A session with MarketFactory for trading with all the venues for which a user has access. More...

#include <MFTradingSession.h>

Inheritance diagram for MFTradingSession:

Public Member Functions

void logon ()

Sends a logon message with the supplied username and password. Should only be called in the event loop by the handler. More...

void logout ()

Initiates logout. This should be called so a clean and dirty (one where the socket closes w/o a logout) can be easily differentiated. Should only be called in the event loop by the handler. More...

void logoutResponse ()

The response to a logout from the server. This should be called if a logout is received so that the client can indicate a clean logout. Should only be called in the event loop by the handler. More...

void marketDefinitionRequest ()

A request to receive the definitions of each market. More...

uint64_t getSendingTime () const

Retrieve the sending time of the current frame. More...

void tradingRequest (MFProto::VenueID venueID, mftrading::SubscriptionRequestType::Value subType, MFProto::SeqNum nextExpSeqNum)

A request to subscribe or unsubscribe to/from a particular venue (as specified by the venueID parameter) in order to trade or stop trading. A message of type mftrading::TradingSessionStatusRequest will be sent.

Parameters

venueID	MFProto::VenueID
subType	mftrading::SubscriptionRequestType::Value - Subscribe or Unsubscribe
nextExpSeqNum	MFProto::SeqNum

More...

void newOrderSingle ()

Submit an order. The order submitted will be the mftrading::NewOrderSingle object that was returned as a reference from the last call to MFTradingSession::createNewOrderSingle() More...

mftrading::NewOrderSingle & createNewOrderSingle (MFProto::VenueID venueID, MFProto::SecurityID securityID, const char *clOrdId, mftrading::Side::Value side, mftrading::OrdType::Value ordType, mftrading::TimeInForce::Value timeInForce, const char **strategyParamName=NULL, mftrading::StrategyParameterType::Value *strategyParamType=NULL, const char **strategyParamValue=NULL, int nStrategyParams=0)

Allocate mftrading::NewOrderSingle object and populate it with the supplied parameters.

Parameters

venueID	MFProto::VenueID
securityID	MFProto::SecurityID
clOrdId	Client order id. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
side	mftrading::Side::Value
ordType	mftrading::OrdType::Value
timeInForce	mftrading::TimeInForce::Value
strategyParamName	Array of mftrading::NewOrderSingle::StrategyParametersGrp StrategyParamName entries. Each StrategyParamName entry is a string up to 32 characters long. Default is NULL
strategyParamType	Array of mftrading::StrategyParameterType::Value entries. Default is NULL
strategyParamValue	Array of mftrading::NewOrderSingle::StrategyParametersGrp StrategyParamValue entries. Each StrategyParamValue entry is a string up to 32 characters long. Default is NULL
nStrategyParams	Number of mftrading::NewOrderSingle::StrategyParametersGrp entries. Default is 0

More...

void orderCancelReplaceRequest ()

Submit modification to an existing order using the mftrading::OrderCancelReplaceRequest reference returned by the last call to createOrderCancelReplaceRequest(). More...

mftrading::OrderCancelReplaceRequest & createOrderCancelReplaceRequest (MFProto::VenueID venueID, MFProto::SecurityID securityID, const char *clOrdID, const char *origOrdID, MFProto::OrderID orderID, mftrading::Side::Value side, mftrading::OrdType::Value ordType, mftrading::TimeInForce::Value timeInForce)

Allocate mftrading::OrderCancelReplaceRequest object and populate it with the supplied parameters.

Parameters

venueID	MFProto::VenueID
securityID	MFProto::SecurityID
clOrdID	Unique identifier for Order as assigned by the buy-side. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
origOrdID	ClOrdID of the order to modify. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
orderID	MFProto::OrderID
side	mftrading::Side::Value
ordType	mftrading::OrdType::Value
timeInForce	mftrading::TimeInForce::Value

More...

void orderCancelRequest ()

Submit cancel request for an existing order using the object created by the previous call to createOrderCancelRequest(). More...

mftrading::OrderCancelRequest & createOrderCancelRequest (MFProto::VenueID venueID, MFProto::SecurityID securityID, const char *clOrdID, const char *origClOrdID, MFProto::OrderID orderID)

Allocate mftrading::OrderCancelRequest object and populate it with the supplied parameters.

Parameters

venueID	MFProto::VenueID
securityID	MFProto::SecurityID
clOrdID	Unique identifier for Order as assigned by the buy-side. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
origClOrdID	ClOrdID of the order to cancel. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
orderID	MFProto::OrderID

More...

Friends
class	MFClient

Detailed Description

A session with MarketFactory for trading with all the venues for which a user has access.

