Session.h File Reference

ITCH 5.0 Market Data Session implementation. More...

Detailed Description

ITCH 5.0 Market Data Session implementation.

This file contains the main Session class for handling NASDAQ ITCH 5.0 market data feeds, including order book management, message processing, and snapshot/recovery functionality.

#include <unordered_map>
#include <nasdaq/moldudp64/Session.h>
#include <nasdaq/soupbintcp/Settings.h>
#include <nasdaq/itch50/Instrument.h>
#include <nasdaq/itch50/Messages.h>
#include <core/src/Delegate.h>
#include <core/Declares.h>

Classes
struct	b2bits::nasdaq::itch50::ItchSettings
	ITCH 5.0 specific session settings. More...
struct	b2bits::nasdaq::itch50::Settings
	Combined settings for ITCH 5.0 session. More...
class	b2bits::nasdaq::itch50::Session
	ITCH 5.0 Market Data Session. More...
class	b2bits::nasdaq::itch50::Session::EOP
	End-of-packet marker type. More...

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

Macros
#define	_msg_case(type)
	Helper macro for message type switch cases.

Functions
std::ostream &	b2bits::nasdaq::itch50::operator<< (std::ostream &os, const ItchSettings &)
	Stream output operator for ItchSettings.
template<typename F>
std::invoke_result< F, constOrderbookDirectory * >::type	b2bits::nasdaq::itch50::message_switch (const MessageHeader *h, F &&f)
	Type-safe message dispatcher.
std::string	b2bits::nasdaq::itch50::message_to_string (const MessageHeader *h)
	Convert ITCH message to human-readable string.

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Class Documentation

b2bits::nasdaq::itch50::Session::EOP

class b2bits::nasdaq::itch50::Session::EOP

End-of-packet marker type.

Used as a sentinel value in listener callbacks to indicate the end of a MoldUDP64 packet.

Macro Definition Documentation

_msg_case

#define _msg_case

(

type

)

Value:

case type::Type:                                                                                                                         \
  return f(h->cast<type>());

Helper macro for message type switch cases.

Referenced by b2bits::nasdaq::itch50::message_switch().