dxfcpp::AnalyticOrder Class Reference

Represents an extension of Order introducing analytic information, e.g. More...

#include <AnalyticOrder.hpp>

Inheritance diagram for dxfcpp::AnalyticOrder:

Public Types
using	Ptr = std::shared_ptr<AnalyticOrder>
	The alias to a type of shared pointer to the AnalyticOrder object.
using	Unique = std::unique_ptr<AnalyticOrder>
	The alias to a type of unique pointer to the AnalyticOrder object.
Public Types inherited from dxfcpp::Order
using	Ptr = std::shared_ptr<Order>
	The alias to a type of shared pointer to the Order object.
using	Unique = std::unique_ptr<Order>
	The alias to a type of unique pointer to the Order object.
Public Types inherited from dxfcpp::MarketEvent
using	Ptr = std::shared_ptr<MarketEvent>
	The alias to a type of shared pointer to the MarketEvent object.
Public Types inherited from dxfcpp::EventTypeWithSymbol< std::string >
using	Ptr
	The alias to a type of shared pointer to the EventTypeWithSymbol's child object.
Public Types inherited from dxfcpp::EventType
using	Ptr = std::shared_ptr<EventType>
	The alias to a type of shared pointer to the EventType object.
Public Types inherited from dxfcpp::SharedEntity
using	Ptr = std::shared_ptr<SharedEntity>
	The alias to a type of shared pointer to the SharedEntity object.
Public Types inherited from dxfcpp::IndexedEvent
using	Ptr = std::shared_ptr<IndexedEvent>
	The alias to a type of shared pointer to the IndexedEvent object.

