#include <OnixS/CME/iLink3/messaging/Messages.h>
Public Types | |
enum | { TemplateId = 531 } |
typedef SchemaTraits | Schema |
typedef ExecutionReportModify531 | ThisType |
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typedef MessageSize | EncodedLength |
typedef MessageSize | BlockLength |
Static Public Member Functions | |
static constexpr ModifyStatus | ordStatus () noexcept |
static constexpr ExecTypeModify | execType () noexcept |
static constexpr BlockLength | minimalBlockLength (SchemaVersion version) noexcept |
static constexpr BlockLength | blockLength (SchemaVersion version) noexcept |
static constexpr MessageSize | getMinimalVariableFieldsSize (SchemaVersion version) |
static constexpr UInt64 | getMaxMessageSize (UInt8) noexcept |
static constexpr const Char * | className () |
static constexpr StrRef | fixType () noexcept |
Additional Inherited Members | |
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typedef SbeGroupList< MessageSize > | GroupList |
typedef SbeVariableLengthFieldList< MessageSize > | VariableLengthFieldList |
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SbeMessage & | version (SchemaVersion version) noexcept |
GroupList | groups () noexcept |
GroupList | groups () const noexcept |
template<typename Group > | |
void | initGroup (Group &group, typename Group::EntrySize entrySize) noexcept |
template<typename Group > | |
void | setupGroup (Group &group, typename Group::Size entryCount, const void *messageTail) |
template<typename Group > | |
void | constructGroup (Group &group, typename Group::Size entryCount, const void *messageTail) |
void | setVarDataField (DATA &data, StrRef value, const void *oldMessageTail) |
VariableLengthFieldList | variableLengthFields () noexcept |
VariableLengthFieldList | variableLengthFields () const noexcept |
void | init (MessageHeader::TemplateId value, MessageHeader::BlockLength minimalBlockLength, MessageHeader::BlockLength blockLength, SchemaId id) noexcept |
MessageSize | calculateBinarySize (const void *tail) const noexcept |
template<class Callable , class Owner > | |
void | setVariableLengthField (Callable callable, StrRef value, Owner &owner) |
template<class Callable , class Owner > | |
void | setVariableLengthField (Callable callable, StrRef value, SchemaVersion since, Owner &owner) |
template<class Callable , class Owner > | |
StrRef | getVariableLengthField (Callable callable, const Owner &owner) const noexcept |
template<class Callable , class Owner > | |
StrRef | getVariableLengthField (Callable callable, SchemaVersion since, Owner &owner) const noexcept |
template<class Callable , class Owner > | |
void | setVariableLengthFieldToNull (Callable callable, Owner &owner) noexcept |
template<class Group , class Callable , class Owner > | |
void | resetGroup (Callable callable, Owner &owner) noexcept |
template<class Callable , class Owner > | |
void | setVariableLengthFieldToNull (Callable callable, SchemaVersion since, Owner &owner) noexcept |
template<class Group , class Callable , class Owner > | |
void | resetGroup (Callable callable, SchemaVersion since, Owner &owner) |
template<class Group , class Callable , class Owner > | |
Group | getGroup (Callable callable, Owner &owner) const noexcept |
template<class Group , class Callable , class Owner > | |
Group | getGroup (Callable callable, SchemaVersion since, Owner &owner) const noexcept |
template<class Group , class Callable , class Owner > | |
Group | constructGroup (Callable callable, typename Group::Size length, SchemaVersion since, Owner &owner) |
template<class Group , class Callable , class Owner > | |
Group | constructGroup (Callable callable, typename Group::Size length, Owner &owner) |
template<class Group , class Callable , class Owner > | |
Group | setupGroup (Callable callable, typename Group::Size length, SchemaVersion since, Owner &owner) |
template<class Group , class Callable , class Owner > | |
Group | setupGroup (Callable callable, typename Group::Size length, Owner &owner) |
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SbeFields () | |
~SbeFields () | |
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BinaryBlock () | |
~BinaryBlock () | |
Value | ordinary (MessageSize offset) const noexcept |
bool | ordinary (Value &value, MessageSize offset, NullValue null) const noexcept |
bool | ordinary (Value &value, MessageSize offset, NullValue null, SchemaVersion since) const noexcept |
Enumeration::Enum | enumeration (MessageSize offset) const noexcept |
bool | enumeration (typename Enumeration::Enum &value, MessageSize offset, NullValue null) const noexcept |
bool | enumeration (typename Enumeration::Enum &value, MessageSize offset, NullValue null, SchemaVersion since) const noexcept |
Value | decimal (MessageSize offset) const noexcept |
bool | decimal (Value &value, MessageSize offset, NullValue null) const noexcept |
bool | decimal (Value &value, MessageSize offset, NullValue null, SchemaVersion since) const noexcept |
StrRef | fixedStr (MessageSize offset) const noexcept |
bool | fixedStr (StrRef &value, MessageSize offset) const noexcept |
bool | fixedStr (StrRef &value, MessageSize offset, SchemaVersion since) const noexcept |
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static constexpr MessageSize | getMaxMessageSize () noexcept |
Definition at line 23896 of file Messages.h.
