Order Books

Explains how to use order book update events.

The sample below demonstrates listening to Handler's events:

 
    struct MyOrderBookListener : public OrderBookListener
    {
        void onBookAtomicChange(const OrderBook& book, const Messaging::SbeMessage message, const BookAtomicChange& change, SecurityContext& ctx) final
        {
        }

        void onOrderBookUpdated(const OrderBook& book, SecurityContext& ctx) final
        {
#ifdef ONIXS_B3_UMDF_MD_CXX20
            auto bidLevels =
                    book.bids()
                    | std::views::filter([](const auto& order) { return !order.marketOrder(); })
                    | std::views::drop(1)
            ;
 
            for(auto && level : bidLevels)
                std::cout << level;
#endif
        }

        void onOrderBookOutOfDate(const OrderBook& book, SecurityContext& ctx) final
        {
        }
 
    } orderBookListener;
 
    HandlerSettings settings;
    Handler handler(settings);
 
    handler.registerOrderBookListener(&orderBookListener);