OnixS C++ CME iLink 3 Binary Order Entry Handler  1.18.9
API Documentation
Classes | Public Types | Public Member Functions | Static Public Member Functions | List of all members
ExecutionReportTradeOutright525 Struct Reference

#include <OnixS/CME/iLink3/messaging/Messages.h>

Classes

struct  FillsEntry
 
struct  OrderEventsEntry
 

Public Types

enum  { TemplateId = 525 }
 
typedef SchemaTraits Schema
 
typedef ExecutionReportTradeOutright525 ThisType
 
typedef SbeGroup< FillsEntry, GroupSize, MessageSize > Fills
 
typedef SbeGroup< OrderEventsEntry, GroupSize, MessageSize > OrderEvents
 
- Public Types inherited from SbeMessage
typedef MessageSize EncodedLength
 
typedef MessageSize BlockLength
 

Public Member Functions

 ExecutionReportTradeOutright525 ()=default
 
 ExecutionReportTradeOutright525 (void *data, EncodedLength length, SchemaVersion version=Schema::Version)
 
 ExecutionReportTradeOutright525 (void *data, EncodedLength length, NoFieldsInit, SchemaVersion version=Schema::Version)
 
 ExecutionReportTradeOutright525 (void *data, EncodedLength length, NoInit)
 
 ExecutionReportTradeOutright525 (const SbeMessage &message)
 
 ExecutionReportTradeOutright525 (void *data, EncodedLength length, NoInit, NoCheck) noexcept
 
