OnixS C++ Eurex T7 Market and Reference Data Interface (EMDI, RDI, EOBI) Handlers  7.4.2
API documentation
OrderBook Class Referenceabstract

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

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 PriceLevelsasks () const =0
 
virtual const PriceLevelsbids () 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
 
OrderBooksnapshot () 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

Definition at line 151 of file OrderBook.h.

Constructor & Destructor Documentation

~OrderBook ( )
virtual

Destruction interface.

Definition at line 92 of file OrderBook.cpp.

OrderBook ( SecurityId  securityId,
size_t  bookDepth 
)
protected

Definition at line 85 of file OrderBook.cpp.

Member Function Documentation

virtual const PriceLevels& asks ( ) const
pure virtual

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

Implemented in EditableOrderBook, and OrderBookSnapshot.

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

Returns best implied ask.

Implemented in EditableOrderBook, and OrderBookSnapshot.

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

Returns best implied bid.

Implemented in EditableOrderBook, and OrderBookSnapshot.

virtual const PriceLevels& bids ( ) const
pure virtual

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

Implemented in EditableOrderBook, and OrderBookSnapshot.

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.

Implemented in EditableOrderBook, and OrderBookSnapshot.

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).

Implemented in EditableOrderBook, and OrderBookSnapshot.

void operator delete ( void *  book)

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

Definition at line 101 of file OrderBook.cpp.

void * operator new ( size_t  bookSize)

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

Definition at line 96 of file OrderBook.cpp.

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.

Definition at line 106 of file OrderBook.cpp.

std::string toFormattedString ( ) const
inline

Returns formatted presentation of the book.

Definition at line 267 of file OrderBook.h.

void toFormattedString ( std::string &  formattedStr) const

Appends Formatted presentation of the book.

Definition at line 176 of file OrderBook.cpp.

std::string toShortString ( ) const
inline

Returns brief book info.

Definition at line 258 of file OrderBook.h.

void toShortString ( std::string &  presentation) const

Appends brief book info to the string.

Definition at line 247 of file OrderBook.cpp.

std::string toString ( ) const
inline

String presentation of the book.

Definition at line 249 of file OrderBook.h.

void toString ( std::string &  presentation) const

String presentation of the book.

Definition at line 129 of file OrderBook.cpp.

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.


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