The Beeks Analytics templates each have different access to the item information that Beeks Analytics writes to a datastore.
Beeks Analytics for Markets enables you to query item information for Orders and Trades, as well as view the other data used in Aggregator calculations. Available item information includes events, intervals, associations, and time series data.
The Beeks Analytics for Markets template normalises important fields from different Order and Trade protocols, so that the performance of different protocols can be compared on a like-for-like basis.
Note that Beeks Analytics for Markets will not persist Market Data (other than in the packet capture store).
The following item fields are persisted as part of the Beeks Analytics for Markets template:
Field | Source | Commentary |
|---|---|---|
Time | Timestamp of when this Agent Event was seen on the wire. | The time the message was seen at the Visibility Point, at millisecond granularity |
Nanos | Timestamp of when this Agent Event was seen on the wire. Beeks Analytics timestamps at nanosecond accuracy and can use PTP or PPS clock synchronisation to ensure timestamping accuracy. VMX-Capture can also be configured to use timestamps provided by packet aggregation or other network devices rather than VMX-Capture’s own timestamping. This allows even more accurate timestamping. | The nanoseconds element of the timestamp. |
vp | BAM Config mapping, usually from ethernet layer information such as VLAN, but can also use packet IP and/or TCP information. | The Visibility Point that the item was recorded at |
extEntity | BAM Config mapping from packet IP information. | The external entity (also known as the External Group) that the trading messages are exchanged with. |
Gateway | BAM Config mapping from packet IP and TCP information. | The specific gateway at the External Group that the trading message are exchanged with. |
Complete | Flow analysis based on messages. | Will be true if both a Request and a Response are seen, but false if only the Request is seen. |
reqMsgType | Normalised Mapping from Request Message field. | Request Message Type (normalised). |
nativeMsgType | Request Message field. | Request Message Type (original from native protocol). |
orderId | Normalised mapping from Response Message field. | Order ID as allocated by the trading venue/counterparty. |
requestID | Normalised mapping from Response Message field. | Order ID (or Request ID) as indicated in the initial Order Request message. |
prevRequestID | Normalised mapping from Response Message field. | If the Request relates to an earlier order (e.g. if it is a Cancel or Replace order type), the prevRequestID will indicate the ID of the previous order. |
interval | Flow analysis based on messages. | Latency measurement between the request and the response. |
wiretime | Calculation based on comparing the timestamp in the message with the time the message was seen at the Visibility Point. | App-to-wire measurement for the last message that is observed as part of this transaction, which is normally a Response message. |
symbol | Normalised mapping from Request Message field. | The symbol that is being traded. |
side | Normalised mapping from Request Message field. | The side of the transaction. |
TIF (Time in Force) | Normalised mapping from Request Message field. | The duration of the order - specifies how long an order remains in effect. Common values are Good-Til-Cancelled (GTC), Fill-Or-Kill (FOK), Immediate-Or-Cancel (IOC), and Day Order. |
Quantity | Normalised mapping from message fields. | The quantity that is being traded. |
Price | Normalised mapping from message fields. | The price that is ordered or traded at. |
Session | Normalised mapping from message fields. | Session is a field that is used to record the FIX CompIDs of the FIX session. For non-FIX traffic, this field will be populated with IP addresses. |
intIP | Packet IP address information. | The IP address in the packets that are associated with the Internal Entity for the trade. |
intPort | Packet TCP port information. | The TCP port in the packets that are associated with the Internal Entity for the trade. |
extIP | Packet IP address information. | The IP address in the packets that are associated with the External Entity for the trade. |
extPort | Packet TCP port information. | The TCP port in the packets that are associated with the External Entity for the trade. |
timestampNanos | Timestamp of when this Agent Event was seen on the wire, in nanoseconds. | Unix epoch timestamp when the message was seen at the Visibility Point. Useful for exporting data and sorting it, as can be more friendly to use in some circumstances than the more human-readable hour:minute:second style timestamp formatting. |
correlationID | Flow analysis based on messages. | Internal diagnostic information. |
Correlation Key | Flow analysis based on messages. | Internal diagnostic information. |