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)