OnixS C++ CME Market Data Handler  5.5.1
API documentation
MbpBook< EntryType, DepthType > Class Template Reference

#include <OnixS/CME/MDH/MbpBook.h>

Public Types

typedef EntryType Entry
 
typedef DepthType Depth
 
typedef VectorOverArray< Entry, DepthEntries
 
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)
 
Entriesbids ()
 
Entriesoperator[] (const Bids &)
 
const Entriesbids () const
 
const Entriesoperator[] (const Bids &) const
 
Entriesoffers ()
 
Entriesoperator[] (const Offers &)
 
const Entriesoffers () const
 
const Entriesoperator[] (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::MDH::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

typedef DepthType Depth

Aliases book dimension type.

Definition at line 82 of file MbpBook.h.

Collection of price levels allowing modifications.

Definition at line 91 of file MbpBook.h.

typedef EntryType Entry

Indicates price level data type.

Definition at line 77 of file MbpBook.h.

Iterator over bids and offers.

Definition at line 97 of file MbpBook.h.

Constructor & Destructor Documentation

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 ( )
inline

Definition at line 122 of file MbpBook.h.

Member Function Documentation

Entries& bids ( )
inline

List of descending bid prices.

Definition at line 161 of file MbpBook.h.

const Entries& bids ( ) const
inline

List of descending bid prices.

Definition at line 177 of file MbpBook.h.

Depth capacity ( ) const
inline

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

Definition at line 134 of file MbpBook.h.

Depth depth ( ) const
inline

Returns the maximal number of price levels.

Definition at line 127 of file MbpBook.h.

void depth ( Depth  depth)
inline

Updates the maximal number of price levels.

Definition at line 141 of file MbpBook.h.

Entries& offers ( )
inline

List of ascending offer prices.

Definition at line 192 of file MbpBook.h.

const Entries& offers ( ) const
inline

List of ascending offer prices.

Definition at line 208 of file MbpBook.h.

Entries& operator[] ( const Bids )
inline

List of descending bid prices.

Definition at line 168 of file MbpBook.h.

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

List of descending bid prices.

Definition at line 185 of file MbpBook.h.

Entries& operator[] ( const Offers )
inline

List of ascending offer prices.

Definition at line 199 of file MbpBook.h.

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

List of ascending offer prices.

Definition at line 216 of file MbpBook.h.

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.

BookState::Enum state ( ) const
inline

Indicates current state of book.

Definition at line 223 of file MbpBook.h.

void state ( BookState::Enum  state)
inline

Updates state of book.

Definition at line 230 of file MbpBook.h.


The documentation for this class was generated from the following file: