OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.11.0
API documentation
AddPriceLevel.h
Go to the documentation of this file.
1 /**
2  * \file
3  * \brief Declare `OnixS::ICE::iMpact::MarketData::AddPriceLevel` message structure
4  */
5 /*
6  * Copyright (c) Onix Solutions Limited. All rights reserved.
7  *
8  * This software owned by Onix Solutions Limited and is protected by copyright law
9  * and international copyright treaties.
10  *
11  * Access to and use of the software is governed by the terms of the applicable ONIXS Software
12  * Services Agreement (the Agreement) and Customer end user license agreements granting
13  * a non-assignable, non-transferable and non-exclusive license to use the software
14  * for it's own data processing purposes under the terms defined in the Agreement.
15  *
16  * Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
17  * of this source code or associated reference material to any other location for further reproduction
18  * or redistribution, and any amendments to this copyright notice, are expressly prohibited.
19  *
20  * Any reproduction or redistribution for sale or hiring of the Software not in accordance with
21  * the terms of the Agreement is a violation of copyright law.
22  */
23 
24 #pragma once
25 
26 #include "../Export.h"
27 #include "../Types.h"
28 #include "../Enumerations.h"
29 
30 #include <iosfwd>
31 #include <string>
32 
33 namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {
34 
35 /// This class represents the Add Price Level Message.
36 struct ONIXS_ICEMDH_EXPORT AddPriceLevel
37 {
38  /// Message type constant
39  enum { messageType = 't' };
40 
41  /// Unique identifier of the market.
43 
44  /// Indicate whether it's bid or offer.
46 
47  /// Position of the price level.
49 
50  /// Value of price for the level. OrderPriceDenominator for the market
51  /// should be applied to get the real price.
53 
54  /// Total quantity at the price level.
55  int quantity;
56 
57  /// Number of all orders at the price level.
58  short orderCount;
59 
60  /// Quantity that were implied.
62 
63  /// Number of implied orders at the price level.
65 
66  /// Timestamp of last update used to derive the price level message. The
67  /// format is nanoseconds since Jan 1st, 1970, 00:00:00 GMT. The
68  /// nanosecond part is currently 000 and might be supported later.
70 
71  /// Default constructor.
72  AddPriceLevel();
73 
74  /// Initialize from raw message data.
75  AddPriceLevel(const char* data, size_t dataSize);
76 
77  /// Deserialize from raw data.
78  void deserialize(const char* data, size_t dataSize);
79 
80  /// Reset all fields to default values.
81  void reset();
82 
83  /// Returns string representation.
84  std::string toString() const;
85 };
86 
87 /// Make it printable using C++ I/O streams.
88 ONIXS_ICEMDH_EXPORT std::ostream& operator<<(std::ostream&, const AddPriceLevel&);
89 
90 }}}} // namespace MarketData, iMpact, ICE, OnixS
short orderCount
Number of all orders at the price level.
Definition: AddPriceLevel.h:58
short impliedOrderCount
Number of implied orders at the price level.
Definition: AddPriceLevel.h:64
long long Price
Alias for order identifiers type.
Definition: Types.h:54
int MarketId
Alias for market identifiers type.
Definition: Types.h:39
std::ostream & operator<<(std::ostream &, const Error &)
Make it printable to formatted C++ I/O streams.
Side::Enum side
Indicate whether it&#39;s bid or offer.
Definition: AddPriceLevel.h:45
int quantity
Total quantity at the price level.
Definition: AddPriceLevel.h:55
int impliedQuantity
Quantity that were implied.
Definition: AddPriceLevel.h:61
char priceLevelPosition
Position of the price level.
Definition: AddPriceLevel.h:48
This class represents the Add Price Level Message.
Definition: AddPriceLevel.h:36
long long DateTime
Represents the number of nanoseconds since Jan 1st, 1970, 00:00:00 GMT.
Definition: Types.h:57
Enum
Trading side constants.
Definition: Enumerations.h:38
MarketId marketId
Unique identifier of the market.
Definition: AddPriceLevel.h:42