OnixS C++ LSE GTP Market Data Handler 1.0.6
API documentation
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StatisticsSnapshotMsg 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
Size4 volume () const ONIXS_LSE_GTP_NOTHROW
Size4 volumeOnBookOnly () const ONIXS_LSE_GTP_NOTHROW
Price4 vwap () const ONIXS_LSE_GTP_NOTHROW
Price4 vwapOnBookOnly () const ONIXS_LSE_GTP_NOTHROW
UInt32 numberOfTrades () const ONIXS_LSE_GTP_NOTHROW
UInt32 numberOfTradesOnBookOnly () const ONIXS_LSE_GTP_NOTHROW
Price4 turnover () const ONIXS_LSE_GTP_NOTHROW
Price4 turnoverOnBookOnly () const ONIXS_LSE_GTP_NOTHROW
Price officialOpeningPrice () const ONIXS_LSE_GTP_NOTHROW
Price officialClosingPrice () const ONIXS_LSE_GTP_NOTHROW
Price tradeHighOnBookOnly () const ONIXS_LSE_GTP_NOTHROW
Price tradeLowOnBookOnly () const ONIXS_LSE_GTP_NOTHROW
Price tradeHigh () const ONIXS_LSE_GTP_NOTHROW
Price tradeLow () const ONIXS_LSE_GTP_NOTHROW
Price tradeHigh52week () const ONIXS_LSE_GTP_NOTHROW
Price tradeLow52week () const ONIXS_LSE_GTP_NOTHROW
Byte openingPriceIndicator () const ONIXS_LSE_GTP_NOTHROW
Byte closingPriceIndicator () const ONIXS_LSE_GTP_NOTHROW
Price iAUPrice () const ONIXS_LSE_GTP_NOTHROW
Size iAUPairedSize () const ONIXS_LSE_GTP_NOTHROW
Size imbalanceQuantity () const ONIXS_LSE_GTP_NOTHROW
ImbalanceDirection::Enum imbalanceDirection () const ONIXS_LSE_GTP_NOTHROW
Price bestClosingBidPrice () const ONIXS_LSE_GTP_NOTHROW
Price bestClosingAskPrice () const ONIXS_LSE_GTP_NOTHROW
Size bestClosingBidSize () const ONIXS_LSE_GTP_NOTHROW
Size bestClosingAskSize () const ONIXS_LSE_GTP_NOTHROW
AuctionType::Enum auctionType () const ONIXS_LSE_GTP_NOTHROW
Price lastTradePrice () const ONIXS_LSE_GTP_NOTHROW
Size lastTradeQuantity () const ONIXS_LSE_GTP_NOTHROW
UDT lastTradeTime () const ONIXS_LSE_GTP_NOTHROW
Price staticReferencePrice () const ONIXS_LSE_GTP_NOTHROW
Price dynamicReferencePrice () const ONIXS_LSE_GTP_NOTHROW
 StatisticsSnapshotMsg (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_ = 273

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 StatisticsSnapshot.h.

Constructor & Destructor Documentation

◆ StatisticsSnapshotMsg()

StatisticsSnapshotMsg ( const void * data,
MessageSize size )
inline

Initializes instance over given memory block.

Definition at line 298 of file StatisticsSnapshot.h.

Member Function Documentation

◆ auctionType()

AuctionType::Enum auctionType ( ) const
inline

Auction Type.

Definition at line 243 of file StatisticsSnapshot.h.

◆ bestClosingAskPrice()

Price bestClosingAskPrice ( ) const
inline

The best offer price at the time the instrument moves into closing auction session.

Definition at line 222 of file StatisticsSnapshot.h.

◆ bestClosingAskSize()

Size bestClosingAskSize ( ) const
inline

The best offer size at the time the instrument moves into closing auction session.

Definition at line 236 of file StatisticsSnapshot.h.

◆ bestClosingBidPrice()

Price bestClosingBidPrice ( ) const
inline

The best bid price at the time the instrument moves into closing auction session.

Definition at line 215 of file StatisticsSnapshot.h.

◆ bestClosingBidSize()

Size bestClosingBidSize ( ) const
inline

The best bid size at the time the instrument moves into closing auction session.

Definition at line 229 of file StatisticsSnapshot.h.

◆ closingPriceIndicator()

Byte closingPriceIndicator ( ) const
inline

Definition at line 179 of file StatisticsSnapshot.h.

◆ dynamicReferencePrice()

Price dynamicReferencePrice ( ) const
inline

Reference Price as reported by the source venue. (Specific to BIT/TLX)

Definition at line 281 of file StatisticsSnapshot.h.

◆ iAUPairedSize()

Size iAUPairedSize ( ) const
inline

Quantity to be matched at the last reported indicative price.

Definition at line 193 of file StatisticsSnapshot.h.

◆ iAUPrice()

Price iAUPrice ( ) const
inline

Contains the last reported Indicative Auction Crossing Price/Yield.

Definition at line 186 of file StatisticsSnapshot.h.

◆ imbalanceDirection()

ImbalanceDirection::Enum imbalanceDirection ( ) const
inline

Imbalance Direction.

