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penberg
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helix
Helix, a market data feed handler for C and C++.
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order - extra info
#7
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ghost
opened
9 years ago
ghost
commented
9 years ago
we need to add the following to the order:
timestamp
priority_id (uint64_t) - sometimes it's = timestamp, some venues assign it differently. for ITCH it's a copy of timestamp
flags - for example if we know that it's ours order we can set FLAG_OWN or FLAG_IMPLIED
filled_quantity - for partially filled orders it may be relevant to know
user_data - opaque pointer
we need to add the following to the order: