OrderBook Class Reference

Public Types
typedef PriceLevels	PriceLevelsType

Public Member Functions
virtual	~OrderBook ()
SecurityId	securityId () const
virtual UInt32	lastMsgSeqNumProcessed () const =0
size_t	depth () const
bool	empty () const
virtual const PriceLevels &	asks () const =0
virtual const PriceLevels &	bids () const =0
virtual bool	bestAsk (Decimal &price, Quantity &quantity) const =0
virtual bool	bestBid (Decimal &price, Quantity &quantity) const =0
virtual UInt64	mdEntryTime () const =0
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
OrderBook *	snapshot () const
void *	operator new (size_t bookSize)
void	operator delete (void *book)

Protected Member Functions
	OrderBook (SecurityId securityId, size_t bookDepth)

Protected Attributes
SecurityId	securityId_
size_t	depth_

Detailed Description

Order Book.

A set of bid prices and ask prices for the given security (bids are descending and asks are ascending). The quantity is provided at each price level.

Definition at line 148 of file OrderBook.h.

Member Typedef Documentation

typedef PriceLevels PriceLevelsType

Definition at line 151 of file OrderBook.h.

Constructor & Destructor Documentation

virtual ~OrderBook ( )

virtual

Destruction interface.

OrderBook ( SecurityId  securityId, size_t  bookDepth  )

protected

Member Function Documentation

virtual const PriceLevels& asks ( ) const

pure virtual

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

virtual bool bestAsk ( Decimal &  price, Quantity &  quantity  ) const

pure virtual

Returns best implied ask.

virtual bool bestBid ( Decimal &  price, Quantity &  quantity  ) const

pure virtual

Returns best implied bid.

virtual const PriceLevels& bids ( ) const

pure virtual

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

size_t depth ( ) const

inline

Returns the maximum book depth.

Definition at line 239 of file OrderBook.h.

bool empty ( ) const

inline

Indicates whether book has no bids & asks.

Definition at line 244 of file OrderBook.h.

virtual UInt32 lastMsgSeqNumProcessed ( ) const

pure virtual

Sequence number of the last processed message.

virtual UInt64 mdEntryTime ( ) const

pure virtual

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

void operator delete

(

void *

book

)

De-allocating operator to avoid runtime collision. Primarily designed for snapshot/cloning.

void* operator new

(

size_t

bookSize

)

Allocation operator to avoid runtime collision. Primarily designed for snapshot/cloning.

SecurityId securityId ( ) const

inline

Unique instrument Id (tag 48) as qualified by the exchange per tag 22-SecurityIDSource.

Definition at line 234 of file OrderBook.h.

OrderBook* snapshot

(

)

const

Creates immutable snapshot of the book.

std::string toFormattedString ( ) const

inline

Returns formatted presentation of the book.

Definition at line 267 of file OrderBook.h.

void toFormattedString

(

std::string &

)

const

Appends Formatted presentation of the book.

std::string toShortString ( ) const

inline

Returns brief book info.

Definition at line 258 of file OrderBook.h.

void toShortString

(

std::string &

)

const

Appends brief book info to the string.

std::string toString ( ) const

inline

String presentation of the book.

Definition at line 249 of file OrderBook.h.

void toString

(

std::string &

)

const

String presentation of the book.

Member Data Documentation

size_t depth_

protected

Definition at line 218 of file OrderBook.h.

SecurityId securityId_

protected

Definition at line 215 of file OrderBook.h.