Classes
struct	FillsEntry
struct	OrderEventsEntry

Public Types
enum
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 ()=default
	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	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 const Char *	className ()
static constexpr StrRef	fixType () noexcept

Additional Inherited Members
Protected Types inherited from SbeMessage
typedef SbeGroupList< MessageSize >	GroupList
typedef SbeVariableLengthFieldList< MessageSize >	VariableLengthFieldList
Protected Member Functions inherited from SbeMessage
SbeMessage &	version (SchemaVersion version) noexcept
GroupList	groups () noexcept
GroupList	groups () const noexcept
template<typename Group>
void	initGroup (Group &group, typename Group::EntrySize entrySize) noexcept
template<typename Group>
void	setupGroup (Group &group, typename Group::Size entryCount, const void *messageTail)
template<typename Group>
void	constructGroup (Group &group, typename Group::Size entryCount, const void *messageTail)
void	setVarDataField (DATA &data, StrRef value, const void *oldMessageTail)
VariableLengthFieldList	variableLengthFields () noexcept
VariableLengthFieldList	variableLengthFields () const noexcept
void	init (MessageHeader::TemplateId value, MessageHeader::BlockLength minimalBlockLength, MessageHeader::BlockLength blockLength, SchemaId id) noexcept
MessageSize	calculateBinarySize (const void *tail) const noexcept
template<class Callable, class Owner>
void	setVariableLengthField (Callable callable, StrRef value, Owner &owner)
template<class Callable, class Owner>
void	setVariableLengthField (Callable callable, StrRef value, SchemaVersion since, Owner &owner)
template<class Callable, class Owner>
StrRef	getVariableLengthField (Callable callable, const Owner &owner) const noexcept
template<class Callable, class Owner>
StrRef	getVariableLengthField (Callable callable, SchemaVersion since, Owner &owner) const noexcept
template<class Callable, class Owner>
void	setVariableLengthFieldToNull (Callable callable, Owner &owner) noexcept
template<class Group, class Callable, class Owner>
void	resetGroup (Callable callable, Owner &owner) noexcept
template<class Callable, class Owner>
void	setVariableLengthFieldToNull (Callable callable, SchemaVersion since, Owner &owner) noexcept
template<class Group, class Callable, class Owner>
void	resetGroup (Callable callable, SchemaVersion since, Owner &owner)
template<class Group, class Callable, class Owner>
Group	getGroup (Callable callable, Owner &owner) const noexcept
template<class Group, class Callable, class Owner>
Group	getGroup (Callable callable, SchemaVersion since, Owner &owner) const noexcept
template<class Group, class Callable, class Owner>
Group	constructGroup (Callable callable, typename Group::Size length, SchemaVersion since, Owner &owner)
template<class Group, class Callable, class Owner>
Group	constructGroup (Callable callable, typename Group::Size length, Owner &owner)
template<class Group, class Callable, class Owner>
Group	setupGroup (Callable callable, typename Group::Size length, SchemaVersion since, Owner &owner)
template<class Group, class Callable, class Owner>
Group	setupGroup (Callable callable, typename Group::Size length, Owner &owner)
Protected Member Functions inherited from SbeFields< Messaging::SbeMessage, MessageSize >
	SbeFields ()=default
	~SbeFields ()=default
Protected Member Functions inherited from BinaryBlock< Messaging::SbeMessage, MessageSize >
	BinaryBlock ()=default
	~BinaryBlock ()=default
Value	ordinary (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 19857 of file Messages.h.

Member Typedef Documentation

◆ Fills

typedef SbeGroup<FillsEntry, GroupSize, MessageSize> Fills

Repeating group containing FillsEntry entries.

Definition at line 20049 of file Messages.h.

◆ OrderEvents

typedef SbeGroup<OrderEventsEntry, GroupSize, MessageSize> OrderEvents

Repeating group containing OrderEventsEntry entries.

Definition at line 20297 of file Messages.h.

◆ Schema

typedef SchemaTraits Schema

Used template schema.

Definition at line 19862 of file Messages.h.

◆ ThisType

typedef ExecutionReportTradeSpreadLeg527 ThisType

This type alias.

Definition at line 19865 of file Messages.h.

Member Enumeration Documentation

◆ anonymous enum

anonymous enum

Message template ID from SBE schema.

Enumerator
TemplateId	527

Definition at line 19868 of file Messages.h.

Constructor & Destructor Documentation

◆ ExecutionReportTradeSpreadLeg527() [1/6]

ExecutionReportTradeSpreadLeg527 ( )

default

Initializes a blank instance.

