Reconstructs auctions from the NOII and Cross Trade message stream. More...

#include <auctions.hpp>

Public Types
using	AuctionCallback = std::function< void(const Auction &)>

Public Member Functions
auto	set_auction_callback (AuctionCallback callback) -> void
	Installs the callback invoked for each reconstructed auction.

auto	process (const Message &message) -> void
	Processes one ITCH message, emitting an auction on each cross.

Detailed Description

Reconstructs auctions from the NOII and Cross Trade message stream.

Feed every message with process: NOII (I) messages update the latest imbalance state per security, and a Cross Trade (Q) finalizes an Auction using the executed cross price together with that stored imbalance context, which is delivered to the auction callback.

Definition at line 67 of file auctions.hpp.

Member Typedef Documentation

◆ AuctionCallback

using itch::analytics::AuctionTracker::AuctionCallback = std::function<void(const Auction&)>

Definition at line 69 of file auctions.hpp.

Member Function Documentation

◆ set_auction_callback()

auto itch::analytics::AuctionTracker::set_auction_callback ( AuctionCallback callback ) -> void

inline

Installs the callback invoked for each reconstructed auction.

Parameters

callback Function invoked with each Auction reconstructed from the stream.

Definition at line 74 of file auctions.hpp.

◆ process()

auto itch::analytics::AuctionTracker::process ( const Message & message ) -> void

inline

Processes one ITCH message, emitting an auction on each cross.

Parameters

message The ITCH message to process; only NOII and Cross Trade messages affect state.

Definition at line 82 of file auctions.hpp.

References itch::analytics::make_imbalance_info(), itch::STOCK_LEN, itch::analytics::Auction::timestamp, and itch::to_string().

The documentation for this class was generated from the following file:

auctions.hpp