itch Namespace Reference

Namespaces
namespace	analytics
namespace	book
namespace	detail
namespace	indicators
namespace	io
namespace	overlay
namespace	transport
namespace	utils
namespace	venue

Classes
struct	AddOrderMessage
	Add Order, No MPID Attribution (A): a new displayable order has been accepted and placed on the book. More...
struct	AddOrderMPIDAttributionMessage
	Add Order, With MPID Attribution (F): like Add Order, but attributed to a market participant. More...
class	BasicPrice
	A strongly typed fixed-point price carrying its own decimal scale. More...
struct	BrokenTradeMessage
	Broken Trade (B): a previously disseminated execution has been broken and should be removed from any trade record. More...
struct	CrossTradeMessage
	Cross Trade (Q): the result of a cross (opening, closing, halt/IPO cross) for a security. More...
struct	DLCRMessage
	Direct Listing with Capital Raise Price Discovery (O): price-discovery data for a Direct Listing with a Capital Raise (DLCR) security. More...
struct	IPOQuotingPeriodUpdateMessage
	IPO Quoting Period Update (K): the anticipated IPO quotation release time and price for a security. More...
class	LimitOrderBook
	Manages the state of a limit order book for a specific financial instrument. More...
struct	LULDAuctionCollarMessage
	LULD Auction Collar (J): the auction collar thresholds for a security in a Limit-Up Limit-Down trading pause. More...
struct	MarketParticipantPositionMessage
	Market Participant Position (L): a market participant's (market maker's) status in a security. More...
struct	MWCBDeclineLevelMessage
	MWCB Decline Level (V): the Market-Wide Circuit Breaker breach points for the day. More...
struct	MWCBStatusMessage
	MWCB Status (W): notification that a Market-Wide Circuit Breaker level has been breached. More...
struct	NOIIMessage
	Net Order Imbalance Indicator (I): the imbalance and price-discovery data disseminated during the opening and closing crosses. More...
struct	NonCrossTradeMessage
	Trade, Non-Cross (P): an execution of a non-displayable order. More...
struct	OperationalHaltMessage
	Operational Halt (h): an operational halt or resumption for a security on a specific market center. More...
struct	Order
	Represents a single resting order within the Limit Order Book. More...
struct	OrderCancelMessage
	Order Cancel (X): a partial cancellation reduced the shares of a resting order. More...
struct	OrderDeleteMessage
	Order Delete (D): a resting order was cancelled in its entirety and removed from the book. More...
struct	OrderExecutedMessage
	Order Executed (E): a resting order was executed in whole or in part at its display price. More...
struct	OrderExecutedWithPriceMessage
	Order Executed With Price (C): a resting order was executed at a price different from its display price (and may be non-printable). More...
struct	OrderReplaceMessage
	Order Replace (U): a resting order was replaced with a new order at a new reference number, size, and/or price (same side and security). More...
class	Parser
	A high-performance parser for the NASDAQ TotalView-ITCH 5.0 protocol. More...
struct	PriceLevel
	Represents a specific price node in the order book. More...
struct	RegSHOMessage
	Reg SHO Short Sale Price Test Restriction (Y): the Reg SHO short-sale restriction state for a security. More...
class	ReplayEngine
	Replays a parsed ITCH stream paced by message timestamps. More...
struct	RetailPriceImprovementIndicatorMessage
	Retail Price Improvement Indicator (N): the presence of retail price improvement interest on the bid, the offer, or both. More...
struct	StockDirectoryMessage
	Stock Directory (R): the trading and listing reference data for a security, disseminated at the start of each trading day. More...
struct	StockTradingActionMessage
	Stock Trading Action (H): a change in the trading status of a security (halted, paused, quotation-only, or trading). More...
struct	SystemEventMessage
	System Event (S): signals a market or data-feed handler event. More...
struct	Trade
	A single execution extracted from the feed (the "trade tape"). More...

