TradeETH event is a snapshot of the price and size of the last trade during extended trading hours and the extended trading hours day volume and day turnover. More...

#include <TradeETH.hpp>

Inheritance diagram for dxfcpp::TradeETH:

Public Types
using	Ptr = std::shared_ptr<TradeETH>
	The alias to a type of shared pointer to the TradeETH object.

using	Unique = std::unique_ptr<TradeETH>
	The alias to a type of unique pointer to the TradeETH 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::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 noexcept override
	Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).

	TradeETH () noexcept=default
	Creates new trade event with default values.

	TradeETH (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 dxfcpp::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) noexcept
	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 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 Attributes
static const EventTypeEnum &	TYPE = EventTypeEnum::TRADE_ETH
	Type identifier and additional information about the current event class.

Static Public Attributes inherited from dxfcpp::TradeBase
static constexpr std::uint32_t	MAX_SEQUENCE = (1U << 22U) - 1U
	Maximum allowed sequence value.

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

TradeETH event is a snapshot of the price and size of the last trade during extended trading hours and the extended trading hours day volume and day turnover.

This event is defined only for symbols (typically stocks and ETFs) with a designated extended trading hours (ETH, pre market and post market trading sessions). It represents the most recent information that is available about ETH last trade on the market at any given moment of time.

Trading sessions

The TradeETH event defines last trade price as officially defined by the corresponding exchange for its extended trading hours (ETH). It also includes dayVolume and dayTurnover for the extended trading hours only of the trading day identified by dayId. This event is not defined for symbols that has no concept of ETH.

When the first trade of regular trading hours (RTH) happens, then TradeETH event is generated with extendedTradingHours property set to false. Afterwards, during RTH, TradeETH event is not updated and retains information about the last trade, volume and turnover of the pre market trading session.

When the first trade of extended trading hours (ETH) happens, then TradeETH event is generated with extendedTradingHours property set to true. Afterwards, during ETH, TradeETH event is updated on each trade with the last trade information from post market trading session and total volume and turnover of the pre and post market trading session (excluding the volume and turnover of a regular trading session).

Note, that during pre- and post-market sessions, Trade event also updates, but only its dayVolume and dayTurnover properties change to reflect the overall official volume and turnover as reported by exchanges. During post market trading session, exchanges may correct their official RTH last trading price, which results in the update to Trade event.

Volume and Turnover

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

Daily reset

Daily reset procedure that happens on a schedule during non-trading hours resets TradeETH 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 ETH trade until the next ETH trade happens.

The most recent last trade price

The most recent last trade price ("extended last price") in the market can be found by combining information from both Trade and TradeETH events using isExtendedTradingHours method to figure out which trading session had the most recent trade. The following piece of code finds the most recent last trade price from the given feed for a given symbol, assuming there is a subscription for both Trade and TradeETH events for the given symbol:


    auto trade = feed->getLastEvent(Trade::create(symbol));
    auto tradeEth = feed->getLastEvent(TradeETH::create(symbol));
    double extLast = tradeEth->isExtendedTradingHours() ?
tradeEth->getPrice() : trade->getPrice();

Note, that the above code works correctly for symbols that has no concept of ETH, too, because in this case the DXFeed::getLastEvent() leaves default values in TradeETH event properties, which means that extendedTradingHours flag is false and a regular Trade::getPrice() is used.

Implementation details

This event is implemented on top of QDS record TradeETH and TradeETH&X for regional exchange extended trade hours. extendedTradingHours property is internally represented as a last bit of the "Flags" field of the record. Regional records do not explicitly store a field for exchangeCode property.

Constructor & Destructor Documentation

◆ TradeETH()

dxfcpp::TradeETH::TradeETH ( std::string eventSymbol )

inlineexplicitnoexcept

Creates new trade event with the specified event symbol.

Parameters

eventSymbol The event symbol.

Member Function Documentation

◆ freeGraal()

void dxfcpp::TradeETH::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.

◆ toGraal()

void * dxfcpp::TradeETH::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::TradeETH::toString ( ) const

overridevirtualnoexcept

Returns a string representation of the current object.

Returns: a string representation

Reimplemented from dxfcpp::EventType.

Public Types

Public Member Functions

Static Public Member Functions

Static Public Attributes

Additional Inherited Members