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. More...

Namespaces
	defaults
	Default the default values for ITCH-5.x configuation.

	detail

	mold_udp_protocol
	MoldUDP64 protocol constants.

	protocol
	ITCH-5.x protocol constants.

	testing
	Functions used in testing jb::itch5 entities.

Classes
struct	add_order_message
	Represent an 'Add Order' message in the ITCH-5.0 protocol. More...

struct	add_order_mpid_message
	Represent an 'Add Order with MPID' message in the ITCH-5.0 protocol. More...

class	array_based_book_side
	Represent one side of the book. More...

struct	array_based_order_book
	Define the types of buy and sell side classes. More...

struct	book_update
	A flat struct to represent updates to an order book. More...

struct	broken_trade_message
	Represent an 'Broken Trade / Order Execution' message in the ITCH-5.0 protocol. More...

class	char_list_field
	A helper type to define char fields with a limited set of values. More...

struct	char_list_validator
	Define a functor to validate character fields with limited values. More...

struct	char_list_validator< true >
	Specialize for the empty list. More...

struct	char_list_validator< true, a, V... >
	Recursively define the validator for the enabled case. More...

class	compute_book
	Compute the book and call a user-defined callback on each change. More...

struct	cross_trade_message
	Represent an 'Add Order' message in the ITCH-5.0 protocol. More...

struct	decoder
	Define the interface to decode ITCH-5.0 messages and message fields. More...

struct	decoder< V, add_order_message >
	Specialize decoder for a jb::itch5::add_order_message. More...

struct	decoder< V, add_order_mpid_message >
	Specialize decoder for a jb::itch5::add_order_mpid_message. More...

struct	decoder< V, broken_trade_message >
	Specialize decoder for a jb::itch5::broken_trade_message. More...

struct	decoder< V, cross_trade_message >
	Specialize decoder for a jb::itch5::cross_trade_message. More...

struct	decoder< V, ipo_quoting_period_update_message >
	Specialize decoder for a jb::itch5::ipo_quoting_period_update_message. More...

struct	decoder< V, market_participant_position_message >
	Specialize decoder for a jb::itch5::market_participant_position_message. More...

struct	decoder< V, mwcb_breach_message >
	Specialize decoder for a jb::itch5::mwcb_breach_message. More...

struct	decoder< V, mwcb_decline_level_message >
	Specialize decoder for a jb::itch5::mwcb_decline_level_message. More...

struct	decoder< V, net_order_imbalance_indicator_message >
	Specialize decoder for a jb::itch5::net_order_imbalance_indicator_message. More...

struct	decoder< V, order_cancel_message >
	Specialize decoder for a jb::itch5::order_cancel_message. More...

struct	decoder< V, order_delete_message >
	Specialize decoder for a jb::itch5::order_delete_message. More...

struct	decoder< V, order_executed_message >
	Specialize decoder for a jb::itch5::order_executed_message. More...

struct	decoder< V, order_executed_price_message >
	Specialize decoder for a jb::itch5::order_executed_price_message. More...

struct	decoder< V, order_replace_message >
	Specialize decoder for a jb::itch5::order_replace_message. More...

struct	decoder< V, reg_sho_restriction_message >
	Specialize decoder for a jb::itch5::reg_sho_restriction_message. More...

struct	decoder< V, stock_directory_message >
	Specialize decoder for a jb::itch5::stock_directory_message. More...

struct	decoder< V, stock_trading_action_message >
	Specialize decoder for a jb::itch5::stock_trading_action_message. More...

struct	decoder< V, trade_message >
	Specialize decoder for a jb::itch5::trade_message. More...

struct	decoder< validate, char_list_field< V... > >
	Specialize decoder<bool,T> for char_list_field. More...

struct	decoder< validate, message_header >
	Specialize decoder for a jb::itch5::message_header. More...

struct	decoder< validate, price_field< wire_type_t, denom_v > >
	Specialize jb::itch5::decoder for jb::itch5::price_field. More...

struct	decoder< validate, seconds_field >
	Specialize jb::itch5::decoder<> for a seconds_field. More...

struct	decoder< validate, short_string_field< wsize, F > >
	Specialize decoder<bool,T> for short_string_field. More...

struct	decoder< validate, std::uint16_t >
	Specialize jb::itch5::decoder for 2-byte integer fields. More...

struct	decoder< validate, std::uint32_t >
	Specialize jb::itch5::decoder for 4-byte integer fields. More...

struct	decoder< validate, std::uint64_t >
	Specialize jb::itch5::decoder for 4-byte integer fields. More...

struct	decoder< validate, std::uint8_t >
	Specialize jb::itch5::decoder for 1-byte integer (or character) fields. More...

struct	decoder< validate, system_event_message >
	Specialize decoder for a jb::itch5::system_event_message. More...

struct	decoder< validate, timestamp >
	Specialize jb::itch5::decoder<> for a timestamp. More...

struct	encoder
	TODO(#19) all this code should be replaced with Boost.Endian. More...

struct	encoder< validate, std::uint16_t >
	Specialize jb::itch5::encoder for 2-byte integer fields. More...

struct	encoder< validate, std::uint32_t >
	Specialize jb::itch5::encoder for 4-byte integer fields. More...

struct	encoder< validate, std::uint64_t >
	Specialize jb::itch5::encoder for 4-byte integer fields. More...

struct	encoder< validate, std::uint8_t >
	Specialize jb::itch5::encoder for 1-byte integer (or character) fields. More...

struct	encoder< validate, timestamp >
	Specialize jb::itch5::encoder<> for a timestamp. More...

struct	ipo_quoting_period_update_message
	Represent a 'IPO Quotation Release Update' message in the ITCH-5.0 protocol. More...

class	map_based_book_side
	Represent one side of the book. More...

struct	map_based_order_book
	Define the types of buy and sell sides data structure. More...

struct	market_participant_position_message
	Represent a 'Market Participant Position' message in the ITCH-5.0 protocol. More...

class	message_handler_concept
	The interface for message_handlers in jb::itch5::process_iostream. More...

struct	message_header
	Define the header common to all ITCH 5.0 messages. More...

class	mold_udp_channel
	Create and manage a socket to receive MoldUDP64 packets. More...

struct	mold_udp_channel_tester
	Break encapsulation in jb::itch5::mold_udp_channel for testing purposes. More...

class	mold_udp_pacer
	Send a sequence of raw ITCH-5.x messages as MoldUDP64 packets, trying to match the original time interval between messages. More...

class	mold_udp_pacer_config
	Configuration object for the jb::itch5::mold_udp_pacer class. More...

struct	mwcb_breach_message
	Represent a 'MWCB Breach' message in the ITCH-5.0 protocol. More...

struct	mwcb_decline_level_message
	Represent a 'MWCB Decline Level' message in the ITCH-5.0 protocol. More...

struct	net_order_imbalance_indicator_message
	Represent an 'Net Order Imbalance Indicator' message in the ITCH-5.0 protocol. More...

struct	noop_validator
	A validator functor that accepts all values. More...

class	order_book
	Maintain the ITCH-5.0 order book for a single security. More...

struct	order_cancel_message
	Represent an 'Order Cancel' message in the ITCH-5.0 protocol. More...

struct	order_data
	A convenient container for per-order data. More...

struct	order_delete_message
	Represent an 'Order Delete' message in the ITCH-5.0 protocol. More...

