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OnixS C++ CME Market Data Handler
2.56.0.0
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OnixS C++ CME Market Data Handler
2.56.0.0
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Consolidated Order Book. More...
Public Member Functions | |
| const DirectBook & | direct () const |
| Returns direct book for a given security. | |
| const ImpliedBook & | implied () const |
| Returns implied book for a given security. | |
| std::string | brief () const |
| Returns brief book info. | |
| void | brief (std::string &) const |
| Returns brief book info. | |
| std::string | toString () const |
| String presentation of the book. | |
| void | toString (std::string &) const |
| String presentation of the book. | |
 Public Member Functions inherited from BookBase< PriceLevelType > | |
| 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 | |
| ConsolidatedBook (const DirectBook &, const ImpliedBook &, const EditablePriceLevelsRef &, const EditablePriceLevelsRef &) | |
| Initializes book with given features. | |
| Protected Member Functions inherited from BookBase< PriceLevelType > | |
| 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... | |
Additional Inherited Members | |
| Public Types inherited from BookBase< PriceLevelType > | |
| typedef PriceLevelType | PriceLevel |
| Indicates price level data type. | |
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typedef ArrayRef< const PriceLevel, MarketDepth > | PriceLevelsRef |
| Indicates reference to array of immutable price levels. | |
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typedef ArrayRef< PriceLevel, MarketDepth > | EditablePriceLevelsRef |
| Indicates reference to array of mutable price levels. | |
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typedef VectorOverArray < PriceLevel, MarketDepth > | EditablePriceLevels |
| Collection of price levels allowing modifications. | |
| typedef BookBase< PriceLevelType > | This |
| Identifies itself as a type. | |
Consolidated Order Book.
A set of bid prices and ask prices for the given security (bids are descending and asks are ascending). The quantity is provided at each price level.
In addition to regular book interface, provides access to detailed consolidated price level data like direct and implied quantity components.