OnixS C++ CME MDP Conflated UDP Handler 1.1.2
API documentation
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BookUpdateNotification Struct Reference

Public Types

enum  Enum
typedef UInt32 Base

Detailed Description

Definition at line 664 of file BookManagement.h.

Member Typedef Documentation

◆ Base

typedef UInt32 Base

Integral type used as basement for constants.

Definition at line 667 of file BookManagement.h.

Member Enumeration Documentation

◆ Enum

enum Enum
Enumerator
OnSecurityChange 

Book update event is raised once security id is changed in sequence of market data entries being processed by the Handler.

Warning
Given strategy does not follow MDP policy on exposing order books and thus can be used on own risk! Also, books may not be in a valid state (especially consolidated), as far as exposed earlier than data for entire market event is processed.
OnEndOfEvent 

Book update event is raised at the end of market event.

Direct books updates are raised at the end of real quotes updates.

Definition at line 669 of file BookManagement.h.