OnixS C++ CME iLink 3 Binary Order Entry Handler  1.14.0
API Documentation
ExecutionReportTradeSpread526 Struct Reference

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

Classes

struct  FillsEntry
 
struct  LegsEntry
 
struct  OrderEventsEntry
 

Public Types

enum  { TemplateId = 526 }
 
typedef SchemaTraits Schema
 
typedef ExecutionReportTradeSpread526 ThisType
 
typedef SbeGroup< FillsEntry, GroupSize, MessageSizeFills
 
typedef SbeGroup< LegsEntry, GroupSize, MessageSizeLegs
 
typedef SbeGroup< OrderEventsEntry, GroupSize, MessageSizeOrderEvents
 
- Public Types inherited from SbeMessage
typedef MessageSize EncodedLength
 
typedef MessageSize BlockLength
 

Public Member Functions

 ExecutionReportTradeSpread526 ()
 
 ExecutionReportTradeSpread526 (void *data, EncodedLength length, SchemaVersion version=Schema::Version)
 
 ExecutionReportTradeSpread526 (void *data, EncodedLength length, NoFieldsInit, SchemaVersion version=Schema::Version)
 
 ExecutionReportTradeSpread526 (void *data, EncodedLength length, NoInit)
 
 ExecutionReportTradeSpread526 (const SbeMessage &message)
 
 ExecutionReportTradeSpread526 (void *data, EncodedLength length, NoInit, NoCheck) noexcept
 
