#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 |
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typedef MessageSize | EncodedLength |
typedef MessageSize | BlockLength |
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 | |
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typedef SbeGroupList< MessageSize > | GroupList |
typedef SbeVariableLengthFieldList< MessageSize > | VariableLengthFieldList |
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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) |
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SbeFields () | |
~SbeFields () | |
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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 |
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static constexpr MessageSize | getMaxMessageSize () noexcept |
Definition at line 19890 of file Messages.h.
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.
This type alias.
Definition at line 19898 of file Messages.h.
anonymous enum |
Message template ID from SBE schema.
Enumerator | |
---|---|
TemplateId |
Definition at line 19901 of file Messages.h.
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inline |
Initializes a blank instance.
Definition at line 20333 of file Messages.h.
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inline |
Initializes an instance over the given memory block.
Definition at line 20336 of file Messages.h.
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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.
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inline |
Creates an instance over the given memory block.
Definition at line 20365 of file Messages.h.
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inlineexplicit |
Creates an instance over the given SBE message.
Definition at line 20376 of file Messages.h.
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inlinenoexcept |
Creates an instance over the given memory block.
Performs no checks.
Definition at line 20387 of file Messages.h.
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inlinestaticnoexcept |
Size of message body in bytes.
Definition at line 21298 of file Messages.h.
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inlinenoexcept |
Definition at line 21399 of file Messages.h.
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inlinenoexcept |
Total amount traded (in notional) in counter currency for the Spot leg.
Definition at line 21138 of file Messages.h.
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inlinestatic |
Definition at line 21369 of file Messages.h.
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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.
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inlinenoexcept |
Total quantity filled.
Definition at line 20907 of file Messages.h.
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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.
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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.
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inlinenoexcept |
Definition at line 21199 of file Messages.h.
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inlinenoexcept |
Definition at line 21207 of file Messages.h.
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inline |
Setup repeating group with the given number of entries.
Sets all optional fields of the group entries to null.
Definition at line 21216 of file Messages.h.
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inline |
Setup repeating group with the given number of entries.
Definition at line 21227 of file Messages.h.
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inlinestaticnoexcept |
FIX message type.
Definition at line 21378 of file Messages.h.
Maximal message size.
Definition at line 21326 of file Messages.h.
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inlinestatic |
Minimal variable fields size (when variable-length fields are empty).
Definition at line 21312 of file Messages.h.
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inlinenoexcept |
Total amount traded (in notional) in base currency for the Spot leg.
Definition at line 21169 of file Messages.h.
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inlinenoexcept |
Price of this (last) fill.
Definition at line 20591 of file Messages.h.
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inlinenoexcept |
Quantity of shares bought/sold on this (last) fill.
Definition at line 20887 of file Messages.h.
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inlinenoexcept |
Text describing sender's location (i.e.
geopraphic location and/or desk).
Definition at line 20737 of file Messages.h.
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inlinestaticnoexcept |
Minimal size of message body in bytes.
Definition at line 21286 of file Messages.h.
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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.
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inlinenoexcept |
Definition at line 21239 of file Messages.h.
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inlinenoexcept |
Definition at line 21249 of file Messages.h.
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inline |
Setup repeating group with the given number of entries.
Sets all optional fields of the group entries to null.
Definition at line 21260 of file Messages.h.
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inline |
Setup repeating group with the given number of entries.
Definition at line 21271 of file Messages.h.
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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.
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inlinenoexcept |
Identifies status of order as partially filled or completely filled.
Definition at line 20990 of file Messages.h.
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inlinenoexcept |
Order type.
Definition at line 21022 of file Messages.h.
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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.
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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.
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inlinenoexcept |
Reset all variable-length and optional fields if any.
Definition at line 21347 of file Messages.h.
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inlinenoexcept |
Reset all variable-length fields if any.
Definition at line 21338 of file Messages.h.
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inlinenoexcept |
Interest rate. Usually some form of short term rate.
Definition at line 20836 of file Messages.h.
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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.
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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.
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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.
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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.
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inlinenoexcept |
Sequence number of this message.
Definition at line 20402 of file Messages.h.
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inlinenoexcept |
Total amount traded (in notional) in counter currency for the Spot leg.
Definition at line 21148 of file Messages.h.
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inlinenoexcept |
Definition at line 21157 of file Messages.h.
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.
Total quantity filled.
Definition at line 20916 of file Messages.h.
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.
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inlinenoexcept |
Total amount traded (in notional) in base currency for the Spot leg.
Definition at line 21179 of file Messages.h.
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inlinenoexcept |
Definition at line 21188 of file Messages.h.
Price of this (last) fill.
Definition at line 20600 of file Messages.h.
Quantity of shares bought/sold on this (last) fill.
Definition at line 20896 of file Messages.h.
Text describing sender's location (i.e.
geopraphic location and/or desk).
Definition at line 20748 of file Messages.h.
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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.
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inlinenoexcept |
Definition at line 20786 of file Messages.h.
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.
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inlinenoexcept |
Identifies status of order as partially filled or completely filled.
Definition at line 21000 of file Messages.h.
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inlinenoexcept |
Order type.
Definition at line 21031 of file Messages.h.
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inlinenoexcept |
Definition at line 21040 of file Messages.h.
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.
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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.
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inlinenoexcept |
Interest rate. Usually some form of short term rate.
Definition at line 20845 of file Messages.h.
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inlinenoexcept |
Definition at line 20854 of file Messages.h.
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.
Security ID as defined by CME.
For the security ID list, see the security definition messages.
Definition at line 20876 of file Messages.h.
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.
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.
Sequence number of this message.
Definition at line 20411 of file Messages.h.
Specific date of trade settlement for the Spot leg.
Definition at line 21117 of file Messages.h.
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inlinenoexcept |
Definition at line 21126 of file Messages.h.
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inlinenoexcept |
Order side.
Definition at line 21060 of file Messages.h.
The unique ID assigned to the trade once it is received or matched by the exchange.
Definition at line 20938 of file Messages.h.
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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.
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inlinenoexcept |
Definition at line 20825 of file Messages.h.
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inlinenoexcept |
Specific date of trade settlement for the Spot leg.
Definition at line 21099 of file Messages.h.
Indicates date of trading day (expressed in local time at place of trade).
Definition at line 20969 of file Messages.h.
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inlinenoexcept |
Definition at line 20978 of file Messages.h.
Time the transaction represented by this ExecutionReport (35=8) occurred.
Expressed as nanoseconds since epoch time.
Definition at line 20681 of file Messages.h.
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.
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inlinenoexcept |
Definition at line 20659 of file Messages.h.
Matches Establish.UUID used to establish the connection.
Definition at line 20431 of file Messages.h.
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inlinenoexcept |
Annualized volatility for option model calculations.
Only applicable for vol quoted option trades.
Definition at line 20547 of file Messages.h.
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inlinenoexcept |
Definition at line 20556 of file Messages.h.
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inlinenoexcept |
Order side.
Definition at line 21051 of file Messages.h.
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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.
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inlinenoexcept |
Definition at line 21390 of file Messages.h.
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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.
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inline |
Definition at line 1517 of file MessageSerialization.h.
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inlinenoexcept |
Indicates date of trading day (expressed in local time at place of trade).
Definition at line 20950 of file Messages.h.
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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.
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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.
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inlinenoexcept |
Matches Establish.UUID used to establish the connection.
Definition at line 20422 of file Messages.h.
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inlinenoexcept |
Annualized volatility for option model calculations.
Only applicable for vol quoted option trades.
Definition at line 20537 of file Messages.h.