Instruments

Instrument object is used to receive market data of a particular instrument. More...

Classes
struct	Cme::Mdp::InstrumentOptions
	Instrument options. More...
struct	Cme::Mdp::InstrumentQuoteRequest
	QuoteRequest event params. More...
struct	Cme::Mdp::UpdateEndFlags
	UpdateEnd event params. More...
struct	Cme::Mdp::InstrumentEvent
	Instrument event. More...
class	Cme::Mdp::Instrument
class	Cme::Mdp::InstrumentListener

Typedefs
typedef u32	Cme::Mdp::InstrumentBuildOptions
typedef u32	Cme::Mdp::InstrumentSubscriptionMask
typedef std::vector< Instrument * >	Cme::Mdp::InstrumentVector

Enumerations
enum	Cme::Mdp::InstrumentEventType {   Cme::Mdp::ieSubscribed, Cme::Mdp::ieUnsubscribed, Cme::Mdp::ieRecoveryBegin, Cme::Mdp::ieRecoveryEnd,   Cme::Mdp::ieFullUpdate, Cme::Mdp::ieStatusUpdate, Cme::Mdp::ieThresholdLimitsUpdate, Cme::Mdp::ieTradeUpdate,   Cme::Mdp::ieVolumeUpdate, Cme::Mdp::iePriceBidUpdate, Cme::Mdp::iePriceAskUpdate, Cme::Mdp::ieImpliedPriceBidUpdate,   Cme::Mdp::ieImpliedPriceAskUpdate, Cme::Mdp::ieUpdateEnd, Cme::Mdp::ieQuoteRequest, Cme::Mdp::ieReset }
	Instrument event type. More...
enum	Cme::Mdp::InstrumentRecoveryBeginReason { Cme::Mdp::irbrSequenceStart, Cme::Mdp::irbrSequenceGap, Cme::Mdp::irbrSequenceReset }
	Recovery begin reason. More...
enum	Cme::Mdp::InstrumentRecoveryEndReason { Cme::Mdp::irerSnapshotRefresh, Cme::Mdp::irerNaturalRefresh, Cme::Mdp::irerSnapshotRecoveryError }
	Recovery end reason. More...
enum	Cme::Mdp::InstrumentControlCode { Cme::Mdp::iccContinue, Cme::Mdp::iccStartRecovery, Cme::Mdp::iccStopRecovery }

Variables
const InstrumentBuildOptions	Cme::Mdp::iboNone = 0x00000000
const InstrumentBuildOptions	Cme::Mdp::iboThresholdLimits = 0x00000001
const InstrumentBuildOptions	Cme::Mdp::iboLastTrade = 0x00000002
const InstrumentBuildOptions	Cme::Mdp::iboElectronicVolume = 0x00000004
const InstrumentBuildOptions	Cme::Mdp::iboDirectOrderBook = 0x00000008
const InstrumentBuildOptions	Cme::Mdp::iboImpliedOrderBook = 0x00000010
const InstrumentBuildOptions	Cme::Mdp::iboConsolidatedOrderBookTop = 0x00000020
const InstrumentBuildOptions	Cme::Mdp::iboTradeStatistics = 0x00000040
const InstrumentBuildOptions	Cme::Mdp::iboAll = 0xFFFFFFFF
const InstrumentSubscriptionMask	Cme::Mdp::ismNone = 0x00000000
const InstrumentSubscriptionMask	Cme::Mdp::ismFullUpdateEvents = 0x00000001
const InstrumentSubscriptionMask	Cme::Mdp::ismStatusUpdateEvents = 0x00000002
const InstrumentSubscriptionMask	Cme::Mdp::ismThresholdLimitsUpdateEvents = 0x00000004
const InstrumentSubscriptionMask	Cme::Mdp::ismTradeUpdateEvents = 0x00000008
const InstrumentSubscriptionMask	Cme::Mdp::ismVolumeUpdateEvents = 0x00000010
const InstrumentSubscriptionMask	Cme::Mdp::ismPriceUpdateEvents = 0x00000020
const InstrumentSubscriptionMask	Cme::Mdp::ismImpliedPriceUpdateEvents = 0x00000040
const InstrumentSubscriptionMask	Cme::Mdp::ismUpdateEndEvents = 0x00000080
const InstrumentSubscriptionMask	Cme::Mdp::ismQuoteRequestEvents = 0x00000100
const InstrumentSubscriptionMask	Cme::Mdp::ismConsolidatedBookTopUpdate = 0x00000200
const InstrumentSubscriptionMask	Cme::Mdp::ismMessages = 0x00000400
const InstrumentSubscriptionMask	Cme::Mdp::ismAll = 0xFFFFFFFF
const InstrumentSubscriptionMask	Cme::Mdp::ismResetEvents = 0x00000000

Detailed Description

Instrument object is used to receive market data of a particular instrument.

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Instrument object is used to receive market data of a particular instrument. The client application may process a single instrument, a subset of instruments or all instruments of the channel. Market data messages of uninterested instruments are filtered out by the handler.

