41template <
class Container,
class Data =
typename Container::Entry>
64 : entry_(other.entry_)
65 , message_(other.message_)
66 , packet_(other.packet_)
100inline const TradeOrderIds& nullOrders()
102 static const TradeOrderIds theNull;
109template <
class Summary,
class Data =
typename Summary::Entry>
139 :
Base(static_cast<const
Base&>(other))
140 , orderIds_(other.orderIds_)
243 const std::string& description_;
#define ONIXS_CMEMDH_NAMESPACE_BEGIN
#define ONIXS_CMEMDH_EXPORTED_CLASS_DECL(typeName)
#define ONIXS_CMEMDH_NAMESPACE_END
#define ONIXS_CMEMDH_EXPORTED
Exposes details of book maintenance failure.
BookUpdateErrorArgs(const Book &book, const std::string &description)
Initializes instance with reference to a book and failure reason.
const std::string & description() const
const MboBook & book() const
Encapsulates all the machinery related with market data processing from CME Market Data Platform.
Collection of attributes associated with security-related data in security listener callbacks.
Container Message
Type of message whose instance is referenced by given arguments.
Data Entry
Type of repeating group entry whose instance referenced by given arguments.
SecurityDataArgs(const SecurityDataArgs &other)
Initializes instance as copy of other one.
const NetPacket & packet() const
SecurityDataArgs(const NetPacket &packet, const Message &message, const Entry &entry)
Initializes instance with given market data entry.
const Entry & entry() const
const Message & message() const
Attributes associated with security.
UInt64 UserData
User-defined data to be attached.
Collection of order details referring to a single trade.
Attributes of trade summary.
Base::Entry Entry
Aliases trade summary data entry.
TradeSummaryArgs(const NetPacket &packet, const Message &message, const Entry &entry, const OrderIds &ids=nullOrders())
Initializes instance with data to be referenced.
TradeSummaryArgs(const TradeSummaryArgs &other)
Initializes the instance as ref-copy of the other one.
Base::Message Message
Aliases type of message holding trade summary repeating group entries.
TradeOrderIds OrderIds
Aliases collection of order ids.
const OrderIds & orderIds() const
Order details referring to given trade.
MessageArgs< MultiContainer > MultiContainerArgs
MessageArgs template instantiation for a FIX multi-container.
BookUpdateErrorArgs< DirectBook > DirectBookUpdateErrorArgs
Instantiation of book update error arguments for books of direct type.
SecurityDataArgs< IncrementalRefreshBookLongQty64 > MbpBook64AtomicUpdateArgs
Instantiation of security data attributes for MBP book atomic updates.
MessageArgs< SnapshotFullRefreshLongQty69 > SnapshotFullRefresh69Args
MessageArgs template instantiation for SnapshotFullRefresh52 message type.
TradeSummaryArgs< IncrementalRefreshTradeSummaryLongQty65 > TradeSummary65Args
SecurityDataArgs< IncrementalRefreshBookLongQty64, IncrementalRefreshBook64CombinedEntry > MboBookCombined64AtomicUpdateArgs
Instantiation of security data attributes for MBO book atomic updates.
MbpBook< ImpliedPriceLevel, MbpBookDepth > ImpliedBook
Defines implied book.
MessageArgs< InstrumentDefinitionFixedIncome57 > InstrumentDefinitionFixedIncome57Args
MessageArgs template instantiation for InstrumentDefinitionFixedIncome57 message type.
MessageArgs< InstrumentDefinitionFX63 > InstrumentDefinitionFX63Args
MessageArgs template instantiation for InstrumentDefinitionFX63 message type.
SecurityDataArgs< IncrementalRefreshSessionStatistics51 > SessionStatistics51Args
Instantiation of security data attributes for session statistics.
SecurityDataArgs< IncrementalRefreshVolumeLongQty66 > Volume66Args
Instantiation of security data attributes for volumes.
SecurityDataArgs< IncrementalRefreshBook46 > MbpBook46AtomicUpdateArgs
Instantiation of security data attributes for MBP book atomic updates.
MbpBook< ConsolidatedPriceLevel, MbpBookDepth > ConsolidatedBook
Consolidated Order Book.
MessageArgs< SecurityStatus30 > SecurityStatus30Args
MessageArgs template instantiation for SecurityStatus30 message type.
BookUpdateErrorArgs< ImpliedBook > ImpliedBookUpdateErrorArgs
Instantiation of book update error arguments for books of implied type.
SecurityDataArgs< IncrementalRefreshDailyStatistics49 > DailyStatistics49Args
Instantiation of security data attributes for daily statistics.
SecurityDataArgs< IncrementalRefreshLimitsBanding50 > LimitsAndBanding50Args
Instantiation of security data attributes for limits and banding.
