Client | L2 Orderbook

The client_orderbook module is the state management engine for Level 2 Market Data.

Overview

The orderbook bridges the gap between raw, asynchronous FIX messages and a stable memory layout suitable for 60 FPS rendering. It consumes MarketDataSnapshotFullRefresh (35=W) sweeps and MarketDataIncrementalRefresh (35=X) delta updates, translating them into a navigable Depth of Market (DoM).

Key Responsibilities

• Maintain an accurate, in-memory representation of Bids and Asks for a specific symbol.
• Apply incoming FIX market data updates deterministically.
• Sort price levels efficiently so Top-Of-Book (TOB) is always easily accessible.
• Provide thread-safe extraction vectors for the client_app UI layer.

Architecture

graph TD
    classDef logic fill:#0b0c10,stroke:#c5c6c7,stroke-width:2px,color:white;
    classDef net fill:#1f2833,stroke:#66fcf1,stroke-width:2px,color:white;
    classDef ui fill:#2b303a,stroke:#4caf50,stroke-width:2px,color:white;
 
    subgraph "client_fix"
        PARSER[FixMessageParser]:::net
    end
 
    subgraph "client_orderbook"
        ROUTER[MessageRouter]:::logic -->|35=W| SNAP(SnapshotHandler):::logic
        ROUTER -->|35=X| INC(IncrementalHandler):::logic
        
        SNAP --> BOOK[OrderBookState]:::logic
        INC --> BOOK
    end
 
    PARSER -->|Variant Event| ROUTER
    BOOK -->|getBids() / getAsks()| UI(client_app UI):::ui

Class Diagram

classDiagram
    class OrderBookModel {
        +applySnapshot(MarketDataSnapshotFullRefresh)
        +applyIncremental(MarketDataIncrementalRefresh)
        +getBids() : vector~PriceLevel~
        +getAsks() : vector~PriceLevel~
        +getTopOfBook() : tuple~Bid, Ask~
        -m_bids: map~double, uint64_t, greater~
        -m_asks: map~double, uint64_t, less~
        -m_mutex: shared_mutex
    }
    
    class PriceLevel {
        +price: double
        +quantity: uint64_t
        +num_orders: int
    }
 
    OrderBookModel *--> PriceLevel : Constructs

Component Responsibilities

Component	Description
**OrderBookModel**	The state container for a single instrument's Depth of Market.
**PriceLevel**	A POD struct detailing the aggregated quantity available at a specific price point.
Snapshot Application	Automatically clears the existing bids/asks and reconstructs the book from a 35=W sweep.
Incremental Application	Uses the MDUpdateAction tag to insert, update, or delete specific prices based on a 35=X streaming update.

Critical Design Conventions

• Red-Black Tree Sorting: Bids are stored in a std::map using std::greater<double> to keep the highest bid at the front. Asks use std::less<double> to keep the lowest ask at the front.
• Reader-Writer Locks: Employs std::shared_mutex. The background FIX thread takes a write lock when applying updates, whilst the UI thread takes a shared read lock to extract display vectors without stalling.