Bats::InstrumentListener Class Reference

Single instrument observer. More...

#include <B2BITS_BatsUnitService.h>

Classes
struct	InstrumentCtx
	Represents current state of instrument. More...
struct	OrderCtx
	Represents current state of a particular ordrer. More...

Service notifications
virtual void	onReset (ResetReason::Type rr)=0
	Called on reset, might be either single symbol or whole unit reset.
virtual void	onSpinFinished ()
	Called when recovery from Spin server is finished.
virtual void	onUnsubscribed ()
	Called when listener is unsubscribed.

Auction updates
Auction update messages, these messages are always delivered
virtual void	onMessage (const AuctionUpdateMsg *msg, System::u32 seconds, Timestamp &ts)
virtual void	onMessage (const AuctionSummaryMsg *msg, System::u32 seconds, Timestamp &ts)

Raw PITCH messages
The following raw PITCH messages are delivered only if UnitService::subscribeToInstrument has been called with dispatchMessages = true Parameters msg Raw PITCH message seconds Last BATS Unit timestamp, sent via Bats::TimeMsg message ctx This value represents current state of this order, before message msg is applied
virtual void	onMessage (const AddOrderLongMsg *msg, System::u32 seconds, Timestamp &ts)
virtual void	onMessage (const AddOrderShortMsg *msg, System::u32 seconds, Timestamp &ts)
virtual void	onMessage (const AddOrderExpandedMsg *msg, System::u32 seconds, Timestamp &ts)
virtual void	onMessage (const DeleteMsg *msg, System::u32 seconds, Timestamp &ts, const OrderCtx &ctx)
virtual void	onMessage (const OrderExecutedMsg *msg, System::u32 seconds, Timestamp &ts, const OrderCtx &ctx)
virtual void	onMessage (const OrderExecutedAtPriceSizeMsg *msg, System::u32 seconds, Timestamp &ts, const OrderCtx &ctx)
virtual void	onMessage (const ReduceSizeLongMsg *msg, System::u32 seconds, Timestamp &ts, const OrderCtx &ctx)
virtual void	onMessage (const ReduceSizeShortMsg *msg, System::u32 seconds, Timestamp &ts, const OrderCtx &ctx)
virtual void	onMessage (const ModifyLongMsg *msg, System::u32 seconds, Timestamp &ts, const OrderCtx &ctx)
virtual void	onMessage (const ModifyShortMsg *msg, System::u32 seconds, Timestamp &ts, const OrderCtx &ctx)
virtual void	onMessage (const TradingStatusMsg *msg, System::u32 seconds, Timestamp &ts)
virtual void	onMessage (const TradeExpandedMsg *msg, System::u32 seconds, Timestamp &ts)
virtual void	onMessage (const TradeLongMsg *msg, System::u32 seconds, Timestamp &ts)
virtual void	onMessage (const TradeShortMsg *msg, System::u32 seconds, Timestamp &ts)

Order book incremental updates
The following updates are delivered only if UnitService::subscribeToInstrument has been called with depth > 0 Parameters iCtx Current instrument context ctx This value represents aggregate state on this price level orders Number of orders on this price level level Price level > 0, top level = 1 side 'B' or 'S' side
virtual void	addBookItem (const InstrumentCtx &iCtx, const OrderCtx &ctx, System::u32 orders, System::u16 level, Timestamp &ts)=0
virtual void	changeBookItem (const InstrumentCtx &iCtx, const OrderCtx &ctx, System::u32 orders, System::u16 level, Timestamp &ts)=0
virtual void	removeBookItem (const InstrumentCtx &iCtx, char side, System::u16 level, Timestamp &ts)=0
virtual void	onTrade (const InstrumentCtx &iCtx, Timestamp &ts)
virtual void	onTradingStatus (const InstrumentCtx &iCtx, Timestamp &ts)

Detailed Description

Single instrument observer.

