Broker Message Types

This reference documents the normalized live message types that flow through the broker adapters, event bus, and live engine.

Live Topics

LiveTopic values (from live/event_bus.h):

• MarketData
• ExecutionReport
• PositionUpdate
• AccountUpdate
• System

MarketDataUpdate

Defined in live/types.h:

• data: variant of Bar, Tick, Quote, or OrderBook.
• timestamp() extracts the event timestamp from the payload.
• symbol() extracts the symbol ID from the payload.

classDiagram
  class MarketDataUpdate {
    +variant data (Bar | Tick | Quote | OrderBook)
    +timestamp() Timestamp
    +symbol() SymbolId
  }

ExecutionReport

Defined in live/broker_adapter.h:

• broker_order_id broker-native order identifier.
• broker_exec_id broker-native execution identifier.
• symbol string symbol.
• side buy/sell.
• quantity fill quantity.
• price fill price.
• commission commission paid.
• status live order status.
• text broker status/diagnostic message.
• timestamp event timestamp.

classDiagram
  class ExecutionReport {
    +string broker_order_id
    +string broker_exec_id
    +string symbol
    +OrderSide side
    +double quantity
    +double price
    +double commission
    +LiveOrderStatus status
    +string text
    +Timestamp timestamp
  }

LiveOrderStatus

Live order statuses are normalized in live/broker_adapter.h:

• PendingNew
• New
• PartiallyFilled
• Filled
• PendingCancel
• Cancelled
• Rejected
• Expired
• Error

Position

Defined in live/types.h:

• symbol string.
• quantity double.
• average_price double.
• market_value double.

AccountInfo

Defined in live/types.h:

• equity double.
• cash double.
• buying_power double.

LiveMessage Wrapper

All broker events flow through LiveMessage (in live/event_bus.h):

classDiagram
  class LiveMessage {
    +LiveTopic topic
    +variant payload (MarketDataUpdate | ExecutionReport | Position | AccountInfo | string)
    +string origin
  }

Delivery Flow

1. Broker adapter parses raw broker messages into MarketDataUpdate and ExecutionReport.
2. LiveTradingEngine enqueues and dispatches updates.
3. EventBus routes events to subscribers by LiveTopic.