Cme::Mdp::ConsolidatedOrderBookLevel Struct Reference

Consolidated order book level. More...

#include <B2BITS_CmeMdpOrderBook.h>

Collaboration diagram for Cme::Mdp::ConsolidatedOrderBookLevel:

Public Attributes
Decimal	price
	Order book level price. More...
u64	quantity
u32	directOrders
u64	impliedQuantity

Detailed Description

Consolidated order book level.

Member Data Documentation

u32 Cme::Mdp::ConsolidatedOrderBookLevel::directOrders

Number of order book level outright orders. No outright orders indicates a fully implied order book level.

u64 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.

u64 Cme::Mdp::ConsolidatedOrderBookLevel::quantity

Order book level consolidated quantity. Zero quantity indicates an empty level.