struct	order_executed_message
	Represent an 'Order Executed' message in the ITCH-5.0 protocol. More...

struct	order_executed_price_message
	Represent an 'Order Executed with Price' message in the ITCH-5.0 protocol. More...

struct	order_replace_message
	Represent an 'Order Replace' message in the ITCH-5.0 protocol. More...

class	price_field
	Define a class used to represent prices in the ITCH-5.0 feed. More...

class	process_buffer_mlist
	Process a buffer with a single message: parse it and call the handler. More...

class	process_buffer_mlist< message_handler >
	Partial specialization for an empty list of messages. More...

class	process_buffer_mlist< message_handler, head_t, tail_t... >
	Partial specialization for a list with at least one message. More...

struct	reg_sho_restriction_message
	Represent a 'Reg SHO Restriction' message in the ITCH-5.0 protocol. More...

class	seconds_field
	Represent a ITCH-5.0 seconds_field. More...

class	short_string_field
	A helper type to define short (and fixed sized) string fields. More...

struct	stock_directory_message
	Represent a 'Stock Directory' message in the ITCH-5.0 protocol. More...

struct	stock_trading_action_message
	Represent a 'Stock Trading Action' message in the ITCH-5.0 protocol. More...

struct	system_event_message
	Represent a 'System Event Message' in the ITCH-5.0 protocol. More...

struct	timestamp
	Represent a ITCH-5.0 timestamp. More...

struct	trade_message
	Represent an 'Trade (non-Cross)' message in the ITCH-5.0 protocol. More...

class	udp_config_common
	Common configuration parameters for both UDP senders and receivers. More...

class	udp_receiver_config
	A configuration object for UDP receivers. More...

class	udp_sender_config
	A configuration object for UDP senders. More...

class	unknown_message
	A simple. More...

struct	validate_issue_subtype
	A functor to validate the 'Issue Sub-Type' field. More...

Typedefs
typedef char_list_field< u 'S', u 'B'>	buy_sell_indicator_t
	Represent the 'Buy/Sell Indicator' field on several messages. More...

using	clock_type = std::chrono::steady_clock
	A convenience alias for clock_type. More...

using	time_point = clock_type::time_point
	A convenience alias for clock_type::time_point. More...

typedef char_list_field< u 'O', u 'C', u 'H', u 'I'>	cross_type_t
	Represent the 'Cross Type' field on 'Cross Trade' and 'Net Order Imbalance Indicator' messages. More...

typedef char_list_field< u 'A', u 'C'>	ipo_quotation_release_qualifier_t
	Represent the 'IPO Quotation Release Qualifier' field on a 'IPO Quoting Period Update' message. More...

typedef char_list_field< u 'Y', u 'N'>	primary_market_maker_t
	Represent the 'Primary Market Maker' field on a 'Market Participant Position' message. More...

typedef char_list_field< u 'N', u 'P', u 'S', u 'R', u 'L' >	market_maker_mode_t
	Represent the 'Market Maker Mode' field in a 'Market Participant Position' message. More...

typedef char_list_field< u 'A', u 'E', u 'W', u 'S', u 'D' >	market_participant_state_t
	Represent the 'Market Participant State' field in a 'Market Participant Position' message. More...

typedef jb::itch5::short_string_field< 4 >	mpid_t
	Define the type used to represent the 'MPID' field in many messages. More...

typedef char_list_field< u '1', u '2', u '3'>	breached_level_t
	Represent the 'Breached Level' field in the 'MWCB Breach Message'. More...

typedef char_list_field< u 'B', u 'S', u 'N', u 'O'>	imbalance_direction_t
	Represent the 'Imbalance Direction' field in the 'Net order Imbalance Indicator' message. More...

typedef char_list_field< u 'L', u '1', u '2', u '3', u '4', u '5', u '6', u '7', u '8', u '9', u 'A', u 'B', u 'C', u' '>	price_variation_indicator_t
	Represent the 'Price Variation Indicator' field in the 'Net Order Imbalance Indicator' message. More...

using	book_depth_t = unsigned long int
	Number of prices on a side order book. More...

typedef char_list_field< u 'Y', u 'N'>	printable_t
	Represent the 'Printable' field on a 'Order Executed with Price' message. More...

typedef price_field< std::uint32_t, 10000 >	price4_t
	Convenience definition for Price(4) fields. More...

typedef price_field< std::uint64_t, 100000000 >	price8_t
	Convenience definition for Price(8) fields. More...

using	half_quote = std::pair< price4_t, int >
	A simple representation for price + quantity. More...

typedef char_list_field< u '0', u '1', u '2'>	reg_sho_action_t
	Represent the 'Reg SHO Action' field of the 'Reg SHO Restriction' message. More...

typedef char_list_field< u 'Q', u 'G', u 'S', u 'N', u 'A', u 'P', u 'Z', u' ' >	market_category_t
	Represent the 'Market Category' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'D', u 'E', u 'Q', u 'S', u 'G', u 'H', u 'J', u 'K', u 'C', u 'N', u' ' >	financial_status_indicator_t
	Represent the 'Financial Status Indicator' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'Y', u 'N'>	roundlots_only_t
	Represent the 'Round Lots Only' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'A', u 'B', u 'C', u 'F', u 'I', u 'L', u 'N', u 'O', u 'P', u 'Q', u 'R', u 'S', u 'T', u 'U', u 'V', u 'W' >	issue_classification_t
	Represent the 'Issue Classification' field on a 'Stock Directory' message. More...

typedef short_string_field< 2, validate_issue_subtype >	issue_subtype_t
	Represent the 'Issue Sub-Type' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'P', u 'T' >	authenticity_t
	Represent the 'Authenticity' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'Y', u 'N', u' '>	short_sale_threshold_indicator_t
	Represent the 'Short Sale Threshold Indicator' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'Y', u 'N', u' '>	ipo_flag_t
	Represent the 'IPO Flag' field on a 'Stock Directory' message. More...

typedef char_list_field< u '1', u '2', u' '>	luld_reference_price_tier_t
	Represent the 'LULD Reference Price Tier' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'Y', u 'N', u' '>	etp_flag_t
	Represent the 'ETP Flag' field on a 'Stock Directory' message. More...

typedef char_list_field< u 'Y', u 'N'>	inverse_indicator_t
	Represent the 'Inverse Indicator' field on a 'Stock Directory' message. More...

typedef jb::itch5::short_string_field< 8 >	stock_t
	Define the type used to represent the 'Stock' field in many messages. More...

typedef char_list_field< u 'H', u 'P', u 'Q', u 'T'>	trading_state_t
	Represent the 'Trading State' field on a 'Stock Trading Action' message. More...

typedef short_string_field< 4 >	reason_t
	Represent the 'Reason' field in a 'Stock Trading Action' message. More...

typedef char_list_field< u 'O', u 'S', u 'Q', u 'M', u 'E', u 'C'>	event_code_t
	Represent the 'Event Code' field on a 'System Event Message'. More...

