OnixS C++ CME iLink 3 Binary Order Entry Handler  1.15.0
API Documentation
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, MessageSizeFills
 
typedef SbeGroup< OrderEventsEntry, GroupSize, MessageSizeOrderEvents
 
- 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
 
ThisTypesetSeqNum (UInt32 value) noexcept
 
UInt64 uuId () const noexcept
 
ThisTypesetUuId (UInt64 value) noexcept
 
StrRef execId () const noexcept
 
ThisTypesetExecId (StrRef value) noexcept
 
StrRef senderId () const noexcept
 
ThisTypesetSenderId (StrRef value) noexcept
 
StrRef clOrdId () const noexcept
 
ThisTypesetClOrdId (StrRef value) noexcept
 
bool volatility (Decimal64NULL &value) const noexcept
 
ThisTypesetVolatility (Decimal64NULL value) noexcept
 
ThisTypesetVolatilityToNull () noexcept
 
UInt64 partyDetailsListReqId () const noexcept
 
ThisTypesetPartyDetailsListReqId (UInt64 value) noexcept
 
PRICE9 lastPx () const noexcept
 
ThisTypesetLastPx (PRICE9 value) noexcept
 
UInt64 orderId () const noexcept
 
ThisTypesetOrderId (UInt64 value) noexcept
 
bool underlyingPx (PRICE9 &value) const noexcept
 
ThisTypesetUnderlyingPx (PRICE9 value) noexcept
 
ThisTypesetUnderlyingPxToNull () noexcept
 
UInt64 transactTime () const noexcept
 
ThisTypesetTransactTime (UInt64 value) noexcept
 
UInt64 sendingTimeEpoch () const noexcept
 
ThisTypesetSendingTimeEpoch (UInt64 value) noexcept
 
UInt64 secExecId () const noexcept
 
ThisTypesetSecExecId (UInt64 value) noexcept
 
StrRef location () const noexcept
 
ThisTypesetLocation (StrRef value) noexcept
 
bool optionDelta (Decimal32NULL &value) const noexcept
 
ThisTypesetOptionDelta (Decimal32NULL value) noexcept
 
ThisTypesetOptionDeltaToNull () noexcept
 
bool timeToExpiration (Decimal32NULL &value) const noexcept
 
ThisTypesetTimeToExpiration (Decimal32NULL value) noexcept
 
ThisTypesetTimeToExpirationToNull () noexcept
 
bool riskFreeRate (Decimal32NULL &value) const noexcept
 
ThisTypesetRiskFreeRate (Decimal32NULL value) noexcept
 
ThisTypesetRiskFreeRateToNull () noexcept
 
Int32 securityId () const noexcept
 
ThisTypesetSecurityId (Int32 value) noexcept
 
UInt32 lastQty () const noexcept
 
ThisTypesetLastQty (UInt32 value) noexcept
 
UInt32 cumQty () const noexcept
 
ThisTypesetCumQty (UInt32 value) noexcept
 
UInt32 sideTradeId () const noexcept
 
ThisTypesetSideTradeId (UInt32 value) noexcept
 
bool tradeDate (Timestamp &value) const noexcept
 
ThisTypesetTradeDate (Timestamp value) noexcept
 
ThisTypesetTradeDateToNull () noexcept
 
OrdStatusTrd::Enum ordStatus () const noexcept
 
ThisTypesetOrdStatus (OrdStatusTrd::Enum value) noexcept
 
bool ordType (OrderType::Enum &value) const noexcept
 
ThisTypesetOrdType (OrderType::Enum value) noexcept
 
ThisTypesetOrdTypeToNull () noexcept
 
SideReq::Enum side () const noexcept
 
ThisTypesetSide (SideReq::Enum value) noexcept
 
BooleanFlag::Enum possRetransFlag () const noexcept
 
ThisTypesetPossRetransFlag (BooleanFlag::Enum value) noexcept
 
bool settlDate (Timestamp &value) const noexcept
 
ThisTypesetSettlDate (Timestamp value) noexcept
 
ThisTypesetSettlDateToNull () noexcept
 
bool calculatedCcyLastQty (Decimal64NULL &value) const noexcept
 
