OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.11.0
API documentation
OrderBookChangeListener.h
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19 
20 #pragma once
21 
22 #include "Export.h"
23 #include "Enumerations.h"
24 #include "Rational.h"
25 #include "Types.h"
26 
27 namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {
28 
29 // Forward declarations
30 class OrderBook;
31 struct MessageInfo;
32 
33 struct ONIXS_ICEMDH_EXPORT OrderBookChange
34 {
35  /// Side.
37 
38  /// Price.
40 
41  /// Total order quantity at price.
42  int quantity;
43 
44  /// Order count at price.
45  short orderCount;
46 
47  /// Constructor
48  OrderBookChange(Side::Enum side, const Rational& price, int quantity, short orderCount);
49 
50  /// Convert to string
51  std::string toString() const;
52 };
53 
54 /// Defines the interface through which the Handler
55 /// notifies subscribers about detected changes in books.
56 class ONIXS_ICEMDH_EXPORT OrderBookChangeListener
57 {
58 public:
59  /// Is called when book is reset for a given instrument.
60  ///
61  /// \param book is a 'up-to-date' book associated with given market.
62  virtual void onOrderBookReset(const OrderBook& book) = 0;
63 
64  /// Is called when a change for a particular order book is reported.
65  ///
66  /// The following messages affect the event:
67  ///
68  /// - Market Snapshot Message
69  /// - Market Snapshot Price Level Message
70  /// - Add Price Level Message
71  /// - Change Price Level Message
72  /// - Delete Price Level Message
73  /// - Market Snapshot Order Message
74  /// - Add/Modify Order Message
75  /// - Delete Order Message
76  /// - Trade Message
77  ///
78  /// \param marketId is a market ID for the order book
79  /// \param change is a change in the order book
80  virtual void onOrderBookChanged(MarketId marketId, const OrderBookChange& change) = 0;
81 
82 protected:
84 };
85 
86 }}}} // namespace MarketData, iMpact, ICE, OnixS
int MarketId
Alias for market identifiers type.
Definition: Types.h:39
Declare ICE iMpact enumerations.
Rational number representation.
Definition: Rational.h:30
Book instance composing price level book and full order depth book.
Definition: OrderBook.h:126
Enum
Trading side constants.
Definition: Enumerations.h:38