- Generated by
1.9.8
|
ITCHCPP 1.6.0
High-Performance NASDAQ TotalView-ITCH 5.0 Parser & Market-Data Platform
|
A single execution extracted from the feed (the "trade tape"). More...
#include <tape.hpp>
Public Attributes | |
| std::uint64_t | timestamp {0} |
| Nanoseconds past midnight. | |
| std::uint16_t | stock_locate {0} |
| Locate code identifying the security. | |
| std::string | symbol |
| Stock symbol (may be empty if unknown). | |
| StandardPrice | price {} |
| Execution price. | |
| std::uint64_t | shares {0} |
| Executed share quantity. | |
| std::uint64_t | match_number {0} |
| Exchange match number. | |
| char | side {'\0'} |
| Resting order side ('B'/'S'), or '\0'. | |
| bool | printable {true} |
| Whether the print is displayable. | |
| bool | is_cross {false} |
| Whether this is a cross (auction) trade. | |
| char | cross_type {'\0'} |
Cross type for Q trades, else '\0'. | |
A single execution extracted from the feed (the "trade tape").
Trades arrive in several ITCH message types: executions of displayed orders (E), executions at a different price (C), trades of non-displayable orders (P), and cross trades (Q). They are normalized here into one record. The printable flag carries the spec's displayable/non-displayable distinction so consumers can correctly separate lit prints from hidden ones.
| std::uint64_t itch::Trade::timestamp {0} |
| std::uint16_t itch::Trade::stock_locate {0} |
| std::string itch::Trade::symbol |
| StandardPrice itch::Trade::price {} |
| std::uint64_t itch::Trade::shares {0} |
| std::uint64_t itch::Trade::match_number {0} |
| char itch::Trade::side {'\0'} |
| bool itch::Trade::printable {true} |
| bool itch::Trade::is_cross {false} |
| char itch::Trade::cross_type {'\0'} |
1.9.8