OnixS C++ Eurex T7 Market and Reference Data Interface (EMDI, RDI, EOBI) Handlers  7.2.2
API documentation
OrderBookSnapshot.h
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19 
20 #pragma once
21 
23 
24 namespace OnixS
25 {
26  namespace Eurex
27  {
28  namespace MarketData
29  {
31  {
32  public:
33  explicit
34  OrderBookSnapshot(const OrderBook& other);
35 
36  const PriceLevels& asks() const;
37  const PriceLevels& bids() const;
38 
39  bool bestAsk(Decimal& price, Quantity& quantity) const;
40  bool bestBid(Decimal& price, Quantity& quantity) const;
41 
42  UInt64 mdEntryTime () const;
44 
45  private:
46  PriceLevels asks_;
47  PriceLevels bids_;
48 
49  bool bestAskAvailable_;
50  Decimal bestAskPrice_;
51  Quantity bestAskQuantity_;
52 
53  bool bestBidAvailable_;
54  Decimal bestBidPrice_;
55  Quantity bestBidQuantity_;
56 
57  UInt64 entryTime_;
58  UInt32 lastMsgSeqNumProcessed_;
59  };
60  }
61  }
62 }
63 
64 
UInt64 mdEntryTime() const
For bids and offers the official time of book entry, for trades official time of execution (all in na...
bool bestAsk(Decimal &price, Quantity &quantity) const
Returns best implied ask.
unsigned int UInt32
Definition: Numeric.h:41
Definition: Defines.h:30
Decimal type for better precision.
Definition: Numeric.h:63
PriceLevelCollections::Array PriceLevels
Sequence of price levels.
Definition: OrderBook.h:135
bool bestBid(Decimal &price, Quantity &quantity) const
Returns best implied bid.
const PriceLevels & bids() const
Returns a set of ascending ask prices for the given security.
const PriceLevels & asks() const
Returns a set of descending bid prices for the given security.
UInt64 Quantity
Alias for Quantity type.
Definition: Defines.h:54
UInt32 lastMsgSeqNumProcessed() const
Sequence number of the last processed message.