Functions
virtual bool	IceImpact::Application::start (int waitTimeS=0)=0
	Starts market data services. More...

virtual std::string	IceImpact::Application::getMarketTypeDescription (IceImpact::MarketTypeValue marketType)=0
	Returns description of a Market Type. More...

virtual IceImpact::MarketTypeValue	IceImpact::Application::getMarketTypeByDescription (const std::string &marketType)=0
	Returns Market Type ID by description. More...

virtual bool	IceImpact::Application::requestProductDefinitions (IceImpact::u64 requestTag, const UserRequestMarketTypesSet &marketTypeSet, int waitTimeS, InstrumentLoadParams *instrumentLoadParams=NULL)=0

virtual bool	IceImpact::Application::requestProductDefinitionsForAllMarkets (IceImpact::u64 requestTag, int waitTimeS, InstrumentLoadParams *instrumentLoadParams=NULL)=0
	Requests all market types products' definitions. More...

virtual const ProductDirectoryPtr	IceImpact::Application::getProductDirectory ()=0
	Returns a ref-counted pointer to operational product directory. More...

virtual bool	IceImpact::Application::isBookTypeSupported (IceImpact::Int32 marketID, bool useFullImplied, BookDepth bookDepth)=0

virtual void	IceImpact::Application::subscribeToInstrument (const std::string &symbol, bool useFullImplied, BookDepth bookDepth, subscription_mask_t subscrMask, unsigned long long UserCookie)=0

virtual void	IceImpact::Application::subscribeToInstrument (IceImpact::MarketID marketID, bool useFullImplied, BookDepth bookDepth, subscription_mask_t subscrMask, unsigned long long UserCookie)=0

virtual void	IceImpact::Application::unsubscribeFromInstrument (const std::string &symbol, bool useFullImplied, BookDepth bookDepth, subscription_mask_t subscrMask=SubscriptionType::ALL, bool disconnectIfNoMoreSubscribed=true)=0

virtual void	IceImpact::Application::unsubscribeFromInstrument (IceImpact::MarketID marketID, bool useFullImplied, BookDepth bookDepth, subscription_mask_t subscrMask=SubscriptionType::ALL, bool disconnectIfNoMoreSubscribed=true)=0

virtual bool	IceImpact::Application::getInstrumentBBO (const std::string &symbol, bool useFullImplied, BBOSnapshot &bbo, enum BookDepth depth=PriceLevelDepth)=0

virtual bool	IceImpact::Application::getInstrumentBBO (IceImpact::MarketID marketID, bool useFullImplied, BBOSnapshot &bbo, enum BookDepth depth=PriceLevelDepth)=0

virtual bool	IceImpact::Application::getInstrumentTOP5Prices (IceImpact::MarketID marketID, bool useFullImplied, TOP5PriceData &top5data, unsigned long long *UserCookie, enum BookDepth depth=PriceLevelDepth)=0

virtual bool	IceImpact::Application::getInstrumentTOP10Prices (IceImpact::MarketID marketID, bool useFullImplied, TOP10PriceData &top10data, unsigned long long *UserCookie, enum BookDepth depth=PriceLevelDepth)=0

virtual bool	IceImpact::Application::getInstrumentTOP5Prices (const std::string &symbol, bool useFullImplied, TOP5PriceData &top5data, unsigned long long *UserCookie, enum BookDepth depth=PriceLevelDepth)=0

virtual bool	IceImpact::Application::getSubscription (const std::string &symbol, bool useFullImplied, BookDepth bookDepth, subscription_mask_t &mask)=0
	Get the instrument's current subscription mask. More...

virtual bool	IceImpact::Application::getSubscription (IceImpact::MarketID marketID, bool useFullImplied, BookDepth bookDepth, subscription_mask_t &mask)=0
	Get instrument subscription mask. More...

virtual void	IceImpact::Application::release () const =0

Detailed Description

Function Documentation

virtual bool IceImpact::Application::getInstrumentBBO	(	const std::string &	symbol,
		bool	useFullImplied,
		BBOSnapshot &	bbo,
		enum BookDepth	depth = `PriceLevelDepth`
	)

pure virtual

getInstrumentBBO by symbol With SubscriptionParams::tickerPlantMode enabled returns the BBO data regardless if instrument was previously subscribed or not.

