In WinAPI almost all structures and classes are in all caps so that might just be a convention you follow.
True in a sense that it could be a convention one can follow, but it doesn't mean its a good convention. But you have to understand that the windows API is really old. Even the windows API uses all caps for constant data types, but they also use all caps for certain structures. And they also mix up the two, that is use all caps for constant structure. If you were developing the windows api library, then you should follow their convention, but since this is C++, you should follow C++ convention. And although there aren't a standard convention, there are some widely used convention and its best not only for the creator but also for future maintainer to use convention that they will naturally understand.