Definition at line 208 of file StatisticsSnapshot.h.

◆ imbalanceQuantity()

Size imbalanceQuantity ( ) const
inline

Quantity that was eligible to be matched at the indicative price but was not to be matched at the last indicative price.

Definition at line 201 of file StatisticsSnapshot.h.

◆ instrument()

UInt64 instrument ( ) const
inline

GTP Instrument identifier.

Definition at line 46 of file StatisticsSnapshot.h.

◆ lastTradePrice()

Price lastTradePrice ( ) const
inline

Executed price at which the instrument was last traded. If no relevant trades have taken place the value 0 will be populated.

Definition at line 251 of file StatisticsSnapshot.h.

◆ lastTradeQuantity()

Size lastTradeQuantity ( ) const
inline

Executed quantity of the trade which set the Last Trade Price. If no relevant trades have taken place the value 0 will be populated.

Definition at line 259 of file StatisticsSnapshot.h.

◆ lastTradeTime()

UDT lastTradeTime ( ) const
inline

Transaction time of the trade which set the Last Trade Price. If no relevant trades have taken place the value 0 will be populated.

Definition at line 267 of file StatisticsSnapshot.h.

◆ numberOfTrades()

UInt32 numberOfTrades ( ) const
inline

Count of all trades for the day.

Definition at line 88 of file StatisticsSnapshot.h.

◆ numberOfTradesOnBookOnly()

UInt32 numberOfTradesOnBookOnly ( ) const
inline

Count of trades for the day excluding off-book trades.

Definition at line 95 of file StatisticsSnapshot.h.

◆ officialClosingPrice()

Price officialClosingPrice ( ) const
inline

Official Closing Price for the instrument.

Definition at line 123 of file StatisticsSnapshot.h.

◆ officialOpeningPrice()

Price officialOpeningPrice ( ) const
inline

Official Opening Price for the instrument.

Definition at line 116 of file StatisticsSnapshot.h.

◆ openingPriceIndicator()

Byte openingPriceIndicator ( ) const
inline

Definition at line 172 of file StatisticsSnapshot.h.

◆ sourceVenue()

SourceVenue::Enum sourceVenue ( ) const
inline

Source venue.

Definition at line 53 of file StatisticsSnapshot.h.

◆ staticReferencePrice()

Price staticReferencePrice ( ) const
inline

Reference Price as reported by the source venue. (Specific to BIT/TLX)

Definition at line 274 of file StatisticsSnapshot.h.

◆ timestamp()

UDT timestamp ( ) const
inline

Time the message was generated.

Definition at line 39 of file StatisticsSnapshot.h.

◆ tradeHigh()

Price tradeHigh ( ) const
inline

Current trading day high price of all trades.

Definition at line 144 of file StatisticsSnapshot.h.

◆ tradeHigh52week()

Price tradeHigh52week ( ) const
inline

52-week high price of all trades.

Definition at line 158 of file StatisticsSnapshot.h.

◆ tradeHighOnBookOnly()

Price tradeHighOnBookOnly ( ) const
inline

Current trading day high price excluding off-book trades.

Definition at line 130 of file StatisticsSnapshot.h.

◆ tradeLow()

Price tradeLow ( ) const
inline

Current trading day low price of all trades.

Definition at line 151 of file StatisticsSnapshot.h.

◆ tradeLow52week()

Price tradeLow52week ( ) const
inline

52-week low price of all trades.

Definition at line 165 of file StatisticsSnapshot.h.

◆ tradeLowOnBookOnly()

Price tradeLowOnBookOnly ( ) const
inline

Current trading day low price excluding off-book trades.

Definition at line 137 of file StatisticsSnapshot.h.

◆ turnover()

Price4 turnover ( ) const
inline

Turnover of all trades for the day.

Definition at line 102 of file StatisticsSnapshot.h.

◆ turnoverOnBookOnly()

Price4 turnoverOnBookOnly ( ) const
inline

Turnover for the day excluding off-book trades.

Definition at line 109 of file StatisticsSnapshot.h.

◆ validateSize()

void validateSize ( MessageSize size)
inlinestatic

Check the given size.

Definition at line 291 of file StatisticsSnapshot.h.

◆ volume()

Size4 volume ( ) const
inline

Cumulative volume of all trades for the trading day.

Definition at line 60 of file StatisticsSnapshot.h.

◆ volumeOnBookOnly()

Size4 volumeOnBookOnly ( ) const
inline

Cumulative volume for the trading day excluding off-book trades.

Definition at line 67 of file StatisticsSnapshot.h.

◆ vwap()

Price4 vwap ( ) const
inline

Volume weighted average price for the day for all trades.

Definition at line 74 of file StatisticsSnapshot.h.

◆ vwapOnBookOnly()

Price4 vwapOnBookOnly ( ) const
inline

Volume weighted average price for the day excluding off-book trades.

Definition at line 81 of file StatisticsSnapshot.h.

Member Data Documentation

◆ messageSize_

ONIXS_LSE_GTP_CONST_OR_CONSTEXPR MessageSize messageSize_ = 273
static

Total message size.

Definition at line 288 of file StatisticsSnapshot.h.