FuturesStrategyDefinition Struct Reference

Classes
struct	BlockDetail
struct	Leg

Public Types
enum
typedef std::vector< Leg >	Legs
typedef std::vector< BlockDetail >	BlockDetails

Public Member Functions
	FuturesStrategyDefinition ()
	FuturesStrategyDefinition (const char *data, std::size_t dataSize)
void	deserialize (const char *data, std::size_t dataSize)
void	reset ()
std::string	toString () const

Public Attributes
int	requestSeqId
MarketType	requestMarketType
MarketId	marketId
std::string	contractSymbol
TradingStatus::Enum	tradingStatus
char	orderPriceDenominator
int	incrementPrice
int	incrementQty
int	minQty
SecuritySubType::Enum	securitySubType
bool	isBlockOnly
int	numOfMarkets
std::string	strategySymbol
bool	gtAllowed
bool	miFIDRegulatedMarket
std::string	marketDesc
short	maturityYear
short	maturityMonth
short	maturityDay
char	dealPriceDenominator
int	unitQuantity
char	numDecimalsOptionsPrice
bool	allowOptions
std::string	clearedAlias
bool	allowsImplied
Price	minPrice
Price	maxPrice
std::string	productName
std::string	hubAlias
std::string	stripName
bool	isTradable
char	settlePriceDenominator
std::string	micCode
char	unitQtyDenominator
bool	hedgeOnly
ExchangeSilo::Enum	exchangeSilo
char	offExchangeIncrementQtyDenominator
int	offExchangeIncrementQty
int	offExchangeIncrementPrice
int	offExchangeIncrementOptionPrice
int	productId
int	hubId
int	stripId
std::string	underlyingISIN
bool	testMarketIndicator
bool	legDealSuppressed
Legs	legs
BlockDetails	blockDetails
Optional< std::string >	unitOfMeasure
Optional< std::string >	hubName
Optional< std::string >	stripType
Optional< Date >	stripBeginDate
Optional< Date >	stripEndDate
Optional< bool >	overrideBlockMin
Optional< long long >	screenTickValue
Optional< long long >	blockTickValue
Optional< char >	tickValueDenominator
Optional< int >	numOfCycles
Optional< std::string >	currency

Detailed Description

Definition at line 39 of file FuturesStrategyDefinition.h.

Member Typedef Documentation

BlockDetails

typedef std::vector<BlockDetail> BlockDetails

Alias for collection of BlockDetails.

Definition at line 274 of file FuturesStrategyDefinition.h.

Legs

typedef std::vector<Leg> Legs

Alias for collection of Legs.

Definition at line 248 of file FuturesStrategyDefinition.h.

Member Enumeration Documentation

anonymous enum

anonymous enum

Message type constant.

Enumerator
messageType	'd'

Definition at line 42 of file FuturesStrategyDefinition.h.

Constructor & Destructor Documentation

FuturesStrategyDefinition() [1/2]

FuturesStrategyDefinition

(

)

Default constructor.

FuturesStrategyDefinition() [2/2]

FuturesStrategyDefinition	(	const char *	data,
		std::size_t	dataSize )

Initialize from raw message data.

Member Function Documentation

deserialize()

void deserialize	(	const char *	data,
		std::size_t	dataSize )

Deserialize from raw data.

reset()

void reset

(

)

Reset all fields to default values.

toString()

std::string toString

(

)

const

Returns string representation.

Member Data Documentation

allowOptions

bool allowOptions

Indicate if the market supports option markets.

Definition at line 120 of file FuturesStrategyDefinition.h.

allowsImplied

bool allowsImplied

Indicate if implication is done for a given spread market and its given outright leg markets.

Definition at line 127 of file FuturesStrategyDefinition.h.

blockDetails

BlockDetails blockDetails

Collection of BlockDetails.

Definition at line 277 of file FuturesStrategyDefinition.h.

blockTickValue

Optional<long long> blockTickValue

Identifies the monetary amount per tick move when calculated for Off- Exchange trades.

Definition at line 306 of file FuturesStrategyDefinition.h.

clearedAlias

std::string clearedAlias

Clearing limit admin related.

Definition at line 123 of file FuturesStrategyDefinition.h.

contractSymbol

std::string contractSymbol

See Naming Convention on Appendix D.

