAskSize	most recent ask size	long
lastBidPrice	most recent bid price	float
lastBidSize	most recent bid size	long
lastMidPrice	most recent mid price	float
lastPrice	most recent price	float
lastSpread	most recent spread	float
lastVolume	most recent volume	long
lowPrice	current day low price	float
maxAskPrice	day high ask price	float
maxAskSize	day high ask size	float
maxBidPrice	day high bid price	float
maxBidSize	day high bid size	float
maxMidPrice	day high mid price	float
maxPrice	day max price	float
maxSpread	day high spread	float
maxVolume	day max volume	long
minAskPrice	day low ask price	float
minAskSize	day low ask size	float
minBidPrice	day low bid price	float
minBidSize	day low bid size	float
minMidPrice	day low mid price	float
minPrice	day min price	float
minSpread	day low spread	float
minVolume	day min volume	long
openPrice	current day open price	float
quoteCount	current number of quote since start of day	long
quoteExchTime	time at which the most recent quote record was entered – as defined by the exchange	timestamp
quoteTime	time at which the most recent quote record was entered	timestamp
sumAskPrice	cumulative ask price	float
sumAskSize	cumulative ask size	long
sumBidPrice	cumulative bid price	float
sumBidSize	cumulative bid size	long
sumMidPrice	cumulative mid price	float
sumPrice	cumulative sum of the days prices	float
sumSpread	cumulative spread	float
sumVolume	cumulative sum of the days volumes	long
time	time at which the most recent record was entered	timestamp
tradeCount	current number of trades since start of day	long
tradeExchTime	time at which the most recent trade record was entered – as defined by the exchange	timestamp
tradeTime	time at which the most recent trade record was entered	timestamp
turnover	day turnover	float
VWAP	running VWAP	float

Do not validate

Key          doNotValidate          optional
Value        parameter symbol vector
Example      `analytics
Default      none

Disables pre-processing parameter validation checks for the specified parameters. For supported parameters, see Parameter Validation

Examples

getSummary`symList`assetClass!(`VOD.L;`equity)

Returns all summary analytics for VOD.L.

getSummary`symList`assetClass`analytics!(`$"GBP=";`foreignExchange;`lastMidPrice)

Returns last mid-price for GBP/USD at the time of query.