OnixS C++ Eurex T7 Market and Reference Data Interface (EMDI, RDI, EOBI) Handlers  8.0.0
API documentation
MDSnapshotEntry Class Reference

#include <OnixS/Eurex/MarketData/DepthSnapshot.h>

Collaboration diagram for MDSnapshotEntry:

Public Member Functions

MDOriginType::Enum mdOriginType () const
 
MDEntryType::Enum mdEntryType () const
 
BookType::Enum mdBookType () const
 
SubBookType::Enum mdSubBookType () const
 
TrdType::Enum trdType () const
 
TradingSessionId::Enum tradingSessionId () const
 
TradingSessionSubID::Enum tradingSessionSubID () const
 
TradSesStatus::Enum tesTradSesStatus () const
 
MarketCondition::Enum marketCondition () const
 
MultiLegReportingType::Enum multiLegReportingType () const
 
MultiLegPriceModel::Enum multiLegPriceModel () const
 
bool fastMarketIndicator () const
 
SecurityTradingStatus::Enum securityTradingStatus () const
 
SecurityTradingEvent::Enum securityTradingEvent () const
 
SecurityTradingEvent::Enum potentialSecurityTradingEvent () const
 
SoldOutIndicator::Enum soldOutIndicator () const
 
TradeConditionSet tradeCondition () const
 
bool quoteCondition (UInt32 &value) 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
 
bool nonDisclosedTradeVolume (Decimal &volume) const
 
bool totalNumOfTrades (UInt32 &number) const
 

Friends

class TypedGroup< MDSnapshotEntry >
 

Detailed Description

Definition at line 51 of file DepthSnapshot.h.

Member Function Documentation

bool fastMarketIndicator ( ) const
inline

Indicates if product is in the state Fast Market.

Definition at line 132 of file DepthSnapshot.h.

MarketCondition::Enum marketCondition ( ) const
inline

Indicator for stressed market conditions.

Definition at line 114 of file DepthSnapshot.h.

BookType::Enum mdBookType ( ) const
inline

Top-of-book is only applicable to IPS, i.e. requires the presence of MDSubBookType.

Definition at line 68 of file DepthSnapshot.h.

bool mdEntryPx ( Decimal price) const
inline

Price.

Definition at line 181 of file DepthSnapshot.h.

bool mdEntrySize ( Decimal size) const
inline

Quantity.

Definition at line 187 of file DepthSnapshot.h.

bool mdEntryTime ( UInt64 &  time) const
inline

Time of entry (nanoseconds) for last trade entry only (TradeCondition="U").

Definition at line 207 of file DepthSnapshot.h.

MDEntryType::Enum mdEntryType ( ) const
inline

Defines the entry type.

Definition at line 62 of file DepthSnapshot.h.

MDOriginType::Enum mdOriginType ( ) const
inline

Origin type.

Definition at line 56 of file DepthSnapshot.h.

bool mdPriceLevel ( UInt32 level) const
inline

Book level.

Note
Absent for implied bid/offer prices.

Definition at line 201 of file DepthSnapshot.h.

SubBookType::Enum mdSubBookType ( ) const
inline

Optional qualifier to MDBookType.

Definition at line 74 of file DepthSnapshot.h.

MultiLegPriceModel::Enum multiLegPriceModel ( ) const
inline

MultiLegPriceModel.

Definition at line 126 of file DepthSnapshot.h.

MultiLegReportingType::Enum multiLegReportingType ( ) const
inline

MultiLegReportingType.

Definition at line 120 of file DepthSnapshot.h.

bool nonDisclosedTradeVolume ( Decimal volume) const
inline

Non disclosed trade volumes.

Definition at line 213 of file DepthSnapshot.h.

bool numberOfOrders ( UInt32 number) const
inline

Number Of Orders.

Definition at line 193 of file DepthSnapshot.h.

SecurityTradingEvent::Enum potentialSecurityTradingEvent ( ) const
inline

Potential security trading event.

Definition at line 151 of file DepthSnapshot.h.

bool quoteCondition ( UInt32 value) const
inline

Quote Condition.

Definition at line 175 of file DepthSnapshot.h.

SecurityTradingEvent::Enum securityTradingEvent ( ) const
inline

Identifies an event related to a securityTradingStatus()

Definition at line 145 of file DepthSnapshot.h.

SecurityTradingStatus::Enum securityTradingStatus ( ) const
inline

Defines the security trading status.

Definition at line 139 of file DepthSnapshot.h.

SoldOutIndicator::Enum soldOutIndicator ( ) const
inline

Applicable for cash market products only (trading model continuous auction).

Definition at line 157 of file DepthSnapshot.h.

TradSesStatus::Enum tesTradSesStatus ( ) const
inline

Defines the TES trading session status.

Definition at line 108 of file DepthSnapshot.h.

bool totalNumOfTrades ( UInt32 number) const
inline

Total Number Of Trades.

Note
Only present for MDEntryType = Trade.

Definition at line 221 of file DepthSnapshot.h.

TradeConditionSet tradeCondition ( ) const
inline

Defines the trade ´┐Żondition.

Note
LastAuctionPrice is not be combined with any other value and have its own entry in order to convey the auction type through TrdType. Instrument state already changed to continuous when the auction trade is reported.

Definition at line 168 of file DepthSnapshot.h.

TradingSessionId::Enum tradingSessionId ( ) const
inline

Defines the trading session ID.

Note
Attached to MDEntryType 2=Trade and TradeCondition U=Exchange Last unless there has been no trade so far. In this case it is attached to book information which can simply be Q=Auction Clearing Price or all bids and offers for the currently visible depth (uncrossed book). If there are no trades and no book information then it is attached to J=Empty Book.

Definition at line 96 of file DepthSnapshot.h.

TradingSessionSubID::Enum tradingSessionSubID ( ) const
inline

Defines the trading session sub ID.

Definition at line 102 of file DepthSnapshot.h.

TrdType::Enum trdType ( ) const
inline

Defines when the trade happens.

Only present for MDEntryType=Trade and TradeCondition=AW.

Definition at line 82 of file DepthSnapshot.h.

Friends And Related Function Documentation

friend class TypedGroup< MDSnapshotEntry >
friend

Definition at line 227 of file DepthSnapshot.h.


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