OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.10.0
API documentation
MarketSnapshot Struct Reference

#include <MarketSnapshot.h>

Public Types

enum  { messageType = 'C' }
 

Public Member Functions

 MarketSnapshot ()
 
 MarketSnapshot (const char *data, size_t dataSize)
 
void deserialize (const char *data, 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
 

Detailed Description

Definition at line 36 of file MarketSnapshot.h.

Member Enumeration Documentation

anonymous enum

Message type constant.

Enumerator
messageType 

Definition at line 39 of file MarketSnapshot.h.

Constructor & Destructor Documentation

Default constructor.

MarketSnapshot ( const char *  data,
size_t  dataSize 
)

Initialize from raw message data.

Member Function Documentation

void deserialize ( const char *  data,
size_t  dataSize 
)

Deserialize from raw data.

void reset ( )

Reset all fields to default values.

std::string toString ( ) const

Returns string representation.

Member Data Documentation

int blockVolume

Block volume.

Definition at line 54 of file MarketSnapshot.h.

int efpVolume

EFP volume.

Definition at line 60 of file MarketSnapshot.h.

int efsVolume

EFS volume.

Definition at line 57 of file MarketSnapshot.h.

bool hasPreviousDaySettlementPrice

Indicate if the PreviousSettlementDayPrice populated. This field will always be set to N for options.

Definition at line 131 of file MarketSnapshot.h.

long long high

High price. DealPriceDenominator for the market should be applied to get the real price.

Definition at line 83 of file MarketSnapshot.h.

bool isSettlePriceOfficial

Indicate if the SettlementPrice is official.

Definition at line 123 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 117 of file MarketSnapshot.h.

DateTime lastTradeDateTime

Last trade date/time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT.

Definition at line 107 of file MarketSnapshot.h.

Price lastTradePrice

Last trade price. DealPriceDenominator for the market should be applied to get the real price.

Definition at line 101 of file MarketSnapshot.h.

int lastTradeQuantity

Last trade quantity.

Definition at line 104 of file MarketSnapshot.h.

long long low

Low price. DealPriceDenominator for the market should be applied to get the real price.

Definition at line 87 of file MarketSnapshot.h.

MarketId marketId

Unique identifier of the market.

Definition at line 42 of file MarketSnapshot.h.

MarketType marketType

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

Definition at line 45 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 97 of file MarketSnapshot.h.

Price openingPrice

Opening price. DealPriceDenominator for the market should be applied to get the real price.

Definition at line 72 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 68 of file MarketSnapshot.h.

std::string openInterestDate

The date Open Interest is effective for, in the format of YYYY-MM-DD.

Definition at line 120 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 145 of file MarketSnapshot.h.

Price settlementPrice

Settlement price. SettlePriceDenominator for the market should be applied to get the real settlement price.

Definition at line 127 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 79 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 112 of file MarketSnapshot.h.

TradingStatus::Enum tradingStatus

See Appendix A on the trading status codes.

Definition at line 48 of file MarketSnapshot.h.

int volume

Electronic trade volume only, excluding block and other volumes.

Definition at line 51 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 91 of file MarketSnapshot.h.


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