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Market Quotes

The Market Quote API provides the order book for specified instruments. Nubra provides up to 20 levels of the order book.

Usage

from nubra_python_sdk.marketdata.market_data import MarketData
from nubra_python_sdk.start_sdk import InitNubraSdk, NubraEnv


# Initialize the Nubra SDK client
# Use NubraEnv.UAT for testing or NubraEnv.PROD for production
nubra = InitNubraSdk(NubraEnv.UAT)  # or NubraEnv.PROD

##using totp login and .env file 
#nubra = InitNubraSdk(NubraEnv.UAT, totp_login= True ,env_creds = True)

# Initialize MarketData with the client
mdInstance = MarketData(nubra)

# Get quote for a single instrument
quote = mdInstance.quote(ref_id=69353, levels=5)

Accessing Data

# Access the OrderBook through the orderBook attribute
order_book = quote.orderBook
print(f"  Reference ID: {order_book.ref_id}")
print(f"  Timestamp: {order_book.timestamp}")
print(f"  Last Traded Price: {order_book.last_traded_price}")
print(f"  Last Traded Quantity: {order_book.last_traded_quantity}")
print(f"  Volume: {order_book.volume}")
print(f"  Bid Orders: {len(order_book.bid)} levels")
print(f"  Ask Orders: {len(order_book.ask)} levels")

# Print bid orders
print("\nBid Orders:")
for bid in order_book.bid:
    print(f"  Price: {bid.price}, Quantity: {bid.quantity}, Orders: {bid.num_orders}")

# Print ask orders
print("\nAsk Orders:")
for ask in order_book.ask:
    print(f"  Price: {ask.price}, Quantity: {ask.quantity}, Orders: {ask.num_orders}")

Request Parameters

Parameter Type Description
ref_id required int The instrument reference id received from Instrument API (e.g., "69353")
levels required int Depth of Bid/Ask Spread (0-20)

Response Structure

# Response object structure
class OrderBookWrapper:
    orderBook: OrderBook

class OrderBook:
    ref_id: int                 # Reference ID of the instrument
    timestamp: int              # Timestamp in nanoseconds
    bid: List[OrderLevel]       # List of bid orders
    ask: List[OrderLevel]       # List of ask orders
    last_traded_price: int      # Last traded price
    last_traded_quantity: int   # Last traded quantity
    volume: int                 # Total volume traded for the day

class OrderLevel:
    price: int                  # Price
    quantity: int               # Quantity
    num_orders: int             # Number of orders

Response attributes

Attribute Description
orderBook OrderBook object containing the market quote data
orderBook.ref_id Reference ID of the instrument
orderBook.timestamp Timestamp of the quote in nanoseconds
orderBook.bid List of BidAsk objects for bid orders, sorted by price in descending order
orderBook.bid[].price Price of the bid order
orderBook.bid[].quantity Quantity available at this bid price
orderBook.bid[].num_orders Number of orders at this bid price
orderBook.ask List of BidAsk objects for ask orders, sorted by price in ascending order
orderBook.ask[].price Price of the ask order
orderBook.ask[].quantity Quantity available at this ask price
orderBook.ask[].num_orders Number of orders at this ask price
orderBook.last_traded_price Last traded price
orderBook.last_traded_quantity Last traded quantity
orderBook.volume Total volume traded for the day
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