Base class for common fields of Order, AnalyticOrder and SpreadOrder events. More...

#include <OrderBase.hpp>

Inheritance diagram for OrderBase:

Public Member Functions
	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) 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)
	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)
	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 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 EventType
virtual void *	toGraal () const =0
	Allocates memory for the dxFeed Graal SDK structure (recursively if necessary).

std::string	toString () const noexcept override
	Returns a string representation of the current object.

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 Attributes
static constexpr std::uint32_t	MAX_SEQUENCE = (1U << 22U) - 1U
	Maximum allowed sequence value.

Static Public Attributes inherited from 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
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 IndexedEvent
using	Ptr = std::shared_ptr<IndexedEvent>
	The alias to a type of shared pointer to the IndexedEvent object.

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

Detailed Description

Base class for common fields of Order, AnalyticOrder and SpreadOrder events.

Order events represent a snapshot for a full available market depth for a symbol. The collection of order events of a symbol represents the most recent information that is available about orders on the market at any given moment of time.

Order event represents market depth for a specific symbol.

AnalyticOrder event represents market depth for a specific symbol extended with an analytic information, for example, whether particular order represent an iceberg or not.

SpreadOrder event represents market depth for all spreads on a given underlying symbol.

Order events arrive from multiple sources for the same market symbol and are distinguished by their index. Index is a unique per symbol identifier of the event. It is unique across all the sources of depth information for the symbol. The event with size either 0 or NaN is a signal to remove previously received order for the corresponding index. The method hasSize is a convenient method to test for size presence.

Event flags, transactions and snapshots

Some order event sources provide a consistent view of the price-level or detailed order book. Their updates may incorporate multiple changes to price levels or to individual orders that have to be processed at the same time. The corresponding information is carried in eventFlags property. The logic behind this property is detailed in IndexedEvent class documentation.

The event source identifier for an order is a part of the unique event index. It occupies highest bits of the index (index is not-negative). The lowest bits of index contain source-specific event index which is always zero in an event that is marked with EventFlag::SNAPSHOT_END bit in eventFlags.

Note that for an order with EventFlag::REMOVE_EVENT bit in eventFlags it is always the case that size is either 0 or NaN, so no additional logic to process this bit is required for orders. Transactions and snapshots may include orders with size of 0. The filtering that distinguishes those events as removals of orders shall be performed after all transactions and snapshot processing.

Some aggregated feeds (like CME market depth) are mapped into two distinct source ids (one for buy orders and one for sell orders), but updates and transactions may span both. It is important to keep a separate track of transactional state for each source id, but, at the same time, when DXFeedEventListener::eventsReceived() method is called for a list of events, the order book shall be considered complete and consistent only when all events from the given list are processed.

Constructor & Destructor Documentation

◆ OrderBase()

OrderBase::OrderBase ( std::string eventSymbol )

inlineexplicitnoexcept

Creates new order event with the specified event symbol.

Parameters

eventSymbol The event symbol.

Member Function Documentation

◆ baseFieldsToString()

std::string OrderBase::baseFieldsToString ( ) const

noexcept

Returns string representation of this order event's fields.

Returns: string representation of this order event's fields.

◆ getAction()

const OrderAction & OrderBase::getAction ( ) const &

inlinenoexcept

Returns order action if available, otherwise - OrderAction::UNDEFINED.

This field is a part of the FOB support.

Returns: order action or OrderAction::UNDEFINED.

◆ getActionTime()

std::int64_t OrderBase::getActionTime ( ) const

inlinenoexcept

Returns time of the last action.

This field is a part of the FOB support.

Returns: time of the last order action.

◆ getAuxOrderId()

std::int64_t OrderBase::getAuxOrderId ( ) const

inlinenoexcept

Returns auxiliary order ID if available:

in OrderAction::NEW - ID of the order replaced by this new order
in OrderAction::DELETE - ID of the order that replaces this deleted order
in OrderAction::PARTIAL - ID of the aggressor order
in OrderAction::EXECUTE - ID of the aggressor order

This field is a part of the FOB support.

Returns: auxiliary order ID or 0 if not available.

◆ getCount()

std::int64_t OrderBase::getCount ( ) const

inlinenoexcept

Returns number of individual orders in this aggregate order.

Returns: number of individual orders in this aggregate order.

◆ getEventFlags()

std::int32_t OrderBase::getEventFlags ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags.

