OrderBookDirectoryMsg 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
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
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_ = 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()

OrderBookDirectoryMsg ( const void * data, MessageSize size )

inline

Initializes instance over given memory block.

Definition at line 241 of file OrderBookDirectoryMsg.h.

Member Function Documentation

announcementDate()

UInt32 announcementDate ( ) const

inline

Announcement Date.

Definition at line 160 of file OrderBookDirectoryMsg.h.

auctionDate()

UInt32 auctionDate ( ) const

inline

Auction Date.

Definition at line 154 of file OrderBookDirectoryMsg.h.

coupon()

UInt32 coupon ( ) const

inline

Coupon Rate.

Definition at line 136 of file OrderBookDirectoryMsg.h.

couponDecimals()

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.

cusip()

StrRef cusip ( ) const

inline

CUSIP code identifying security.

Definition at line 60 of file OrderBookDirectoryMsg.h.

datedDate()

UInt32 datedDate ( ) const

inline

Dated Date.

Definition at line 142 of file OrderBookDirectoryMsg.h.

firstCouponDate()

UInt32 firstCouponDate ( ) const

inline

First Coupon Date.

Definition at line 166 of file OrderBookDirectoryMsg.h.

index()

UInt32 index ( ) const

inline

Index Reference Rate.

Definition at line 178 of file OrderBookDirectoryMsg.h.

issuedAsBenchmark()

IssuedAsBenchmark::Enum issuedAsBenchmark ( ) const

inline

Issued as Benchmark.

Definition at line 211 of file OrderBookDirectoryMsg.h.

issueDate()

UInt32 issueDate ( ) const

inline

Issue Date.

Definition at line 148 of file OrderBookDirectoryMsg.h.

maturity()

UInt32 maturity ( ) const

inline

Maturity date.

Definition at line 130 of file OrderBookDirectoryMsg.h.

minimumEntryQuantity()

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.

minimumQuantityIncrement()

UInt32 minimumQuantityIncrement ( ) const

inline

The minimum increment for visible quantity of the order.

Definition at line 205 of file OrderBookDirectoryMsg.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 OrderBookDirectoryMsg.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 95 of file OrderBookDirectoryMsg.h.

priceTickSize()

UInt64 priceTickSize ( ) const

inline

The price tick for the instrument.

Definition at line 218 of file OrderBookDirectoryMsg.h.

priceType()

PriceType::Enum priceType ( ) const

inline

Price type.

Definition at line 87 of file OrderBookDirectoryMsg.h.

productSubType()

ProductSubType::Enum productSubType ( ) const

inline

Product Subtype.

Definition at line 80 of file OrderBookDirectoryMsg.h.

productType()

ProductType::Enum productType ( ) const

inline

Product type.

Definition at line 73 of file OrderBookDirectoryMsg.h.

quantityMultiplier()

UInt32 quantityMultiplier ( ) const

inline

1000000 million is the value published for US Treasury Notes.

Definition at line 118 of file OrderBookDirectoryMsg.h.

reserved1()

UInt8 reserved1 ( ) const

inline

Reserved.

Definition at line 67 of file OrderBookDirectoryMsg.h.

reserved2()

UInt16 reserved2 ( ) const

inline

Definition at line 124 of file OrderBookDirectoryMsg.h.

reserved3()

StrRef reserved3 ( ) const

inline

Reserved.

Definition at line 224 of file OrderBookDirectoryMsg.h.

securityDescription()

StrRef securityDescription ( ) const

inline

Instrument Description.

Definition at line 53 of file OrderBookDirectoryMsg.h.

settlementDate()

UInt32 settlementDate ( ) const

inline

Settlement Date.

Definition at line 172 of file OrderBookDirectoryMsg.h.

spreadRate()

UInt32 spreadRate ( ) const

inline

Spread Rate.

Definition at line 184 of file OrderBookDirectoryMsg.h.

symbol()

StrRef symbol ( ) const

inline

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

Definition at line 46 of file OrderBookDirectoryMsg.h.

timestamp()

UInt64 timestamp ( ) const

inline

Timestamp.

Definition at line 33 of file OrderBookDirectoryMsg.h.

tradingFeatures()

TradingFeatures::Enum tradingFeatures ( ) const

inline

Trading Features.

Definition at line 190 of file OrderBookDirectoryMsg.h.

validateSize()

void validateSize ( MessageSize size )

inlinestatic

Check the given size.

Definition at line 234 of file OrderBookDirectoryMsg.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 103 of file OrderBookDirectoryMsg.h.

Member Data Documentation

messageSize_

ONIXS_ESPEED_ITCH_CONST_OR_CONSTEXPR MessageSize messageSize_ = 146

static

Total message size.

Definition at line 231 of file OrderBookDirectoryMsg.h.