OnixS C++ eSpeed ITCH Market Data Handler 1.7.3
API documentation
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CombinationOrderBookDirectoryMsg Struct Reference

Public Member Functions

UInt64 timestamp () const
OrderBookId orderBookId () const
StrRef symbol () const ONIXS_ESPEED_ITCH_NOTHROW
StrRef securityDescription () const ONIXS_ESPEED_ITCH_NOTHROW
StrRef cusip () const ONIXS_ESPEED_ITCH_NOTHROW
UInt8 reserved1 () const
ProductType::Enum productType () const ONIXS_ESPEED_ITCH_NOTHROW
PriceType::Enum priceType () const ONIXS_ESPEED_ITCH_NOTHROW
UInt16 priceDecimals () const
UInt16 yieldDecimals () const
UInt32 quantityMultiplier () const
StrRef reserved2 () const ONIXS_ESPEED_ITCH_NOTHROW
UInt8 numberOfLegs () const
StrRef leg1Symbol () const ONIXS_ESPEED_ITCH_NOTHROW
LegSide::Enum leg1Side () const ONIXS_ESPEED_ITCH_NOTHROW
UInt16 leg1DV01 () const
UInt8 leg1Reserved () const
StrRef leg2Symbol () const ONIXS_ESPEED_ITCH_NOTHROW
LegSide::Enum leg2Side () const ONIXS_ESPEED_ITCH_NOTHROW
UInt16 leg2DV01 () const
UInt8 leg2Reserved () const
UInt16 legRatio1 () const
StrRef leg3Symbol () const ONIXS_ESPEED_ITCH_NOTHROW
LegSide::Enum leg3Side () const ONIXS_ESPEED_ITCH_NOTHROW
UInt16 leg3DV01 () const
UInt8 leg3Reserved () const
UInt16 legRatio2 () const
UInt16 maximumSpreadTolerance1 () const
UInt16 maximumSpreadTolerance2 () const
TradingFeatures::Enum tradingFeatures () const ONIXS_ESPEED_ITCH_NOTHROW
UInt32 minimumEntryQuantity () const
UInt32 minimumQuantityIncrement () const
UInt64 priceTickSize () const
StrRef reserved3 () const ONIXS_ESPEED_ITCH_NOTHROW
 CombinationOrderBookDirectoryMsg (const void *data, MessageSize size) ONIXS_ESPEED_ITCH_NOTHROW
Public Member Functions inherited from IncomingMessage
 IncomingMessage (const void *data, MessageSize size) ONIXS_ESPEED_ITCH_NOTHROW
MessageType::Enum type () const ONIXS_ESPEED_ITCH_NOTHROW
Public Member Functions inherited from BinaryMessage< BigEndianConverter >
 BinaryMessage (const void *data, MessageSize size) ONIXS_ESPEED_ITCH_NOTHROW
const void * binary () const ONIXS_ESPEED_ITCH_NOTHROW
MessageSize binarySize () const ONIXS_ESPEED_ITCH_NOTHROW
BinaryMessage & operator= (const BinaryMessage &other) ONIXS_ESPEED_ITCH_NOTHROW

Static Public Member Functions

static void validateSize (MessageSize size)

Static Public Attributes

static ONIXS_ESPEED_ITCH_CONST_OR_CONSTEXPR MessageSize messageSize_ = 200

Additional Inherited Members

Public Types inherited from BinaryMessage< BigEndianConverter >
typedef MessageSize BinarySize
Protected Member Functions inherited from BinaryFields< BinaryMessage, BigEndianConverter >
FieldValue ordinary (BlockSize offset) const ONIXS_ESPEED_ITCH_NOTHROW
const FieldValue & ordinaryRef (BlockSize offset) const ONIXS_ESPEED_ITCH_NOTHROW
Enumeration::Enum enumeration (BlockSize offset) const ONIXS_ESPEED_ITCH_NOTHROW
StrRef fixedStr (BlockSize offset) const ONIXS_ESPEED_ITCH_NOTHROW

Detailed Description

The Combination Order Book Directory is a specialized directory message used when Combined order books are traded on the NFI ATS.

Definition at line 30 of file CombinationOrderBookDirectoryMsg.h.

Constructor & Destructor Documentation

◆ CombinationOrderBookDirectoryMsg()

CombinationOrderBookDirectoryMsg ( const void * data,
MessageSize size )
inline

Initializes instance over given memory block.

Definition at line 273 of file CombinationOrderBookDirectoryMsg.h.

Member Function Documentation

◆ cusip()

StrRef cusip ( ) const
inline

CUSIP code identifying security.

Definition at line 60 of file CombinationOrderBookDirectoryMsg.h.

◆ leg1DV01()

UInt16 leg1DV01 ( ) const
inline

DV01 value of leg 1.

Definition at line 137 of file CombinationOrderBookDirectoryMsg.h.

◆ leg1Reserved()

UInt8 leg1Reserved ( ) const
inline

Definition at line 143 of file CombinationOrderBookDirectoryMsg.h.

◆ leg1Side()

LegSide::Enum leg1Side ( ) const
inline

Leg 1 Side.

Definition at line 130 of file CombinationOrderBookDirectoryMsg.h.

◆ leg1Symbol()

StrRef leg1Symbol ( ) const
inline

Leg 1 Symbol.

Definition at line 123 of file CombinationOrderBookDirectoryMsg.h.

◆ leg2DV01()

UInt16 leg2DV01 ( ) const
inline

DV01 value of leg 2.

Definition at line 163 of file CombinationOrderBookDirectoryMsg.h.

◆ leg2Reserved()

UInt8 leg2Reserved ( ) const
inline

Definition at line 169 of file CombinationOrderBookDirectoryMsg.h.