typedef SchemaTraits Schema |
Used template schema.
Definition at line 23901 of file Messages.h.
typedef ExecutionReportModify531 ThisType |
This type alias.
Definition at line 23904 of file Messages.h.
anonymous enum |
Message template ID from SBE schema.
Enumerator | |
---|---|
TemplateId |
Definition at line 23907 of file Messages.h.
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inline |
Initializes a blank instance.
Definition at line 23910 of file Messages.h.
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inline |
Initializes an instance over the given memory block.
Definition at line 23913 of file Messages.h.
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inline |
Initializes an instance over the given memory block With no variable-length fields initialization It is assumed that the user does such an initialization manually.
Definition at line 23928 of file Messages.h.
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inline |
Creates an instance over the given memory block.
Definition at line 23942 of file Messages.h.
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inlineexplicit |
Creates an instance over the given SBE message.
Definition at line 23953 of file Messages.h.
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inlinenoexcept |
Creates an instance over the given memory block.
Performs no checks.
Definition at line 23964 of file Messages.h.
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inlinestaticnoexcept |
Size of message body in bytes.
Definition at line 25095 of file Messages.h.
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inlinenoexcept |
Definition at line 25205 of file Messages.h.
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inlinestatic |
Definition at line 25171 of file Messages.h.
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inlinenoexcept |
Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.).
Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.
Definition at line 24085 of file Messages.h.
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inlinenoexcept |
Identifier for a cross order.
Will be present if execution report is in response to a cross order.
Definition at line 24281 of file Messages.h.
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inlinenoexcept |
Type of cross being submitted to a market.
(if in response to a cross order).
Definition at line 24783 of file Messages.h.
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inlinenoexcept |
Total quantity filled.
Definition at line 24418 of file Messages.h.
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inlinenoexcept |
Not being currently used.
Definition at line 24562 of file Messages.h.
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inlinenoexcept |
Indicates the amount of time that a message was delayed as a result of being split (9553=0) or as a result of being out of order due to TCP retransmission (9553=1) or as a result of being queued behind a split message (9553=2).
Represented as number of nanoseconds in unix epoch format (since Jan 1, 1970). Subtracting this number from FIFO time will represent original received time of delayed message.
Definition at line 24976 of file Messages.h.
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inlinenoexcept |
The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price.
Definition at line 25014 of file Messages.h.
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inlinenoexcept |
The quantity to be displayed .
Required for iceberg orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Definition at line 24491 of file Messages.h.
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inlinenoexcept |
Unique identifier of execution message as assigned by exchange.
Uniqueness will be guaranteed within a single trading day or the life of a multi-day order.
Definition at line 24021 of file Messages.h.
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inlinenoexcept |
Instructions for order handling on exchange.
Since more than one instruction is applicable to an order, this field can represent those using a bitset.
Definition at line 24815 of file Messages.h.
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inlinestaticnoexcept |
Describes the specific ExecutionRpt (e.g.
Cancel) while OrdStatus (39) will always identify the current order status (e.g. Partially Filled); Constant value.
