Classes
struct	FillsEntry
struct	LegsEntry
struct	OrderEventsEntry

Public Types
enum
typedef SchemaTraits	Schema
typedef ExecutionReportTradeSpread526	ThisType
typedef SbeGroup< FillsEntry, GroupSize, MessageSize >	Fills
typedef SbeGroup< LegsEntry, GroupSize, MessageSize >	Legs
typedef SbeGroup< OrderEventsEntry, GroupSize, MessageSize >	OrderEvents
Public Types inherited from SbeMessage
typedef MessageSize	EncodedLength
typedef MessageSize	BlockLength

Public Member Functions
	ExecutionReportTradeSpread526 ()=default
	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
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
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
UInt8	totalNumSecurities () const noexcept
ThisType &	setTotalNumSecurities (UInt8 value) 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	shortSaleType (ShortSaleType::Enum &value) const noexcept
ThisType &	setShortSaleType (ShortSaleType::Enum value) noexcept
ThisType &	setShortSaleTypeToNull () 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)
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 (MessageSize offset) noexcept
void	setOrdinary (MessageSize offset, FieldValue value) noexcept
void	setEnumeration (MessageSize offset, typename Enumeration::Enum value) noexcept
void	setFixedStr (MessageSize offset, StrRef value) noexcept

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 StrRef	className () noexcept
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 (MessageSize offset) const noexcept
Enumeration::Enum	enumeration (MessageSize offset) const noexcept
Value	decimal (MessageSize offset) const noexcept
StrRef	fixedStr (MessageSize offset) const noexcept
Static Protected Member Functions inherited from SbeMessage
static constexpr MessageSize	getMaxMessageSize () noexcept

Detailed Description

Definition at line 16618 of file Messages.h.

Member Typedef Documentation

◆ Fills

typedef SbeGroup<FillsEntry, GroupSize, MessageSize> Fills

Repeating group containing FillsEntry entries.

Definition at line 16800 of file Messages.h.

◆ Legs

typedef SbeGroup<LegsEntry, GroupSize, MessageSize> Legs

Repeating group containing LegsEntry entries.

Definition at line 16995 of file Messages.h.

◆ OrderEvents

typedef SbeGroup<OrderEventsEntry, GroupSize, MessageSize> OrderEvents

Repeating group containing OrderEventsEntry entries.

Definition at line 17225 of file Messages.h.

◆ Schema

typedef SchemaTraits Schema

Used template schema.

Definition at line 16623 of file Messages.h.

◆ ThisType

typedef ExecutionReportTradeSpread526 ThisType

This type alias.

Definition at line 16626 of file Messages.h.

Member Enumeration Documentation

◆ anonymous enum

anonymous enum

Message template ID from SBE schema.

Enumerator
TemplateId	526

Definition at line 16629 of file Messages.h.

Constructor & Destructor Documentation

◆ ExecutionReportTradeSpread526() [1/6]

ExecutionReportTradeSpread526 ( )

default

Initializes a blank instance.

◆ ExecutionReportTradeSpread526() [2/6]

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

inline

Initializes an instance over the given memory block.

Definition at line 17231 of file Messages.h.

◆ ExecutionReportTradeSpread526() [3/6]

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 17246 of file Messages.h.

◆ ExecutionReportTradeSpread526() [4/6]

ExecutionReportTradeSpread526	(	void *	data,
		EncodedLength	length,
		NoInit	)

inline

Creates an instance over the given memory block.

Definition at line 17260 of file Messages.h.

◆ ExecutionReportTradeSpread526() [5/6]

ExecutionReportTradeSpread526 ( const SbeMessage & message )

inlineexplicit

Creates an instance over the given SBE message.

Definition at line 17271 of file Messages.h.

◆ ExecutionReportTradeSpread526() [6/6]

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

inlinenoexcept

Creates an instance over the given memory block.

Performs no checks.

Definition at line 17282 of file Messages.h.

Member Function Documentation

◆ aggressorIndicator()

BooleanFlag::Enum aggressorIndicator ( ) const

inlinenoexcept

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

Definition at line 18059 of file Messages.h.

