diff --git a/flatbuffers/Enum.fbs b/flatbuffers/Enum.fbs index 4aa136d..c3ac3a2 100644 --- a/flatbuffers/Enum.fbs +++ b/flatbuffers/Enum.fbs @@ -70,6 +70,14 @@ enum QuoteType: int16 { FullAmountLadder = 7 } +enum RoundingMethod: int16 { + None = 0, + RoundPriceHalfUp, + RoundPriceHalfToEven, + RoundPriceHalfTowardMid, + RoundPriceAwayFromMid, +} + enum SecurityType: int16 { None = 0, Spot, diff --git a/flatbuffers/MarketDataSnapshot.fbs b/flatbuffers/MarketDataSnapshot.fbs index 94d1248..510ef14 100644 --- a/flatbuffers/MarketDataSnapshot.fbs +++ b/flatbuffers/MarketDataSnapshot.fbs @@ -58,4 +58,8 @@ table MarketDataSnapshot { offer: [MDEntry]; /// Dodd-Frank mid price. mid_price: double; + /// Number of decimal places for prices in this market data snapshot. + price_dp: int; + /// Rounding method used for this market data snapshot. + rounding_method: RoundingMethod = None; }