Implements IndexedEvent.

◆ getEventFlagsMask()

EventFlagsMask OrderBase::getEventFlagsMask ( ) const

inlineoverridevirtualnoexcept

Returns transactional event flags.

See EventFlag "Event Flags" section.

Returns: The transactional event flags' mask.

Implements IndexedEvent.

◆ getExchangeCode()

std::int16_t OrderBase::getExchangeCode ( ) const

inlinenoexcept

Returns exchange code of this order.

Returns: exchange code of this order.

◆ getExchangeCodeString()

std::string OrderBase::getExchangeCodeString ( ) const

inlinenoexcept

Returns exchange code of this order as UTF8 string.

Returns: exchange code of this order as UTF8 string.

◆ getExecutedSize()

double OrderBase::getExecutedSize ( ) const

inlinenoexcept

Returns executed size of this order.

Returns: executed size of this order.

◆ getIndex()

std::int64_t OrderBase::getIndex ( ) const

inlineoverridevirtualnoexcept

Returns unique per-symbol index of this order.

Index is non-negative.

Returns: unique per-symbol index of this order.

Implements IndexedEvent.

◆ getOrderId()

std::int64_t OrderBase::getOrderId ( ) const

inlinenoexcept

Returns order ID if available.

Some actions (OrderAction::TRADE, OrderAction::BUST) have no order ID since they are not related to any order in Order book.

This field is a part of the FOB support.

Returns: order ID or 0 if not available.

◆ getOrderSide()

const Side & OrderBase::getOrderSide ( ) const &

inlinenoexcept

Returns side of this order.

Returns: side of this order.

◆ getPrice()

double OrderBase::getPrice ( ) const

inlinenoexcept

Returns price of this order.

Returns: price of this order.

◆ getScope()

const Scope & OrderBase::getScope ( ) const &

inlinenoexcept

Returns scope of this order.

Returns: scope of this order.

◆ getSequence()

std::int32_t OrderBase::getSequence ( ) const

inlinenoexcept

Returns sequence number of this order to distinguish orders that have the same time.

This sequence number does not have to be unique and does not need to be sequential. Sequence can range from 0 to OrderBase::MAX_SEQUENCE.

Returns: sequence of this order.

References MAX_SEQUENCE.

Referenced by setTime().

◆ getSize()

double OrderBase::getSize ( ) const

inlinenoexcept

Returns size of this order.

Returns: size of this order.

◆ getSource()

const OrderSource & OrderBase::getSource ( ) const &

inlineoverridevirtualnoexcept

Returns source of this event.

The source is stored in the highest bits of the index of this event.

Returns: source of this event.

Implements IndexedEvent.

◆ getTime()

std::int64_t OrderBase::getTime ( ) const

inlinenoexcept

Returns time of this order.

Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

Returns: time of this order.

Referenced by getTimeNanos().

◆ getTimeNanoPart()

std::int32_t OrderBase::getTimeNanoPart ( ) const

inlinenoexcept

Returns microseconds and nanoseconds time part of this order.

Returns: microseconds and nanoseconds time part of this order.

◆ getTimeNanos()

std::int64_t OrderBase::getTimeNanos ( ) const

inlinenoexcept

Returns time of this order in nanoseconds.

Time is measured in nanoseconds between the current time and midnight, January 1, 1970 UTC.

Returns: time of this order in nanoseconds

References getTime().

◆ getTimeSequence()

std::int64_t OrderBase::getTimeSequence ( ) const

inlinenoexcept

Returns time and sequence of this order packaged into single long value.

This method is intended for efficient order time priority comparison.

Returns: time and sequence of this order.

◆ getTradeId()

std::int64_t OrderBase::getTradeId ( ) const

inlinenoexcept

Returns trade (order execution) ID for events containing trade-related action.

This field is a part of the FOB support.

Returns: trade ID or 0 if not available.

◆ getTradePrice()

double OrderBase::getTradePrice ( ) const

inlinenoexcept

Returns trade price for events containing trade-related action.

This field is a part of the FOB support.

Returns: trade price of this action.

◆ getTradeSize()

double OrderBase::getTradeSize ( ) const

inlinenoexcept

Returns trade size for events containing trade-related action.

This field is a part of the FOB support.

Returns: trade size.

◆ hasSize()

bool OrderBase::hasSize ( ) const

inlinenoexcept

Returns true if this order has some size (sizeAsDouble is neither 0 nor NaN).