◆ blockLength()

constexpr BlockLength blockLength ( SchemaVersion version )

inlinestaticconstexprnoexcept

Size of message body in bytes.

Definition at line 18378 of file Messages.h.

◆ calculateBinarySize()

EncodedLength calculateBinarySize ( ) const

inlinenoexcept

Returns: the size occupied by the message.

Definition at line 18476 of file Messages.h.

◆ className()

constexpr StrRef className ( )

inlinestaticconstexprnoexcept

Returns: class name.

Definition at line 18448 of file Messages.h.

◆ clOrdId()

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 17394 of file Messages.h.

◆ crossId()

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 17611 of file Messages.h.

◆ crossType()

bool crossType ( UInt8 & value ) const

inlinenoexcept

Type of cross being submitted to a market.

(if in response to a cross order).

Definition at line 18079 of file Messages.h.

◆ cumQty()

UInt32 cumQty ( ) const

inlinenoexcept

Total quantity filled.

Definition at line 17754 of file Messages.h.

◆ execId()

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 17334 of file Messages.h.

◆ execInst()

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 18132 of file Messages.h.

◆ execType()

constexpr ExecTypeTrade execType ( )

inlinestaticconstexprnoexcept

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 17933 of file Messages.h.

◆ executionMode()

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 18154 of file Messages.h.

◆ expireDate()

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 17874 of file Messages.h.

◆ fills() [1/4]

Fills fills ( ) const

inlinenoexcept

Returns: instance of Fills repeating group.

Definition at line 18246 of file Messages.h.

◆ fills() [2/4]

Fills fills ( )

inlinenoexcept

Returns: instance of Fills repeating group.

Definition at line 18253 of file Messages.h.

◆ fills() [3/4]

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 18261 of file Messages.h.

◆ fills() [4/4]

Fills fills	(	Fills::Size	length,
		NoFieldsInit	)

inline

Setup repeating group with the given number of entries.

Returns: NoFills(1362) repeating group.

Definition at line 18272 of file Messages.h.

◆ fixType()

constexpr StrRef fixType ( )

inlinestaticconstexprnoexcept

FIX message type.

Definition at line 18457 of file Messages.h.

◆ getMaxMessageSize()

constexpr UInt64 getMaxMessageSize ( UInt8 maxGroupItems = 255 )

inlinestaticconstexprnoexcept

Maximal message size.

Definition at line 18405 of file Messages.h.

◆ getMinimalVariableFieldsSize()

constexpr MessageSize getMinimalVariableFieldsSize ( SchemaVersion version )

inlinestaticconstexpr

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

Definition at line 18391 of file Messages.h.

◆ hostCrossId()

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 17644 of file Messages.h.

◆ lastPx()

PRICE9 lastPx ( ) const

inlinenoexcept

Price of this (last) fill.

Definition at line 17442 of file Messages.h.

◆ lastQty()

UInt32 lastQty ( ) const

inlinenoexcept

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

Definition at line 17736 of file Messages.h.

◆ leavesQty()

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 17816 of file Messages.h.

◆ legs() [1/4]

Legs legs ( ) const

inlinenoexcept

Returns: instance of Legs repeating group.

Definition at line 18284 of file Messages.h.

◆ legs() [2/4]

Legs legs ( )

inlinenoexcept

Returns: instance of Legs repeating group.

Definition at line 18291 of file Messages.h.

◆ legs() [3/4]

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 18299 of file Messages.h.

◆ legs() [4/4]

Legs legs	(	Legs::Size	length,
		NoFieldsInit	)

inline

Setup repeating group with the given number of entries.

Returns: NoLegs(555) repeating group.

Definition at line 18310 of file Messages.h.

◆ liquidityFlag()

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 18184 of file Messages.h.

◆ location()

StrRef location ( ) const

inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 17677 of file Messages.h.

◆ manualOrderIndicator()

ManualOrdIndReq::Enum manualOrderIndicator ( ) const

inlinenoexcept

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

Definition at line 18011 of file Messages.h.

◆ minimalBlockLength()

constexpr BlockLength minimalBlockLength ( SchemaVersion version )

inlinestaticconstexprnoexcept

Minimal size of message body in bytes.

