Messages#
BatchBegin#
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struct BatchBegin#
Identifies the beginning of a sequence of related messages.
BatchEnd#
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struct BatchEnd#
Identifies the end of a sequence of related messages.
CancelAllOrders#
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struct CancelAllOrders#
Fields required to cancel all orders.
CancelOrder#
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struct CancelOrder#
Fields required to cancel an existing order.
CreateOrder#
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struct CreateOrder#
Fields required to create an order.
Public Members
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uint32_t order_id = {}#
Order identifier.
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PositionEffect position_effect = {}#
Position effect.
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double max_show_quantity = NaN#
Quantity visible to market (requires exchange support)
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TimeInForce time_in_force = {}#
Time in force.
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Mask<ExecutionInstruction> execution_instructions#
Execution instructions.
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std::string_view order_template#
Order template.
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double quantity = NaN#
Order quantity.
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double price = NaN#
Limit price (depends on order_type)
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std::string_view routing_id#
Routing identifier.
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uint32_t order_id = {}#
DownloadBegin#
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struct DownloadBegin#
Identifies the beginning of a download sequence.
DownloadEnd#
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struct DownloadEnd#
Identifies the end of a download sequence.
ExternalLatency#
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struct ExternalLatency#
Update relating to external latency.
FundsUpdate#
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struct FundsUpdate#
Update relating to available funds.
GatewaySettings#
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struct GatewaySettings#
Gateway settings.
Public Members
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Mask<SupportType> supports#
Supported update types.
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uint16_t mbp_max_depth = {}#
MBP max depth.
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double mbp_tick_size_multiplier = NaN#
MBP multiplier used to manage prices as integer.
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double mbp_min_trade_vol_multiplier = NaN#
MBP multiplier used to manage quantities as integer.
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bool mbp_allow_remove_non_existing = false#
MBP allow remove operation on non-existing level?
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bool mbp_allow_price_inversion = false#
MBP allow price inversion?
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bool mbp_checksum = false#
MBP compute checksum?
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bool oms_download_has_state = false#
OMS download includes state information?
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bool oms_download_has_routing_id = false#
OMS download includes routing_id?
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RequestIdType oms_request_id_type = {}#
OMS request identifier type.
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Mask<SupportType> supports#
GatewayStatus#
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struct GatewayStatus#
Update relating to current gateway service status.
Public Members
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Mask<SupportType> supported#
Supported update types.
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Mask<SupportType> available#
Available update types (union of all streams, one or more available)
Unavailable update types (union of all streams, one or more unavailable)
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Mask<SupportType> supported#
MarketByOrderUpdate#
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struct MarketByOrderUpdate#
Update relating to market by order.
MarketByPriceUpdate#
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struct MarketByPriceUpdate#
Update relating to market by price.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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UpdateType update_type = {}#
Update type.
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std::chrono::nanoseconds exchange_time_utc = {}#
Timestamp (from exchange, UTC)
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int64_t exchange_sequence = {}#
Latest sequence number (from exchange)
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uint16_t max_depth = {}#
Maximum depth (zero means unlimited)
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uint32_t checksum = {}#
Checksum (internal)
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uint16_t stream_id = {}#
MarketStatus#
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struct MarketStatus#
Update relating to current trading status of a symbol.
ModifyOrder#
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struct ModifyOrder#
Fields required to modify an existing order.
Public Members
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uint32_t order_id = {}#
Order identifier.
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double quantity = NaN#
New (total) quantity.
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double price = NaN#
New limit price.
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std::string_view routing_id#
Routing identifier.
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uint32_t version = {}#
Version number (strictly increasing, optional)
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uint32_t conditional_on_version = {}#
Auto-reject if this version has positively failed (optional)
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uint32_t order_id = {}#
OrderAck#
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struct OrderAck#
Acknowledgement that a create/modify/cancel order request has been seen by gateway/exchange.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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uint32_t order_id = {}#
Order identifier.
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RequestType type = {}#
Request type.
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RequestStatus status = {}#
Request status.
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std::string_view text#
Descriptive text.
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std::string_view request_id#
Request identifier.
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std::string_view external_account#
External account name.
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std::string_view external_order_id#
External order identifier.
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std::string_view routing_id#
Routing identifier.
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uint32_t version = {}#
Version number (strictly increasing, optional)
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std::chrono::nanoseconds round_trip_latency = {}#
Round-trip latency between gateway and exchange.
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uint16_t stream_id = {}#
OrderUpdate#
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struct OrderUpdate#
Update relating to current status of an order.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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uint32_t order_id = {}#
Order identifier.
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PositionEffect position_effect = {}#
Position effect.
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double max_show_quantity = NaN#
Quantity visible to market (requires exchange support)
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TimeInForce time_in_force = {}#
Time in force.
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Mask<ExecutionInstruction> execution_instructions#
Execution instructions.
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std::string_view order_template#
Order template.