Returns: true if this order has some size (sizeAsDouble is neither 0 nor NaN).

◆ setAction()

void OrderBase::setAction ( const OrderAction & action )

inlinenoexcept

Changes action of this order.

Parameters

action The action of this order.

Referenced by Order::withAction(), and SpreadOrder::withAction().

◆ setActionTime()

void OrderBase::setActionTime ( std::int64_t actionTime )

inlinenoexcept

Changes time of the last action.

Parameters

actionTime last order action time.

Referenced by Order::withActionTime(), and SpreadOrder::withActionTime().

◆ setAuxOrderId()

void OrderBase::setAuxOrderId ( std::int64_t auxOrderId )

inlinenoexcept

Changes auxiliary order ID.

Parameters

auxOrderId auxiliary order ID.

Referenced by Order::withAuxOrderId(), and SpreadOrder::withAuxOrderId().

◆ setCount()

void OrderBase::setCount ( std::int64_t count )

inlinenoexcept

Changes number of individual orders in this aggregate order.

Parameters

count number of individual orders in this aggregate order.

Referenced by Order::withCount(), and SpreadOrder::withCount().

◆ setEventFlags() [1/2]

void OrderBase::setEventFlags ( const EventFlagsMask & eventFlags )

inlineoverridevirtualnoexcept

Changes transactional event flags.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags' mask.

Implements IndexedEvent.

References EventFlagsMask::getMask().

◆ setEventFlags() [2/2]

void OrderBase::setEventFlags ( std::int32_t eventFlags )

inlineoverridevirtualnoexcept

Changes transactional event flags.

See EventFlag "Event Flags" section.

Parameters

eventFlags transactional event flags.

Implements IndexedEvent.

◆ setExchangeCode() [1/2]

void OrderBase::setExchangeCode ( char exchangeCode )

inline

Changes exchange code of this order.

Parameters

exchangeCode exchange code of this order.

Referenced by setExchangeCode().

◆ setExchangeCode() [2/2]

void OrderBase::setExchangeCode ( std::int16_t exchangeCode )

inlinenoexcept

Changes exchange code of this order.

Parameters

exchangeCode exchange code of this order.

References setExchangeCode().

◆ setExecutedSize()

void OrderBase::setExecutedSize ( double executedSize )

inlinenoexcept

Changes executed size of this order.

Parameters

executedSize executed size of this order.

Referenced by Order::withExecutedSize(), and SpreadOrder::withExecutedSize().

◆ setIndex()

void OrderBase::setIndex ( std::int64_t index )

inlineoverridevirtual

Changes unique per-symbol index of this order.

Note, that this method also changes source, whose id occupies highest bits of index. Use OrderBase::setSource() after invocation of this method to set the desired value of source.

Parameters

index unique per-symbol index of this order.

Implements IndexedEvent.

Referenced by Order::withIndex(), and SpreadOrder::withIndex().

◆ setOrderId()

void OrderBase::setOrderId ( std::int64_t orderId )

inlinenoexcept

Changes order ID.

Parameters

orderId order ID.

Referenced by Order::withOrderId(), and SpreadOrder::withOrderId().

◆ setOrderSide()

void OrderBase::setOrderSide ( const Side & side )

inlinenoexcept

Changes side of this order.

Parameters

side	side of this order.

Referenced by Order::withOrderSide(), and SpreadOrder::withOrderSide().

◆ setPrice()

void OrderBase::setPrice ( double price )

inlinenoexcept

Changes price of this order.

Parameters

price price of this order.

Referenced by Order::withPrice(), and SpreadOrder::withPrice().

◆ setScope()

void OrderBase::setScope ( const Scope & scope )

inlinenoexcept

Changes scope of this order.

Parameters

scope scope of this order.

Referenced by Order::withScope(), and SpreadOrder::withScope().

◆ setSequence()

void OrderBase::setSequence ( std::int32_t sequence )

inline

Changes sequence number of this order.

Parameters

sequence the sequence.

See also: OrderBase::getSequence()

References MAX_SEQUENCE.

Referenced by Order::withSequence(), and SpreadOrder::withSequence().

◆ setSize()

void OrderBase::setSize ( double size )

inlinenoexcept

Changes size of this order.

Parameters

size	size of this order.

Referenced by Order::withSize(), and SpreadOrder::withSize().