Definition at line 24603 of file Messages.h.
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inlinenoexcept |
Identifies whether the order should be treated as passive (will not match when entered) or aggressive (could match when entered); default behavior when absent is aggressive.
Definition at line 24839 of file Messages.h.
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inlinenoexcept |
Date of order expiration (last day the order can trade), always expressed in terms of the local market date.
Definition at line 24523 of file Messages.h.
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inlinestaticnoexcept |
FIX message type.
Definition at line 25180 of file Messages.h.
Maximal message size.
Definition at line 25121 of file Messages.h.
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inlinestatic |
Minimal variable fields size (when variable-length fields are empty).
Definition at line 25109 of file Messages.h.
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inlinenoexcept |
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs.
The HostCrossID will also be used to link together components of the cross order. For example, each individual execution report associated with the order will carry HostCrossID in order to tie them back together to the original cross order.
Definition at line 24317 of file Messages.h.
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inlinenoexcept |
Quantity open for further execution; LeavesQty = OrderQty (38) - CumQty (14).
Definition at line 24439 of file Messages.h.
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inlinenoexcept |
Field added to capture if an order was submitted for market making obligation or not.
Applicable only for EU BrokerTec and EBS MiFID regulated instruments.
Definition at line 24872 of file Messages.h.
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inlinenoexcept |
Text describing sender's location (i.e.
geopraphic location and/or desk).
Definition at line 24353 of file Messages.h.
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inlinenoexcept |
Boolean: flags a managed order.
Definition at line 24903 of file Messages.h.
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inlinenoexcept |
Indicates if order was sent manually or generated by automated trading logic.
Definition at line 24690 of file Messages.h.
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inlinestaticnoexcept |
Minimal size of message body in bytes.
Definition at line 25082 of file Messages.h.
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inlinenoexcept |
Minimum quantity of an order to be executed.
Definition at line 24460 of file Messages.h.
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inlinenoexcept |
Unique identifier for order as assigned by the exchange.
Uniqueness is guaranteed within a single trading day across all instruments.
Definition at line 24139 of file Messages.h.
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inlinenoexcept |
Number of shares or contracts ordered.
Definition at line 24398 of file Messages.h.
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inlinenoexcept |
OrderRequestID used to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport.
Definition at line 24258 of file Messages.h.
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inlinestaticnoexcept |
Identifies current status of order. Constant value.
Definition at line 24592 of file Messages.h.
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inlinenoexcept |
Order type.
Definition at line 24611 of file Messages.h.
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inlinenoexcept |
The unique identifier of the PartyDetailsDefinitionRequestAck attached to this message; pancake flip of what was submitted on inbound message.
Definition at line 24115 of file Messages.h.
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inlinenoexcept |
Flags message as possible retransmission.
This will convey whether a message is an original transmission or duplicate in response to RetransmissionRequest. This will become pertinent when original messages get interleaved with Retransmission responses.
Definition at line 24717 of file Messages.h.
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inlinenoexcept |
Price per share or contract.
Definition at line 24161 of file Messages.h.
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inlinenoexcept |
This field is being added to report whether incoming new order/cancel replace entered the book or subsequently rests on the book with either large or standard order size priority.
Definition at line 25048 of file Messages.h.
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inlinenoexcept |
Reset all variable-length and optional fields if any.
Definition at line 25137 of file Messages.h.
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inlinenoexcept |
Reset all variable-length fields if any.
Definition at line 25130 of file Messages.h.
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inlinenoexcept |
Security ID as defined by CME.
For the security ID list, see the security definition messages.
Definition at line 24377 of file Messages.h.
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inlinenoexcept |
Operator ID.
Should be unique per Firm ID. Assigned value used to identify specific message originator. Represents last individual or team in charge of the system which modifies the order before submission to the Globex platform, or if not modified from initiator (party role=118), last individual or team in charge of the system, which submit the order to the Globex platform.
Definition at line 24051 of file Messages.h.
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inlinenoexcept |
Time when the message is sent.
64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
Definition at line 24235 of file Messages.h.