UInt32 seqNum () const noexcept
 
ThisTypesetSeqNum (UInt32 value) noexcept
 
UInt64 uuId () const noexcept
 
ThisTypesetUuId (UInt64 value) noexcept
 
StrRef execId () const noexcept
 
ThisTypesetExecId (StrRef value) noexcept
 
StrRef senderId () const noexcept
 
ThisTypesetSenderId (StrRef value) noexcept
 
StrRef clOrdId () const noexcept
 
ThisTypesetClOrdId (StrRef value) noexcept
 
UInt64 partyDetailsListReqId () const noexcept
 
ThisTypesetPartyDetailsListReqId (UInt64 value) noexcept
 
PRICE9 lastPx () const noexcept
 
ThisTypesetLastPx (PRICE9 value) noexcept
 
UInt64 orderId () const noexcept
 
ThisTypesetOrderId (UInt64 value) noexcept
 
PRICE9 price () const noexcept
 
ThisTypesetPrice (PRICE9 value) noexcept
 
bool stopPx (PRICE9 &value) const noexcept
 
ThisTypesetStopPx (PRICE9 value) noexcept
 
ThisTypesetStopPxToNull () noexcept
 
UInt64 transactTime () const noexcept
 
ThisTypesetTransactTime (UInt64 value) noexcept
 
UInt64 sendingTimeEpoch () const noexcept
 
ThisTypesetSendingTimeEpoch (UInt64 value) noexcept
 
UInt64 orderRequestId () const noexcept
 
ThisTypesetOrderRequestId (UInt64 value) noexcept
 
UInt64 secExecId () const noexcept
 
ThisTypesetSecExecId (UInt64 value) noexcept
 
bool crossId (UInt64 &value) const noexcept
 
ThisTypesetCrossId (UInt64 value) noexcept
 
ThisTypesetCrossIdToNull () noexcept
 
bool hostCrossId (UInt64 &value) const noexcept
 
ThisTypesetHostCrossId (UInt64 value) noexcept
 
ThisTypesetHostCrossIdToNull () noexcept
 
StrRef location () const noexcept
 
ThisTypesetLocation (StrRef value) noexcept
 
Int32 securityId () const noexcept
 
ThisTypesetSecurityId (Int32 value) noexcept
 
UInt32 orderQty () const noexcept
 
ThisTypesetOrderQty (UInt32 value) noexcept
 
UInt32 lastQty () const noexcept
 
ThisTypesetLastQty (UInt32 value) noexcept
 
UInt32 cumQty () const noexcept
 
ThisTypesetCumQty (UInt32 value) noexcept
 
UInt32 tradeEntryId () const noexcept
 
ThisTypesetTradeEntryId (UInt32 value) noexcept
 
UInt32 sideTradeId () const noexcept
 
ThisTypesetSideTradeId (UInt32 value) noexcept
 
UInt32 leavesQty () const noexcept
 
ThisTypesetLeavesQty (UInt32 value) noexcept
 
bool tradeDate (Timestamp &value) const noexcept
 
ThisTypesetTradeDate (Timestamp value) noexcept
 
ThisTypesetTradeDateToNull () noexcept
 
bool expireDate (Timestamp &value) const noexcept
 
ThisTypesetExpireDate (Timestamp value) noexcept
 
ThisTypesetExpireDateToNull () noexcept
 
OrdStatusTrd::Enum ordStatus () const noexcept
 
ThisTypesetOrdStatus (OrdStatusTrd::Enum value) noexcept
 
bool ordType (OrderType::Enum &value) const noexcept
 
ThisTypesetOrdType (OrderType::Enum value) noexcept
 
ThisTypesetOrdTypeToNull () noexcept
 
SideReq::Enum side () const noexcept
 
ThisTypesetSide (SideReq::Enum value) noexcept
 
bool timeInForce (TimeInForce::Enum &value) const noexcept
 
ThisTypesetTimeInForce (TimeInForce::Enum value) noexcept
 
ThisTypesetTimeInForceToNull () noexcept
 
ManualOrdIndReq::Enum manualOrderIndicator () const noexcept
 
ThisTypesetManualOrderIndicator (ManualOrdIndReq::Enum value) noexcept
 
BooleanFlag::Enum possRetransFlag () const noexcept
 
ThisTypesetPossRetransFlag (BooleanFlag::Enum value) noexcept
 
BooleanFlag::Enum aggressorIndicator () const noexcept
 
ThisTypesetAggressorIndicator (BooleanFlag::Enum value) noexcept
 
bool crossType (UInt8 &value) const noexcept
 
ThisTypesetCrossType (UInt8 value) noexcept
 
ThisTypesetCrossTypeToNull () noexcept
 
UInt8 totalNumSecurities () const noexcept
 
ThisTypesetTotalNumSecurities (UInt8 value) noexcept
 
ExecInst execInst () const noexcept
 
ThisTypesetExecInst (ExecInst value) noexcept
 
bool executionMode (ExecMode::Enum &value) const noexcept
 
ThisTypesetExecutionMode (ExecMode::Enum value) noexcept
 
ThisTypesetExecutionModeToNull () noexcept
 
bool liquidityFlag (BooleanNULL::Enum &value) const noexcept
 
ThisTypesetLiquidityFlag (BooleanNULL::Enum value) noexcept
 
ThisTypesetLiquidityFlagToNull () noexcept
 
bool shortSaleType (ShortSaleType::Enum &value) const noexcept
 
ThisTypesetShortSaleType (ShortSaleType::Enum value) noexcept
 
ThisTypesetShortSaleTypeToNull () noexcept
 
Fills fills () const noexcept
 
Fills fills () noexcept
 
Fills fills (Fills::Size length)
 
Fills fills (Fills::Size length, NoFieldsInit)
 
Legs legs () const noexcept
 
Legs legs () noexcept
 
Legs legs (Legs::Size length)
 
Legs legs (Legs::Size length, NoFieldsInit)
 
OrderEvents orderEvents () const noexcept
 
OrderEvents orderEvents () noexcept
 
OrderEvents orderEvents (OrderEvents::Size length)
 
OrderEvents orderEvents (OrderEvents::Size length, NoFieldsInit)
 
ThisTyperesetVariableFields () noexcept
 
ThisTypereset () 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::SbeMessagecontainer () noexcept
 
void zeroPaddingBytes (MessageSize offset) noexcept
 
void setOrdinary (MessageSize offset, FieldValue value) noexcept
 
void setOrdinary (MessageSize offset, FieldValue value, SchemaVersion since)
 
void setEnumeration (MessageSize offset, typename Enumeration::Enum value) noexcept
 
void setEnumeration (MessageSize offset, typename Enumeration::Enum value, SchemaVersion since)
 
void setFixedStr (MessageSize offset, StrRef value) noexcept
 
void setFixedStr (MessageSize offset, 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 CharclassName ()
 
static constexpr StrRef fixType () noexcept
 

Additional Inherited Members

- Protected Types inherited from SbeMessage
typedef SbeGroupList< MessageSizeGroupList
 
typedef SbeVariableLengthFieldList< MessageSizeVariableLengthFieldList
 
- Protected Member Functions inherited from SbeMessage
SbeMessageversion (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 ()
 
 ~SbeFields ()
 
- Protected Member Functions inherited from BinaryBlock< Messaging::SbeMessage, MessageSize >
 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
 
- Static Protected Member Functions inherited from SbeMessage
static constexpr MessageSize getMaxMessageSize () noexcept
 

Detailed Description

Definition at line 17773 of file Messages.h.

Member Typedef Documentation

Repeating group containing FillsEntry entries.

Definition at line 17965 of file Messages.h.

Repeating group containing LegsEntry entries.

Definition at line 18176 of file Messages.h.

Repeating group containing OrderEventsEntry entries.

Definition at line 18424 of file Messages.h.

Used template schema.

Definition at line 17778 of file Messages.h.

This type alias.

Definition at line 17781 of file Messages.h.