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std::chrono::nanoseconds create_time_utc = {}#
Created timestamp (UTC)
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std::chrono::nanoseconds update_time_utc = {}#
Updated timestamp (UTC)
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std::string_view external_account#
External account name.
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std::string_view external_order_id#
External order identifier.
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OrderStatus status = {}#
Order status.
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double quantity = NaN#
Quantity (total, indicative)
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double price = NaN#
Price.
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double remaining_quantity = NaN#
Quantity (remaining)
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double traded_quantity = NaN#
Quantity (total traded)
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double average_traded_price = NaN#
Average price (total traded)
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double last_traded_quantity = NaN#
Traded quantity (last trade)
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double last_traded_price = NaN#
Traded price (last trade)
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std::string_view routing_id#
Routing identifier.
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uint32_t max_request_version = {}#
Last request version.
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uint32_t max_response_version = {}#
Last response version.
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uint32_t max_accepted_version = {}#
Last accepted version.
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UpdateType update_type = {}#
Update type.
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uint16_t stream_id = {}#
PositionUpdate#
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struct PositionUpdate#
Update relating to current position for a symbol/side/account.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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std::string_view external_account#
External account name.
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double long_quantity = NaN#
Current long position.
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double short_quantity = NaN#
Current short position.
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double long_quantity_begin = NaN#
Long position at period begin.
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double short_quantity_begin = NaN#
Short position at period begin.
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uint16_t stream_id = {}#
RateLimitUsage#
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struct RateLimitTrigger#
Rate-limit trigger.
Public Members
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std::string_view name#
Configuration name.
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RateLimitType type = {}#
Rate-limit type.
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std::chrono::nanoseconds ban_expires = {}#
System time when ban expires (zero means: ban is no longer effective)
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std::string_view triggered_by#
Trigger activated by this user.
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BufferCapacity buffer_capacity = {}#
Buffer capacity (indicator for how full or empty the buffer is)
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uint32_t remaining_requests = {}#
The buffer becomes full if this many requests are sent instantly.
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std::string_view name#
ReferenceData#
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struct ReferenceData#
Update relating to the reference data for a symbol.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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std::string_view description#
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SecurityType security_type = {}#
Security type.
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std::string_view base_currency#
Base currency.
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std::string_view quote_currency#
Quote currency.
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std::string_view margin_currency#
Margin currency.
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std::string_view commission_currency#
Commission currency.
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double tick_size = NaN#
Minimum price increment.
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double multiplier = NaN#
Multiplier (notional)
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double min_notional = NaN#
Minimum notional (price * quantity)
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double min_trade_vol = NaN#
Minimum trade volume.
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double max_trade_vol = NaN#
Maximum trade volume.
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OptionType option_type = {}#
Option type.
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std::string_view strike_currency#
Strike currency.
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double strike_price = NaN#
Strike price.
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std::string_view underlying#
Underlying instrument.
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std::string_view time_zone#
Time-zone.
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std::chrono::days issue_date = {}#
Issue date.
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std::chrono::days settlement_date = {}#
Settlement date.
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std::chrono::seconds expiry_datetime = {}#
Expiry datetime.
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std::chrono::seconds expiry_datetime_utc = {}#
Expiry datetime.
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bool discard = false#
Discard market data updates?
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uint16_t stream_id = {}#
StatisticsUpdate#
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struct StatisticsUpdate#
Update relating to statistics published by the exchange.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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std::span<Statistics> statistics#
List of statistics.
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UpdateType update_type = {}#
Update type.
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std::chrono::nanoseconds exchange_time_utc = {}#
Timestamp (from exchange, UTC)
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uint16_t stream_id = {}#
StreamStatus#
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struct StreamStatus#
Update relating to current stream status.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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Mask<SupportType> supports#
Supported update types.
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ConnectionStatus connection_status = {}#
Connection status (when applicable)
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uint16_t stream_id = {}#
TopOfBook#
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struct TopOfBook#
Update relating to top of book (aggregate price)
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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UpdateType update_type = {}#
Update type.
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std::chrono::nanoseconds exchange_time_utc = {}#
Timestamp (from exchange, UTC)
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int64_t exchange_sequence = {}#
Latest sequence number (from exchange)
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uint16_t stream_id = {}#
TradeSummary#
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struct TradeSummary#
Update relating to trade reporting by the exchange.
TradeUpdate#
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struct TradeUpdate#
Update relating to order being partially or fully filled.
Public Members
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uint16_t stream_id = {}#
Stream identifier.
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uint32_t order_id = {}#
Order identifier.
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PositionEffect position_effect = {}#
Position effect.
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std::chrono::nanoseconds create_time_utc = {}#
Created timestamp (UTC)
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std::chrono::nanoseconds update_time_utc = {}#
Updated timestamp (UTC)
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std::string_view external_account#
External account name.
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std::string_view external_order_id#
External order identifier.
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std::string_view routing_id#
Routing identifier.
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UpdateType update_type = {}#
Update type.
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uint16_t stream_id = {}#