Definition of a contract on an exchange. More...

#include <instrument.hpp>

Collaboration diagram for tt_core_sdk::Instrument:

Classes
struct	instrument_leg
	Instrument legs. More...

struct	tick_table_data
	Variable ticking data. More...

Public Member Functions
bool	IsValid (void) const noexcept
	Check if the instrument data is valid. More...

double	OffsetPrice (double price, int32_t offset, rounding round) const noexcept
	Returns the tradable price a number of ticks from the specified price. More...

double	TickPriceUp (double price, uint32_t offset) const noexcept
	Returns the tradable price a number of ticks above the specified price. More...

double	TickPriceDown (double price, uint32_t offset) const noexcept
	Returns the tradable price a number of ticks below the specified price. More...

double	RoundPriceToTick (double price, rounding round) const noexcept
	Returns the specified price rounded to a tradable tick. More...

double	GetMinTickSize (void) const noexcept
	Returns the minimum tick size. More...

bool	IsPriceOnTick (double price) const noexcept
	Returns if the specified price is on a tradable tick. More...

int32_t	PriceToTicks (double price) const noexcept
	Returns the specified price in tradable ticks. More...

Public Attributes
uint64_t	instr_id
	Instrument ID. More...

uint64_t	instr_version
	Instrument version. More...

uint64_t	synthetic_instr_id
	Synthetic Instrument ID. More...

uint64_t	underlying_instr_id
	Underlying Instrument ID. More...

uint64_t	algo_compliance_id
	Algo identifier for exchange compliance. More...

std::string	name
	Instrument Name (e.g. ESZ4) More...

std::string	alias
	Alias (e.g. ES Dec14) More...

std::string	security_id
	Security ID. More...

std::string	series_key
	Unique TT assigned ID. More...

enum market	market_id
	Market Identifier. More...

std::string	symbol
	Product Symbol (e.g. ES) More...

uint64_t	product_id
	Product ID. More...

uint64_t	product_version
	Product version. More...

enum product_type_id	product_type_id
	Product type. More...

enum currency_code	product_currency
	Native product currency. More...

double	tick_value
	Value of one tick in the default currency. More...

double	tick_size
	Interval between tradable prices. More...

uint32_t	tick_num
	Ticking: Numerator. More...

uint32_t	tick_denom
	Ticking: Denominator. More...

double	point_value
	Value of one point in the default currency. More...

double	display_factor
	Display Factor. More...

double	min_price_increment
	Minimal price increment. More...

std::string	price_topic
	The topic which price update is send on. More...

std::string	price_formula
	User-defined price formula for a spread. More...

std::string	implied_rules
	Implied rules. More...

uint32_t	starting_date
	Starting date. More...

uint32_t	last_trading_date
	Last trading date. More...

uint32_t	first_delivery_date
	First delivery date. More...

uint32_t	maturity_date
	Maturity date. More...

double	strike_price
	Strike price. More...

uint16_t	option_code_id
	Option code ID. More...

uint16_t	option_scheme_id
	Option scheme ID. More...

uint16_t	series_term_id
	Series term ID. More...

uint16_t	combo_type_id
	Combo type ID. More...

bool	supports_implieds
	Instrument supports implied prices. More...

bool	is_not_tradable
	Instrument is not tradable. More...

struct tt_core_sdk::Instrument::tick_table_data	tick_table

std::vector< instrument_leg >	legs

Static Public Attributes
static constexpr size_t	MAX_TICK_TABLE_ROW_COUNT = 128
	Max supported tick table entries. More...

enum instr_state	state
	Internal. More...

uint32_t	update_source

uint32_t	security_exchange_id

std::unique_ptr< opaque_data >	opaque

bool	IsAlgoVersion (const std::string &version) const noexcept

bool	IsAlgoADL (void) const noexcept

bool	IsAlgoSO (void) const noexcept

uint64_t	KeyId (void) const noexcept

Detailed Description

Definition of a contract on an exchange.

Definition at line 14 of file instrument.hpp.

Member Function Documentation

◆ GetMinTickSize()

double tt_core_sdk::Instrument::GetMinTickSize ( void ) const

noexcept

Returns the minimum tick size.

If the instruments supports variable ticking, the result may differ from the tick_size property.

Returns: Minimum tick size for this instrument

◆ IsAlgoADL()

bool tt_core_sdk::Instrument::IsAlgoADL ( void ) const

noexcept

◆ IsAlgoSO()

bool tt_core_sdk::Instrument::IsAlgoSO ( void ) const

noexcept

◆ IsAlgoVersion()

bool tt_core_sdk::Instrument::IsAlgoVersion ( const std::string & version ) const

noexcept

◆ IsPriceOnTick()

bool tt_core_sdk::Instrument::IsPriceOnTick ( double price ) const

noexcept

Returns if the specified price is on a tradable tick.

Parameters

[in] price Base price

◆ IsValid()

bool tt_core_sdk::Instrument::IsValid ( void ) const

noexcept

Check if the instrument data is valid.