Typedefs
using	Message = std::variant< SystemEventMessage, StockDirectoryMessage, StockTradingActionMessage, RegSHOMessage, MarketParticipantPositionMessage, MWCBDeclineLevelMessage, MWCBStatusMessage, IPOQuotingPeriodUpdateMessage, LULDAuctionCollarMessage, OperationalHaltMessage, AddOrderMessage, AddOrderMPIDAttributionMessage, OrderExecutedMessage, OrderExecutedWithPriceMessage, OrderCancelMessage, OrderDeleteMessage, OrderReplaceMessage, NonCrossTradeMessage, CrossTradeMessage, BrokenTradeMessage, NOIIMessage, RetailPriceImprovementIndicatorMessage, DLCRMessage >
	A variant able to hold any one of the ITCH 5.0 message structs.
using	OrderIt = std::list< std::shared_ptr< Order > >::iterator
	Iterator type for navigating the list of orders within a price level.
using	MessageCallback = std::function< void(const Message &)>
	The signature for the callback function used in streaming parse methods.
using	ErrorCallback = std::function< void(ParseError, char)>
	The signature for the optional diagnostics callback.
using	StandardPrice = BasicPrice< std::uint32_t, 4 >
	Price scale for every ITCH price field except MWCB decline levels.
using	MwcbPrice = BasicPrice< std::uint64_t, 8 >
	Price scale for MWCB decline-level prices (8 implied decimals).
using	TradeCallback = std::function< void(const Trade &)>
	Callback invoked for each extracted trade.
using	ItchTimePoint = std::chrono::sys_time< std::chrono::nanoseconds >
	A system-clock time point at nanosecond resolution.
using	RPIMsg = RetailPriceImprovementIndicatorMessage

Enumerations
enum class	ParseError { truncated , unknown_type , size_mismatch }
	Categories of recoverable problems encountered while framing a feed. More...

Functions
auto	encode_message (const Message &message) -> std::vector< std::byte >
	Encodes a message body and header without the 2-byte length prefix.
auto	encode_frame (const Message &message) -> std::vector< std::byte >
	Encodes a complete length-prefixed frame (2-byte big-endian length followed by the message bytes), ready to concatenate into a stream.
auto	to_string (const char *source, size_t size) -> std::string
	Converts a fixed-width character array to a string, trimming trailing spaces and NUL characters.
auto	print_impl (std::ostream &out, const SystemEventMessage &msg) -> void
	Per-message-type stream formatter family, used internally by print_message to dispatch to the correct overload for whichever alternative of Message it is given.
auto	print_impl (std::ostream &out, const StockDirectoryMessage &msg) -> void
auto	print_impl (std::ostream &out, const StockTradingActionMessage &msg) -> void
auto	print_impl (std::ostream &out, const RegSHOMessage &msg) -> void
auto	print_impl (std::ostream &out, const MarketParticipantPositionMessage &msg) -> void
auto	print_impl (std::ostream &out, const MWCBDeclineLevelMessage &msg) -> void
auto	print_impl (std::ostream &out, const MWCBStatusMessage &msg) -> void
auto	print_impl (std::ostream &out, const IPOQuotingPeriodUpdateMessage &msg) -> void
auto	print_impl (std::ostream &out, const LULDAuctionCollarMessage &msg) -> void
auto	print_impl (std::ostream &out, const OperationalHaltMessage &msg) -> void
auto	print_impl (std::ostream &out, const AddOrderMessage &msg) -> void
auto	print_impl (std::ostream &out, const AddOrderMPIDAttributionMessage &msg) -> void
auto	print_impl (std::ostream &out, const OrderExecutedMessage &msg) -> void
auto	print_impl (std::ostream &out, const OrderExecutedWithPriceMessage &msg) -> void
auto	print_impl (std::ostream &out, const OrderCancelMessage &msg) -> void
auto	print_impl (std::ostream &out, const OrderDeleteMessage &msg) -> void
auto	print_impl (std::ostream &out, const OrderReplaceMessage &msg) -> void
auto	print_impl (std::ostream &out, const NonCrossTradeMessage &msg) -> void
auto	print_impl (std::ostream &out, const CrossTradeMessage &msg) -> void
auto	print_impl (std::ostream &out, const BrokenTradeMessage &msg) -> void
auto	print_impl (std::ostream &out, const NOIIMessage &msg) -> void
auto	print_impl (std::ostream &out, const RetailPriceImprovementIndicatorMessage &msg) -> void
auto	print_impl (std::ostream &out, const DLCRMessage &msg) -> void
auto	print_message (std::ostream &out, const Message &msg) -> void
	Dispatches to the print_impl overload matching the active alternative of msg and writes its formatted representation to out.
auto	operator<< (std::ostream &out, const Message &msg) -> std::ostream &
	Streams a formatted representation of msg to out.
constexpr auto	make_price (std::uint32_t raw_value) noexcept -> StandardPrice
	Wraps a raw 4-decimal price value in the typed StandardPrice.
constexpr auto	make_mwcb_price (std::uint64_t raw_value) noexcept -> MwcbPrice
	Wraps a raw 8-decimal MWCB price value in the typed MwcbPrice.
constexpr auto	to_time_point (std::chrono::year_month_day session_date, std::uint64_t nanos_past_midnight) noexcept -> ItchTimePoint
	Combines a session date with an ITCH timestamp into a time point.
auto	format_timestamp (std::uint64_t nanos_past_midnight) -> std::string
	Formats a raw ITCH timestamp as a time-of-day string.
auto	format_time_point (std::chrono::year_month_day session_date, std::uint64_t nanos_past_midnight) -> std::string
	Formats a session date plus an ITCH timestamp as a full date-time.
auto	unpack_message (SystemEventMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (StockDirectoryMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (StockTradingActionMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (RegSHOMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (MarketParticipantPositionMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (MWCBDeclineLevelMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (MWCBStatusMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (IPOQuotingPeriodUpdateMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (LULDAuctionCollarMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (OperationalHaltMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (AddOrderMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (AddOrderMPIDAttributionMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (OrderExecutedMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (OrderExecutedWithPriceMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (OrderCancelMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (OrderDeleteMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (OrderReplaceMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (NonCrossTradeMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (CrossTradeMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (BrokenTradeMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (NOIIMessage &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (RPIMsg &msg, const char *buffer, size_t &offset) -> void
auto	unpack_message (DLCRMessage &msg, const char *buffer, size_t &offset) -> void
static auto	read_stream_into_buffer (std::istream &data) -> std::vector< char >