ThisTypesetCalculatedCcyLastQty (Decimal64NULL value) noexcept
 
ThisTypesetCalculatedCcyLastQtyToNull () noexcept
 
bool grossTradeAmt (Decimal64NULL &value) const noexcept
 
ThisTypesetGrossTradeAmt (Decimal64NULL value) noexcept
 
ThisTypesetGrossTradeAmtToNull () 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)
 
ThisTyperesetVariableFields () noexcept
 
ThisTypereset () noexcept
 
std::string toString () const
 
const void * tail () const noexcept
 
EncodedLength calculateBinarySize () const noexcept
 
- Public Member Functions inherited from SbeMessage
 SbeMessage () noexcept
 
 SbeMessage (void *data, MessageSize size, SchemaVersion version)
 
 SbeMessage (void *data, MessageSize size)
 
 SbeMessage (void *data, MessageSize size, NoCheck) noexcept
 
void clear () noexcept
 
bool valid () const noexcept
 
MessageTemplateId templateId () const noexcept
 
SchemaVersion version () const noexcept
 
SchemaId schemaId () const noexcept
 
const void * binary () const noexcept
 
void * binary () noexcept
 
const void * blockEnd () noexcept
 
const void * blockEnd () const noexcept
 
MessageSize bufferSize () const noexcept
 
void * body () noexcept
 
BlockLength blockLength () const noexcept
 
const void * block () const noexcept
 
void * block () noexcept
 
- Public Member Functions inherited from SbeFields< Messaging::SbeMessage, MessageSize >
Messaging::SbeMessagecontainer () noexcept
 
void zeroPaddingBytes (MessageSize offset) noexcept
 
void setOrdinary (MessageSize offset, FieldValue value) noexcept
 
void setOrdinary (MessageSize offset, FieldValue value, SchemaVersion since)
 
void setEnumeration (MessageSize offset, typename Enumeration::Enum value) noexcept
 
void setEnumeration (MessageSize offset, typename Enumeration::Enum value, SchemaVersion since)
 
void setFixedStr (MessageSize offset, StrRef value) noexcept
 
void setFixedStr (MessageSize offset, StrRef value, SchemaVersion since)
 

Static Public Member Functions

static constexpr ExecTypeTrade execType () noexcept
 
static constexpr BlockLength minimalBlockLength (SchemaVersion version) noexcept
 
static constexpr BlockLength blockLength (SchemaVersion version) noexcept
 
static constexpr MessageSize getMinimalVariableFieldsSize (SchemaVersion version)
 
static constexpr UInt64 getMaxMessageSize (UInt8 maxGroupItems=255) noexcept
 
static constexpr const CharclassName ()
 
static constexpr StrRef fixType () noexcept
 

Additional Inherited Members

- Protected Types inherited from SbeMessage
typedef SbeGroupList< MessageSizeGroupList
 
typedef SbeVariableLengthFieldList< MessageSizeVariableLengthFieldList
 
- Protected Member Functions inherited from SbeMessage
SbeMessageversion (SchemaVersion version) noexcept
 
GroupList groups () noexcept
 
GroupList groups () const noexcept
 
template<typename Group >
void initGroup (Group &group, typename Group::EntrySize entrySize) noexcept
 
template<typename Group >
void setupGroup (Group &group, typename Group::Size entryCount, const void *messageTail)
 
template<typename Group >
void constructGroup (Group &group, typename Group::Size entryCount, const void *messageTail)
 
void setVarDataField (DATA &data, StrRef value, const void *oldMessageTail)
 