Public Member Functions
void *	toGraal () const noexcept override
	Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).
	AnalyticOrder () noexcept=default
	Creates new analytic order event with default values.
	AnalyticOrder (std::string eventSymbol) noexcept
	Creates new analytic order event with the specified event symbol.
AnalyticOrder &	withEventSymbol (const std::string &eventSymbol) noexcept override
	Changes event's symbol and returns the current analytic order.
AnalyticOrder::Ptr	withEventSymbolShared (const std::string &eventSymbol) noexcept
	Changes event's symbol and returns a shared pointer to the current analytic order.
double	getIcebergPeakSize () const noexcept
	Returns iceberg peak size of this analytic order.
void	setIcebergPeakSize (double icebergPeakSize) noexcept
	Changes iceberg peak size of this analytic order.
double	getIcebergHiddenSize () const noexcept
	Returns iceberg hidden size of this analytic order.
void	setIcebergHiddenSize (double icebergHiddenSize) noexcept
	Changes iceberg hidden size of this analytic order.
double	getIcebergExecutedSize () const noexcept
	Returns iceberg executed size of this analytic order.
void	setIcebergExecutedSize (double icebergExecutedSize) noexcept
	Changes iceberg executed size of this analytic order.
const IcebergType &	getIcebergType () const &noexcept
	Returns iceberg type of this analytic order.
void	setIcebergType (const IcebergType &icebergType) noexcept
	Changes iceberg type of this analytic order.
std::string	toString () const noexcept override
	Returns a string representation of the current object.
Public Member Functions inherited from dxfcpp::Order
void *	toGraal () const noexcept override
	Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).
	Order () noexcept=default
	Creates new order event with default values.
	Order (std::string eventSymbol) noexcept
	Creates new order event with the specified event symbol.
Order::Ptr	withEventSymbolShared (const std::string &eventSymbol) noexcept
	Changes event's symbol and returns a shared pointer to the current order.
Order &	withEventTime (std::int64_t eventTime) noexcept
	Changes event's creation time and returns the current order.
Order::Ptr	withEventTimeShared (std::int64_t eventTime) noexcept
	Changes event's creation time and returns a shared pointer to the current order.
Order &	withSource (const OrderSource &source) noexcept
	Changes event's source and returns the current order.
Order::Ptr	withSourceShared (const OrderSource &source) noexcept
	Changes event's source and returns a shared pointer to the current order.
Order &	withEventFlags (std::int32_t eventFlags) noexcept
	Changes transactional event flags and returns the current order.
Order::Ptr	withEventFlagsShared (std::int32_t eventFlags) noexcept
	Changes transactional event flags and returns a shared pointer to the current order.
Order &	withEventFlags (const EventFlagsMask &eventFlags) noexcept
	Changes transactional event flags and returns the current order.
Order::Ptr	withEventFlagsShared (const EventFlagsMask &eventFlags) noexcept
	Changes transactional event flags and returns a shared pointer to the current order.
Order &	withIndex (std::int64_t index) noexcept
	Changes unique per-symbol index of this order and returns it.
Order::Ptr	withIndexShared (std::int64_t index) noexcept
	Changes unique per-symbol index of this order and returns a shared pointer to it.
Order &	withTime (std::int64_t time) noexcept
	Changes time of this order and returns it.
Order::Ptr	withTimeShared (std::int64_t time) noexcept
	Changes time of this order and returns a shared pointer to it.
Order &	withTimeNanoPart (std::int32_t timeNanoPart) noexcept
	Changes microseconds and nanoseconds time part of this order.
Order::Ptr	withTimeNanoPartShared (std::int32_t timeNanoPart) noexcept
	Changes microseconds and nanoseconds time part of this order.
Order &	withSequence (std::int32_t sequence) noexcept
	Changes sequence number of this order.
Order::Ptr	withSequenceShared (std::int32_t sequence) noexcept
	Changes sequence number of this order.
Order &	withTimeNanos (std::int64_t timeNanos) noexcept
	Changes time of this order and returns it.
Order::Ptr	withTimeNanosShared (std::int64_t timeNanos) noexcept
	Changes time of this order.
Order &	withAction (const OrderAction &action) noexcept
	Changes action of this order and returns it.
Order::Ptr	withActionShared (const OrderAction &action) noexcept
	Changes action of this order.
Order &	withActionTime (std::int64_t actionTime) noexcept
	Changes time of the last action and returns current order.
Order::Ptr	withActionTimeShared (std::int64_t actionTime) noexcept
	Changes time of the last action and returns a shared pointer to the current order.
Order &	withOrderId (std::int64_t orderId) noexcept
	Changes order ID.
Order::Ptr	withOrderIdShared (std::int64_t orderId) noexcept
	Changes order ID.
Order &	withAuxOrderId (std::int64_t auxOrderId) noexcept
	Changes auxiliary order ID.
Order::Ptr	withAuxOrderIdShared (std::int64_t auxOrderId) noexcept
	Changes auxiliary order ID.
Order &	withPrice (double price) noexcept
	Changes price of this order.
Order::Ptr	withPriceShared (double price) noexcept
	Changes price of this order.
Order &	withSize (double size) noexcept
	Changes size of this order.
Order::Ptr	withSizeShared (double size) noexcept
	Changes size of this order.
Order &	withExecutedSize (double executedSize) noexcept
	Changes executed size of this order.
Order::Ptr	withExecutedSizeShared (double executedSize) noexcept
	Changes executed size of this order.
Order &	withCount (std::int64_t count) noexcept
	Changes number of individual orders in this aggregate order.
Order::Ptr	withCountShared (std::int64_t count) noexcept
	Changes number of individual orders in this aggregate order.
Order &	withTradeId (std::int64_t tradeId) noexcept
	Changes trade ID.
Order::Ptr	withTradeShared (std::int64_t tradeId) noexcept
	Changes trade ID.
Order &	withTradePrice (double tradePrice) noexcept
	Changes trade price.
Order::Ptr	withTradePriceShared (double tradePrice) noexcept
	Changes trade price.
Order &	withTradeSize (double tradeSize) noexcept
	Changes trade size.
Order::Ptr	withTradeSizeShared (double tradeSize) noexcept
	Changes trade size.
Order &	withExchangeCode (char exchangeCode) noexcept
	Changes exchange code of this order.
Order::Ptr	withExchangeCodeShared (char exchangeCode) noexcept
	Changes exchange code of this order.
Order &	withExchangeCode (std::int16_t exchangeCode) noexcept
	Changes exchange code of this order.
Order::Ptr	withExchangeCodeShared (std::int16_t exchangeCode) noexcept
	Changes exchange code of this order.
Order &	withOrderSide (const Side &side) noexcept
	Changes side of this order.
Order::Ptr	withOrderSideShared (const Side &side) noexcept
	Changes side of this order.
Order &	withScope (const Scope &scope) noexcept
