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.

roq::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 = roq::NaN#

Minimum price increment.

double multiplier = roq::NaN#

Multiplier (notional)

double min_notional = roq::NaN#

Minimum notional (price * quantity)

double min_trade_vol = roq::NaN#

Minimum trade volume.

double max_trade_vol = roq::NaN#

Maximum trade volume.

double trade_vol_step_size = roq::NaN#

Trade volume step size.

roq::OptionType option_type = {}#

Option type.

std::string_view strike_currency#

Strike currency.

double strike_price = roq::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?