auctions.hpp File Reference

Reconstruction of Nasdaq auction (cross) events from the ITCH feed. More...

#include <array>
#include <cstdint>
#include <functional>
#include <string>
#include <string_view>
#include <unordered_map>
#include <utility>
#include <variant>
#include "itch/analytics/imbalance.hpp"
#include "itch/indicators.hpp"
#include "itch/messages.hpp"
#include "itch/price.hpp"

Include dependency graph for auctions.hpp:

Go to the source code of this file.

Classes
struct	itch::analytics::Auction
	A reconstructed auction (cross) event. More...
class	itch::analytics::AuctionTracker
	Reconstructs auctions from the NOII and Cross Trade message stream. More...

Namespaces
namespace	itch
namespace	itch::analytics

Functions
auto	itch::analytics::cross_type_name (char cross_type) -> std::string_view
	A human-readable description of a cross type code.

Detailed Description

Reconstruction of Nasdaq auction (cross) events from the ITCH feed.

Combines the Net Order Imbalance Indicator (NOII) messages leading up to a cross with the Cross Trade message that prints it, producing a single Auction record per opening, closing, halt, or IPO cross.

Author

Bertin Balouki SIMYELI

Definition in file auctions.hpp.