RT::IMarketDataHelper Class Reference

Abstract class, defines market data request interface. More...

#include <IMarketDataHelper.h>

List of all members.

Public Member Functions
virtual int	request_instr_description (const std::string &class_name, const std::string &exch="")=0
virtual int	subscribe_inside_market (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_last_trade (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_market_depth (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_implied_market_depth (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_outright_market_depth (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_market_state (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_exchange_state (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_rfq (const std::string &symbol, const std::string &exch="")=0
virtual int	subscribe_real_time_ohlc (const std::string &symbol, ohlc_interv_t interv_type, const std::string &exch="")=0
virtual void	unsubscribe_inside_market (const int subscr_id, const std::string &instr_name)=0
virtual void	unsubscribe_last_trade (const int subscr_id, const std::string &instr_name)=0
virtual void	unsubscribe_market_depth (const int subscr_id, const std::string &instr_name)=0
virtual void	unsubscribe_implied_market_depth (const int subscr_id, const std::string &instr_name)=0
virtual void	unsubscribe_outright_market_depth (const int subscr_id, const std::string &instr_name)=0
virtual void	unsubscribe_market_state (const int subscr_id, const std::string &instr_name)=0
virtual void	unsubscribe_exchange_state (const int subscr_id, const std::string &exchange_name)=0
virtual void	unsubscribe_rfq (const int subscr_id, const std::string &instr_name)=0
virtual void	unsubscribe_real_time_ohlc (const int subscr_id, const std::string &class_name)=0
virtual InstrumentList &	instruments ()=0
virtual bool	is_valid ()=0
virtual int	getHistData (DataSource &out_data, const std::string &symbol, const TAHistDataType data_type, int &out_bar_count, int period, int offset, int interval=1, hmd_interval_t interval_type=it_daily, bool need_subscribe=false)=0
virtual int	getHistData (DataSource &outHigh, DataSource &outLow, DataSource &outClose, DataSource &outVolume, const std::string &symbol, int &out_bar_count, int period, int offset, int interval=1, hmd_interval_t interval_type=it_daily, bool need_subscribe=false)=0
virtual int	getHistData (DataSource &outHigh, DataSource &outLow, DataSource &outClose, const std::string &symbol, int &out_bar_count, int period, int offset, int interval=1, hmd_interval_t interval_type=it_daily, bool need_subscribe=false)=0
virtual int	getHistData (DataSource &outHigh, DataSource &outLow, const std::string &symbol, int &out_bar_count, int period, int offset, int interval=1, hmd_interval_t interval_type=it_daily, bool need_subscribe=false)=0
virtual int	getHistData (OHLC out_data[], const std::string &symbol, int &out_bar_count, int period, int offset, int interval=1, hmd_interval_t interval_type=it_daily, bool need_subscribe=false)=0
virtual MDSourceStateMap *	md_source_stats_map ()=0
	get market data latency statistics
void	robotrader (IMarketDataConsumer *robotrader)
IMarketDataConsumer *	robotrader ()

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Detailed Description

Abstract class, defines market data request interface.

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Member Function Documentation

virtual int RT::IMarketDataHelper::getHistData	(	OHLC	out_data[],
		const std::string &	symbol,
		int &	out_bar_count,
		int	period,
		int	offset,
		int	interval = 1,
		hmd_interval_t	interval_type = it_daily,
		bool	need_subscribe = false
	)			[pure virtual]

Historical market data request, operates synchronicaly

Parameters:

	out_data	Retrieved historical bars (open,high,low,close prices). It's size depends of available data, but max - 1000 bars
	data_type	Needed data type. See TAHistDataType
	out_bar_count	Valid out bars quantity
	offset	If you want to get not the latest bars, but some earliar, you can specify how much last bars you are not interested in.
	need_subscribe	Put false If you're planning to use this request only once.

virtual int RT::IMarketDataHelper::getHistData	(	DataSource &	outHigh,
		DataSource &	outLow,
		const std::string &	symbol,
		int &	out_bar_count,
		int	period,
		int	offset,
		int	interval = 1,
		hmd_interval_t	interval_type = it_daily,
		bool	need_subscribe = false
	)			[pure virtual]

Historical market data request, operates synchronicaly

Parameters:

	outHigh	Retrieved historical bar's high prices. It's size depends of available data, but max - 1000 bars
	outLow	Retrieved historical bar's low prices. It's size depends of available data, but max - 1000 bars
	data_type	Needed data type. See TAHistDataType
	out_bar_count	Valid out bars quantity
	offset	If you want to get not the latest bars, but some earliar, you can specify how much last bars you are not interested in.
	need_subscribe	Put false If you're planning to use this request only once.

virtual int RT::IMarketDataHelper::getHistData	(	DataSource &	outHigh,
		DataSource &	outLow,
		DataSource &	outClose,
		const std::string &	symbol,
		int &	out_bar_count,
		int	period,
		int	offset,
		int	interval = 1,
		hmd_interval_t	interval_type = it_daily,
		bool	need_subscribe = false
	)			[pure virtual]

Historical market data request, operates synchronicaly

Parameters:

	outHigh	Retrieved historical bar's high prices. It's size depends of available data, but max - 1000 bars
	outLow	Retrieved historical bar's low prices. It's size depends of available data, but max - 1000 bars
	outClose	Retrieved historical bar's Close prices. It's size depends of available data, but max - 1000 bars
	data_type	Needed data type. See TAHistDataType
	out_bar_count	Valid out bars quantity
	offset	If you want to get not the latest bars, but some earliar, you can specify how much last bars you are not interested in.
	need_subscribe	Put false If you're planning to use this request only once.

