Helpers#

Fill#

struct roq::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 roq::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 roq::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.

OrderUpdateAction action = {}#

Order update action.

uint32_t priority = {}#

Queue priority.

ExternalTradeId order_id#

Order identifier.

MBPUpdate#

struct roq::MBPUpdate#

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

Public Members

double price = NaN#

Price level.

double quantity = {}#

Total quantity available at price.

double implied_quantity = NaN#

Total implied quantity at price (optional)

uint32_t price_level = {}#

Level of price (optional, 1-based indexing)

uint32_t number_of_orders = {}#

Number of orders at price (optional)

Statistics#

struct roq::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 roq::Trade#

Represents a single trade (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.