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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 Market Snapshot Message. More...
Public Types | |
| enum | { messageType = 'C' } |
| Message type constant. | |
Public Member Functions | |
| MarketSnapshot () | |
| Default constructor. | |
| std::string | toString () const |
| Returns string representation. | |
Public Attributes | |
| MarketId | marketId |
| Unique identifier of the market. | |
| MarketType | marketType |
| See Appendix C for the list of market types and IDs. | |
| TradingStatus::Enum | tradingStatus |
| See Appendix A on the trading status codes. | |
| int | volume |
| Electronic trade volume only, excluding block and other volumes. | |
| int | blockVolume |
| Block volume. | |
| int | efsVolume |
| EFS volume. | |
| int | efpVolume |
| EFP volume. | |
| int | openInterest |
| The number of open contracts of derivatives like futures and options that have a time limit after which they expire. More... | |
| Price | openingPrice |
| Opening price. More... | |
| Price | settlementPriceWithDealPricePrecision |
| Settlement price. More... | |
| long long | high |
| High price. More... | |
| long long | low |
| Low price. More... | |
| long long | vwap |
| Weighted Average Price. More... | |
| int | numOfBookEntries |
| Number of book entries in the market. More... | |
| Price | lastTradePrice |
| Last trade price. More... | |
| int | lastTradeQuantity |
| Last trade quantity. | |
| DateTime | lastTradeDateTime |
| Last trade date/time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT. | |
| DateTime | settlePriceDateTime |
| Settlement price date/time. More... | |
| int | lastMessageSequenceId |
| This should be used for synchronization with live update messages. More... | |
| std::string | openInterestDate |
| The date Open Interest is effective for, in the format of YYYY-MM-DD. | |
| bool | isSettlePriceOfficial |
| Indicate if the SettlementPrice is official. | |
| Price | settlementPrice |
| Settlement price. More... | |
| bool | hasPreviousDaySettlementPrice |
Indicate if the PreviousSettlementDayPrice populated. More... | |
| Price | previousDaySettlementPrice |
SettlePriceDenominator for the market should be applied to get the real previous day settlement price. More... | |
Friends | |
| class | MessageDeserializer |
This class represents the Market Snapshot Message.
| bool hasPreviousDaySettlementPrice |
Indicate if the PreviousSettlementDayPrice populated.
This field will always be set to N for options.
| long long high |
High price.
DealPriceDenominator for the market should be applied to get the real price.
| int lastMessageSequenceId |
This should be used for synchronization with live update messages.
Please see the main technical specification for details on how it can be done.
| Price lastTradePrice |
Last trade price.
DealPriceDenominator for the market should be applied to get the real price.
| long long low |
Low price.
DealPriceDenominator for the market should be applied to get the real price.
| int numOfBookEntries |
Number of book entries in the market.
It is the number of order messages followed for full order depth snapshot channel. In case of price level snapshot, it is the number of price level messages that followed for the market.
| Price openingPrice |
Opening price.
DealPriceDenominator for the market should be applied to get the real price.
| int openInterest |
The number of open contracts of derivatives like futures and options that have a time limit after which they expire.
Open interest in a derivative is the sum of all contracts that have not expired, been exercised or physically delivered. Moreover, the open interest is the number of long positions or, equivalently, the number of short positions.
| Price previousDaySettlementPrice |
SettlePriceDenominator for the market should be applied to get the real previous day settlement price.
This field should be ignored if HasPreviousDaySettlementPrice is set to 'N'. PreviousDaySettlementPrice will be sent for futures markets(not options). From the start of the day until the settlement price is published, the value of PDSP and settlement price would be the same. Once the settlement price is published, PDSP would stay the same and the settlement price would be updated to the current day settlement price. If there is a holiday, the exchange will distribute the PreviousDaySettlementPrice for the date that is specified on SettlePriceDateTime (day before holiday) and HasPreviousDaySettlementPrice will be set to 'Y'.
| Price settlementPrice |
Settlement price.
SettlePriceDenominator for the market should be applied to get the real settlement price.
| Price settlementPriceWithDealPricePrecision |
Settlement price.
DealPriceDenominator for the market should be applied to get this price. This field is kept here for backward compatibility. Client should use the new SettlementPrice field (added in 1.1.14) for better precision. DealPriceDenominator and SettlePriceDenominator might be different for some markets.
| DateTime settlePriceDateTime |
Settlement price date/time.
Milliseconds since Jan 1st, 1970, 00:00:00 GMT. If there is no settlement price for endex silo, default value is 0. For other silos, the default value is -1.
| long long vwap |
Weighted Average Price.
DealPriceDenominator for the market should be applied to get the real price.