UInt32 seqNum () const noexcept
 
ThisType & setSeqNum (UInt32 value) noexcept
 
UInt64 uuId () const noexcept
 
ThisType & setUuId (UInt64 value) noexcept
 
StrRef execId () const noexcept
 
ThisType & setExecId (StrRef value) noexcept
 
StrRef senderId () const noexcept
 
ThisType & setSenderId (StrRef value) noexcept
 
StrRef clOrdId () const noexcept
 
ThisType & setClOrdId (StrRef value) noexcept
 
UInt64 partyDetailsListReqId () const noexcept
 
ThisType & setPartyDetailsListReqId (UInt64 value) noexcept
 
PRICE9 lastPx () const noexcept
 
ThisType & setLastPx (PRICE9 value) noexcept
 
UInt64 orderId () const noexcept
 
ThisType & setOrderId (UInt64 value) noexcept
 
PRICE9 price () const noexcept
 
ThisType & setPrice (PRICE9 value) noexcept
 
bool stopPx (PRICE9 &value) const noexcept
 
ThisType & setStopPx (PRICE9 value) noexcept
 
ThisType & setStopPxToNull () noexcept
 
UInt64 transactTime () const noexcept
 
ThisType & setTransactTime (UInt64 value) noexcept
 
UInt64 sendingTimeEpoch () const noexcept
 
ThisType & setSendingTimeEpoch (UInt64 value) noexcept
 
UInt64 orderRequestId () const noexcept
 
ThisType & setOrderRequestId (UInt64 value) noexcept
 
UInt64 secExecId () const noexcept
 
ThisType & setSecExecId (UInt64 value) noexcept
 
bool crossId (UInt64 &value) const noexcept
 
ThisType & setCrossId (UInt64 value) noexcept
 
ThisType & setCrossIdToNull () noexcept
 
bool hostCrossId (UInt64 &value) const noexcept
 
ThisType & setHostCrossId (UInt64 value) noexcept
 
ThisType & setHostCrossIdToNull () noexcept
 
StrRef location () const noexcept
 
ThisType & setLocation (StrRef value) noexcept
 
Int32 securityId () const noexcept
 
ThisType & setSecurityId (Int32 value) noexcept
 
UInt32 orderQty () const noexcept
 
ThisType & setOrderQty (UInt32 value) noexcept
 
UInt32 lastQty () const noexcept
 
ThisType & setLastQty (UInt32 value) noexcept
 
UInt32 cumQty () const noexcept
 
ThisType & setCumQty (UInt32 value) noexcept
 
UInt32 tradeEntryId () const noexcept
 
ThisType & setTradeEntryId (UInt32 value) noexcept
 
UInt32 sideTradeId () const noexcept
 
ThisType & setSideTradeId (UInt32 value) noexcept
 
bool tradeLinkId (UInt32 &value) const noexcept
 
ThisType & setTradeLinkId (UInt32 value) noexcept
 
ThisType & setTradeLinkIdToNull () noexcept
 
UInt32 leavesQty () const noexcept
 
ThisType & setLeavesQty (UInt32 value) noexcept
 
bool tradeDate (Timestamp &value) const noexcept
 
ThisType & setTradeDate (Timestamp value) noexcept
 
ThisType & setTradeDateToNull () noexcept
 
bool expireDate (Timestamp &value) const noexcept
 
ThisType & setExpireDate (Timestamp value) noexcept
 
ThisType & setExpireDateToNull () noexcept
 
OrdStatusTrd::Enum ordStatus () const noexcept
 
ThisType & setOrdStatus (OrdStatusTrd::Enum value) noexcept
 
bool ordType (OrderType::Enum &value) const noexcept
 
ThisType & setOrdType (OrderType::Enum value) noexcept
 
ThisType & setOrdTypeToNull () noexcept
 
SideReq::Enum side () const noexcept
 
ThisType & setSide (SideReq::Enum value) noexcept
 
bool timeInForce (TimeInForce::Enum &value) const noexcept
 
ThisType & setTimeInForce (TimeInForce::Enum value) noexcept
 
ThisType & setTimeInForceToNull () noexcept
 
ManualOrdIndReq::Enum manualOrderIndicator () const noexcept
 
ThisType & setManualOrderIndicator (ManualOrdIndReq::Enum value) noexcept
 
BooleanFlag::Enum possRetransFlag () const noexcept
 
ThisType & setPossRetransFlag (BooleanFlag::Enum value) noexcept
 
BooleanFlag::Enum aggressorIndicator () const noexcept
 
ThisType & setAggressorIndicator (BooleanFlag::Enum value) noexcept
 
bool crossType (UInt8 &value) const noexcept
 
ThisType & setCrossType (UInt8 value) noexcept
 
ThisType & setCrossTypeToNull () noexcept
 
ExecInst execInst () const noexcept
 
ThisType & setExecInst (ExecInst value) noexcept
 
bool executionMode (ExecMode::Enum &value) const noexcept
 
ThisType & setExecutionMode (ExecMode::Enum value) noexcept
 
ThisType & setExecutionModeToNull () noexcept
 
bool liquidityFlag (BooleanNULL::Enum &value) const noexcept
 
ThisType & setLiquidityFlag (BooleanNULL::Enum value) noexcept
 
ThisType & setLiquidityFlagToNull () noexcept
 
bool managedOrder (BooleanNULL::Enum &value) const noexcept
 
ThisType & setManagedOrder (BooleanNULL::Enum value) noexcept
 
ThisType & setManagedOrderToNull () noexcept
 
bool shortSaleType (ShortSaleType::Enum &value) const noexcept
 
ThisType & setShortSaleType (ShortSaleType::Enum value) noexcept
 
ThisType & setShortSaleTypeToNull () noexcept
 
UInt8 ownership () const noexcept
 
ThisType & setOwnership (UInt8 value) noexcept
 
bool discretionPrice (PRICE9 &value) const noexcept
 
ThisType & setDiscretionPrice (PRICE9 value) noexcept
 
ThisType & setDiscretionPriceToNull () noexcept
 
bool trdType (UInt16 &value) const noexcept
 
ThisType & setTrdType (UInt16 value) noexcept
 
ThisType & setTrdTypeToNull () noexcept
 
bool execRestatementReason (ExecReason::Enum &value) const noexcept
 
ThisType & setExecRestatementReason (ExecReason::Enum value) noexcept
 
ThisType & setExecRestatementReasonToNull () noexcept
 
bool settlDate (Timestamp &value) const noexcept
 
ThisType & setSettlDate (Timestamp value) noexcept
 
ThisType & setSettlDateToNull () noexcept
 
bool maturityDate (Timestamp &value) const noexcept
 
ThisType & setMaturityDate (Timestamp value) noexcept
 
ThisType & setMaturityDateToNull () noexcept
 
bool calculatedCcyLastQty (Decimal64NULL &value) const noexcept
 
ThisType & setCalculatedCcyLastQty (Decimal64NULL value) noexcept
 
ThisType & setCalculatedCcyLastQtyToNull () noexcept
 
bool grossTradeAmt (Decimal64NULL &value) const noexcept
 
ThisType & setGrossTradeAmt (Decimal64NULL value) noexcept
 
ThisType & setGrossTradeAmtToNull () noexcept
 
bool benchmarkPrice (PRICE9 &value) const noexcept
 
ThisType & setBenchmarkPrice (PRICE9 value) noexcept
 
ThisType & setBenchmarkPriceToNull () noexcept
 
bool reservationPrice (PRICE9 &value) const noexcept
 
ThisType & setReservationPrice (PRICE9 value) noexcept
 
ThisType & setReservationPriceToNull () noexcept
 
bool priorityIndicator (UInt8 &value) const noexcept
 
ThisType & setPriorityIndicator (UInt8 value) noexcept
 
ThisType & setPriorityIndicatorToNull () noexcept
 
bool displayLimitPrice (PRICE9 &value) const noexcept
 
ThisType & setDisplayLimitPrice (PRICE9 value) noexcept
 
ThisType & setDisplayLimitPriceToNull () noexcept
 
Fills fills () const noexcept
 
Fills fills () noexcept
 
Fills fills (Fills::Size length)
 
Fills fills (Fills::Size length, NoFieldsInit)
 