◆ leg2Side()

LegSide::Enum leg2Side ( ) const
inline

Leg 2 Side.

Definition at line 156 of file CombinationOrderBookDirectoryMsg.h.

◆ leg2Symbol()

StrRef leg2Symbol ( ) const
inline

Leg 2 Symbol.

Definition at line 149 of file CombinationOrderBookDirectoryMsg.h.

◆ leg3DV01()

UInt16 leg3DV01 ( ) const
inline

DV01 value of leg 3.

Definition at line 196 of file CombinationOrderBookDirectoryMsg.h.

◆ leg3Reserved()

UInt8 leg3Reserved ( ) const
inline

Definition at line 202 of file CombinationOrderBookDirectoryMsg.h.

◆ leg3Side()

LegSide::Enum leg3Side ( ) const
inline

Leg 3 Side.

Definition at line 189 of file CombinationOrderBookDirectoryMsg.h.

◆ leg3Symbol()

StrRef leg3Symbol ( ) const
inline

Leg 3 Symbol.

Definition at line 182 of file CombinationOrderBookDirectoryMsg.h.

◆ legRatio1()

UInt16 legRatio1 ( ) const
inline

Leg ratio used for implied trading derived from DV01 values

Definition at line 176 of file CombinationOrderBookDirectoryMsg.h.

◆ legRatio2()

UInt16 legRatio2 ( ) const
inline

The ratio used for implied trading that is applied for 3 leg combination instrument

Definition at line 209 of file CombinationOrderBookDirectoryMsg.h.

◆ maximumSpreadTolerance1()

UInt16 maximumSpreadTolerance1 ( ) const
inline

The maximum spread defined for the short duration leg

Definition at line 216 of file CombinationOrderBookDirectoryMsg.h.

◆ maximumSpreadTolerance2()

UInt16 maximumSpreadTolerance2 ( ) const
inline

The maximum spread defined for the middle duration leg

Definition at line 223 of file CombinationOrderBookDirectoryMsg.h.

◆ minimumEntryQuantity()

UInt32 minimumEntryQuantity ( ) const
inline

The minimum visible quantity of the order allowed to be added to the book.

Definition at line 237 of file CombinationOrderBookDirectoryMsg.h.

◆ minimumQuantityIncrement()

UInt32 minimumQuantityIncrement ( ) const
inline

The minimum increment for visible quantity of the order.

Definition at line 244 of file CombinationOrderBookDirectoryMsg.h.

◆ numberOfLegs()

UInt8 numberOfLegs ( ) const
inline

Indicates how many legs of a combination instrument has

Definition at line 117 of file CombinationOrderBookDirectoryMsg.h.

◆ orderBookId()

OrderBookId orderBookId ( ) const
inline

Unique identifier of an Order book. This identifier will stay constant until this

Definition at line 40 of file CombinationOrderBookDirectoryMsg.h.

◆ priceDecimals()

UInt16 priceDecimals ( ) const
inline

The number of decimals used in price or yield for this order book in NFI ATS.

Definition at line 88 of file CombinationOrderBookDirectoryMsg.h.

◆ priceTickSize()

UInt64 priceTickSize ( ) const
inline

The price tick for the instrument.

Definition at line 250 of file CombinationOrderBookDirectoryMsg.h.

◆ priceType()

PriceType::Enum priceType ( ) const
inline

Price type.

Definition at line 80 of file CombinationOrderBookDirectoryMsg.h.

◆ productType()

ProductType::Enum productType ( ) const
inline

Product type.

Definition at line 73 of file CombinationOrderBookDirectoryMsg.h.

◆ quantityMultiplier()

UInt32 quantityMultiplier ( ) const
inline

1000000 million is the value published for US Treasury Notes.

Definition at line 103 of file CombinationOrderBookDirectoryMsg.h.

◆ reserved1()

UInt8 reserved1 ( ) const
inline

Reserved.

Definition at line 67 of file CombinationOrderBookDirectoryMsg.h.

◆ reserved2()

StrRef reserved2 ( ) const
inline

Reserved.

Definition at line 109 of file CombinationOrderBookDirectoryMsg.h.

◆ reserved3()

StrRef reserved3 ( ) const
inline

Reserved.

Definition at line 256 of file CombinationOrderBookDirectoryMsg.h.

◆ securityDescription()

StrRef securityDescription ( ) const
inline

Instrument Description.

Definition at line 53 of file CombinationOrderBookDirectoryMsg.h.

◆ symbol()

StrRef symbol ( ) const
inline

UST security symbol in the NFI ATS (e.g. 10Y_UST)

Definition at line 46 of file CombinationOrderBookDirectoryMsg.h.

◆ timestamp()

UInt64 timestamp ( ) const
inline

Timestamp.

Definition at line 33 of file CombinationOrderBookDirectoryMsg.h.

◆ tradingFeatures()

TradingFeatures::Enum tradingFeatures ( ) const
inline

Trading Features.

Definition at line 229 of file CombinationOrderBookDirectoryMsg.h.

◆ validateSize()

void validateSize ( MessageSize size)
inlinestatic

Check the given size.

Definition at line 266 of file CombinationOrderBookDirectoryMsg.h.

◆ yieldDecimals()

UInt16 yieldDecimals ( ) const
inline

For securities that do not trade in Yield but will have yield published, this field describes number of decimals for yield field.

Definition at line 96 of file CombinationOrderBookDirectoryMsg.h.

Member Data Documentation

◆ messageSize_

ONIXS_ESPEED_ITCH_CONST_OR_CONSTEXPR MessageSize messageSize_ = 200
static

Total message size.

Definition at line 263 of file CombinationOrderBookDirectoryMsg.h.