Definition at line 18367 of file Messages.h.

◆ orderEvents() [1/4]

OrderEvents orderEvents ( ) const

inlinenoexcept

Returns: instance of OrderEvents repeating group.

Definition at line 18322 of file Messages.h.

◆ orderEvents() [2/4]

OrderEvents orderEvents ( )

inlinenoexcept

Returns: instance of OrderEvents repeating group.

Definition at line 18331 of file Messages.h.

◆ orderEvents() [3/4]

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 18341 of file Messages.h.

◆ orderEvents() [4/4]

OrderEvents orderEvents	(	OrderEvents::Size	length,
		NoFieldsInit	)

inline

Setup repeating group with the given number of entries.

Returns: NoOrderEvents(1795) repeating group.

Definition at line 18352 of file Messages.h.

◆ orderId()

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 17462 of file Messages.h.

◆ orderQty()

UInt32 orderQty ( ) const

inlinenoexcept

Number of shares or contracts ordered.

Definition at line 17718 of file Messages.h.

◆ orderRequestId()

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 17570 of file Messages.h.

◆ ordStatus()

OrdStatusTrd::Enum ordStatus ( ) const

inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 17911 of file Messages.h.

◆ ordType()

bool ordType ( OrderType::Enum & value ) const

inlinenoexcept

Order type.

Definition at line 17940 of file Messages.h.

◆ partyDetailsListReqId()

UInt64 partyDetailsListReqId ( ) const

inlinenoexcept

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

Definition at line 17422 of file Messages.h.

◆ possRetransFlag()

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 18036 of file Messages.h.

◆ price()

PRICE9 price ( ) const

inlinenoexcept

Price per share or contract.

Definition at line 17482 of file Messages.h.

◆ reset()

ThisType & reset ( )

inlinenoexcept

Reset all variable-length and optional fields if any.

Definition at line 18426 of file Messages.h.

◆ resetVariableFields()

ThisType & resetVariableFields ( )

inlinenoexcept

Reset all variable-length fields if any.

Definition at line 18417 of file Messages.h.

◆ secExecId()

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 17591 of file Messages.h.

◆ securityId()

Int32 securityId ( ) const

inlinenoexcept

Security ID as defined by CME.

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

Definition at line 17699 of file Messages.h.

◆ senderId()

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 17362 of file Messages.h.

◆ sendingTimeEpoch()

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 17549 of file Messages.h.

◆ seqNum()

UInt32 seqNum ( ) const

inlinenoexcept

Sequence number of this message.

Definition at line 17296 of file Messages.h.

◆ setAggressorIndicator()

ThisType & setAggressorIndicator ( BooleanFlag::Enum value )

inlinenoexcept

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

Definition at line 18068 of file Messages.h.

◆ setClOrdId()

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 17409 of file Messages.h.

◆ setCrossId()

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 17620 of file Messages.h.

◆ setCrossIdToNull()

ThisType & setCrossIdToNull ( )

inlinenoexcept

Definition at line 17628 of file Messages.h.

◆ setCrossType()

ThisType & setCrossType ( UInt8 value )

inlinenoexcept

Type of cross being submitted to a market.

(if in response to a cross order).

Definition at line 18088 of file Messages.h.

◆ setCrossTypeToNull()

ThisType & setCrossTypeToNull ( )

inlinenoexcept

Definition at line 18096 of file Messages.h.

◆ setCumQty()

ThisType & setCumQty ( UInt32 value )

inlinenoexcept

Total quantity filled.

Definition at line 17762 of file Messages.h.

◆ setExecId()

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 17345 of file Messages.h.

◆ setExecInst()

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 18142 of file Messages.h.

◆ setExecutionMode()

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 18164 of file Messages.h.

◆ setExecutionModeToNull()

ThisType & setExecutionModeToNull ( )

inlinenoexcept

Definition at line 18172 of file Messages.h.

◆ setExpireDate()

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 17892 of file Messages.h.

◆ setExpireDateToNull()

ThisType & setExpireDateToNull ( )

inlinenoexcept

Definition at line 17900 of file Messages.h.

◆ setHostCrossId()

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 17658 of file Messages.h.

