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...

#include <messages.hpp>

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

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	original_order_reference_number
	Reference number being replaced.

uint64_t	new_order_reference_number
	New reference number for the order.

uint32_t	shares
	New displayed share quantity.

uint32_t	price
	New display price (4 implied decimals).

Detailed Description

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).

Sent when an order on the book is cancel-replaced. The original order's shares become inaccessible, and the replacement is assigned a new reference number that is used for all subsequent updates. The side and security are unchanged; only the price and size may differ.

Definition at line 314 of file messages.hpp.

Member Data Documentation

◆ message_type

char itch::OrderReplaceMessage::message_type = 'U'

Always 'U'.

Definition at line 315 of file messages.hpp.

◆ stock_locate

uint16_t itch::OrderReplaceMessage::stock_locate

Locate code identifying the security.

Definition at line 316 of file messages.hpp.

◆ tracking_number

uint16_t itch::OrderReplaceMessage::tracking_number

Nasdaq internal tracking number.

Definition at line 317 of file messages.hpp.

◆ timestamp

uint64_t itch::OrderReplaceMessage::timestamp

Nanoseconds past midnight.

Definition at line 318 of file messages.hpp.

◆ original_order_reference_number

uint64_t itch::OrderReplaceMessage::original_order_reference_number

Reference number being replaced.

Definition at line 319 of file messages.hpp.

◆ new_order_reference_number

uint64_t itch::OrderReplaceMessage::new_order_reference_number

New reference number for the order.

Definition at line 320 of file messages.hpp.

◆ shares

uint32_t itch::OrderReplaceMessage::shares

New displayed share quantity.

Definition at line 321 of file messages.hpp.

◆ price

uint32_t itch::OrderReplaceMessage::price

New display price (4 implied decimals).

Definition at line 322 of file messages.hpp.

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

messages.hpp

Public Attributes