◆ ExecutionReportTradeSpreadLeg527() [2/6]

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

inline

Initializes an instance over the given memory block.

Definition at line 20303 of file Messages.h.

◆ ExecutionReportTradeSpreadLeg527() [3/6]

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 20318 of file Messages.h.

◆ ExecutionReportTradeSpreadLeg527() [4/6]

ExecutionReportTradeSpreadLeg527	(	void *	data,
		EncodedLength	length,
		NoInit	)

inline

Creates an instance over the given memory block.

Definition at line 20332 of file Messages.h.

◆ ExecutionReportTradeSpreadLeg527() [5/6]

ExecutionReportTradeSpreadLeg527 ( const SbeMessage & message )

inlineexplicit

Creates an instance over the given SBE message.

Definition at line 20343 of file Messages.h.

◆ ExecutionReportTradeSpreadLeg527() [6/6]

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

inlinenoexcept

Creates an instance over the given memory block.

Performs no checks.

Definition at line 20354 of file Messages.h.

Member Function Documentation

◆ blockLength()

constexpr BlockLength blockLength ( SchemaVersion version )

inlinestaticconstexprnoexcept

Size of message body in bytes.

Definition at line 21265 of file Messages.h.

◆ calculateBinarySize()

EncodedLength calculateBinarySize ( ) const

inlinenoexcept

Returns: the size occupied by the message.

Definition at line 21366 of file Messages.h.

◆ calculatedCcyLastQty()

bool calculatedCcyLastQty ( Decimal64NULL & value ) const

inlinenoexcept

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

Definition at line 21105 of file Messages.h.

◆ className()

constexpr const Char * className ( )

inlinestaticconstexpr

Returns: class name.

Definition at line 21336 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 20475 of file Messages.h.

◆ cumQty()

UInt32 cumQty ( ) const

inlinenoexcept

Total quantity filled.

Definition at line 20874 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 20411 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 20981 of file Messages.h.

◆ fills() [1/4]

Fills fills ( ) const

inlinenoexcept

Returns: instance of Fills repeating group.

Definition at line 21166 of file Messages.h.

◆ fills() [2/4]

Fills fills ( )

inlinenoexcept

Returns: instance of Fills repeating group.

Definition at line 21174 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 21183 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 21194 of file Messages.h.

◆ fixType()

constexpr StrRef fixType ( )

inlinestaticconstexprnoexcept

FIX message type.

Definition at line 21345 of file Messages.h.

◆ getMaxMessageSize()

constexpr UInt64 getMaxMessageSize ( UInt8 maxGroupItems = 255 )

inlinestaticconstexprnoexcept

Maximal message size.

Definition at line 21293 of file Messages.h.

◆ getMinimalVariableFieldsSize()

constexpr MessageSize getMinimalVariableFieldsSize ( SchemaVersion version )

inlinestaticconstexpr

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

Definition at line 21279 of file Messages.h.

◆ grossTradeAmt()

bool grossTradeAmt ( Decimal64NULL & value ) const

inlinenoexcept

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

Definition at line 21136 of file Messages.h.

◆ lastPx()

PRICE9 lastPx ( ) const

inlinenoexcept

Price of this (last) fill.

Definition at line 20558 of file Messages.h.

◆ lastQty()

UInt32 lastQty ( ) const

inlinenoexcept

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

Definition at line 20854 of file Messages.h.

◆ location()

StrRef location ( ) const

inlinenoexcept

Text describing sender's location (i.e.

geopraphic location and/or desk).

Definition at line 20704 of file Messages.h.

◆ minimalBlockLength()

constexpr BlockLength minimalBlockLength ( SchemaVersion version )

inlinestaticconstexprnoexcept

Minimal size of message body in bytes.

Definition at line 21253 of file Messages.h.

◆ optionDelta()

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 20731 of file Messages.h.

◆ orderEvents() [1/4]

OrderEvents orderEvents ( ) const

inlinenoexcept

Returns: instance of OrderEvents repeating group.

Definition at line 21206 of file Messages.h.

◆ orderEvents() [2/4]

OrderEvents orderEvents ( )

inlinenoexcept

Returns: instance of OrderEvents repeating group.

Definition at line 21216 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 21227 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 21238 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 20580 of file Messages.h.

◆ ordStatus()

OrdStatusTrd::Enum ordStatus ( ) const

inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 20957 of file Messages.h.

