OnixS C++ Eurex T7 Market and Reference Data Interface (EMDI, RDI, EOBI) Handlers  8.0.0
API documentation
EditableOrderBook Class Reference

#include </work/src/EditableOrderBook.h>

Collaboration diagram for EditableOrderBook:

Public Member Functions

 EditableOrderBook (SecurityId securityId, size_t bookDepth, LogFacility *parent, HandlerCore::Common::HandlerLogger *logger)
 
const PriceLevelsasks () const
 
const PriceLevelsbids () const
 
bool bestAsk (Decimal &price, Quantity &quantity) const
 
bool bestBid (Decimal &price, Quantity &quantity) const
 
UInt64 mdEntryTime () const
 
UInt32 lastMsgSeqNumProcessed () const
 
void setLastMsgSeqNumProcessed (UInt32 lastMsgSeqNumProcessed)
 
void apply (const MDSnapshotEntry &entry, MDEntryType::Enum entryType)
 
void apply (const MDIncrementalEntry &entry, MDEntryType::Enum entryType)
 
void emptyBook (const MDSnapshotEntry &entry)
 
void clear ()
 
void checkSanity () const
 
template<typename TMsg >
void log (const TMsg &msg)
 
- Public Member Functions inherited from OrderBook
virtual ~OrderBook ()
 
SecurityId securityId () const
 
size_t depth () const
 
bool empty () const
 
std::string toString () const
 
void toString (std::string &) const
 
std::string toShortString () const
 
void toShortString (std::string &) const
 
std::string toFormattedString () const
 
void toFormattedString (std::string &) const
 
OrderBooksnapshot () const
 
void * operator new (size_t bookSize)
 
void operator delete (void *book)
 

Additional Inherited Members

- Public Types inherited from OrderBook
typedef PriceLevels PriceLevelsType
 
- Protected Member Functions inherited from OrderBook
 OrderBook (SecurityId securityId, size_t bookDepth)
 
- Protected Attributes inherited from OrderBook
SecurityId securityId_
 
size_t depth_
 

Detailed Description

Definition at line 33 of file EditableOrderBook.h.

Constructor & Destructor Documentation

EditableOrderBook ( SecurityId  securityId,
size_t  bookDepth,
LogFacility *  parent,
HandlerCore::Common::HandlerLogger *  logger 
)

Definition at line 37 of file EditableOrderBook.cpp.

Member Function Documentation

void apply ( const MDSnapshotEntry entry,
MDEntryType::Enum  entryType 
)

Definition at line 99 of file EditableOrderBook.cpp.

void apply ( const MDIncrementalEntry entry,
MDEntryType::Enum  entryType 
)

Definition at line 161 of file EditableOrderBook.cpp.

const PriceLevels & asks ( ) const
virtual

Returns a set of descending bid prices for the given security.

Implements OrderBook.

Definition at line 52 of file EditableOrderBook.cpp.

bool bestAsk ( Decimal price,
Quantity quantity 
) const
virtual

Returns best implied ask.

Implements OrderBook.

Definition at line 62 of file EditableOrderBook.cpp.

bool bestBid ( Decimal price,
Quantity quantity 
) const
virtual

Returns best implied bid.

Implements OrderBook.

Definition at line 73 of file EditableOrderBook.cpp.

const PriceLevels & bids ( ) const
virtual

Returns a set of ascending ask prices for the given security.

Implements OrderBook.

Definition at line 57 of file EditableOrderBook.cpp.

void checkSanity ( ) const

Definition at line 394 of file EditableOrderBook.cpp.

void clear ( )

Definition at line 380 of file EditableOrderBook.cpp.

void emptyBook ( const MDSnapshotEntry entry)

Definition at line 375 of file EditableOrderBook.cpp.

UInt32 lastMsgSeqNumProcessed ( ) const
virtual

Sequence number of the last processed message.

Implements OrderBook.

Definition at line 89 of file EditableOrderBook.cpp.

void log ( const TMsg &  msg)
inline

Log helper.

Definition at line 58 of file EditableOrderBook.h.

UInt64 mdEntryTime ( ) const
virtual

For bids and offers the official time of book entry, for trades official time of execution (all in nanoseconds).

Implements OrderBook.

Definition at line 84 of file EditableOrderBook.cpp.

void setLastMsgSeqNumProcessed ( UInt32  lastMsgSeqNumProcessed)

Definition at line 94 of file EditableOrderBook.cpp.


The documentation for this class was generated from the following files: