#include <OnixS/CME/ConflatedUDP/Messages.h>

Classes
struct	EventsEntry

struct	FeedTypesEntry

struct	InstAttribEntry

struct	LotTypeRulesEntry

struct	TradingSessionsEntry

Public Types
enum	{ TemplateId = 63 }

typedef BinaryGroup< EventsEntry, GroupSize, MessageSize >	Events

typedef BinaryGroup< FeedTypesEntry, GroupSize, MessageSize >	FeedTypes

typedef BinaryGroup< InstAttribEntry, GroupSize, MessageSize >	InstAttrib

typedef BinaryGroup< LotTypeRulesEntry, GroupSize, MessageSize >	LotTypeRules

typedef BinaryGroup< TradingSessionsEntry, GroupSize, MessageSize >	TradingSessions

Public Types inherited from BinaryMessage
typedef MessageSize	EncodedLength

typedef MessageSize	BlockLength

typedef BinaryGroups< MessageSize >	Groups

Public Member Functions
	InstrumentDefinitionFX63 ()

	InstrumentDefinitionFX63 (const void *data, EncodedLength length)

MatchEventIndicator	matchEventIndicator () const

bool	totNumReports (UInt32 &value) const

SecurityUpdateAction::Enum	securityUpdateAction () const

Timestamp	lastUpdateTime () const

bool	securityTradingStatus (SecurityTradingStatus::Enum &value) const

Int16	applId () const

UInt8	marketSegmentId () const

UInt8	underlyingProduct () const

StrRef	securityExchange () const

StrRef	securityGroup () const

StrRef	asset () const

StrRef	symbol () const

Int32	securityId () const

SecurityIDSource	securityIdSource () const

StrRef	securityType () const

StrRef	cfiCode () const

StrRef	currency () const

StrRef	settlCurrency () const

StrRef	priceQuoteCurrency () const

CHAR	matchAlgorithm () const

UInt32	minTradeVol () const

UInt32	maxTradeVol () const

Decimal	minPriceIncrement () const

Decimal	displayFactor () const

UInt8	pricePrecision () const

StrRef	unitOfMeasure () const

bool	unitOfMeasureQty (Decimal &value) const

bool	highLimitPrice (Decimal &value) const

bool	lowLimitPrice (Decimal &value) const

bool	maxPriceVariation (Decimal &value) const

UserDefinedInstrument	userDefinedInstrument () const

StrRef	financialInstrumentFullName () const

StrRef	fxCurrencySymbol () const

StrRef	settlType () const

UInt16	interveningDays () const

StrRef	fxBenchmarkRateFix () const

StrRef	rateSource () const

StrRef	fixRateLocalTime () const

StrRef	fixRateLocalTimeZone () const

UInt32	minQuoteLife () const

Decimal	maxPriceDiscretionOffset () const

bool	instrumentGUId (UInt64 &value) const

bool	maturityMonthYear (MaturityMonthYear &value) const

StrRef	settlementLocale () const

bool	altMinPriceIncrement (Decimal &value) const

bool	altMinQuoteLife (UInt32 &value) const

bool	altPriceIncrementConstraint (Decimal &value) const

bool	maxBidAskConstraint (Decimal &value) const

Events	events () const

FeedTypes	feedTypes () const

InstAttrib	instAttrib () const

LotTypeRules	lotTypeRules () const

TradingSessions	tradingSessions () const

Public Member Functions inherited from BinaryMessage
	BinaryMessage ()

	BinaryMessage (const void *encoded, EncodedLength length)

	BinaryMessage (const BinaryMessage &other)

	operator bool () const

MessageTemplateId	templateId () const

SchemaVersion	version () const

const void *	encoded () const

EncodedLength	encodedLength () const

const void *	block () const

BlockLength	blockLength () const

Groups	groups () const

BinaryMessage &	operator= (const BinaryMessage &other)

Static Public Member Functions
static ONIXS_CONFLATEDUDP_EXPORTED BlockLength	blockLength (SchemaVersion version)

static ONIXS_CONFLATEDUDP_EXPORTED const Char *	className ()

static ONIXS_CONFLATEDUDP_EXPORTED StrRef	fixType ()

Additional Inherited Members
Protected Member Functions inherited from BinaryMessage
	BinaryMessage (const void *encoded, EncodedLength length, NoVersionCheck)

Protected Member Functions inherited from BinaryBlock< BinaryMessage, MessageSize >
	BinaryBlock ()

	~BinaryBlock ()

Value	ordinary (MessageSizeoffset) const

bool	ordinary (Value &value, MessageSizeoffset, const NullValue &null) const

bool	ordinary (Value &value, MessageSizeoffset, const NullValue &null, SchemaVersion since) const

Enumeration::Enum	enumeration (MessageSizeoffset) const

bool	enumeration (typename Enumeration::Enum &value, MessageSizeoffset, const NullValue &null) const

bool	enumeration (typename Enumeration::Enum &value, MessageSizeoffset, const NullValue &null, SchemaVersion since) const

Decimal	decimal (MessageSizeoffset) const

bool	decimal (Decimal &value, MessageSizeoffset, const NullValue &null) const

bool	decimal (Decimal &value, MessageSizeoffset, const NullValue &null, SchemaVersion since) const

StrRef	fixedStr (MessageSizeoffset) const

StrRef	fixedStr (MessageSizeoffset, SchemaVersion since) const

Detailed Description

Definition at line 191 of file Messages.h.

Member Typedef Documentation

typedef BinaryGroup<EventsEntry, GroupSize, MessageSize> Events

Repeating group containing EventsEntry entries.

Definition at line 267 of file Messages.h.

typedef BinaryGroup<FeedTypesEntry, GroupSize, MessageSize> FeedTypes

Repeating group containing FeedTypesEntry entries.

Definition at line 338 of file Messages.h.

typedef BinaryGroup<InstAttribEntry, GroupSize, MessageSize> InstAttrib

Repeating group containing InstAttribEntry entries.

Definition at line 407 of file Messages.h.

typedef BinaryGroup<LotTypeRulesEntry, GroupSize, MessageSize> LotTypeRules

Repeating group containing LotTypeRulesEntry entries.

Definition at line 485 of file Messages.h.

typedef BinaryGroup<TradingSessionsEntry, GroupSize, MessageSize> TradingSessions

Repeating group containing TradingSessionsEntry entries.

Definition at line 614 of file Messages.h.

Member Enumeration Documentation

anonymous enum

Message template ID from SBE schema.

Enumerator
TemplateId

Definition at line 196 of file Messages.h.

Constructor & Destructor Documentation

InstrumentDefinitionFX63 ( )

inline

Initializes blank instance.

Definition at line 617 of file Messages.h.

InstrumentDefinitionFX63	(	const void *	data,
		EncodedLength	length
	)

inline

Initializes instance over given memory block.

Definition at line 622 of file Messages.h.

Member Function Documentation

bool altMinPriceIncrement ( Decimal & value ) const

inline

New sub-tick which is only available for order entry when certain conditions are met, tick value which corresponds to the Alt Min Quote Life.

Definition at line 1046 of file Messages.h.

bool altMinQuoteLife ( UInt32 & value ) const

inline

MQL duration in number of microseconds applied to orders at AltMinPriceIncrement.

Definition at line 1058 of file Messages.h.

bool altPriceIncrementConstraint ( Decimal & value ) const

inline

Minimum price offset better than the best Standard Tick order for an order to be allowed into the market.

Definition at line 1070 of file Messages.h.

Int16 applId ( ) const

inline

The channel ID as defined in the XML Configuration file.

Definition at line 688 of file Messages.h.

StrRef asset ( ) const

inline

The underlying asset code also known as Product Code.

Definition at line 731 of file Messages.h.

static ONIXS_CONFLATEDUDP_EXPORTED BlockLength blockLength ( SchemaVersion version )

inlinestatic

Size of message body in bytes.

