MbpBook< EntryType, DepthType > Class Template Reference

Public Types
typedef EntryType	Entry
typedef DepthType	Depth
typedef VectorOverArray< Entry, Depth >	Entries
typedef Entries::ConstIterator	EntryIterator

Public Member Functions
	MbpBook (Depth capacity, Entry *bids, Entry *offers)
	~MbpBook ()
Depth	depth () const
Depth	capacity () const
void	depth (Depth depth)
Entries &	bids ()
Entries &	operator[] (const Bids &)
const Entries &	bids () const
const Entries &	operator[] (const Bids &) const
Entries &	offers ()
Entries &	operator[] (const Offers &)
const Entries &	offers () const
const Entries &	operator[] (const Offers &) const
BookState::Enum	state () const
void	state (BookState::Enum state)
void	reset (BookState::Enum bookState)

Detailed Description

template<class EntryType, class DepthType>
class OnixS::CME::ConflatedUDP::MbpBook< EntryType, DepthType >

Base attributes of order book.

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

Definition at line 70 of file MbpBook.h.

Member Typedef Documentation

Depth

template<class EntryType, class DepthType>

typedef DepthType Depth

Aliases book dimension type.

Definition at line 82 of file MbpBook.h.

Entries

template<class EntryType, class DepthType>

typedef VectorOverArray< Entry, Depth > Entries

Collection of price levels allowing modifications.

Definition at line 91 of file MbpBook.h.

Entry

template<class EntryType, class DepthType>

typedef EntryType Entry

Indicates price level data type.

Definition at line 77 of file MbpBook.h.

EntryIterator

template<class EntryType, class DepthType>

typedef Entries::ConstIterator EntryIterator

Iterator over bids and offers.

Definition at line 97 of file MbpBook.h.

Constructor & Destructor Documentation

MbpBook()

template<class EntryType, class DepthType>

MbpBook ( Depth capacity, Entry * bids, Entry * offers )

inline

Initializes instance with given attributes.

Bids and offers 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.

Definition at line 105 of file MbpBook.h.

~MbpBook()

template<class EntryType, class DepthType>

~MbpBook ( )

inline

Definition at line 122 of file MbpBook.h.

Member Function Documentation

bids() [1/2]

template<class EntryType, class DepthType>

Entries & bids ( )

inline

List of descending bid prices.

Definition at line 161 of file MbpBook.h.

bids() [2/2]

template<class EntryType, class DepthType>

const Entries & bids ( ) const

inline

List of descending bid prices.

Definition at line 177 of file MbpBook.h.

capacity()

template<class EntryType, class DepthType>

Depth capacity ( ) const

inline

Indicates book capacity which is maximal value of book depth allowed.

Definition at line 134 of file MbpBook.h.

depth() [1/2]

template<class EntryType, class DepthType>

Depth depth ( ) const

inline

Returns the maximal number of price levels.

Definition at line 127 of file MbpBook.h.

depth() [2/2]

template<class EntryType, class DepthType>

void depth ( Depth depth )

inline

Updates the maximal number of price levels.

Definition at line 141 of file MbpBook.h.

offers() [1/2]

template<class EntryType, class DepthType>

Entries & offers ( )

inline

List of ascending offer prices.

Definition at line 192 of file MbpBook.h.

offers() [2/2]

template<class EntryType, class DepthType>

const Entries & offers ( ) const

inline

List of ascending offer prices.

Definition at line 208 of file MbpBook.h.

operator[]() [1/4]

template<class EntryType, class DepthType>

Entries & operator[] ( const Bids & )

inline

List of descending bid prices.

Definition at line 168 of file MbpBook.h.

operator[]() [2/4]

template<class EntryType, class DepthType>

const Entries & operator[] ( const Bids & ) const

inline

List of descending bid prices.

Definition at line 185 of file MbpBook.h.

operator[]() [3/4]

template<class EntryType, class DepthType>

Entries & operator[] ( const Offers & )

inline

List of ascending offer prices.

Definition at line 199 of file MbpBook.h.

operator[]() [4/4]

template<class EntryType, class DepthType>

const Entries & operator[] ( const Offers & ) const

inline

List of ascending offer prices.

Definition at line 216 of file MbpBook.h.

reset()

template<class EntryType, class DepthType>

void reset ( BookState::Enum bookState )

inline

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

Definition at line 240 of file MbpBook.h.

state() [1/2]

template<class EntryType, class DepthType>

BookState::Enum state ( ) const

inline

Indicates current state of book.

Definition at line 223 of file MbpBook.h.

state() [2/2]

template<class EntryType, class DepthType>

void state ( BookState::Enum state )

inline

Updates state of book.

Definition at line 230 of file MbpBook.h.