AnalyticsMsg Struct Reference

Public Member Functions
UDT	timestamp () const ONIXS_LSE_GTP_NOTHROW
UInt64	instrument () const ONIXS_LSE_GTP_NOTHROW
SourceVenue::Enum	sourceVenue () const ONIXS_LSE_GTP_NOTHROW
UDT	startTime () const ONIXS_LSE_GTP_NOTHROW
UDT	endTime () const ONIXS_LSE_GTP_NOTHROW
UInt32	buyOrderCount () const ONIXS_LSE_GTP_NOTHROW
UInt32	sellOrderCount () const ONIXS_LSE_GTP_NOTHROW
Size4	buyOrderSize () const ONIXS_LSE_GTP_NOTHROW
Size4	sellOrderSize () const ONIXS_LSE_GTP_NOTHROW
UInt32	buyOrderCancellations () const ONIXS_LSE_GTP_NOTHROW
UInt32	sellOrderCancellations () const ONIXS_LSE_GTP_NOTHROW
UInt32	buyLimitOrderCancellations () const ONIXS_LSE_GTP_NOTHROW
UInt32	buyMarketOrderCancellations () const ONIXS_LSE_GTP_NOTHROW
UInt32	sellLimitOrderCancellations () const ONIXS_LSE_GTP_NOTHROW
UInt32	sellMarketOrderCancellations () const ONIXS_LSE_GTP_NOTHROW
Price	bidAskSpread () const ONIXS_LSE_GTP_NOTHROW
Price	vWAPBuy () const ONIXS_LSE_GTP_NOTHROW
Price	vWAPSell () const ONIXS_LSE_GTP_NOTHROW
	AnalyticsMsg (const void *data, MessageSize size) ONIXS_LSE_GTP_NOTHROW
Public Member Functions inherited from BinaryMessage
	BinaryMessage () ONIXS_LSE_GTP_NOTHROW
	BinaryMessage (const void *data, MessageSize size) ONIXS_LSE_GTP_NOTHROW
	BinaryMessage (const BinaryMessage &other) ONIXS_LSE_GTP_NOTHROW
ONIXS_LSE_GTP_EXPLICIT	operator bool () const ONIXS_LSE_GTP_NOTHROW
const void *	binary () const ONIXS_LSE_GTP_NOTHROW
MessageSize	binarySize () const ONIXS_LSE_GTP_NOTHROW
BinaryMessage &	operator= (const BinaryMessage &other) ONIXS_LSE_GTP_NOTHROW

Static Public Member Functions
static void	validateSize (MessageSize size)

Static Public Attributes
static ONIXS_LSE_GTP_CONST_OR_CONSTEXPR MessageSize	messageSize_ = 109

Additional Inherited Members
Public Types inherited from BinaryMessage
typedef MessageSize	BinarySize
Protected Member Functions inherited from BinaryFields< BinaryMessage, MessageSize >
FieldValue	ordinary (MessageSize offset) const ONIXS_LSE_GTP_NOTHROW
const FieldValue &	ordinaryRef (MessageSize offset) const ONIXS_LSE_GTP_NOTHROW
Enumeration::Enum	enumeration (MessageSize offset) const ONIXS_LSE_GTP_NOTHROW
StrRef	fixedStr (MessageSize offset) const ONIXS_LSE_GTP_NOTHROW

Detailed Description

Definition at line 36 of file Analytics.h.

Constructor & Destructor Documentation

AnalyticsMsg()

AnalyticsMsg ( const void * data, MessageSize size )

inline

Initializes instance over given memory block.

Definition at line 175 of file Analytics.h.

Member Function Documentation

bidAskSpread()

Price bidAskSpread ( ) const

inline

Most recent bid/ask spread at the time of publication of the message.

Definition at line 144 of file Analytics.h.

buyLimitOrderCancellations()

UInt32 buyLimitOrderCancellations ( ) const

inline

Number of buy limit orders cancelled by clients within the calculation window.

Definition at line 116 of file Analytics.h.

buyMarketOrderCancellations()

UInt32 buyMarketOrderCancellations ( ) const

inline

Number of buy market orders cancelled by clients within the calculation window.

Definition at line 123 of file Analytics.h.

buyOrderCancellations()

UInt32 buyOrderCancellations ( ) const

inline

Number of buy orders cancelled by clients within the calculation window.

Definition at line 102 of file Analytics.h.

buyOrderCount()

UInt32 buyOrderCount ( ) const

inline

Number of buy orders received within the calculation window.

Definition at line 74 of file Analytics.h.

buyOrderSize()

Size4 buyOrderSize ( ) const

inline

Cumulative quantity of all buy orders received within the calculation window.

Definition at line 88 of file Analytics.h.

endTime()

UDT endTime ( ) const

inline

Time the calculation of the statistics on this message ended.

Definition at line 67 of file Analytics.h.

instrument()

UInt64 instrument ( ) const

inline

GTP Instrument identifier.

Definition at line 46 of file Analytics.h.

sellLimitOrderCancellations()

UInt32 sellLimitOrderCancellations ( ) const

inline

Number of sell limit orders cancelled by clients within the calculation window.

Definition at line 130 of file Analytics.h.

sellMarketOrderCancellations()

UInt32 sellMarketOrderCancellations ( ) const

inline

Number of sell market orders cancelled by clients within the calculation window.

Definition at line 137 of file Analytics.h.

sellOrderCancellations()

UInt32 sellOrderCancellations ( ) const

inline

Number of sell orders cancelled by clients within the calculation window.

Definition at line 109 of file Analytics.h.

sellOrderCount()

UInt32 sellOrderCount ( ) const

inline

Number of sell orders received within the calculation window.

Definition at line 81 of file Analytics.h.

sellOrderSize()

Size4 sellOrderSize ( ) const

inline

Cumulative quantity of all sell orders received within the calculation window.

Definition at line 95 of file Analytics.h.

sourceVenue()

SourceVenue::Enum sourceVenue ( ) const

inline

Venue from which market data is received for the instrument.

Definition at line 53 of file Analytics.h.

startTime()

UDT startTime ( ) const

inline

Time the calculation of the statistics on this message began.

Definition at line 60 of file Analytics.h.

timestamp()

UDT timestamp ( ) const

inline

Time the message was generated.

Definition at line 39 of file Analytics.h.

validateSize()

void validateSize ( MessageSize size )

inlinestatic

Check the given size.

Definition at line 168 of file Analytics.h.

vWAPBuy()

Price vWAPBuy ( ) const

inline

Volume weighted average price for trades triggered by an aggressing buy order.

Definition at line 151 of file Analytics.h.

vWAPSell()

Price vWAPSell ( ) const

inline

Volume weighted average price for trades triggered by an aggressing sell order.

Definition at line 158 of file Analytics.h.

Member Data Documentation

messageSize_

ONIXS_LSE_GTP_CONST_OR_CONSTEXPR MessageSize messageSize_ = 109

static

Total message size.

Definition at line 165 of file Analytics.h.