Ticks

Reference

Ticks

The raw trade/quote update a connection emits and every bar builder, order-flow aggregator and tape consumes. Namespace SabrTrader.Pipeline.Ticks.

Tick

A readonly record struct, passed by value on the hot path; the pipeline copies it and holds no references to it. Consumers that need persistent state copy out the fields they care about.

Tick.cspublic readonly record struct Tick(
    long SequenceNumber,
    DateTime ExchangeTimestampUtc,
    string InstrumentId,
    double Price,
    long Size,
    TickFlags Flags,
    long IngressStamp = 0,
    long StageStamp = 0);
Member Type Meaning
SequenceNumber long Global ordering key the host's sequencer assigns at ingest (a venue constructs ticks with 0). The canonical ordering for the whole pipeline: replay, backtest and live all use this field.
ExchangeTimestampUtc DateTime Venue-reported timestamp of the trade/quote: true UTC, always, and never rewritten to a display zone. Overlay on the chart with ChartDisplayTime.FromUtc.
InstrumentId string The instrument this update belongs to.
Price double Trade price, or the quoted bid/ask price.
Size long Traded / quoted size.
Flags TickFlags Classification bitmask; see below.
IngressStamp long Diagnostics only. Stopwatch stamp taken when the process first saw the tick, or 0 when untraced (the common case). Never persisted: a cached tick comes back untraced. Venues and ordinary consumers leave it at 0.
StageStamp long Diagnostics only, meaningful only when IngressStamp is non-zero. Rolling stamp of the last pipeline hop the tick cleared, used to build the per-hop latency waterfall.

TickOrdering

Two statics for the one rule that matters when you assemble ticks yourself: bool IsChronological(IReadOnlyList<Tick> ticks) and void EnsureChronologicalStable(List<Tick> ticks), a stable sort, so ticks sharing a timestamp keep the order the venue sent them in. Bar builders assume chronological input and build wrong bars from an unsorted batch without raising an error. History sources call these before returning ticks.

TickFlags

A [Flags] enum : byte. Multiple bits can be set at once (a print at the bid is both Trade + AtBid). Bar builders consume only ticks carrying Trade; order-flow reads the aggressor bits. Bit 1 << 5 is reserved: never set it. A venue's previous-close / settlement reference travels on the level-1 summary surface (IMarketSummaryFeed / MarketSummaryUpdate), not on ticks.

TickFlags.cs[Flags]
public enum TickFlags : byte
{
    None          = 0,
    Bid           = 1 << 0,
    Ask           = 1 << 1,
    Trade         = 1 << 2,
    AtAsk         = 1 << 3,
    AtBid         = 1 << 4,
    // 1 << 5 is reserved: never set it.
    QuoteDerived  = 1 << 6,
    Synthetic     = 1 << 7,
}
Value Meaning
None No classification.
Bid Quote update reflecting the best bid.
Ask Quote update reflecting the best ask.
Trade An actual trade / print. The only flag bar builders act on for OHLCV.
AtAsk Trade aggressor was a buyer (lifted the ask).
AtBid Trade aggressor was a seller (hit the bid).
QuoteDerived The print was derived from the quote rather than observed on a tape. A quote-driven venue (most spot forex and CFD brokers) publishes no trades, so its gateway synthesizes a price series from bid/ask to give the instrument a chart. Always set alongside Trade: to a bar builder, the tape and order flow it is the print. It matters to a consumer that needs an executable price: a synthesized mid is a price nobody traded at, and marking a short position to it overstates unrealized PnL by half the spread. Use the bid/ask side that applies instead.
Synthetic Pipeline-injected synthetic tick (replay reconstruction, bar-builder edge cases). Most indicators treat it like any other tick.
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