Typedef Documentation

typedef u32 Cme::Mdp::InstrumentBuildOptions

Instrument build options. Instrument build options control what components of the instrument state are maintained.

typedef u32 Cme::Mdp::InstrumentSubscriptionMask

Instrument subscription mask. Instrument subscription mask controls what events are delivered to the instrument listner.

typedef std::vector<Instrument*> Cme::Mdp::InstrumentVector

Enumeration Type Documentation

enum Cme::Mdp::InstrumentControlCode

Instrument control code. Instrument control code is used to control instrument processing from instrument listener callback functions.

Enumerator
iccContinue	Continue processing.
iccStartRecovery	Start recovery of late join type during normal processing.
iccStopRecovery	Stop recovery during natural recovery.

enum Cme::Mdp::InstrumentEventType

Instrument event type.

Enumerator
ieSubscribed	Instrument subscribed.
ieUnsubscribed	Instrument unsubscribed.
ieRecoveryBegin	Begin of recovery. Generated when the instrument recovery process is started.
ieRecoveryEnd	End of recovery. Generated when the instrument recovery process is finished.
ieFullUpdate	Full update. Generated when an instrument full snapshot update is processed.
ieStatusUpdate	Status update. Generated when an instrument trading status update is processed.
ieThresholdLimitsUpdate	Threshold limits update. Generated when an instrument threshold limits update is processed.
ieTradeUpdate	Trade update. Generated when an instrument trade update is processed.
ieVolumeUpdate	Electronic trade volume update. Generated when an instrument electronic trade volume update is processed.
iePriceBidUpdate	Outright bid price update. Generated when an instrument direct order book bid update is processed. The instrument direct order book is in an inconsistent state until all direct order book updates of a transaction are processed.
iePriceAskUpdate	Outright ask price update. Generated when an instrument direct order book ask update is processed. The instrument direct order book is in an inconsistent state until all direct order book updates of a transaction are processed.
ieImpliedPriceBidUpdate	Implied bid price update. Generated when an instrument implied order book bid update is processed. The instrument implied order book is in an inconsistent state until all implied order book updates of a transaction are processed.
ieImpliedPriceAskUpdate	Implied ask price update. Generated when an instrument implied order book ask update is processed. The instrument implied order book is in an inconsistent state until all implied order book updates of a transaction are processed.
ieUpdateEnd	End of update. Generated when all updates of a certain type are processed ( MatchEventIndicator bits ).
ieQuoteRequest	Quote request.
ieReset	Instrument reset. Generated when the instrument reset is processed.

enum Cme::Mdp::InstrumentRecoveryBeginReason

Recovery begin reason.

Enumerator
irbrSequenceStart	Recovery due to the sequence start.
irbrSequenceGap	Recovery due to a sequence number gap.
irbrSequenceReset	Recovery due to a sequence number reset.

enum Cme::Mdp::InstrumentRecoveryEndReason

Recovery end reason.

Enumerator
irerSnapshotRefresh	Refreshed by snapshot.
irerNaturalRefresh	Naturally refreshed.
irerSnapshotRecoveryError	Snapshot recovery fails.

Variable Documentation

const InstrumentBuildOptions Cme::Mdp::iboAll = 0xFFFFFFFF

const InstrumentBuildOptions Cme::Mdp::iboConsolidatedOrderBookTop = 0x00000020

const InstrumentBuildOptions Cme::Mdp::iboDirectOrderBook = 0x00000008

const InstrumentBuildOptions Cme::Mdp::iboElectronicVolume = 0x00000004

const InstrumentBuildOptions Cme::Mdp::iboImpliedOrderBook = 0x00000010

const InstrumentBuildOptions Cme::Mdp::iboLastTrade = 0x00000002

const InstrumentBuildOptions Cme::Mdp::iboNone = 0x00000000

const InstrumentBuildOptions Cme::Mdp::iboThresholdLimits = 0x00000001

const InstrumentBuildOptions Cme::Mdp::iboTradeStatistics = 0x00000040

const InstrumentSubscriptionMask Cme::Mdp::ismAll = 0xFFFFFFFF

const InstrumentSubscriptionMask Cme::Mdp::ismConsolidatedBookTopUpdate = 0x00000200

const InstrumentSubscriptionMask Cme::Mdp::ismFullUpdateEvents = 0x00000001

const InstrumentSubscriptionMask Cme::Mdp::ismImpliedPriceUpdateEvents = 0x00000040

const InstrumentSubscriptionMask Cme::Mdp::ismMessages = 0x00000400

const InstrumentSubscriptionMask Cme::Mdp::ismNone = 0x00000000

const InstrumentSubscriptionMask Cme::Mdp::ismPriceUpdateEvents = 0x00000020

const InstrumentSubscriptionMask Cme::Mdp::ismQuoteRequestEvents = 0x00000100

const InstrumentSubscriptionMask Cme::Mdp::ismResetEvents = 0x00000000

const InstrumentSubscriptionMask Cme::Mdp::ismStatusUpdateEvents = 0x00000002

const InstrumentSubscriptionMask Cme::Mdp::ismThresholdLimitsUpdateEvents = 0x00000004

const InstrumentSubscriptionMask Cme::Mdp::ismTradeUpdateEvents = 0x00000008

const InstrumentSubscriptionMask Cme::Mdp::ismUpdateEndEvents = 0x00000080

const InstrumentSubscriptionMask Cme::Mdp::ismVolumeUpdateEvents = 0x00000010