Helpers

Fill

struct Fill

Represents a single fill (match) when an order is being partially or fully filled.

Public Members

ExternalTradeId external_trade_id

External trade identifier.

double quantity = NaN

Quantity.

double price = NaN

Price.

Liquidity liquidity = {}

Liquidity indicator.

Layer

struct Layer

Represents aggregate order book bid/ask information at a given depth.

Public Members

double bid_price = NaN

Bid price level.

double bid_quantity = {}

Total quantity available at bid.

double ask_price = NaN

Ask price level.

double ask_quantity = {}

Total quantity available at ask.

MBOUpdate

struct MBOUpdate

Represents the update status of a single order in the order book.

Public Members

double price = NaN

Order price.

double remaining_quantity = {}

Remaining order quantity.

UpdateAction action = {}

Order update action.

uint32_t priority = {}

Queue priority.

ExternalTradeId order_id

Order identifier.

MBPUpdate

struct MBPUpdate

Represents the update status of a single aggregate price level in the order book.

Public Members

double price = NaN

Price.

double quantity = {}

Total quantity available at price (zero means remove price level)

double implied_quantity = NaN

Total implied quantity at price (optional)

uint16_t number_of_orders = {}

Number of orders at price (optional)

UpdateAction update_action = {}

Type of update action.

uint32_t price_level = {}

Price level (0-based indexing)

Statistics

struct Statistics

Represents a single statistic.

Public Members

StatisticsType type = {}

Statistics type.

double value = NaN

Value.

std::chrono::seconds begin_time_utc = {}

Sample period begin time.

std::chrono::seconds end_time_utc = {}

Sample period end time.

Trade

struct Trade

Represents a single trade (a match) as part of trade reporting by the exchange.

Public Members

Side side = {}

Side (by convention: side of the taker)

double price = NaN

Price.

double quantity = NaN

Quantity.

ExternalTradeId trade_id

Trade identifier.

ExternalOrderId taker_order_id

External order identifier (taker)

ExternalOrderId maker_order_id

External order identifier (maker)