jb::pitch2 Namespace Reference

Classes
struct	add_order_message
	Represent the 'Add Order' message in the PITCH-2.X protocol. More...
struct	auction_update_message
	Represent the 'Auction Update' message in the PITCH-2.X protocol. More...
struct	base_add_order_message
	Common type for the 'Add Order' messages in the PITCH-2.X protocol. More...
struct	delete_order_message
	Represent the 'Delete Order' message in the PITCH-2.X protocol. More...
struct	expanded_add_order_message
	Represent the 'Add Order' message in the PITCH-2.X protocol. More...
struct	modify_long_message
	Represent the 'Modify (long)' messages in the PITCH-2.X protocol. More...
struct	modify_message
	Represent the 'Modify' messages in the PITCH-2.X protocol. More...
struct	modify_short_message
	Represent the 'Modify (short)' messages in the PITCH-2.X protocol. More...
struct	order_executed_message
	Represent the 'Order Executed' message in the PITCH-2.X protocol. More...
struct	order_executed_price_message
	Represent the 'Order Executed at Price/Size' message in the PITCH-2.X protocol. More...
struct	reduce_size_long_message
	Represent the 'Reduce Size (long)' messages in the PITCH-2.X protocol. More...
struct	reduce_size_message
	Represent the 'Reduce Size' messages in the PITCH-2.X protocol. More...
struct	reduce_size_short_message
	Represent the 'Reduce Size (short)' messages in the PITCH-2.X protocol. More...
struct	short_add_order_message
	Represent the short version of 'Add Order' message in the PITCH-2.X protocol. More...
struct	time_message
	Represent the 'Time' message in the PITCH-2.X protocol. More...
struct	unit_clear_message
	Represent the 'Unit Clear' message in the PITCH-2.X protocol. More...

Functions
std::ostream &	operator<< (std::ostream &os, add_order_message const &x)
	Streaming operator for jb::pitch2::add_order_message. More...
std::ostream &	operator<< (std::ostream &os, auction_update_message const &x)
	Streaming operator for jb::pitch2::auction_update_message. More...
template<typename qT , typename sT , typename pT >
std::ostream &	operator<< (std::ostream &os, base_add_order_message< qT, sT, pT > const &x)
	Streaming operator for jb::pitch2::add_order_message. More...
std::ostream &	operator<< (std::ostream &os, delete_order_message const &x)
	Streaming operator for jb::pitch2::delete_message. More...
std::ostream &	operator<< (std::ostream &os, expanded_add_order_message const &x)
	Streaming operator for jb::pitch2::expanded_add_order_message. More...
template<typename quantity_t , typename price_t >
std::ostream &	stream_modify_message (std::ostream &os, modify_message< quantity_t, price_t > const &x)
std::ostream &	operator<< (std::ostream &os, modify_long_message const &x)
	Streaming operator for jb::pitch2::modify_message. More...
std::ostream &	operator<< (std::ostream &os, modify_short_message const &x)
	Streaming operator for jb::pitch2::modify_message. More...
std::ostream &	operator<< (std::ostream &os, order_executed_message const &x)
	Streaming operator for jb::pitch2::order_executed_message. More...
std::ostream &	operator<< (std::ostream &os, order_executed_price_message const &x)
	Streaming operator for jb::pitch2::order_executed_price_message. More...
template<typename quantity_t >
std::ostream &	stream_reduce_size_message (std::ostream &os, reduce_size_message< quantity_t > const &x)
std::ostream &	operator<< (std::ostream &os, reduce_size_long_message const &x)
	Streaming operator for jb::pitch2::reduce_size_message. More...
std::ostream &	operator<< (std::ostream &os, reduce_size_short_message const &x)
	Streaming operator for jb::pitch2::reduce_size_message. More...
std::ostream &	operator<< (std::ostream &os, short_add_order_message const &x)
	Streaming operator for jb::pitch2::short_add_order_message. More...
std::ostream &	operator<< (std::ostream &os, time_message const &x)
	Streaming operator for jb::pitch2::time_message. More...
std::ostream &	operator<< (std::ostream &os, unit_clear_message const &x)
	Streaming operator for jb::pitch2::unit_clear_message. More...

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Class Documentation

jb::pitch2::base_add_order_message

struct jb::pitch2::base_add_order_message

template<typename quantity_t, typename symbol_t, typename price_t>
struct jb::pitch2::base_add_order_message< quantity_t, symbol_t, price_t >

Common type for the 'Add Order' messages in the PITCH-2.X protocol.

