jb::mktdata::security_id Struct Reference

Security identifiers in JayBeam messages. More...

#include <security_id.hpp>

Public Attributes
boost::endian::little_uint32_buf_t	id
	The JayBeams internal identifier for the security. More...

Static Public Attributes
static constexpr std::size_t	normalized_size = 24
	The maximum size for normalized security tickers in JayBeams. More...
static constexpr std::size_t	feed_size = normalized_size
	The maximum expected size for security tickers in JayBeams. More...

Detailed Description

Security identifiers in JayBeam messages.

Market feeds often use a short string (or sometimes a number, represented as a decimal string) to represent a security. Using strings to represent the most common identifier in market data applications is wasteful, JayBeams assigns a unique number to each security, and propagates the number through the system.

Applications that need to print the identifier in human readable form, or send it outside the system (say for clearing, or order placement) need to lookup the identifier in a table. TODO() - implement the table using etcd and updates from market feeds. TODO() - implement the table using a well known list for testing TODO() - implement the table using flat files for testing

Definition at line 26 of file security_id.hpp.

Member Data Documentation

feed_size

constexpr std::size_t jb::mktdata::security_id::feed_size = normalized_size

static

The maximum expected size for security tickers in JayBeams.

See the comment for the normalized ticker sizes.

Definition at line 49 of file security_id.hpp.

id

boost::endian::little_uint32_buf_t jb::mktdata::security_id::id

The JayBeams internal identifier for the security.

Definition at line 28 of file security_id.hpp.

normalized_size

constexpr std::size_t jb::mktdata::security_id::normalized_size = 24

static

The maximum size for normalized security tickers in JayBeams.

We do not have an authoritative source for the maximum ticker name globally. ISO-6166 (ISIN) only require 12 characters. In my experience no US equity market requires more than 8 characters. The US option markets require 21 characters for a security: https://en.wikipedia.org/wiki/Option_symbol TODO() - check global markets, particularly Japan and the UK. Japan as I recall uses a long number, and UK uses SEDOLs.

Definition at line 42 of file security_id.hpp.

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The documentation for this struct was generated from the following file:

• jb/mktdata/security_id.hpp