OrderBookDepthListener Class Reference

The subscription to Full Order Depth (BO23) provides all changes in the order book and is used to keep an updated order book with the full order depth. More...

Public Member Functions
virtual void	onOrderDepthBase (const Series &series, const OrderDepthBase &orderDepthBase)=0
	This structure is sent when an order change has occurred and the local order book should be updated with that change. More...
virtual void	onOrderDepthReset (const Series &series, const OrderDepthReset &orderDepthReset)=0
	This structure is sent when the local order book should be emptied. More...
virtual void	onOrderDepthRefresh (const Series &series, const OrderDepthRefresh &orderDepthRefresh)=0
	This structure is only sent after the reset command has been sent out. More...

Detailed Description

The subscription to Full Order Depth (BO23) provides all changes in the order book and is used to keep an updated order book with the full order depth.

Member Function Documentation

virtual void onOrderDepthBase ( const Series &  series, const OrderDepthBase &  orderDepthBase  )

pure virtual

This structure is sent when an order change has occurred and the local order book should be updated with that change.

Parameters

series	Series.
orderDepthBase	Underlying order_depth_base_t representation.

virtual void onOrderDepthRefresh ( const Series &  series, const OrderDepthRefresh &  orderDepthRefresh  )

pure virtual

This structure is only sent after the reset command has been sent out.

This could either be bundled in the same broadcast or come later in a separate broadcast. These structures will refresh the order book by sending out all the current orders in the order book. These will thus only have order book change command "Add".

The sequence number has the same interpretation as when ORDER_DEPTH_RESET is received, and should have the same value. Otherwise it is the client's own responsibility to clear the order book, or synchronize with a new query.

Parameters

series	Series.
orderDepthReset	Underlying order_depth_refresh_t representation.

virtual void onOrderDepthReset ( const Series &  series, const OrderDepthReset &  orderDepthReset  )

pure virtual

This structure is sent when the local order book should be emptied.

Various scenarios could cause this, such as the exchange wanting to restrict the order book information and no more changes are sent out. The order book change command will be "reset" in this case.

The sequence number should be stored and compared to the next BO23 as described above.

Parameters

series	Series.
orderDepthReset	Underlying order_depth_reset_t representation.