	Changes scope of this order.
Order::Ptr	withScopeShared (const Scope &scope) noexcept
	Changes scope of this order.
const std::string &	getMarketMaker () const &noexcept
	Returns market maker or other aggregate identifier of this order.
const std::optional< std::string > &	getMarketMakerOpt () const &noexcept
	Returns market maker or other aggregate identifier of this order.
void	setMarketMaker (std::string marketMaker) noexcept
	Changes market maker or other aggregate identifier of this order.
Order &	withMarketMaker (std::string marketMaker) noexcept
	Changes market maker or other aggregate identifier of this order.
Order::Ptr	withMarketMakerShared (std::string marketMaker) noexcept
	Changes market maker or other aggregate identifier of this order.
std::string	toString () const noexcept override
	Returns a string representation of the current object.
Public Member Functions inherited from dxfcpp::OrderBase
	OrderBase () noexcept=default
	Creates new order event with default values.
	OrderBase (std::string eventSymbol) noexcept
	Creates new order event with the specified event symbol.
const OrderSource &	getSource () const &noexcept override
	Returns source of this event.
void	setSource (const OrderSource &source) noexcept
	Changes source of this event.
std::int32_t	getEventFlags () const noexcept override
	Returns transactional event flags.
EventFlagsMask	getEventFlagsMask () const noexcept override
	Returns transactional event flags.
void	setEventFlags (std::int32_t eventFlags) noexcept override
	Changes transactional event flags.
void	setEventFlags (const EventFlagsMask &eventFlags) noexcept override
	Changes transactional event flags.
void	setIndex (std::int64_t index) noexcept override
	Changes unique per-symbol index of this order.
std::int64_t	getIndex () const noexcept override
	Returns unique per-symbol index of this order.
std::int64_t	getTimeSequence () const noexcept
	Returns time and sequence of this order packaged into single long value.
void	setTimeSequence (std::int64_t timeSequence) noexcept
	Changes time and sequence of this order.
std::int64_t	getTime () const noexcept
	Returns time of this order.
void	setTime (std::int64_t time) noexcept
	Changes time of this order.
void	setTimeNanoPart (std::int32_t timeNanoPart) noexcept
	Changes microseconds and nanoseconds time part of this order.
std::int32_t	getTimeNanoPart () const noexcept
	Returns microseconds and nanoseconds time part of this order.
std::int32_t	getSequence () const noexcept
	Returns sequence number of this order to distinguish orders that have the same time.
void	setSequence (std::int32_t sequence) noexcept
	Changes sequence number of this order.
std::int64_t	getTimeNanos () const noexcept
	Returns time of this order in nanoseconds.
void	setTimeNanos (std::int64_t timeNanos) noexcept
	Changes time of this order.
const OrderAction &	getAction () const &noexcept
	Returns order action if available, otherwise - OrderAction::UNDEFINED.
void	setAction (const OrderAction &action) noexcept
	Changes action of this order.
std::int64_t	getActionTime () const noexcept
	Returns time of the last action.
void	setActionTime (std::int64_t actionTime) noexcept
	Changes time of the last action.
std::int64_t	getOrderId () const noexcept
	Returns order ID if available.
void	setOrderId (std::int64_t orderId) noexcept
	Changes order ID.
std::int64_t	getAuxOrderId () const noexcept
	Returns auxiliary order ID if available:
void	setAuxOrderId (std::int64_t auxOrderId) noexcept
	Changes auxiliary order ID.
double	getPrice () const noexcept
	Returns price of this order.
void	setPrice (double price) noexcept
	Changes price of this order.
double	getSize () const noexcept
	Returns size of this order.
void	setSize (double size) noexcept
	Changes size of this order.
bool	hasSize () const noexcept
	Returns true if this order has some size (sizeAsDouble is neither 0 nor NaN).
double	getExecutedSize () const noexcept
	Returns executed size of this order.
void	setExecutedSize (double executedSize) noexcept
	Changes executed size of this order.
std::int64_t	getCount () const noexcept
	Returns number of individual orders in this aggregate order.
void	setCount (std::int64_t count) noexcept
	Changes number of individual orders in this aggregate order.
std::int64_t	getTradeId () const noexcept
	Returns trade (order execution) ID for events containing trade-related action.
void	setTradeId (std::int64_t tradeId) noexcept
	Changes trade ID.
double	getTradePrice () const noexcept
	Returns trade price for events containing trade-related action.
void	setTradePrice (double tradePrice) noexcept
	Changes trade price.
double	getTradeSize () const noexcept
	Returns trade size for events containing trade-related action.
void	setTradeSize (double tradeSize) noexcept
	Changes trade size.
std::int16_t	getExchangeCode () const noexcept
	Returns exchange code of this order.
std::string	getExchangeCodeString () const noexcept
	Returns exchange code of this order as UTF8 string.
void	setExchangeCode (char exchangeCode) noexcept
	Changes exchange code of this order.
void	setExchangeCode (std::int16_t exchangeCode) noexcept
	Changes exchange code of this order.
const Side &	getOrderSide () const &noexcept
	Returns side of this order.
void	setOrderSide (const Side &side) noexcept
	Changes side of this order.
const Scope &	getScope () const &noexcept
	Returns scope of this order.
void	setScope (const Scope &scope) noexcept
	Changes scope of this order.
std::string	baseFieldsToString () const noexcept
	Returns string representation of this order event's fields.
Public Member Functions inherited from dxfcpp::MarketEvent
const std::string &	getEventSymbol () const &noexcept override
	Returns symbol of this event.
const std::optional< std::string > &	getEventSymbolOpt () const &noexcept override
	Returns symbol of this event.
void	setEventSymbol (const std::string &eventSymbol) noexcept override
	Changes symbol of this event.
std::int64_t	getEventTime () const noexcept override
	Returns time when event was created or zero when time is not available.
void	setEventTime (std::int64_t eventTime) noexcept override
	Changes event creation time.
Public Member Functions inherited from dxfcpp::SharedEntity
template<typename T >
bool	is () const noexcept
	Checks that pointer to the current type could be converted to type T* In other words: whether type T belongs to the type hierarchy in which the current type resides.
template<typename T >
std::shared_ptr< T >	sharedAs () noexcept
	Returns a pointer to the current object wrapped in a smart pointer to type T.
template<typename T >
std::shared_ptr< T >	sharedAs () const noexcept
	Returns a pointer to the current object wrapped in a smart pointer to type T.
Public Member Functions inherited from dxfcpp::Entity
virtual	~Entity () noexcept=default
	The default virtual d-tor.

