Manipulating Books

Modules
	Building and Maintaining Books by Yourself

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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 service.

All books maintained by the Handler represent a price-level books. Book abstraction is exposed by the OnixS::Euronext::XDP::OrderBook struct.

There're several types of books available for each security: direct and implied. 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 by OnixS::Euronext::XDP::MarketListener:

• To get notified about updates into a direct book for a particular security, use OnixS::Euronext::XDP::MarketListener::onDirectBookUpdated method.
• To get notified about updates into a implied book for a particular security, use OnixS::Euronext::XDP::MarketListener::onImpliedBookUpdated method.

OnixS::Euronext::XDP::OrderBook::offers and OnixS::Euronext::XDP::OrderBook::bids members of the OnixS::Euronext::XDP::OrderBook struct 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::Euronext::XDP::OrderBook struct 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.