OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.6.0
API documentation
OrderBookBundleUpdateListener Class Referenceabstract

#include <OrderBookBundleUpdateListener.h>

Public Member Functions

virtual void onOrderBookBundleUpdated (const OrderBook &book)=0
 

Protected Member Functions

virtual ~OrderBookBundleUpdateListener ()
 

Detailed Description

Defines the interface through which the Handler notifies subscribers about detected changes in books after bundle of update messages.

Definition at line 33 of file OrderBookBundleUpdateListener.h.

Constructor & Destructor Documentation

virtual ~OrderBookBundleUpdateListener ( )
inlineprotectedvirtual

Definition at line 57 of file OrderBookBundleUpdateListener.h.

Member Function Documentation

virtual void onOrderBookBundleUpdated ( const OrderBook book)
pure virtual

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.

Parameters
bookis a 'up-to-date' book associated with given market.

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