Trade Class Reference

Trade event is a snapshot of the price and size of the last trade during regular trading hours and an overall day volume and day turnover. More...

#include <Trade.hpp>

Inheritance diagram for Trade:

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

Public Member Functions
void *	toGraal () const override
	Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).
	Trade () noexcept=default
	Creates new trade event with default values.
	Trade (std::string eventSymbol) noexcept
	Creates new trade event with the specified event symbol.
std::string	toString () const noexcept override
	Returns a string representation of the current object.
Public Member Functions inherited from TradeBase
	TradeBase () noexcept=default
	Creates new trade event with default values.
	TradeBase (std::string eventSymbol) noexcept
	Creates new trade event with the specified event symbol.
std::int64_t	getTimeSequence () const noexcept
	Returns time and sequence of last trade packaged into single long value.
void	setTimeSequence (std::int64_t timeSequence) noexcept
	Changes time and sequence of last trade.
std::int64_t	getTime () const noexcept
	Returns time of the last trade.
void	setTime (std::int64_t time) noexcept
	Changes time of the last trade.
std::int64_t	getTimeNanos () const noexcept
	Returns time of the last trade in nanoseconds.
void	setTimeNanos (std::int64_t timeNanos) noexcept
	Changes time of the last trade.
void	setTimeNanoPart (std::int32_t timeNanoPart) noexcept
	Changes microseconds and nanoseconds time part of the last trade.
std::int32_t	getTimeNanoPart () const noexcept
	Returns microseconds and nanoseconds time part of the last trade.
std::int32_t	getSequence () const noexcept
	Returns sequence number of the last trade to distinguish trades that have the same time.
void	setSequence (std::int32_t sequence)
	Changes sequence number of the last trade.
std::int16_t	getExchangeCode () const noexcept
	Returns exchange code of the last trade.
std::string	getExchangeCodeString () const noexcept
	Returns exchange code of last trade as UTF8 string.
void	setExchangeCode (char exchangeCode) noexcept
	Changes exchange code of the last trade.
void	setExchangeCode (std::int16_t exchangeCode) noexcept
	Changes exchange code of the last trade.
double	getPrice () const noexcept
	Returns price of the last trade.
void	setPrice (double price) noexcept
	Changes price of the last trade.
double	getSize () const noexcept
	Returns size of the last trade as floating number with fractions.
void	setSize (double size) noexcept
	Changes size of the last trade as floating number with fractions.
std::int32_t	getDayId () const noexcept
	Returns identifier of the current trading day.
void	setDayId (std::int32_t dayId) noexcept
	Changes identifier of the current trading day.
double	getDayVolume () const noexcept
	Returns total volume traded for a day as floating number with fractions.
void	setDayVolume (double dayVolume) noexcept
	Changes total volume traded for a day as floating number with fractions.
double	getDayTurnover () const noexcept
	Returns total turnover traded for a day.
void	setDayTurnover (double dayTurnover) noexcept
	Changes total turnover traded for a day.
const Direction &	getTickDirection () const &noexcept
	Returns tick direction of the last trade.
void	setTickDirection (const Direction &direction) noexcept
	Changes tick direction of the last trade.
bool	isExtendedTradingHours () const noexcept
	Returns whether last trade was in extended trading hours.
void	setExtendedTradingHours (bool extendedTradingHours) noexcept
	Changes whether last trade was in extended trading hours.
double	getChange () const noexcept
	Returns change of the last trade.
void	setChange (double change) noexcept
	Changes change of the last trade.
std::string	baseFieldsToString () const noexcept
	Returns string representation of this trade event's fields.
Public Member Functions inherited from 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 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 Entity
virtual	~Entity () noexcept=default
	The default virtual d-tor.

Static Public Member Functions
static Ptr	fromGraal (void *graalNative)
	Creates an object of the current type and fills it with data from the the dxFeed Graal SDK structure.
static void	freeGraal (void *graalNative)
	Releases the memory occupied by the dxFeed Graal SDK structure (recursively if necessary).

Static Public Attributes
static const EventTypeEnum &	TYPE = EventTypeEnum::TRADE
	Type identifier and additional information about the current event class.
Static Public Attributes inherited from TradeBase
static constexpr std::uint32_t	MAX_SEQUENCE = (1U << 22U) - 1U
	Maximum allowed sequence value.

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

Detailed Description

Trade event is a snapshot of the price and size of the last trade during regular trading hours and an overall day volume and day turnover.

It represents the most recent information that is available about the regular last trade on the market at any given moment of time.

Trading sessions

The Trade event defines last trade price as officially defined by the corresponding exchange for its regular trading hours (RTH). It also include an official exchange dayVolume and dayTurnover for the whole trading day identified by dayId. So, Trade event captures all the official numbers that are typically reported by exchange.

Trades that happen in extended trading hours (ETH, pre-market and post-market trading sessions), which are typically defined for stocks and ETFs, do not update last trade time, exchangeCode, price, change, size, and tickDirection in the Trade event, but they do update dayVolume and dayTurnover.

During extended trading hours a TradeETH event is generated on each trade with its extendedTradingHours property set to true.

Volume and Turnover

The volume and turnover are included into the Trade event instead of Summary event, because both volume and turnover typically update with each trade. The dayId field identifies current trading day for which volume and turnover statistics are computed. This solution avoids generation of multiple events on each trade during regular trading hours. Summary event is generated during the trading day only when new highs or lows are reached or other properties change.

Note that one can compute volume-weighted average price (VWAP) for a day by this formula:
vwap = dayTurnover / dayVolume;

Daily reset

Daily reset procedure that happens on a schedule during non-trading hours resets Trade dayVolume and dayTurnover to math::NaN and sets dayId to the next trading day in preparation to the next day's pre-market trading session (or for regular trading if there is no pre-market) while leaving all other properties intact. They reflect information about the last known RTH trade until the next RTH trade happens.

Implementation details

This event is implemented on top of QDS records Trade and Trade&X for regional exchange trades. Regional records do not explicitly store a field for exchangeCode property.

Constructor & Destructor Documentation

Trade()

Trade::Trade ( std::string eventSymbol )

inlineexplicitnoexcept

Creates new trade event with the specified event symbol.

Parameters

eventSymbol

The event symbol.

Member Function Documentation

freeGraal()

void Trade::freeGraal ( void * graalNative )

static

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

Parameters

graalNative

The pointer to the dxFeed Graal SDK structure.

fromGraal()

std::shared_ptr< Trade > Trade::fromGraal ( void * graalNative )

static

Creates an object of the current type and fills it with data from the the dxFeed Graal SDK structure.

Parameters

graalNative

The pointer to the dxFeed Graal SDK structure.

Returns

The object of current type.

Exceptions

std::invalid_argument

toGraal()

void * Trade::toGraal ( ) const

overridevirtual

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 EventType.

toString()

std::string Trade::toString ( ) const

overridevirtualnoexcept

Returns a string representation of the current object.

Returns

a string representation

Reimplemented from EventType.