Trade, Non-Cross (P): an execution of a non-displayable order. More...

#include <messages.hpp>

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

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	order_reference_number
	Reference number of the non-displayed order.

char	buy_sell_indicator
	'B' buy, 'S' sell.

uint32_t	shares
	Number of shares traded.

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

uint32_t	price
	Trade price (4 implied decimals).

uint64_t	match_number
	Day-unique match number for the trade.

Detailed Description

Trade, Non-Cross (P): an execution of a non-displayable order.

It does not affect the visible book but is disseminated as a print.

Provides execution details for normal match events involving non-displayable order types, transmitted when such an order executes in whole or in part. Because the order was never on the displayable book, this message does not change book state; it exists so that consumers can include these executions in the trade tape and volume calculations.

Definition at line 333 of file messages.hpp.

Member Data Documentation

◆ message_type

char itch::NonCrossTradeMessage::message_type = 'P'

Always 'P'.

Definition at line 334 of file messages.hpp.

◆ stock_locate

uint16_t itch::NonCrossTradeMessage::stock_locate

Locate code identifying the security.

Definition at line 335 of file messages.hpp.

◆ tracking_number

uint16_t itch::NonCrossTradeMessage::tracking_number

Nasdaq internal tracking number.

Definition at line 336 of file messages.hpp.

◆ timestamp

uint64_t itch::NonCrossTradeMessage::timestamp

Nanoseconds past midnight.

Definition at line 337 of file messages.hpp.

◆ order_reference_number

uint64_t itch::NonCrossTradeMessage::order_reference_number

Reference number of the non-displayed order.

Definition at line 338 of file messages.hpp.

◆ buy_sell_indicator

char itch::NonCrossTradeMessage::buy_sell_indicator

'B' buy, 'S' sell.

Definition at line 339 of file messages.hpp.

◆ shares

uint32_t itch::NonCrossTradeMessage::shares

Number of shares traded.

Definition at line 340 of file messages.hpp.

◆ stock

char itch::NonCrossTradeMessage::stock[8]

Stock symbol, right padded with spaces.

Definition at line 341 of file messages.hpp.

◆ price

uint32_t itch::NonCrossTradeMessage::price

Trade price (4 implied decimals).

Definition at line 342 of file messages.hpp.

◆ match_number

uint64_t itch::NonCrossTradeMessage::match_number

Day-unique match number for the trade.

Definition at line 343 of file messages.hpp.

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

messages.hpp

Public Attributes