MarketByPriceUpdate

struct MarketByPriceUpdate

Update relating to market by price.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::span<MBPUpdate const> bids

List of bids.

std::span<MBPUpdate const> asks

List of asks.

UpdateType update_type = {}

Update type.

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp, possibly from matching engine (UTC)

uint64_t exchange_sequence = {}

Exchange message sequence number.

std::chrono::nanoseconds sending_time_utc = {}

Exchange sending timestamp (UTC)

Precision price_precision = {}

Precision (decimal digits) required to represent prices (dynamic)

Precision quantity_precision = {}

Precision (decimal digits) required to represent quantities (dynamic)

uint16_t max_depth = {}

Maximum depth (zero means unlimited)

uint32_t checksum = {}

Checksum (internal)