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

Classes
struct	InstrumentOptions
	Instrument options. More...

struct	InstrumentQuoteRequest
	QuoteRequest event params. More...

struct	UpdateEndFlags
	UpdateEnd event params. More...

struct	InstrumentEvent
	Instrument event. More...

class	Instrument
	Instrument. More...

class	InstrumentListener
	Instrument listener. More...

Typedefs
typedef u32	InstrumentBuildOptions
	Instrument build options. More...

typedef u32	InstrumentSubscriptionMask
	Instrument subscription mask. More...

typedef std::vector< Instrument * >	InstrumentVector

Enumerations
enum	InstrumentEventType { ieSubscribed, ieUnsubscribed, ieRecoveryBegin, ieRecoveryEnd, ieFullUpdate, ieStatusUpdate, ieThresholdLimitsUpdate, ieTradeUpdate, ieVolumeUpdate, iePriceBidUpdate, iePriceAskUpdate, ieImpliedPriceBidUpdate, ieImpliedPriceAskUpdate, ieUpdateEnd, ieQuoteRequest, ieReset }
	Instrument event type. More...

enum	InstrumentRecoveryBeginReason { irbrSequenceStart, irbrSequenceGap, irbrSequenceReset }
	Recovery begin reason. More...

enum	InstrumentRecoveryEndReason { irerSnapshotRefresh, irerNaturalRefresh, irerSnapshotRecoveryError }
	Recovery end reason. More...

enum	InstrumentControlCode { iccContinue, iccStartRecovery, iccStopRecovery }
	Instrument control code. More...

Variables
const InstrumentBuildOptions	iboNone = 0x00000000

const InstrumentBuildOptions	iboThresholdLimits = 0x00000001

const InstrumentBuildOptions	iboLastTrade = 0x00000002

const InstrumentBuildOptions	iboElectronicVolume = 0x00000004

const InstrumentBuildOptions	iboDirectOrderBook = 0x00000008

const InstrumentBuildOptions	iboImpliedOrderBook = 0x00000010

const InstrumentBuildOptions	iboConsolidatedOrderBookTop = 0x00000020

const InstrumentBuildOptions	iboTradeStatistics = 0x00000040

const InstrumentBuildOptions	iboAll = 0xFFFFFFFF

const InstrumentSubscriptionMask	ismNone = 0x00000000

const InstrumentSubscriptionMask	ismFullUpdateEvents = 0x00000001

const InstrumentSubscriptionMask	ismStatusUpdateEvents = 0x00000002

const InstrumentSubscriptionMask	ismThresholdLimitsUpdateEvents = 0x00000004

const InstrumentSubscriptionMask	ismTradeUpdateEvents = 0x00000008

const InstrumentSubscriptionMask	ismVolumeUpdateEvents = 0x00000010

const InstrumentSubscriptionMask	ismPriceUpdateEvents = 0x00000020

const InstrumentSubscriptionMask	ismImpliedPriceUpdateEvents = 0x00000040

const InstrumentSubscriptionMask	ismUpdateEndEvents = 0x00000080

const InstrumentSubscriptionMask	ismQuoteRequestEvents = 0x00000100

const InstrumentSubscriptionMask	ismConsolidatedBookTopUpdate = 0x00000200

const InstrumentSubscriptionMask	ismMessages = 0x00000400

const InstrumentSubscriptionMask	ismAll = 0xFFFFFFFF

const InstrumentSubscriptionMask	ismResetEvents = 0x00000000

Detailed Description

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 InstrumentBuildOptions

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

typedef u32 InstrumentSubscriptionMask

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

typedef std::vector<Instrument*> InstrumentVector

Enumeration Type Documentation

enum InstrumentEventType

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 InstrumentRecoveryBeginReason

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 InstrumentRecoveryEndReason

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

enum InstrumentControlCode

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.

Variable Documentation

const InstrumentBuildOptions iboNone = 0x00000000

const InstrumentBuildOptions iboThresholdLimits = 0x00000001

const InstrumentBuildOptions iboLastTrade = 0x00000002

const InstrumentBuildOptions iboElectronicVolume = 0x00000004

const InstrumentBuildOptions iboDirectOrderBook = 0x00000008

const InstrumentBuildOptions iboImpliedOrderBook = 0x00000010

const InstrumentBuildOptions iboConsolidatedOrderBookTop = 0x00000020

const InstrumentBuildOptions iboTradeStatistics = 0x00000040

const InstrumentBuildOptions iboAll = 0xFFFFFFFF

const InstrumentSubscriptionMask ismNone = 0x00000000

const InstrumentSubscriptionMask ismFullUpdateEvents = 0x00000001

const InstrumentSubscriptionMask ismStatusUpdateEvents = 0x00000002

const InstrumentSubscriptionMask ismThresholdLimitsUpdateEvents = 0x00000004

const InstrumentSubscriptionMask ismTradeUpdateEvents = 0x00000008

const InstrumentSubscriptionMask ismVolumeUpdateEvents = 0x00000010

const InstrumentSubscriptionMask ismPriceUpdateEvents = 0x00000020

const InstrumentSubscriptionMask ismImpliedPriceUpdateEvents = 0x00000040

const InstrumentSubscriptionMask ismUpdateEndEvents = 0x00000080

const InstrumentSubscriptionMask ismQuoteRequestEvents = 0x00000100

const InstrumentSubscriptionMask ismConsolidatedBookTopUpdate = 0x00000200

const InstrumentSubscriptionMask ismMessages = 0x00000400

const InstrumentSubscriptionMask ismAll = 0xFFFFFFFF

const InstrumentSubscriptionMask ismResetEvents = 0x00000000

Classes

Typedefs

Enumerations

Variables

Detailed Description

Typedef Documentation

Enumeration Type Documentation

Variable Documentation