ExecutionReportTradeSpreadLeg527 Struct Reference

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

Classes
struct	FillsEntry
struct	OrderEventsEntry

Public Types
enum	{ TemplateId = 527 }
typedef SchemaTraits	Schema
typedef ExecutionReportTradeSpreadLeg527	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
	ExecutionReportTradeSpreadLeg527 ()
	ExecutionReportTradeSpreadLeg527 (void *data, EncodedLength length, SchemaVersion version=Schema::Version)
	ExecutionReportTradeSpreadLeg527 (void *data, EncodedLength length, NoFieldsInit, SchemaVersion version=Schema::Version)
	ExecutionReportTradeSpreadLeg527 (void *data, EncodedLength length, NoInit)
	ExecutionReportTradeSpreadLeg527 (const SbeMessage &message)
	ExecutionReportTradeSpreadLeg527 (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
bool	volatility (Decimal64NULL &value) const noexcept
ThisType &	setVolatility (Decimal64NULL value) noexcept
ThisType &	setVolatilityToNull () 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
bool	underlyingPx (PRICE9 &value) const noexcept
ThisType &	setUnderlyingPx (PRICE9 value) noexcept
ThisType &	setUnderlyingPxToNull () noexcept
UInt64	transactTime () const noexcept
ThisType &	setTransactTime (UInt64 value) noexcept
UInt64	sendingTimeEpoch () const noexcept
ThisType &	setSendingTimeEpoch (UInt64 value) noexcept
UInt64	secExecId () const noexcept
ThisType &	setSecExecId (UInt64 value) noexcept
StrRef	location () const noexcept
ThisType &	setLocation (StrRef value) noexcept
bool	optionDelta (Decimal32NULL &value) const noexcept
ThisType &	setOptionDelta (Decimal32NULL value) noexcept
ThisType &	setOptionDeltaToNull () noexcept
bool	timeToExpiration (Decimal32NULL &value) const noexcept
ThisType &	setTimeToExpiration (Decimal32NULL value) noexcept
ThisType &	setTimeToExpirationToNull () noexcept
bool	riskFreeRate (Decimal32NULL &value) const noexcept
ThisType &	setRiskFreeRate (Decimal32NULL value) noexcept
ThisType &	setRiskFreeRateToNull () noexcept
Int32	securityId () const noexcept
ThisType &	setSecurityId (Int32 value) noexcept
UInt32	lastQty () const noexcept
ThisType &	setLastQty (UInt32 value) noexcept
UInt32	cumQty () const noexcept
ThisType &	setCumQty (UInt32 value) noexcept
UInt32	sideTradeId () const noexcept
ThisType &	setSideTradeId (UInt32 value) noexcept
bool	tradeDate (Timestamp &value) const noexcept
ThisType &	setTradeDate (Timestamp value) noexcept
ThisType &	setTradeDateToNull () 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
BooleanFlag::Enum	possRetransFlag () const noexcept
ThisType &	setPossRetransFlag (BooleanFlag::Enum value) noexcept
bool	settlDate (Timestamp &value) const noexcept
ThisType &	setSettlDate (Timestamp value) noexcept
ThisType &	setSettlDateToNull () 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
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 (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 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 ()
	~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 19890 of file Messages.h.

Member Typedef Documentation

typedef SbeGroup<FillsEntry, GroupSize, MessageSize> Fills

Repeating group containing FillsEntry entries.

Definition at line 20082 of file Messages.h.

typedef SbeGroup<OrderEventsEntry, GroupSize, MessageSize> OrderEvents

Repeating group containing OrderEventsEntry entries.

Definition at line 20330 of file Messages.h.

typedef SchemaTraits Schema

Used template schema.

Definition at line 19895 of file Messages.h.

typedef ExecutionReportTradeSpreadLeg527 ThisType

This type alias.

Definition at line 19898 of file Messages.h.

Member Enumeration Documentation

anonymous enum

Message template ID from SBE schema.

Enumerator
TemplateId

Definition at line 19901 of file Messages.h.

Constructor & Destructor Documentation

ExecutionReportTradeSpreadLeg527 ( )

inline

Initializes a blank instance.

Definition at line 20333 of file Messages.h.

ExecutionReportTradeSpreadLeg527 ( void *  data, EncodedLength  length, SchemaVersion  version = Schema::Version  )

inline

Initializes an instance over the given memory block.

Definition at line 20336 of file Messages.h.

ExecutionReportTradeSpreadLeg527 ( 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 20351 of file Messages.h.

ExecutionReportTradeSpreadLeg527 ( void *  data, EncodedLength  length, NoInit    )

inline

Creates an instance over the given memory block.

Definition at line 20365 of file Messages.h.

ExecutionReportTradeSpreadLeg527 ( const SbeMessage &  message )

inlineexplicit

Creates an instance over the given SBE message.

