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.