OnixS ICE iMpact Multicast Price Feed Handler C++ library
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// Forward declarations
/// Defines the interface through which the Handler
/// notifies subscribers about detected changes in books
/// after bundle of update messages.
/// Implement this member to get notified about changes in particular
/// book after bundle of update messages.
/// Message bundle is specifically added so that customers can process
/// messages resulted from partial fill differently if they want to.
/// Currently, when a resting order is partially filled, a new order is
/// created for the remaining quantity using a new ID (though priority
/// and entry timestamp remain the same). Client gets a trade message
/// and add/modify order message. Instead of treating them independently,
/// which would remove the whole quantity of the order (because of the trade)
/// first and then add the remaining quantity back, some customers prefer
/// to process them in one transaction.
/// This is a workaround message that might not be needed in future releases.
/// And not all customers care about it, depending on the specific applications.
/// You can ignore the message if it is applicable for your application.
/// \param book is a 'up-to-date' book associated with given market.
& book) = 0;
// namespace MarketData, iMpact, ICE, OnixS
Book instance composing price level book and full order depth book.