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

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

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

template<int... V>
std::ostream &	operator<< (std::ostream &os, char_list_field< V... > const &x)
	Streaming operator for jb::itch5::char_list_field<> More...

void	char_list_validation_failed (int x)
	Helper function, raises an exception describing a mismatched value. More...

template<bool validate>
void	check_offset (char const *msg, std::size_t size, std::size_t offset, std::size_t n)
	Verify that an offset and field length is valid (generic version). More...

template<>
void	check_offset< true > (char const *msg, std::size_t size, std::size_t offset, std::size_t n)
	A version of jb::itch5::check_offset<> that actually validates. More...

void	raise_validation_failed (char const where, char const what)
	Convenience function to raise an exception upon a validation error. More...

bool	operator== (book_update const &a, book_update const &b)

bool	operator!= (book_update const &a, book_update const &b)

std::ostream &	operator<< (std::ostream &os, book_update const &x)

std::ostream &	operator<< (std::ostream &os, order_data const &x)

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

template<typename duration_t , typename book_type >
bool	record_latency_stats (jb::offline_feed_statistics &stats, jb::itch5::message_header const &header, jb::itch5::order_book< book_type > const &book, jb::itch5::book_update const &update, duration_t processing_latency)
	Determine if this event changes the inside, if so, record the statistics. More...

template<typename duration_t , typename book_type >
bool	generate_inside (jb::offline_feed_statistics &stats, std::ostream &out, jb::itch5::message_header const &header, jb::itch5::order_book< book_type > const &book, jb::itch5::book_update const &update, duration_t processing_latency)
	Determine if this event changes the inside, if so, record the statistics and output the result. More...

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

template<class socket_t = boost::asio::ip::udp::socket>
void	make_socket_udp_common (socket_t &s, udp_config_common const &cfg)
	Configure a UDP socket. More...

template<class socket_t = boost::asio::ip::udp::socket>
socket_t	make_socket_udp_recv (boost::asio::io_service &io, udp_receiver_config const &cfg)
	Create a socket given the configuration parameters. More...

template<class socket_t = boost::asio::ip::udp::socket>
socket_t	make_socket_udp_send (boost::asio::io_service &io, udp_sender_config const &cfg)
	Create a socket to send UDP messages given the configuration parameters. More...

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

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

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

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

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

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

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

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

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

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

template<typename wire_type_t , std::intmax_t denom_v>
std::ostream &	operator<< (std::ostream &os, price_field< wire_type_t, denom_v > const &x)
	Streaming operator for jb::itch5::price_field<> More...

template<typename price_field >
price_field	max_price_field_value ()

template<>
price4_t	max_price_field_value ()

template<typename price_field >
price_field	operator+ (price_field const &lhs, price_field const &rhs)
	non-member addition operator More...

template<typename price_field_t >
std::size_t	price_levels (price_field_t lo, price_field_t hi)
	Compute the number of price levels between two prices. More...

template<typename price_field_t >
auto	level_to_price (typename price_field_t::wire_type const p_level)
	Compute the absolute price of a price level. More...

template<typename message_handler >
void	process_iostream (std::istream &in, message_handler &handler)
	Process an iostream of ITCH-5.0 messages. More...

template<typename message_handler , typename... message_types>
void	process_iostream_mlist (std::istream &is, message_handler &handler)

price4_t	empty_bid_price ()
	convenient value to represent an empty bid limit price More...

price4_t	empty_offer_price ()
	convenient value to represent an empty offer limit price More...

half_quote	empty_bid ()
	The value used to represent an empty bid. More...

half_quote	empty_offer ()
	The value used to represent an empty offer. More...

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

template<bool validate>
void	check_seconds_field_range (seconds_field const &t)
	Validate the a seconds_field value. More...

template<>
void	check_seconds_field_range< true > (seconds_field const &t)
	Provide an active implementation of jb::itch5::check_seconds_field_range<> More...

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

template<std::size_t size, typename F >
std::ostream &	operator<< (std::ostream &os, short_string_field< size, F > const &x)
	Streaming operator for jb::itch5::short_string_field<> More...

template<std::size_t size, typename F >
std::size_t	hash_value (short_string_field< size, F > const &x)
	Implement a hash function and integrate with boost::hash. More...

constexpr int	static_digits (std::intmax_t value)
	Compute (at compile time if possible) the number of digits in a number. More...

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

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

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

template<bool validate>
void	check_timestamp_range (timestamp const &t)
	Validate the a timestamp value. More...

template<>
void	check_timestamp_range< true > (timestamp const &t)
	Provide an active implementation of jb::itch5::check_timestamp_range<> More...

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

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

Detailed Description

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.

Class Documentation

◆ jb::itch5::array_based_order_book

struct jb::itch5::array_based_order_book

Define the types of buy and sell side classes.

It is used as template parameter book_type of the template classes order_book and compute_book:

usage: jb::itch5::order_book<jb::itch5::array_based_order_book>

Definition at line 87 of file array_based_order_book.hpp.

Class Members
typedef array_based_book_side < greater< size_t > >	buys_t
typedef array_based_book_side < less< size_t > >	sells_t

◆ jb::itch5::book_update

struct jb::itch5::book_update

A flat struct to represent updates to an order book.

Updates to an order book come in many forms, but they can all be represented with a simple structure that shows: what book is being updated, what side of the book is being updated, what price level is being updated, and how many shares are being added or removed from the book.

Definition at line 39 of file compute_book.hpp.

Class Members
buy_sell_indicator_t	buy_sell_indicator	What side of the book is being updated.
bool	cxlreplx	If true, this was a cancel replace and and old order was modified too...
price4_t	oldpx	Old price for the order.
int	oldqty	How many shares were removed in the old order.
price4_t	px	What price level is being updated.
int	qty	How many shares are being added (if positive) or removed (if negative) from the book.
time_point	recvts	When was the message that triggered this update received.
stock_t	stock	The security updated by this order. This is redundant for order updates and deletes, and ITCH-5.0 omits the field, but we find it easier

◆ jb::itch5::map_based_order_book

struct jb::itch5::map_based_order_book

Define the types of buy and sell sides data structure.

It is used as template parameter book_type of the template class order_book:

usage: jb::itch5::order_book<jb::itch5::map_based_order_book>

Definition at line 26 of file map_based_order_book.hpp.

Class Members
typedef map_based_book_side < greater< price4_t > >	buys_t
typedef map_based_book_side < less< price4_t > >	sells_t

◆ 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

◆ jb::itch5::order_data

struct jb::itch5::order_data

A convenient container for per-order data.

Most market data feeds resend the security identifier and side with each order update, but ITCH-5.0 does not. One needs to lookup the symbol, side, original price, information based on the order id. This literal type is used to keep that information around.

Definition at line 82 of file compute_book.hpp.

Class Members
buy_sell_indicator_t	buy_sell_indicator	Whether the order is a BUY or SELL.
price4_t	px	The price of the order.
int	qty	The remaining quantity in the order.
stock_t	stock	The symbol for this particular order.

◆ jb::itch5::process_buffer_mlist

class jb::itch5::process_buffer_mlist

template<typename message_handler, typename... message_types>
class jb::itch5::process_buffer_mlist< message_handler, message_types >

Process a buffer with a single message: parse it and call the handler.

As messages are received and broken down by jb::itch5::process_iostream_mlist() they need to be parsed and then the right member function on the message handler must be invoked. Two partial specializations of this class implement this functionality. The fully generic version is, in fact, not implemented and this is intentional.

We use a class instead of a standalone function because partial template specialization for functions is not allowed in C++11, though it is trivially simulated, as show here.

Please see jb::itch5::message_handler_concept for a detailed description of the message_handler requirements.