Definition at line 1145 of file Messages.h.

StrRef cfiCode ( ) const

inline

ISO standard instrument categorization code.

Definition at line 772 of file Messages.h.

static ONIXS_CONFLATEDUDP_EXPORTED const Char* className ( )

inlinestatic

Returns class name.

Definition at line 1155 of file Messages.h.

StrRef currency ( ) const

inline

Base currency.

Definition at line 781 of file Messages.h.

Decimal displayFactor ( ) const

inline

Contains the multiplier to convert the CME Globex display price to the conventional price.

Definition at line 842 of file Messages.h.

Events events ( ) const

inline

Returns instance of Events repeating group.

Definition at line 1094 of file Messages.h.

FeedTypes feedTypes ( ) const

inline

Returns instance of FeedTypes repeating group.

Definition at line 1102 of file Messages.h.

StrRef financialInstrumentFullName ( ) const

inline

EBS instrument long name.

Definition at line 918 of file Messages.h.

StrRef fixRateLocalTime ( ) const

inline

Fixing Rate Local Time, denoted in HH:MM:SS format.

Definition at line 977 of file Messages.h.

StrRef fixRateLocalTimeZone ( ) const

inline

Fixing Rate Local Time Zone corresponding to Fixing Local Time.

Definition at line 987 of file Messages.h.

static ONIXS_CONFLATEDUDP_EXPORTED StrRef fixType ( )

inlinestatic

FIX message type.

Definition at line 1162 of file Messages.h.

StrRef fxBenchmarkRateFix ( ) const

inline

Fixing Rate Description.

Definition at line 959 of file Messages.h.

StrRef fxCurrencySymbol ( ) const

inline

Base/Local. Denotes the currency pair in CCY1/CCY2 convention.

Definition at line 928 of file Messages.h.

bool highLimitPrice ( Decimal & value ) const

inline

Allowable high limit price for the trading day.

Definition at line 880 of file Messages.h.

InstAttrib instAttrib ( ) const

inline

Returns instance of InstAttrib repeating group.

Definition at line 1111 of file Messages.h.

bool instrumentGUId ( UInt64 & value ) const

inline

External unique instrument ID.

Definition at line 1014 of file Messages.h.

UInt16 interveningDays ( ) const

inline

For SPOT, number of business days between trade date and value (settlement) date. For NDF, number of business days between NDF valuation (fixing) and settlement.

Definition at line 951 of file Messages.h.

Timestamp lastUpdateTime ( ) const

inline

Timestamp of when the instrument was last added, modified or deleted.

Definition at line 666 of file Messages.h.

LotTypeRules lotTypeRules ( ) const

inline

Returns instance of LotTypeRules repeating group.

Definition at line 1121 of file Messages.h.

bool lowLimitPrice ( Decimal & value ) const

inline

Allowable low limit price for the trading day.

Definition at line 890 of file Messages.h.

UInt8 marketSegmentId ( ) const

inline

Identifies the market segment, populated for all CME Globex instruments.

Definition at line 697 of file Messages.h.

CHAR matchAlgorithm ( ) const

inline

Matching algorithm.

Definition at line 809 of file Messages.h.

MatchEventIndicator matchEventIndicator ( ) const

inline

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event.

Definition at line 635 of file Messages.h.

bool maturityMonthYear ( MaturityMonthYear & value ) const

inline

Fixed Date NDF Maturity.

Definition at line 1024 of file Messages.h.

bool maxBidAskConstraint ( Decimal & value ) const

inline

Maximum bid/ask spread for which sub-tick orders will be accepted (Sub tick orders will be rejected if bid/ask spread is greater than this value).

Definition at line 1083 of file Messages.h.

Decimal maxPriceDiscretionOffset ( ) const

inline

Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument.

Definition at line 1006 of file Messages.h.

bool maxPriceVariation ( Decimal & value ) const

inline

Differential value for price banding.

