Defines an interface through which the Handler notifies subscribers about detected changes in order books.
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virtual void | onBeginUpdate (const std::string &symbol, const MessageInfo &msgInfo)=0 |
| Implement this member to get notified about begin of order book update. More...
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virtual void | onEndUpdate (const std::string &symbol)=0 |
| Implement this member to get notified about end of order book update. More...
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virtual void | onBookSummaryUpdated (const std::string &symbol, const BookSummary &summary)=0 |
| Implement this member to get notified about order book summary update. More...
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virtual void | onPriceLevelAdded (const std::string &symbol, const char *key, const Price &price, Side::Enum side, const Size &size, OrdSizeInd::Enum ordSizeInd, UInt32 noOrd) |
| Implement this member to get notified about new price levels. More...
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virtual void | onPriceLevelUpdated (const std::string &symbol, const char *key, const Size &size, OrdSizeInd::Enum ordSizeInd, UInt32 noOrd) |
| Implement this member to get notified about changed price levels. More...
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virtual void | onPriceLevelRemoved (const std::string &symbol, const char *key) |
| Implement this member to get notified about removed price levels. More...
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Defines an interface through which the Handler notifies subscribers about detected changes in order books.
Class provides an interface for handling order book updates.
It doesn't provide an interface for instance deletion. However, since C++ doesn't have pure interface concept, destructor will be generated anyway. We can only control proper use of it. For this reason we hide from public use and make it available for descendants.
virtual void onBeginUpdate |
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const std::string & |
symbol, |
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const MessageInfo & |
msgInfo |
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) |
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pure virtual |
Implement this member to get notified about begin of order book update.
- Parameters
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symbol | valid market symbol e.g. GBP=, AUD=. |
msgInfo | is a fields related to incoming message. |
virtual void onBookSummaryUpdated |
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const std::string & |
symbol, |
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const BookSummary & |
summary |
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) |
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pure virtual |
Implement this member to get notified about order book summary update.
- Parameters
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symbol | valid market symbol e.g. GBP=, AUD=. |
summary | order book summary. |
virtual void onEndUpdate |
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const std::string & |
symbol | ) |
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pure virtual |
Implement this member to get notified about end of order book update.
- Parameters
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symbol | valid market symbol e.g. GBP=, AUD=. |
virtual void onPriceLevelAdded |
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const std::string & |
symbol, |
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const char * |
key, |
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const Price & |
price, |
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Side::Enum |
side, |
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const Size & |
size, |
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OrdSizeInd::Enum |
ordSizeInd, |
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UInt32 |
noOrd |
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) |
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inlinevirtual |
Implement this member to get notified about new price levels.
- Parameters
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symbol | valid market symbol e.g. GBP=, AUD=. |
key | unique identifier of price level. |
price | price of price level. |
side | side of price level. |
size | size of price level. |
ordSizeInd | order size indicator. |
noOrd | number of orders. |
virtual void onPriceLevelRemoved |
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const std::string & |
symbol, |
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const char * |
key |
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) |
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inlinevirtual |
Implement this member to get notified about removed price levels.
- Parameters
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symbol | valid market symbol e.g. GBP=, AUD=. |
key | unique identifier of price level. |
virtual void onPriceLevelUpdated |
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const std::string & |
symbol, |
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const char * |
key, |
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const Size & |
size, |
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OrdSizeInd::Enum |
ordSizeInd, |
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UInt32 |
noOrd |
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) |
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inlinevirtual |
Implement this member to get notified about changed price levels.
- Parameters
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symbol | valid market symbol e.g. GBP=, AUD=. |
key | unique identifier of price level. |
size | size of price level. |
ordSizeInd | order size indicator. |
noOrd | number of orders. |