Member Function Documentation

addBookItem()

virtual void Bats::InstrumentListener::addBookItem ( const InstrumentCtx & iCtx, const OrderCtx & ctx, System::u32 orders, System::u16 level, Timestamp & ts )

pure virtual

changeBookItem()

virtual void Bats::InstrumentListener::changeBookItem ( const InstrumentCtx & iCtx, const OrderCtx & ctx, System::u32 orders, System::u16 level, Timestamp & ts )

pure virtual

onMessage() [1/16]

virtual void Bats::InstrumentListener::onMessage ( const AddOrderExpandedMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [2/16]

virtual void Bats::InstrumentListener::onMessage ( const AddOrderLongMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [3/16]

virtual void Bats::InstrumentListener::onMessage ( const AddOrderShortMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [4/16]

virtual void Bats::InstrumentListener::onMessage ( const AuctionSummaryMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [5/16]

virtual void Bats::InstrumentListener::onMessage ( const AuctionUpdateMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [6/16]

virtual void Bats::InstrumentListener::onMessage ( const DeleteMsg * msg, System::u32 seconds, Timestamp & ts, const OrderCtx & ctx )

inlinevirtual

onMessage() [7/16]

virtual void Bats::InstrumentListener::onMessage ( const ModifyLongMsg * msg, System::u32 seconds, Timestamp & ts, const OrderCtx & ctx )

inlinevirtual

onMessage() [8/16]

virtual void Bats::InstrumentListener::onMessage ( const ModifyShortMsg * msg, System::u32 seconds, Timestamp & ts, const OrderCtx & ctx )

inlinevirtual

onMessage() [9/16]

virtual void Bats::InstrumentListener::onMessage ( const OrderExecutedAtPriceSizeMsg * msg, System::u32 seconds, Timestamp & ts, const OrderCtx & ctx )

inlinevirtual

onMessage() [10/16]

virtual void Bats::InstrumentListener::onMessage ( const OrderExecutedMsg * msg, System::u32 seconds, Timestamp & ts, const OrderCtx & ctx )

inlinevirtual

onMessage() [11/16]

virtual void Bats::InstrumentListener::onMessage ( const ReduceSizeLongMsg * msg, System::u32 seconds, Timestamp & ts, const OrderCtx & ctx )

inlinevirtual

onMessage() [12/16]

virtual void Bats::InstrumentListener::onMessage ( const ReduceSizeShortMsg * msg, System::u32 seconds, Timestamp & ts, const OrderCtx & ctx )

inlinevirtual

onMessage() [13/16]

virtual void Bats::InstrumentListener::onMessage ( const TradeExpandedMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [14/16]

virtual void Bats::InstrumentListener::onMessage ( const TradeLongMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [15/16]

virtual void Bats::InstrumentListener::onMessage ( const TradeShortMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onMessage() [16/16]

virtual void Bats::InstrumentListener::onMessage ( const TradingStatusMsg * msg, System::u32 seconds, Timestamp & ts )

inlinevirtual

onReset()

virtual void Bats::InstrumentListener::onReset ( ResetReason::Type rr )

pure virtual

Called on reset, might be either single symbol or whole unit reset.

onSpinFinished()

virtual void Bats::InstrumentListener::onSpinFinished ( )

inlinevirtual

Called when recovery from Spin server is finished.

onTrade()

virtual void Bats::InstrumentListener::onTrade ( const InstrumentCtx & iCtx, Timestamp & ts )

inlinevirtual

onTradingStatus()

virtual void Bats::InstrumentListener::onTradingStatus ( const InstrumentCtx & iCtx, Timestamp & ts )

inlinevirtual

onUnsubscribed()

virtual void Bats::InstrumentListener::onUnsubscribed ( )

inlinevirtual

Called when listener is unsubscribed.

Listener is not used by service after this call, you may call delete this from it. When service is being destroyed it automatically unsubscribes all listeners.

removeBookItem()

virtual void Bats::InstrumentListener::removeBookItem ( const InstrumentCtx & iCtx, char side, System::u16 level, Timestamp & ts )

pure virtual