Parameters

symbol	to get data for
useFullImplied	whether the multicast group is fully implied
bbo
depth	- pass PriceLevelDepth for Futures(TOP5 book) and Options(TOB book), pass PriceLevelDepth10 for Options TOP10 book

Returns: true if instrument is found, false otherwise

Exceptions

std::runtime_error

virtual bool IceImpact::Application::getInstrumentBBO	(	IceImpact::MarketID	marketID,
		bool	useFullImplied,
		BBOSnapshot &	bbo,
		enum BookDepth	depth = `PriceLevelDepth`
	)

pure virtual

getInstrumentBBO by marketID With SubscriptionParams::tickerPlantMode enabled returns the BBO data regardless if instrument was previously subscribed or not.

Parameters

marketID	to get data for
useFullImplied	whether the multicast group is fully implied
bbo
depth	- pass PriceLevelDepth for Futures(TOP5 book) and Options(TOB book), pass PriceLevelDepth10 for Options TOP10 book

Returns: true if instrument is found, false otherwise

Exceptions

std::runtime_error

virtual bool IceImpact::Application::getInstrumentTOP10Prices	(	IceImpact::MarketID	marketID,
		bool	useFullImplied,
		TOP10PriceData &	top10data,
		unsigned long long *	UserCookie,
		enum BookDepth	depth = `PriceLevelDepth`
	)

pure virtual

getInstrumentTOP10Prices by marketID With SubscriptionParams::tickerPlantMode enabled returns data regardless if instrument was previously subscribed or not.

See Also: getInstrumentTOP5Prices

Parameters

marketID	to get data for
useFullImplied	whether the multicast group is fully implied
depth	should be set to PriceLevelDepth for Futures TOP5/Options TOB, and PriceLevel10Depth for Options TOP10

See Also: BBOUpdateEvent::depth

Parameters

top10data	TOP10 levels of the price book
UserCookie	User cookie supplied when subscribing to the insttrument

Returns: true if instrument is found, false otherwise

Exceptions

std::runtime_error

virtual bool IceImpact::Application::getInstrumentTOP5Prices	(	IceImpact::MarketID	marketID,
		bool	useFullImplied,
		TOP5PriceData &	top5data,
		unsigned long long *	UserCookie,
		enum BookDepth	depth = `PriceLevelDepth`
	)

pure virtual

getInstrumentTOP5Prices by marketID With SubscriptionParams::tickerPlantMode enabled returns data regardless if instrument was previously subscribed or not.

See Also: getInstrumentTOP10Prices

Parameters

marketID	to get data for
useFullImplied	whether the multicast group is fully implied
top5data	TOP5 levels of the price book
UserCookie	User cookie supplied when subscribing to the insttrument
depth	should be set to PriceLevelDepth for Futures TOP5/Options TOB, and PriceLevel10Depth for Options TOP10

See Also: BBOUpdateEvent::depth

Returns: true if instrument is found, false otherwise

Exceptions

std::runtime_error

virtual bool IceImpact::Application::getInstrumentTOP5Prices	(	const std::string &	symbol,
		bool	useFullImplied,
		TOP5PriceData &	top5data,
		unsigned long long *	UserCookie,
		enum BookDepth	depth = `PriceLevelDepth`
	)

pure virtual

getInstrumentTOP5Prices by symbol With SubscriptionParams::tickerPlantMode enabled returns data regardless if instrument was previously subscribed or not.

