OnixS C++ CME Streamlined Market Data Handler  1.1.0.5
API documentation
IncrementalRefreshErisReferenceDataAndDailyStatistics333::Entry Struct Reference

#include <Messages.h>

Collaboration diagram for IncrementalRefreshErisReferenceDataAndDailyStatistics333::Entry:

Classes

struct  EventsEntry
 
struct  RelatedInstrumentsEntry
 
struct  SecurityAltIDEntry
 

Public Types

typedef BinaryGroupEntry< GroupSize::BlockLengthBase
 
typedef BinaryGroup< SecurityAltIDEntry, GroupSize, MessageSizeSecurityAltID
 
typedef BinaryGroup< RelatedInstrumentsEntry, GroupSize, MessageSizeRelatedInstruments
 
typedef BinaryGroup< EventsEntry, GroupSize, MessageSizeEvents
 

Public Member Functions

 Entry ()
 
 Entry (const void *data, EncodedLength length, SchemaVersion version)
 
CHAR updateAction () const
 
CHAR entryType () const
 
UInt32 rptSeq () const
 
bool entryPx (Decimal &value) const
 
bool openCloseSettlFlag (UInt8 &value) const
 
SettlPriceType settlPriceType () const
 
bool calFutPx (Decimal &value) const
 
bool referenceId (StrRef &value) const
 
bool entrySize (UInt64 &value) const
 
bool symbol (StrRef &value) const
 
bool securityGroup (StrRef &value) const
 
bool product (UInt8 &value) const
 
bool securityType (StrRef &value) const
 
StrRef securityExchange () const
 
bool maturityDate (Timestamp &value) const
 
bool couponRate (Decimal &value) const
 
bool tradeDate (Timestamp &value) const
 
bool fairCouponPct (Decimal &value) const
 
bool legPurchaseRate (Decimal &value) const
 
bool fixedNPV (Decimal &value) const
 
bool floatNPV (Decimal &value) const
 
bool npv (Decimal &value) const
 
bool accruedCoupons (Decimal &value) const
 
bool dailyIncrementalErisPAI (Decimal &value) const
 
bool erisPAI (Decimal &value) const
 
bool fedFundsRate (Decimal &value) const
 
bool minPriceIncrement (Decimal &value) const
 
bool fixedPayment (Decimal &value) const
 
bool floatingPayment (Decimal &value) const
 
bool nextFixedPaymentDate (Timestamp &value) const
 
bool nextFixedPaymentAmount (Decimal &value) const
 
bool nextFloatingPaymentAmount (Decimal &value) const
 
bool tradingReferenceDate (Timestamp &value) const
 
bool previousErisPAI (Decimal &value) const
 
bool fedFundsDate (Timestamp &value) const
 
bool accrualDays (UInt32 &value) const
 
bool minal (UInt64 &value) const
 
bool legCreditRating (StrRef &value) const
 
bool legContractMultiplier (Decimal &value) const
 
bool nextFloatingPaymentDate (Timestamp &value) const
 
bool pV01 (Decimal &value) const
 
bool dV01 (Decimal &value) const
 
bool settlementNPV (Decimal &value) const
 
bool finalSettlementFuturesPrice (Decimal &value) const
 
bool securityDescription (StrRef &value) const
 
SecurityAltID securityAltId () const
 
RelatedInstruments relatedInstruments () const
 
Events events () const
 
Entry next (SchemaVersion) const
 

Static Public Member Functions

static ONIXS_CMESTREAMLINEDMDH_EXPORTED BlockLength blockLength (SchemaVersion)
 
static ONIXS_CMESTREAMLINEDMDH_EXPORTED const CharclassName ()
 

Detailed Description

Number of entries in Market Data message.. Entry of Entry repeating group.

Definition at line 200 of file Messages.h.

Member Typedef Documentation

Aliases base class type.

Definition at line 212 of file Messages.h.

Repeating group containing EventsEntry entries.

Definition at line 459 of file Messages.h.

