b2bits::nasdaq::itch50 Namespace Reference

Classes
struct	ItchSettings
	ITCH 5.0 specific session settings. More...
struct	Settings
	Combined settings for ITCH 5.0 session. More...
class	Session
	ITCH 5.0 Market Data Session. More...
class	SessionHandlers
	Fluent interface wrapper for ITCH 5.0 Session event handling. More...
struct	BookTraits
	Type traits for order book aggregation. More...
class	Instrument
	Represents a single trading instrument and its order book. More...
struct	OrderbookDirectory
struct	CombinationOrderbookDirectory
struct	SystemEvent
struct	OrderBookState
struct	AddOrder
struct	OrderExecuted
struct	OrderExecutedWithPrice
struct	OrderCancelMessage
struct	OrderReplace
struct	Trade
struct	ExecutionDone
struct	Information
struct	BrokenTrade
struct	VolumeUpdate
struct	EndOfSnapshot

Typedefs
using	Seqnum = Session::Seqnum
	Sequence number type alias from Session.
using	Event = Session::Event
	Event type alias from Session.

Enumerations
enum struct	OrderType : char { Market = 'M' , Limit = 'L' , StopLimit = 'S' }
enum struct	TimeInForce : char { Day = 'D' , GoodTillCancel = 'G' , ImmediateOrCancel = 'I' , FillOrKill = 'F' }
enum struct	Product : UInt8 {   USTreasury = 1 , USTreasuryBills = 2 , Reserved = 3 , TIPS = 4 ,   AgencyBond = 5 , CorporateBond = 6 , MunicipalBond = 7 }
enum struct	ProductSubtype : UInt8 {   Benchmark = 1 , OffTheRun = 2 , WI = 3 , Callable = 4 ,   NonCallable = 5 }
enum struct	PriceType : char { PercentageOfPar = 'D' , Yield = 'Y' , YieldSpread = 'B' , BasisPoints = 'P' }
enum struct	IssuedAsBenchmark : UInt16 {   Y2 = 102 , Y3 = 103 , Y5 = 105 , Y7 = 107 ,   Y10 = 110 , Y20 = 120 , Y30 = 130 , M1 = 1 ,   M2 = 2 , M3 = 3 , M4 = 4 , M6 = 6 ,   M12 = 12 }
enum struct	EventCode : char {   StartOfMessages = 'O' , StartOfTradingHours = 'Q' , EndOfTradingHours = 'M' , EndOfMessages = 'C' ,   StartOfMMMTradingHours = 'A' , EndOfMMMTradingHours = 'a' , StartOfPostTrading = 'P' , EndOfPostTrading = 'p' }
enum struct	EventReason : char {   Holiday = 'I' , Break = 'A' , Resumption = 'B' , EarlyClose = 'H' ,   Regular = 'R' , SystemMaintenance = 'S' }
enum struct	SecurityEventCode : char {   Enabled = 'O' , Disabled = 'M' , Halted = 'H' , MMMEnabled = 'A' ,   MMMHalted = 'a' , MMMCrossNotActive = 'F' , MMMCrossReactivated = 'f' , PreOpen = 'P' ,   PreClose = 'C' }
enum struct	Boolean : char { Yes = 'Y' , No = 'N' }
enum struct	LegSide : char { AsDefined = 'B' , Opposite = 'C' }
enum struct	TradingFeatures : UInt16 {   Reserved1 = UInt16(1) << 0 , IndicativeMarketsSupported = UInt16(1) << 2 , Reserved8 = UInt16(1) << 3 , MMMEnabled = UInt16(1) << 13 ,   NonTradableSecurity = UInt16(1) << 14 , TestSecurity = UInt16(1) << 15 }

Functions
std::ostream &	operator<< (std::ostream &os, const ItchSettings &)
	Stream output operator for ItchSettings.
template<typename F>
std::invoke_result< F, constOrderbookDirectory * >::type	message_switch (const MessageHeader *h, F &&f)
	Type-safe message dispatcher.
std::string	message_to_string (const MessageHeader *h)
	Convert ITCH message to human-readable string.
std::string_view	to_string (OrderType v)
std::string_view	to_string (TimeInForce v)
std::string_view	to_string (Product v)
std::string_view	to_string (ProductSubtype v)
std::string_view	to_string (PriceType v)
std::string_view	to_string (IssuedAsBenchmark v)
std::string_view	to_string (EventCode v)
std::string_view	to_string (EventReason v)
std::string_view	to_string (SecurityEventCode v)
std::string_view	to_string (Boolean v)
std::string_view	to_string (LegSide v)

Variables
static constexpr const char *	SCHEMA_VERSION_STR = "Revision 5.0,15-Mar-2024"

Typedef Documentation

Event

using b2bits::nasdaq::itch50::Event = Session::Event

Event type alias from Session.

