OrderBookSnapshot.h

Go to the documentation of this file.

/*
* Copyright 2002-2010 ONIX SOLUTIONS LIMITED. All rights reserved. 
* 
* This software owned by ONIX SOLUTIONS LIMITED [ONIXS] and is protected by copyright law 
* and international copyright treaties. 
* 
* Access to and use of the software is governed by the terms of the applicable ONIXS Software
* Services Agreement (the Agreement) and Customer end user license agreements granting 
* a non-assignable, non-transferable and non-exclusive license to use the software 
* for it's own data processing purposes under the terms defined in the Agreement.
* 
* Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part 
* of this source code or associated reference material to any other location for further reproduction
* or redistribution, and any amendments to this copyright notice, are expressly prohibited. 
*
* Any reproduction or redistribution for sale or hiring of the Software not in accordance with 
* the terms of the Agreement is a violation of copyright law. 
*/

#pragma once

#include <OnixS/Eurex/MarketData/OrderBook.h>

namespace OnixS 
{ 
    namespace Eurex 
    { 
        namespace MarketData 
        {
            class OrderBookSnapshot : public OrderBook
            {
            public:
                explicit
                OrderBookSnapshot(const OrderBook& other);

                const PriceLevels& asks() const;
                const PriceLevels& bids() const;

                bool bestAsk(Decimal& price, Quantity& quantity) const;
                bool bestBid(Decimal& price, Quantity& quantity) const;

                UInt64 mdEntryTime () const;
                UInt32 lastMsgSeqNumProcessed() const;

            private:
                PriceLevels asks_;
                PriceLevels bids_;

                bool bestAskAvailable_;
                Decimal bestAskPrice_;
                Quantity bestAskQuantity_;

                bool bestBidAvailable_;
                Decimal bestBidPrice_;
                Quantity bestBidQuantity_;

                UInt64 entryTime_;
                UInt32 lastMsgSeqNumProcessed_;
            };
        }
    }
}