Definition at line 30 of file process_buffer_mlist.hpp.

◆ jb::itch5::timestamp

struct jb::itch5::timestamp

Represent a ITCH-5.0 timestamp.

ITCH-5.0 uses nanoseconds since midnight for its timestamps.

Definition at line 17 of file timestamp.hpp.

Class Members
nanoseconds	ts

Typedef Documentation

◆ authenticity_t

typedef char_list_field< u'P', u'T' > jb::itch5::authenticity_t

Represent the 'Authenticity' field on a 'Stock Directory' message.

Definition at line 95 of file stock_directory_message.hpp.

◆ book_depth_t

using jb::itch5::book_depth_t = typedef unsigned long int

Number of prices on a side order book.

Definition at line 17 of file order_book.hpp.

◆ breached_level_t

typedef char_list_field<u'1', u'2', u'3'> jb::itch5::breached_level_t

Represent the 'Breached Level' field in the 'MWCB Breach Message'.

Definition at line 13 of file mwcb_breach_message.hpp.

◆ buy_sell_indicator_t

typedef char_list_field<u'S', u'B'> jb::itch5::buy_sell_indicator_t

Represent the 'Buy/Sell Indicator' field on several messages.

Definition at line 12 of file buy_sell_indicator.hpp.

◆ clock_type

using jb::itch5::clock_type = typedef std::chrono::steady_clock

A convenience alias for clock_type.

Definition at line 25 of file compute_book.hpp.

◆ cross_type_t

typedef char_list_field<u'O', u'C', u'H', u'I'> jb::itch5::cross_type_t

Represent the 'Cross Type' field on 'Cross Trade' and 'Net Order Imbalance Indicator' messages.

Definition at line 13 of file cross_type.hpp.

◆ etp_flag_t

typedef char_list_field<u'Y', u'N', u' '> jb::itch5::etp_flag_t

Represent the 'ETP Flag' field on a 'Stock Directory' message.

Definition at line 122 of file stock_directory_message.hpp.

◆ event_code_t

jb::itch5::event_code_t

Represent the 'Event Code' field on a 'System Event Message'.

O: Start of Messages
S: Start of System hours
Q: Start of Market hours
M: End of Market hours
E: End of System hours
C: End of Messages

Definition at line 22 of file system_event_message.hpp.

◆ financial_status_indicator_t

typedef char_list_field< u'D', u'E', u'Q', u'S', u'G', u'H', u'J', u'K', u'C', u'N', u' ' > jb::itch5::financial_status_indicator_t

Represent the 'Financial Status Indicator' field on a 'Stock Directory' message.

Definition at line 44 of file stock_directory_message.hpp.

◆ half_quote

using jb::itch5::half_quote = typedef std::pair<price4_t, int>

A simple representation for price + quantity.

Definition at line 10 of file quote_defaults.hpp.

◆ imbalance_direction_t

typedef char_list_field<u'B', u'S', u'N', u'O'> jb::itch5::imbalance_direction_t

Represent the 'Imbalance Direction' field in the 'Net order Imbalance Indicator' message.

Definition at line 16 of file net_order_imbalance_indicator_message.hpp.

◆ inverse_indicator_t

typedef char_list_field<u'Y', u'N'> jb::itch5::inverse_indicator_t

Represent the 'Inverse Indicator' field on a 'Stock Directory' message.

Definition at line 128 of file stock_directory_message.hpp.

◆ ipo_flag_t

typedef char_list_field<u'Y', u'N', u' '> jb::itch5::ipo_flag_t

Represent the 'IPO Flag' field on a 'Stock Directory' message.

Definition at line 107 of file stock_directory_message.hpp.

◆ ipo_quotation_release_qualifier_t

typedef char_list_field<u'A', u'C'> jb::itch5::ipo_quotation_release_qualifier_t

Represent the 'IPO Quotation Release Qualifier' field on a 'IPO Quoting Period Update' message.

Definition at line 17 of file ipo_quoting_period_update_message.hpp.

◆ issue_classification_t

typedef char_list_field< u'A', u'B', u'C', u'F', u'I', u'L', u'N', u'O', u'P', u'Q', u'R', u'S', u'T', u'U', u'V', u'W' > jb::itch5::issue_classification_t

Represent the 'Issue Classification' field on a 'Stock Directory' message.

Definition at line 74 of file stock_directory_message.hpp.

◆ issue_subtype_t

typedef short_string_field<2, validate_issue_subtype> jb::itch5::issue_subtype_t

Represent the 'Issue Sub-Type' field on a 'Stock Directory' message.

Definition at line 85 of file stock_directory_message.hpp.

◆ luld_reference_price_tier_t

typedef char_list_field<u'1', u'2', u' '> jb::itch5::luld_reference_price_tier_t

Represent the 'LULD Reference Price Tier' field on a 'Stock Directory' message.

LULD stands for 'Limit Up, Limit Down', a restriction on pricing to avoid sudden drops or increases in price.

Definition at line 116 of file stock_directory_message.hpp.

◆ market_category_t

typedef char_list_field< u'Q', u'G', u'S', u'N', u'A', u'P', u'Z', u' ' > jb::itch5::market_category_t

Represent the 'Market Category' field on a 'Stock Directory' message.

Definition at line 24 of file stock_directory_message.hpp.

◆ market_maker_mode_t

typedef char_list_field< u'N', u'P', u'S', u'R', u'L' > jb::itch5::market_maker_mode_t

Represent the 'Market Maker Mode' field in a 'Market Participant Position' message.

Definition at line 29 of file market_participant_position_message.hpp.

◆ market_participant_state_t

typedef char_list_field< u'A', u'E', u'W', u'S', u'D' > jb::itch5::market_participant_state_t

Represent the 'Market Participant State' field in a 'Market Participant Position' message.

Definition at line 42 of file market_participant_position_message.hpp.

◆ mpid_t

typedef jb::itch5::short_string_field<4> jb::itch5::mpid_t

Define the type used to represent the 'MPID' field in many messages.

Some ITCH-5.0 messages need to include information about the Market Participant that the message refers to. For example, members of the NASDAQ exchange may chose to identify their orders instead of trading anonymously. In the NASDAQ exchange each participant receives a 4-letter (all uppercase) identifier.

Definition at line 19 of file mpid_field.hpp.

◆ price4_t

typedef price_field<std::uint32_t, 10000> jb::itch5::price4_t

Convenience definition for Price(4) fields.

Definition at line 131 of file price_field.hpp.

◆ price8_t

typedef price_field<std::uint64_t, 100000000> jb::itch5::price8_t

Convenience definition for Price(8) fields.

Definition at line 134 of file price_field.hpp.

◆ price_variation_indicator_t

typedef char_list_field< u'L', u'1', u'2', u'3', u'4', u'5', u'6', u'7', u'8', u'9', u'A', u'B', u'C', u' '> jb::itch5::price_variation_indicator_t

Represent the 'Price Variation Indicator' field in the 'Net Order Imbalance Indicator' message.

Definition at line 25 of file net_order_imbalance_indicator_message.hpp.

◆ primary_market_maker_t

typedef char_list_field<u'Y', u'N'> jb::itch5::primary_market_maker_t

Represent the 'Primary Market Maker' field on a 'Market Participant Position' message.

Definition at line 16 of file market_participant_position_message.hpp.