Parameters

symbol	to get data for
useFullImplied	whether the multicast group is fully implied
top5data	TOP5 levels of the price book
UserCookie	User cookie supplied when subscribing to the insttrument
depth	should be set to PriceLevelDepth for Futures TOP5/Options TOB, and PriceLevel10Depth for Options TOP10

See Also: BBOUpdateEvent::depth

Returns: true if instrument is found, false otherwise

Exceptions

std::runtime_error

virtual IceImpact::MarketTypeValue IceImpact::Application::getMarketTypeByDescription ( const std::string & marketType )

pure virtual

Returns Market Type ID by description.

Parameters

marketType Market type

Returns: ID or 0 if not found

Exceptions

no

virtual std::string IceImpact::Application::getMarketTypeDescription ( IceImpact::MarketTypeValue marketType )

pure virtual

Returns description of a Market Type.

Parameters

marketType Market type

Returns: description string or empty string if market type isn't found

Exceptions

no

virtual const ProductDirectoryPtr IceImpact::Application::getProductDirectory ( )

pure virtual

Returns a ref-counted pointer to operational product directory.

Returns: ProductDirectoryPtr

Exceptions

no

virtual bool IceImpact::Application::getSubscription	(	const std::string &	symbol,
		bool	useFullImplied,
		BookDepth	bookDepth,
		subscription_mask_t &	mask
	)

pure virtual

Get the instrument's current subscription mask.

Parameters

symbol	name of the instrument
useFullImplied	whether the multicast group is fully implied
bookDepth	depth of book to use
mask	subscription mask

Returns: true if instrument is found, false otherwise

Exceptions

std::runtime_error

virtual bool IceImpact::Application::getSubscription	(	IceImpact::MarketID	marketID,
		bool	useFullImplied,
		BookDepth	bookDepth,
		subscription_mask_t &	mask
	)

pure virtual

Get instrument subscription mask.

Parameters

marketID	to get for
useFullImplied	whether the multicast group is fully implied
bookDepth	depth of book to use
mask	subscription mask

Returns: true if instrument is found, false otherwise

Exceptions

std::runtime_error

virtual bool IceImpact::Application::isBookTypeSupported	(	IceImpact::Int32	marketID,
		bool	useFullImplied,
		BookDepth	bookDepth
	)

pure virtual

Checks if specific book type and full implied flag is supported for given marketID This method should be called after requestProductDefinitions() is called for appropriate markets

Parameters

marketID	Id of the market
useFullImplied	whatever multicast group is fully implied
bookDepth	depth of book to use

Returns: true if book / full implied data is supported for this marketID

Exceptions

no

virtual void IceImpact::Application::release ( ) const

pure virtual

Destroys application Note: this function should not be called from user callbacks (onBBO(), etc) to avoid potental deadlock situation Disconnects and destroys all running services and threads.

Note: Method is synchronous and will wait for some threads to quit. Calling this method from ApplicationListener callbacks will lead to a deadlock.

Exceptions

no

virtual bool IceImpact::Application::requestProductDefinitions	(	IceImpact::u64	requestTag,
		const UserRequestMarketTypesSet &	marketTypeSet,
		int	waitTimeS,
		InstrumentLoadParams *	instrumentLoadParams = `NULL`
	)

pure virtual

Request market types products definitions by TCP or load them from a file on disk onProductDefinitionsAvail is called when the request has been processed.

Parameters

requestTag	user request tag. This value is passed back to onProductDefinitionsAvail callback routine.
marketTypeSet	set of market types to request definitions for. This value is passed back to callback routine.
waitTimeS	wait specified time for completion. -1 means wait forever. 0 means exit immediately.
instrumentLoadParams	parameters controlling file cache usage. Default value: NULL, means don't use cache.

Returns: true if request was successful and finished in requested time, false otherwise.

Exceptions

no

virtual bool IceImpact::Application::requestProductDefinitionsForAllMarkets	(	IceImpact::u64	requestTag,
		int	waitTimeS,
		InstrumentLoadParams *	instrumentLoadParams = `NULL`
	)

pure virtual

Requests all market types products' definitions.

