OnixS C++ Eurex T7 Market and Reference Data Interface (EMDI, RDI, EOBI) Handlers  7.4.2
API documentation
EobiBookSnapshot.h
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19 #pragma once
20 
22 
23 #include <OnixS/HandlerCore/OrderBook.h>
24 
25 namespace OnixS {
26 namespace Eurex {
27 namespace MarketData {
28 namespace EOBI {
29 namespace Implementation {
30 
31 class OrderBookInternal;
32 
34 {
35 public:
36  explicit
37  OrderBookSnapshot(const OrderBookInternal& snapshotee);
39 
40  static void* operator new(size_t bookSize);
41  static void operator delete(void* book);
42 
43 private:
45  size_t doDepth() const;
46  const PriceLevels& doAsks() const;
47  const PriceLevels& doBids() const;
48  bool doBestAsk(Decimal& price, QuantityType& quantity) const;
49  bool doBestBid(Decimal& price, QuantityType& quantity) const;
50  //boost::scoped_ptr<OrderBook> doSnapshot() const;
51  SecurityId doSecurityId() const;
52 
53 private:
54  PriceLevels asks_;
55  PriceLevels bids_;
56 
57  bool bestAskAvailable_;
58  Decimal bestAskPrice_;
59  QuantityType bestAskQuantity_;
60 
61  bool bestBidAvailable_;
62  Decimal bestBidPrice_;
63  QuantityType bestBidQuantity_;
64 
65  size_t depth_;
66  SecurityId id_;
67 };
68 
69 
70 }}}}}
Definition: Defines.h:30
Decimal type for better precision.
Definition: Numeric.h:63
Int64 SecurityId
Alias for Security Id type.
Definition: Defines.h:51
PriceLevelCollections::Array PriceLevels
Sequence of price levels.
Definition: EobiBook.h:129