OnixS C++ CME MDP Premium Market Data Handler  5.8.7
API Documentation
BookUpdateNotification Struct Reference

#include <OnixS/CME/MDH/BookManagement.h>

Public Types

enum  Enum { OnSecurityChange, OnEndOfEvent }
typedef UInt32 Base

Detailed Description

Definition at line 726 of file BookManagement.h.

Member Typedef Documentation

typedef UInt32 Base

Integral type used as basement for constants.

Definition at line 729 of file BookManagement.h.

Member Enumeration Documentation

enum Enum

Book update event is raised once security id is changed in sequence of market data entries being processed by the Handler.

Given strategy does not follow MDP policy on exposing order books and thus can be used on own risk! Also, books may not be in a valid state (especially consolidated), as far as exposed earlier than data for entire market event is processed.

Book update event is raised at the end of market event.

Direct books updates are raised at the end of real quotes updates, implied books updates are raised at the end of implied quotes updates and consolidated books updates are raised at the end of entire event.

Definition at line 731 of file BookManagement.h.

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