◆ setHostCrossIdToNull()

ThisType & setHostCrossIdToNull ( )

inlinenoexcept

Definition at line 17666 of file Messages.h.

◆ setLastPx()

ThisType & setLastPx ( PRICE9 value )

inlinenoexcept

Price of this (last) fill.

Definition at line 17450 of file Messages.h.

◆ setLastQty()

ThisType & setLastQty ( UInt32 value )

inlinenoexcept

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

Definition at line 17744 of file Messages.h.

◆ setLeavesQty()

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 17826 of file Messages.h.

◆ setLiquidityFlag()

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 18194 of file Messages.h.

◆ setLiquidityFlagToNull()

ThisType & setLiquidityFlagToNull ( )

inlinenoexcept

Definition at line 18202 of file Messages.h.

◆ setLocation()

ThisType & setLocation ( StrRef value )

inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 17687 of file Messages.h.

◆ setManualOrderIndicator()

ThisType & setManualOrderIndicator ( ManualOrdIndReq::Enum value )

inlinenoexcept

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

Definition at line 18021 of file Messages.h.

◆ setOrderId()

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 17472 of file Messages.h.

◆ setOrderQty()

ThisType & setOrderQty ( UInt32 value )

inlinenoexcept

Number of shares or contracts ordered.

Definition at line 17726 of file Messages.h.

◆ setOrderRequestId()

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 17580 of file Messages.h.

◆ setOrdStatus()

ThisType & setOrdStatus ( OrdStatusTrd::Enum value )

inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 17920 of file Messages.h.

◆ setOrdType()

ThisType & setOrdType ( OrderType::Enum value )

inlinenoexcept

Order type.

Definition at line 17948 of file Messages.h.

◆ setOrdTypeToNull()

ThisType & setOrdTypeToNull ( )

inlinenoexcept

Definition at line 17956 of file Messages.h.

◆ setPartyDetailsListReqId()

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 17432 of file Messages.h.

◆ setPossRetransFlag()

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 18048 of file Messages.h.

◆ setPrice()

ThisType & setPrice ( PRICE9 value )

inlinenoexcept

Price per share or contract.

Definition at line 17490 of file Messages.h.

◆ setSecExecId()

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 17600 of file Messages.h.

◆ setSecurityId()

ThisType & setSecurityId ( Int32 value )

inlinenoexcept

Security ID as defined by CME.

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

Definition at line 17708 of file Messages.h.

◆ setSenderId()

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 17377 of file Messages.h.

◆ setSendingTimeEpoch()

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 17558 of file Messages.h.

◆ setSeqNum()

ThisType & setSeqNum ( UInt32 value )

inlinenoexcept

Sequence number of this message.

Definition at line 17304 of file Messages.h.

◆ setShortSaleType()

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 18227 of file Messages.h.

◆ setShortSaleTypeToNull()

ThisType & setShortSaleTypeToNull ( )

inlinenoexcept

Definition at line 18236 of file Messages.h.

◆ setSide()

ThisType & setSide ( SideReq::Enum value )

inlinenoexcept

Order side.

Definition at line 17974 of file Messages.h.

◆ setSideTradeId()

ThisType & setSideTradeId ( UInt32 value )

inlinenoexcept

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

Definition at line 17804 of file Messages.h.

◆ setStopPx()

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 17510 of file Messages.h.

◆ setStopPxToNull()

ThisType & setStopPxToNull ( )

inlinenoexcept

Definition at line 17518 of file Messages.h.

◆ setTimeInForce()

ThisType & setTimeInForce ( TimeInForce::Enum value )

inlinenoexcept

Specifies how long the order remains in effect.

Definition at line 17992 of file Messages.h.

◆ setTimeInForceToNull()

ThisType & setTimeInForceToNull ( )

inlinenoexcept

Definition at line 18000 of file Messages.h.

◆ setTotalNumSecurities()

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 18120 of file Messages.h.

◆ setTradeDate()

ThisType & setTradeDate ( Timestamp value )

inlinenoexcept

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

Definition at line 17855 of file Messages.h.

