EPAM B2BITS CME MDP Handler C++
5.4.2
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Consolidated order book level. More...
#include <B2BITS_CmeMdpOrderBook.h>
Public Attributes | |
Decimal | price |
Order book level price. More... | |
u32 | quantity |
u32 | directOrders |
u32 | impliedQuantity |
Consolidated order book level.
u32 Cme::Mdp::ConsolidatedOrderBookLevel::directOrders |
Number of order book level outright orders. No outright orders indicates a fully implied order book level.
u32 Cme::Mdp::ConsolidatedOrderBookLevel::impliedQuantity |
Order book level implied quantity. Zero implied quantity indicates a fully outright order book level.
Decimal Cme::Mdp::ConsolidatedOrderBookLevel::price |
Order book level price.
u32 Cme::Mdp::ConsolidatedOrderBookLevel::quantity |
Order book level consolidated quantity. Zero quantity indicates an empty level.