Books in the Handler

Handler builds and maintains books for each security whose definition was previously received from Option Instrument Keys (J), Futures Instrument Keys (JF) or Strategy Instrument Keys (JS) message.

All books, maintained by the Handler, represent a price-level books. Book abstraction is exposed by the OnixS::IDEM::SOLA::HSVF::MarketData::OrderBook class.

Instance of a book for a particular security is passed through a parameter of event listener interface.

OnixS::IDEM::SOLA::HSVF::MarketData::OrderBook::asks and OnixS::IDEM::SOLA::HSVF::MarketData::OrderBook::bids members of the OnixS::IDEM::SOLA::HSVF::MarketData::OrderBook class can be used to access price value and quantity information for all levels available in the book.

Market orders in the book

Value OnixS::IDEM::SOLA::HSVF::MarketData::Rational::NO_VALUE is used for market order during auctions (either pre-opening auctions or intraday auctions).

You can find empty prices (represented as OnixS::IDEM::SOLA::HSVF::MarketData::Rational::NO_VALUE):

on the 1st level of book when no limit orders have been inserted during the auction.
on the 2nd level of book when limit orders have been inserted during the auction.

Note that when market order have been inserted on one side only (e.g. only in bid or only in ask), the 2nd level of the other side (the one without the market order) replicates the 1st one.