OnixS C++ eSpeed ITCH Market Data Handler  1.6.0
API documentation
OrderBookDirectoryMsg Struct Reference

#include <OnixS/eSpeed/MarketData/Itch/Messages/OrderBookDirectoryMsg.h>

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
 
ProductSubType::Enum productSubType () const ONIXS_ESPEED_ITCH_NOTHROW
 
PriceType::Enum priceType () const ONIXS_ESPEED_ITCH_NOTHROW
 
UInt16 priceDecimals () const
 
UInt16 yieldDecimals () const
 
UInt16 couponDecimals () const
 
UInt32 quantityMultiplier () const
 
UInt16 reserved2 () const
 
UInt32 maturity () const
 
UInt32 coupon () const
 
UInt32 datedDate () const
 
UInt32 issueDate () const
 
UInt32 auctionDate () const
 
UInt32 announcementDate () const
 
UInt32 firstCouponDate () const
 
UInt32 settlementDate () const
 
UInt32 index () const
 
UInt32 spreadRate () const
 
TradingFeatures::Enum tradingFeatures () const ONIXS_ESPEED_ITCH_NOTHROW
 
Quantity minimumEntryQuantity () const
 
UInt32 minimumQuantityIncrement () const
 
IssuedAsBenchmark::Enum issuedAsBenchmark () const ONIXS_ESPEED_ITCH_NOTHROW
 
UInt64 priceTickSize () const
 
StrRef reserved3 () const ONIXS_ESPEED_ITCH_NOTHROW
 
 OrderBookDirectoryMsg (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
 
ONIXS_ESPEED_ITCH_CONSTEXPR BinaryMessage (const BinaryMessage &other) ONIXS_ESPEED_ITCH_NOTHROW
 
const void * binary () const ONIXS_ESPEED_ITCH_NOTHROW
 
MessageSize binarySize () const ONIXS_ESPEED_ITCH_NOTHROW
 
BinaryMessageoperator= (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_ = 146
 

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

At the start of each trading day, order book directory messages are sent for all active US Treasury securities in the ATS.

Definition at line 30 of file OrderBookDirectoryMsg.h.

Constructor & Destructor Documentation

OrderBookDirectoryMsg ( const void *  data,
MessageSize  size 
)
inline

Initializes instance over given memory block.

Definition at line 241 of file OrderBookDirectoryMsg.h.

Member Function Documentation

UInt32 announcementDate ( ) const
inline

Announcement Date.

Definition at line 160 of file OrderBookDirectoryMsg.h.

UInt32 auctionDate ( ) const
inline

Auction Date.

Definition at line 154 of file OrderBookDirectoryMsg.h.

UInt32 coupon ( ) const
inline

Coupon Rate.

Definition at line 136 of file OrderBookDirectoryMsg.h.

UInt16 couponDecimals ( ) const
inline

The number of decimals used in the Coupon field. If Coupon is not used, this field will be set to -1.

Definition at line 111 of file OrderBookDirectoryMsg.h.

StrRef cusip ( ) const
inline

CUSIP code identifying security.

Definition at line 60 of file OrderBookDirectoryMsg.h.

UInt32 datedDate ( ) const
inline

Dated Date.

Definition at line 142 of file OrderBookDirectoryMsg.h.

UInt32 firstCouponDate ( ) const
inline

First Coupon Date.

Definition at line 166 of file OrderBookDirectoryMsg.h.

UInt32 index ( ) const
inline

Index Reference Rate.

Definition at line 178 of file OrderBookDirectoryMsg.h.

IssuedAsBenchmark::Enum issuedAsBenchmark ( ) const
inline

Issued as Benchmark.

Definition at line 211 of file OrderBookDirectoryMsg.h.

UInt32 issueDate ( ) const
inline

Issue Date.

Definition at line 148 of file OrderBookDirectoryMsg.h.

UInt32 maturity ( ) const
inline

Maturity date.

Definition at line 130 of file OrderBookDirectoryMsg.h.

Quantity minimumEntryQuantity ( ) const
inline

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

Definition at line 198 of file OrderBookDirectoryMsg.h.

UInt32 minimumQuantityIncrement ( ) const
inline

The minimum increment for visible quantity of the order.

Definition at line 205 of file OrderBookDirectoryMsg.h.

OrderBookId orderBookId ( ) const
inline

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

Definition at line 40 of file OrderBookDirectoryMsg.h.

UInt16 priceDecimals ( ) const
inline

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

Definition at line 95 of file OrderBookDirectoryMsg.h.

UInt64 priceTickSize ( ) const
inline

The price tick for the instrument.

Definition at line 218 of file OrderBookDirectoryMsg.h.

PriceType::Enum priceType ( ) const
inline

Price type.

Definition at line 87 of file OrderBookDirectoryMsg.h.

ProductSubType::Enum productSubType ( ) const
inline

Product Subtype.

Definition at line 80 of file OrderBookDirectoryMsg.h.

ProductType::Enum productType ( ) const
inline

Product type.

Definition at line 73 of file OrderBookDirectoryMsg.h.

UInt32 quantityMultiplier ( ) const
inline

1000000 million is the value published for US Treasury Notes.

Definition at line 118 of file OrderBookDirectoryMsg.h.

UInt8 reserved1 ( ) const
inline

Reserved.

Definition at line 67 of file OrderBookDirectoryMsg.h.

UInt16 reserved2 ( ) const
inline

Definition at line 124 of file OrderBookDirectoryMsg.h.

StrRef reserved3 ( ) const
inline

Reserved.

Definition at line 224 of file OrderBookDirectoryMsg.h.

StrRef securityDescription ( ) const
inline

Instrument Description.

Definition at line 53 of file OrderBookDirectoryMsg.h.

UInt32 settlementDate ( ) const
inline

Settlement Date.

Definition at line 172 of file OrderBookDirectoryMsg.h.

UInt32 spreadRate ( ) const
inline

Spread Rate.

Definition at line 184 of file OrderBookDirectoryMsg.h.

StrRef symbol ( ) const
inline

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

Definition at line 46 of file OrderBookDirectoryMsg.h.

UInt64 timestamp ( ) const
inline

Timestamp.

Definition at line 33 of file OrderBookDirectoryMsg.h.

TradingFeatures::Enum tradingFeatures ( ) const
inline

Trading Features.

Definition at line 190 of file OrderBookDirectoryMsg.h.

static void validateSize ( MessageSize  size)
inlinestatic

Check the given size.

Definition at line 234 of file OrderBookDirectoryMsg.h.

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 103 of file OrderBookDirectoryMsg.h.

Member Data Documentation

Total message size.

Definition at line 231 of file OrderBookDirectoryMsg.h.


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