algotradelib::QuoteSnapshot Struct Reference

A quote: the last traded price of an instrument at a point in time. More...

#include <algotradelib/src/core/types.hpp>

Collaboration diagram for algotradelib::QuoteSnapshot:

Public Attributes
InstrumentId	instrument_
	The instrument.
Decimal64	last_price_
	The last traded price, as the broker reported it.
Currency	currency_
	The currency of last_price_.
std::optional< std::chrono::system_clock::time_point >	exchange_time_
	When the exchange says the quote was true, if the broker gave a timestamp.
std::chrono::system_clock::time_point	received_at_
	When this process received the quote, on this machine's clock.
std::optional< TopOfBook >	top_of_book_
	The best bid and offer.
std::optional< Decimal64 >	volume_
	The session's cumulative traded volume, if the broker gave it.

Detailed Description

A quote: the last traded price of an instrument at a point in time.

Definition at line 870 of file types.hpp.

Member Data Documentation

currency_

Currency algotradelib::QuoteSnapshot::currency_

The currency of last_price_.

Definition at line 876 of file types.hpp.

exchange_time_

std::optional<std::chrono::system_clock::time_point> algotradelib::QuoteSnapshot::exchange_time_

When the exchange says the quote was true, if the broker gave a timestamp.

Definition at line 878 of file types.hpp.

instrument_

InstrumentId algotradelib::QuoteSnapshot::instrument_

The instrument.

Definition at line 872 of file types.hpp.

Referenced by algotradelib::backtest::Backtester< Strategy, CapsType >::feed(), and algotradelib::runner::Runner< Strategy, CapsType, Tag, Executor >::feed().

last_price_

Decimal64 algotradelib::QuoteSnapshot::last_price_

The last traded price, as the broker reported it.

Definition at line 874 of file types.hpp.

Referenced by algotradelib::backtest::Backtester< Strategy, CapsType >::feed(), and algotradelib::runner::Runner< Strategy, CapsType, Tag, Executor >::feed().

received_at_

std::chrono::system_clock::time_point algotradelib::QuoteSnapshot::received_at_

When this process received the quote, on this machine's clock.

Definition at line 880 of file types.hpp.

Referenced by algotradelib::backtest::Backtester< Strategy, CapsType >::feed(), and algotradelib::runner::Runner< Strategy, CapsType, Tag, Executor >::feed().

top_of_book_

std::optional<TopOfBook> algotradelib::QuoteSnapshot::top_of_book_

The best bid and offer.

Warning

Only Kiwoom's quote fills this (from ka10007's best bid and offer); it is empty on every quote from KIS or Toss. For the spread or midpoint there, read the order book with the session's depth().

Definition at line 889 of file types.hpp.

volume_

std::optional<Decimal64> algotradelib::QuoteSnapshot::volume_

The session's cumulative traded volume, if the broker gave it.

Definition at line 891 of file types.hpp.

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

• algotradelib/src/core/types.hpp