◆ ordType()

bool ordType ( OrderType::Enum & value ) const

inlinenoexcept

Order type.

Definition at line 20989 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 20536 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 21042 of file Messages.h.

◆ reset()

ThisType & reset ( )

inlinenoexcept

Reset all variable-length and optional fields if any.

Definition at line 21314 of file Messages.h.

◆ resetVariableFields()

ThisType & resetVariableFields ( )

inlinenoexcept

Reset all variable-length fields if any.

Definition at line 21305 of file Messages.h.

◆ riskFreeRate()

bool riskFreeRate ( Decimal32NULL & value ) const

inlinenoexcept

Interest rate. Usually some form of short term rate.

Definition at line 20803 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 20682 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 20833 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 20441 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 20660 of file Messages.h.

◆ seqNum()

UInt32 seqNum ( ) const

inlinenoexcept

Sequence number of this message.

Definition at line 20369 of file Messages.h.

◆ setCalculatedCcyLastQty()

ThisType & setCalculatedCcyLastQty ( Decimal64NULL value )

inlinenoexcept

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

Definition at line 21115 of file Messages.h.

◆ setCalculatedCcyLastQtyToNull()

ThisType & setCalculatedCcyLastQtyToNull ( )

inlinenoexcept

Definition at line 21124 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 20491 of file Messages.h.

◆ setCumQty()

ThisType & setCumQty ( UInt32 value )

inlinenoexcept

Total quantity filled.

Definition at line 20883 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 20423 of file Messages.h.

◆ setGrossTradeAmt()

ThisType & setGrossTradeAmt ( Decimal64NULL value )

inlinenoexcept

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

Definition at line 21146 of file Messages.h.

◆ setGrossTradeAmtToNull()

ThisType & setGrossTradeAmtToNull ( )

inlinenoexcept

Definition at line 21155 of file Messages.h.

◆ setLastPx()

ThisType & setLastPx ( PRICE9 value )

inlinenoexcept

Price of this (last) fill.

Definition at line 20567 of file Messages.h.

◆ setLastQty()

ThisType & setLastQty ( UInt32 value )

inlinenoexcept

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

Definition at line 20863 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 20715 of file Messages.h.

◆ setOptionDelta()

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 20744 of file Messages.h.

◆ setOptionDeltaToNull()

ThisType & setOptionDeltaToNull ( )

inlinenoexcept

Definition at line 20753 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 20591 of file Messages.h.

◆ setOrdStatus()

ThisType & setOrdStatus ( OrdStatusTrd::Enum value )

inlinenoexcept

Identifies status of order as partially filled or completely filled.

Definition at line 20967 of file Messages.h.

◆ setOrdType()

ThisType & setOrdType ( OrderType::Enum value )

inlinenoexcept

Order type.

Definition at line 20998 of file Messages.h.

◆ setOrdTypeToNull()

ThisType & setOrdTypeToNull ( )

inlinenoexcept

Definition at line 21007 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 20547 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 21055 of file Messages.h.

◆ setRiskFreeRate()

ThisType & setRiskFreeRate ( Decimal32NULL value )

inlinenoexcept

Interest rate. Usually some form of short term rate.

Definition at line 20812 of file Messages.h.

◆ setRiskFreeRateToNull()

ThisType & setRiskFreeRateToNull ( )

inlinenoexcept

Definition at line 20821 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 20692 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 20843 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 20457 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 20670 of file Messages.h.

◆ setSeqNum()

ThisType & setSeqNum ( UInt32 value )

inlinenoexcept

Sequence number of this message.

Definition at line 20378 of file Messages.h.

◆ setSettlDate()

ThisType & setSettlDate ( Timestamp value )

inlinenoexcept

Specific date of trade settlement for the Spot leg.

Definition at line 21084 of file Messages.h.

◆ setSettlDateToNull()

ThisType & setSettlDateToNull ( )

inlinenoexcept

Definition at line 21093 of file Messages.h.

◆ setSide()

ThisType & setSide ( SideReq::Enum value )

inlinenoexcept

Order side.

Definition at line 21027 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 20905 of file Messages.h.

◆ setTimeToExpiration()

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 20783 of file Messages.h.

◆ setTimeToExpirationToNull()

ThisType & setTimeToExpirationToNull ( )

inlinenoexcept

Definition at line 20792 of file Messages.h.

◆ settlDate()

bool settlDate ( Timestamp & value ) const

inlinenoexcept

Specific date of trade settlement for the Spot leg.

