PriceLevel Class Reference

Keeps track of the accumulated quantity on certain price level for bids and/or offers. More...

Public Member Functions
	PriceLevel ()
	Initialize default instance.
const Price &	price () const
	Value of price for the level.
const Size &	size () const
	Value of quantity for the level.
OrdSizeInd::Enum	ordSizeInd () const
	Order Size Indicator. More...
UInt32	ordersCount () const
	Number of orders.
std::string	toString () const
	Returns the string representation.

Protected Attributes
Price	price_
Size	size_
OrdSizeInd::Enum	ordSizeInd_
UInt32	ordersCount_

Detailed Description

Keeps track of the accumulated quantity on certain price level for bids and/or offers.

Member Function Documentation

OrdSizeInd::Enum ordSizeInd ( ) const

inline

Order Size Indicator.

The feeds that we provide only report the quantity up to a certain amount - and that is called the "regular amount". Once the available quantity is above that, the feed no longer shows the actual quantity available but simply reports that there is "at least the regular amount" available. The regular amount varies per instrument. The specific value for each one is shown on the currency matrix on the Dealing Xtra site: https://dxtra.markets.reuters.com/dx/DxnHtm/default.htm The field ORDSIZEIND (FID 6305) is simply the field that flags whether the regular amount has been exceeded or not. So when it is blank then it means ORDER_SIZE (FID 3429) is reporting the exact amount availble. But when its a "+" then there is actually more than ORDER_SIZE in the market.