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OnixS ICE iMpact Multicast Feed Handler for C++
3.13.0.0
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OnixS ICE iMpact Multicast Feed Handler for C++
3.13.0.0
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This class represents the Futures/OTC Product Definition Response Message. More...
Classes | |
| struct | BlockDetail |
| This nested class represents block details definition. More... | |
Public Types | |
| enum | { messageType = 'B' } |
| Message type constant. | |
| typedef std::vector< BlockDetail > | BlockDetails |
| Alias for collection of BlockDetails. | |
Public Member Functions | |
| FuturesProductDefinition () | |
| Default constructor. | |
| std::string | toString () const |
| Returns string representation. | |
Public Attributes | |
| int | requestSeqId |
| The original request sequence ID assigned by client, unique per session. More... | |
| MarketType | requestMarketType |
| See Appendix C for the list of market types and IDs. | |
| MarketId | marketId |
| Unique identifier of the market. | |
| std::string | contractSymbol |
| See Naming Convention on Appendix D. | |
| TradingStatus::Enum | tradingStatus |
| See Appendix A on trading status codes. | |
| char | orderPriceDenominator |
| Denominator for the order price fields in this market. | |
| int | incrementPrice |
| Minimum increment price for this market. | |
| int | incrementQty |
| Minimum increment quantity for this market. | |
| int | lotSize |
| The lot size is minimum size of contracts in lots. More... | |
| std::string | marketDesc |
| Description of the market. | |
| short | maturityYear |
| 4 digit year. More... | |
| short | maturityMonth |
| Month range 1-12. More... | |
| short | maturityDay |
| Day of the month. More... | |
| bool | isSpread |
| Indicate if the market is a spread. | |
| bool | isCrackSpread |
| Indicate if the market is crack spread. | |
| MarketId | primaryMarketId |
| Ignored when it is not spread. | |
| MarketId | secondaryMarketId |
| Ignored when it is not spread. | |
| char | dealPriceDenominator |
| Denominator for the deal price fields in the market. More... | |
| int | minQty |
| Minimum quantity for this market. | |
| int | unitQuantity |
| The quantity in unit of measurement per lot. More... | |
| std::string | currency |
| The currency that the market is traded on. | |
| char | numDecimalsOptionsPrice |
Only used for OffExchangeIncrementOptionPrice. | |
| long long | tickValue |
| A market's tick value is the cash value of one tick (one minimum price movement). More... | |
| bool | allowOptions |
| Indicate if the market supports option markets. | |
| std::string | clearedAlias |
| Clearing limit admin related. | |
| bool | allowsImplied |
| Indicate if implication is done for a given spread market and its given outright leg markets. More... | |
| short | optionsExpirationYear |
| 4 digit year. | |
| short | optionsExpirationMonth |
| Month range 1-12. | |
| short | optionsExpirationDay |
| Day of the month. | |
| Price | minPrice |
| Minimum Price. | |
| Price | maxPrice |
| Maximum Price. | |
| std::string | productName |
| Name of the product that the contract/market is under. | |
| std::string | hubAlias |
| Alias of the hub for the contract/market. | |
| std::string | stripName |
| Name of the strip for the contract/market. | |
| bool | isSerialOptionsSupported |
| Indicate if serial options is supported. | |
| bool | isTradable |
| Indicate if the contract is tradable. | |
| char | settlePriceDenominator |
| Denominator for the settlement price fields in the market. More... | |
| std::string | micCode |
| Market Identifier Code for the market. | |
| char | unitQtyDenominator |
| Denominator for UnitQuantity. More... | |
| SecuritySubType::Enum | securitySubType |
| Contains the Strategy Code for defined market where applicable. More... | |
| bool | hedgeOnly |
| Indicate if the contract is for hedge only. | |
| ExchangeSilo::Enum | exchangeSilo |
| Exchange silo code for the market. | |
| char | offExchangeIncrementQtyDenominator |
Denominator for OffExchangeIncrementQty. | |
| int | offExchangeIncrementQty |
| Off exchange increment qty. More... | |
| int | offExchangeIncrementPrice |
| Off exchange increment price. More... | |
| int | offExchangeIncrementOptionPrice |
| Off exchange options increment price. More... | |
| int | productId |
| ID of the product that the contract/market is under. | |
| int | hubId |
| ID of the hub for the contract/market. | |
| int | stripId |
| ID of the strip for the contract/market. | |
| std::string | underlyingISIN |
| The ISIN of the security this market is associated with. More... | |
| Optional< BlockDetails > | blockDetails |