Definition at line 58 of file FuturesStrategyDefinition.h.

currency

Optional<std::string> currency

Currency.

Definition at line 315 of file FuturesStrategyDefinition.h.

dealPriceDenominator

char dealPriceDenominator

Denominator for the deal price fields in the market. For most markets, this is the same as OrderPriceDenominator.

Definition at line 109 of file FuturesStrategyDefinition.h.

exchangeSilo

ExchangeSilo::Enum exchangeSilo

Exchange silo code for the market.

Definition at line 164 of file FuturesStrategyDefinition.h.

gtAllowed

bool gtAllowed

Indicates if GTC is allowed in the market.

Definition at line 90 of file FuturesStrategyDefinition.h.

hedgeOnly

bool hedgeOnly

Indicate if the contract is for hedge only.

Definition at line 161 of file FuturesStrategyDefinition.h.

hubAlias

std::string hubAlias

Alias of the hub for the contract/market.

Definition at line 141 of file FuturesStrategyDefinition.h.

hubId

int hubId

ID of the hub for the contract/market.

Definition at line 185 of file FuturesStrategyDefinition.h.

hubName

Optional<std::string> hubName

Hub Name.

Definition at line 283 of file FuturesStrategyDefinition.h.

incrementPrice

int incrementPrice

Minimum increment premium price for this market.

Definition at line 67 of file FuturesStrategyDefinition.h.

incrementQty

int incrementQty

Minimum increment quantity for this market.

Definition at line 70 of file FuturesStrategyDefinition.h.

isBlockOnly

bool isBlockOnly

Indicates if Market is only tradable via ICE Block Trade. This also means the screen trading is not allowed for the market.

Definition at line 81 of file FuturesStrategyDefinition.h.

isTradable

bool isTradable

Indicate if the contract is tradable.

Definition at line 147 of file FuturesStrategyDefinition.h.

legDealSuppressed

bool legDealSuppressed

Indicates whether leg deals are suppressed.

Definition at line 198 of file FuturesStrategyDefinition.h.

legs

Legs legs

Collection of Legs.

Definition at line 251 of file FuturesStrategyDefinition.h.

marketDesc

std::string marketDesc

Description of the market.

Definition at line 96 of file FuturesStrategyDefinition.h.

marketId

MarketId marketId

Unique identifier of the market.

Definition at line 55 of file FuturesStrategyDefinition.h.

maturityDay

short maturityDay

Day of the month.

Definition at line 105 of file FuturesStrategyDefinition.h.

maturityMonth

short maturityMonth

Month range 1-12.

Definition at line 102 of file FuturesStrategyDefinition.h.

maturityYear

short maturityYear

4 digit year.

Definition at line 99 of file FuturesStrategyDefinition.h.

maxPrice

Price maxPrice

Maximum Price. OrderPriceDenominator should be applied to this field.

Definition at line 135 of file FuturesStrategyDefinition.h.

micCode

std::string micCode

Market Identifier Code for the market.

Definition at line 154 of file FuturesStrategyDefinition.h.

miFIDRegulatedMarket

bool miFIDRegulatedMarket

Indicates MIFID-II market.

Definition at line 93 of file FuturesStrategyDefinition.h.

minPrice

Price minPrice

Minimum Price. OrderPriceDenominator should be applied to this field.

Definition at line 131 of file FuturesStrategyDefinition.h.

minQty

int minQty

Minimum quantity for this market.

Definition at line 73 of file FuturesStrategyDefinition.h.

numDecimalsOptionsPrice

char numDecimalsOptionsPrice

Only used for OffExchangeIncrementOptionPrice.

Definition at line 117 of file FuturesStrategyDefinition.h.

numOfCycles

Optional<int> numOfCycles

Number of cycles (days, hours, MWh, etc) for a contract.

Definition at line 312 of file FuturesStrategyDefinition.h.

numOfMarkets

int numOfMarkets

The number of markets for the given market type.

Definition at line 84 of file FuturesStrategyDefinition.h.

offExchangeIncrementOptionPrice

int offExchangeIncrementOptionPrice

Off exchange options increment price. NumDecimalsOptionsPrice should be applied to this field.

Definition at line 179 of file FuturesStrategyDefinition.h.

offExchangeIncrementPrice

int offExchangeIncrementPrice

Off exchange increment price. OrderPriceDenominator should be applied to this field.

