The methods: getBars(…) and forEachBar(…) in the Instrument interface now support non-linear bars.
SDK Market By Order
Market by Order information has been added to the Depth of Market (DOM) classes. For each DOMRow, a list of orders (DOMOrder) is available.
Figure 1 DOMRow Interface
Figure 2 DOMOrder Interface
SDK Historical Data
Historical ticks and bars can be accessed directly from the Instrument interface (com.motivewave.platform.sdk.common.Instrument).
Tick Data: Use Historical Bars
For tick data, a new option has been added to the forEachTick method: useHistoricalBars. This option will generate ticks from historical bars (starting from 1 minute bars) instead of loading historical ticks. This option is useful if tick data is not available or you need to load a large amount of data (and accuracy is not as important).
Historical bars can now be accessed directly (without the DataSeries interface). This allows you to access bars without declaring them in the SettingsDescriptor. Note: only linear bars >= 1 min are currently supported.
SDK Aggregate and Filter Ticks
Two new options have been added to the Study Header (false by default). If these options are enabled, the user will be able to configure the settings in the “Options” tab of the study dialog.
allowTickAggregate – If true, the user will be given the option aggregate tick data using the given aggregate period in milliseconds
allowTickFilter – If true, the user will be given the option to set a min and or max trade size to be filtered before passing the data to the study.
Affected Studies – these options have been turned on for the following studies: Volume Imprint, Delta Volume, Cumulative Delta, Bid/Ask Volume