Variables
constexpr int	STOCK_LEN = 8
constexpr double	PRICE_DIVISOR = 10000.0
constexpr double	MWCB_PRICE_DIVISOR = 1.0E8
constexpr size_t	average_message_size = 20

Typedef Documentation

Message

using itch::Message = typedef std::variant< SystemEventMessage, StockDirectoryMessage, StockTradingActionMessage, RegSHOMessage, MarketParticipantPositionMessage, MWCBDeclineLevelMessage, MWCBStatusMessage, IPOQuotingPeriodUpdateMessage, LULDAuctionCollarMessage, OperationalHaltMessage, AddOrderMessage, AddOrderMPIDAttributionMessage, OrderExecutedMessage, OrderExecutedWithPriceMessage, OrderCancelMessage, OrderDeleteMessage, OrderReplaceMessage, NonCrossTradeMessage, CrossTradeMessage, BrokenTradeMessage, NOIIMessage, RetailPriceImprovementIndicatorMessage, DLCRMessage>

A variant able to hold any one of the ITCH 5.0 message structs.

The Message Type byte at the start of each frame identifies which struct is active. All alternatives share four common attributes: message_type (a single letter identifying the message), timestamp (nanoseconds past midnight), stock_locate (locate code identifying the security), and tracking_number (Nasdaq internal tracking number). For more details on each message type, see the documentation.

Note

Prices are integers fields supplied with an associated precision. When converted to a decimal format, prices are in fixed point format, where the precision defines the number of decimal places. For example, a field flagged as Price (4) has an implied 4 decimal places. The maximum value of price (4) in TotalView ITCH is 200,000.0000 (decimal, 77359400 hex). price_precision is 4 for all messages except MWCBDeclineLeveMessage where price_precision is 8.