Definition at line 175 of file FuturesStrategyDefinition.h.

offExchangeIncrementQty

int offExchangeIncrementQty

Off exchange increment qty. OffExchangeIncrementQtyDenominator should be applied to this field.

Definition at line 171 of file FuturesStrategyDefinition.h.

offExchangeIncrementQtyDenominator

char offExchangeIncrementQtyDenominator

Denominator for OffExchangeIncrementQty.

Definition at line 167 of file FuturesStrategyDefinition.h.

orderPriceDenominator

char orderPriceDenominator

Denominator for the order price fields in this market.

Definition at line 64 of file FuturesStrategyDefinition.h.

overrideBlockMin

Optional<bool> overrideBlockMin

Indicates whether the Block Minimum can be overridden for the market.

Definition at line 298 of file FuturesStrategyDefinition.h.

productId

int productId

ID of the product that the contract/market is under.

Definition at line 182 of file FuturesStrategyDefinition.h.

productName

std::string productName

Name of the product that the contract/market is under.

Definition at line 138 of file FuturesStrategyDefinition.h.

requestMarketType

MarketType requestMarketType

See Appendix C for the list of market types and IDs.

Definition at line 52 of file FuturesStrategyDefinition.h.

requestSeqId

int requestSeqId

The original request sequence ID assigned by client, unique per session.

Definition at line 49 of file FuturesStrategyDefinition.h.

screenTickValue

Optional<long long> screenTickValue

Identifies the monetary amount per tick move when calculated from the Central Limit Order Book.

Definition at line 302 of file FuturesStrategyDefinition.h.

securitySubType

SecuritySubType::Enum securitySubType

Contains the Strategy Code for defined market where applicable. See Appendix E for list of codes.

Definition at line 77 of file FuturesStrategyDefinition.h.

settlePriceDenominator

char settlePriceDenominator

Denominator for the settlement price fields in the market. For most markets, this is the same as DealPriceDenominator.

Definition at line 151 of file FuturesStrategyDefinition.h.

strategySymbol

std::string strategySymbol

Strategy Symbol.

Definition at line 87 of file FuturesStrategyDefinition.h.

stripBeginDate

Optional<Date> stripBeginDate

Sent for customs with StrategyCodes 414, 550, 711, 713, 714, 715, and

Definition at line 291 of file FuturesStrategyDefinition.h.

stripEndDate

Optional<Date> stripEndDate

Sent for customs with StrategyCodes 414, 550, 711, 713, 714, 715, and

Definition at line 295 of file FuturesStrategyDefinition.h.

stripId

int stripId

ID of the strip for the contract/market.

Definition at line 188 of file FuturesStrategyDefinition.h.

stripName

std::string stripName

Name of the strip for the contract/market.

Definition at line 144 of file FuturesStrategyDefinition.h.

stripType

Optional<std::string> stripType

Sent for customs with StrategyCodes 414, 550, 711, 713, 714, 715, and 716 and for future use when combos with.

Definition at line 287 of file FuturesStrategyDefinition.h.

testMarketIndicator

bool testMarketIndicator

Indicates Test Market.

Definition at line 195 of file FuturesStrategyDefinition.h.

tickValueDenominator

Optional<char> tickValueDenominator

Denominator for ScreenTickValue and BlockTickValue.

Definition at line 309 of file FuturesStrategyDefinition.h.

tradingStatus

TradingStatus::Enum tradingStatus

See Appendix A on trading status codes.

Definition at line 61 of file FuturesStrategyDefinition.h.

underlyingISIN

std::string underlyingISIN

The ISIN of the security this market is associated with. This is currently only populated for Liffe Equity markets.

Definition at line 192 of file FuturesStrategyDefinition.h.

unitOfMeasure

Optional<std::string> unitOfMeasure

Unit Of Measure.

Definition at line 280 of file FuturesStrategyDefinition.h.

unitQtyDenominator

char unitQtyDenominator

Denominator for UnitQuantity. This field will be 0 for most of the markets.

Definition at line 158 of file FuturesStrategyDefinition.h.

unitQuantity

int unitQuantity

The quantity in unit of measurement per lot. For example, it is 1000 barrels per lot for Brent. UnitQtyDenominator should be applied to get correct UnitQuantity.

Definition at line 114 of file FuturesStrategyDefinition.h.