Repeating group containing RelatedInstrumentsEntry entries.

Definition at line 385 of file Messages.h.

Repeating group containing SecurityAltIDEntry entries.

Definition at line 303 of file Messages.h.

Constructor & Destructor Documentation

Entry ( )
inline

Initializes blank instance.

Definition at line 215 of file Messages.h.

Entry ( const void *  data,
EncodedLength  length,
SchemaVersion  version 
)
inline

Initializes instance of given version over given memory block.

Definition at line 221 of file Messages.h.

Member Function Documentation

bool accrualDays ( UInt32 value) const
inline

How many days have passed since settlement price was last calculated.

Definition at line 853 of file Messages.h.

bool accruedCoupons ( Decimal value) const
inline

This value represents accumulated fixed and floating amounts.

Definition at line 694 of file Messages.h.

static ONIXS_CMESTREAMLINEDMDH_EXPORTED BlockLength blockLength ( SchemaVersion  )
inlinestatic

Returns size of entry body in bytes for given version of message template.

Definition at line 992 of file Messages.h.

bool calFutPx ( Decimal value) const
inline

Calculated Futures Price using Swap NPV, Historical fixed and floating amounts and synthetic interest on variation margin.

Definition at line 517 of file Messages.h.

static ONIXS_CMESTREAMLINEDMDH_EXPORTED const Char* className ( )
inlinestatic

Entity class name.

Definition at line 1009 of file Messages.h.

bool couponRate ( Decimal value) const
inline

The rate of the fixed leg.

Definition at line 611 of file Messages.h.

bool dailyIncrementalErisPAI ( Decimal value) const
inline

This number represents the day over day variation margin for 1 contract for this instrument ID or Eris PAI.

Definition at line 705 of file Messages.h.

bool dV01 ( Decimal value) const
inline

Present value of on basis points change in value if yield curve shifts 1bp.

Definition at line 923 of file Messages.h.

bool entryPx ( Decimal value) const
inline

Price of the Market Data Entry.

Definition at line 486 of file Messages.h.

bool entrySize ( UInt64 value) const
inline

Quantity or volume represented by the Market Data Entry.

Definition at line 536 of file Messages.h.

CHAR entryType ( ) const
inline

Indicates the type of Market Data entry.

Definition at line 470 of file Messages.h.

bool erisPAI ( Decimal value) const
inline

This is the cumulative daily interest adjustment.

Definition at line 715 of file Messages.h.

Events events ( ) const
inline

Returns instance of Events repeating group.

Definition at line 980 of file Messages.h.

bool fairCouponPct ( Decimal value) const
inline

Shows the coupon rate that would result in a zero-NPV swap.

Definition at line 639 of file Messages.h.

bool fedFundsDate ( Timestamp value) const
inline

The date that the for which the fed funds date was published.

Definition at line 834 of file Messages.h.

bool fedFundsRate ( Decimal value) const
inline

The Fed Funds Rate published for the Fed Funds Date by the New York Federal Reserve.

Definition at line 726 of file Messages.h.

bool finalSettlementFuturesPrice ( Decimal value) const
inline

Final Settlement Futures Prices.

Definition at line 943 of file Messages.h.

bool fixedNPV ( Decimal value) const
inline

The NPV (Net Present Value) for the fixed leg of the trade, calculated that day. NPV is per 100 notional.

Definition at line 661 of file Messages.h.

bool fixedPayment ( Decimal value) const
inline

Fixed payment that occurs on the Evaluation Date.

Definition at line 747 of file Messages.h.

bool floatingPayment ( Decimal value) const
inline

Floating Payment that occurs on the Evaulation Date.

Definition at line 757 of file Messages.h.

bool floatNPV ( Decimal value) const
inline

The NPV (Net Present Value) for the floating leg of the trade, calculated that day. NPV is per 100 notional.

Definition at line 672 of file Messages.h.

bool legContractMultiplier ( Decimal value) const
inline

Multiplier that when applied on longer rate results in PreviousFixingRate.