Definition at line 460 of file messages.hpp.

OrderIt

using itch::OrderIt = typedef std::list<std::shared_ptr<Order> >::iterator

Iterator type for navigating the list of orders within a price level.

Definition at line 60 of file order_book.hpp.

MessageCallback

using itch::MessageCallback = typedef std::function<void(const Message&)>

The signature for the callback function used in streaming parse methods.

Parameters

const

Message& A const reference to the fully parsed message object.

Definition at line 40 of file parser.hpp.

ErrorCallback

using itch::ErrorCallback = typedef std::function<void(ParseError, char)>

The signature for the optional diagnostics callback.

Parameters

ParseError	The category of problem that occurred.
char	The offending message type byte (‘’\0'` when not applicable, e.g. for a truncated header).

Definition at line 58 of file parser.hpp.

StandardPrice

using itch::StandardPrice = typedef BasicPrice<std::uint32_t, 4>

Price scale for every ITCH price field except MWCB decline levels.

Definition at line 102 of file price.hpp.

MwcbPrice

using itch::MwcbPrice = typedef BasicPrice<std::uint64_t, 8>

Price scale for MWCB decline-level prices (8 implied decimals).

Definition at line 105 of file price.hpp.

TradeCallback

using itch::TradeCallback = typedef std::function<void(const Trade&)>

Callback invoked for each extracted trade.

Definition at line 42 of file tape.hpp.

ItchTimePoint

using itch::ItchTimePoint = typedef std::chrono::sys_time<std::chrono::nanoseconds>

A system-clock time point at nanosecond resolution.

Definition at line 21 of file time.hpp.

RPIMsg

using itch::RPIMsg = typedef RetailPriceImprovementIndicatorMessage

Definition at line 214 of file parser.cpp.

Enumeration Type Documentation

ParseError

enum class itch::ParseError

strong

Categories of recoverable problems encountered while framing a feed.

These are surfaced through the non-throwing try_parse entry points and the optional error callback, so callers can react without relying on exceptions or on the library writing to a global stream.

Enumerator
truncated	The buffer ended in the middle of a frame.
unknown_type	The message type byte does not correspond to a known message.
size_mismatch	The declared length is shorter than the message type requires.

Definition at line 47 of file parser.hpp.

Function Documentation

encode_message()

auto itch::encode_message

(

const Message &

message

)

-> std::vector<std::byte>

Encodes a message body and header without the 2-byte length prefix.

Parameters

message

The parsed message to encode.

Returns

The raw message bytes (type byte first), exactly as they appear inside a frame.

Definition at line 227 of file encoder.cpp.

Referenced by encode_frame().

encode_frame()

auto itch::encode_frame

(

const Message &

message

)

-> std::vector<std::byte>

Encodes a complete length-prefixed frame (2-byte big-endian length followed by the message bytes), ready to concatenate into a stream.

Parameters

message

The parsed message to encode.

Returns

The length-prefixed frame bytes, ready to append to a stream.

Definition at line 239 of file encoder.cpp.

References encode_message().

to_string()

auto itch::to_string ( const char *  source, size_t  size  ) -> std::string

inline

Converts a fixed-width character array to a string, trimming trailing spaces and NUL characters.

Parameters

source	Pointer to the first character of the fixed-width field.
size	Number of characters in the field.

Returns

The trimmed string, with trailing spaces and NUL characters removed.

Definition at line 495 of file messages.hpp.

Referenced by itch::analytics::make_imbalance_info(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), and itch::analytics::AuctionTracker::process().

print_impl() [1/23]

auto itch::print_impl	(	std::ostream &	out,
		const SystemEventMessage &	msg
	)		-> void

Per-message-type stream formatter family, used internally by print_message to dispatch to the correct overload for whichever alternative of Message it is given.

One overload of print_impl exists for every message struct defined above. Each overload writes a human-readable, field-by-field representation of its message to out.

Parameters

out	The output stream to write to.
msg	The message to format.

Definition at line 5 of file messages.cpp.

