OrderBook Struct Reference

Public Member Functions
std::string	toString () const
	String representation.

Public Attributes
const AskPriceLevels &	asks
	Collection of asks.
const BidPriceLevels &	bids
	Collection of bids.
uint32	syncNumber
	Define a sequence number.
uint32	premiumLevels
	Defines the number of levels of premiums distributed within the associated premium list. More...
uint32	blockSize
	Minimum number of units (options, futures, forwards and so on) in an order transaction. More...
OMexBool::Enum	demandsPopulated
	Defines if demands are populated or not.
int64	totalQuantityAsk
	Defines the total ask quantity. More...
int64	totalQuantityBid
	Defines the total bid quantity. More...
Timestamp	lastUpdateTime
	Last update time.

Protected Member Functions
	OrderBook (const AskPriceLevels &asks, const BidPriceLevels &bids, uint32 blockSize)

Member Data Documentation

uint32 blockSize

Minimum number of units (options, futures, forwards and so on) in an order transaction.

A Block Size of zero indicates an All or None order.

uint32 premiumLevels

Defines the number of levels of premiums distributed within the associated premium list.

Exchange regulations could set the level to a lower value then both the actual list size and the actual depth in the market.

int64 totalQuantityAsk

Defines the total ask quantity.

Note

The Total Quantity variable structure is only distributed if the exchange has enabled this distribution. If enabled, it applies to all instruments and is never changed intra day.

int64 totalQuantityBid

Defines the total bid quantity.

Note

The Total Quantity variable structure is only distributed if the exchange has enabled this distribution. If enabled, it applies to all instruments and is never changed intra day.