OpenMAMA
Wombat::MamdaOrderBookTypes Class Reference

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...
 

Detailed Description

MamdaOrderBookTypes is a class that provides order book related typed.

Member Enumeration Documentation

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
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.

45  {
46  MAMDA_BOOK_ACTION_ADD = 'A',
50  };
A new price level.
Definition: MamdaOrderBookTypes.h:47
A deleted price level.
Definition: MamdaOrderBookTypes.h:49
An updated price level.
Definition: MamdaOrderBookTypes.h:48
Definition: MamdaOrderBookTypes.h:46

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
MAMDA_BOOK_SIDE_BID 
MAMDA_BOOK_SIDE_ASK 

A bid (buy) order.

MAMDA_BOOK_SIDE_UNKNOWN 

An ask (sell) order.

58  {
59  MAMDA_BOOK_SIDE_BID = 'B',
60  MAMDA_BOOK_SIDE_ASK = 'A',
62  };
A bid (buy) order.
Definition: MamdaOrderBookTypes.h:60
Definition: MamdaOrderBookTypes.h:59
An ask (sell) order.
Definition: MamdaOrderBookTypes.h:61

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
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 
74  {
79  MAMDA_BOOK_REASON_DROP = 'N', // dropped out of top-N
82  };
Definition: MamdaOrderBookTypes.h:79
Definition: MamdaOrderBookTypes.h:77
Definition: MamdaOrderBookTypes.h:81
Definition: MamdaOrderBookTypes.h:78
Definition: MamdaOrderBookTypes.h:80
Definition: MamdaOrderBookTypes.h:75
Definition: MamdaOrderBookTypes.h:76

An enumertation for property msg types.

They can either be an update or a recap. If the field is not present, uptdate is implied.

Enumerator
MAMDA_PROP_MSG_TYPE_UPDATE 
MAMDA_PROP_MSG_TYPE_RECAP 
89  {
92  };
Definition: MamdaOrderBookTypes.h:91

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
MAMDA_BOOK_LEVEL_LIMIT 
MAMDA_BOOK_LEVEL_MARKET 
MAMDA_BOOK_LEVEL_UNKNOWN 
99  {
103  };
Definition: MamdaOrderBookTypes.h:102
Definition: MamdaOrderBookTypes.h:101
Definition: MamdaOrderBookTypes.h:100

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


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