A usable, decoded view of a Net Order Imbalance Indicator (I) message. More...

#include <imbalance.hpp>

Public Attributes
std::uint64_t	timestamp {0}

std::uint16_t	stock_locate {0}

std::string	stock

std::uint64_t	paired_shares {0}

std::uint64_t	imbalance_shares {0}

char	imbalance_direction {'\0'}

StandardPrice	far_price {}

StandardPrice	near_price {}

StandardPrice	current_reference_price {}

char	cross_type {'\0'}

char	price_variation_indicator {'\0'}

Detailed Description

A usable, decoded view of a Net Order Imbalance Indicator (I) message.

The feed already carries the NOII data used during the opening and closing crosses; this surfaces it with strong price types and a trimmed symbol instead of the raw packed fields.

Definition at line 29 of file imbalance.hpp.

Member Data Documentation

◆ timestamp

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

Definition at line 30 of file imbalance.hpp.

Referenced by itch::analytics::make_imbalance_info().

◆ stock_locate

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

Definition at line 31 of file imbalance.hpp.

◆ stock

std::string itch::analytics::ImbalanceInfo::stock

Definition at line 32 of file imbalance.hpp.

◆ paired_shares

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

Definition at line 33 of file imbalance.hpp.

◆ imbalance_shares

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

Definition at line 34 of file imbalance.hpp.

◆ imbalance_direction

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

Definition at line 35 of file imbalance.hpp.

◆ far_price

StandardPrice itch::analytics::ImbalanceInfo::far_price {}

Definition at line 36 of file imbalance.hpp.

◆ near_price

StandardPrice itch::analytics::ImbalanceInfo::near_price {}

Definition at line 37 of file imbalance.hpp.

◆ current_reference_price

StandardPrice itch::analytics::ImbalanceInfo::current_reference_price {}

Definition at line 38 of file imbalance.hpp.

◆ cross_type

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

Definition at line 39 of file imbalance.hpp.

◆ price_variation_indicator

char itch::analytics::ImbalanceInfo::price_variation_indicator {'\0'}

Definition at line 40 of file imbalance.hpp.

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

imbalance.hpp

Public Attributes