Member Enumeration Documentation

anonymous enum

Message template ID from SBE schema.

Enumerator
TemplateId 

Definition at line 17784 of file Messages.h.

Constructor & Destructor Documentation

Initializes a blank instance.

Definition at line 18427 of file Messages.h.

ExecutionReportTradeSpread526 ( void *  data,
EncodedLength  length,
SchemaVersion  version = Schema::Version 
)
inline

Initializes an instance over the given memory block.

Definition at line 18430 of file Messages.h.

ExecutionReportTradeSpread526 ( 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 18445 of file Messages.h.

ExecutionReportTradeSpread526 ( void *  data,
EncodedLength  length,
NoInit   
)
inline

Creates an instance over the given memory block.

Definition at line 18459 of file Messages.h.

ExecutionReportTradeSpread526 ( const SbeMessage message)
inlineexplicit

Creates an instance over the given SBE message.

Definition at line 18470 of file Messages.h.

ExecutionReportTradeSpread526 ( void *  data,
EncodedLength  length,
NoInit  ,
NoCheck   
)
inlinenoexcept

Creates an instance over the given memory block.

Performs no checks.

Definition at line 18481 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 19331 of file Messages.h.

static constexpr BlockLength blockLength ( SchemaVersion  version)
inlinestaticnoexcept

Size of message body in bytes.

Definition at line 19675 of file Messages.h.

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

Definition at line 19779 of file Messages.h.

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

Definition at line 19749 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 18602 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 18840 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 19353 of file Messages.h.

UInt32 cumQty ( ) const
inlinenoexcept

Total quantity filled.

Definition at line 18997 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 18538 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 19411 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 19192 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 19435 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 19128 of file Messages.h.

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

Definition at line 19536 of file Messages.h.

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

Definition at line 19544 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 19553 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 19564 of file Messages.h.

static constexpr StrRef fixType ( )
inlinestaticnoexcept

FIX message type.

Definition at line 19758 of file Messages.h.

static constexpr UInt64 getMaxMessageSize ( UInt8  maxGroupItems = 255)
inlinestaticnoexcept

Maximal message size.

Definition at line 19703 of file Messages.h.

static constexpr MessageSize getMinimalVariableFieldsSize ( SchemaVersion  version)
inlinestatic

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

Definition at line 19689 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 18876 of file Messages.h.

PRICE9 lastPx ( ) const
inlinenoexcept

Price of this (last) fill.

Definition at line 18654 of file Messages.h.

UInt32 lastQty ( ) const
inlinenoexcept

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

Definition at line 18977 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 19065 of file Messages.h.

Legs legs ( ) const
inlinenoexcept
Returns
instance of Legs repeating group.

Definition at line 19576 of file Messages.h.

Legs legs ( )
inlinenoexcept
Returns
instance of Legs repeating group.

Definition at line 19584 of file Messages.h.

Legs legs ( Legs::Size  length)
inline

Setup repeating group with the given number of entries.

Sets all optional fields of the group entries to null.

Returns
NoLegs(555) repeating group.

Definition at line 19593 of file Messages.h.

Legs legs ( Legs::Size  length,
NoFieldsInit   
)
inline

Setup repeating group with the given number of entries.

Returns
NoLegs(555) repeating group.

Definition at line 19604 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 19468 of file Messages.h.

StrRef location ( ) const
inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 18912 of file Messages.h.

ManualOrdIndReq::Enum manualOrderIndicator ( ) const
inlinenoexcept

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

Definition at line 19279 of file Messages.h.

static constexpr BlockLength minimalBlockLength ( SchemaVersion  version)
inlinestaticnoexcept

Minimal size of message body in bytes.

Definition at line 19663 of file Messages.h.

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

Definition at line 19616 of file Messages.h.

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

Definition at line 19626 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 19637 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 19648 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 18676 of file Messages.h.

UInt32 orderQty ( ) const
inlinenoexcept

Number of shares or contracts ordered.

Definition at line 18957 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 18795 of file Messages.h.

OrdStatusTrd::Enum ordStatus ( ) const
inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 19168 of file Messages.h.

bool ordType ( OrderType::Enum value) const
inlinenoexcept

Order type.

Definition at line 19200 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 18632 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 19306 of file Messages.h.

PRICE9 price ( ) const
inlinenoexcept

Price per share or contract.

Definition at line 18698 of file Messages.h.

ThisType& reset ( )
inlinenoexcept

Reset all variable-length and optional fields if any.

Definition at line 19726 of file Messages.h.

ThisType& resetVariableFields ( )
inlinenoexcept

Reset all variable-length fields if any.

Definition at line 19716 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 18818 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 18936 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 18568 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 18772 of file Messages.h.