OrderEvents orderEvents () const noexcept
 
OrderEvents orderEvents () noexcept
 
OrderEvents orderEvents (OrderEvents::Size length)
 
OrderEvents orderEvents (OrderEvents::Size length, NoFieldsInit)
 
ThisType & resetVariableFields () noexcept
 
ThisType & reset () noexcept
 
std::string toString () const
 
const void * tail () const noexcept
 
EncodedLength calculateBinarySize () const noexcept
 
- Public Member Functions inherited from SbeMessage
 SbeMessage () noexcept
 
 SbeMessage (void *data, MessageSize size, SchemaVersion version)
 
 SbeMessage (void *data, MessageSize size)
 
 SbeMessage (void *data, MessageSize size, NoCheck) noexcept
 
void clear () noexcept
 
bool valid () const noexcept
 
MessageTemplateId templateId () const noexcept
 
SchemaVersion version () const noexcept
 
SchemaId schemaId () const noexcept
 
const void * binary () const noexcept
 
void * binary () noexcept
 
const void * blockEnd () noexcept
 
const void * blockEnd () const noexcept
 
MessageSize bufferSize () const noexcept
 
void * body () noexcept
 
BlockLength blockLength () const noexcept
 
const void * block () const noexcept
 
void * block () noexcept
 
- Public Member Functions inherited from SbeFields< Messaging::SbeMessage, MessageSize >
Messaging::SbeMessage & container () noexcept
 
void zeroPaddingBytes (MessageSizeoffset) noexcept
 
void setOrdinary (MessageSizeoffset, FieldValue value) noexcept
 
void setOrdinary (MessageSizeoffset, FieldValue value, SchemaVersion since)
 
void setEnumeration (MessageSizeoffset, typename Enumeration::Enum value) noexcept
 
void setEnumeration (MessageSizeoffset, typename Enumeration::Enum value, SchemaVersion since)
 
void setFixedStr (MessageSizeoffset, StrRef value) noexcept
 
void setFixedStr (MessageSizeoffset, StrRef value, SchemaVersion since)
 

Static Public Member Functions

static constexpr ExecTypeTrade 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 maxGroupItems=255) noexcept
 
static constexpr const Char * className ()
 
static constexpr StrRef fixType () noexcept
 

Additional Inherited Members

- Protected Types inherited from SbeMessage
typedef SbeGroupList< MessageSize > GroupList
 
typedef SbeVariableLengthFieldList< MessageSize > VariableLengthFieldList
 
- Protected Member Functions inherited from SbeMessage
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)
 
- Protected Member Functions inherited from SbeFields< Messaging::SbeMessage, MessageSize >
 SbeFields ()=default
 
 ~SbeFields ()=default
 
- Protected Member Functions inherited from BinaryBlock< Messaging::SbeMessage, MessageSize >
 BinaryBlock ()=default
 
 ~BinaryBlock ()=default
 
Value ordinary (MessageSizeoffset) const noexcept
 
bool ordinary (Value &value, MessageSizeoffset, NullValue null) const noexcept
 
bool ordinary (Value &value, MessageSizeoffset, NullValue null, SchemaVersion since) const noexcept
 
Enumeration::Enum enumeration (MessageSizeoffset) const noexcept
 
bool enumeration (typename Enumeration::Enum &value, MessageSizeoffset, NullValue null) const noexcept
 
bool enumeration (typename Enumeration::Enum &value, MessageSizeoffset, NullValue null, SchemaVersion since) const noexcept
 
Value decimal (MessageSizeoffset) const noexcept
 
bool decimal (Value &value, MessageSizeoffset, NullValue null) const noexcept
 
bool decimal (Value &value, MessageSizeoffset, NullValue null, SchemaVersion since) const noexcept
 
StrRef fixedStr (MessageSizeoffset) const noexcept
 
bool fixedStr (StrRef &value, MessageSizeoffset) const noexcept
 
bool fixedStr (StrRef &value, MessageSizeoffset, SchemaVersion since) const noexcept
 
- Static Protected Member Functions inherited from SbeMessage
static constexpr MessageSize getMaxMessageSize () noexcept
 

Detailed Description

Definition at line 15403 of file Messages.h.

Member Typedef Documentation

typedef SbeGroup<FillsEntry, GroupSize, MessageSize> Fills

Repeating group containing FillsEntry entries.

Definition at line 15595 of file Messages.h.

typedef SbeGroup<OrderEventsEntry, GroupSize, MessageSize> OrderEvents

Repeating group containing OrderEventsEntry entries.

Definition at line 15907 of file Messages.h.

typedef SchemaTraits Schema

Used template schema.

Definition at line 15408 of file Messages.h.

typedef ExecutionReportTradeOutright525 ThisType

This type alias.

Definition at line 15411 of file Messages.h.

Member Enumeration Documentation

anonymous enum

Message template ID from SBE schema.

Enumerator
TemplateId 

Definition at line 15414 of file Messages.h.