◆ setTradeDateToNull()

ThisType & setTradeDateToNull ( )

inlinenoexcept

Definition at line 17863 of file Messages.h.

◆ setTradeEntryId()

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 17784 of file Messages.h.

◆ setTransactTime()

ThisType & setTransactTime ( UInt64 value )

inlinenoexcept

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

Expressed as nanoseconds since epoch time.

Definition at line 17538 of file Messages.h.

◆ setUuId()

ThisType & setUuId ( UInt64 value )

inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 17322 of file Messages.h.

◆ shortSaleType()

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 18215 of file Messages.h.

◆ side()

SideReq::Enum side ( ) const

inlinenoexcept

Order side.

Definition at line 17966 of file Messages.h.

◆ sideTradeId()

UInt32 sideTradeId ( ) const

inlinenoexcept

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

Definition at line 17795 of file Messages.h.

◆ stopPx()

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 17501 of file Messages.h.

◆ tail()

const void * tail ( ) const

inlinenoexcept

Returns: the end of the message.

Definition at line 18468 of file Messages.h.

◆ timeInForce()

bool timeInForce ( TimeInForce::Enum & value ) const

inlinenoexcept

Specifies how long the order remains in effect.

Definition at line 17984 of file Messages.h.

◆ toString()

std::string toString ( ) const

inline

Returns: a human-readable presentation.

Definition at line 1368 of file MessageSerialization.h.

◆ totalNumSecurities()

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 18109 of file Messages.h.

◆ tradeDate()

bool tradeDate ( Timestamp & value ) const

inlinenoexcept

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

Definition at line 17837 of file Messages.h.

◆ tradeEntryId()

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 17774 of file Messages.h.

◆ transactTime()

UInt64 transactTime ( ) const

inlinenoexcept

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

Expressed as nanoseconds since epoch time.

Definition at line 17529 of file Messages.h.

◆ uuId()

UInt64 uuId ( ) const

inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 17314 of file Messages.h.

Classes

Public Types

Public Member Functions

Static Public Member Functions

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ Fills

◆ Legs

◆ OrderEvents

◆ Schema

◆ ThisType

Member Enumeration Documentation

◆ anonymous enum

Constructor & Destructor Documentation

◆ ExecutionReportTradeSpread526() [1/6]

◆ ExecutionReportTradeSpread526() [2/6]

◆ ExecutionReportTradeSpread526() [3/6]

◆ ExecutionReportTradeSpread526() [4/6]

◆ ExecutionReportTradeSpread526() [5/6]

◆ ExecutionReportTradeSpread526() [6/6]

Member Function Documentation

◆ aggressorIndicator()

◆ blockLength()

◆ calculateBinarySize()

◆ className()

◆ clOrdId()

◆ crossId()

◆ crossType()

◆ cumQty()

◆ execId()

◆ execInst()

◆ execType()

◆ executionMode()

◆ expireDate()

◆ fills() [1/4]

◆ fills() [2/4]

◆ fills() [3/4]

◆ fills() [4/4]

◆ fixType()

◆ getMaxMessageSize()

◆ getMinimalVariableFieldsSize()

◆ hostCrossId()

◆ lastPx()

◆ lastQty()

◆ leavesQty()

◆ legs() [1/4]

◆ legs() [2/4]

◆ legs() [3/4]

◆ legs() [4/4]

◆ liquidityFlag()

◆ location()

◆ manualOrderIndicator()

◆ minimalBlockLength()

◆ orderEvents() [1/4]

◆ orderEvents() [2/4]

◆ orderEvents() [3/4]

◆ orderEvents() [4/4]

◆ orderId()

◆ orderQty()

◆ orderRequestId()

◆ ordStatus()

◆ ordType()

◆ partyDetailsListReqId()

◆ possRetransFlag()

◆ price()

◆ reset()

◆ resetVariableFields()

◆ secExecId()

◆ securityId()

◆ senderId()

◆ sendingTimeEpoch()

◆ seqNum()

◆ setAggressorIndicator()

◆ setClOrdId()

◆ setCrossId()

◆ setCrossIdToNull()

◆ setCrossType()

◆ setCrossTypeToNull()

◆ setCumQty()