MDIncrementalEntry Class Reference

Public Member Functions
MDOriginType::Enum	mdOriginType () const
MDUpdateAction::Enum	mdUpdateAction () const
MDEntryType::Enum	mdEntryType () const
SecurityId	securityId () const
bool	mdEntryPx (Decimal &price) const
bool	mdEntrySize (Decimal &size) const
bool	numberOfOrders (UInt32 &number) const
bool	mdPriceLevel (UInt32 &level) const
bool	mdEntryTime (UInt64 &time) const
SecurityTradingEvent::Enum	potentialSecurityTradingEvent () const
QuoteCondition::Enum	quoteCondition () const
TrdType::Enum	trdType () const
AlgorithmicTradeIndicator::Enum	algorithmicTradeIndicator () const
TradeConditionSet	tradeCondition () const
MultiLegReportingType::Enum	multiLegReportingType () const
MultiLegPriceModel::Enum	multiLegPriceModel () const
bool	aggressorTimestamp (UInt64 &time) const
bool	requestTime (UInt64 &time) const
bool	transBkdTime (UInt64 &time) const
Side::Enum	aggressorSide () const
bool	numberOfBuyOrders (UInt32 &number) const
bool	numberOfSellOrders (UInt32 &number) const
bool	numberOfBuySides (UInt32 &number) const
bool	numberOfSellSides (UInt32 &number) const
bool	totalNumOfTrades (UInt32 &number) const
bool	restingCxlQty (Decimal &quantity) const
bool	mdEntryId (UInt32 &id) const
bool	nonDisclosedTradeVolume (Decimal &id) const

Friends
class	TypedGroup< MDIncrementalEntry >

Detailed Description

Definition at line 35 of file DepthIncremental.h.

Member Function Documentation

aggressorSide()

Side::Enum aggressorSide ( ) const

inline

Side of the incoming order, which created the trade. Only present for MDEntryType=Trade.

Definition at line 161 of file DepthIncremental.h.

aggressorTimestamp()

bool aggressorTimestamp ( UInt64 & time ) const

inline

Entry time of the incoming order that triggered the trade. Only present for MDEntryType=Trade.

Definition at line 143 of file DepthIncremental.h.

algorithmicTradeIndicator()

AlgorithmicTradeIndicator::Enum algorithmicTradeIndicator ( ) const

inline

Algorithmic-Trade-Indicator.

Definition at line 116 of file DepthIncremental.h.

mdEntryId()

bool mdEntryId ( UInt32 & id ) const

inline

Represents the match step (unique together with SenderCompID).

Note

Only present for MDEntryType = Trade.

Definition at line 213 of file DepthIncremental.h.

mdEntryPx()

bool mdEntryPx ( Decimal & price ) const

inline

Price.

Definition at line 64 of file DepthIncremental.h.

mdEntrySize()

bool mdEntrySize ( Decimal & size ) const

inline

Quantity.

Definition at line 70 of file DepthIncremental.h.

mdEntryTime()

bool mdEntryTime ( UInt64 & time ) const

inline

For bids and offers the official time of book entry, for trades official time of execution (all in nanoseconds).

Definition at line 90 of file DepthIncremental.h.

mdEntryType()

MDEntryType::Enum mdEntryType ( ) const

inline

Defines the entry type.

Definition at line 52 of file DepthIncremental.h.

mdOriginType()

MDOriginType::Enum mdOriginType ( ) const

inline

Origin type.

Definition at line 40 of file DepthIncremental.h.

mdPriceLevel()

bool mdPriceLevel ( UInt32 & level ) const

inline

Book level.

Note

Absent for implied bid/offer prices.

Definition at line 84 of file DepthIncremental.h.

mdUpdateAction()

MDUpdateAction::Enum mdUpdateAction ( ) const

inline

Update action.

Definition at line 46 of file DepthIncremental.h.

multiLegPriceModel()

MultiLegPriceModel::Enum multiLegPriceModel ( ) const

inline

MultiLegPriceModel.

Definition at line 137 of file DepthIncremental.h.

multiLegReportingType()

MultiLegReportingType::Enum multiLegReportingType ( ) const

inline

MultiLegReportingType.

Definition at line 131 of file DepthIncremental.h.

nonDisclosedTradeVolume()

bool nonDisclosedTradeVolume ( Decimal & id ) const

inline

Contains the TES trade volume that is not displayed during the day. Only present for MDEntryType=B "Trade Volume". Used when trade volume is finally disclosed and also for recovery.

Definition at line 219 of file DepthIncremental.h.

numberOfBuyOrders()

bool numberOfBuyOrders ( UInt32 & number ) const

inline

Number of buy orders involved in this trade.

Note

Only present for MDEntryType = Trade.

Definition at line 169 of file DepthIncremental.h.

numberOfBuySides()

bool numberOfBuySides ( UInt32 & number ) const

inline

Definition at line 183 of file DepthIncremental.h.

numberOfOrders()

bool numberOfOrders ( UInt32 & number ) const

inline

Number Of Orders.

Definition at line 76 of file DepthIncremental.h.

numberOfSellOrders()

bool numberOfSellOrders ( UInt32 & number ) const

inline

Number of sell orders involved in this trade.

Note

Only present for MDEntryType = Trade.

Definition at line 177 of file DepthIncremental.h.

numberOfSellSides()

bool numberOfSellSides ( UInt32 & number ) const

inline

Definition at line 189 of file DepthIncremental.h.

potentialSecurityTradingEvent()

SecurityTradingEvent::Enum potentialSecurityTradingEvent ( ) const

inline

Potential security trading event.

Definition at line 96 of file DepthIncremental.h.

quoteCondition()

QuoteCondition::Enum quoteCondition ( ) const

inline

Potential security trading event.

Definition at line 102 of file DepthIncremental.h.

requestTime()

bool requestTime ( UInt64 & time ) const

inline

Request time.

Definition at line 149 of file DepthIncremental.h.

restingCxlQty()

bool restingCxlQty ( Decimal & quantity ) const

inline

Quantity of orders, that are deleted due to a SMP event.

Note

Only present for MDEntryType = Trade.

Definition at line 205 of file DepthIncremental.h.

securityId()

SecurityId securityId ( ) const

inline

Instrument identifier.

Definition at line 58 of file DepthIncremental.h.

totalNumOfTrades()

bool totalNumOfTrades ( UInt32 & number ) const

inline

Total Number Of Trades.

Note

Only present for MDEntryType = Trade.

Definition at line 197 of file DepthIncremental.h.

tradeCondition()

TradeConditionSet tradeCondition ( ) const

inline

Defines the trade condition.

Note

Defines the type of price for MDEntryPx. Only present for MDEntryType=Trade.

Definition at line 124 of file DepthIncremental.h.

transBkdTime()

bool transBkdTime ( UInt64 & time ) const

inline

Definition at line 155 of file DepthIncremental.h.

trdType()

TrdType::Enum trdType ( ) const

inline

Defines when the trade happens.

Only present for MDEntryType=Trade and TradeCondition=AW.

Definition at line 110 of file DepthIncremental.h.

Friends And Related Symbol Documentation

TypedGroup< MDIncrementalEntry >

friend class TypedGroup< MDIncrementalEntry >

friend

Definition at line 219 of file DepthIncremental.h.