Instrument.h File Reference

ITCH 5.0 Instrument and Order Book Management. More...

Detailed Description

ITCH 5.0 Instrument and Order Book Management.

This file defines the Instrument class which manages order book state, individual orders, and provides aggregated price level views for a single trading instrument in the ITCH 5.0 market data feed.

#include <any>
#include <unordered_map>
#include <core/src/Aggregator.h>
#include <nasdaq/itch50/Messages.h>

Classes
struct	b2bits::nasdaq::itch50::BookTraits
	Type traits for order book aggregation. More...
class	b2bits::nasdaq::itch50::Instrument
	Represents a single trading instrument and its order book. More...
struct	b2bits::nasdaq::itch50::Instrument::Order
	Represents a single order in the order book. More...

Namespaces
namespace	b2bits
namespace	b2bits::nasdaq
	Namespace alias for SoupBinTCP protocol.
namespace	b2bits::nasdaq::itch50

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Class Documentation

b2bits::nasdaq::itch50::Instrument::Order

struct b2bits::nasdaq::itch50::Instrument::Order

Represents a single order in the order book.

Contains all ITCH 5.0 order attributes including price, quantity, side, timestamps, and order characteristics (type, time-in-force).

Class Members
OrderType	order_type_ = OrderType::Limit	Order type: Market, Limit, StopLimit (ITCH 5.0).
Price	price_ = 0	Order limit price.
QtyType	qty_ = 0	Remaining order quantity.
Side	side_	Order side (Buy/Sell).
TimeInForce	time_in_force_ = TimeInForce::Day	Time-in-force: Day, GTC, IOC, FOK (ITCH 5.0).
Timestamp	timestamp_ = 0	Order entry timestamp (nanoseconds).
uint32_t	transaction_id_	Associated transaction ID.
uint32_t	yield_	Yield (for fixed income instruments).