mold2inside.cpp File Reference

This program receives MoldUDP64 packets containing ITCH-5.0 messges and generates the inside quotes in an ASCII (though potentially compressed) file. More...

#include <jb/itch5/generate_inside.hpp>
#include <jb/itch5/mold_udp_channel.hpp>
#include <jb/itch5/process_iostream.hpp>
#include <jb/itch5/udp_receiver_config.hpp>
#include <jb/fileio.hpp>
#include <jb/log.hpp>
#include <stdexcept>
#include <unordered_map>

Go to the source code of this file.

Namespaces
	defaults
	Define defaults for program parameters.

Macros
#define	KNOWN_ITCH5_MESSAGES

Functions
int	main (int argc, char *argv[])

Detailed Description

This program receives MoldUDP64 packets containing ITCH-5.0 messges and generates the inside quotes in an ASCII (though potentially compressed) file.

The program also generates statistics about the feed and the book build, using jb::offline_feed_statistics.

It reports the percentiles of "for each change in the inside, how long did it take to process the event, and what was the elapsed time since the last change to the inside".

Definition in file mold2inside.cpp.

Macro Definition Documentation

KNOWN_ITCH5_MESSAGES

#define KNOWN_ITCH5_MESSAGES

Value:

jb::itch5::add_order_message, jb::itch5::add_order_mpid_message,             \
      jb::itch5::broken_trade_message, jb::itch5::cross_trade_message,         \
      jb::itch5::ipo_quoting_period_update_message,                            \
      jb::itch5::market_participant_position_message,                          \
      jb::itch5::mwcb_breach_message, jb::itch5::mwcb_decline_level_message,   \
      jb::itch5::net_order_imbalance_indicator_message,                        \
      jb::itch5::order_cancel_message, jb::itch5::order_delete_message,        \
      jb::itch5::order_executed_message,                                       \
      jb::itch5::order_executed_price_message,                                 \
      jb::itch5::order_replace_message,                                        \
      jb::itch5::reg_sho_restriction_message,                                  \
      jb::itch5::stock_directory_message,                                      \
      jb::itch5::stock_trading_action_message,                                 \
      jb::itch5::system_event_message, jb::itch5::trade_message

Definition at line 47 of file mold2inside.cpp.

Referenced by main().

Function Documentation

main()

int main	(	int	argc,
		char *	argv[]
	)

Definition at line 63 of file mold2inside.cpp.

References jb::usage::exit_status(), jb::itch5::generate_inside(), jb::log::init(), KNOWN_ITCH5_MESSAGES, jb::open_output_file(), jb::offline_feed_statistics::print_csv_header(), and jb::offline_feed_statistics::config::reporting_interval_seconds.