Helpers#
Fill#
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struct Fill#
Represents a single fill (match) when an order is being partially or fully filled.
Layer#
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struct Layer#
Represents aggregate order book bid/ask information at a given depth.
MBOUpdate#
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struct MBOUpdate#
Represents the update status of a single order in the order book.
Public Members
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double price = NaN#
Order price.
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double remaining_quantity = {}#
Remaining order quantity.
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UpdateAction action = {}#
Order update action.
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uint32_t priority = {}#
Queue priority.
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ExternalTradeId order_id#
Order identifier.
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double price = NaN#
MBPUpdate#
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struct MBPUpdate#
Represents the update status of a single aggregate price level in the order book.
Public Members
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double price = NaN#
Price.
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double quantity = {}#
Total quantity available at price (zero means remove price level)
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double implied_quantity = NaN#
Total implied quantity at price (optional)
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uint16_t number_of_orders = {}#
Number of orders at price (optional)
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UpdateAction update_action = {}#
Type of update action.
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uint32_t price_level = {}#
Price level (0-based indexing)
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double price = NaN#
Statistics#
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struct Statistics#
Represents a single statistic.
Public Members
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StatisticsType type = {}#
Statistics type.
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double value = NaN#
Value.
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std::chrono::seconds begin_time_utc = {}#
Sample period begin time.
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std::chrono::seconds end_time_utc = {}#
Sample period end time.
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StatisticsType type = {}#
Trade#
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struct Trade#
Represents a single trade (a match) as part of trade reporting by the exchange.
Public Members
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double price = NaN#
Price.
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double quantity = NaN#
Quantity.
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ExternalTradeId trade_id#
Trade identifier.
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ExternalOrderId taker_order_id#
External order identifier (taker)
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ExternalOrderId maker_order_id#
External order identifier (maker)
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double price = NaN#