Public Types | |
| enum | |
Public Member Functions | |
| MarketSnapshot () | |
| MarketSnapshot (const char *data, std::size_t dataSize) | |
| void | deserialize (const char *data, std::size_t dataSize) |
| void | reset () |
| std::string | toString () const |
Public Attributes | |
| MarketId | marketId |
| MarketType | marketType |
| TradingStatus::Enum | tradingStatus |
| int | volume |
| int | blockVolume |
| int | efsVolume |
| int | efpVolume |
| int | openInterest |
| Price | openingPrice |
| Price | settlementPriceWithDealPricePrecision |
| long long | high |
| long long | low |
| long long | vwap |
| int | numOfBookEntries |
| Price | lastTradePrice |
| int | lastTradeQuantity |
| DateTime | lastTradeDateTime |
| DateTime | settlePriceDateTime |
| int | lastMessageSequenceId |
| std::string | openInterestDate |
| bool | isSettlePriceOfficial |
| Price | settlementPrice |
| bool | hasPreviousDaySettlementPrice |
| Price | previousDaySettlementPrice |
Definition at line 36 of file MarketSnapshot.h.
| anonymous enum |
| MarketSnapshot | ( | ) |
Default constructor.
| MarketSnapshot | ( | const char * | data, |
| std::size_t | dataSize ) |
Initialize from raw message data.
| void deserialize | ( | const char * | data, |
| std::size_t | dataSize ) |
Deserialize from raw data.
| void reset | ( | ) |
Reset all fields to default values.
| std::string toString | ( | ) | const |
Returns string representation.
| int blockVolume |
Block volume.
Definition at line 57 of file MarketSnapshot.h.
| int efpVolume |
EFP volume.
Definition at line 63 of file MarketSnapshot.h.
| int efsVolume |
EFS volume.
Definition at line 60 of file MarketSnapshot.h.
| bool hasPreviousDaySettlementPrice |
Indicate if the PreviousSettlementDayPrice populated. This field will always be set to N for options.
Definition at line 134 of file MarketSnapshot.h.
| long long high |
High price. DealPriceDenominator for the market should be applied to get the real price.
Definition at line 86 of file MarketSnapshot.h.
| bool isSettlePriceOfficial |
Indicate if the SettlementPrice is official.
Definition at line 126 of file MarketSnapshot.h.
| int lastMessageSequenceId |
This should be used for synchronization with live update messages. Please see the main technical specification for details on how it can be done.
Definition at line 120 of file MarketSnapshot.h.
| DateTime lastTradeDateTime |
Last trade date/time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT.
Definition at line 110 of file MarketSnapshot.h.
| Price lastTradePrice |
Last trade price. DealPriceDenominator for the market should be applied to get the real price.
Definition at line 104 of file MarketSnapshot.h.
| int lastTradeQuantity |
Last trade quantity.
Definition at line 107 of file MarketSnapshot.h.
| long long low |
Low price. DealPriceDenominator for the market should be applied to get the real price.
Definition at line 90 of file MarketSnapshot.h.
| MarketId marketId |
Unique identifier of the market.
Definition at line 45 of file MarketSnapshot.h.
| MarketType marketType |
See Appendix C for the list of market types and IDs.
Definition at line 48 of file MarketSnapshot.h.
| int numOfBookEntries |
Number of book entries in the market. It is the number of order messages followed for full order depth snapshot channel. In case of price level snapshot, it is the number of price level messages that followed for the market.
Definition at line 100 of file MarketSnapshot.h.
| Price openingPrice |
Opening price. DealPriceDenominator for the market should be applied to get the real price.
Definition at line 75 of file MarketSnapshot.h.
| int openInterest |
The number of open contracts of derivatives like futures and options that have a time limit after which they expire. Open interest in a derivative is the sum of all contracts that have not expired, been exercised or physically delivered. Moreover, the open interest is the number of long positions or, equivalently, the number of short positions.
Definition at line 71 of file MarketSnapshot.h.
| std::string openInterestDate |
The date Open Interest is effective for, in the format of YYYY-MM-DD.
Definition at line 123 of file MarketSnapshot.h.
| Price previousDaySettlementPrice |
SettlePriceDenominator for the market should be applied to get the real previous day settlement price. This field should be ignored if HasPreviousDaySettlementPrice is set to N. PreviousDaySettlementPrice will be sent for futures markets(not options). From the start of the day until the settlement price is published, the value of PDSP and settlement price would be the same. Once the settlement price is published, PDSP would stay the same and the settlement price would be updated to the current day settlement price. If there is a holiday, the exchange will distribute the PreviousDaySettlementPrice for the date that is specified on SettlePriceDateTime (day before holiday) and HasPreviousDaySettlementPrice will be set to Y.
Definition at line 148 of file MarketSnapshot.h.
| Price settlementPrice |
Settlement price. SettlePriceDenominator for the market should be applied to get the real settlement price.
Definition at line 130 of file MarketSnapshot.h.
| Price settlementPriceWithDealPricePrecision |
Settlement price. DealPriceDenominator for the market should be applied to get this price. This field is kept here for backward compatibility. Client should use the new SettlementPrice field (added in 1.1.14) for better precision. DealPriceDenominator and SettlePriceDenominator might be different for some markets.
Definition at line 82 of file MarketSnapshot.h.
| DateTime settlePriceDateTime |
Settlement price date/time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT. If there is no settlement price for endex silo, default value is 0. For other silos, the default value is -1.
Definition at line 115 of file MarketSnapshot.h.
| TradingStatus::Enum tradingStatus |
See Appendix A on the trading status codes.
Definition at line 51 of file MarketSnapshot.h.
| int volume |
Electronic trade volume only, excluding block and other volumes.
Definition at line 54 of file MarketSnapshot.h.
| long long vwap |
Weighted Average Price. DealPriceDenominator for the market should be applied to get the real price.
Definition at line 94 of file MarketSnapshot.h.
