imbalance.hpp File Reference

Decoded view of Net Order Imbalance Indicator (NOII) messages. More...

#include <array>
#include <cstdint>
#include <string>
#include <string_view>
#include <utility>
#include "itch/indicators.hpp"
#include "itch/messages.hpp"
#include "itch/price.hpp"

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Classes
struct	itch::analytics::ImbalanceInfo
	A usable, decoded view of a Net Order Imbalance Indicator (I) message. More...

Namespaces
namespace	itch
namespace	itch::analytics

Functions
auto	itch::analytics::make_imbalance_info (const NOIIMessage &msg) -> ImbalanceInfo
	Builds an ImbalanceInfo from a raw NOII message.
auto	itch::analytics::imbalance_direction_name (char direction) -> std::string_view
	A human-readable description of an imbalance direction code.

Detailed Description

Decoded view of Net Order Imbalance Indicator (NOII) messages.

Wraps the raw NOII (I) message fields in ImbalanceInfo, using strong price types and a trimmed symbol, for use by auction reconstruction and other imbalance-aware analytics.

Author

Bertin Balouki SIMYELI

Definition in file imbalance.hpp.