#include <prices.h>

Collaboration diagram for ttsdk::PriceSnap:

Classes
struct	DepthSnap

Public Types
enum class	SnapStatus { NOT_REQUESTED , RECEIVED , NOT_RECEIVED , ERROR , UNKNOWN }

Public Attributes
bool	all_snaps_ready
	helper bool indicates all requested data has been received and merged

SnapStatus	direct = SnapStatus::UNKNOWN
	status of the direct subscription

SnapStatus	implied = SnapStatus::UNKNOWN
	status of the implied subscription

SnapStatus	simulated = SnapStatus::UNKNOWN
	status of the simulated subscription

ImpliedsSource	implieds_source = ImpliedsSource::Noimplieds

uint64_t	instrument_id
	Instrument Id for the trade.

TradingStatus	market_state
	Market State.


DepthSnap	asks
	Price feed depth.

DepthSnap	bids


double	open_price = NAN
	Price feed properties.

double	close_price = NAN
	Close price (NAN when unavailable)

double	high_price = NAN
	High price (NAN when unavailable)

double	low_price = NAN
	Low price (NAN when unavailable)

double	last_trade_price = NAN
	Last traded price (NAN when unavailable)

double	last_trade_quantity = NAN
	Last traded quantity (NAN when unavailable)

double	volume = NAN
	Total contract volume.

double	cum_last_trade_quantity = NAN
	Cum Last traded quantity (NAN when unavailable)

double	settlement_price = NAN
	Settlement price (NAN when unavailable)

uint64_t	settlement_time = U64NAN
	Settlement time in nanos past the epoch (U64NAN when unavailable)

double	open_interest = NAN
	Open interest.

uint64_t	epoch_transact_time_nano = 0


double	ind_settle = NAN
	Indicative values.

double	ind_price = NAN
	Indicative price (NAN when unavailable)

double	ind_quantity = NAN
	Indicative quantity (NAN when unavailable)

double	ind_bid = NAN
	Indicative Bid price (NAN when unavailable)

double	ind_ask = NAN


PriceEventType	event_type
	Price snapshot properties.

uint64_t	seq_no
	Price snap sequence number.

uint64_t	conflation_no
	App level conflation value.

uint64_t	exchange_time
	Exchange timestamp.

uint64_t	server_time
	Price Server timestamp (mdrc_recv_time);.

uint64_t	client_time
	Client timestamp (client_recv_time);.

uint64_t	sdk_time
	User listener timestamp (order_stimulus_received_algo)

uint64_t	exchange_seq_no

Static Public Attributes
static constexpr size_t	MAX_DEPTH_LEVEL = 10
	Max supported levels of depth.

Detailed Description

Definition at line 39 of file prices.h.

Member Enumeration Documentation

◆ SnapStatus

enum class ttsdk::PriceSnap::SnapStatus

strong

Enumerator
NOT_REQUESTED
RECEIVED
NOT_RECEIVED
ERROR
UNKNOWN

Definition at line 43 of file prices.h.

Member Data Documentation

◆ all_snaps_ready

bool ttsdk::PriceSnap::all_snaps_ready

helper bool indicates all requested data has been received and merged

Definition at line 51 of file prices.h.

◆ asks

DepthSnap ttsdk::PriceSnap::asks

Price feed depth.

Ask side depth

Definition at line 78 of file prices.h.

◆ bids

DepthSnap ttsdk::PriceSnap::bids

Bid side depth

Definition at line 79 of file prices.h.

◆ client_time

uint64_t ttsdk::PriceSnap::client_time

Client timestamp (client_recv_time);.

Definition at line 112 of file prices.h.

◆ close_price

double ttsdk::PriceSnap::close_price = NAN

Close price (NAN when unavailable)

Definition at line 84 of file prices.h.

◆ conflation_no

uint64_t ttsdk::PriceSnap::conflation_no

App level conflation value.

Definition at line 109 of file prices.h.

◆ cum_last_trade_quantity

double ttsdk::PriceSnap::cum_last_trade_quantity = NAN

Cum Last traded quantity (NAN when unavailable)

Definition at line 90 of file prices.h.

◆ direct

SnapStatus ttsdk::PriceSnap::direct = SnapStatus::UNKNOWN

status of the direct subscription

Definition at line 52 of file prices.h.

◆ epoch_transact_time_nano

uint64_t ttsdk::PriceSnap::epoch_transact_time_nano = 0

Definition at line 94 of file prices.h.

