DataFeed Namespace Reference

Logic for sending and receiving messages on a financial data feed. More...

Namespaces
	Extensions
	Extensions to the Sender / Receiver asio context.
	Handlers
	Logic for handling incoming messages from the Receiver.
	LOB
	Logic for maintaining a continuous double auction via a limit-order book.
	Messages
	Packet templates for the DataFeed communication protocol.

Classes
class	Receiver
	A multi-cast receiver for recreating a LOB::LimitOrderBook from network messages. More...
class	Sender
	A class for multi-casting depth of book messages from a LOB::LimitOrderBook. More...

Typedefs
typedef Clock::TimeStamp	TimeStamp
	A forward a declaration for the Clock timestamp.
typedef uint32_t	SequenceNumber
	A type for sequence numbers.
typedef uint64_t	OrderID
	A type for order prices.
typedef uint32_t	Quantity
	A type for order quantities.
typedef uint64_t	Price
	A type for order prices.

Enumerations
enum	Side : char { Sell = 'S', Buy = 'B' }
	The side of an order.

Functions
std::ostream &	operator<< (std::ostream &stream, const Side &side)
	Write the order side to a stream. More...
constexpr double	side_to_double (Side side)
	Convert an order side character to a double. More...
constexpr bool	side_to_bool (Side side)
	Convert an order side character to a boolean value. More...
constexpr LOB::Side	side_to_LOB_side (Side side)
	Convert a side character to a LOB side value. More...
constexpr Side	bool_to_side (bool side)
	Convert a boolean to an order side. More...

Variables
class DataFeed::Receiver	__attribute__

Detailed Description

Logic for sending and receiving messages on a financial data feed.

Function Documentation

bool_to_side()

constexpr Side DataFeed::bool_to_side ( bool  side )

inlineconstexpr

Convert a boolean to an order side.

Parameters

side	the side to convert to an order side

Returns

Side::Sell if side is false, Side::Buy if side is true

operator<<()

std::ostream& DataFeed::operator<< ( std::ostream &  stream, const Side &  side  )

inline

Write the order side to a stream.

Parameters

stream	the stream to write the order side to
side	the order side to write to the stream

Returns

the stream after writing the order side to it

side_to_bool()

constexpr bool DataFeed::side_to_bool ( Side  side )

inlineconstexpr

Convert an order side character to a boolean value.

Parameters

side	the order side to convert

Returns

true if side is Side::Buy, false if side is Side::Sell

side_to_double()

constexpr double DataFeed::side_to_double ( Side  side )

inlineconstexpr

Convert an order side character to a double.

Parameters

side	the order side to convert to a double

Returns

1 if the side is Side::Buy, -1 if the side is Side::Sell

side_to_LOB_side()

constexpr LOB::Side DataFeed::side_to_LOB_side ( Side  side )

inlineconstexpr

Convert a side character to a LOB side value.

Parameters

side	the order side to convert

Returns

the corresponding LOB side object