◆ printable_t

jb::itch5::printable_t

Represent the 'Printable' field on a 'Order Executed with Price' message.

Definition at line 17 of file order_executed_price_message.hpp.

◆ reason_t

typedef short_string_field<4> jb::itch5::reason_t

Represent the 'Reason' field in a 'Stock Trading Action' message.

Definition at line 19 of file stock_trading_action_message.hpp.

◆ reg_sho_action_t

typedef char_list_field<u'0', u'1', u'2'> jb::itch5::reg_sho_action_t

Represent the 'Reg SHO Action' field of the 'Reg SHO Restriction' message.

Definition at line 15 of file reg_sho_restriction_message.hpp.

◆ roundlots_only_t

typedef char_list_field<u'Y', u'N'> jb::itch5::roundlots_only_t

Represent the 'Round Lots Only' field on a 'Stock Directory' message.

Definition at line 50 of file stock_directory_message.hpp.

◆ short_sale_threshold_indicator_t

typedef char_list_field<u'Y', u'N', u' '> jb::itch5::short_sale_threshold_indicator_t

Represent the 'Short Sale Threshold Indicator' field on a 'Stock Directory' message.

Definition at line 101 of file stock_directory_message.hpp.

◆ stock_t

typedef jb::itch5::short_string_field<8> jb::itch5::stock_t

Define the type used to represent the 'Stock' field in many messages.

All the ITCH-5.0 messages that carry stock-specific information use an 8-byte alpha field to represent the stock symbol. Please see ITCH-5.0: Confused about Securities, Symbols, and Tickers for some commentary on NASDAQ's naming conventions.

Definition at line 18 of file stock_field.hpp.

◆ time_point

using jb::itch5::time_point = typedef clock_type::time_point

A convenience alias for clock_type::time_point.

Definition at line 28 of file compute_book.hpp.

◆ trading_state_t

typedef char_list_field<u'H', u'P', u'Q', u'T'> jb::itch5::trading_state_t

Represent the 'Trading State' field on a 'Stock Trading Action' message.

Definition at line 14 of file stock_trading_action_message.hpp.

Function Documentation

◆ char_list_validation_failed()

void jb::itch5::char_list_validation_failed ( int x )

Helper function, raises an exception describing a mismatched value.

Definition at line 6 of file char_list_validator.cpp.

Referenced by jb::itch5::char_list_validator< validate, V >::operator()(), and jb::itch5::char_list_validator< true >::operator()().

◆ check_offset()

template<bool validate>

void jb::itch5::check_offset	(	char const *	msg,
		std::size_t	size,
		std::size_t	offset,
		std::size_t	n
	)

Verify that an offset and field length is valid (generic version).

Template Parameters

validate if true, actually validate the offset and length, otherwise this is a no-op.

Parameters

msg	a message to include in the exception (if any) raised when the validation fails.
size	the size of the message
offset	the offset into the message where we want to read data
n	the size of the data we want to read

Exceptions

std::runtime_error if the validation fails.

Definition at line 25 of file check_offset.hpp.

References check_offset< true >(), raise_validation_failed(), and jb::testing::defaults::size.

Referenced by BOOST_AUTO_TEST_CASE().

◆ check_offset< true >()

template<>

void jb::itch5::check_offset< true >	(	char const *	msg,
		std::size_t	size,
		std::size_t	offset,
		std::size_t	n
	)

A version of jb::itch5::check_offset<> that actually validates.

Definition at line 7 of file check_offset.cpp.

References jb::testing::defaults::size.

Referenced by BOOST_AUTO_TEST_CASE(), and check_offset().

◆ check_seconds_field_range()

template<bool validate>

void jb::itch5::check_seconds_field_range ( seconds_field const & t )

Validate the a seconds_field value.

In ITCH-5.0 messages the seconds_field represents nanoseconds since midnight. The protocol is designed to start new sessions at the beginning of each day, so seconds_fields cannot ever be more than 24 hours in nanoseconds.

Template Parameters

validate unless it is true the function is a no-op.

Exceptions

std::runtime_error if tparam is true and the seconds_field is out of the expected range.

Definition at line 59 of file seconds_field.hpp.

References check_seconds_field_range< true >().

◆ check_seconds_field_range< true >()

template<>

void jb::itch5::check_seconds_field_range< true > ( seconds_field const & t )

Provide an active implementation of jb::itch5::check_seconds_field_range<>

Definition at line 8 of file seconds_field.cpp.

Referenced by check_seconds_field_range().

◆ check_timestamp_range()

template<bool validate>

void jb::itch5::check_timestamp_range ( timestamp const & t )

Validate the a timestamp value.

In ITCH-5.0 messages the timestamp represents nanoseconds since midnight. The protocol is designed to start new sessions at the beginning of each day, so timestamps cannot ever be more than 24 hours in nanoseconds.

Template Parameters

validate unless it is true the function is a no-op.

Exceptions

std::runtime_error if tparam is true and the timestamp is out of the expected range.

Definition at line 35 of file timestamp.hpp.

References check_timestamp_range< true >().

◆ check_timestamp_range< true >()

template<>

void jb::itch5::check_timestamp_range< true > ( timestamp const & t )

Provide an active implementation of jb::itch5::check_timestamp_range<>

Definition at line 8 of file timestamp.cpp.

Referenced by check_timestamp_range().

◆ empty_bid()

half_quote jb::itch5::empty_bid ( )

inline

The value used to represent an empty bid.

Definition at line 23 of file quote_defaults.hpp.

References empty_bid_price().

Referenced by jb::itch5::map_based_book_side< compare_t >::side< std::greater< price4_t >, DUMMY >::empty_quote(), jb::itch5::array_based_book_side< compare_t >::side< std::greater< std::size_t >, DUMMY >::empty_quote(), jb::itch5::testing::test_compute_book_add_order_message_sell(), jb::itch5::testing::test_compute_book_order_cancel_message(), jb::itch5::testing::test_compute_book_order_executed_message(), and jb::itch5::testing::test_compute_book_reduction_edge_cases().

◆ empty_bid_price()

price4_t jb::itch5::empty_bid_price ( )

inline

convenient value to represent an empty bid limit price

Definition at line 13 of file quote_defaults.hpp.

Referenced by empty_bid(), and jb::itch5::array_based_book_side< compare_t >::side< std::greater< std::size_t >, DUMMY >::empty_quote_price().

◆ empty_offer()

half_quote jb::itch5::empty_offer ( )

inline

The value used to represent an empty offer.

Definition at line 28 of file quote_defaults.hpp.

References empty_offer_price().

Referenced by jb::itch5::map_based_book_side< compare_t >::side< ordering, DUMMY >::empty_quote(), jb::itch5::array_based_book_side< compare_t >::side< ordering, DUMMY >::empty_quote(), jb::itch5::testing::test_compute_book_add_order_message_buy(), jb::itch5::testing::test_compute_book_order_cancel_message(), jb::itch5::testing::test_compute_book_order_executed_message(), jb::itch5::testing::test_compute_book_order_replace_message(), and jb::itch5::testing::test_compute_book_reduction_edge_cases().

◆ empty_offer_price()

price4_t jb::itch5::empty_offer_price ( )

inline

convenient value to represent an empty offer limit price

Definition at line 18 of file quote_defaults.hpp.