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inlinenoexcept |
Sequence number as assigned to message.
Definition at line 23979 of file Messages.h.
Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.).
Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.
Definition at line 24101 of file Messages.h.
Identifier for a cross order.
Will be present if execution report is in response to a cross order.
Definition at line 24291 of file Messages.h.
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inlinenoexcept |
Definition at line 24300 of file Messages.h.
Type of cross being submitted to a market.
(if in response to a cross order).
Definition at line 24793 of file Messages.h.
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inlinenoexcept |
Definition at line 24802 of file Messages.h.
Total quantity filled.
Definition at line 24427 of file Messages.h.
Not being currently used.
Definition at line 24571 of file Messages.h.
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inlinenoexcept |
Definition at line 24580 of file Messages.h.
Indicates the amount of time that a message was delayed as a result of being split (9553=0) or as a result of being out of order due to TCP retransmission (9553=1) or as a result of being queued behind a split message (9553=2).
Represented as number of nanoseconds in unix epoch format (since Jan 1, 1970). Subtracting this number from FIFO time will represent original received time of delayed message.
Definition at line 24992 of file Messages.h.
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inlinenoexcept |
Definition at line 25001 of file Messages.h.
The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price.
Definition at line 25025 of file Messages.h.
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inlinenoexcept |
Definition at line 25034 of file Messages.h.
The quantity to be displayed .
Required for iceberg orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.
Definition at line 24502 of file Messages.h.
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inlinenoexcept |
Definition at line 24511 of file Messages.h.
Unique identifier of execution message as assigned by exchange.
Uniqueness will be guaranteed within a single trading day or the life of a multi-day order.
Definition at line 24033 of file Messages.h.
Instructions for order handling on exchange.
Since more than one instruction is applicable to an order, this field can represent those using a bitset.
Definition at line 24826 of file Messages.h.
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inlinenoexcept |
Identifies whether the order should be treated as passive (will not match when entered) or aggressive (could match when entered); default behavior when absent is aggressive.
Definition at line 24850 of file Messages.h.
|
inlinenoexcept |
Definition at line 24859 of file Messages.h.
Date of order expiration (last day the order can trade), always expressed in terms of the local market date.
Definition at line 24542 of file Messages.h.
|
inlinenoexcept |
Definition at line 24551 of file Messages.h.
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs.
The HostCrossID will also be used to link together components of the cross order. For example, each individual execution report associated with the order will carry HostCrossID in order to tie them back together to the original cross order.
Definition at line 24332 of file Messages.h.
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inlinenoexcept |
Definition at line 24341 of file Messages.h.
Quantity open for further execution; LeavesQty = OrderQty (38) - CumQty (14).
Definition at line 24449 of file Messages.h.
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inlinenoexcept |
Field added to capture if an order was submitted for market making obligation or not.
Applicable only for EU BrokerTec and EBS MiFID regulated instruments.
Definition at line 24883 of file Messages.h.
|
inlinenoexcept |
Definition at line 24892 of file Messages.h.
Text describing sender's location (i.e.
geopraphic location and/or desk).
Definition at line 24364 of file Messages.h.
|
inlinenoexcept |
Boolean: flags a managed order.
Definition at line 24912 of file Messages.h.
|
inlinenoexcept |
Definition at line 24921 of file Messages.h.
|
inlinenoexcept |
Indicates if order was sent manually or generated by automated trading logic.
Definition at line 24701 of file Messages.h.
Minimum quantity of an order to be executed.
Definition at line 24469 of file Messages.h.
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inlinenoexcept |
Definition at line 24478 of file Messages.h.
Unique identifier for order as assigned by the exchange.
Uniqueness is guaranteed within a single trading day across all instruments.
Definition at line 24150 of file Messages.h.
Number of shares or contracts ordered.
Definition at line 24407 of file Messages.h.
OrderRequestID used to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport.
Definition at line 24269 of file Messages.h.
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inlinenoexcept |
Order type.
Definition at line 24620 of file Messages.h.
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inlinenoexcept |
Definition at line 24629 of file Messages.h.