Parameters

requestTag	user request tag. This value is passed back to onProductDefinitionsAvail callback routine.
waitTimeS	wait specified time for completion. -1 means wait forever. 0 means exit immediately.
instrumentLoadParams	parameters controlling cache usage. Default value: NULL, means don't use cache.

Returns: true if request was successful and finished in requested time, false otherwise.

Exceptions

no

virtual bool IceImpact::Application::start ( int waitTimeS = 0 )

pure virtual

Starts market data services.

Parameters

waitTimeS wait specified time for completion. -1 means wait forever. 0 means exit immediately.

Returns: true if market types arrived successfully and in requested time, false otherwise.

Exceptions

no

virtual void IceImpact::Application::subscribeToInstrument	(	const std::string &	symbol,
		bool	useFullImplied,
		BookDepth	bookDepth,
		subscription_mask_t	subscrMask,
		unsigned long long	UserCookie
	)

pure virtual

Subscribe to a symbol. This call OR's current instrument subscription mask with the passed value. When called intra-day will trigger Snapshot recovery procedure unless SubscriptionParams::tickerPlantMode was enabled. Note: this function should not be called from user callbacks (onBBO(), etc) to avoid potental deadlock situation

Parameters

symbol	to subscribe to
useFullImplied	whether the multicast group is fully implied
bookDepth	depth of book to use
subscrMask
UserCookie

Returns: void

Exceptions

std::runtime_error

virtual void IceImpact::Application::subscribeToInstrument	(	IceImpact::MarketID	marketID,
		bool	useFullImplied,
		BookDepth	bookDepth,
		subscription_mask_t	subscrMask,
		unsigned long long	UserCookie
	)

pure virtual

Subscribes to symbol by marketID. This call OR's current instrument subscription mask with the passed value. When called intra-day will trigger Snapshot recovery procedure unless SubscriptionParams::tickerPlantMode was enabled. Note: this function should not be called from user callbacks (onBBO(), etc) to avoid potental deadlock situation

Parameters

marketID	to subscribe to
useFullImplied	whether the multicast group is fully implied
bookDepth	depth of book to use
subscrMask
UserCookie

Returns: void

Exceptions

std::runtime_error

virtual void IceImpact::Application::unsubscribeFromInstrument	(	const std::string &	symbol,
		bool	useFullImplied,
		BookDepth	bookDepth,
		subscription_mask_t	subscrMask = `SubscriptionType::ALL`,
		bool	disconnectIfNoMoreSubscribed = `true`
	)

pure virtual

Unsubscribes from symbol Note: this function should not be called from user callbacks (onBBO(), etc) to avoid potental deadlock situation

Parameters

symbol	to unsubscribe from. This call removes passed subscriptions bits from the current instrument's subscription mask.
useFullImplied	whether the multicast group is fully implied
bookDepth	depth of book to use
subscrMask	subscription mask to use
disconnectIfNoMoreSubscribed	will disconnect the service from UDP Multicast source if this has been the last instrument subscribed provided service is not in ticker plant mode

See Also: SubscriptionParams::tickerPlantMode

Returns: void

Exceptions

std::runtime_error

virtual void IceImpact::Application::unsubscribeFromInstrument	(	IceImpact::MarketID	marketID,
		bool	useFullImplied,
		BookDepth	bookDepth,
		subscription_mask_t	subscrMask = `SubscriptionType::ALL`,
		bool	disconnectIfNoMoreSubscribed = `true`
	)

pure virtual

Unsubscribes from symbol by marketID. This call removes passed subscriptions bits from the current instrument's subscription mask. Note: this function should not be called from user callbacks (onBBO(), etc) to avoid potental deadlock situation

Parameters

marketID	to unsubscribe from
useFullImplied	whether the multicast group is fully implied
bookDepth	depth of book to use
subscrMask
disconnectIfNoMoreSubscribed	will disconnect the service from UDP Multicast source if this has been the last instrument subscribed provided service is not in ticker plant mode

See Also: SubscriptionParams::tickerPlantMode

Returns: void

Exceptions

std::runtime_error

Functions

Detailed Description

Function Documentation