MarketSnapshotOrder Struct Reference

#include <MarketSnapshotOrder.h>

Public Types
enum

Public Member Functions
	MarketSnapshotOrder ()
	MarketSnapshotOrder (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
OrderId	orderId
short	orderSequenceId
Side::Enum	side
Price	price
int	quantity
bool	isImplied
bool	isRFQ
DateTime	orderEntryDateTime
int	sequenceWithinMillis

Detailed Description

Definition at line 36 of file MarketSnapshotOrder.h.

Member Enumeration Documentation

anonymous enum

anonymous enum

Message type constant.

Enumerator
messageType	'D'

Definition at line 39 of file MarketSnapshotOrder.h.

Constructor & Destructor Documentation

MarketSnapshotOrder() [1/2]

MarketSnapshotOrder

(

)

Default constructor.

MarketSnapshotOrder() [2/2]

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

Initializes from raw message data.

Member Function Documentation

deserialize()

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

Deserializes from raw data.

reset()

void reset

(

)

Reset all fields to default values.

toString()

std::string toString

(

)

const

Returns string representation.

Member Data Documentation

isImplied

bool isImplied

Indicates whether this is an implied order.

Definition at line 66 of file MarketSnapshotOrder.h.

isRFQ

bool isRFQ

Indicates whether this is an RFQ. Clients should filter the order when RFQs are not of interest.

Definition at line 70 of file MarketSnapshotOrder.h.

marketId

MarketId marketId

Unique identifier of the market.

Definition at line 45 of file MarketSnapshotOrder.h.

orderEntryDateTime

DateTime orderEntryDateTime

Order entry date and time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT.

Definition at line 74 of file MarketSnapshotOrder.h.

orderId

OrderId orderId

Unique identifier of the order.

Definition at line 48 of file MarketSnapshotOrder.h.

orderSequenceId

short orderSequenceId

Sequence ID of the order. When an order is modified, this counter is incremented while OrderID remains the same. It is retained for legacy reasons and can be ignored.

Definition at line 53 of file MarketSnapshotOrder.h.

price

Price price

Price of the bid/offer. OrderPriceDenominator for the market should be applied to get the real price.

Definition at line 60 of file MarketSnapshotOrder.h.

quantity

int quantity

Quantity.

Definition at line 63 of file MarketSnapshotOrder.h.

sequenceWithinMillis

int sequenceWithinMillis

Can be used in conjunction with the OrderEntryDateTime field to prioritize orders within the same millisecond.

Definition at line 78 of file MarketSnapshotOrder.h.

side

Side::Enum side

Indicates whether the order is a bid or an offer.

Definition at line 56 of file MarketSnapshotOrder.h.