UInt32 seqNum ( ) const
inlinenoexcept

Sequence number of this message.

Definition at line 18496 of file Messages.h.

ThisType& setAggressorIndicator ( BooleanFlag::Enum  value)
inlinenoexcept

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

Definition at line 19341 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 18618 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 18850 of file Messages.h.

ThisType& setCrossIdToNull ( )
inlinenoexcept

Definition at line 18859 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 19363 of file Messages.h.

ThisType& setCrossTypeToNull ( )
inlinenoexcept

Definition at line 19372 of file Messages.h.

ThisType& setCumQty ( UInt32  value)
inlinenoexcept

Total quantity filled.

Definition at line 19006 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 18550 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 19422 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 19446 of file Messages.h.

ThisType& setExecutionModeToNull ( )
inlinenoexcept

Definition at line 19455 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 19147 of file Messages.h.

ThisType& setExpireDateToNull ( )
inlinenoexcept

Definition at line 19156 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 18891 of file Messages.h.

ThisType& setHostCrossIdToNull ( )
inlinenoexcept

Definition at line 18900 of file Messages.h.

ThisType& setLastPx ( PRICE9  value)
inlinenoexcept

Price of this (last) fill.

Definition at line 18663 of file Messages.h.

ThisType& setLastQty ( UInt32  value)
inlinenoexcept

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

Definition at line 18986 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 19076 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 19479 of file Messages.h.

ThisType& setLiquidityFlagToNull ( )
inlinenoexcept

Definition at line 19488 of file Messages.h.

ThisType& setLocation ( StrRef  value)
inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 18923 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 19290 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 18687 of file Messages.h.

ThisType& setOrderQty ( UInt32  value)
inlinenoexcept

Number of shares or contracts ordered.

Definition at line 18966 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 18806 of file Messages.h.

ThisType& setOrdStatus ( OrdStatusTrd::Enum  value)
inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 19178 of file Messages.h.

ThisType& setOrdType ( OrderType::Enum  value)
inlinenoexcept

Order type.

Definition at line 19209 of file Messages.h.

ThisType& setOrdTypeToNull ( )
inlinenoexcept

Definition at line 19218 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 18643 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 19319 of file Messages.h.

ThisType& setPrice ( PRICE9  value)
inlinenoexcept

Price per share or contract.

Definition at line 18707 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 18828 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 18946 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 18584 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 18782 of file Messages.h.

ThisType& setSeqNum ( UInt32  value)
inlinenoexcept

Sequence number of this message.

Definition at line 18505 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 19515 of file Messages.h.

ThisType& setShortSaleTypeToNull ( )
inlinenoexcept

Definition at line 19525 of file Messages.h.

ThisType& setSide ( SideReq::Enum  value)
inlinenoexcept

Order side.

Definition at line 19238 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 19052 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 18729 of file Messages.h.

ThisType& setStopPxToNull ( )
inlinenoexcept

Definition at line 18738 of file Messages.h.

ThisType& setTimeInForce ( TimeInForce::Enum  value)
inlinenoexcept

Specifies how long the order remains in effect.

Definition at line 19258 of file Messages.h.

ThisType& setTimeInForceToNull ( )
inlinenoexcept

Definition at line 19267 of file Messages.h.

ThisType& setTotalNumSecurities ( UInt8  value)
inlinenoexcept

Indicates total number of leg fills for the spread; Will represent total number of ExecutionReportTradeSpreadLeg messages sent for the spread and will be set to 0 when spread leg fills are consolidated with spread fill.

Definition at line 19398 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 19107 of file Messages.h.

ThisType& setTradeDateToNull ( )
inlinenoexcept

Definition at line 19116 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 19030 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 18760 of file Messages.h.

ThisType& setUuId ( UInt64  value)
inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 18525 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 19502 of file Messages.h.

SideReq::Enum side ( ) const
inlinenoexcept

Order side.

Definition at line 19229 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 19042 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 18719 of file Messages.h.

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

Definition at line 19770 of file Messages.h.

bool timeInForce ( TimeInForce::Enum value) const
inlinenoexcept

Specifies how long the order remains in effect.

Definition at line 19249 of file Messages.h.

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

Definition at line 1368 of file MessageSerialization.h.

UInt8 totalNumSecurities ( ) const
inlinenoexcept

Indicates total number of leg fills for the spread; Will represent total number of ExecutionReportTradeSpreadLeg messages sent for the spread and will be set to 0 when spread leg fills are consolidated with spread fill.

Definition at line 19386 of file Messages.h.

bool tradeDate ( Timestamp value) const
inlinenoexcept

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

Definition at line 19088 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 19019 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 18750 of file Messages.h.

UInt64 uuId ( ) const
inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 18516 of file Messages.h.


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