IceImpact::BBOData Struct Reference

Best Bid/Offer data and trade statistics. More...

#include <B2BITS_IceImpactEvents.h>

Collaboration diagram for IceImpact::BBOData:

Public Types
enum	UpdateTypeFlags {   BidUpdate = 0x01, OfferUpdate = 0x02, HighLowUpdate = 0x04, OpenPriceUpdate = 0x08,   LastTradeUpdate = 0x10, SettlementUpdate = 0x20, VolumeUpdate = 0x40, OpenInterestUpdate = 0x80,   AllUpdate = 0xff }

Public Member Functions
u8	getUpdateType () const
	Returns update type flags. More...
unsigned long long	getTOBLastSentDateTime () const
bool	hasTOBData () const
bool	hasBid () const
	Returns true if instrument has a Bid value. More...
bool	hasAsk () const
	Returns true if instrument has an Ask value. More...
double	getBid () const
	Returns top Bid Price value with deal price denomitor applied. More...
int	getBidSize () const
	Returns top Bid Size value. More...
double	getAsk () const
	Returns top Ask Price value with deal price denomitor applied. More...
int	getAskSize () const
	Returns top Ask Size value. More...
double	getLastTradePrice () const
	Returns the price of Last Trade happened for the instrument (deal price denomitor applied) More...
int	getLastTradeSize () const
	Returns Last Trade Size value. More...
unsigned long long	getLastTradeDateTime () const
	Returns Last Trade Date Time value - Milliseconds since Jan 1st, 1970, 00:00:00 GMT. More...
IceImpact::AggressorSide::Enum	getLastTradeSide () const
	Returns Last Trade Aggrssor Side value. More...
int	getVolume () const
int	getOpenInterest () const
	Returns OpenInterest value. More...
double	getHigh () const
	Returns High price for the instrument (deal price denomitor applied) More...
double	getLow () const
	Returns Low price for the instrument (deal price denomitor applied) More...
double	getOpen () const
	Returns Open price for the instrument (deal price denomitor applied) More...
double	getSettlement () const
	Returns Settlement price for the instrument (deal price denomitor applied) More...
double	getDealPrice (long long price) const
double	getOrderPrice (long long price) const
double	getSettlementPrice (long long price) const

Static Public Member Functions
static double	getPrice (long long price, char denominatorCode)

Public Attributes
union {
struct {
union {
struct {
long long   bid
int   bidSize
	Bid size. More...
}
struct PriceLevel   bid_
}
union {
struct {
long long   ask
int   askSize
	Ask size. More...
}
struct PriceLevel   ask_
}
}
struct PriceLevel   bidAndAsk [2]
};
u8	updateType_
unsigned long long	tobLastSentDateTime
long long	openPrice
long long	settlementPrice
long long	highPrice
long long	lowPrice
long long	lastTradePrice
unsigned long long	lastTradeDateTime
int	lastTradeSize
	Last Trade Size. More...
int	openInterest
int	volume
int	dealPriceMult
int	orderPriceMult
int	settlementPriceMult
char	lastTradeAggressorSide
	copy of Aggressor Side from last trade message, see IceImpact::AggressorSide::Enum More...

Detailed Description

Best Bid/Offer data and trade statistics.

Member Enumeration Documentation

enum IceImpact::BBOData::UpdateTypeFlags

Enumerator
BidUpdate
OfferUpdate
HighLowUpdate
OpenPriceUpdate
LastTradeUpdate
SettlementUpdate
VolumeUpdate
OpenInterestUpdate
AllUpdate

Member Function Documentation

double IceImpact::BBOData::getAsk ( ) const

inline

Returns top Ask Price value with deal price denomitor applied.

Returns

double

Exceptions

no

int IceImpact::BBOData::getAskSize ( ) const

inline

Returns top Ask Size value.

Returns

int

Exceptions

no

double IceImpact::BBOData::getBid ( ) const

inline

Returns top Bid Price value with deal price denomitor applied.

Returns

double

Exceptions

no

int IceImpact::BBOData::getBidSize ( ) const

inline

Returns top Bid Size value.

Returns

int

Exceptions

no

double IceImpact::BBOData::getDealPrice ( long long  price ) const

inline

double IceImpact::BBOData::getHigh ( ) const

inline

Returns High price for the instrument (deal price denomitor applied)

Returns

double

Exceptions

no

unsigned long long IceImpact::BBOData::getLastTradeDateTime ( ) const

inline

Returns Last Trade Date Time value - Milliseconds since Jan 1st, 1970, 00:00:00 GMT.

