OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.11.0
API documentation
EndOfDayMarketSummary.h
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1 /**
2  * \file
3  * \brief Declare `OnixS::ICE::iMpact::MarketData::EndOfDayMarketSummary` message structure
4  */
5 /*
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23 
24 #pragma once
25 
26 #include "../Export.h"
27 #include "../Types.h"
28 
29 #include <iosfwd>
30 #include <string>
31 
32 namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {
33 
34 /// This class represents the End of Day Market Summary Message.
35 struct ONIXS_ICEMDH_EXPORT EndOfDayMarketSummary
36 {
37  /// Message type constant
38  enum { messageType = 'u' };
39 
40  /// Unique identifier of the market.
42 
43  /// Total volume.
44  int volume;
45 
46  /// Block volume.
48 
49  /// EFS volume.
50  int efsVolume;
51 
52  /// EFP volume.
53  int efpVolume;
54 
55  /// Opening price. `DealPriceDenominator` for the market should be applied
56  /// to get the real price.
58 
59  /// High price. `DealPriceDenominator` for the market should be applied to
60  /// get the real price.
62 
63  /// Low price. `DealPriceDenominator` for the market should be applied to
64  /// get the real price.
66 
67  /// VWAP price. `DealPriceDenominator` for the market should be applied to
68  /// get the real price.
70 
71  /// Settlement price. `DealPriceDenominator` for the market should be
72  /// applied to get the real price. This field is kept here for backward
73  /// compatibility. Client should use the new SettlementPrice field (added
74  /// in 1.1.23) for better precision. `DealPriceDenominator` and
75  /// `SettlePriceDenominator` might be different for some markets.
77 
78  /// The number of open contracts of derivatives like futures and options
79  /// that have a time limit after which they expire. Open interest in a
80  /// derivative is the sum of all contracts that have not expired, been
81  /// exercised or physically delivered. Moreover, the open interest is the
82  /// number of long positions or, equivalently, the number of short
83  /// positions.
85 
86  /// Date time this message was sent. Milliseconds since Jan 1st, 1970,
87  /// 00:00:00 GMT.
89 
90  /// Settlement price. `SettlePriceDenominator` for the market should be
91  /// applied to get the real settlement price.
93 
94  /// Default constructor.
96 
97  /// Initialize from raw message data.
98  EndOfDayMarketSummary(const char* data, size_t dataSize);
99 
100  /// Deserialize from raw data.
101  void deserialize(const char* data, size_t dataSize);
102 
103  /// Reset all fields to default values.
104  void reset();
105 
106  /// Returns string representation.
107  std::string toString() const;
108 };
109 
110 /// Make it printable using C++ I/O streams.
111 ONIXS_ICEMDH_EXPORT std::ostream& operator<<(std::ostream&, const EndOfDayMarketSummary&);
112 
113 }}}} // namespace MarketData, iMpact, ICE, OnixS
long long Price
Alias for order identifiers type.
Definition: Types.h:54
MarketId marketId
Unique identifier of the market.
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.
This class represents the End of Day Market Summary Message.
long long DateTime
Represents the number of nanoseconds since Jan 1st, 1970, 00:00:00 GMT.
Definition: Types.h:57