Constructor & Destructor Documentation

ExecutionReportTradeOutright525 ( )
default

Initializes a blank instance.

ExecutionReportTradeOutright525 ( void *  data,
EncodedLength  length,
SchemaVersion  version = Schema::Version 
)
inline

Initializes an instance over the given memory block.

Definition at line 15913 of file Messages.h.

ExecutionReportTradeOutright525 ( void *  data,
EncodedLength  length,
NoFieldsInit  ,
SchemaVersion  version = Schema::Version 
)
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 15928 of file Messages.h.

ExecutionReportTradeOutright525 ( void *  data,
EncodedLength  length,
NoInit   
)
inline

Creates an instance over the given memory block.

Definition at line 15942 of file Messages.h.

ExecutionReportTradeOutright525 ( const SbeMessage &  message)
inlineexplicit

Creates an instance over the given SBE message.

Definition at line 15953 of file Messages.h.

ExecutionReportTradeOutright525 ( void *  data,
EncodedLength  length,
NoInit  ,
NoCheck   
)
inlinenoexcept

Creates an instance over the given memory block.

Performs no checks.

Definition at line 15964 of file Messages.h.

Member Function Documentation

BooleanFlag::Enum aggressorIndicator ( ) const
inlinenoexcept

Indicates if order was incoming or resting for the match event.

Definition at line 16843 of file Messages.h.

bool benchmarkPrice ( PRICE9 &  value) const
inlinenoexcept

The price assigned to an eFIX matched trade which is determined by an automated set market mid-price from a third party market data feed.

The Fixing Price will be distributed as soon as practicable after the Fixing Time.

Definition at line 17305 of file Messages.h.

static constexpr BlockLength blockLength ( SchemaVersion  version)
inlinestaticnoexcept

Size of message body in bytes.

Definition at line 17539 of file Messages.h.

EncodedLength calculateBinarySize ( ) const
inlinenoexcept
Returns
the size occupied by the message.

Definition at line 17654 of file Messages.h.

bool calculatedCcyLastQty ( Decimal64NULL &  value) const
inlinenoexcept

Total amount traded (in notional) in counter currency for the Spot.

Definition at line 17241 of file Messages.h.

static constexpr const Char* className ( )
inlinestatic
Returns
class name.

Definition at line 17624 of file Messages.h.

StrRef clOrdId ( ) const
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 16085 of file Messages.h.

bool crossId ( UInt64 &  value) const
inlinenoexcept

Identifier for a cross order.

Will be present if execution report is in response to a cross order.

Definition at line 16323 of file Messages.h.

bool crossType ( UInt8 &  value) const
inlinenoexcept

Type of cross being submitted to a market.

(if in response to a cross order).

Definition at line 16865 of file Messages.h.

UInt32 cumQty ( ) const
inlinenoexcept

Total quantity filled.

Definition at line 16480 of file Messages.h.

bool discretionPrice ( PRICE9 &  value) const
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 17073 of file Messages.h.

bool displayLimitPrice ( PRICE9 &  value) const
inlinenoexcept

The price at which opposite side orders are listed on the market.

Sent only in fill messages for reservation price orders.

Definition at line 17409 of file Messages.h.

StrRef execId ( ) const
inlinenoexcept

Unique identifier of execution message as assigned by the exchange; unique per day across all instruments and across all good till orders.

Definition at line 16021 of file Messages.h.

ExecInst execInst ( ) const
inlinenoexcept

Instructions for order handling on exchange.

Since more than one instruction is applicable to an order, this field can be represented as a bitset.

Definition at line 16897 of file Messages.h.

bool execRestatementReason ( ExecReason::Enum &  value) const
inlinenoexcept

Will be present when trade at fixing is assigned fixing price.

Definition at line 17134 of file Messages.h.

static constexpr ExecTypeTrade execType ( )
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 16704 of file Messages.h.

bool executionMode ( ExecMode::Enum &  value) const
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 16921 of file Messages.h.

bool expireDate ( Timestamp &  value) const
inlinenoexcept

Date of order expiration (last day the order can trade), always expressed in terms of the local market date.

Definition at line 16640 of file Messages.h.

Fills fills ( ) const
inlinenoexcept
Returns
instance of Fills repeating group.

Definition at line 17440 of file Messages.h.

Fills fills ( )
inlinenoexcept
Returns
instance of Fills repeating group.

Definition at line 17448 of file Messages.h.

Fills fills ( Fills::Size  length)
inline

Setup repeating group with the given number of entries.

Sets all optional fields of the group entries to null.

Returns
NoFills(1362) repeating group.

Definition at line 17457 of file Messages.h.

Fills fills ( Fills::Size  length,
NoFieldsInit   
)
inline

Setup repeating group with the given number of entries.

Returns
NoFills(1362) repeating group.

Definition at line 17468 of file Messages.h.

static constexpr StrRef fixType ( )
inlinestaticnoexcept

FIX message type.

