Order Depth Base structure fields. More...
Public Member Functions | |
OrderDepthBase () | |
Default constructor. | |
OrderDepthBase (int32 premium, int64 mpQuantity, uint32 blockSize, const OrderId &orderId, uint32 sequenceNumber, uint32 obPosition, Side::Enum side, ChangeType::Enum obChangeType, int64 quantityDifference) | |
Constructor. | |
std::string | toString () const |
String representation. | |
Public Attributes | |
int32 | premium |
Indicates the premium of the order. | |
int64 | mpQuantity |
Number of units (options, futures, forwards and so on) in an order related transaction. More... | |
uint32 | blockSize |
Block size. | |
OrderId | orderId |
Identifier of the order. | |
uint32 | sequenceNumber |
Sequence Number. | |
uint32 | obPosition |
Order Book Position. | |
Side::Enum | side |
Side. | |
ChangeType::Enum | obChangeType |
Order Book change type. | |
int64 | quantityDifference |
Quantity Difference. More... | |
Order Depth Base structure fields.
int64 mpQuantity |
Number of units (options, futures, forwards and so on) in an order related transaction.
int64 quantityDifference |
Quantity Difference.
When an existing order (in the OB) is changed regarding the mp_quantity, the difference is stored here (negative if the order volume became lower or positive if higher).Used as a reference.