Definition at line 21066 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 20936 of file Messages.h.

◆ setTradeDateToNull()

ThisType & setTradeDateToNull ( )

inlinenoexcept

Definition at line 20945 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 20648 of file Messages.h.

◆ setUnderlyingPx()

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 20617 of file Messages.h.

◆ setUnderlyingPxToNull()

ThisType & setUnderlyingPxToNull ( )

inlinenoexcept

Definition at line 20626 of file Messages.h.

◆ setUuId()

ThisType & setUuId ( UInt64 value )

inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 20398 of file Messages.h.

◆ setVolatility()

ThisType & setVolatility ( Decimal64NULL value )

inlinenoexcept

Annualized volatility for option model calculations.

Only applicable for vol quoted option trades.

Definition at line 20514 of file Messages.h.

◆ setVolatilityToNull()

ThisType & setVolatilityToNull ( )

inlinenoexcept

Definition at line 20523 of file Messages.h.

◆ side()

SideReq::Enum side ( ) const

inlinenoexcept

Order side.

Definition at line 21018 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 20895 of file Messages.h.

◆ tail()

const void * tail ( ) const

inlinenoexcept

Returns: the end of the message.

Definition at line 21357 of file Messages.h.

◆ timeToExpiration()

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 20769 of file Messages.h.

◆ toString()

std::string toString ( ) const

inline

Returns: a human-readable presentation.

Definition at line 1517 of file MessageSerialization.h.

◆ tradeDate()

bool tradeDate ( Timestamp & value ) const

inlinenoexcept

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

Definition at line 20917 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 20638 of file Messages.h.

◆ underlyingPx()

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 20605 of file Messages.h.

◆ uuId()

UInt64 uuId ( ) const

inlinenoexcept

Matches Establish.UUID used to establish the connection.

Definition at line 20389 of file Messages.h.

◆ volatility()

bool volatility ( Decimal64NULL & value ) const

inlinenoexcept

Annualized volatility for option model calculations.

Only applicable for vol quoted option trades.

Definition at line 20504 of file Messages.h.

Classes

Public Types

Public Member Functions

Static Public Member Functions

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ Fills

◆ OrderEvents

◆ Schema

◆ ThisType

Member Enumeration Documentation

◆ anonymous enum

Constructor & Destructor Documentation

◆ ExecutionReportTradeSpreadLeg527() [1/6]

◆ ExecutionReportTradeSpreadLeg527() [2/6]

◆ ExecutionReportTradeSpreadLeg527() [3/6]

◆ ExecutionReportTradeSpreadLeg527() [4/6]

◆ ExecutionReportTradeSpreadLeg527() [5/6]

◆ ExecutionReportTradeSpreadLeg527() [6/6]

Member Function Documentation

◆ blockLength()

◆ calculateBinarySize()

◆ calculatedCcyLastQty()

◆ className()

◆ clOrdId()

◆ cumQty()

◆ execId()

◆ execType()

◆ fills() [1/4]

◆ fills() [2/4]

◆ fills() [3/4]

◆ fills() [4/4]

◆ fixType()

◆ getMaxMessageSize()

◆ getMinimalVariableFieldsSize()

◆ grossTradeAmt()

◆ lastPx()

◆ lastQty()

◆ location()

◆ minimalBlockLength()

◆ optionDelta()

◆ orderEvents() [1/4]

◆ orderEvents() [2/4]

◆ orderEvents() [3/4]

◆ orderEvents() [4/4]

◆ orderId()

◆ ordStatus()

◆ ordType()

◆ partyDetailsListReqId()

◆ possRetransFlag()

◆ reset()

◆ resetVariableFields()

◆ riskFreeRate()

◆ secExecId()

◆ securityId()

◆ senderId()

◆ sendingTimeEpoch()

◆ seqNum()

◆ setCalculatedCcyLastQty()

◆ setCalculatedCcyLastQtyToNull()

◆ setClOrdId()

◆ setCumQty()

◆ setExecId()

◆ setGrossTradeAmt()

◆ setGrossTradeAmtToNull()

◆ setLastPx()

◆ setLastQty()

◆ setLocation()

◆ setOptionDelta()

◆ setOptionDeltaToNull()

◆ setOrderId()

◆ setOrdStatus()

◆ setOrdType()

◆ setOrdTypeToNull()

◆ setPartyDetailsListReqId()

◆ setPossRetransFlag()

◆ setRiskFreeRate()

◆ setRiskFreeRateToNull()

◆ setSecExecId()