◆ KeyId()

uint64_t tt_core_sdk::Instrument::KeyId ( void ) const

noexcept

◆ OffsetPrice()

double tt_core_sdk::Instrument::OffsetPrice	(	double	price,
		int32_t	offset,
		rounding	round
	)		const

noexcept

Returns the tradable price a number of ticks from the specified price.

You can use this function to find a price a number of price levels away from a specified price. For example, if this price represents the last-traded price, you could use this method to get the price two ticks higher (or lower).
This function applies the offset value to the specified price and then applies the rounding method to arrive at the tradable price. For example, suppose you specify a base price that is not tradable with an offset of -3 and want to round the price up. The function first drops the price by three ticks and then rounds the new price up to the next tradable tick.

Parameters

[in]	price	Base price
[in]	offset	Number of ticks away from the base price
[in]	round	Rounding method to use

Returns: A valid tradable price

◆ PriceToTicks()

int32_t tt_core_sdk::Instrument::PriceToTicks ( double price ) const

noexcept

Returns the specified price in tradable ticks.

Parameters

[in] price Base price

Note: If price does not fall on a tradable tick, it will be rounded to a tradable tick (rounded down for positive prices and up for negative prices). Invalid input will return 0.

Returns: Number of ticks for the provided price

◆ RoundPriceToTick()

double tt_core_sdk::Instrument::RoundPriceToTick	(	double	price,
		rounding	round
	)		const

noexcept

Returns the specified price rounded to a tradable tick.

Parameters

[in]	price	Base price (to round to a tradable tick)
[in]	round	Rounding method to use

Returns: A valid tradable price

◆ TickPriceDown()

double tt_core_sdk::Instrument::TickPriceDown	(	double	price,
		uint32_t	offset
	)		const

noexcept

Returns the tradable price a number of ticks below the specified price.

Parameters

[in]	price	Base price
[in]	offset	Number of ticks below the base price

Returns: A valid tradable price

◆ TickPriceUp()

double tt_core_sdk::Instrument::TickPriceUp	(	double	price,
		uint32_t	offset
	)		const

noexcept

Returns the tradable price a number of ticks above the specified price.

Parameters

[in]	price	Base price
[in]	offset	Number of ticks above the base price

Returns: A valid tradable price

Member Data Documentation

◆ algo_compliance_id

uint64_t tt_core_sdk::Instrument::algo_compliance_id

Algo identifier for exchange compliance.

Definition at line 80 of file instrument.hpp.

◆ alias

std::string tt_core_sdk::Instrument::alias

Alias (e.g. ES Dec14)

Definition at line 83 of file instrument.hpp.

◆ combo_type_id

uint16_t tt_core_sdk::Instrument::combo_type_id

Combo type ID.

Definition at line 115 of file instrument.hpp.

◆ display_factor

double tt_core_sdk::Instrument::display_factor

Display Factor.

Definition at line 99 of file instrument.hpp.

◆ first_delivery_date

uint32_t tt_core_sdk::Instrument::first_delivery_date

First delivery date.

Definition at line 108 of file instrument.hpp.

◆ implied_rules

std::string tt_core_sdk::Instrument::implied_rules

Implied rules.

Definition at line 104 of file instrument.hpp.

◆ instr_id

uint64_t tt_core_sdk::Instrument::instr_id

Instrument ID.

Definition at line 76 of file instrument.hpp.

◆ instr_version

uint64_t tt_core_sdk::Instrument::instr_version

Instrument version.

Definition at line 77 of file instrument.hpp.

◆ is_not_tradable

bool tt_core_sdk::Instrument::is_not_tradable

Instrument is not tradable.

Definition at line 118 of file instrument.hpp.

◆ last_trading_date

uint32_t tt_core_sdk::Instrument::last_trading_date

Last trading date.

Definition at line 107 of file instrument.hpp.

◆ legs

std::vector<instrument_leg> tt_core_sdk::Instrument::legs

Definition at line 148 of file instrument.hpp.

◆ market_id

enum market tt_core_sdk::Instrument::market_id

Market Identifier.

Definition at line 87 of file instrument.hpp.

◆ maturity_date

uint32_t tt_core_sdk::Instrument::maturity_date

Maturity date.

Definition at line 109 of file instrument.hpp.

◆ MAX_TICK_TABLE_ROW_COUNT

constexpr size_t tt_core_sdk::Instrument::MAX_TICK_TABLE_ROW_COUNT = 128

static

Max supported tick table entries.

Definition at line 17 of file instrument.hpp.

◆ min_price_increment

double tt_core_sdk::Instrument::min_price_increment

Minimal price increment.

Definition at line 100 of file instrument.hpp.

◆ name

std::string tt_core_sdk::Instrument::name

Instrument Name (e.g. ESZ4)

Definition at line 82 of file instrument.hpp.

◆ opaque

std::unique_ptr<opaque_data> tt_core_sdk::Instrument::opaque

Definition at line 154 of file instrument.hpp.

◆ option_code_id

uint16_t tt_core_sdk::Instrument::option_code_id

Option code ID.

Definition at line 112 of file instrument.hpp.

◆ option_scheme_id

uint16_t tt_core_sdk::Instrument::option_scheme_id

Option scheme ID.