virtual int RT::IMarketDataHelper::getHistData	(	DataSource &	outHigh,
		DataSource &	outLow,
		DataSource &	outClose,
		DataSource &	outVolume,
		const std::string &	symbol,
		int &	out_bar_count,
		int	period,
		int	offset,
		int	interval = 1,
		hmd_interval_t	interval_type = it_daily,
		bool	need_subscribe = false
	)			[pure virtual]

Historical market data request, operates synchronicaly

Parameters:

	outHigh	Retrieved historical bar's high prices. It's size depends of available data, but max - 1000 bars
	outLow	Retrieved historical bar's low prices. It's size depends of available data, but max - 1000 bars
	outClose	Retrieved historical bar's Close prices. It's size depends of available data, but max - 1000 bars
	outVolume	Retrieved historical bar's Volume. It's size depends of available data, but max - 1000 bars
	data_type	Needed data type. See TAHistDataType
	out_bar_count	Valid out bars quantity
	offset	If you want to get not the latest bars, but some earliar, you can specify how much last bars you are not interested in.
	need_subscribe	Put false If you're planning to use this request only once.

virtual int RT::IMarketDataHelper::getHistData	(	DataSource &	out_data,
		const std::string &	symbol,
		const TAHistDataType	data_type,
		int &	out_bar_count,
		int	period,
		int	offset,
		int	interval = 1,
		hmd_interval_t	interval_type = it_daily,
		bool	need_subscribe = false
	)			[pure virtual]

Historical market data request, operates synchronicaly

Parameters:

	out_data	Retrieved historical data. It's size depends of available data, but max - 1000 bars
	sec_id	Instrument Security description
	data_type	Needed data type. See TAHistDataType
	out_bar_count	Valid out bars quantity
	offset	If you want to get not the latest bars, but some earliar, you can specify how much last bars you are not interested in.
	need_subscribe	Put false If you're planning to use this request only once.

virtual InstrumentList& RT::IMarketDataHelper::instruments

(

)

[pure virtual]

Get all retrieved instrument descriptions

virtual int RT::IMarketDataHelper::request_instr_description	(	const std::string &	class_name,
		const std::string &	exch = ""
	)			[pure virtual]

Instrument description request

virtual int RT::IMarketDataHelper::subscribe_implied_market_depth	(	const std::string &	symbol,
		const std::string &	exch = ""
	)			[pure virtual]

Implied market depth subscription, returns subscription id > 0 if succeeded

virtual int RT::IMarketDataHelper::subscribe_inside_market	(	const std::string &	symbol,
		const std::string &	exch = ""
	)			[pure virtual]

Inside market subscription, returns subscription id > 0 if succeeded

virtual int RT::IMarketDataHelper::subscribe_last_trade	(	const std::string &	symbol,
		const std::string &	exch = ""
	)			[pure virtual]

Last trade subscription, returns subscription id > 0 if succeeded

virtual int RT::IMarketDataHelper::subscribe_market_depth	(	const std::string &	symbol,
		const std::string &	exch = ""
	)			[pure virtual]

Market depth subscription, returns subscription id > 0 if succeeded

virtual int RT::IMarketDataHelper::subscribe_market_state	(	const std::string &	symbol,
		const std::string &	exch = ""
	)			[pure virtual]

Market state subscription, returns subscription id > 0 if succeeded

virtual int RT::IMarketDataHelper::subscribe_outright_market_depth	(	const std::string &	symbol,
		const std::string &	exch = ""
	)			[pure virtual]

Outright market depth subscription, returns subscription id > 0 if succeeded

virtual int RT::IMarketDataHelper::subscribe_real_time_ohlc	(	const std::string &	symbol,
		ohlc_interv_t	interv_type,
		const std::string &	exch = ""
	)			[pure virtual]

Real time OHLC bars subscription, returns subscription id > 0 if succeeded

virtual int RT::IMarketDataHelper::subscribe_rfq	(	const std::string &	symbol,
		const std::string &	exch = ""
	)			[pure virtual]

RFQ subscription, returns subscription id > 0 if succeeded

virtual void RT::IMarketDataHelper::unsubscribe_exchange_state	(	const int	subscr_id,
		const std::string &	exchange_name
	)			[pure virtual]

Unsubscribe Inside market

virtual void RT::IMarketDataHelper::unsubscribe_implied_market_depth	(	const int	subscr_id,
		const std::string &	instr_name
	)			[pure virtual]

Unsubscribe implied market depth

virtual void RT::IMarketDataHelper::unsubscribe_inside_market	(	const int	subscr_id,
		const std::string &	instr_name
	)			[pure virtual]

Unsubscribe Inside market

virtual void RT::IMarketDataHelper::unsubscribe_last_trade	(	const int	subscr_id,
		const std::string &	instr_name
	)			[pure virtual]

Unsubscribe last trade

virtual void RT::IMarketDataHelper::unsubscribe_market_depth	(	const int	subscr_id,
		const std::string &	instr_name
	)			[pure virtual]

Unsubscribe market depth

virtual void RT::IMarketDataHelper::unsubscribe_market_state	(	const int	subscr_id,
		const std::string &	instr_name
	)			[pure virtual]

Unsubscribe market state

virtual void RT::IMarketDataHelper::unsubscribe_outright_market_depth	(	const int	subscr_id,
		const std::string &	instr_name
	)			[pure virtual]

Unsubscribe outright market depth

virtual void RT::IMarketDataHelper::unsubscribe_real_time_ohlc	(	const int	subscr_id,
		const std::string &	class_name
	)			[pure virtual]

Unsubscribe real time OHLCs

virtual void RT::IMarketDataHelper::unsubscribe_rfq	(	const int	subscr_id,
		const std::string &	instr_name
	)			[pure virtual]

Unsubscribe RFQ

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

• dmitry_env/ATP/robotrader/robotrader/IMarketDataHelper.h