Definition at line 884 of file Messages.h.

bool legCreditRating ( StrRef value) const
inline

Description of Float Rate.

Definition at line 874 of file Messages.h.

bool legPurchaseRate ( Decimal value) const
inline

The date the floating rate was set for the next floating payment.

Definition at line 650 of file Messages.h.

bool maturityDate ( Timestamp value) const
inline

Maturity date of instrument.

Definition at line 593 of file Messages.h.

bool minal ( UInt64 value) const
inline

This is the notional value used to calculate NPV and Fixed and Floating Payment amounts.

Definition at line 864 of file Messages.h.

bool minPriceIncrement ( Decimal value) const
inline

Minimum tick for a product (only sent if not eligible for VTT).

Definition at line 737 of file Messages.h.

Entry next ( SchemaVersion  ) const
inline

Returns reference to the next item.

Definition at line 998 of file Messages.h.

bool nextFixedPaymentAmount ( Decimal value) const
inline

The next fixed payment amount.

Definition at line 785 of file Messages.h.

bool nextFixedPaymentDate ( Timestamp value) const
inline

The date the next fixed payment will be made.

Definition at line 767 of file Messages.h.

bool nextFloatingPaymentAmount ( Decimal value) const
inline

The next floating payment amount.

Definition at line 795 of file Messages.h.

bool nextFloatingPaymentDate ( Timestamp value) const
inline

The date the next floating payment will be made.

Definition at line 894 of file Messages.h.

bool npv ( Decimal value) const
inline

The NPV represents net present value of the future cash flows at time t.

Definition at line 683 of file Messages.h.

bool openCloseSettlFlag ( UInt8 value) const
inline

Flag that identifies a market data entry.

Definition at line 496 of file Messages.h.

bool previousErisPAI ( Decimal value) const
inline

The Eris PAI on the Previous Settlement Date.

Definition at line 823 of file Messages.h.

bool product ( UInt8 value) const
inline

Indicates the type of product the instrument is associated with in the message.

Definition at line 565 of file Messages.h.

bool pV01 ( Decimal value) const
inline

The present value of a 1bp change in the fixed rate.

Definition at line 912 of file Messages.h.

bool referenceId ( StrRef value) const
inline

For future use.

Definition at line 527 of file Messages.h.

RelatedInstruments relatedInstruments ( ) const
inline

Returns instance of RelatedInstruments repeating group.

Definition at line 971 of file Messages.h.

UInt32 rptSeq ( ) const
inline

Sequence number per Index update.

Definition at line 478 of file Messages.h.

SecurityAltID securityAltId ( ) const
inline

Returns instance of SecurityAltID repeating group.

Definition at line 963 of file Messages.h.

bool securityDescription ( StrRef value) const
inline

Ticker symbol. Common, &quot;human understood&quot; representation of the security.

Definition at line 954 of file Messages.h.

StrRef securityExchange ( ) const
inline

Market used to help identify an instrument.

Definition at line 584 of file Messages.h.

bool securityGroup ( StrRef value) const
inline

Indicates the product code for the instrument.

Definition at line 555 of file Messages.h.

bool securityType ( StrRef value) const
inline

Indicates type of security.

Definition at line 575 of file Messages.h.

bool settlementNPV ( Decimal value) const
inline

Final Settlement Price in NPV terms.

Definition at line 933 of file Messages.h.

SettlPriceType settlPriceType ( ) const
inline

Indicates reference price as calculated, final or preliminary settle.

Definition at line 507 of file Messages.h.

bool symbol ( StrRef value) const
inline

Instrument, Index, Swap Name.

Definition at line 546 of file Messages.h.

bool tradeDate ( Timestamp value) const
inline

Pricing date.

Definition at line 621 of file Messages.h.

bool tradingReferenceDate ( Timestamp value) const
inline

Indicates the business date for previous settlement price.

Definition at line 805 of file Messages.h.

CHAR updateAction ( ) const
inline

Indicates the type of Market Data update action.

Definition at line 462 of file Messages.h.


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