OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.11.0
API documentation
OrderBookBundleUpdateListener.h
Go to the documentation of this file.
1 /*
2  * Copyright (c) Onix Solutions Limited. All rights reserved.
3  *
4  * This software owned by Onix Solutions Limited and is protected by copyright law
5  * and international copyright treaties.
6  *
7  * Access to and use of the software is governed by the terms of the applicable ONIXS Software
8  * Services Agreement (the Agreement) and Customer end user license agreements granting
9  * a non-assignable, non-transferable and non-exclusive license to use the software
10  * for it's own data processing purposes under the terms defined in the Agreement.
11  *
12  * Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
13  * of this source code or associated reference material to any other location for further reproduction
14  * or redistribution, and any amendments to this copyright notice, are expressly prohibited.
15  *
16  * Any reproduction or redistribution for sale or hiring of the Software not in accordance with
17  * the terms of the Agreement is a violation of copyright law.
18  */
19 
20 #pragma once
21 
22 #include "Export.h"
23 #include "Types.h"
24 
25 namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {
26 
27 // Forward declarations
28 class OrderBook;
29 
30 /// Defines the interface through which the Handler
31 /// notifies subscribers about detected changes in books
32 /// after bundle of update messages.
33 class ONIXS_ICEMDH_EXPORT OrderBookBundleUpdateListener
34 {
35 public:
36  /// Implement this member to get notified about changes in particular
37  /// book after bundle of update messages.
38  ///
39  /// Message bundle is specifically added so that customers can process
40  /// messages resulted from partial fill differently if they want to.
41  /// Currently, when a resting order is partially filled, a new order is
42  /// created for the remaining quantity using a new ID (though priority
43  /// and entry timestamp remain the same). Client gets a trade message
44  /// and add/modify order message. Instead of treating them independently,
45  /// which would remove the whole quantity of the order (because of the trade)
46  /// first and then add the remaining quantity back, some customers prefer
47  /// to process them in one transaction.
48  ///
49  /// This is a workaround message that might not be needed in future releases.
50  /// And not all customers care about it, depending on the specific applications.
51  /// You can ignore the message if it is applicable for your application.
52  ///
53  /// \param book is a 'up-to-date' book associated with given market.
54  virtual void onOrderBookBundleUpdated(const OrderBook& book) = 0;
55 
56 protected:
58 };
59 
60 }}}} // namespace MarketData, iMpact, ICE, OnixS
Book instance composing price level book and full order depth book.
Definition: OrderBook.h:126