Definition at line 17633 of file Messages.h.

static constexpr UInt64 getMaxMessageSize ( UInt8  maxGroupItems = 255)
inlinestaticnoexcept

Maximal message size.

Definition at line 17567 of file Messages.h.

static constexpr MessageSize getMinimalVariableFieldsSize ( SchemaVersion  version)
inlinestatic

Minimal variable fields size (when variable-length fields are empty).

Definition at line 17553 of file Messages.h.

bool grossTradeAmt ( Decimal64NULL &  value) const
inlinenoexcept

Total amount traded (in notional) in base currency for the Spot.

Definition at line 17272 of file Messages.h.

bool hostCrossId ( UInt64 &  value) const
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 16359 of file Messages.h.

PRICE9 lastPx ( ) const
inlinenoexcept

Price of this (last) fill.

Definition at line 16137 of file Messages.h.

UInt32 lastQty ( ) const
inlinenoexcept

Quantity of shares bought/sold on this (last) fill.

Definition at line 16460 of file Messages.h.

UInt32 leavesQty ( ) const
inlinenoexcept

Quantity open for further execution; LeavesQty = OrderQty (38) - CumQty (14); Only present for outrights and spreads and not spread legs.

Definition at line 16577 of file Messages.h.

bool liquidityFlag ( BooleanNULL::Enum &  value) const
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 16954 of file Messages.h.

StrRef location ( ) const
inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 16395 of file Messages.h.

bool managedOrder ( BooleanNULL::Enum &  value) const
inlinenoexcept

Boolean: flags a managed order.

Definition at line 16985 of file Messages.h.

ManualOrdIndReq::Enum manualOrderIndicator ( ) const
inlinenoexcept

Indicates if order was sent manually or generated by automated trading logic.

Definition at line 16791 of file Messages.h.

bool maturityDate ( Timestamp &  value) const
inlinenoexcept

Date of maturity.

Definition at line 17202 of file Messages.h.

static constexpr BlockLength minimalBlockLength ( SchemaVersion  version)
inlinestaticnoexcept

Minimal size of message body in bytes.

Definition at line 17527 of file Messages.h.

OrderEvents orderEvents ( ) const
inlinenoexcept
Returns
instance of OrderEvents repeating group.

Definition at line 17480 of file Messages.h.

OrderEvents orderEvents ( )
inlinenoexcept
Returns
instance of OrderEvents repeating group.

Definition at line 17490 of file Messages.h.

OrderEvents orderEvents ( OrderEvents::Size  length)
inline

Setup repeating group with the given number of entries.

Sets all optional fields of the group entries to null.

Returns
NoOrderEvents(1795) repeating group.

Definition at line 17501 of file Messages.h.

OrderEvents orderEvents ( OrderEvents::Size  length,
NoFieldsInit   
)
inline

Setup repeating group with the given number of entries.

Returns
NoOrderEvents(1795) repeating group.

Definition at line 17512 of file Messages.h.

UInt64 orderId ( ) const
inlinenoexcept

Unique identifier for order as assigned by the exchange.

Uniqueness is guaranteed within a single trading day across all instruments.

Definition at line 16159 of file Messages.h.

UInt32 orderQty ( ) const
inlinenoexcept

Number of shares or contracts ordered.

Definition at line 16440 of file Messages.h.

UInt64 orderRequestId ( ) const
inlinenoexcept

OrderRequestID used to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport.

Definition at line 16278 of file Messages.h.

OrdStatusTrd::Enum ordStatus ( ) const
inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 16680 of file Messages.h.

bool ordType ( OrderType::Enum &  value) const
inlinenoexcept

Order type.

Definition at line 16712 of file Messages.h.

UInt8 ownership ( ) const
inlinenoexcept

Specifies the owner of the work up private phase.

Definition at line 17051 of file Messages.h.

UInt64 partyDetailsListReqId ( ) const
inlinenoexcept

Refers to the ID of the related PartyDetailsDefinitionRequest message which will logically be tied to this message.

Definition at line 16115 of file Messages.h.

BooleanFlag::Enum possRetransFlag ( ) const
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 16818 of file Messages.h.

PRICE9 price ( ) const
inlinenoexcept

Price per share or contract.

Definition at line 16181 of file Messages.h.

bool priorityIndicator ( UInt8 &  value) const
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 17375 of file Messages.h.

bool reservationPrice ( PRICE9 &  value) const
inlinenoexcept

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade.

This price must be better than the limit price and should be multiple of reservation price tick.

Definition at line 17340 of file Messages.h.

ThisType& reset ( )
inlinenoexcept

Reset all variable-length and optional fields if any.

Definition at line 17588 of file Messages.h.

ThisType& resetVariableFields ( )
inlinenoexcept

Reset all variable-length fields if any.

Definition at line 17579 of file Messages.h.

