OrderBook Class Reference

#include <OrderBook.h>

Public Member Functions
MarketId	marketId () const
std::size_t	depth () const
bool	empty () const
const PriceLevelArray &	bids () const
const PriceLevelArray &	offers () const
const OrderArray &	bidOrders () const
const OrderArray &	offerOrders () const
std::string	brief () const
void	brief (std::string &) const
std::string	toString () const
void	toString (std::string &) const
const OrderBook *	snapshot () const
	~OrderBook ()

Friends
class	OrderBookHolder

Detailed Description

Definition at line 126 of file OrderBook.h.

Constructor & Destructor Documentation

~OrderBook

(

)

Destructor.

Member Function Documentation

const OrderArray& bidOrders

(

)

const

Gets bid side of the full order depth book. The bid orders are stored in order of arrival.

Note

Always empty for price level books.

const PriceLevelArray& bids

(

)

const

Gets bid side of the price level book. The bids are stored in descending order based on price.

Note

Could be affected by the bid orders.

std::string brief ( ) const

inline

Returns brief book info.

Definition at line 194 of file OrderBook.h.

void brief

(

std::string &

)

const

Appends brief book info to the string.

std::size_t depth

(

)

const

Returns the maximum book depth.

bool empty

(

)

const

Indicates whether book has no bids & asks.

MarketId marketId

(

)

const

Unique identifier of a market.

const OrderArray& offerOrders

(

)

const

Gets offer side of the full order depth book. The offer orders are stored in order of arrival.

Note

Always empty for price level books.

const PriceLevelArray& offers

(

)

const

Gets offer side of the price level book. The offers are stored in ascending order based on price.

Note

Could be affected by the offer orders.

const OrderBook* snapshot

(

)

const

Creates immutable snapshot of the book owned by caller. It's responsibility of caller to delete returned snapshot.

std::string toString ( ) const

inline

String presentation of the book.

Definition at line 201 of file OrderBook.h.

void toString

(

std::string &

)

const

String presentation of the book.

Friends And Related Function Documentation

friend class OrderBookHolder

friend

Definition at line 182 of file OrderBook.h.

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

• OnixS/ICE/iMpact/MarketData/OrderBook.h