Definition at line 900 of file Messages.h.

UInt32 maxTradeVol ( ) const

inline

The maximum trading volume for a security.

Definition at line 825 of file Messages.h.

Decimal minPriceIncrement ( ) const

inline

Minimum price tick.

Definition at line 833 of file Messages.h.

UInt32 minQuoteLife ( ) const

inline

Minimum Quote Life in number of microseconds.

Definition at line 996 of file Messages.h.

UInt32 minTradeVol ( ) const

inline

The minimum trading volume for a security.

Definition at line 817 of file Messages.h.

UInt8 pricePrecision ( ) const

inline

Specifies price decimal precision for EBS instrument.

Definition at line 850 of file Messages.h.

StrRef priceQuoteCurrency ( ) const

inline

Local (counter) currency.

Definition at line 800 of file Messages.h.

StrRef rateSource ( ) const

inline

Fixing Rate Source.

Definition at line 968 of file Messages.h.

StrRef securityExchange ( ) const

inline

Exchange used to identify a security.

Definition at line 713 of file Messages.h.

StrRef securityGroup ( ) const

inline

Security Group Code.

Definition at line 722 of file Messages.h.

Int32 securityId ( ) const

inline

Unique instrument ID.

Definition at line 749 of file Messages.h.

SecurityIDSource securityIdSource ( ) const

inline

Identifies class or source of tag 48-SecurityID value.

Definition at line 757 of file Messages.h.

bool securityTradingStatus ( SecurityTradingStatus::Enum & value ) const

inline

Identifies the current state of the instrument. In Security Definition message this tag is available in the Instrument Replay feed only.

Definition at line 677 of file Messages.h.

StrRef securityType ( ) const

inline

Security Type.

Definition at line 763 of file Messages.h.

SecurityUpdateAction::Enum securityUpdateAction ( ) const

inline

Last Security update action on Incremental feed, 'D' or 'M' is used when a mid-week deletion or modification (i.e. extension) occurs.

Definition at line 657 of file Messages.h.

StrRef settlCurrency ( ) const

inline

Currency used for settlement, which may be different from Local currency specified in Tag 1524 PriceQuoteCurrency.

Definition at line 791 of file Messages.h.

StrRef settlementLocale ( ) const

inline

Settlement Locale. Optionally used to differentiate settlement location.

Definition at line 1035 of file Messages.h.

StrRef settlType ( ) const

inline

For SPOTs will contain 0. For Fixed date NDFs will contain the value 'B'. For the standard NDFs tenors expressed using Dx, Mx, Wx, and Yx values, where 'x' does not denote business days, but calendar days.

Definition at line 940 of file Messages.h.

StrRef symbol ( ) const

inline

Instrument Name or Symbol.

Definition at line 740 of file Messages.h.

bool totNumReports ( UInt32 & value ) const

inline

Total number of instruments in the Replay loop. Used on Replay Feed only.

Definition at line 644 of file Messages.h.

TradingSessions tradingSessions ( ) const

inline

Returns instance of TradingSessions repeating group.

Definition at line 1132 of file Messages.h.

UInt8 underlyingProduct ( ) const

inline

Product complex.

Definition at line 705 of file Messages.h.

StrRef unitOfMeasure ( ) const

inline

Unit of measure for the products' original contract size. This will be populated for all products listed on CME Globex.

Definition at line 860 of file Messages.h.

bool unitOfMeasureQty ( Decimal & value ) const

inline

This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure.

Definition at line 870 of file Messages.h.

UserDefinedInstrument userDefinedInstrument ( ) const

inline

User-defined instruments flag.

Definition at line 910 of file Messages.h.

The documentation for this struct was generated from the following file:

include/OnixS/CME/ConflatedUDP/Messages.h

Classes

Public Types

Public Member Functions

Static Public Member Functions

Additional Inherited Members

Detailed Description

Member Typedef Documentation

Member Enumeration Documentation

Constructor & Destructor Documentation

Member Function Documentation