FuturesStrategyDefinition::Leg Struct Reference

#include <FuturesStrategyDefinition.h>

Public Member Functions
	Leg ()
std::string	toString () const

Public Attributes
MarketId	marketId
short	ratio
Side::Enum	side
Optional< short >	strategyCode
Optional< int >	ratioQtyNumerator
Optional< int >	ratioQtyDenominator
Optional< int >	ratioPriceNumerator
Optional< int >	ratioPriceDenominator

Detailed Description

Definition at line 198 of file FuturesStrategyDefinition.h.

Constructor & Destructor Documentation

Leg

(

)

Default constructor.

Member Function Documentation

std::string toString

(

)

const

Returns string representation.

Member Data Documentation

MarketId marketId

Market Id of the futures leg market.

Definition at line 201 of file FuturesStrategyDefinition.h.

short ratio

Number of futures contracts per increment quantity.

Definition at line 204 of file FuturesStrategyDefinition.h.

Optional<int> ratioPriceDenominator

The price ratio is the fractional weighted price component per leg in the strategy. Using a Q4 2017 set as composite strategy as an example, each leg Oct 2017, Nov 2017 and Dec 2017 will have 3 as the LegRatioPriceDenominator.

Definition at line 235 of file FuturesStrategyDefinition.h.

Optional<int> ratioPriceNumerator

The price ratio is the fractional weighted price component per leg in the strategy. Using a Q4 2017 set as composite strategy as an example, each leg Oct 2017, Nov 2017 and Dec 2017 will have 1 as the LegRatioPriceNumerator.

Definition at line 229 of file FuturesStrategyDefinition.h.

Optional<int> ratioQtyDenominator

The quantity ratio represents the proportion of each of the leg of interproduct spreads. The Leg ratio denominator will be set to 1 for most products not but will be used in future product launches.

Definition at line 223 of file FuturesStrategyDefinition.h.

Optional<int> ratioQtyNumerator

The quantity ratio represents the proportion of each of the leg of interproduct spreads. Using Gas Oil crack as an example. This will be set to 4 for the Gas oil leg and 3 for the Brent leg.

Definition at line 218 of file FuturesStrategyDefinition.h.

Side::Enum side

Leg side.

Definition at line 207 of file FuturesStrategyDefinition.h.

Optional<short> strategyCode

The strategy code for the leg. If set, this field can be used to obtain the next level of granularity of the strategy. If it is not set, the /c LegMarketID is the most granular level for the market. See Appendix E for list of codes.

Definition at line 213 of file FuturesStrategyDefinition.h.

---

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

• OnixS/ICE/iMpact/MarketData/Messages/FuturesStrategyDefinition.h