ITCHCPP 1.6.0
High-Performance NASDAQ TotalView-ITCH 5.0 Parser & Market-Data Platform
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tape.hpp
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1#pragma once
2
12
13#include <cstdint>
14#include <functional>
15#include <string>
16
17#include "itch/price.hpp"
18
19namespace itch {
20
28struct Trade {
29 std::uint64_t timestamp {0};
30 std::uint16_t stock_locate {0};
31 std::string symbol;
33 std::uint64_t shares {0};
34 std::uint64_t match_number {0};
35 char side {'\0'};
36 bool printable {true};
37 bool is_cross {false};
38 char cross_type {'\0'};
39};
40
42using TradeCallback = std::function<void(const Trade&)>;
43
44} // namespace itch
std::function< void(const Trade &)> TradeCallback
Callback invoked for each extracted trade.
Definition tape.hpp:42
Strongly typed, fixed-point price representation for ITCH price fields.
A single execution extracted from the feed (the "trade tape").
Definition tape.hpp:28
std::string symbol
Stock symbol (may be empty if unknown).
Definition tape.hpp:31
bool is_cross
Whether this is a cross (auction) trade.
Definition tape.hpp:37
bool printable
Whether the print is displayable.
Definition tape.hpp:36
std::uint16_t stock_locate
Locate code identifying the security.
Definition tape.hpp:30
char side
Resting order side ('B'/'S'), or '\0'.
Definition tape.hpp:35
std::uint64_t timestamp
Nanoseconds past midnight.
Definition tape.hpp:29
std::uint64_t shares
Executed share quantity.
Definition tape.hpp:33
std::uint64_t match_number
Exchange match number.
Definition tape.hpp:34
StandardPrice price
Execution price.
Definition tape.hpp:32
char cross_type
Cross type for Q trades, else '\0'.
Definition tape.hpp:38