Referenced by print_message().

print_impl() [2/23]

auto itch::print_impl	(	std::ostream &	out,
		const StockDirectoryMessage &	msg
	)		-> void

Definition at line 11 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [3/23]

auto itch::print_impl	(	std::ostream &	out,
		const StockTradingActionMessage &	msg
	)		-> void

Definition at line 17 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [4/23]

auto itch::print_impl	(	std::ostream &	out,
		const RegSHOMessage &	msg
	)		-> void

Definition at line 24 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [5/23]

auto itch::print_impl	(	std::ostream &	out,
		const MarketParticipantPositionMessage &	msg
	)		-> void

Definition at line 30 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [6/23]

auto itch::print_impl	(	std::ostream &	out,
		const MWCBDeclineLevelMessage &	msg
	)		-> void

Definition at line 37 of file messages.cpp.

References MWCB_PRICE_DIVISOR.

print_impl() [7/23]

auto itch::print_impl	(	std::ostream &	out,
		const MWCBStatusMessage &	msg
	)		-> void

Definition at line 43 of file messages.cpp.

print_impl() [8/23]

auto itch::print_impl	(	std::ostream &	out,
		const IPOQuotingPeriodUpdateMessage &	msg
	)		-> void

Definition at line 49 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [9/23]

auto itch::print_impl	(	std::ostream &	out,
		const LULDAuctionCollarMessage &	msg
	)		-> void

Definition at line 55 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [10/23]

auto itch::print_impl	(	std::ostream &	out,
		const OperationalHaltMessage &	msg
	)		-> void

Definition at line 61 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [11/23]

auto itch::print_impl	(	std::ostream &	out,
		const AddOrderMessage &	msg
	)		-> void

Definition at line 67 of file messages.cpp.

References PRICE_DIVISOR, STOCK_LEN, and to_string().

print_impl() [12/23]

auto itch::print_impl	(	std::ostream &	out,
		const AddOrderMPIDAttributionMessage &	msg
	)		-> void

Definition at line 76 of file messages.cpp.

References PRICE_DIVISOR, STOCK_LEN, and to_string().

print_impl() [13/23]

auto itch::print_impl	(	std::ostream &	out,
		const OrderExecutedMessage &	msg
	)		-> void

Definition at line 86 of file messages.cpp.

print_impl() [14/23]

auto itch::print_impl	(	std::ostream &	out,
		const OrderExecutedWithPriceMessage &	msg
	)		-> void

Definition at line 93 of file messages.cpp.

References PRICE_DIVISOR.

print_impl() [15/23]

auto itch::print_impl	(	std::ostream &	out,
		const OrderCancelMessage &	msg
	)		-> void

Definition at line 100 of file messages.cpp.

print_impl() [16/23]

auto itch::print_impl	(	std::ostream &	out,
		const OrderDeleteMessage &	msg
	)		-> void

Definition at line 107 of file messages.cpp.

print_impl() [17/23]

auto itch::print_impl	(	std::ostream &	out,
		const OrderReplaceMessage &	msg
	)		-> void

Definition at line 113 of file messages.cpp.

References PRICE_DIVISOR.

print_impl() [18/23]

auto itch::print_impl	(	std::ostream &	out,
		const NonCrossTradeMessage &	msg
	)		-> void

Definition at line 122 of file messages.cpp.

References PRICE_DIVISOR, STOCK_LEN, and to_string().

print_impl() [19/23]

auto itch::print_impl	(	std::ostream &	out,
		const CrossTradeMessage &	msg
	)		-> void

Definition at line 131 of file messages.cpp.

References PRICE_DIVISOR, STOCK_LEN, and to_string().

print_impl() [20/23]

auto itch::print_impl	(	std::ostream &	out,
		const BrokenTradeMessage &	msg
	)		-> void

Definition at line 141 of file messages.cpp.

print_impl() [21/23]

auto itch::print_impl	(	std::ostream &	out,
		const NOIIMessage &	msg
	)		-> void

Definition at line 147 of file messages.cpp.

References PRICE_DIVISOR, STOCK_LEN, and to_string().

print_impl() [22/23]

auto itch::print_impl	(	std::ostream &	out,
		const RetailPriceImprovementIndicatorMessage &	msg
	)		-> void

Definition at line 161 of file messages.cpp.

