Classes
struct	IceImpact::ResetReason
	Reasons why instrument resets its state. More...

struct	IceImpact::PriceLevel
	PriceBook level. More...

struct	IceImpact::TOP5PriceData
	Price/size information for top 5 price levels. More...

struct	IceImpact::TOP10PriceData

struct	IceImpact::BBOData
	Best Bid/Offer data and trade statistics. More...

struct	IceImpact::BBOUpdateEvent
	Best Bid/Offer event. More...

struct	IceImpact::BBOSnapshot
	Best Bid/Offer current snapshot. More...

struct	IceImpact::InstrumentResetEvent
	Instrument book reset. More...

struct	IceImpact::InstrumentRecoveryEvent
	Instrument book recovered. More...

struct	IceImpact::MessageFlowResetEvent
	Message flow reset. More...

struct	IceImpact::MessageEvent
	Ice Impact Message delivered to user callback. More...

Functions
virtual void	IceImpact::ApplicationListener::onMarketTypesAvail (const IceImpact::AvailMarketTypesSet &marketTypeSet)
	onMarketTypesAvail called when market types are available More...

virtual void	IceImpact::ApplicationListener::onProductDefinitionsAvail (IceImpact::u64 requestTag, const IceImpact::RequestMarketTypesSet &requestMarketTypes, const IceImpact::ProductDirectoryPtr productDirectory)
	onProductDefinitionsAvail called when product definitions requests is completed More...

virtual void	IceImpact::ApplicationListener::onBBO (const IceImpact::BBOUpdateEvent &ev)

virtual void	IceImpact::ApplicationListener::onMessage (const IceImpact::MessageEvent &event, bool isLastMessageInBlock)

virtual void	IceImpact::ApplicationListener::onInstrumentReset (const IceImpact::InstrumentResetEvent &ev)

virtual void	IceImpact::ApplicationListener::onInstrumentRecovered (const IceImpact::InstrumentRecoveryEvent &ev)

virtual void	IceImpact::ApplicationListener::onMessageFlowReset (const IceImpact::MessageFlowResetEvent &ev)

virtual void	IceImpact::ApplicationListener::onServiceNotification (const std::string &channelId, IceImpact::BookDepth bookDepth, IceImpact::Notification::Type type)
	onServiceNotification user callback is called when there's service state change. This event is informational. More...

Detailed Description

Function Documentation

virtual void IceImpact::ApplicationListener::onBBO ( const IceImpact::BBOUpdateEvent & ev )

inlinevirtual

onBBO user callback is called when top of the book entry is updated for subscribed instrument. An update is triggered whenever the changes in Bid/Ask/Low/High/Open/Settlement fields happen (note, changes in Last Trade price/size are just piggy backed with other updates). onBBO() callback is called in the context of a thread from internally managed set of threads. The updates from particular multicast channel are lined up and delivered sequentially keeping the designated cpu core affined to UDP data flow.

Parameters

ev	BBOUpdateEvent

virtual void IceImpact::ApplicationListener::onInstrumentRecovered ( const IceImpact::InstrumentRecoveryEvent & ev )

inlinevirtual

onInstrumentRecovered user callback is called to inform that the order book of particular instrument is recovered from Snapshot.

Parameters

ev	- InstrumentRecoveryEvent

virtual void IceImpact::ApplicationListener::onInstrumentReset ( const IceImpact::InstrumentResetEvent & ev )

inlinevirtual

onInstrumentReset user callback is called to inform that the order book of particular instrument is to be cleared. If the user does not build their own order books, this event can be skipped.

Parameters

ev	- InstrumentResetEvent

virtual void IceImpact::ApplicationListener::onMarketTypesAvail ( const IceImpact::AvailMarketTypesSet & marketTypeSet )

inlinevirtual

onMarketTypesAvail called when market types are available

Parameters

marketTypeSet a set of market types available.

virtual void IceImpact::ApplicationListener::onMessage	(	const IceImpact::MessageEvent &	event,
		bool	isLastMessageInBlock
	)

inlinevirtual

onMessage user callback is called when new message is received for subscribed instrument onMessage callback is called in the context of a thread from internally managed set of threads. The updates from particular multicast channel are lined up and delivered sequentially keeping the designated cpu core affined to UDP data flow.

Parameters

event	MessageEvent
isLastMessageInBlock	- specifies whether the received message will be the last one and no more messages from the current UDP packet will be delivered Use MessageEvent::eventFlowId field to identify previous onMessage events.

See Also: MessageEvent::eventFlowId

virtual void IceImpact::ApplicationListener::onMessageFlowReset ( const IceImpact::MessageFlowResetEvent & ev )

inlinevirtual

This user callback is called to inform that the message flow on a UDP channel is broken and is restarted. It usually happens after the seqnuence number loss and recovery. The user code which depends on particular sequence of ICE messages should reset its state (e.g. MessageBundleMarker messages, isLastMessageinBlock indicators) The eventFlowId member of the event indicates the event flow which is affected. The value is correlated with eventFlowId of MessageEvent and BBOUpdateEvent.

Parameters

ev	- MessageFlowResetEvent

virtual void IceImpact::ApplicationListener::onProductDefinitionsAvail	(	IceImpact::u64	requestTag,
		const IceImpact::RequestMarketTypesSet &	requestMarketTypes,
		const IceImpact::ProductDirectoryPtr	productDirectory
	)

inlinevirtual

onProductDefinitionsAvail called when product definitions requests is completed

Parameters

requestTag	request tag that was passed to request function
requestMarketTypes	market types that were requested excluding those which were not actually found at ICE.
productDirectory	product directory that contains product definitions data.

virtual void IceImpact::ApplicationListener::onServiceNotification	(	const std::string &	channelId,
		IceImpact::BookDepth	bookDepth,
		IceImpact::Notification::Type	type
	)

inlinevirtual

onServiceNotification user callback is called when there's service state change. This event is informational.

Parameters

channelId	Id of the channel, corresponds to <multicastGroup name="the name"> in XML file
bookDepth	depth of book
type

Classes

Functions

Detailed Description

Function Documentation