SecurityDataArgs< IncrementalRefreshBook46, IncrementalRefreshBook46CombinedEntry > MboBookCombined46AtomicUpdateArgs
Instantiation of security data attributes for MBO book atomic updates.
SecurityDataArgs< IncrementalRefreshOrderBook47 > MboBook47AtomicUpdateArgs
Instantiation of security data attributes for MBO book atomic updates.
MessageArgs< SnapshotFullRefresh52 > SnapshotFullRefresh52Args
MessageArgs template instantiation for SnapshotFullRefresh52 message type.
TradeSummaryArgs< IncrementalRefreshTradeSummary48 > TradeSummary48Args
SecurityDataArgs< SnapshotFullRefreshOrderBook53 > MboRecovery53EntryArgs
Instantiation of security data attributes for MBO recovery data.
SecurityDataArgs< SnapshotFullRefreshLongQty69 > Recovery69EntryArgs
Instantiation of security data attributes for recovery data.
SecurityDataArgs< IncrementalRefreshVolume37 > Volume37Args
Instantiation of security data attributes for volumes.
SecurityDataArgs< IncrementalRefreshSessionStatisticsLongQty67 > SessionStatistics67Args
Instantiation of security data attributes for session statistics.
MessageArgs< InstrumentDefinitionOption55 > InstrumentDefinitionOption55Args
MessageArgs template instantiation for InstrumentDefinitionOption55 message type.
MessageArgs< InstrumentDefinitionSpread56 > InstrumentDefinitionSpread56Args
MessageArgs template instantiation for InstrumentDefinitionSpread56 message type.
SecurityDataArgs< SnapshotFullRefresh52 > Recovery52EntryArgs
Instantiation of security data attributes for recovery data.
MessageArgs< SnapshotFullRefreshOrderBook53 > SnapshotFullRefreshOrderBook53Args
MessageArgs template instantiation for SnapshotFullRefreshOrderBook53 message type.
SecurityDataArgs< QuoteRequest39, QuoteRequest39::RelatedSymEntry > QuoteRequest39RelatedSymArgs
Instantiation of security data attributes for quote request related symbols.
std::ostream & operator<<(std::ostream &stream, const IssueArgs &args)
MessageArgs< InstrumentDefinitionFuture54 > InstrumentDefinitionFuture54Args
MessageArgs template instantiation for InstrumentDefinitionFuture54 message type.
MbpBook< DirectPriceLevel, MbpBookDepth > DirectBook
Multi-depth (direct) order book.
BookUpdateErrorArgs< MboBook > MboBookUpdateErrorArgs
Instantiation of book update error arguments for books of MBO type.
Callbacks invoked by Handler to expose market data entities.
virtual void onOpeningPrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when opening price recovered from snapshot for given security.
virtual void onTrade(Handler &, const Security &, const TradeSummary65Args &)
Invoked when trade summary is received for the security.
virtual void onDefinition(Handler &, const Security &, const FIX::MultiContainerArgs &)
Invoked upon processing of an instrument definition extracted from instrument cache.
virtual void onSettlementPrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when settlement price for the security is recovered from snapshot.
virtual void onStatus(Handler &, const Security &, const SecurityStatus30Args &)
Invoked when security status is received for given security.
virtual void onGap(Handler &, const Security &, UInt32)
Invoked when gap on is detected in market data referring to the given security.
virtual void onHighestBid(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session highest bid price recovered from snapshot for given security.
virtual void onHighTradePrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session high trade price recovered from snapshot for given security.
virtual void onLimitsAndBanding(Handler &, const Security &, const LimitsAndBanding50Args &)
Invoked when threshold limits and price band variation is received for the security.
virtual void onHighTradePrice(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session high trade price is received for the security.
virtual void onClearedVolume(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when cleared volume for the security is received.
virtual void onHighTradePrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session high trade price recovered from snapshot for given security.
virtual void onLowTradePrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session low trade price recovered from snapshot for given security.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MbpBook64AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboBook47AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onLowestOffer(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session lowest offer price is received for the security.
virtual void onOpeningPrice(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when opening price is received for the security.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboBookCombined46AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onSettlementPrice(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when settlement price for the security is received.
virtual void onBookUpdate(Handler &, const Security &, const ImpliedBook &)
Invoked when implied book is updated for the security.
virtual Security::UserData onSecurityCreated(Handler &, const Security &)
Invoked when the Security object is created. The returned value is attached to Security::userData.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboBookCombined64AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onHighestBid(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session highest bid price is received for the security.
virtual void onLowTradePrice(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session low trade price is received for the security.
virtual void onFixingPrice(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when fixing price is received for the security.
virtual void onClearedVolume(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when cleared volume for the security is recovered from snapshot.
virtual void onBookAtomicUpdate(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when atomic book update for.
virtual void onHighestBid(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session highest bid price is received for the security.
virtual void onOpenInterest(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when open interest for the security is received.
virtual void onOpeningPrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when opening price recovered from snapshot for given security.