◆ event_type

PriceEventType ttsdk::PriceSnap::event_type

Price snapshot properties.

the data type that triggered this event

Definition at line 107 of file prices.h.

◆ exchange_seq_no

uint64_t ttsdk::PriceSnap::exchange_seq_no

Definition at line 114 of file prices.h.

◆ exchange_time

uint64_t ttsdk::PriceSnap::exchange_time

Exchange timestamp.

Definition at line 110 of file prices.h.

◆ high_price

double ttsdk::PriceSnap::high_price = NAN

High price (NAN when unavailable)

Definition at line 85 of file prices.h.

◆ implied

SnapStatus ttsdk::PriceSnap::implied = SnapStatus::UNKNOWN

status of the implied subscription

Definition at line 53 of file prices.h.

◆ implieds_source

ImpliedsSource ttsdk::PriceSnap::implieds_source = ImpliedsSource::Noimplieds

Definition at line 55 of file prices.h.

◆ ind_ask

double ttsdk::PriceSnap::ind_ask = NAN

Indicative Ask Price (NAN when unavailable)

Definition at line 102 of file prices.h.

◆ ind_bid

double ttsdk::PriceSnap::ind_bid = NAN

Indicative Bid price (NAN when unavailable)

Definition at line 101 of file prices.h.

◆ ind_price

double ttsdk::PriceSnap::ind_price = NAN

Indicative price (NAN when unavailable)

Definition at line 99 of file prices.h.

◆ ind_quantity

double ttsdk::PriceSnap::ind_quantity = NAN

Indicative quantity (NAN when unavailable)

Definition at line 100 of file prices.h.

◆ ind_settle

double ttsdk::PriceSnap::ind_settle = NAN

Indicative values.

Indicative Settle price (NAN when unavailable)

Definition at line 98 of file prices.h.

◆ instrument_id

uint64_t ttsdk::PriceSnap::instrument_id

Instrument Id for the trade.

Definition at line 74 of file prices.h.

◆ last_trade_price

double ttsdk::PriceSnap::last_trade_price = NAN

Last traded price (NAN when unavailable)

Definition at line 87 of file prices.h.

◆ last_trade_quantity

double ttsdk::PriceSnap::last_trade_quantity = NAN

Last traded quantity (NAN when unavailable)

Definition at line 88 of file prices.h.

◆ low_price

double ttsdk::PriceSnap::low_price = NAN

Low price (NAN when unavailable)

Definition at line 86 of file prices.h.

◆ market_state

TradingStatus ttsdk::PriceSnap::market_state

Market State.

Definition at line 75 of file prices.h.

◆ MAX_DEPTH_LEVEL

constexpr size_t ttsdk::PriceSnap::MAX_DEPTH_LEVEL = 10

staticconstexpr

Max supported levels of depth.

Definition at line 41 of file prices.h.

◆ open_interest

double ttsdk::PriceSnap::open_interest = NAN

Open interest.

Definition at line 93 of file prices.h.

◆ open_price

double ttsdk::PriceSnap::open_price = NAN

Price feed properties.

Open price (NAN when unavailable)

Definition at line 83 of file prices.h.

◆ sdk_time

uint64_t ttsdk::PriceSnap::sdk_time

User listener timestamp (order_stimulus_received_algo)

Definition at line 113 of file prices.h.

◆ seq_no

uint64_t ttsdk::PriceSnap::seq_no

Price snap sequence number.

Definition at line 108 of file prices.h.

◆ server_time

uint64_t ttsdk::PriceSnap::server_time

Price Server timestamp (mdrc_recv_time);.

Definition at line 111 of file prices.h.

◆ settlement_price

double ttsdk::PriceSnap::settlement_price = NAN

Settlement price (NAN when unavailable)

Definition at line 91 of file prices.h.

◆ settlement_time

uint64_t ttsdk::PriceSnap::settlement_time = U64NAN

Settlement time in nanos past the epoch (U64NAN when unavailable)

Definition at line 92 of file prices.h.

◆ simulated

SnapStatus ttsdk::PriceSnap::simulated = SnapStatus::UNKNOWN

status of the simulated subscription

Definition at line 54 of file prices.h.

◆ volume

double ttsdk::PriceSnap::volume = NAN

Total contract volume.

Definition at line 89 of file prices.h.

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

prices.h

Classes

Public Types

Public Attributes

Static Public Attributes