message_header.hpp File Reference

#include <jb/itch5/timestamp.hpp>
#include <iosfwd>
#include <utility>

Go to the source code of this file.

Classes
struct	jb::itch5::message_header
	Define the header common to all ITCH 5.0 messages. More...
struct	jb::itch5::decoder< validate, message_header >
	Specialize decoder for a jb::itch5::message_header. More...

Namespaces
	jb
	The top-level namespace for the JayBeams library.
	jb::itch5
	Contains classes and functions to parse NASDAQ ITCH-5.0 messages, more information about ITCH-5.0 can be found at: http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf.

Functions
std::ostream &	jb::itch5::operator<< (std::ostream &os, message_header const &x)
	Streaming operator for jb::itch5::message_header. More...

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Class Documentation

jb::itch5::message_header

struct jb::itch5::message_header

Define the header common to all ITCH 5.0 messages.

Definition at line 15 of file message_header.hpp.

Class Members
int	message_type	The type of message. ITCH-5.0 messages are identified by their first byte, with an ASCII value assigned to each message. offset=0 width=1
int	stock_locate	The stock locate number. Every stock receives a unique number in an ITCH-5.0 session. For messages that are not stock specific, this value is 0. offset=1 width=2
timestamp	timestamp	The message timestamp, in nanoseconds since midnight. All messages in a ITCH-5.0 session are timestamped, in nanoseconds since midnight for whatever day the session started running. All sessions are terminated before the end of the day. offset=5 width=6
int	tracking_number	The "Tracking Number", a field designed for "internal NASDAQ purposes". The ITCH-5.0 specification does not document how this field is to be interpreted. offset=3 width=2