The protocol defines 3 different 'Add Order' messages, which are largely identical except for the width of some of the fields. We use this template class to represent the common structure of these messages.

Template Parameters

quantity_t	the type used for the quantity field.
price_t	the type used for the price field.
symbol_t	the type used for the symbol field.

Definition at line 23 of file base_add_order_message.hpp.

Class Members
typedef price_t	price_type	Capture the price_type template parameter as a trait.
typedef quantity_t	quantity_type	Capture the quantity_type template parameter as a trait.
typedef symbol_t	symbol_type	The type for the symbol field.

Class Members
little_uint8_buf_t	add_flags
little_uint8_buf_t	length
little_uint8_buf_t	message_type
little_uint64_buf_t	order_id
price_type	price
quantity_type	quantity
little_uint8_buf_t	side_indicator
symbol_type	symbol
little_uint32_buf_t	time_offset

jb::pitch2::modify_message

struct jb::pitch2::modify_message

template<typename quantity_t, typename price_t>
struct jb::pitch2::modify_message< quantity_t, price_t >

Represent the 'Modify' messages in the PITCH-2.X protocol.

A full description of the fields can be found in the BATS PITCH-2.X specification: https://www.batstrading.com/resources/membership/BATS_MC_PITCH_Specification.pdf

Template Parameters

quantity_t	the type used for the quantity field.
price_t	the type used for the price field.

Definition at line 22 of file modify_message.hpp.

Class Members
typedef price_t	price_type	Capture the price_t template parameter as a trait.
typedef quantity_t	quantity_type	Capture the quantity_t template parameter as a trait.

Class Members
little_uint8_buf_t	length
little_uint8_buf_t	message_type
little_uint8_buf_t	modify_flags
little_uint64_buf_t	order_id
price_type	price
quantity_type	quantity
little_uint32_buf_t	time_offset

jb::pitch2::reduce_size_message

struct jb::pitch2::reduce_size_message

template<typename quantity_t>
struct jb::pitch2::reduce_size_message< quantity_t >

Represent the 'Reduce Size' messages in the PITCH-2.X protocol.

A full description of the fields can be found in the BATS PITCH-2.X specification: https://www.batstrading.com/resources/membership/BATS_MC_PITCH_Specification.pdf

Template Parameters

quantity_t

the type used for the canceled_quantity field.

Definition at line 21 of file reduce_size_message.hpp.

Class Members
typedef quantity_t	quantity_type	Capture the quantity_t template parameter as a trait.

Class Members
quantity_type	canceled_quantity
little_uint8_buf_t	length
little_uint8_buf_t	message_type
little_uint64_buf_t	order_id
little_uint32_buf_t	time_offset

Function Documentation

operator<<() [1/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		add_order_message const &	x
	)

Streaming operator for jb::pitch2::add_order_message.

Definition at line 7 of file add_order_message.cpp.

operator<<() [2/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		expanded_add_order_message const &	x
	)

Streaming operator for jb::pitch2::expanded_add_order_message.

Definition at line 8 of file expanded_add_order_message.cpp.

References jb::pitch2::expanded_add_order_message::participant_id.

operator<<() [3/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		short_add_order_message const &	x
	)

Streaming operator for jb::pitch2::short_add_order_message.

Definition at line 7 of file short_add_order_message.cpp.

operator<<() [4/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		delete_order_message const &	x
	)

Streaming operator for jb::pitch2::delete_message.

Definition at line 8 of file delete_order_message.cpp.

References jb::pitch2::delete_order_message::length, jb::pitch2::delete_order_message::message_type, jb::pitch2::delete_order_message::order_id, and jb::pitch2::delete_order_message::time_offset.

operator<<() [5/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		unit_clear_message const &	x
	)

Streaming operator for jb::pitch2::unit_clear_message.

Definition at line 8 of file unit_clear_message.cpp.

References jb::pitch2::unit_clear_message::length, jb::pitch2::unit_clear_message::message_type, and jb::pitch2::unit_clear_message::time_offset.

operator<<() [6/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		auction_update_message const &	x
	)

Streaming operator for jb::pitch2::auction_update_message.

Definition at line 8 of file auction_update_message.cpp.

