TradeEvent

TradeEvent represents a single trade tick — a filled transaction between counterparties — and is broadcast across the system for aggregation, analytics, and strategy input.

struct TradeEvent
{
  using Listener = IMarketDataSubscriber;

  Trade trade{};

  int64_t seq = 0;        // Exchange sequence number
  uint64_t trade_id = 0;  // Exchange-assigned trade ID

  uint64_t tickSequence = 0;  // Internal, set by bus

  MonoNanos recvNs{0};         // Local receive time (monotonic)
  MonoNanos publishTsNs{0};    // Bus publish time (monotonic)
  UnixNanos exchangeMsgTsNs{0}; // Exchange message timestamp

  ExchangeId sourceExchange{InvalidExchangeId};  // Source exchange for CEX coordination
};

Purpose

• Encapsulate trade prints received from exchanges for delivery via TradeBus.

Fields

Field	Description
trade	Trade payload with symbol, price, quantity, side, timestamp.
seq	Exchange-assigned sequence number.
trade_id	Exchange-assigned trade ID.
tickSequence	Internal bus sequence for ordered delivery.
recvNs	Local receive timestamp (monotonic nanoseconds).
publishTsNs	Bus publish timestamp (monotonic nanoseconds).
exchangeMsgTsNs	Exchange message timestamp (Unix nanoseconds).
sourceExchange	Source exchange ID for CEX coordination.

Responsibilities

Aspect	Details
Payload	trade holds symbol, price, quantity, timestamp, and taker direction.
Sequencing	tickSequence guarantees strict event order for replay and backtests.
Latency	recvNs / publishTsNs / exchangeMsgTsNs enable latency analysis.
Subscription	Targets IMarketDataSubscriber interface for generic event delivery.

Notes

• Used by BarAggregator, PnL trackers, and all signal generation components.
• Designed for ultra-low-latency delivery; no heap allocation involved.
• Stateless container — no logic beyond encapsulation.
• sourceExchange enables cross-exchange trade aggregation in CEX mode.