Definition at line 113 of file instrument.hpp.

◆ point_value

double tt_core_sdk::Instrument::point_value

Value of one point in the default currency.

Definition at line 98 of file instrument.hpp.

◆ price_formula

std::string tt_core_sdk::Instrument::price_formula

User-defined price formula for a spread.

Definition at line 103 of file instrument.hpp.

◆ price_topic

std::string tt_core_sdk::Instrument::price_topic

The topic which price update is send on.

Definition at line 102 of file instrument.hpp.

◆ product_currency

enum currency_code tt_core_sdk::Instrument::product_currency

Native product currency.

Definition at line 92 of file instrument.hpp.

◆ product_id

uint64_t tt_core_sdk::Instrument::product_id

Product ID.

Definition at line 89 of file instrument.hpp.

◆ product_type_id

enum product_type_id tt_core_sdk::Instrument::product_type_id

Product type.

Definition at line 91 of file instrument.hpp.

◆ product_version

uint64_t tt_core_sdk::Instrument::product_version

Product version.

Definition at line 90 of file instrument.hpp.

◆ security_exchange_id

uint32_t tt_core_sdk::Instrument::security_exchange_id

Definition at line 153 of file instrument.hpp.

◆ security_id

std::string tt_core_sdk::Instrument::security_id

Security ID.

Definition at line 84 of file instrument.hpp.

◆ series_key

std::string tt_core_sdk::Instrument::series_key

Unique TT assigned ID.

Definition at line 85 of file instrument.hpp.

◆ series_term_id

uint16_t tt_core_sdk::Instrument::series_term_id

Series term ID.

Definition at line 114 of file instrument.hpp.

◆ starting_date

uint32_t tt_core_sdk::Instrument::starting_date

Starting date.

Definition at line 106 of file instrument.hpp.

◆ state

enum instr_state tt_core_sdk::Instrument::state

Internal.

Definition at line 151 of file instrument.hpp.

◆ strike_price

double tt_core_sdk::Instrument::strike_price

Strike price.

Definition at line 111 of file instrument.hpp.

◆ supports_implieds

bool tt_core_sdk::Instrument::supports_implieds

Instrument supports implied prices.

Definition at line 117 of file instrument.hpp.

◆ symbol

std::string tt_core_sdk::Instrument::symbol

Product Symbol (e.g. ES)

Definition at line 88 of file instrument.hpp.

◆ synthetic_instr_id

uint64_t tt_core_sdk::Instrument::synthetic_instr_id

Synthetic Instrument ID.

Definition at line 78 of file instrument.hpp.

◆ tick_denom

uint32_t tt_core_sdk::Instrument::tick_denom

Ticking: Denominator.

Definition at line 97 of file instrument.hpp.

◆ tick_num

uint32_t tt_core_sdk::Instrument::tick_num

Ticking: Numerator.

Definition at line 96 of file instrument.hpp.

◆ tick_size

double tt_core_sdk::Instrument::tick_size

Interval between tradable prices.

Definition at line 95 of file instrument.hpp.

◆ tick_table

struct tt_core_sdk::Instrument::tick_table_data tt_core_sdk::Instrument::tick_table

◆ tick_value

double tt_core_sdk::Instrument::tick_value

Value of one tick in the default currency.

Definition at line 94 of file instrument.hpp.

◆ underlying_instr_id

uint64_t tt_core_sdk::Instrument::underlying_instr_id

Underlying Instrument ID.

Definition at line 79 of file instrument.hpp.

◆ update_source

uint32_t tt_core_sdk::Instrument::update_source

Definition at line 152 of file instrument.hpp.

The documentation for this class was generated from the following file:

Header Files/instrument.hpp

Classes

Public Member Functions

Public Attributes

Static Public Attributes

Detailed Description

Member Function Documentation

◆ GetMinTickSize()

◆ IsAlgoADL()

◆ IsAlgoSO()

◆ IsAlgoVersion()

◆ IsPriceOnTick()

◆ IsValid()

◆ KeyId()

◆ OffsetPrice()

◆ PriceToTicks()

◆ RoundPriceToTick()

◆ TickPriceDown()

◆ TickPriceUp()

Member Data Documentation

◆ algo_compliance_id

◆ alias

◆ combo_type_id

◆ display_factor

◆ first_delivery_date

◆ implied_rules

◆ instr_id

◆ instr_version

◆ is_not_tradable

◆ last_trading_date

◆ legs

◆ market_id

◆ maturity_date

◆ MAX_TICK_TABLE_ROW_COUNT

◆ min_price_increment

◆ name

◆ opaque

◆ option_code_id

◆ option_scheme_id

◆ point_value

◆ price_formula

◆ price_topic

◆ product_currency

◆ product_id

◆ product_type_id

◆ product_version

◆ security_exchange_id

◆ security_id

◆ series_key

◆ series_term_id

◆ starting_date

◆ state

◆ strike_price

◆ supports_implieds

◆ symbol

◆ synthetic_instr_id

◆ tick_denom

◆ tick_num

◆ tick_size

◆ tick_table

◆ tick_value

◆ underlying_instr_id

◆ update_source