OnixS C++ CME Market Data Handler  5.4.0
API documentation
TradeProcessing Struct Reference

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

Public Types

enum  Enum { SummaryLevel, OrderDetails }
 
typedef UInt32 Base
 

Detailed Description

Definition at line 30 of file TradeProcessing.h.

Member Typedef Documentation

typedef UInt32 Base

Integral type used as basement for constants.

Definition at line 34 of file TradeProcessing.h.

Member Enumeration Documentation

enum Enum
Enumerator
SummaryLevel 

Given strategy tells Handler to provide only summary-level of trade data. Information on orders related with a trade is not provided and only number of orders is available. Trades are exposed by Handler as soon as correspondent data is received without any additional delays.

OrderDetails 

Tells Handler to gather detailed information on orders related with each trade. As a result, trades are exposed with order ids referring to the trades in addition to summary level information exposed by trades. In this mode, trades may be exposed with delays, because MDP sends order ids after trade summary data. Also, data may be distributed across packets belonging to single market event. Therefore, in general, given strategy may be slower in compare to summary level. However, in 99% entire data is transmitted within single packet, therefore trades are exposed with no delay.

Definition at line 36 of file TradeProcessing.h.


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