OrderAction Struct Reference

Action enum for the Full Order Book (FOB) Orders. More...

#include <OrderAction.hpp>

Inherits Enum< Child, Code >.

Static Public Attributes
static const DXFCPP_EXPORT OrderAction	UNDEFINED {0, "UNDEFINED"}
	Default enum value for orders that do not support "Full Order Book" and for backward compatibility - action must be derived from other Order fields.
static const DXFCPP_EXPORT OrderAction	NEW {1, "NEW"}
	New Order is added to Order Book.
static const DXFCPP_EXPORT OrderAction	REPLACE {2, "REPLACE"}
	Order is modified and price-time-priority is not maintained (i.e.
static const DXFCPP_EXPORT OrderAction	MODIFY {3, "MODIFY"}
	Order is modified without changing its price-time-priority (usually due to partial cancel by user).
static const DXFCPP_EXPORT OrderAction	DELETE {4, "DELETE"}
	Order is fully canceled and removed from Order Book.
static const DXFCPP_EXPORT OrderAction	PARTIAL {5, "PARTIAL"}
	Size is changed (usually reduced) due to partial order execution.
static const DXFCPP_EXPORT OrderAction	EXECUTE {6, "EXECUTE"}
	Order is fully executed and removed from Order Book.
static const DXFCPP_EXPORT OrderAction	TRADE {7, "TRADE"}
	Non-Book Trade - this Trade not refers to any entry in Order Book.
static const DXFCPP_EXPORT OrderAction	BUST {8, "BUST"}
	Prior Trade/Order Execution bust.

Detailed Description

Action enum for the Full Order Book (FOB) Orders.

Action describes business meaning of the Order event: whether order was added or replaced, partially or fully executed, etc.

Member Data Documentation

BUST

const OrderAction OrderAction::BUST {8, "BUST"}

static

Prior Trade/Order Execution bust.

Order's size and price will be equals to 0.

Full Order Book fields:

• orderId - always empty
• tradeId - always present
• tradeSize and tradePrice - always empty

DELETE

const OrderAction OrderAction::DELETE {4, "DELETE"}

static

Order is fully canceled and removed from Order Book.

Order's size will be equal to 0.

Full Order Book fields:

• orderId - always present
• auxOrderId - ID of the new order replacing this order - if available.
• Trade fields will be empty

EXECUTE

const OrderAction OrderAction::EXECUTE {6, "EXECUTE"}

static

Order is fully executed and removed from Order Book.

Order's {Order::getSize() size} will be equals to 0.

Full Order Book fields:

• orderId - always present
• auxOrderId - aggressor order ID, if available
• tradeId - if available
• tradeSize and tradePrice - contain size and price of this execution - always present

MODIFY

const OrderAction OrderAction::MODIFY {3, "MODIFY"}

static

Order is modified without changing its price-time-priority (usually due to partial cancel by user).

Order's size will contain new updated size.

Full Order Book fields:

• orderId - always present
• Trade fields will be empty

NEW

const OrderAction OrderAction::NEW {1, "NEW"}

static

New Order is added to Order Book.

Full Order Book fields:

• orderId - always present
• auxOrderId - ID of the order replaced by this new order - if available.
• Trade fields will be empty

PARTIAL

const OrderAction OrderAction::PARTIAL {5, "PARTIAL"}

static

Size is changed (usually reduced) due to partial order execution.

Order's size will be updated to show current outstanding size.

Full Order Book fields:

• orderId - always present
• auxOrderId - aggressor order ID, if available
• tradeId - if available
• tradeSize and tradePrice - contain size and price of this execution

REPLACE

const OrderAction OrderAction::REPLACE {2, "REPLACE"}

static

Order is modified and price-time-priority is not maintained (i.e.

order has re-entered Order Book). Order symbol and side will remain the same.

Full Order Book fields:

• orderId - always present
• Trade fields will be empty

TRADE

const OrderAction OrderAction::TRADE {7, "TRADE"}

static

Non-Book Trade - this Trade not refers to any entry in Order Book.

Order's size and price will be equals to 0.

Full Order Book fields:

• orderId - always empty
• tradeId - if available
• tradeSize and tradePrice - contain size and price of this trade - always present

UNDEFINED

DXFCPP_BEGIN_NAMESPACE const OrderAction OrderAction::UNDEFINED {0, "UNDEFINED"}

static

Default enum value for orders that do not support "Full Order Book" and for backward compatibility - action must be derived from other Order fields.

All Full Order Book related fields for this action will be empty.