Definition at line 20376 of file Messages.h.

ExecutionReportTradeSpreadLeg527 ( void *  data, EncodedLength  length, NoInit  , NoCheck    )

inlinenoexcept

Creates an instance over the given memory block.

Performs no checks.

Definition at line 20387 of file Messages.h.

Member Function Documentation

static constexpr BlockLength blockLength ( SchemaVersion  version )

inlinestaticnoexcept

Size of message body in bytes.

Definition at line 21298 of file Messages.h.

EncodedLength calculateBinarySize ( ) const

inlinenoexcept

Returns

the size occupied by the message.

Definition at line 21399 of file Messages.h.

bool calculatedCcyLastQty ( Decimal64NULL &  value ) const

inlinenoexcept

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

Definition at line 21138 of file Messages.h.

static constexpr const Char* className ( )

inlinestatic

Returns

class name.

Definition at line 21369 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 20508 of file Messages.h.

UInt32 cumQty ( ) const

inlinenoexcept

Total quantity filled.

Definition at line 20907 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 20444 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 21014 of file Messages.h.

Fills fills ( ) const

inlinenoexcept

Returns

instance of Fills repeating group.

Definition at line 21199 of file Messages.h.

Fills fills ( )

inlinenoexcept

Returns

instance of Fills repeating group.

Definition at line 21207 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 21216 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 21227 of file Messages.h.

static constexpr StrRef fixType ( )

inlinestaticnoexcept

FIX message type.

Definition at line 21378 of file Messages.h.

static constexpr UInt64 getMaxMessageSize ( UInt8  maxGroupItems = 255 )

inlinestaticnoexcept

Maximal message size.

Definition at line 21326 of file Messages.h.

static constexpr MessageSize getMinimalVariableFieldsSize ( SchemaVersion  version )

inlinestatic

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

Definition at line 21312 of file Messages.h.

bool grossTradeAmt ( Decimal64NULL &  value ) const

inlinenoexcept

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

Definition at line 21169 of file Messages.h.

PRICE9 lastPx ( ) const

inlinenoexcept

Price of this (last) fill.

Definition at line 20591 of file Messages.h.

UInt32 lastQty ( ) const

inlinenoexcept

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

Definition at line 20887 of file Messages.h.

StrRef location ( ) const

inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 20737 of file Messages.h.

static constexpr BlockLength minimalBlockLength ( SchemaVersion  version )

inlinestaticnoexcept

Minimal size of message body in bytes.

Definition at line 21286 of file Messages.h.

bool optionDelta ( Decimal32NULL &  value ) const

inlinenoexcept

The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.

Calculated delta, expressed as a decimal between -1 and 1. Only applicable for vol quoted option trades.

Definition at line 20764 of file Messages.h.

OrderEvents orderEvents ( ) const

inlinenoexcept

Returns

instance of OrderEvents repeating group.

Definition at line 21239 of file Messages.h.

OrderEvents orderEvents ( )

inlinenoexcept

Returns

instance of OrderEvents repeating group.

Definition at line 21249 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 21260 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 21271 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 20613 of file Messages.h.

OrdStatusTrd::Enum ordStatus ( ) const

inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 20990 of file Messages.h.

bool ordType ( OrderType::Enum &  value ) const

inlinenoexcept

Order type.

Definition at line 21022 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 20569 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 21075 of file Messages.h.

ThisType& reset ( )

inlinenoexcept

Reset all variable-length and optional fields if any.

Definition at line 21347 of file Messages.h.

ThisType& resetVariableFields ( )

inlinenoexcept

Reset all variable-length fields if any.

Definition at line 21338 of file Messages.h.

bool riskFreeRate ( Decimal32NULL &  value ) const

inlinenoexcept

Interest rate. Usually some form of short term rate.

Definition at line 20836 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 20715 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 20866 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 20474 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 20693 of file Messages.h.

UInt32 seqNum ( ) const

inlinenoexcept

Sequence number of this message.

Definition at line 20402 of file Messages.h.

ThisType& setCalculatedCcyLastQty ( Decimal64NULL  value )

inlinenoexcept

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

Definition at line 21148 of file Messages.h.

ThisType& setCalculatedCcyLastQtyToNull ( )

inlinenoexcept

Definition at line 21157 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 20524 of file Messages.h.

ThisType& setCumQty ( UInt32  value )

inlinenoexcept

Total quantity filled.

Definition at line 20916 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 20456 of file Messages.h.

ThisType& setGrossTradeAmt ( Decimal64NULL  value )

inlinenoexcept

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

Definition at line 21179 of file Messages.h.

ThisType& setGrossTradeAmtToNull ( )

inlinenoexcept

Definition at line 21188 of file Messages.h.

ThisType& setLastPx ( PRICE9  value )

inlinenoexcept

Price of this (last) fill.

Definition at line 20600 of file Messages.h.

