MarketDataFeed.proto

syntax = "proto3";
package com.upstox.marketdatafeeder.rpc.proto;

message LTPC {
  double ltp = 1;
  int64 ltt = 2;
  int64 ltq = 3;
  double cp = 4; //close price
}

message MarketLevel {
  repeated Quote bidAskQuote = 1;
  int64 lut = 2;
}

message MarketOHLC {
  repeated OHLC ohlc = 1;
}


message Quote {
  int32 bq = 1; //bid quantity
  double bp = 2; //bid price
  int32 bno = 3; //bid number of orders
  int32 aq = 4; // ask quantity
  double ap = 5; // ask price
  int32 ano = 6; // ask number of orders
  int64 bidQ = 7; //bid quantity
  int64 askQ = 8; // ask quantity
}

message OptionGreeks {
  double op = 1; // option price
  double up = 2; //underlying price
  double iv = 3; // implied volatility
  double delta = 4;
  double theta = 5;
  double gamma = 6;
  double vega = 7;
  double rho = 8;
}

message ExtendedFeedDetails {
  double atp = 1; //avg traded price
  double cp = 2; //close price
  int64 vtt = 3; //volume traded today
  double oi = 4; //open interest
  double changeOi = 5; //change oi
  double lastClose = 6;
  double tbq = 7; //total buy quantity
  double tsq = 8; //total sell quantity
  double close = 9;
  double lc = 10; //lower circuit
  double uc = 11; //upper circuit
  double yh = 12; //yearly high
  double yl = 13; //yearly low
  double fp = 14; //fill price
  int32 fv = 15; //fill volume
  int64 mbpBuy = 16; //mbp buy
  int64 mbpSell = 17; //mbp sell
  int64 tv = 18; //traded volume
  double dhoi = 19; //day high open interest
  double dloi = 20; //day low open interest
  double sp = 21; //spot price
  double poi = 22; //previous open interest
}

message OHLC {
  string interval = 1;
  double open = 2;
  double high = 3;
  double low = 4;
  double close = 5;
  int32 volume = 6;
  int64 ts = 7;
  int64 vol = 9;
}

enum Type{
  initial_feed = 0;
  live_feed = 1;
}

message MarketFullFeed{
  LTPC ltpc = 1;
  MarketLevel marketLevel = 2;
  OptionGreeks optionGreeks = 3;
  MarketOHLC marketOHLC = 4;
  ExtendedFeedDetails eFeedDetails = 5;
}

message IndexFullFeed{
  LTPC ltpc = 1;
  MarketOHLC marketOHLC = 2;
  double lastClose = 3;
  double yh = 4; //yearly high
  double yl = 5; //yearly low
}


message FullFeed {
  oneof FullFeedUnion {
    MarketFullFeed marketFF = 1;
    IndexFullFeed indexFF = 2;
  }
}

message OptionChain{
  LTPC ltpc = 1;
  Quote bidAskQuote = 2;
  OptionGreeks optionGreeks = 3;
  ExtendedFeedDetails eFeedDetails = 4;
}

message Feed {
  oneof FeedUnion {
    LTPC ltpc = 1;
    FullFeed ff = 2;
    OptionChain oc = 3;
  }
}

message FeedResponse{
  Type type = 1;
  map<string, Feed> feeds = 2;
  int64 currentTs = 3;
}