Net Order Imbalance Indicator (I): the imbalance and price-discovery data disseminated during the opening and closing crosses. More...

#include <messages.hpp>

Public Attributes
char	message_type = 'I'
	Always 'I'.

uint16_t	stock_locate
	Locate code identifying the security.

uint16_t	tracking_number
	Nasdaq internal tracking number.

uint64_t	timestamp
	Nanoseconds past midnight.

uint64_t	paired_shares
	Shares paired at the current reference price.

uint64_t	imbalance_shares
	Shares not paired (the imbalance).

char	imbalance_direction
	'B' buy, 'S' sell, 'N' none, 'O' insufficient, 'P' paused.

char	stock [8]
	Stock symbol, right padded with spaces.

uint32_t	far_price
	Cross price using only eligible interest (4 decimals).

uint32_t	near_price
	Cross price using all interest (4 decimals).

uint32_t	current_reference_price
	Price the cross would occur at now (4 decimals).

char	cross_type
	'O' open, 'C' close, 'H' halt/IPO cross.

char	price_variation_indicator
	Variation band (see indicators::PRICE_VARIATION_INDICATOR).

Detailed Description

Net Order Imbalance Indicator (I): the imbalance and price-discovery data disseminated during the opening and closing crosses.

Disseminates Net Order Imbalance Indicator data at regular intervals during the cross sessions. It reports the paired and imbalanced share quantities and the hypothetical clearing prices (far, near, and current reference price) the cross would produce, so participants can react before the cross executes.

Definition at line 385 of file messages.hpp.

Member Data Documentation

◆ message_type

char itch::NOIIMessage::message_type = 'I'

Always 'I'.

Definition at line 386 of file messages.hpp.

◆ stock_locate

uint16_t itch::NOIIMessage::stock_locate

Locate code identifying the security.

Definition at line 387 of file messages.hpp.

◆ tracking_number

uint16_t itch::NOIIMessage::tracking_number

Nasdaq internal tracking number.

Definition at line 388 of file messages.hpp.

◆ timestamp

uint64_t itch::NOIIMessage::timestamp

Nanoseconds past midnight.

Definition at line 389 of file messages.hpp.

◆ paired_shares

uint64_t itch::NOIIMessage::paired_shares

Shares paired at the current reference price.

Definition at line 390 of file messages.hpp.

◆ imbalance_shares

uint64_t itch::NOIIMessage::imbalance_shares

Shares not paired (the imbalance).

Definition at line 391 of file messages.hpp.

◆ imbalance_direction

char itch::NOIIMessage::imbalance_direction

'B' buy, 'S' sell, 'N' none, 'O' insufficient, 'P' paused.

Definition at line 392 of file messages.hpp.

◆ stock

char itch::NOIIMessage::stock[8]

Stock symbol, right padded with spaces.

Definition at line 393 of file messages.hpp.

◆ far_price

uint32_t itch::NOIIMessage::far_price

Cross price using only eligible interest (4 decimals).

Definition at line 394 of file messages.hpp.

◆ near_price

uint32_t itch::NOIIMessage::near_price

Cross price using all interest (4 decimals).

Definition at line 395 of file messages.hpp.

◆ current_reference_price

uint32_t itch::NOIIMessage::current_reference_price

Price the cross would occur at now (4 decimals).

Definition at line 396 of file messages.hpp.

◆ cross_type

char itch::NOIIMessage::cross_type

'O' open, 'C' close, 'H' halt/IPO cross.

Definition at line 397 of file messages.hpp.

◆ price_variation_indicator

char itch::NOIIMessage::price_variation_indicator

Variation band (see indicators::PRICE_VARIATION_INDICATOR).

Definition at line 399 of file messages.hpp.

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

messages.hpp

Public Attributes