ReferenceData

struct ReferenceData

Update relating to the reference data for a symbol.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::string_view description

Description.

SecurityType security_type = {}

Security type.

std::string_view base_currency

Base currency.

std::string_view quote_currency

Quote currency.

std::string_view margin_currency

Margin currency.

std::string_view commission_currency

Commission currency.

double tick_size = NaN

Minimum price increment.

double multiplier = NaN

Multiplier (notional)

double min_notional = NaN

Minimum notional (price * quantity)

double min_trade_vol = NaN

Minimum trade volume.

double max_trade_vol = NaN

Maximum trade volume.

double trade_vol_step_size = NaN

Trade volume step size.

OptionType option_type = {}

Option type.

std::string_view strike_currency

Strike currency.

double strike_price = NaN

Strike price.

std::string_view underlying

Underlying instrument.

std::string_view time_zone

Time-zone.

std::chrono::days issue_date = {}

Issue date.

std::chrono::days settlement_date = {}

Settlement date.

std::chrono::seconds expiry_datetime = {}

Expiry datetime.

std::chrono::seconds expiry_datetime_utc = {}

Expiry datetime.

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)

bool discard = false

Discard market data updates?