The unique identifier of the PartyDetailsDefinitionRequestAck attached to this message; pancake flip of what was submitted on inbound message.
Definition at line 24126 of file Messages.h.
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inlinenoexcept |
Flags message as possible retransmission.
This will convey whether a message is an original transmission or duplicate in response to RetransmissionRequest. This will become pertinent when original messages get interleaved with Retransmission responses.
Definition at line 24730 of file Messages.h.
Price per share or contract.
Definition at line 24170 of file Messages.h.
This field is being added to report whether incoming new order/cancel replace entered the book or subsequently rests on the book with either large or standard order size priority.
Definition at line 25061 of file Messages.h.
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inline |
Definition at line 25070 of file Messages.h.
Security ID as defined by CME.
For the security ID list, see the security definition messages.
Definition at line 24387 of file Messages.h.
Operator ID.
Should be unique per Firm ID. Assigned value used to identify specific message originator. Represents last individual or team in charge of the system which modifies the order before submission to the Globex platform, or if not modified from initiator (party role=118), last individual or team in charge of the system, which submit the order to the Globex platform.
Definition at line 24067 of file Messages.h.
Time when the message is sent.
64-bit integer expressing the number of nano seconds since midnight January 1, 1970.
Definition at line 24245 of file Messages.h.
Sequence number as assigned to message.
Definition at line 23988 of file Messages.h.
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inlinenoexcept |
Indicates the type of short sale.
Will not be used for Buy orders but Sell orders should have this tag populated for MiFID.
Definition at line 24948 of file Messages.h.
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inlinenoexcept |
Definition at line 24958 of file Messages.h.
|
inlinenoexcept |
Side of order.
Definition at line 24649 of file Messages.h.
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inlinenoexcept |
Indicates whether a message was delayed as a result of being split among multiple packets (0) or if a message was delayed as a result of TCP re-transmission (1) or if a complete message was delayed due to a previously submitted split or out of order message (2).
If absent then the message was not delayed and was neither split nor received out of order.
Definition at line 24762 of file Messages.h.
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inlinenoexcept |
Definition at line 24771 of file Messages.h.
The stop price of a stop protect or stop limit order.
(Conditionally required if OrdType = 3 or 4).
Definition at line 24192 of file Messages.h.
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inlinenoexcept |
Definition at line 24201 of file Messages.h.
|
inlinenoexcept |
Specifies how long the order remains in effect.
Definition at line 24669 of file Messages.h.
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inlinenoexcept |
Definition at line 24678 of file Messages.h.
Time the transaction represented by this ExecutionReport (35=8) occurred.
Expressed as nanoseconds since epoch time.
Definition at line 24223 of file Messages.h.
Matches Establish.UUID used to establish the connection.
Definition at line 24008 of file Messages.h.
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inlinenoexcept |
Indicates the type of short sale.
Will not be used for Buy orders but Sell orders should have this tag populated for MiFID.
Definition at line 24935 of file Messages.h.
|
inlinenoexcept |
Side of order.
Definition at line 24640 of file Messages.h.
|
inlinenoexcept |
Indicates whether a message was delayed as a result of being split among multiple packets (0) or if a message was delayed as a result of TCP re-transmission (1) or if a complete message was delayed due to a previously submitted split or out of order message (2).
If absent then the message was not delayed and was neither split nor received out of order.
Definition at line 24747 of file Messages.h.
|
inlinenoexcept |
The stop price of a stop protect or stop limit order.
(Conditionally required if OrdType = 3 or 4).
Definition at line 24182 of file Messages.h.
|
inlinenoexcept |
Definition at line 25192 of file Messages.h.
|
inlinenoexcept |
Specifies how long the order remains in effect.
Definition at line 24660 of file Messages.h.
|
inline |
Definition at line 1841 of file MessageSerialization.h.
|
inlinenoexcept |
Time the transaction represented by this ExecutionReport (35=8) occurred.
Expressed as nanoseconds since epoch time.
Definition at line 24213 of file Messages.h.
|
inlinenoexcept |
Matches Establish.UUID used to establish the connection.
Definition at line 23999 of file Messages.h.