Seqnum

using b2bits::nasdaq::itch50::Seqnum = Session::Seqnum

Sequence number type alias from Session.

Enumeration Type Documentation

Boolean

enum struct b2bits::nasdaq::itch50::Boolean : char

strong

Enumerator
Yes
No

EventCode

enum struct b2bits::nasdaq::itch50::EventCode : char

strong

Enumerator
StartOfMessages
StartOfTradingHours
EndOfTradingHours
EndOfMessages
StartOfMMMTradingHours
EndOfMMMTradingHours
StartOfPostTrading
EndOfPostTrading

EventReason

enum struct b2bits::nasdaq::itch50::EventReason : char

strong

Enumerator
Holiday
Break
Resumption
EarlyClose
Regular
SystemMaintenance

IssuedAsBenchmark

enum struct b2bits::nasdaq::itch50::IssuedAsBenchmark : UInt16

strong

Enumerator
Y2
Y3
Y5
Y7
Y10
Y20
Y30
M1
M2
M3
M4
M6
M12

LegSide

enum struct b2bits::nasdaq::itch50::LegSide : char

strong

Enumerator
AsDefined
Opposite

OrderType

enum struct b2bits::nasdaq::itch50::OrderType : char

strong

Enumerator
Market
Limit
StopLimit

PriceType

enum struct b2bits::nasdaq::itch50::PriceType : char

strong

Enumerator
PercentageOfPar
Yield
YieldSpread
BasisPoints

Product

enum struct b2bits::nasdaq::itch50::Product : UInt8

strong

Enumerator
USTreasury
USTreasuryBills
Reserved
TIPS
AgencyBond
CorporateBond
MunicipalBond

ProductSubtype

enum struct b2bits::nasdaq::itch50::ProductSubtype : UInt8

strong

Enumerator
Benchmark
OffTheRun
WI
Callable
NonCallable

SecurityEventCode

enum struct b2bits::nasdaq::itch50::SecurityEventCode : char

strong

Enumerator
Enabled
Disabled
Halted
MMMEnabled
MMMHalted
MMMCrossNotActive
MMMCrossReactivated
PreOpen
PreClose

TimeInForce

enum struct b2bits::nasdaq::itch50::TimeInForce : char

strong

Enumerator
Day
GoodTillCancel
ImmediateOrCancel
FillOrKill

TradingFeatures

enum struct b2bits::nasdaq::itch50::TradingFeatures : UInt16

strong

Enumerator
Reserved1
IndicativeMarketsSupported
Reserved8
MMMEnabled
NonTradableSecurity
TestSecurity

Function Documentation

message_switch()

template<typename F>

std::invoke_result< F, constOrderbookDirectory * >::type b2bits::nasdaq::itch50::message_switch	(	const MessageHeader *	h,
		F &&	f )

Type-safe message dispatcher.

Uses compile-time dispatch to invoke a function with the appropriate message type based on the runtime message type field.

Template Parameters

F	Function/lambda type that accepts message pointers

Parameters

h	Message header containing type discriminator
f	Function to invoke with casted message pointer

Returns

Result of invoking f with the appropriate message type

Note

Returns default-constructed ReturnType for unknown message types

Example:

auto result = message_switch(header, [](auto* msg) {
    return process_message(msg);
});

References _msg_case, b2bits::nasdaq::MessageHeader::get_type(), and message_switch().

Referenced by message_switch().

message_to_string()

std::string b2bits::nasdaq::itch50::message_to_string

(

const MessageHeader *

h

)

Convert ITCH message to human-readable string.

Produces a string representation of an ITCH message for logging and debugging purposes.

Parameters

h	Message header to convert

Returns

String representation of the message

References message_to_string().

Referenced by message_to_string().

operator<<()

std::ostream & b2bits::nasdaq::itch50::operator<<	(	std::ostream &	os,
		const ItchSettings &	)

Stream output operator for ItchSettings.

Parameters

os	Output stream
settings	Settings to output

Returns

Reference to the output stream

to_string() [1/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

Boolean

v

)

to_string() [2/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

EventCode

v

)

to_string() [3/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

EventReason

v

)

to_string() [4/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

IssuedAsBenchmark

v

)

to_string() [5/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

LegSide

v

)

to_string() [6/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

OrderType

v

)

to_string() [7/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

PriceType

v

)

to_string() [8/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

Product

v

)

to_string() [9/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

ProductSubtype

v

)

to_string() [10/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

SecurityEventCode

v

)

to_string() [11/11]

std::string_view b2bits::nasdaq::itch50::to_string

(

TimeInForce

v

)

Variable Documentation

SCHEMA_VERSION_STR

const char* b2bits::nasdaq::itch50::SCHEMA_VERSION_STR = "Revision 5.0,15-Mar-2024"

staticconstexpr