fastmm::RecordHeader Struct Reference

#include <fastmm/core/record_stream.hpp>

Public Types
enum	Flags : std::uint8_t {   kSynthetic = 1U << 0 , kLate = 1U << 1 , kUnknown = 1U << 2 , kTerminal = 1U << 3 ,   kVenue = 1U << 4 , kReplayed = 1U << 5 }

Public Attributes
std::uint32_t	len
	total bytes, a multiple of 64 (offset 0)
RecordType	type
	(4)
std::uint8_t	version
	kRecordVersion (5)
VenueId	venue
	(6)
std::uint8_t	flags
	(7)
InstrumentId	instrument
	invalid when the record is not per instrument (8)
std::uint8_t	aux [4]
	record-specific small fields (12)
std::uint64_t	seq
	record order within the session, from 1 (16)
Timestamp	engine_ts
	the engine clock the record was made at (24)
Timestamp	wall_ts
	wall clock at the same point (32)
std::uint64_t	session_id
	(40)
Timestamp	exch_ts
	The venue's time of the event behind the record (a fill: the trade time the venue reported), 0 when there is none.
std::uint8_t	pad_ [8]
	-> 64

Member Enumeration Documentation

Flags

enum fastmm::RecordHeader::Flags : std::uint8_t

Enumerator
kSynthetic	booked by the engine, not reported by the venue (a cum_qty jump)
kLate	fill for an order that was already terminal; on an order record, that fill's update of the order (only cum_qty and state are valid)
kUnknown	fill for an order id the OMS does not know
kTerminal	the order reached a terminal state with this record
kVenue	kill record: one venue's switch, not the global one
kReplayed	funding record: from the venue's history, not its private stream

Member Data Documentation

len

std::uint32_t fastmm::RecordHeader::len

total bytes, a multiple of 64 (offset 0)

type

RecordType fastmm::RecordHeader::type

(4)

version

std::uint8_t fastmm::RecordHeader::version

kRecordVersion (5)

venue

VenueId fastmm::RecordHeader::venue

(6)

flags

std::uint8_t fastmm::RecordHeader::flags

(7)

instrument

InstrumentId fastmm::RecordHeader::instrument

invalid when the record is not per instrument (8)

aux

std::uint8_t fastmm::RecordHeader::aux[4]

record-specific small fields (12)

seq

std::uint64_t fastmm::RecordHeader::seq

record order within the session, from 1 (16)

engine_ts

Timestamp fastmm::RecordHeader::engine_ts

the engine clock the record was made at (24)

wall_ts

Timestamp fastmm::RecordHeader::wall_ts

wall clock at the same point (32)

session_id

std::uint64_t fastmm::RecordHeader::session_id

(40)

exch_ts

Timestamp fastmm::RecordHeader::exch_ts

The venue's time of the event behind the record (a fill: the trade time the venue reported), 0 when there is none.

A restart resumes the venue's execution replay from it (store/reader.hpp). (48)

pad_

std::uint8_t fastmm::RecordHeader::pad_[8]

-> 64