order_book::ItchMessage Struct Reference

#include <itch.hpp>

Public Attributes
std::uint64_t	time
	Nanoseconds since midnight.
std::uint64_t	order
	Order reference number.
std::uint64_t	replacement
	Reference number of the new order, for Replace.
std::string_view	stock
	Stock symbol, right-padded with spaces to 8 bytes, for Add.
Shares	shares
	Shares added, taken off, or of the replacement.
Price	price
	Limit price of an add or a replacement.
std::uint16_t	locate
	Stock locate code, the day's index of the security.
ItchKind	kind
	What the message does.
Side	side

Friends
bool	operator== (const ItchMessage &, const ItchMessage &)=default
	Memberwise equality.

Detailed Description

One Nasdaq TotalView-ITCH 5.0 message. stock views the message and dangles once it goes away; fields a kind does not use are 0.

Definition at line 28 of file itch.hpp.

Member Data Documentation

kind

ItchKind order_book::ItchMessage::kind

What the message does.

Definition at line 36 of file itch.hpp.

locate

std::uint16_t order_book::ItchMessage::locate

Stock locate code, the day's index of the security.

Definition at line 35 of file itch.hpp.

order

std::uint64_t order_book::ItchMessage::order

Order reference number.

Definition at line 30 of file itch.hpp.

price

Price order_book::ItchMessage::price

Limit price of an add or a replacement.

Definition at line 34 of file itch.hpp.

replacement

std::uint64_t order_book::ItchMessage::replacement

Reference number of the new order, for Replace.

Definition at line 31 of file itch.hpp.

shares

Shares order_book::ItchMessage::shares

Shares added, taken off, or of the replacement.

Definition at line 33 of file itch.hpp.

side

Side order_book::ItchMessage::side

Side of an add

Definition at line 37 of file itch.hpp.

stock

std::string_view order_book::ItchMessage::stock

Stock symbol, right-padded with spaces to 8 bytes, for Add.

Definition at line 32 of file itch.hpp.

time

std::uint64_t order_book::ItchMessage::time

Nanoseconds since midnight.

Definition at line 29 of file itch.hpp.

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The documentation for this struct was generated from the following file:

• itch.hpp