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

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

Collaboration diagram for OrderBookSnapshot:

Public Member Functions

 OrderBookSnapshot (const OrderBook &other)
 
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
 
- 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 30 of file OrderBookSnapshot.h.

Constructor & Destructor Documentation

OrderBookSnapshot ( const OrderBook other)
explicit

Definition at line 24 of file OrderBookSnapshot.cpp.

Member Function Documentation

const PriceLevels & asks ( ) const
virtual

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

Implements OrderBook.

Definition at line 35 of file OrderBookSnapshot.cpp.

bool bestAsk ( Decimal price,
Quantity quantity 
) const
virtual

Returns best implied ask.

Implements OrderBook.

Definition at line 45 of file OrderBookSnapshot.cpp.

bool bestBid ( Decimal price,
Quantity quantity 
) const
virtual

Returns best implied bid.

Implements OrderBook.

Definition at line 56 of file OrderBookSnapshot.cpp.

const PriceLevels & bids ( ) const
virtual

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

Implements OrderBook.

Definition at line 40 of file OrderBookSnapshot.cpp.

UInt32 lastMsgSeqNumProcessed ( ) const
virtual

Sequence number of the last processed message.

Implements OrderBook.

Definition at line 72 of file OrderBookSnapshot.cpp.

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 67 of file OrderBookSnapshot.cpp.


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