Static Public Member Functions
static void	freeGraal (void *graalNative) noexcept
	Releases the memory occupied by the dxFeed Graal SDK structure (recursively if necessary).
Static Public Member Functions inherited from dxfcpp::Order
static void	freeGraal (void *graalNative) noexcept
	Releases the memory occupied by the dxFeed Graal SDK structure (recursively if necessary).

Static Public Attributes
static const EventTypeEnum &	TYPE = EventTypeEnum::ANALYTIC_ORDER
	Type identifier and additional information about the current event class.
Static Public Attributes inherited from dxfcpp::Order
static const EventTypeEnum &	TYPE = EventTypeEnum::ORDER
	Type identifier and additional information about the current event class.
Static Public Attributes inherited from dxfcpp::OrderBase
static constexpr std::uint32_t	MAX_SEQUENCE = (1U << 22U) - 1U
	Maximum allowed sequence value.
Static Public Attributes inherited from dxfcpp::IndexedEvent
static const EventFlag	TX_PENDING = EventFlag::TX_PENDING
	0x01 - A bitmask to get transaction pending indicator from the value of eventFlags property.
static const EventFlag	REMOVE_EVENT = EventFlag::REMOVE_EVENT
	0x02 - A bitmask to get removal indicator from the value of eventFlags property.
static const EventFlag	SNAPSHOT_BEGIN = EventFlag::SNAPSHOT_BEGIN
	0x04 - A bitmask to get snapshot begin indicator from the value of eventFlags property.
static const EventFlag	SNAPSHOT_END = EventFlag::SNAPSHOT_END
	0x08 - A bitmask to get snapshot end indicator from the value of eventFlags property.
static const EventFlag	SNAPSHOT_SNIP = EventFlag::SNAPSHOT_SNIP
	0x10 - A bitmask to get snapshot snip indicator from the value of eventFlags property.
static const EventFlag	SNAPSHOT_MODE = EventFlag::SNAPSHOT_MODE
	0x40 - A bitmask to set snapshot mode indicator into the value of eventFlags property.

Additional Inherited Members
Protected Member Functions inherited from dxfcpp::MarketEvent
	MarketEvent (std::string eventSymbol) noexcept
	Protected constructor for concrete implementation classes that initializes eventSymbol property.

Detailed Description

Represents an extension of Order introducing analytic information, e.g.

adding to this order iceberg related information (icebergPeakSize, icebergHiddenSize, icebergExecutedSize). The collection of analytic order events of a symbol represents the most recent analytic information that is available about orders on the market at any given moment of time.

