B2BITS CME MDP Handler API Reference
Classes | Typedefs | Enumerations | Variables
Instruments

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