OrderBookBundleUpdateListener.h

Go to the documentation of this file.

/*
 * Copyright (c) Onix Solutions Limited. All rights reserved.
 *
 * This software owned by Onix Solutions Limited and is protected by copyright law
 * and international copyright treaties.
 *
 * Access to and use of the software is governed by the terms of the applicable ONIXS Software
 * Services Agreement (the Agreement) and Customer end user license agreements granting
 * a non-assignable, non-transferable and non-exclusive license to use the software
 * for it's own data processing purposes under the terms defined in the Agreement.
 *
 * Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
 * of this source code or associated reference material to any other location for further reproduction
 * or redistribution, and any amendments to this copyright notice, are expressly prohibited.
 *
 * Any reproduction or redistribution for sale or hiring of the Software not in accordance with
 * the terms of the Agreement is a violation of copyright law.
 */

#pragma once

#include "Export.h"
#include "Types.h"

namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {

// Forward declarations
class OrderBook;

/// Defines the interface through which the Handler
/// notifies subscribers about detected changes in books
/// after bundle of update messages.
class ONIXS_ICEMDH_EXPORT OrderBookBundleUpdateListener
{
public:
    /// 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.
    virtual void onOrderBookBundleUpdated(const OrderBook& book) = 0;

protected:
    virtual ~OrderBookBundleUpdateListener() {}
};

}}}} // namespace OnixS::ICE::iMpact::MarketData