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionFX63Args &)
Invoked upon instrument definition reception.
virtual void onLowestOffer(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session lowest offer price recovered from snapshot for given security.
virtual void onBookAtomicUpdate(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when atomic book update for.
virtual void onElectronicVolume(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when electronic volume is recovered from snapshot for the security.
virtual void onFixingPrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when fixing price recovered from snapshot for given security.
virtual void onClearedVolume(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when cleared volume for the security is recovered from snapshot.
virtual void onLowestOffer(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session lowest offer price is received for the security.
virtual void onStatus(Handler &, const Security &, const SnapshotFullRefresh69Args &)
Invoked when security status is recovered from snapshot.
virtual void onLowestOffer(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session lowest offer price recovered from snapshot for given security.
virtual void onBookUpdate(Handler &, const Security &, const MboBook &)
Invoked when MBO book is updated for the security.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MbpBook46AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onHighTradePrice(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session high trade price is received for the security.
virtual void onQuoteRequest(Handler &, const Security &, const QuoteRequest39RelatedSymArgs &)
Invoked when request for quote data is received for the security.
virtual void onElectronicVolume(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when electronic volume is recovered from snapshot for the security.
virtual void onOpeningPrice(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when opening price is received for the security.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboRecovery53EntryArgs &)
Invoked when atomic book update for.
virtual void onLowTradePrice(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session low trade price is received for the security.
virtual void onOpenInterest(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when open interest for the security is recovered from snapshot.
virtual void onGroupStatus(Handler &, const SecurityStatus30Args &)
Invoked when security status is received for group of securities.
virtual void onOpenInterest(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when open interest for the security is recovered from snapshot.
virtual void onRecovery(Handler &, const Security &, const SnapshotFullRefreshOrderBook53Args &)
Invoked when snapshot is received for the security while Handler recovers market state from snapshots...
virtual void onBookUpdate(Handler &, const Security &, const DirectBook &)
Invoked when direct book is updated for the security.
virtual void onElectronicVolume(Handler &, const Security &, const Volume37Args &)
Invoked when electronic volume is received for the security.
virtual void onElectronicVolume(Handler &, const Security &, const Volume66Args &)
Invoked when electronic volume is received for the security.
virtual void onSettlementPrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when settlement price for the security is recovered from snapshot.
virtual void onUndefined(Handler &, Security &)
Invoked for the instrument whose instrument data wasn't received but other data like trades or book u...
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionSpread56Args &)
Invoked upon instrument definition reception.
virtual void onHighestBid(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session highest bid price recovered from snapshot for given security.
virtual void onBookUpdateError(Handler &, const Security &, const ImpliedBookUpdateErrorArgs &)
Invoked when Handler fails to update implied book for given security.
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionFixedIncome57Args &)
Invoked upon instrument definition reception.
virtual void onBookUpdateError(Handler &, const Security &, const DirectBookUpdateErrorArgs &)
Invoked when Handler fails to update direct book for given security.
virtual void onRecovery(Handler &, const Security &, const SnapshotFullRefresh52Args &)
Invoked when snapshot is received for the security while Handler recovers market state from snapshots...
virtual void onBookUpdateError(Handler &, const Security &, const MboBookUpdateErrorArgs &)
Invoked when Handler fails to update MBO book for given security.
virtual void onTrade(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when trade is recovered from snapshot while Handler recovers market state from snapshots.
virtual void onReset(Handler &)
Invoked when book reset procedure is spawned by MDP on a channel.
virtual void onLowTradePrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session low trade price recovered from snapshot for given security.
virtual void onFixingPrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when fixing price recovered from snapshot for given security.
virtual void onStatus(Handler &, const Security &, const SnapshotFullRefresh52Args &)
Invoked when security status is recovered from snapshot.
virtual void onBookUpdate(Handler &, const Security &, const ConsolidatedBook &)
Invoked when consolidated book is updated for the security.
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionFuture54Args &)
Invoked upon instrument definition reception.
virtual void onTrade(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when trade is recovered from snapshot while Handler recovers market state from snapshots.
virtual void onTrade(Handler &, const Security &, const TradeSummary48Args &)
Invoked when trade summary is received for the security.
virtual void onRecovery(Handler &, const Security &, const SnapshotFullRefresh69Args &)
Invoked when snapshot is received for the security while Handler recovers market state from snapshots...
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionOption55Args &)
Invoked upon instrument definition reception.