OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.5.1
API documentation
Product Definitions

Types of Product Definitions

The ICE Exchange provides following types of product definitions:

  1. Futures/OTC
  2. Options
  3. Options Strategy
  4. Futures Strategy

The product definitions could be received in two ways:

  1. By request (TCP)
  2. During the day (UDP)

The table below describes how the product definitions represented in the OnixS ICE iMpact Multicast Price Feed Handler API:

Product Definition Security Type Callback (TCP) Callback (UDP)
Futures/OTC OnixS::ICE::iMpact::MarketData::SecurityType::Futures OnixS::ICE::iMpact::MarketData::ExchangeListener::onFuturesProductDefinition OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewExpiry
Options OnixS::ICE::iMpact::MarketData::SecurityType::Options OnixS::ICE::iMpact::MarketData::ExchangeListener::onOptionsProductDefinition OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewOptionsMarketDefinition
Options Strategy OnixS::ICE::iMpact::MarketData::SecurityType::UdsOptionsMarkets OnixS::ICE::iMpact::MarketData::ExchangeListener::onOptionsStrategyDefinition OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewOptionsStrategyDefinition
Futures Strategy OnixS::ICE::iMpact::MarketData::SecurityType::UdsFuturesMarkets OnixS::ICE::iMpact::MarketData::ExchangeListener::onFuturesStrategyDefinition OnixS::ICE::iMpact::MarketData::ExchangeListener::onNewFuturesStrategyDefinition

Example

Below is the example of creating subscription for the Futures/OTC of the 'IPE Brent Futures' (5) market type:

MarketSubscription brentFutures(
5, // Market type id for IPE Brent Futures.
SecurityTypes::Futures, // Defines type of securities (Futures/OTC)
BookDepth::TOP5PL // Build and maintain Top5PL book.
);
subscriptions.push_back(brentFutures);