ThisType& setLastQty ( UInt32  value )

inlinenoexcept

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

Definition at line 20896 of file Messages.h.

ThisType& setLocation ( StrRef  value )

inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 20748 of file Messages.h.

ThisType& setOptionDelta ( Decimal32NULL  value )

inlinenoexcept

The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.

Calculated delta, expressed as a decimal between -1 and 1. Only applicable for vol quoted option trades.

Definition at line 20777 of file Messages.h.

ThisType& setOptionDeltaToNull ( )

inlinenoexcept

Definition at line 20786 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 20624 of file Messages.h.

ThisType& setOrdStatus ( OrdStatusTrd::Enum  value )

inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 21000 of file Messages.h.

ThisType& setOrdType ( OrderType::Enum  value )

inlinenoexcept

Order type.

Definition at line 21031 of file Messages.h.

ThisType& setOrdTypeToNull ( )

inlinenoexcept

Definition at line 21040 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 20580 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 21088 of file Messages.h.

ThisType& setRiskFreeRate ( Decimal32NULL  value )

inlinenoexcept

Interest rate. Usually some form of short term rate.

Definition at line 20845 of file Messages.h.

ThisType& setRiskFreeRateToNull ( )

inlinenoexcept

Definition at line 20854 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 20725 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 20876 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 20490 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 20703 of file Messages.h.

ThisType& setSeqNum ( UInt32  value )

inlinenoexcept

Sequence number of this message.

Definition at line 20411 of file Messages.h.

ThisType& setSettlDate ( Timestamp  value )

inlinenoexcept

Specific date of trade settlement for the Spot leg.

Definition at line 21117 of file Messages.h.

ThisType& setSettlDateToNull ( )

inlinenoexcept

Definition at line 21126 of file Messages.h.

ThisType& setSide ( SideReq::Enum  value )

inlinenoexcept

Order side.

Definition at line 21060 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 20938 of file Messages.h.

ThisType& setTimeToExpiration ( Decimal32NULL  value )

inlinenoexcept

Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year.

This value is expressed as a decimal portion of a year, typically the days to expiration divided by the days in a year. Currently the year assumption is 365. Only applicable for vol quoted option trades.

Definition at line 20816 of file Messages.h.

ThisType& setTimeToExpirationToNull ( )

inlinenoexcept

Definition at line 20825 of file Messages.h.

bool settlDate ( Timestamp &  value ) const

inlinenoexcept

Specific date of trade settlement for the Spot leg.

Definition at line 21099 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 20969 of file Messages.h.

ThisType& setTradeDateToNull ( )

inlinenoexcept

Definition at line 20978 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 20681 of file Messages.h.

ThisType& setUnderlyingPx ( PRICE9  value )

inlinenoexcept

Underlying price associated with a derivative instrument.

Price for the future used in calculating the conversion of vol. to premium for the option. Only applicable for vol quoted option trades.

Definition at line 20650 of file Messages.h.

ThisType& setUnderlyingPxToNull ( )

inlinenoexcept

Definition at line 20659 of file Messages.h.

ThisType& setUuId ( UInt64  value )

inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 20431 of file Messages.h.

ThisType& setVolatility ( Decimal64NULL  value )

inlinenoexcept

Annualized volatility for option model calculations.

Only applicable for vol quoted option trades.

Definition at line 20547 of file Messages.h.

ThisType& setVolatilityToNull ( )

inlinenoexcept

Definition at line 20556 of file Messages.h.

SideReq::Enum side ( ) const

inlinenoexcept

Order side.

Definition at line 21051 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 20928 of file Messages.h.

const void* tail ( ) const

inlinenoexcept

Returns

the end of the message.

Definition at line 21390 of file Messages.h.

bool timeToExpiration ( Decimal32NULL &  value ) const

inlinenoexcept

Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year.

This value is expressed as a decimal portion of a year, typically the days to expiration divided by the days in a year. Currently the year assumption is 365. Only applicable for vol quoted option trades.

Definition at line 20802 of file Messages.h.

std::string toString ( ) const

inline

Returns

a human-readable presentation.

Definition at line 1517 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 20950 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 20671 of file Messages.h.

bool underlyingPx ( PRICE9 &  value ) const

inlinenoexcept

Underlying price associated with a derivative instrument.

Price for the future used in calculating the conversion of vol. to premium for the option. Only applicable for vol quoted option trades.

Definition at line 20638 of file Messages.h.

UInt64 uuId ( ) const

inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 20422 of file Messages.h.

bool volatility ( Decimal64NULL &  value ) const

inlinenoexcept

Annualized volatility for option model calculations.

Only applicable for vol quoted option trades.

Definition at line 20537 of file Messages.h.

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

• OnixS/CME/iLink3/messaging/Messages.h
• OnixS/CME/iLink3/messaging/MessageSerialization.h