| Collection of BlockDetails. | |
| Optional< char > | altPriceDenominator |
| Denominator for the alternate deal price fields in the market. | |
| Optional< long long > | couponRate |
| Fixed Rate: The fixed rate for an instrument. | |
| Optional< char > | couponRateDenominator |
| Fixed Rate: The fixed rate Denominator for an instrument. | |
| Optional< DateTime > | datedDate |
| Cash Flow Alignment Date: The cash flow alignment date is a date not adjusted for holidays used to derive interest payment dates. More... | |
| Optional< DateTime > | interestAccrualDate |
| Effective Date: The effective date of the swap future. More... | |
| Optional< DateTime > | issueDate |
| First Fixing Date: The first Fixing Date is the date at which the float rate is set during the first float period. More... | |
| Optional< Price > | repurchaseRate |
| Previous Fixing Rate: The rate set on the last reset date. More... | |
| Optional< DateTime > | repurchaseDate |
| Previous Fixing Date: The date the floating rate was set for the next floating payment. More... | |
| Optional< long long > | factor |
| Index Factor: Percentage of the original index that is still accruing interest. More... | |
| Optional< long long > | interpolationFactor |
| Interpolation Factor: Multiplier that when applied to the longer rate in the CreditRating (Rate Descriptor) field results in RepurchaseRate (Previous Fixing Rate). More... | |
| Optional< char > | interpolationFactorDenominator |
| Denominator value for ContractMultiplier. | |
| Optional< std::string > | instrRegistry |
| Payment Frequency: The interest rate swap future payment frequency. More... | |
| Optional< std::string > | creditRating |
| Rate Descriptor: The description of Float Rate. More... | |
| Optional< long long > | accruedPremiumAmt |
| Total Premium Accrual: Premium that has accrued during the current quarterly payment period. More... | |
| Optional< long long > | eventPaymentAmt |
| CDS - Premium & Credit Event Payments (B): This value represents historical premium and credit event payments for 100 notional, and is one of the primary inputs needed for calculating a futures price for a swap future. More... | |
| Optional< long long > | alignmentInterestRate |
| Price Alignment Interest (C): Eris PAI is the cumulative daily interest on variation margin adjustment for 100 notional. More... | |
| Optional< SettlementType::Enum > | settlementType |
| Settlement Type. | |
| Optional< bool > | isBlockOnly |
| Indicates if Market is only tradable via ICE Block Trade. More... | |
| Optional< bool > | flexAllowed |
| Indicates if flexible strikes can be created for the option market. | |
| Optional< MarketId > | hedgeMarketId |
| Market ID for the corresponding hedge market. More... | |
| Optional< int > | numOfMarkets |
| The number of markets for the given market type. | |
| Optional< std::string > | contractSymbolExtra |
| Only sent if contract symbol is greater than 35. More... | |
| Optional< std::string > | unitOfMeasure |
| Unit Of Measure. | |
| Optional< bool > | gtAllowed |
| Indicates if GTC is allowed in the market. | |
| Optional< bool > | crossOrderSupported |
| Indicates if Cross order is supported in the market. | |
| Optional< bool > | aonAllowed |
| Indicates if AON order is supported in the market. | |
| Optional< bool > | miFIDRegulatedMarket |
| Indicates MIFID-II market. | |
| Optional< bool > | testMarketIndicator |
| Indicates this is a test market. | |
| Optional< int > | refSpreadProductId |
| Product ID to use when requesting new spread. | |
| Optional< std::string > | isin |
| This ISIN is only supported for MiFID Regulated Markets. More... | |
| Optional< MarketTransparencyType::Enum > | marketTransparencyType |
| This field can be used to identify if a market is Platts or not. | |
| Optional< Date > | screenLastTradeDate |
| ScreenLastTradeDate is the last date, by Exchange rule, that the market is available for trading on the Central Order Book. More... | |
| Optional< bool > | isDividendAdjusted |
| Indicates if dividend is adjusted. | |
| Optional< short > | numOfCycles |
| Number of cycle (days, hours, MWh, etc.) for a contract. | |
Friends | |
| class | MessageDeserializer |
This class represents the Futures/OTC Product Definition Response Message.
| Optional<long long> accruedPremiumAmt |
Total Premium Accrual: Premium that has accrued during the current quarterly payment period.
Based on 100 Notional and will be applied to the 'A' value. Number of decimal places for AccruedPremiumAmt is 10.
| Optional<long long> alignmentInterestRate |
Price Alignment Interest (C): Eris PAI is the cumulative daily interest on variation margin adjustment for 100 notional.