References STOCK_LEN, and to_string().

print_impl() [23/23]

auto itch::print_impl	(	std::ostream &	out,
		const DLCRMessage &	msg
	)		-> void

Definition at line 167 of file messages.cpp.

References STOCK_LEN, and to_string().

print_message()

auto itch::print_message	(	std::ostream &	out,
		const Message &	msg
	)		-> void

Dispatches to the print_impl overload matching the active alternative of msg and writes its formatted representation to out.

Parameters

out	The output stream to write to.
msg	The message to format; the concrete type formatted is whichever alternative of the variant is currently held.

Definition at line 173 of file messages.cpp.

References print_impl().

Referenced by operator<<().

operator<<()

auto itch::operator<<	(	std::ostream &	out,
		const Message &	msg
	)		-> std::ostream&

Streams a formatted representation of msg to out.

Parameters

out	The output stream to write to.
msg	The message to format.

Returns

A reference to out, to allow chaining.

Definition at line 177 of file messages.cpp.

References print_message().

make_price()

constexpr auto itch::make_price ( std::uint32_t  raw_value ) -> StandardPrice

constexprnoexcept

Wraps a raw 4-decimal price value in the typed StandardPrice.

Parameters

raw_value

The raw on-wire 4-decimal price.

Returns

The value wrapped as a StandardPrice.

Definition at line 111 of file price.hpp.

Referenced by itch::LimitOrderBook::print().

make_mwcb_price()

constexpr auto itch::make_mwcb_price ( std::uint64_t  raw_value ) -> MwcbPrice

constexprnoexcept

Wraps a raw 8-decimal MWCB price value in the typed MwcbPrice.

Parameters

raw_value

The raw on-wire 8-decimal MWCB decline-level price.

Returns

The value wrapped as an MwcbPrice.

Definition at line 119 of file price.hpp.

to_time_point()

constexpr auto itch::to_time_point ( std::chrono::year_month_day  session_date, std::uint64_t  nanos_past_midnight  ) -> ItchTimePoint

constexprnoexcept

Combines a session date with an ITCH timestamp into a time point.

ITCH timestamps are raw nanoseconds elapsed since midnight, with no date or time-zone attached. This helper anchors that offset to the midnight of a caller-supplied session date. No time-zone conversion is performed: the result is expressed in the same frame as the date you pass in (pass a UTC date for a UTC result, an Eastern-time date for an Eastern result).

Parameters

session_date	The calendar date whose midnight anchors the timestamp.
nanos_past_midnight	The raw ITCH timestamp (nanoseconds past midnight).

Returns

The absolute time point for the event.

Definition at line 34 of file time.hpp.

Referenced by format_time_point().

format_timestamp()

auto itch::format_timestamp ( std::uint64_t  nanos_past_midnight ) -> std::string

inline

Formats a raw ITCH timestamp as a time-of-day string.

Parameters

nanos_past_midnight

The raw ITCH timestamp (nanoseconds past midnight).

Returns

A string of the form "HH:MM:SS.nnnnnnnnn".

Definition at line 44 of file time.hpp.

format_time_point()

auto itch::format_time_point ( std::chrono::year_month_day  session_date, std::uint64_t  nanos_past_midnight  ) -> std::string

inline

Formats a session date plus an ITCH timestamp as a full date-time.

Parameters

session_date	The calendar date whose midnight anchors the timestamp.
nanos_past_midnight	The raw ITCH timestamp (nanoseconds past midnight).

Returns

A string of the form "YYYY-MM-DD HH:MM:SS.nnnnnnnnn".

Definition at line 54 of file time.hpp.

References to_time_point().

unpack_message() [1/23]

auto itch::unpack_message	(	SystemEventMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 51 of file parser.cpp.

unpack_message() [2/23]

auto itch::unpack_message	(	StockDirectoryMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 55 of file parser.cpp.

References STOCK_LEN.

unpack_message() [3/23]

auto itch::unpack_message	(	StockTradingActionMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 73 of file parser.cpp.