Referenced by empty_offer(), jb::itch5::array_based_book_side< compare_t >::side< ordering, DUMMY >::empty_quote_price(), and jb::itch5::array_based_book_side< compare_t >::get_limits().

◆ generate_inside()

template<typename duration_t , typename book_type >

bool jb::itch5::generate_inside	(	jb::offline_feed_statistics &	stats,
		std::ostream &	out,
		jb::itch5::message_header const &	header,
		jb::itch5::order_book< book_type > const &	book,
		jb::itch5::book_update const &	update,
		duration_t	processing_latency
	)

Determine if this event changes the inside, if so, record the statistics and output the result.

Template Parameters

duration_t	the type used to record the processing latency, must be compatible with a duration in the std::chrono sense.
book_type	the type used to define order_book<book_type>, must be compatible with jb::itch5::map_price

Parameters

stats	where to record the statistics
out	where to send the new inside quote if needed
header	(unused) the header for the message that generated this book update
book	the book updated
update	a report of the changes to the book
processing_latency	the time it took to process the event (before the any output is generated).

Returns: true if the inside is affected by the change, false otherwise.

Definition at line 78 of file generate_inside.hpp.

References jb::itch5::order_book< book_type >::best_bid(), jb::itch5::order_book< book_type >::best_offer(), record_latency_stats(), jb::itch5::book_update::stock, jb::itch5::message_header::stock_locate, jb::itch5::message_header::timestamp, and jb::itch5::timestamp::ts.

Referenced by main(), run_inside(), and jb::itch5::testing::test_generate_inside_basic().

◆ hash_value()

template<std::size_t size, typename F >

std::size_t jb::itch5::hash_value ( short_string_field< size, F > const & x )

Implement a hash function and integrate with boost::hash.

Definition at line 185 of file short_string_field.hpp.

References jb::itch5::short_string_field< wire_size_value, value_validator >::c_str(), and jb::testing::defaults::size.

◆ level_to_price()

template<typename price_field_t >

auto jb::itch5::level_to_price ( typename price_field_t::wire_type const p_level )

Compute the absolute price of a price level.

Parameters

p_level price level

Returns: absolute price

Exceptions

std::bad_range if p_level out of range

Definition at line 62 of file price_levels.hpp.

References price_levels().

◆ make_socket_udp_common()

template<class socket_t = boost::asio::ip::udp::socket>

void jb::itch5::make_socket_udp_common	(	socket_t &	s,
		udp_config_common const &	cfg
	)

Configure a UDP socket.

Template Parameters

socket_t the type of socket to create. The main reason to change this type is for dependency injection during testing.

Parameters

s	the socket to configure.
cfg	the socket configuration.

Definition at line 23 of file make_socket_udp_common.hpp.

References jb::debug, jb::itch5::udp_config_common::debug, jb::itch5::udp_config_common::do_not_route, jb::itch5::udp_config_common::linger, jb::itch5::udp_config_common::linger_seconds, jb::itch5::udp_config_common::receive_buffer_size, jb::itch5::udp_config_common::receive_low_watermark, jb::itch5::udp_config_common::send_buffer_size, and jb::itch5::udp_config_common::send_low_watermark.

Referenced by BOOST_AUTO_TEST_CASE(), make_socket_udp_recv(), and make_socket_udp_send().

◆ make_socket_udp_recv()

template<class socket_t = boost::asio::ip::udp::socket>

socket_t jb::itch5::make_socket_udp_recv	(	boost::asio::io_service &	io,
		udp_receiver_config const &	cfg
	)

Create a socket given the configuration parameters.

This is a function to create (open) sockets to receive UDP messages, either unicast or multicast and either IPv4 or IPv6.

Template Parameters

socket_t the type of socket to create. The main reason to change this type is for dependency injection during testing.

Parameters

io	the Boost.ASIO io_service object that the socket is managed by.
cfg	the configuration parameters for the socket.

Definition at line 71 of file make_socket_udp_recv.hpp.

References make_socket_udp_common(), and jb::itch5::detail::setup_socket_udp_recv().

Referenced by BOOST_AUTO_TEST_CASE().

◆ make_socket_udp_send()

template<class socket_t = boost::asio::ip::udp::socket>

socket_t jb::itch5::make_socket_udp_send	(	boost::asio::io_service &	io,
		udp_sender_config const &	cfg
	)

Create a socket to send UDP messages given the configuration parameters.

This is a function to create (open) sockets to send UDP messages, either unicast or multicast and either IPv4 or IPv6. The socket is bound to ADDRANY, and uses an ephemeral port selected by the operating system. The address family (v4 vs. v6) is selected based on the destination address.

Template Parameters

socket_t the type of socket to create. The main reason to change this type is for dependency injection during testing.

Parameters

io	the Boost.ASIO io_service object that the socket is managed by.
cfg	the socket configuration.

Definition at line 89 of file make_socket_udp_send.hpp.

References make_socket_udp_common(), and jb::itch5::detail::setup_socket_udp_send().

Referenced by BOOST_AUTO_TEST_CASE().

◆ max_price_field_value() [1/2]

template<typename price_field >

price_field jb::itch5::max_price_field_value ( )

inline

Definition at line 137 of file price_field.hpp.

References jb::itch5::price_field< wire_type_t, denom_v >::denom, and jb::itch5::price_field< wire_type_t, denom_v >::price_field().

◆ max_price_field_value() [2/2]

template<>

price4_t jb::itch5::max_price_field_value ( )

inline

Definition at line 144 of file price_field.hpp.

References jb::itch5::price_field< std::uint32_t, 10000 >::denom.

◆ operator!=()

bool jb::itch5::operator!=	(	book_update const &	a,
		book_update const &	b
	)

inline

Definition at line 511 of file compute_book.hpp.

◆ operator+()

template<typename price_field >

price_field jb::itch5::operator+	(	price_field const &	lhs,
		price_field const &	rhs
	)

inline

non-member addition operator

Definition at line 151 of file price_field.hpp.

◆ operator<<() [1/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		broken_trade_message const &	x
	)

Streaming operator for jb::itch5::broken_trade_message.

Definition at line 8 of file broken_trade_message.cpp.

References jb::itch5::broken_trade_message::header, and jb::itch5::broken_trade_message::match_number.

◆ operator<<() [2/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		order_delete_message const &	x
	)

Streaming operator for jb::itch5::order_delete_message.

Definition at line 8 of file order_delete_message.cpp.

References jb::itch5::order_delete_message::header, and jb::itch5::order_delete_message::order_reference_number.

◆ operator<<() [3/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		order_cancel_message const &	x
	)

Streaming operator for jb::itch5::order_cancel_message.

Definition at line 8 of file order_cancel_message.cpp.

References jb::itch5::order_cancel_message::canceled_shares, jb::itch5::order_cancel_message::header, and jb::itch5::order_cancel_message::order_reference_number.

◆ operator<<() [4/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		order_executed_message const &	x
	)

Streaming operator for jb::itch5::order_executed_message.

Definition at line 8 of file order_executed_message.cpp.

References jb::itch5::order_executed_message::executed_shares, jb::itch5::order_executed_message::header, jb::itch5::order_executed_message::match_number, and jb::itch5::order_executed_message::order_reference_number.

◆ operator<<() [5/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		reg_sho_restriction_message const &	x
	)

Streaming operator for jb::itch5::reg_sho_restriction_message.

Definition at line 8 of file reg_sho_restriction_message.cpp.