◆ setSource()

void OrderBase::setSource ( const OrderSource & source )

inlinenoexcept

Changes source of this event.

This method changes highest bits of the index of this event.

Parameters

source source of this event.

References IndexedEventSource::id(), and OrderSource::isSpecialSourceId().

Referenced by Order::withSource(), and SpreadOrder::withSource().

◆ setTime()

void OrderBase::setTime ( std::int64_t time )

inlinenoexcept

Changes time of this order.

Time is measured in milliseconds between the current time and midnight, January 1, 1970 UTC.

Parameters

time	time of this order.

References getSequence().

Referenced by setTimeNanos(), Order::withTime(), and SpreadOrder::withTime().

◆ setTimeNanoPart()

void OrderBase::setTimeNanoPart ( std::int32_t timeNanoPart )

inlinenoexcept

Changes microseconds and nanoseconds time part of this order.

Parameters

timeNanoPart microseconds and nanoseconds time part of this order.

Referenced by Order::withTimeNanoPart(), and SpreadOrder::withTimeNanoPart().

◆ setTimeNanos()

void OrderBase::setTimeNanos ( std::int64_t timeNanos )

inlinenoexcept

Changes time of this order.

Time is measured in nanoseconds between the current time and midnight, January 1, 1970 UTC.

Parameters

timeNanos time of this order in nanoseconds.

References setTime().

Referenced by Order::withTimeNanos(), and SpreadOrder::withTimeNanos().

◆ setTimeSequence()

void OrderBase::setTimeSequence ( std::int64_t timeSequence )

inlinenoexcept

Changes time and sequence of this order.

Warning: Do not use this method directly. Change time and/or sequence.

Parameters

timeSequence the time and sequence.

See also: OrderBase::getTimeSequence()

◆ setTradeId()

void OrderBase::setTradeId ( std::int64_t tradeId )

inlinenoexcept

Changes trade ID.

Parameters

tradeId trade ID.

Referenced by Order::withTradeId(), and SpreadOrder::withTradeId().

◆ setTradePrice()

void OrderBase::setTradePrice ( double tradePrice )

inlinenoexcept

Changes trade price.

Parameters

tradePrice trade price.

Referenced by Order::withTradePrice(), and SpreadOrder::withTradePrice().

◆ setTradeSize()

void OrderBase::setTradeSize ( double tradeSize )

inlinenoexcept

Changes trade size.

Parameters

tradeSize trade size.

Referenced by Order::withTradeSize(), and SpreadOrder::withTradeSize().

Member Data Documentation

◆ MAX_SEQUENCE

std::uint32_t OrderBase::MAX_SEQUENCE = (1U << 22U) - 1U

staticconstexpr

Maximum allowed sequence value.

See also: OrderBase::setSequence()

Referenced by getSequence(), and setSequence().

Public Member Functions

Static Public Attributes

Additional Inherited Members

Detailed Description

Event flags, transactions and snapshots

Constructor & Destructor Documentation

◆ OrderBase()

Member Function Documentation

◆ baseFieldsToString()

◆ getAction()

◆ getActionTime()

◆ getAuxOrderId()

◆ getCount()

◆ getEventFlags()

◆ getEventFlagsMask()

◆ getExchangeCode()

◆ getExchangeCodeString()

◆ getExecutedSize()

◆ getIndex()

◆ getOrderId()

◆ getOrderSide()

◆ getPrice()

◆ getScope()

◆ getSequence()

◆ getSize()

◆ getSource()

◆ getTime()

◆ getTimeNanoPart()

◆ getTimeNanos()

◆ getTimeSequence()

◆ getTradeId()

◆ getTradePrice()

◆ getTradeSize()

◆ hasSize()

◆ setAction()

◆ setActionTime()

◆ setAuxOrderId()

◆ setCount()

◆ setEventFlags() [1/2]

◆ setEventFlags() [2/2]

◆ setExchangeCode() [1/2]

◆ setExchangeCode() [2/2]

◆ setExecutedSize()

◆ setIndex()

◆ setOrderId()

◆ setOrderSide()

◆ setPrice()

◆ setScope()

◆ setSequence()

◆ setSize()

◆ setSource()

◆ setTime()

◆ setTimeNanoPart()

◆ setTimeNanos()

◆ setTimeSequence()

◆ setTradeId()

◆ setTradePrice()

◆ setTradeSize()

Member Data Documentation

◆ MAX_SEQUENCE