References jb::pitch2::auction_update_message::auction_only_price, jb::pitch2::auction_update_message::auction_type, jb::pitch2::auction_update_message::buy_shares, jb::pitch2::auction_update_message::indicative_price, jb::pitch2::auction_update_message::length, jb::pitch2::auction_update_message::message_type, jb::pitch2::auction_update_message::reference_price, jb::pitch2::auction_update_message::sell_shares, jb::pitch2::auction_update_message::stock_symbol, and jb::pitch2::auction_update_message::time_offset.

operator<<() [7/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		time_message const &	x
	)

Streaming operator for jb::pitch2::time_message.

Definition at line 8 of file time_message.cpp.

References jb::pitch2::time_message::length, jb::pitch2::time_message::message_type, and jb::pitch2::time_message::time.

operator<<() [8/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		order_executed_message const &	x
	)

Streaming operator for jb::pitch2::order_executed_message.

Definition at line 9 of file order_executed_message.cpp.

References jb::pitch2::order_executed_message::executed_quantity, jb::pitch2::order_executed_message::execution_id, jb::pitch2::order_executed_message::length, jb::pitch2::order_executed_message::message_type, jb::pitch2::order_executed_message::order_id, and jb::pitch2::order_executed_message::time_offset.

operator<<() [9/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		order_executed_price_message const &	x
	)

Streaming operator for jb::pitch2::order_executed_price_message.

Definition at line 10 of file order_executed_price_message.cpp.

References jb::pitch2::order_executed_price_message::executed_quantity, jb::pitch2::order_executed_price_message::execution_id, jb::pitch2::order_executed_price_message::length, jb::pitch2::order_executed_price_message::message_type, jb::pitch2::order_executed_price_message::order_id, jb::pitch2::order_executed_price_message::price, jb::pitch2::order_executed_price_message::remaining_quantity, and jb::pitch2::order_executed_price_message::time_offset.

operator<<() [10/14]

template<typename qT , typename sT , typename pT >

std::ostream& jb::pitch2::operator<<	(	std::ostream &	os,
		base_add_order_message< qT, sT, pT > const &	x
	)

Streaming operator for jb::pitch2::add_order_message.

Definition at line 14 of file base_add_order_message_streaming.hpp.

operator<<() [11/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		reduce_size_long_message const &	x
	)

Streaming operator for jb::pitch2::reduce_size_message.

Definition at line 18 of file reduce_size_message.cpp.

References stream_reduce_size_message().

operator<<() [12/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		modify_long_message const &	x
	)

Streaming operator for jb::pitch2::modify_message.

Definition at line 20 of file modify_message.cpp.

References stream_modify_message().

operator<<() [13/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		reduce_size_short_message const &	x
	)

Streaming operator for jb::pitch2::reduce_size_message.

Definition at line 22 of file reduce_size_message.cpp.

References stream_reduce_size_message().

operator<<() [14/14]

std::ostream & jb::pitch2::operator<<	(	std::ostream &	os,
		modify_short_message const &	x
	)

Streaming operator for jb::pitch2::modify_message.

Definition at line 24 of file modify_message.cpp.

References stream_modify_message().

stream_modify_message()

template<typename quantity_t , typename price_t >

std::ostream& jb::pitch2::stream_modify_message	(	std::ostream &	os,
		modify_message< quantity_t, price_t > const &	x
	)

Definition at line 9 of file modify_message.cpp.

References jb::pitch2::modify_message< quantity_t, price_t >::length, jb::pitch2::modify_message< quantity_t, price_t >::message_type, jb::pitch2::modify_message< quantity_t, price_t >::modify_flags, jb::pitch2::modify_message< quantity_t, price_t >::order_id, jb::pitch2::modify_message< quantity_t, price_t >::price, jb::pitch2::modify_message< quantity_t, price_t >::quantity, and jb::pitch2::modify_message< quantity_t, price_t >::time_offset.

Referenced by operator<<().

stream_reduce_size_message()

template<typename quantity_t >

std::ostream& jb::pitch2::stream_reduce_size_message	(	std::ostream &	os,
		reduce_size_message< quantity_t > const &	x
	)

Definition at line 9 of file reduce_size_message.cpp.

References jb::pitch2::reduce_size_message< quantity_t >::canceled_quantity, jb::pitch2::reduce_size_message< quantity_t >::length, jb::pitch2::reduce_size_message< quantity_t >::message_type, jb::pitch2::reduce_size_message< quantity_t >::order_id, and jb::pitch2::reduce_size_message< quantity_t >::time_offset.

Referenced by operator<<().