Messages

BatchBegin

struct BatchBegin

Identifies the beginning of a sequence of related messages.

BatchEnd

struct BatchEnd

Identifies the end of a sequence of related messages.

CancelAllOrders

struct roq::CancelAllOrders

Fields required to cancel all orders.

Public Members

std::string_view account

Account name.

CancelOrder

struct roq::CancelOrder

Fields required to cancel an existing order.

Public Members

std::string_view account

Account name.

uint32_t order_id = {}

Order identifier.

std::string_view routing_id

Routing identifier.

uint32_t version = {}

Version number (strictly increasing, optional)

uint32_t conditional_on_version = {}

Auto-reject if this version has positively failed (optional)

CreateOrder

struct roq::CreateOrder

Fields required to create an order.

Public Members

std::string_view account

Account name.

uint32_t order_id = {}

Order identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

Side side = {}

Order side.

PositionEffect position_effect = {}

Position effect.

double max_show_quantity = NaN

Quantity visible to market (requires exchange support)

OrderType order_type = {}

Order type.

TimeInForce time_in_force = {}

Time in force.

Mask<ExecutionInstruction> execution_instructions

Execution instructions.

std::string_view order_template

Order template.

double quantity = NaN

Order quantity.

double price = NaN

Limit price (depends on order_type)

double stop_price = NaN

Stop price (depends on order_type and time_in_force)

std::string_view routing_id

Routing identifier.

DownloadBegin

struct roq::DownloadBegin

Identifies the beginning of a download sequence.

Public Members

std::string_view account

Account name.

DownloadEnd

struct roq::DownloadEnd

Identifies the end of a download sequence.

Public Members

std::string_view account

Account name.

uint32_t max_order_id = {}

Highest previous order identifier (as seen by gateway)

ExternalLatency

struct roq::ExternalLatency

Update relating to external latency.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view account

Account name.

std::chrono::nanoseconds latency = {}

latency measurement (1-way)

FundsUpdate

struct roq::FundsUpdate

Update relating to available funds.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view account

Account name.

std::string_view currency

Currency.

double balance = NaN

Current funds.

double hold = NaN

Funds on hold.

std::string_view external_account

External account name.

GatewaySettings

struct roq::GatewaySettings

Gateway settings.

Public Members

Mask<SupportType> supports

Supported update types.

uint32_t mbp_max_depth = {}

MBP max depth.

double mbp_tick_size_multiplier = NaN

MBP multiplier used to manage prices as integer.

double mbp_min_trade_vol_multiplier = NaN

MBP multiplier used to manage quantities as integer.

bool mbp_allow_remove_non_existing = false

MBP allow remove operation on non-existing level?

bool mbp_allow_price_inversion = false

MBP allow price inversion?

bool oms_download_has_state = false

OMS download includes state information?

bool oms_download_has_routing_id = false

OMS download includes routing_id?

RequestIdType oms_request_id_type = {}

OMS request identifier type.

GatewayStatus

struct roq::GatewayStatus

Update relating to current gateway service status.

Public Members

std::string_view account

Account name.

Mask<SupportType> supported

Supported update types.

Mask<SupportType> available

Available update types (union of all streams, one or more available)

Mask<SupportType> unavailable

Unavailable update types (union of all streams, one or more unavailable)

MarketByOrderUpdate

struct roq::MarketByOrderUpdate

Update relating to market by order.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::span<MBOUpdate> bids

List of bids.

std::span<MBOUpdate> asks

List of asks.

UpdateType update_type = {}

Update type.

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp (UTC)

int64_t exchange_sequence = {}

Latest sequence number (from exchange)

Decimals price_decimals = {}

Decimal digits required to represent prices.

Decimals quantity_decimals = {}

Decimal digits required to represent quantities.

uint32_t checksum = {}

Checksum (internal)

MarketByPriceUpdate

struct roq::MarketByPriceUpdate

Update relating to market by price.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::span<MBPUpdate> bids

List of bids.

std::span<MBPUpdate> asks

List of asks.

UpdateType update_type = {}

Update type.

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp (UTC)

int64_t exchange_sequence = {}

Latest sequence number (from exchange)

Decimals price_decimals = {}

Decimal digits required to represent prices.

Decimals quantity_decimals = {}

Decimal digits required to represent quantities.

uint16_t max_depth = {}

Maximum depth (used to maintain a view of top N price levels)

uint32_t checksum = {}

Checksum (internal)

MarketStatus

struct roq::MarketStatus

Update relating to current trading status of a symbol.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

TradingStatus trading_status = {}

Trading status.

ModifyOrder

struct roq::ModifyOrder

Fields required to modify an existing order.

Public Members

std::string_view account

Account name.

uint32_t order_id = {}

Order identifier.

double quantity = NaN

New (total) quantity.

double price = NaN

New limit price.

std::string_view routing_id

Routing identifier.

uint32_t version = {}

Version number (strictly increasing, optional)

uint32_t conditional_on_version = {}

Auto-reject if this version has positively failed (optional)

OrderAck

struct roq::OrderAck

Acknowledgement that a create/modify/cancel order request has been seen by gateway/exchange.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view account

Account name.

uint32_t order_id = {}

Order identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

Side side = {}

Side.

RequestType type = {}

Request type.

Origin origin = {}

Origin of ack.

RequestStatus status = {}

Request status.