UInt64 secExecId ( ) const
inlinenoexcept

Unique identifier that allows linking id spread summary fill notice with leg fill notice and trade cancel messages.

Definition at line 16301 of file Messages.h.

Int32 securityId ( ) const
inlinenoexcept

Security ID as defined by CME.

For the security ID list, see the security definition messages.

Definition at line 16419 of file Messages.h.

StrRef senderId ( ) const
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 16051 of file Messages.h.

UInt64 sendingTimeEpoch ( ) const
inlinenoexcept

Time when the message is sent.

64-bit integer expressing the number of nano seconds since midnight January 1, 1970.

Definition at line 16255 of file Messages.h.

UInt32 seqNum ( ) const
inlinenoexcept

Sequence number of this message.

Definition at line 15979 of file Messages.h.

ThisType& setAggressorIndicator ( BooleanFlag::Enum  value)
inlinenoexcept

Indicates if order was incoming or resting for the match event.

Definition at line 16853 of file Messages.h.

ThisType& setBenchmarkPrice ( PRICE9  value)
inlinenoexcept

The price assigned to an eFIX matched trade which is determined by an automated set market mid-price from a third party market data feed.

The Fixing Price will be distributed as soon as practicable after the Fixing Time.

Definition at line 17317 of file Messages.h.

ThisType& setBenchmarkPriceToNull ( )
inlinenoexcept

Definition at line 17326 of file Messages.h.

ThisType& setCalculatedCcyLastQty ( Decimal64NULL  value)
inlinenoexcept

Total amount traded (in notional) in counter currency for the Spot.

Definition at line 17251 of file Messages.h.

ThisType& setCalculatedCcyLastQtyToNull ( )
inlinenoexcept

Definition at line 17260 of file Messages.h.

ThisType& setClOrdId ( StrRef  value)
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 16101 of file Messages.h.

ThisType& setCrossId ( UInt64  value)
inlinenoexcept

Identifier for a cross order.

Will be present if execution report is in response to a cross order.

Definition at line 16333 of file Messages.h.

ThisType& setCrossIdToNull ( )
inlinenoexcept

Definition at line 16342 of file Messages.h.

ThisType& setCrossType ( UInt8  value)
inlinenoexcept

Type of cross being submitted to a market.

(if in response to a cross order).

Definition at line 16875 of file Messages.h.

ThisType& setCrossTypeToNull ( )
inlinenoexcept

Definition at line 16884 of file Messages.h.

ThisType& setCumQty ( UInt32  value)
inlinenoexcept

Total quantity filled.

Definition at line 16489 of file Messages.h.

ThisType& setDiscretionPrice ( PRICE9  value)
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 17084 of file Messages.h.

ThisType& setDiscretionPriceToNull ( )
inlinenoexcept

Definition at line 17093 of file Messages.h.

ThisType& setDisplayLimitPrice ( PRICE9  value)
inlinenoexcept

The price at which opposite side orders are listed on the market.

Sent only in fill messages for reservation price orders.

Definition at line 17420 of file Messages.h.

ThisType& setDisplayLimitPriceToNull ( )
inlinenoexcept

Definition at line 17429 of file Messages.h.

ThisType& setExecId ( StrRef  value)
inlinenoexcept

Unique identifier of execution message as assigned by the exchange; unique per day across all instruments and across all good till orders.

Definition at line 16033 of file Messages.h.

ThisType& setExecInst ( ExecInst  value)
inlinenoexcept

Instructions for order handling on exchange.

Since more than one instruction is applicable to an order, this field can be represented as a bitset.

Definition at line 16908 of file Messages.h.

ThisType& setExecRestatementReason ( ExecReason::Enum  value)
inlinenoexcept

Will be present when trade at fixing is assigned fixing price.

Definition at line 17144 of file Messages.h.

ThisType& setExecRestatementReasonToNull ( )
inlinenoexcept

Definition at line 17153 of file Messages.h.

ThisType& setExecutionMode ( ExecMode::Enum  value)
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 16932 of file Messages.h.

ThisType& setExecutionModeToNull ( )
inlinenoexcept

Definition at line 16941 of file Messages.h.

ThisType& setExpireDate ( Timestamp  value)
inlinenoexcept

Date of order expiration (last day the order can trade), always expressed in terms of the local market date.

Definition at line 16659 of file Messages.h.

ThisType& setExpireDateToNull ( )
inlinenoexcept

Definition at line 16668 of file Messages.h.

ThisType& setGrossTradeAmt ( Decimal64NULL  value)
inlinenoexcept

Total amount traded (in notional) in base currency for the Spot.

Definition at line 17282 of file Messages.h.

ThisType& setGrossTradeAmtToNull ( )
inlinenoexcept

Definition at line 17291 of file Messages.h.

ThisType& setHostCrossId ( UInt64  value)
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 16374 of file Messages.h.

ThisType& setHostCrossIdToNull ( )
inlinenoexcept

Definition at line 16383 of file Messages.h.

