b2bits::nasdaq Namespace Reference

Namespace alias for SoupBinTCP protocol. More...

Detailed Description

Namespace alias for SoupBinTCP protocol.

Namespace alias for MoldUDP64 protocol

Namespaces
namespace	itch50
namespace	moldudp64
namespace	soupbintcp

Classes
class	MessageHeader
	Base class for all NASDAQ protocol messages. More...
struct	MsgT
	Message adapter template. More...
class	MessageBlock
	Compile-time validation of RequestPacket wire format size. More...
class	SequencedData
	Sequenced data packet ('S'). More...
class	UnsequencedData
	Unsequenced data packet ('U'). More...

Typedefs
using	Price = Int64
	< String reference type
using	OrderbookID = UInt32
	NASDAQ orderbook identifier.
template<class M>
using	UDPMessage = MsgT<MessageBlock, M>
	< SoupBinTCP unsequenced data header
template<class M>
using	SequencedMessage = MsgT<SequencedData, M>
	TCP sequenced message adapter.
template<class M>
using	UnsequencedMessage = MsgT<UnsequencedData, M>
	TCP unsequenced message adapter.

Enumerations
enum struct	Side : char { Buy = 'B' , Sell = 'S' , Both = 'A' }
	Order side enumeration. More...

Functions
std::string_view	to_string (Side v)
	Convert Side enum to string representation.
template<typename Message>
std::enable_if< std::is_base_of< MessageHeader, Message >::value, std::ostream & >::type	operator<< (std::ostream &os, const Message &m)
	Stream output operator for messages.
constexpr std::uint64_t	calculate_ratio (std::uint16_t num_decimals)
	Calculate decimal ratio for price conversion.

Variables
static constexpr Price	ZERO_PRICE = -1
	Special value indicating no valid price (used for cleared/unknown prices).

Typedef Documentation

OrderbookID

using b2bits::nasdaq::OrderbookID = UInt32

NASDAQ orderbook identifier.

Price

using b2bits::nasdaq::Price = Int64

< String reference type

Price representation (64-bit fixed-point)

SequencedMessage

template<class M>

using b2bits::nasdaq::SequencedMessage = MsgT<SequencedData, M>

TCP sequenced message adapter.

Template Parameters

M	ITCH message type

UDPMessage

template<class M>

using b2bits::nasdaq::UDPMessage = MsgT<MessageBlock, M>

< SoupBinTCP unsequenced data header

UDP/Multicast message adapter

Template Parameters

M	ITCH message type

UnsequencedMessage

template<class M>

using b2bits::nasdaq::UnsequencedMessage = MsgT<UnsequencedData, M>

TCP unsequenced message adapter.

Template Parameters

M	ITCH message type

Enumeration Type Documentation

Side

enum struct b2bits::nasdaq::Side : char

strong

Order side enumeration.

Indicates whether an order is on the buy side, sell side, or applies to both sides of the market.

Enumerator
Buy	Buy order (bid side).
Sell	Sell order (ask/offer side).
Both	Both sides (used for certain market data).

Function Documentation

calculate_ratio()

std::uint64_t b2bits::nasdaq::calculate_ratio ( std::uint16_t num_decimals )

inlineconstexpr

Calculate decimal ratio for price conversion.

Recursively calculates 10^n where n is the number of decimal places needed to convert from internal fixed-point representation to decimal.

Parameters

num_decimals

Number of decimal places (must be valid)

Returns

Power of 10 for the given decimal places

Note

This is a compile-time constant expression when possible

References calculate_ratio(), b2bits::constants::detail::num_price_decimals(), b2bits::constants::SBE_PRICE_MULTIPLIER, and b2bits::constants::detail::validate_num_price_decimals().

Referenced by calculate_ratio().

operator<<()

template<typename Message>

std::enable_if< std::is_base_of< MessageHeader, Message >::value, std::ostream & >::type b2bits::nasdaq::operator<<	(	std::ostream &	os,
		const Message &	m )

Stream output operator for messages.

Enables streaming of any message type that derives from MessageHeader and implements a to_string() method.

Template Parameters

Message

Message type (must derive from MessageHeader)

Parameters

os	Output stream
m	Message to output

Returns

Reference to the output stream

Note

Uses SFINAE to enable only for MessageHeader-derived types

to_string()

std::string_view b2bits::nasdaq::to_string

(

Side

v

)

Convert Side enum to string representation.

Parameters

v	Side enum value

Returns

String view containing "Buy", "Sell", or "Both"

Variable Documentation

ZERO_PRICE

Price b2bits::nasdaq::ZERO_PRICE = -1

staticconstexpr

Special value indicating no valid price (used for cleared/unknown prices).