Manipulating Books

Modules
	Maintaining Books by Natural Refresh
	Building and Maintaining Books by Yourself
	Customizing Book Changes/Updates Notifications

Detailed Description

Books in the Handler

Handler builds and maintains books for each security whose definition was previously received in bounds of a particular market data channel.

All books maintained by the Handler represent a price-level books. Book abstraction is exposed by the OnixS::CME::MarketData::Book class.

There're several types of books available for each security: direct and implied and consolidated. Handler builds and maintains all type of books for all securities.

Once a book of any type and for any security is updated, Handler notifies client code using appropriate event:

• To get notified about updates into a direct book for a particular security, implement OnixS::CME::MarketData::DirectBookUpdateListener class interface and register instance in the Handler using OnixS::CME::MarketData::Handler::registerDirectBookUpdateListener member.
• To get notified about updates into a implied book for a particular security, implement OnixS::CME::MarketData::ImpliedBookUpdateListener class interface and register instance in the Handler using OnixS::CME::MarketData::Handler::registerImpliedBookUpdateListener member.
• To get notified about updates into a consolidated book for a particular security, implement OnixS::CME::MarketData::ConsolidatedBookUpdateListener class interface and register instance in the Handler using OnixS::CME::MarketData::Handler::registerConsolidatedBookUpdateListener member.

Depth of a book of a particular type is usually defined by security definition and is exposed by OnixS::CME::MarketData::Book::depth member. Returned value defines maximum number of price levels which may exist in the book.

OnixS::CME::MarketData::Book::bids and OnixS::CME::MarketData::Book::asks members of the OnixS::CME::MarketData::Book class can be used to access price value and quantity information for all levels available in the book.

Behavioral Traits

Handler constructs books for each security since the moment it receives definition for that security. Books are changed in time and their members are not thread-safe. Handler uses own synchronization strategies while updating the books. Therefore, do not access price levels information outside of book-related event handling as well as do not store references to any book instance and data returned by its members like asks and bids collections. This is because Handler may change internal book structures at the same time. If any data exposed by the OnixS::CME::MarketData::Book class instance must be used outside of event handling, it must be copied before later use.

See Listening to Market Data topic for more information concerning how to subscribe for a book updates.