ThisType& setLastPx ( PRICE9  value)
inlinenoexcept

Price of this (last) fill.

Definition at line 16146 of file Messages.h.

ThisType& setLastQty ( UInt32  value)
inlinenoexcept

Quantity of shares bought/sold on this (last) fill.

Definition at line 16469 of file Messages.h.

ThisType& setLeavesQty ( UInt32  value)
inlinenoexcept

Quantity open for further execution; LeavesQty = OrderQty (38) - CumQty (14); Only present for outrights and spreads and not spread legs.

Definition at line 16588 of file Messages.h.

ThisType& setLiquidityFlag ( BooleanNULL::Enum  value)
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 16965 of file Messages.h.

ThisType& setLiquidityFlagToNull ( )
inlinenoexcept

Definition at line 16974 of file Messages.h.

ThisType& setLocation ( StrRef  value)
inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 16406 of file Messages.h.

ThisType& setManagedOrder ( BooleanNULL::Enum  value)
inlinenoexcept

Boolean: flags a managed order.

Definition at line 16994 of file Messages.h.

ThisType& setManagedOrderToNull ( )
inlinenoexcept

Definition at line 17003 of file Messages.h.

ThisType& setManualOrderIndicator ( ManualOrdIndReq::Enum  value)
inlinenoexcept

Indicates if order was sent manually or generated by automated trading logic.

Definition at line 16802 of file Messages.h.

ThisType& setMaturityDate ( Timestamp  value)
inlinenoexcept

Date of maturity.

Definition at line 17220 of file Messages.h.

ThisType& setMaturityDateToNull ( )
inlinenoexcept

Definition at line 17229 of file Messages.h.

ThisType& setOrderId ( UInt64  value)
inlinenoexcept

Unique identifier for order as assigned by the exchange.

Uniqueness is guaranteed within a single trading day across all instruments.

Definition at line 16170 of file Messages.h.

ThisType& setOrderQty ( UInt32  value)
inlinenoexcept

Number of shares or contracts ordered.

Definition at line 16449 of file Messages.h.

ThisType& setOrderRequestId ( UInt64  value)
inlinenoexcept

OrderRequestID used to identify a request to enter, modify or delete an order and echo the value on the ExecutionReport.

Definition at line 16289 of file Messages.h.

ThisType& setOrdStatus ( OrdStatusTrd::Enum  value)
inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 16690 of file Messages.h.

ThisType& setOrdType ( OrderType::Enum  value)
inlinenoexcept

Order type.

Definition at line 16721 of file Messages.h.

ThisType& setOrdTypeToNull ( )
inlinenoexcept

Definition at line 16730 of file Messages.h.

ThisType& setOwnership ( UInt8  value)
inlinenoexcept

Specifies the owner of the work up private phase.

Definition at line 17060 of file Messages.h.

ThisType& setPartyDetailsListReqId ( UInt64  value)
inlinenoexcept

Refers to the ID of the related PartyDetailsDefinitionRequest message which will logically be tied to this message.

Definition at line 16126 of file Messages.h.

ThisType& setPossRetransFlag ( BooleanFlag::Enum  value)
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 16831 of file Messages.h.

ThisType& setPrice ( PRICE9  value)
inlinenoexcept

Price per share or contract.

Definition at line 16190 of file Messages.h.

ThisType& setPriorityIndicator ( UInt8  value)
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 17387 of file Messages.h.

ThisType& setPriorityIndicatorToNull ( )
inlinenoexcept

Definition at line 17396 of file Messages.h.

ThisType& setReservationPrice ( PRICE9  value)
inlinenoexcept

This field specifies the highest (for a buy) or lowest (for a sell) price at which the order may trade.

This price must be better than the limit price and should be multiple of reservation price tick.

Definition at line 17352 of file Messages.h.

ThisType& setReservationPriceToNull ( )
inlinenoexcept

Definition at line 17361 of file Messages.h.

ThisType& setSecExecId ( UInt64  value)
inlinenoexcept

Unique identifier that allows linking id spread summary fill notice with leg fill notice and trade cancel messages.

Definition at line 16311 of file Messages.h.

ThisType& setSecurityId ( Int32  value)
inlinenoexcept

Security ID as defined by CME.

For the security ID list, see the security definition messages.

Definition at line 16429 of file Messages.h.

ThisType& setSenderId ( StrRef  value)
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 16067 of file Messages.h.

ThisType& setSendingTimeEpoch ( UInt64  value)
inlinenoexcept

Time when the message is sent.

64-bit integer expressing the number of nano seconds since midnight January 1, 1970.

Definition at line 16265 of file Messages.h.

ThisType& setSeqNum ( UInt32  value)
inlinenoexcept

Sequence number of this message.

Definition at line 15988 of file Messages.h.

ThisType& setSettlDate ( Timestamp  value)
inlinenoexcept

Specific date of trade settlement.