Member Function Documentation

mftrading::NewOrderSingle & MFTradingSession::createNewOrderSingle	(	MFProto::VenueID	venueID,
		MFProto::SecurityID	securityID,
		const char *	clOrdId,
		mftrading::Side::Value	side,
		mftrading::OrdType::Value	ordType,
		mftrading::TimeInForce::Value	timeInForce,
		const char **	strategyParamName = `NULL`,
		mftrading::StrategyParameterType::Value *	strategyParamType = `NULL`,
		const char **	strategyParamValue = `NULL`,
		int	nStrategyParams = `0`
	)

Allocate mftrading::NewOrderSingle object and populate it with the supplied parameters.

Parameters

venueID	MFProto::VenueID
securityID	MFProto::SecurityID
clOrdId	Client order id. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
side	mftrading::Side::Value
ordType	mftrading::OrdType::Value
timeInForce	mftrading::TimeInForce::Value
strategyParamName	Array of mftrading::NewOrderSingle::StrategyParametersGrp StrategyParamName entries. Each StrategyParamName entry is a string up to 32 characters long. Default is NULL
strategyParamType	Array of mftrading::StrategyParameterType::Value entries. Default is NULL
strategyParamValue	Array of mftrading::NewOrderSingle::StrategyParametersGrp StrategyParamValue entries. Each StrategyParamValue entry is a string up to 32 characters long. Default is NULL
nStrategyParams	Number of mftrading::NewOrderSingle::StrategyParametersGrp entries. Default is 0

mftrading::OrderCancelReplaceRequest & MFTradingSession::createOrderCancelReplaceRequest	(	MFProto::VenueID	venueID,
		MFProto::SecurityID	securityID,
		const char *	clOrdID,
		const char *	origOrdID,
		MFProto::OrderID	orderID,
		mftrading::Side::Value	side,
		mftrading::OrdType::Value	ordType,
		mftrading::TimeInForce::Value	timeInForce
	)

Allocate mftrading::OrderCancelReplaceRequest object and populate it with the supplied parameters.

Parameters

venueID	MFProto::VenueID
securityID	MFProto::SecurityID
clOrdID	Unique identifier for Order as assigned by the buy-side. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
origOrdID	ClOrdID of the order to modify. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
orderID	MFProto::OrderID
side	mftrading::Side::Value
ordType	mftrading::OrdType::Value
timeInForce	mftrading::TimeInForce::Value

mftrading::OrderCancelRequest & MFTradingSession::createOrderCancelRequest	(	MFProto::VenueID	venueID,
		MFProto::SecurityID	securityID,
		const char *	clOrdID,
		const char *	origClOrdID,
		MFProto::OrderID	orderID
	)

Allocate mftrading::OrderCancelRequest object and populate it with the supplied parameters.

Parameters

venueID	MFProto::VenueID
securityID	MFProto::SecurityID
clOrdID	Unique identifier for Order as assigned by the buy-side. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
origClOrdID	ClOrdID of the order to cancel. A string up to 32 characters long which is null-terminated unless the length is 32 (in which case, no null-termination necessary).
orderID	MFProto::OrderID

uint64_t MFTradingSession::getSendingTime ( ) const

inline

Retrieve the sending time of the current frame.

void MFTradingSession::logon ( )

Sends a logon message with the supplied username and password. Should only be called in the event loop by the handler.

void MFTradingSession::logout ( )

Initiates logout. This should be called so a clean and dirty (one where the socket closes w/o a logout) can be easily differentiated. Should only be called in the event loop by the handler.

void MFTradingSession::logoutResponse ( )

The response to a logout from the server. This should be called if a logout is received so that the client can indicate a clean logout. Should only be called in the event loop by the handler.

void MFTradingSession::marketDefinitionRequest ( )

A request to receive the definitions of each market.

void MFTradingSession::newOrderSingle ( )

Submit an order. The order submitted will be the mftrading::NewOrderSingle object that was returned as a reference from the last call to MFTradingSession::createNewOrderSingle()

void MFTradingSession::orderCancelReplaceRequest ( )

Submit modification to an existing order using the mftrading::OrderCancelReplaceRequest reference returned by the last call to createOrderCancelReplaceRequest().

void MFTradingSession::orderCancelRequest ( )

Submit cancel request for an existing order using the object created by the previous call to createOrderCancelRequest().

void MFTradingSession::tradingRequest	(	MFProto::VenueID	venueID,
		mftrading::SubscriptionRequestType::Value	subType,
		MFProto::SeqNum	nextExpSeqNum
	)

A request to subscribe or unsubscribe to/from a particular venue (as specified by the venueID parameter) in order to trade or stop trading. A message of type mftrading::TradingSessionStatusRequest will be sent.

Parameters

venueID	MFProto::VenueID
subType	mftrading::SubscriptionRequestType::Value - Subscribe or Unsubscribe
nextExpSeqNum	MFProto::SeqNum

The documentation for this class was generated from the following files:

src/main/cpp/mfclient/MFTradingSession.h
src/main/cpp/mfclient/MFTradingSession.cpp

Public Member Functions

Friends

Detailed Description

Member Function Documentation