MamdaOrderBookTypes is a class that provides order book related typed. More...
#include <MamdaOrderBookTypes.h>
Public Types | |
enum | Action { MAMDA_BOOK_ACTION_ADD = 'A', MAMDA_BOOK_ACTION_UPDATE = 'U', MAMDA_BOOK_ACTION_DELETE = 'D', MAMDA_BOOK_ACTION_UNKNOWN = 'Z' } |
An enumeration for actions on an order book. More... | |
enum | Side { MAMDA_BOOK_SIDE_BID = 'B', MAMDA_BOOK_SIDE_ASK = 'A', MAMDA_BOOK_SIDE_UNKNOWN = 'Z' } |
An enumeration for the side order book side. More... | |
enum | Reason { MAMDA_BOOK_REASON_MODIFY = 'M', MAMDA_BOOK_REASON_CANCEL = 'C', MAMDA_BOOK_REASON_TRADE = 'T', MAMDA_BOOK_REASON_CLOSE = 'c', MAMDA_BOOK_REASON_DROP = 'N', MAMDA_BOOK_REASON_MISC = 'm', MAMDA_BOOK_REASON_UNKNOWN = 'Z' } |
An enumeration for a reason for a change. More... | |
enum | PropMsgType { MAMDA_PROP_MSG_TYPE_UPDATE = 'U', MAMDA_PROP_MSG_TYPE_RECAP = 'R' } |
An enumertation for property msg types. More... | |
enum | OrderType { MAMDA_BOOK_LEVEL_LIMIT = 'L', MAMDA_BOOK_LEVEL_MARKET = 'M', MAMDA_BOOK_LEVEL_UNKNOWN = 'U' } |
An enumeration for the type of level. More... | |
MamdaOrderBookTypes is a class that provides order book related typed.
An enumeration for actions on an order book.
Note: price level actions differ from entry actions because, for example, a price level message with ACTION_UPDATE may consist of entries with ACTION_ADD, ACTION_UPDATE or ACTION_DELETE.
Enumerator | |
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MAMDA_BOOK_ACTION_ADD | |
MAMDA_BOOK_ACTION_UPDATE | A new price level. |
MAMDA_BOOK_ACTION_DELETE | An updated price level. |
MAMDA_BOOK_ACTION_UNKNOWN | A deleted price level. |
An enumeration for the side order book side.
"Bid" (or "buy") orders occur on one side and "ask" (or "sell") orders occur on the other.
Enumerator | |
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MAMDA_BOOK_SIDE_BID | |
MAMDA_BOOK_SIDE_ASK | A bid (buy) order. |
MAMDA_BOOK_SIDE_UNKNOWN | An ask (sell) order. |
An enumeration for a reason for a change.
Some of the values of Reason can mean the same thing, as far as their affect on the order book. If possible, a feed will send MODIFY, CANCEL or TRADE actions so that downstream applications that are interested in such data can handle it; other applications can treat such actions in the same way as an UPDATE action (or as a DELETE action if the size is zero).
Enumerator | |
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MAMDA_BOOK_REASON_MODIFY | |
MAMDA_BOOK_REASON_CANCEL | |
MAMDA_BOOK_REASON_TRADE | |
MAMDA_BOOK_REASON_CLOSE | |
MAMDA_BOOK_REASON_DROP | |
MAMDA_BOOK_REASON_MISC | |
MAMDA_BOOK_REASON_UNKNOWN |
An enumeration for the type of level.
"Limit" level orders are set at a specific price. "Market" level orders are set at the current market price.
Enumerator | |
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MAMDA_BOOK_LEVEL_LIMIT | |
MAMDA_BOOK_LEVEL_MARKET | |
MAMDA_BOOK_LEVEL_UNKNOWN |