Definition at line 17182 of file Messages.h.

ThisType& setSettlDateToNull ( )
inlinenoexcept

Definition at line 17191 of file Messages.h.

ThisType& setShortSaleType ( ShortSaleType::Enum  value)
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 17030 of file Messages.h.

ThisType& setShortSaleTypeToNull ( )
inlinenoexcept

Definition at line 17040 of file Messages.h.

ThisType& setSide ( SideReq::Enum  value)
inlinenoexcept

Order side.

Definition at line 16750 of file Messages.h.

ThisType& setSideTradeId ( UInt32  value)
inlinenoexcept

The unique ID assigned to the trade once it is received or matched by the exchange.

Definition at line 16535 of file Messages.h.

ThisType& setStopPx ( PRICE9  value)
inlinenoexcept

The stop price of a stop protect or stop limit order.

(Conditionally required if OrdType = 3 or 4).

Definition at line 16212 of file Messages.h.

ThisType& setStopPxToNull ( )
inlinenoexcept

Definition at line 16221 of file Messages.h.

ThisType& setTimeInForce ( TimeInForce::Enum  value)
inlinenoexcept

Specifies how long the order remains in effect.

Definition at line 16770 of file Messages.h.

ThisType& setTimeInForceToNull ( )
inlinenoexcept

Definition at line 16779 of file Messages.h.

bool settlDate ( Timestamp &  value) const
inlinenoexcept

Specific date of trade settlement.

Definition at line 17164 of file Messages.h.

ThisType& setTradeDate ( Timestamp  value)
inlinenoexcept

Indicates date of trading day (expressed in local time at place of trade).

Definition at line 16619 of file Messages.h.

ThisType& setTradeDateToNull ( )
inlinenoexcept

Definition at line 16628 of file Messages.h.

ThisType& setTradeEntryId ( UInt32  value)
inlinenoexcept

Market Data Trade Entry ID.

This identifier is assigned to all trades that take place for an instrument at a particular price level.

Definition at line 16513 of file Messages.h.

ThisType& setTradeLinkId ( UInt32  value)
inlinenoexcept

Contains the workup ID; unique per instrument per day.

Definition at line 16555 of file Messages.h.

ThisType& setTradeLinkIdToNull ( )
inlinenoexcept

Definition at line 16564 of file Messages.h.

ThisType& setTransactTime ( UInt64  value)
inlinenoexcept

Time the transaction represented by this ExecutionReport (35=8) occurred.

Expressed as nanoseconds since epoch time.

Definition at line 16243 of file Messages.h.

ThisType& setTrdType ( UInt16  value)
inlinenoexcept

Represents a trade at fixing price.

Definition at line 17113 of file Messages.h.

ThisType& setTrdTypeToNull ( )
inlinenoexcept

Definition at line 17122 of file Messages.h.

ThisType& setUuId ( UInt64  value)
inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 16008 of file Messages.h.

bool shortSaleType ( ShortSaleType::Enum &  value) const
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 17017 of file Messages.h.

SideReq::Enum side ( ) const
inlinenoexcept

Order side.

Definition at line 16741 of file Messages.h.

UInt32 sideTradeId ( ) const
inlinenoexcept

The unique ID assigned to the trade once it is received or matched by the exchange.

Definition at line 16525 of file Messages.h.

bool stopPx ( PRICE9 &  value) const
inlinenoexcept

The stop price of a stop protect or stop limit order.

(Conditionally required if OrdType = 3 or 4).

Definition at line 16202 of file Messages.h.

const void* tail ( ) const
inlinenoexcept
Returns
the end of the message.

Definition at line 17645 of file Messages.h.

bool timeInForce ( TimeInForce::Enum &  value) const
inlinenoexcept

Specifies how long the order remains in effect.

Definition at line 16761 of file Messages.h.

std::string toString ( ) const
inline
Returns
a human-readable presentation.

Definition at line 1253 of file MessageSerialization.h.

bool tradeDate ( Timestamp &  value) const
inlinenoexcept

Indicates date of trading day (expressed in local time at place of trade).

Definition at line 16600 of file Messages.h.

UInt32 tradeEntryId ( ) const
inlinenoexcept

Market Data Trade Entry ID.

This identifier is assigned to all trades that take place for an instrument at a particular price level.

Definition at line 16502 of file Messages.h.

bool tradeLinkId ( UInt32 &  value) const
inlinenoexcept

Contains the workup ID; unique per instrument per day.

Definition at line 16546 of file Messages.h.

UInt64 transactTime ( ) const
inlinenoexcept

Time the transaction represented by this ExecutionReport (35=8) occurred.

Expressed as nanoseconds since epoch time.

Definition at line 16233 of file Messages.h.

bool trdType ( UInt16 &  value) const
inlinenoexcept

Represents a trade at fixing price.

Definition at line 17104 of file Messages.h.

UInt64 uuId ( ) const
inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 15999 of file Messages.h.

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