OnixS NASDAQ OMX Genium INET Handler for C++  0.13.0.0
Public Member Functions | Public Attributes | Protected Member Functions | List of all members
OrderBook Struct Reference

Public Member Functions

std::string toString () const
 String representation.
 

Public Attributes

const AskPriceLevels & asks
 Collection of asks.
 
const BidPriceLevels & bids
 Collection of bids.
 
uint32 syncNumber
 Define a sequence number.
 
uint32 premiumLevels
 Defines the number of levels of premiums distributed within the associated premium list. More...
 
uint32 blockSize
 Minimum number of units (options, futures, forwards and so on) in an order transaction. More...
 
OMexBool::Enum demandsPopulated
 Defines if demands are populated or not.
 
int64 totalQuantityAsk
 Defines the total ask quantity. More...
 
int64 totalQuantityBid
 Defines the total bid quantity. More...
 
Timestamp lastUpdateTime
 Last update time.
 
uint32 totalNumberOfBidOrders
 Total number of bid orders.
 
uint32 totalNumberOfAskOrders
 Total number of ask orders.
 

Protected Member Functions

 OrderBook (const AskPriceLevels &asks, const BidPriceLevels &bids, uint32 blockSize)
 

Member Data Documentation

uint32 blockSize

Minimum number of units (options, futures, forwards and so on) in an order transaction.

A Block Size of zero indicates an All or None order.

uint32 premiumLevels

Defines the number of levels of premiums distributed within the associated premium list.

Exchange regulations could set the level to a lower value then both the actual list size and the actual depth in the market.

int64 totalQuantityAsk

Defines the total ask quantity.

Note
The Total Quantity variable structure is only distributed if the exchange has enabled this distribution. If enabled, it applies to all instruments and is never changed intra day.
int64 totalQuantityBid

Defines the total bid quantity.

Note
The Total Quantity variable structure is only distributed if the exchange has enabled this distribution. If enabled, it applies to all instruments and is never changed intra day.