A reconstructed auction (cross) event. More...

#include <auctions.hpp>

Public Attributes
std::uint64_t	timestamp {0}

std::uint16_t	stock_locate {0}

std::string	stock

char	cross_type {'\0'}
	'O' open, 'C' close, 'H' halt/pause, 'I' IPO.

StandardPrice	cross_price {}
	The cross execution price.

std::uint64_t	cross_shares {0}
	Shares executed in the cross.

std::uint64_t	paired_shares {0}
	Paired shares from the latest NOII.

std::uint64_t	imbalance_shares {0}
	Imbalance shares from the latest NOII.

char	imbalance_direction {'\0'}

bool	had_imbalance {false}
	Whether NOII context was available.

Detailed Description

A reconstructed auction (cross) event.

Nasdaq runs the opening, closing, halt, and IPO crosses; their price discovery is disseminated through the NOII (I) messages leading up to the cross and the Cross Trade (Q) message that prints it. This record pairs the executed cross with the imbalance state that immediately preceded it.

Definition at line 34 of file auctions.hpp.

Member Data Documentation

◆ timestamp

std::uint64_t itch::analytics::Auction::timestamp {0}

Definition at line 35 of file auctions.hpp.

Referenced by itch::analytics::AuctionTracker::process().

◆ stock_locate

std::uint16_t itch::analytics::Auction::stock_locate {0}

Definition at line 36 of file auctions.hpp.

◆ stock

std::string itch::analytics::Auction::stock

Definition at line 37 of file auctions.hpp.

◆ cross_type

char itch::analytics::Auction::cross_type {'\0'}

'O' open, 'C' close, 'H' halt/pause, 'I' IPO.

Definition at line 38 of file auctions.hpp.

◆ cross_price

StandardPrice itch::analytics::Auction::cross_price {}

The cross execution price.

Definition at line 39 of file auctions.hpp.

◆ cross_shares

std::uint64_t itch::analytics::Auction::cross_shares {0}

Shares executed in the cross.

Definition at line 40 of file auctions.hpp.

◆ paired_shares

std::uint64_t itch::analytics::Auction::paired_shares {0}

Paired shares from the latest NOII.

Definition at line 41 of file auctions.hpp.

◆ imbalance_shares

std::uint64_t itch::analytics::Auction::imbalance_shares {0}

Imbalance shares from the latest NOII.

Definition at line 42 of file auctions.hpp.

◆ imbalance_direction

char itch::analytics::Auction::imbalance_direction {'\0'}

Definition at line 43 of file auctions.hpp.

◆ had_imbalance

bool itch::analytics::Auction::had_imbalance {false}

Whether NOII context was available.

Definition at line 44 of file auctions.hpp.

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

auctions.hpp

Public Attributes