SubscriptionType holds a set of mask values to manage instrument subscriptions. More...

Variables
static const subscription_mask_t	ALL = ~0ULL
	a mask with all bits set; is handy for the use with unsubscibe methods to clear all subscriptions More...

static const subscription_mask_t	BBO = 1ULL

static const subscription_mask_t	STATS = 1ULL << 1

static const subscription_mask_t	Trade = 1ULL << 2
	all further subscriptions below are delivered via ApplicationListener::onMessage() user callback More...

static const subscription_mask_t	RFQ = 1ULL << 3
	RFQ message. More...

static const subscription_mask_t	OpenSettlementPrice = 1ULL << 4
	OpenPrice and SettlementPrice messages and MarketSnapShot. More...

static const subscription_mask_t	PriceLevelUpdateAll = 1ULL << 5

static const subscription_mask_t	OrderLevelUpdateAll = 1ULL << 6

static const subscription_mask_t	MarketState = 1ULL << 7
	MarketState subscription includes MarketStateChange, MarketEvent, EndOfDayMarketSummary and MarketSnapShot messages. More...

static const subscription_mask_t	OpenInterest = 1ULL << 8
	OpenInterest subscription includes PreOpenPriceIndicator, OpenInterest, OptionOpenInterest and MarketSnapShot messages. More...

static const subscription_mask_t	MarkerIndexPrices = 1ULL << 9
	MarkerIndexPrices message. More...

static const subscription_mask_t	IPL = 1ULL << 10
	IPL message. More...

static const subscription_mask_t	NewProductDefinitions = 1ULL << 11

static const subscription_mask_t	SystemText = 1ULL << 12

static const subscription_mask_t	FOD = 1ULL << 13
	reserved More...

static const subscription_mask_t	MarketStatistics = 1ULL << 14
	MarketStatistics subscription includes MarketStatistics, MarketSnapShot, EndOfDayMarketSummary messages. More...

static const subscription_mask_t	MarketSnapshot = 1ULL << 15
	This includes all snapshots messages: MarketSnapShot. More...

static const subscription_mask_t	ALL_MESSAGES = Trade \| RFQ \| OpenSettlementPrice \| PriceLevelUpdateAll \| OrderLevelUpdateAll \| MarketState \| OpenInterest \| MarkerIndexPrices \| IPL \| NewProductDefinitions \| SystemText \| MarketStatistics
	Includes all messages for both Futures and Options and doesn't include synthetic events like BBO, STATS and FOD. More...

Detailed Description

SubscriptionType holds a set of mask values to manage instrument subscriptions.

Variable Documentation

const subscription_mask_t IceImpact::SubscriptionType::ALL = ~0ULL

static

a mask with all bits set; is handy for the use with unsubscibe methods to clear all subscriptions

static

Includes all messages for both Futures and Options and doesn't include synthetic events like BBO, STATS and FOD.

const subscription_mask_t IceImpact::SubscriptionType::BBO = 1ULL

static

BBO subscription which includes all top of the book relevant information - Bid/Ask with Low/High, Last Trade, OpenInterest/OpenPrice/Settlement fields. Instrument recovery from snapshots is performed automatically upon subscribing to the instrument. TOB and TOP5L channels are supported. Extracting BBO from FOD channel is currently not supported. BBO update event is passed to user callback ApplicationListener::onBBO()

const subscription_mask_t IceImpact::SubscriptionType::FOD = 1ULL << 13

static

reserved

const subscription_mask_t IceImpact::SubscriptionType::IPL = 1ULL << 10

static

IPL message.

const subscription_mask_t IceImpact::SubscriptionType::MarkerIndexPrices = 1ULL << 9

static

MarkerIndexPrices message.

const subscription_mask_t IceImpact::SubscriptionType::MarketSnapshot = 1ULL << 15

static

This includes all snapshots messages: MarketSnapShot.

const subscription_mask_t IceImpact::SubscriptionType::MarketState = 1ULL << 7

static

MarketState subscription includes MarketStateChange, MarketEvent, EndOfDayMarketSummary and MarketSnapShot messages.

const subscription_mask_t IceImpact::SubscriptionType::MarketStatistics = 1ULL << 14

static

MarketStatistics subscription includes MarketStatistics, MarketSnapShot, EndOfDayMarketSummary messages.

const subscription_mask_t IceImpact::SubscriptionType::NewProductDefinitions = 1ULL << 11

static

NewProductDefinitions subscription includes NewOptionsStrategyDefinitionMessage and NewOptionsMarketDefinitionMessage To activate the subscription, set RuntimeParameters.SubscriptionParams.defaultSubscriptionMask and RuntimeParameters.SubscriptionParams.defaultUserCookie or supply the same parameters to subscribeToAllInstruments() accordingly

const subscription_mask_t IceImpact::SubscriptionType::OpenInterest = 1ULL << 8

static

OpenInterest subscription includes PreOpenPriceIndicator, OpenInterest, OptionOpenInterest and MarketSnapShot messages.

const subscription_mask_t IceImpact::SubscriptionType::OpenSettlementPrice = 1ULL << 4

static

OpenPrice and SettlementPrice messages and MarketSnapShot.

const subscription_mask_t IceImpact::SubscriptionType::OrderLevelUpdateAll = 1ULL << 6

static

this includes all Order level incremental updates such as AddModify/DeleteOrder, MessageBundleMarker, MarketSnapShot, SnapshotOrder and Trade messages. Note - in order for MessageBundleMarker subscription to work, supply OrderLevelUpdateAll bit in the RuntimeParameters.SubscriptionParams.defaultSubscriptionMask, as well set the RuntimeParameters.SubscriptionParams.defaultUserCookie or supply the same parameters to subscribeToAllInstruments() accordingly

const subscription_mask_t IceImpact::SubscriptionType::PriceLevelUpdateAll = 1ULL << 5

static

PriceLevelUpdateAll includes all Price level incremental updates such as Add/Change/DeletePriceLevel, MarketStatistics, EndOfDayMarketSummary, MarketSnapShot and MarketSnapshotPriceLevel messages. SubscriptionType::BBO is much simpler to use and hides all the low level book keeping details, the PriceLevelUpdateAll subscription should be used if user wants to build the price book on their own instead of using the provided onBBO updates

const subscription_mask_t IceImpact::SubscriptionType::RFQ = 1ULL << 3

static

RFQ message.

const subscription_mask_t IceImpact::SubscriptionType::STATS = 1ULL << 1

static

Causes the instrument statistics (low/high/volume) to get sent with BBOUpdateEvent at any time regardless if top-of-book has had any updates. This includes for example case like stats updates followed by Cancelled Trade. This is complementary to BBO subscription type and requires BBO bit set in the subscription mask.

const subscription_mask_t IceImpact::SubscriptionType::SystemText = 1ULL << 12

static

SystemText subscription includes SystemText message To activate the subscription, set RuntimeParameters.SubscriptionParams.defaultSubscriptionMask and RuntimeParameters.SubscriptionParams.defaultUserCookie or supply the same parameters to subscribeToAllInstruments() accordingly

const subscription_mask_t IceImpact::SubscriptionType::Trade = 1ULL << 2

static

all further subscriptions below are delivered via ApplicationListener::onMessage() user callback

Trade includes Trade, SpotTrade, InvestigatedTrade, CancelledTrade messages

Variables

Detailed Description

Variable Documentation