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B2BITS CME MDP Handler API Reference
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Consolidated order book level.
#include <B2BITS_CmeMdpOrderBook.h>
Public Attributes | |
| Decimal | price |
| Order book level price. More... | |
| u32 | quantity |
| Order book level consolidated quantity. More... | |
| u32 | directOrders |
| Number of order book level outright orders. More... | |
| u32 | impliedQuantity |
| Order book level implied quantity. More... | |
| Decimal price |
| u32 quantity |
Zero quantity indicates an empty level.
| u32 directOrders |
No outright orders indicates a fully implied order book level.
| u32 impliedQuantity |
Zero implied quantity indicates a fully outright order book level.
1.8.6