References jb::itch5::reg_sho_restriction_message::header, jb::itch5::reg_sho_restriction_message::reg_sho_action, and jb::itch5::reg_sho_restriction_message::stock.

◆ operator<<() [6/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		mwcb_decline_level_message const &	x
	)

Streaming operator for jb::itch5::mwcb_decline_level_message.

Definition at line 8 of file mwcb_decline_level_message.cpp.

References jb::itch5::mwcb_decline_level_message::header, jb::itch5::mwcb_decline_level_message::level_1, jb::itch5::mwcb_decline_level_message::level_2, and jb::itch5::mwcb_decline_level_message::level_3.

◆ operator<<() [7/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		mwcb_breach_message const &	x
	)

Streaming operator for jb::itch5::mwcb_breach_message.

Definition at line 8 of file mwcb_breach_message.cpp.

References jb::itch5::mwcb_breach_message::breached_level, and jb::itch5::mwcb_breach_message::header.

◆ operator<<() [8/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		cross_trade_message const &	x
	)

Streaming operator for jb::itch5::cross_trade_message.

Definition at line 8 of file cross_trade_message.cpp.

References jb::itch5::cross_trade_message::cross_price, jb::itch5::cross_trade_message::cross_type, jb::itch5::cross_trade_message::header, jb::itch5::cross_trade_message::match_number, jb::itch5::cross_trade_message::shares, and jb::itch5::cross_trade_message::stock.

◆ operator<<() [9/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		order_replace_message const &	x
	)

Streaming operator for jb::itch5::order_replace_message.

Definition at line 8 of file order_replace_message.cpp.

References jb::itch5::order_replace_message::header, jb::itch5::order_replace_message::new_order_reference_number, jb::itch5::order_replace_message::original_order_reference_number, jb::itch5::order_replace_message::price, and jb::itch5::order_replace_message::shares.

◆ operator<<() [10/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		add_order_message const &	x
	)

Streaming operator for jb::itch5::add_order_message.

Definition at line 8 of file add_order_message.cpp.

References jb::itch5::add_order_message::buy_sell_indicator, jb::itch5::add_order_message::header, jb::itch5::add_order_message::order_reference_number, jb::itch5::add_order_message::price, jb::itch5::add_order_message::shares, and jb::itch5::add_order_message::stock.

◆ operator<<() [11/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		trade_message const &	x
	)

Streaming operator for jb::itch5::trade_message.

Definition at line 7 of file trade_message.cpp.

References jb::itch5::trade_message::buy_sell_indicator, jb::itch5::trade_message::header, jb::itch5::trade_message::match_number, jb::itch5::trade_message::order_reference_number, jb::itch5::trade_message::price, jb::itch5::trade_message::shares, and jb::itch5::trade_message::stock.

◆ operator<<() [12/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		system_event_message const &	x
	)

Streaming operator for jb::itch5::system_event_message.

Definition at line 8 of file system_event_message.cpp.

References jb::itch5::system_event_message::event_code, and jb::itch5::system_event_message::header.

◆ operator<<() [13/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		stock_trading_action_message const &	x
	)

Streaming operator for jb::itch5::stock_trading_action_message.

Definition at line 8 of file stock_trading_action_message.cpp.

References jb::itch5::stock_trading_action_message::header, jb::itch5::stock_trading_action_message::reason, jb::itch5::stock_trading_action_message::reserved, jb::itch5::stock_trading_action_message::stock, and jb::itch5::stock_trading_action_message::trading_state.

◆ operator<<() [14/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		ipo_quoting_period_update_message const &	x
	)

Streaming operator for jb::itch5::ipo_quoting_period_update_message.

Definition at line 8 of file ipo_quoting_period_update_message.cpp.

References jb::itch5::ipo_quoting_period_update_message::header, jb::itch5::ipo_quoting_period_update_message::ipo_price, jb::itch5::ipo_quoting_period_update_message::ipo_quotation_release_qualifier, jb::itch5::ipo_quoting_period_update_message::ipo_quotation_release_time, and jb::itch5::ipo_quoting_period_update_message::stock.

◆ operator<<() [15/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		add_order_mpid_message const &	x
	)

Streaming operator for jb::itch5::add_order_mpid_message.

Definition at line 8 of file add_order_mpid_message.cpp.

References jb::itch5::add_order_mpid_message::attribution.

◆ operator<<() [16/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		order_executed_price_message const &	x
	)

Streaming operator for jb::itch5::order_executed_price_message.

Definition at line 8 of file order_executed_price_message.cpp.

References jb::itch5::order_executed_price_message::execution_price, and jb::itch5::order_executed_price_message::printable.

◆ operator<<() [17/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		net_order_imbalance_indicator_message const &	x
	)

Streaming operator for jb::itch5::net_order_imbalance_indicator_message.

Definition at line 8 of file net_order_imbalance_indicator_message.cpp.

◆ operator<<() [18/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		message_header const &	x
	)

Streaming operator for jb::itch5::message_header.

Definition at line 6 of file message_header.cpp.

References jb::itch5::message_header::message_type, jb::itch5::message_header::stock_locate, jb::itch5::message_header::timestamp, and jb::itch5::message_header::tracking_number.

◆ operator<<() [19/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		timestamp const &	x
	)

Streaming operator for jb::itch5::timestamp.

Definition at line 21 of file timestamp.cpp.

References jb::itch5::timestamp::ts.

◆ operator<<() [20/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		market_participant_position_message const &	x
	)

Streaming operator for jb::itch5::market_participant_position_message.

Definition at line 8 of file market_participant_position_message.cpp.

References jb::itch5::market_participant_position_message::header, jb::itch5::market_participant_position_message::market_maker_mode, jb::itch5::market_participant_position_message::market_participant_state, jb::itch5::market_participant_position_message::mpid, jb::itch5::market_participant_position_message::primary_market_maker, and jb::itch5::market_participant_position_message::stock.

◆ operator<<() [21/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		seconds_field const &	x
	)

Streaming operator for jb::itch5::seconds_field.

Definition at line 20 of file seconds_field.cpp.

References jb::itch5::seconds_field::int_seconds().

◆ operator<<() [22/27]

template<int... V>

std::ostream& jb::itch5::operator<<	(	std::ostream &	os,
		char_list_field< V... > const &	x
	)

Streaming operator for jb::itch5::char_list_field<>

Definition at line 94 of file char_list_field.hpp.

References jb::itch5::char_list_field< V >::as_int().

◆ operator<<() [23/27]

template<typename wire_type_t , std::intmax_t denom_v>

std::ostream& jb::itch5::operator<<	(	std::ostream &	os,
		price_field< wire_type_t, denom_v > const &	x
	)

Streaming operator for jb::itch5::price_field<>

Definition at line 123 of file price_field.hpp.

◆ operator<<() [24/27]

template<std::size_t size, typename F >

std::ostream& jb::itch5::operator<<	(	std::ostream &	os,
		short_string_field< size, F > const &	x
	)

Streaming operator for jb::itch5::short_string_field<>

Definition at line 179 of file short_string_field.hpp.

◆ operator<<() [25/27]

std::ostream & jb::itch5::operator<<	(	std::ostream &	os,
		stock_directory_message const &	x
	)

Streaming operator for jb::itch5::stock_directory_message.

Definition at line 26 of file stock_directory_message.cpp.