Eris PAI is one of the primary inputs needed for calculating a futures price for a swap future. IRS - Accrued Coupons (B Value): This value represents historical fixed and floating payments for 100 notional, and is one of the primary inputs needed for calculating a futures price for a swap future. Denominator value for AlignmentInterestRate is 10.
| bool allowsImplied |
Indicate if implication is done for a given spread market and its given outright leg markets.
| Optional<std::string> contractSymbolExtra |
Only sent if contract symbol is greater than 35.
Client should use this field if sent else use existing contract symbol field.
| Optional<std::string> creditRating |
Rate Descriptor: The description of Float Rate.
Sent for float leg on aged or spot starting swap futures.
| Optional<DateTime> datedDate |
Cash Flow Alignment Date: The cash flow alignment date is a date not adjusted for holidays used to derive interest payment dates.
Any calendar day.
| char dealPriceDenominator |
Denominator for the deal price fields in the market.
For most markets, this is the same as OrderPriceDenominator. However, it could be different for some crack or spread markets.
| Optional<long long> eventPaymentAmt |
CDS - Premium & Credit Event Payments (B): This value represents historical premium and credit event payments for 100 notional, and is one of the primary inputs needed for calculating a futures price for a swap future.
IRS - Accrued Coupons (B Value): This value represents historical fixed and floating payments for 100 notional, and is one of the primary inputs needed for calculating a futures price for an interest rate swap future. Number of decimal places for EventPaymentAmt is 10. This value can be negative.
| Optional<long long> factor |
Index Factor: Percentage of the original index that is still accruing interest.
Number of decimal places for Factor is 2.
| Optional<MarketId> hedgeMarketId |
Market ID for the corresponding hedge market.
It will be set to -1 when not applicable.
| Optional<std::string> instrRegistry |
Payment Frequency: The interest rate swap future payment frequency.
Supported values: 6M = 6 months, 1Y = 1 year.
| Optional<DateTime> interestAccrualDate |
Effective Date: The effective date of the swap future.
Any business day.
| Optional<long long> interpolationFactor |
Interpolation Factor: Multiplier that when applied to the longer rate in the CreditRating (Rate Descriptor) field results in RepurchaseRate (Previous Fixing Rate).
Not sent for forward starting interest rate swap futures.
| Optional<bool> isBlockOnly |
Indicates if Market is only tradable via ICE Block Trade.
This also means the screen trading is not allowed for the market.
| Optional<std::string> isin |
This ISIN is only supported for MiFID Regulated Markets.
Of the MiFID markets, only Futures and Options markets will support ISINs; strategies will not.
| Optional<DateTime> issueDate |
| int lotSize |
The lot size is minimum size of contracts in lots.
It is multiplier to determine the total lots.
| short maturityDay |
Day of the month.
Last date that the market can be traded and should be removed from the system.
| short maturityMonth |
Month range 1-12.
Last date that the market can be traded and should be removed from the system.
| short maturityYear |
4 digit year.
Last date that the market can be traded and should be removed from the system.
| int offExchangeIncrementOptionPrice |
Off exchange options increment price.
NumDecimalsOptionsPrice should be applied to this field.
| int offExchangeIncrementPrice |
Off exchange increment price.
OrderPriceDenominator should be applied to this field.
| int offExchangeIncrementQty |
Off exchange increment qty.
OffExchangeIncrementQtyDenominator should be applied to this field.
| Optional<DateTime> repurchaseDate |
| Optional<Price> repurchaseRate |
Previous Fixing Rate: The rate set on the last reset date.
Sent for float leg on aged or spot starting swap futures. Not sent for forward starting swap futures. Number of decimal places for RepurchaseRate is
| int requestSeqId |
The original request sequence ID assigned by client, unique per session.
ScreenLastTradeDate is the last date, by Exchange rule, that the market is available for trading on the Central Order Book.
It applies to all cleared instruments on the trading platform.
| SecuritySubType::Enum securitySubType |
Contains the Strategy Code for defined market where applicable.
See Appendix E for list of codes.
| char settlePriceDenominator |
Denominator for the settlement price fields in the market.
For most markets, this is the same as DealPriceDenominator.
| long long tickValue |
A market's tick value is the cash value of one tick (one minimum price movement).
OrderPriceDenominator should be applied to get the real value.
| std::string underlyingISIN |
The ISIN of the security this market is associated with.
This is currently only populated for Liffe Equity markets.
| char unitQtyDenominator |
Denominator for UnitQuantity.
Clients should also apply UnitQtyDenominator when calculating LotSize. This field will be 0 for most of the markets.
| int unitQuantity |
The quantity in unit of measurement per lot.
For example, it is 1000 barrels per lot for Brent.