Analytic order is similar to a regular Order. In addition this event has few additional properties:

• icebergPeakSize - the size of the peak, i.e. the visible part of the iceberg, that is being continually refilled until the order is fully traded or cancelled;
• icebergHiddenSize - the prediction of current hidden size of the iceberg, as inferred by the model;
• icebergExecutedSize - the executed size of the iceberg order. For IcebergType::SYNTHETIC type represents total executed size of all orders composing current iceberg;
• AnalyticOrder::getIcebergType() - type of the iceberg, either native (exchange-managed) or synthetic (managed outside of the exchange).

Implementation details

This event is implemented on top of QDS records AnalyticOrder#<source-id>, where <source-id> is up to 4 ASCII characters with a mnemonic for the source like "GLBX".

Constructor & Destructor Documentation

AnalyticOrder()

dxfcpp::AnalyticOrder::AnalyticOrder ( std::string eventSymbol )

inlineexplicitnoexcept

Creates new analytic order event with the specified event symbol.

Parameters

eventSymbol

The event symbol.

Member Function Documentation

freeGraal()

void dxfcpp::AnalyticOrder::freeGraal ( void * graalNative )

staticnoexcept

Releases the memory occupied by the dxFeed Graal SDK structure (recursively if necessary).

Parameters

graalNative

The pointer to the dxFeed Graal SDK structure.

getIcebergExecutedSize()

double dxfcpp::AnalyticOrder::getIcebergExecutedSize ( ) const

inlinenoexcept

Returns iceberg executed size of this analytic order.

Returns

iceberg executed size of this analytic order.

getIcebergHiddenSize()

double dxfcpp::AnalyticOrder::getIcebergHiddenSize ( ) const

inlinenoexcept

Returns iceberg hidden size of this analytic order.

Returns

iceberg hidden size of this analytic order.

getIcebergPeakSize()

double dxfcpp::AnalyticOrder::getIcebergPeakSize ( ) const

inlinenoexcept

Returns iceberg peak size of this analytic order.

Returns

iceberg peak size of this analytic order.

getIcebergType()

const IcebergType & dxfcpp::AnalyticOrder::getIcebergType ( ) const &

inlinenoexcept

Returns iceberg type of this analytic order.

Returns

iceberg type of this analytic order.

setIcebergExecutedSize()

void dxfcpp::AnalyticOrder::setIcebergExecutedSize ( double icebergExecutedSize )

inlinenoexcept

Changes iceberg executed size of this analytic order.

Parameters

icebergExecutedSize

iceberg executed size of this analytic order.

setIcebergHiddenSize()

void dxfcpp::AnalyticOrder::setIcebergHiddenSize ( double icebergHiddenSize )

inlinenoexcept

Changes iceberg hidden size of this analytic order.

Parameters

icebergHiddenSize

iceberg hidden size of this analytic order.

setIcebergPeakSize()

void dxfcpp::AnalyticOrder::setIcebergPeakSize ( double icebergPeakSize )

inlinenoexcept

Changes iceberg peak size of this analytic order.

Parameters

icebergPeakSize

iceberg peak size of this analytic order.

setIcebergType()

void dxfcpp::AnalyticOrder::setIcebergType ( const IcebergType & icebergType )

inlinenoexcept

Changes iceberg type of this analytic order.

Parameters

icebergType

iceberg type of this analytic order.

toGraal()

void * dxfcpp::AnalyticOrder::toGraal ( ) const

overridevirtualnoexcept

Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).

Fills the dxFeed Graal SDK structure's fields by the data of the current entity (recursively if necessary). Returns the pointer to the filled structure.

Returns

The pointer to the filled dxFeed Graal SDK structure

Implements dxfcpp::EventType.

toString()

std::string dxfcpp::AnalyticOrder::toString ( ) const

overridevirtualnoexcept

Returns a string representation of the current object.

Returns

a string representation

Reimplemented from dxfcpp::SharedEntity.

withEventSymbol()

AnalyticOrder & dxfcpp::AnalyticOrder::withEventSymbol ( const std::string & eventSymbol )

inlineoverridevirtualnoexcept

Changes event's symbol and returns the current analytic order.

Parameters

eventSymbol

The symbol of this event.

Returns

The current analytic order.

Reimplemented from dxfcpp::Order.

withEventSymbolShared()

AnalyticOrder::Ptr dxfcpp::AnalyticOrder::withEventSymbolShared ( const std::string & eventSymbol )

inlinenoexcept

Changes event's symbol and returns a shared pointer to the current analytic order.

Warning

Please do not use this method unless the object was created with std::shared_ptr<Order>(new Order(...)) or std::make_shared<Order>(...)

Parameters

eventSymbol

The symbol of this event.

Returns

A shared pointer to the current order.