Cqg Namespace Reference

Classes
class	InstrumentListener
	Instrument listener. Receives instrument related events. More...
class	Logger
class	MDApplication
	Provides access to the CQG FIX/FAST Direct Market Data feed. More...
class	MDApplicationListener
	MDApplication observer. More...
class	MDApplicationParams
	MDApplication parameters. More...
struct	MdGroup
	Market data group. More...
class	SecurityDefinitionListener
struct	TcpAddress
	UDP Channel configuration. More...
struct	UdpChannel
	UDP Channel configuration. More...

Typedefs
typedef FeedID const &	AFeedID
	FeedID argument.
typedef std::string const &	ASecurityDescription
	SecurityID argument.
typedef SecurityID	ASecurityID
	SecurityID argument.
typedef SubChannelID	ASubChannelID
	SubChannelID argument.
typedef std::string	FeedID
	Feed ID A feed is a pair of UDP channels used to produce market data messages for a set of instruments and/or a set of instrument groups.
typedef std::string	SecurityDescription
	SecurityID value.
typedef System::u64	SecurityID
	SecurityID value.
typedef System::u8	SubChannelID
	Sub-channel identifier.

Enumerations
enum	RecoveryOptions {   RO_USE_MARKET_RECOVERY = 0 , RO_USE_NATURAL_REFRESH , RO_USE_ALL_METHODS , RO_USE_MARKET_START_NATURAL_REFRESH_RECOVERY ,   RO_USE_MARKET_TCP_AS_POSIBLE_RECOVERY }
enum	RecoveryReason {   RR_NA = 0 , RR_PACKET_ORDER , RR_SNAPSHOT , RR_NATURAL_RECOVERY ,   RR_RESET , RR_UNSUBSCRIBE , RR_EMPTYDATA , RR_HOLE_REASON ,   RR_OVERFLOW_REASON , RR_USER_REASON , RR_FIRST_RECOVERY_REASON , RR_FIRST_DATA_REASON }

Typedef Documentation

AFeedID

typedef FeedID const& Cqg::AFeedID

FeedID argument.

ASecurityDescription

typedef std::string const& Cqg::ASecurityDescription

SecurityID argument.

ASecurityID

typedef SecurityID Cqg::ASecurityID

SecurityID argument.

ASubChannelID

typedef SubChannelID Cqg::ASubChannelID

SubChannelID argument.

FeedID

typedef std::string Cqg::FeedID

Feed ID A feed is a pair of UDP channels used to produce market data messages for a set of instruments and/or a set of instrument groups.

SecurityDescription

typedef std::string Cqg::SecurityDescription

SecurityID value.

SecurityID

typedef System::u64 Cqg::SecurityID

SecurityID value.

SubChannelID

typedef System::u8 Cqg::SubChannelID

Sub-channel identifier.

Extract from Message Specification: A preamble is sent before any FAST encoded message. It consists of 5 non-FAST encoded bytes in Big Endian format, of which the first 4 bytes represent the sequence number, followed by the 1-byte sub-channel identifier, which is always 0x00 at the moment.

Enumeration Type Documentation

RecoveryOptions

enum Cqg::RecoveryOptions

Enumerator
RO_USE_MARKET_RECOVERY
RO_USE_NATURAL_REFRESH
RO_USE_ALL_METHODS
RO_USE_MARKET_START_NATURAL_REFRESH_RECOVERY
RO_USE_MARKET_TCP_AS_POSIBLE_RECOVERY

RecoveryReason

enum Cqg::RecoveryReason

Enumerator
RR_NA
RR_PACKET_ORDER	Market Data Handler processes UDP messages in parallel inside. sometimes one thread can process UDP message before another and pass it to the processing engine. It causes UDP message mix inside the library. Issue is not critical and handled inside library.
RR_SNAPSHOT
RR_NATURAL_RECOVERY
RR_RESET
RR_UNSUBSCRIBE
RR_EMPTYDATA
RR_HOLE_REASON
RR_OVERFLOW_REASON	InstrumentListener processes messages too slow and causes message loss.
RR_USER_REASON
RR_FIRST_RECOVERY_REASON
RR_FIRST_DATA_REASON