BookBase< PriceLevelType > Class Template Reference

Base attributes of order book. More...

Public Types
typedef PriceLevelType	PriceLevel
	Indicates price level data type.
typedef ArrayRef< const PriceLevel, MarketDepth >	PriceLevelsRef
	Indicates reference to array of immutable price levels.
typedef ArrayRef< PriceLevel, MarketDepth >	EditablePriceLevelsRef
	Indicates reference to array of mutable price levels.
typedef VectorOverArray < PriceLevel, MarketDepth >	EditablePriceLevels
	Collection of price levels allowing modifications.
typedef BookBase< PriceLevelType >	This
	Identifies itself as a type.

Public Member Functions
SecurityId	securityId () const
	Unique instrument Id (tag 48) as qualified by the exchange per tag 22-SecurityIDSource. More...
void	securityId (SecurityId id)
	Updates unique instrument Id.
MarketDepth	depth () const
	Returns the maximal number of price levels.
void	depth (MarketDepth depth)
	Updates the maximal number of price levels.
const PriceLevelsRef	bids () const
	List of descending bid prices for the security.
const PriceLevelsRef	asks () const
	List of ascending ask prices for the security.
EditablePriceLevels &	asks ()
	List of ascending ask prices for the security.
EditablePriceLevels &	bids ()
	List of descending bid prices for the security.
const Message &	message () const
	Returns FIX message caused update of the book.
void	message (const Message &message)
	Associates FIX message applied to the book.
BookState	state () const
	Indicates current state of book.
void	state (BookState state)
	Updates state of book.

Protected Member Functions
	BookBase (SecurityId id, MarketDepth depth, const EditablePriceLevelsRef &bids, const EditablePriceLevelsRef &asks)
	Initializes instance with given attributes. More...
	~BookBase ()
	Cleans everything up.
void	reset (BookState bookState)
	Wipes out all bids and asks and other data associated with book (like instance of last applied FIX message). More...

Detailed Description

template<class PriceLevelType>
class OnixS::CME::MarketData::BookBase< PriceLevelType >

Base attributes of order book.

A set of bids and asks data for the given security (bids are descending and asks are ascending).

Constructor & Destructor Documentation

BookBase ( SecurityId  id, MarketDepth  depth, const EditablePriceLevelsRef &  bids, const EditablePriceLevelsRef &  asks  )

inlineprotected

Initializes instance with given attributes.

Bids and asks are stored in given segments of plain arrays. Book constructs vectors over input arrays of fixed size. That provides more flexibility on memory layout for internally used data.

Member Function Documentation

void reset ( BookState  bookState)

inlineprotected

Wipes out all bids and asks and other data associated with book (like instance of last applied FIX message).

SecurityId securityId ( ) const

inline

Unique instrument Id (tag 48) as qualified by the exchange per tag 22-SecurityIDSource.