Returns

int

Exceptions

no

double IceImpact::BBOData::getLastTradePrice ( ) const

inline

Returns the price of Last Trade happened for the instrument (deal price denomitor applied)

Returns

double

Exceptions

no

IceImpact::AggressorSide::Enum IceImpact::BBOData::getLastTradeSide ( ) const

inline

Returns Last Trade Aggrssor Side value.

Returns

IceImpact::AggressorSide::Enum

Exceptions

no

int IceImpact::BBOData::getLastTradeSize ( ) const

inline

Returns Last Trade Size value.

Returns

int

Exceptions

no

double IceImpact::BBOData::getLow ( ) const

inline

Returns Low price for the instrument (deal price denomitor applied)

Returns

double

Exceptions

no

double IceImpact::BBOData::getOpen ( ) const

inline

Returns Open price for the instrument (deal price denomitor applied)

Returns

double

Exceptions

no

int IceImpact::BBOData::getOpenInterest ( ) const

inline

Returns OpenInterest value.

Returns

int

Exceptions

no

double IceImpact::BBOData::getOrderPrice ( long long  price ) const

inline

static double IceImpact::BBOData::getPrice ( long long  price, char  denominatorCode  )

inlinestatic

double IceImpact::BBOData::getSettlement ( ) const

inline

Returns Settlement price for the instrument (deal price denomitor applied)

Returns

double

Exceptions

no

double IceImpact::BBOData::getSettlementPrice ( long long  price ) const

inline

unsigned long long IceImpact::BBOData::getTOBLastSentDateTime ( ) const

inline

Sent DateTime" field is the timestamp of when the message block is sent by ICE server. It is the number of milliseconds since Jan 1st, 1970, 00:00:00 GMT Set to 0 for TCP replayed messages

u8 IceImpact::BBOData::getUpdateType ( ) const

inline

Returns update type flags.

Returns

boolean

Exceptions

no

int IceImpact::BBOData::getVolume ( ) const

inline

Returns Volume value Note: this volume value includes electronic trades only, and does not include any off-the-market and block trades

Returns

int

Exceptions

no

bool IceImpact::BBOData::hasAsk ( ) const

inline

Returns true if instrument has an Ask value.

Returns

boolean

Exceptions

no

bool IceImpact::BBOData::hasBid ( ) const

inline

Returns true if instrument has a Bid value.

Returns

boolean

Exceptions

no

bool IceImpact::BBOData::hasTOBData ( ) const

inline

Returns true if instrument has any of Bid/Ask values if the function returns false, then the TOP level does not exist anymore and the BBO update signifies deletion of the top of the book

Returns

boolean

Exceptions

no

Member Data Documentation

union { ... }

long long IceImpact::BBOData::ask

struct PriceLevel IceImpact::BBOData::ask_

int IceImpact::BBOData::askSize

Ask size.

long long IceImpact::BBOData::bid

struct PriceLevel IceImpact::BBOData::bid_

struct PriceLevel IceImpact::BBOData::bidAndAsk[2]

int IceImpact::BBOData::bidSize

Bid size.

int IceImpact::BBOData::dealPriceMult

long long IceImpact::BBOData::highPrice

char IceImpact::BBOData::lastTradeAggressorSide

copy of Aggressor Side from last trade message, see IceImpact::AggressorSide::Enum

unsigned long long IceImpact::BBOData::lastTradeDateTime

long long IceImpact::BBOData::lastTradePrice

int IceImpact::BBOData::lastTradeSize

Last Trade Size.

long long IceImpact::BBOData::lowPrice

int IceImpact::BBOData::openInterest

long long IceImpact::BBOData::openPrice

int IceImpact::BBOData::orderPriceMult

long long IceImpact::BBOData::settlementPrice

int IceImpact::BBOData::settlementPriceMult

unsigned long long IceImpact::BBOData::tobLastSentDateTime

Sent DateTime" field is the timestamp of when the message block is sent by ICE server. This field is updated only when top of the book (Bid/Ask fields) are changed, and is not updated when other fields are changing. It is the number of milliseconds since Jan 1st, 1970, 00:00:00 GMT Set to 0 for TCP replayed messages

u8 IceImpact::BBOData::updateType_

int IceImpact::BBOData::volume