◆ operator<<() [26/27]

std::ostream& jb::itch5::operator<<	(	std::ostream &	os,
		book_update const &	x
	)

Definition at line 515 of file compute_book.hpp.

References jb::itch5::book_update::buy_sell_indicator, jb::itch5::book_update::px, jb::itch5::book_update::qty, and jb::itch5::book_update::stock.

◆ operator<<() [27/27]

std::ostream& jb::itch5::operator<<	(	std::ostream &	os,
		order_data const &	x
	)

Definition at line 520 of file compute_book.hpp.

References jb::itch5::order_data::buy_sell_indicator, jb::itch5::order_data::px, jb::itch5::order_data::qty, and jb::itch5::order_data::stock.

◆ operator==()

bool jb::itch5::operator==	(	book_update const &	a,
		book_update const &	b
	)

inline

Definition at line 505 of file compute_book.hpp.

References jb::itch5::book_update::buy_sell_indicator, jb::itch5::book_update::px, jb::itch5::book_update::qty, jb::itch5::book_update::recvts, and jb::itch5::book_update::stock.

Referenced by BOOST_AUTO_TEST_CASE().

◆ price_levels()

template<typename price_field_t >

std::size_t jb::itch5::price_levels	(	price_field_t	lo,
		price_field_t	hi
	)

Compute the number of price levels between two prices.

Parameters

lo	the low end of the range of price levels
hi	the hi end of the range of price levels

Returns: the number of price levels between lo and hi

Exceptions

std::bad_range if hi < lo

Definition at line 20 of file price_levels.hpp.

Referenced by jb::itch5::array_based_book_side< compare_t >::add_order(), jb::itch5::array_based_book_side< compare_t >::get_limits(), level_to_price(), jb::itch5::array_based_book_side< compare_t >::price_levels_empty_quote(), and jb::itch5::array_based_book_side< compare_t >::reduce_order().

◆ process_iostream()

template<typename message_handler >

void jb::itch5::process_iostream	(	std::istream &	in,
		message_handler &	handler
	)

Process an iostream of ITCH-5.0 messages.

This is just a wrapper around jb::itch5::process_iostream_mlist() using all the messages in ITCH-5.0 as the allowed message list.

Please see jb::itch5::message_handler_concept for a detailed description of the message_handler requirements.

Definition at line 56 of file process_iostream.hpp.

Referenced by main(), and run_inside().

◆ process_iostream_mlist()

template<typename message_handler , typename... message_types>

void jb::itch5::process_iostream_mlist	(	std::istream &	is,
		message_handler &	handler
	)

Definition at line 28 of file process_iostream_mlist.hpp.

References jb::error, JB_LOG, and jb::itch5::decoder< validate, T >::r().

Referenced by BOOST_AUTO_TEST_CASE().

◆ raise_validation_failed()

void jb::itch5::raise_validation_failed	(	char const *	where,
		char const *	what
	)

Convenience function to raise an exception upon a validation error.

Exceptions

std::runtime_error

Parameters

where	a string representing what class, function or component detected the problem.
what	a string representing what value or expression failed its validation.

Definition at line 18 of file check_offset.cpp.

Referenced by check_offset(), and jb::itch5::short_string_field< 8 >::validate().

◆ record_latency_stats()

template<typename duration_t , typename book_type >

bool jb::itch5::record_latency_stats	(	jb::offline_feed_statistics &	stats,
		jb::itch5::message_header const &	header,
		jb::itch5::order_book< book_type > const &	book,
		jb::itch5::book_update const &	update,
		duration_t	processing_latency
	)

Determine if this event changes the inside, if so, record the statistics.

Template Parameters

duration_t	the type used to record the processing latency, must be compatible with a duration in the std::chrono sense.
book_type	the type used to define the book type, order_book<book_type>, must be compatible with jb::itch5::map_price.

Parameters

stats	where to record the statistics
header	(unused) the header for the message that generated this book update
book	the book updated
update	a report of the changes to the book
processing_latency	the time it took to process the event (before the any output is generated).

Returns: true if the inside is affected by the change, false otherwise.

Definition at line 31 of file generate_inside.hpp.

References jb::itch5::order_book< book_type >::best_bid(), jb::itch5::order_book< book_type >::best_offer(), jb::itch5::book_update::buy_sell_indicator, jb::itch5::book_update::cxlreplx, jb::itch5::book_update::oldpx, jb::itch5::book_update::px, jb::offline_feed_statistics::sample(), jb::itch5::message_header::timestamp, and jb::itch5::timestamp::ts.

Referenced by generate_inside().

◆ static_digits()

constexpr int jb::itch5::static_digits ( std::intmax_t value )

Compute (at compile time if possible) the number of digits in a number.

Definition at line 11 of file static_digits.hpp.

Referenced by BOOST_AUTO_TEST_CASE().

Namespaces

Classes

Typedefs

Functions

Detailed Description

Class Documentation

◆ jb::itch5::array_based_order_book

◆ jb::itch5::book_update

◆ jb::itch5::map_based_order_book

◆ jb::itch5::message_header

◆ jb::itch5::order_data

◆ jb::itch5::process_buffer_mlist

template<typename message_handler, typename... message_types> class jb::itch5::process_buffer_mlist< message_handler, message_types >

◆ jb::itch5::timestamp

Typedef Documentation

◆ authenticity_t

◆ book_depth_t

◆ breached_level_t

◆ buy_sell_indicator_t

◆ clock_type

◆ cross_type_t

◆ etp_flag_t

◆ event_code_t

◆ financial_status_indicator_t

◆ half_quote

◆ imbalance_direction_t

◆ inverse_indicator_t

◆ ipo_flag_t

◆ ipo_quotation_release_qualifier_t

◆ issue_classification_t

◆ issue_subtype_t

◆ luld_reference_price_tier_t

◆ market_category_t

◆ market_maker_mode_t

◆ market_participant_state_t

◆ mpid_t

◆ price4_t

◆ price8_t

◆ price_variation_indicator_t

◆ primary_market_maker_t

◆ printable_t

◆ reason_t

◆ reg_sho_action_t

◆ roundlots_only_t

◆ short_sale_threshold_indicator_t

◆ stock_t

◆ time_point

◆ trading_state_t

Function Documentation

◆ char_list_validation_failed()

◆ check_offset()

◆ check_offset< true >()

◆ check_seconds_field_range()

◆ check_seconds_field_range< true >()

◆ check_timestamp_range()

◆ check_timestamp_range< true >()

◆ empty_bid()

◆ empty_bid_price()

◆ empty_offer()

◆ empty_offer_price()

◆ generate_inside()

◆ hash_value()

◆ level_to_price()

◆ make_socket_udp_common()

◆ make_socket_udp_recv()

◆ make_socket_udp_send()

◆ max_price_field_value() [1/2]

◆ max_price_field_value() [2/2]

◆ operator!=()

◆ operator+()

◆ operator<<() [1/27]

◆ operator<<() [2/27]

◆ operator<<() [3/27]

◆ operator<<() [4/27]

◆ operator<<() [5/27]

◆ operator<<() [6/27]

◆ operator<<() [7/27]

◆ operator<<() [8/27]

◆ operator<<() [9/27]

◆ operator<<() [10/27]

template<typename message_handler, typename... message_types>
class jb::itch5::process_buffer_mlist< message_handler, message_types >