VariableLengthFieldList variableLengthFields () noexcept
 
VariableLengthFieldList variableLengthFields () const noexcept
 
void init (MessageHeader::TemplateId value, MessageHeader::BlockLength minimalBlockLength, MessageHeader::BlockLength blockLength, SchemaId id) noexcept
 
MessageSize calculateBinarySize (const void *tail) const noexcept
 
template<class Callable , class Owner >
void setVariableLengthField (Callable callable, StrRef value, Owner &owner)
 
template<class Callable , class Owner >
void setVariableLengthField (Callable callable, StrRef value, SchemaVersion since, Owner &owner)
 
template<class Callable , class Owner >
StrRef getVariableLengthField (Callable callable, const Owner &owner) const noexcept
 
template<class Callable , class Owner >
StrRef getVariableLengthField (Callable callable, SchemaVersion since, Owner &owner) const noexcept
 
template<class Callable , class Owner >
void setVariableLengthFieldToNull (Callable callable, Owner &owner) noexcept
 
template<class Group , class Callable , class Owner >
void resetGroup (Callable callable, Owner &owner) noexcept
 
template<class Callable , class Owner >
void setVariableLengthFieldToNull (Callable callable, SchemaVersion since, Owner &owner) noexcept
 
template<class Group , class Callable , class Owner >
void resetGroup (Callable callable, SchemaVersion since, Owner &owner)
 
template<class Group , class Callable , class Owner >
Group getGroup (Callable callable, Owner &owner) const noexcept
 
template<class Group , class Callable , class Owner >
Group getGroup (Callable callable, SchemaVersion since, Owner &owner) const noexcept
 
template<class Group , class Callable , class Owner >
Group constructGroup (Callable callable, typename Group::Size length, SchemaVersion since, Owner &owner)
 
template<class Group , class Callable , class Owner >
Group constructGroup (Callable callable, typename Group::Size length, Owner &owner)
 
template<class Group , class Callable , class Owner >
Group setupGroup (Callable callable, typename Group::Size length, SchemaVersion since, Owner &owner)
 
template<class Group , class Callable , class Owner >
Group setupGroup (Callable callable, typename Group::Size length, Owner &owner)
 
- Protected Member Functions inherited from SbeFields< Messaging::SbeMessage, MessageSize >
 SbeFields ()
 
 ~SbeFields ()
 
- Protected Member Functions inherited from BinaryBlock< Messaging::SbeMessage, MessageSize >
 BinaryBlock ()
 
 ~BinaryBlock ()
 
Value ordinary (MessageSize offset) const noexcept
 
bool ordinary (Value &value, MessageSize offset, NullValue null) const noexcept
 
bool ordinary (Value &value, MessageSize offset, NullValue null, SchemaVersion since) const noexcept
 
Enumeration::Enum enumeration (MessageSize offset) const noexcept
 
bool enumeration (typename Enumeration::Enum &value, MessageSize offset, NullValue null) const noexcept
 
bool enumeration (typename Enumeration::Enum &value, MessageSize offset, NullValue null, SchemaVersion since) const noexcept
 
Value decimal (MessageSize offset) const noexcept
 
bool decimal (Value &value, MessageSize offset, NullValue null) const noexcept
 
bool decimal (Value &value, MessageSize offset, NullValue null, SchemaVersion since) const noexcept
 
StrRef fixedStr (MessageSize offset) const noexcept
 
bool fixedStr (StrRef &value, MessageSize offset) const noexcept
 
bool fixedStr (StrRef &value, MessageSize offset, SchemaVersion since) const noexcept
 
- Static Protected Member Functions inherited from SbeMessage
static constexpr MessageSize getMaxMessageSize () noexcept
 

Detailed Description

Definition at line 19890 of file Messages.h.

Member Typedef Documentation

Repeating group containing FillsEntry entries.

Definition at line 20082 of file Messages.h.

Repeating group containing OrderEventsEntry entries.

Definition at line 20330 of file Messages.h.

Used template schema.

Definition at line 19895 of file Messages.h.

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

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.


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