Error error = {}

Error code.

std::string_view text

Descriptive text.

std::string_view request_id

Request identifier.

std::string_view external_account

External account name.

std::string_view external_order_id

External order identifier.

std::string_view routing_id

Routing identifier.

uint32_t version = {}

Version number (strictly increasing, optional)

std::chrono::nanoseconds round_trip_latency = {}

Round-trip latency between gateway and exchange.

OrderUpdate

struct roq::OrderUpdate

Update relating to current status of an order.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view account

Account name.

uint32_t order_id = {}

Order identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

Side side = {}

Side.

PositionEffect position_effect = {}

Position effect.

double max_show_quantity = NaN

Quantity visible to market (requires exchange support)

OrderType order_type = {}

Order type.

TimeInForce time_in_force = {}

Time in force.

Mask<ExecutionInstruction> execution_instructions

Execution instructions.

std::string_view order_template

Order template.

std::chrono::nanoseconds create_time_utc = {}

Created timestamp (UTC)

std::chrono::nanoseconds update_time_utc = {}

Updated timestamp (UTC)

std::string_view external_account

External account name.

std::string_view external_order_id

External order identifier.

OrderStatus status = {}

Order status.

double quantity = NaN

Quantity (total, indicative)

double price = NaN

Price.

double stop_price = NaN

Stop price (depends on order_type and time_in_force)

double remaining_quantity = NaN

Quantity (remaining)

double traded_quantity = NaN

Quantity (total traded)

double average_traded_price = NaN

Average price (total traded)

double last_traded_quantity = NaN

Traded quantity (last trade)

double last_traded_price = NaN

Traded price (last trade)

Liquidity last_liquidity = {}

Liquidity indicator (last trade)

std::string_view routing_id

Routing identifier.

uint32_t max_request_version = {}

Last request version.

uint32_t max_response_version = {}

Last response version.

uint32_t max_accepted_version = {}

Last accepted version.

UpdateType update_type = {}

Update type.

PositionUpdate

struct roq::PositionUpdate

Update relating to current position for a symbol/side/account.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view account

Account name.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::string_view external_account

External account name.

double long_quantity = NaN

Current long position.

double short_quantity = NaN

Current short position.

double long_quantity_begin = NaN

Long position at period begin.

double short_quantity_begin = NaN

Short position at period begin.

RateLimitUsage

struct roq::RateLimitTrigger

Rate-limit trigger.

Public Members

std::string_view name

Configuration name.

Origin origin = {}

Origin.

RateLimitType type = {}

Rate-limit type.

std::span<User const> users

Sorted list of users being affected (empty list means: all)

std::span<Account const> accounts

Sorted list of accounts being affected (empty list means: all)

std::chrono::nanoseconds ban_expires = {}

System time when ban expires (zero means: ban is no longer effective)

std::string_view triggered_by

Trigger activated by this user.

ReferenceData

struct roq::ReferenceData

Update relating to the reference data for a symbol.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::string_view description

Description.

SecurityType security_type = {}

Security type.

std::string_view base_currency

Base currency.

std::string_view quote_currency

Quote currency.

std::string_view margin_currency

Margin currency.

std::string_view commission_currency

Commission currency.

double tick_size = NaN

Minimum price increment.

double multiplier = NaN

Multiplier (notional)

double min_trade_vol = NaN

Minimum trade volume.

double max_trade_vol = NaN

Maximum trade volume.

double trade_vol_step_size = NaN

Trade volume step size.

OptionType option_type = {}

Option type.

std::string_view strike_currency

Strike currency.

double strike_price = NaN

Strike price.

std::string_view underlying

Underlying instrument.

std::string_view time_zone

Time-zone.

std::chrono::days issue_date = {}

Issue date.

std::chrono::days settlement_date = {}

Settlement date.

std::chrono::seconds expiry_datetime = {}

Expiry datetime.

std::chrono::seconds expiry_datetime_utc = {}

Expiry datetime.

StatisticsUpdate

struct roq::StatisticsUpdate

Update relating to statistics published by the exchange.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::span<Statistics> statistics

List of statistics.

UpdateType update_type = {}

Update type.

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp (UTC)

StreamStatus

struct roq::StreamStatus

Update relating to current stream status.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view account

Account name.

Mask<SupportType> supports

Supported update types.

Transport transport = {}

Transport type (layer 4)

Protocol protocol = {}

Communication protocol (layer 7)

Mask<Encoding> encoding

Message encoding.

Priority priority = {}

Priority.

ConnectionStatus connection_status = {}

Connection status (when applicable)

TopOfBook

struct roq::TopOfBook

Update relating to top of book (aggregate price)

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

Layer layer

Top of book.

UpdateType update_type = {}

Update type.

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp (UTC)

int64_t exchange_sequence = {}

Latest sequence number (from exchange)

TradeSummary

struct roq::TradeSummary

Update relating to trade reporting by the exchange.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

std::span<Trade> trades

List of trades.

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp (UTC)

TradeUpdate

struct roq::TradeUpdate

Update relating to order being partially or fully filled.

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view account

Account name.

uint32_t order_id = {}

Order identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

Side side = {}

Side.

PositionEffect position_effect = {}

Position effect.

std::chrono::nanoseconds create_time_utc = {}

Created timestamp (UTC)

std::chrono::nanoseconds update_time_utc = {}

Updated timestamp (UTC)

std::string_view external_account

External account name.

std::string_view external_order_id

External order identifier.

std::span<Fill> fills

List of fills.

std::string_view routing_id

Routing identifier.

UpdateType update_type = {}

Update type.