References STOCK_LEN.

unpack_message() [4/23]

auto itch::unpack_message	(	RegSHOMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 80 of file parser.cpp.

References STOCK_LEN.

unpack_message() [5/23]

auto itch::unpack_message	(	MarketParticipantPositionMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 85 of file parser.cpp.

References STOCK_LEN.

unpack_message() [6/23]

auto itch::unpack_message	(	MWCBDeclineLevelMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 94 of file parser.cpp.

unpack_message() [7/23]

auto itch::unpack_message	(	MWCBStatusMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 100 of file parser.cpp.

unpack_message() [8/23]

auto itch::unpack_message	(	IPOQuotingPeriodUpdateMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 104 of file parser.cpp.

References STOCK_LEN.

unpack_message() [9/23]

auto itch::unpack_message	(	LULDAuctionCollarMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 112 of file parser.cpp.

References STOCK_LEN.

unpack_message() [10/23]

auto itch::unpack_message	(	OperationalHaltMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 120 of file parser.cpp.

References STOCK_LEN.

unpack_message() [11/23]

auto itch::unpack_message	(	AddOrderMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 126 of file parser.cpp.

References STOCK_LEN.

unpack_message() [12/23]

auto itch::unpack_message	(	AddOrderMPIDAttributionMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 134 of file parser.cpp.

References STOCK_LEN.

unpack_message() [13/23]

auto itch::unpack_message	(	OrderExecutedMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 145 of file parser.cpp.

unpack_message() [14/23]

auto itch::unpack_message	(	OrderExecutedWithPriceMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 151 of file parser.cpp.

unpack_message() [15/23]

auto itch::unpack_message	(	OrderCancelMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 160 of file parser.cpp.

unpack_message() [16/23]

auto itch::unpack_message	(	OrderDeleteMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 165 of file parser.cpp.

unpack_message() [17/23]

auto itch::unpack_message	(	OrderReplaceMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 169 of file parser.cpp.

unpack_message() [18/23]

auto itch::unpack_message	(	NonCrossTradeMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 176 of file parser.cpp.

References STOCK_LEN.

unpack_message() [19/23]

auto itch::unpack_message	(	CrossTradeMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 187 of file parser.cpp.

References STOCK_LEN.

unpack_message() [20/23]

auto itch::unpack_message	(	BrokenTradeMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 196 of file parser.cpp.

unpack_message() [21/23]

auto itch::unpack_message	(	NOIIMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 200 of file parser.cpp.

References STOCK_LEN.

unpack_message() [22/23]

auto itch::unpack_message	(	RPIMsg &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 215 of file parser.cpp.

References STOCK_LEN.

unpack_message() [23/23]

auto itch::unpack_message	(	DLCRMessage &	msg,
		const char *	buffer,
		size_t &	offset
	)		-> void

Definition at line 220 of file parser.cpp.

References STOCK_LEN.

read_stream_into_buffer()

static auto itch::read_stream_into_buffer ( std::istream &  data ) -> std::vector<char>

static

Definition at line 429 of file parser.cpp.

Referenced by itch::Parser::parse(), itch::Parser::parse(), and itch::Parser::parse().

Variable Documentation

STOCK_LEN

constexpr int itch::STOCK_LEN = 8

constexpr

Definition at line 485 of file messages.hpp.

Referenced by itch::analytics::make_imbalance_info(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), itch::analytics::AuctionTracker::process(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), unpack_message(), and unpack_message().

PRICE_DIVISOR

constexpr double itch::PRICE_DIVISOR = 10000.0

constexpr

Definition at line 486 of file messages.hpp.

Referenced by print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), print_impl(), and print_impl().

MWCB_PRICE_DIVISOR

constexpr double itch::MWCB_PRICE_DIVISOR = 1.0E8

constexpr

Definition at line 487 of file messages.hpp.

Referenced by print_impl().

average_message_size

constexpr size_t itch::average_message_size = 20

constexpr

Definition at line 349 of file parser.cpp.

Referenced by itch::Parser::parse(), and itch::Parser::parse().