trading_core::OrderBook Class Reference

Represents the order book for a single financial instrument. More...

#include <OrderBook.h>

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Public Types
using	AskMap = std::map< common::Price, PriceLevel >
	A map of prices to price levels for sell orders, sorted in ascending order.
using	BidMap = std::map< common::Price, PriceLevel, std::greater<> >
	A map of prices to price levels for buy orders, sorted in descending order.
using	PriceLevel = std::deque< common::Order * >
	A deque of orders at a specific price level.

Public Member Functions
	OrderBook (common::Symbol symbol, MarketDataPublisher &publisher)
	Constructs a new OrderBook.
virtual	~OrderBook ()=default
virtual bool	cancelOrder (const common::OrderID &orderId)
	Cancels an order from the order book.
virtual AskMap *	getAskMap ()
	Gets a raw pointer to the ask map.
virtual BidMap *	getBidMap ()
	Gets a raw pointer to the bid map.
virtual void	insertOrder (common::Order *order)
	Inserts an order into the order book.
virtual void	publishSnapshot (common::SessionID sessionId) const
	Publishes a full snapshot of the current order book for a specific session.

Private Attributes
AskMap	mAskMap
	The map of sell orders.
BidMap	mBidMap
	The map of buy orders.
MarketDataPublisher &	mPublisher
common::Symbol	mSymbol

Detailed Description

Represents the order book for a single financial instrument.

The order book maintains two separate books for buy (bid) and sell (ask) orders, organized by price levels. It provides methods for inserting and canceling orders and publishes market data updates.

Member Typedef Documentation

AskMap

using trading_core::OrderBook::AskMap = std::map<common::Price, PriceLevel>

A map of prices to price levels for sell orders, sorted in ascending order.

BidMap

using trading_core::OrderBook::BidMap = std::map<common::Price, PriceLevel, std::greater<> >

A map of prices to price levels for buy orders, sorted in descending order.

PriceLevel

using trading_core::OrderBook::PriceLevel = std::deque<common::Order*>

A deque of orders at a specific price level.

Constructor & Destructor Documentation

OrderBook()

trading_core::OrderBook::OrderBook	(	common::Symbol	symbol,
		MarketDataPublisher &	publisher
	)

Constructs a new OrderBook.

Parameters

symbol	The symbol this order book represents.
publisher	A reference to the market data publisher.

~OrderBook()

virtual trading_core::OrderBook::~OrderBook ( )

virtualdefault

Member Function Documentation

cancelOrder()

bool trading_core::OrderBook::cancelOrder ( const common::OrderID &  orderId )

virtual

Cancels an order from the order book.

Parameters

orderId

The ID of the order to be cancelled.

Returns

True if the order was successfully cancelled, false otherwise.

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getAskMap()

OrderBook::AskMap * trading_core::OrderBook::getAskMap ( )

virtual

Gets a raw pointer to the ask map.

Returns

A raw pointer to the ask map.

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getBidMap()

OrderBook::BidMap * trading_core::OrderBook::getBidMap ( )

virtual

Gets a raw pointer to the bid map.

Returns

A raw pointer to the bid map.

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insertOrder()

void trading_core::OrderBook::insertOrder ( common::Order *  order )

virtual

Inserts an order into the order book.

Parameters

order

A raw pointer to the order to be inserted.

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publishSnapshot()

void trading_core::OrderBook::publishSnapshot ( common::SessionID  sessionId ) const

virtual

Publishes a full snapshot of the current order book for a specific session.

Parameters

sessionId

The session to send the snapshot to.

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Member Data Documentation

mAskMap

AskMap trading_core::OrderBook::mAskMap

private

The map of sell orders.

mBidMap

BidMap trading_core::OrderBook::mBidMap

private

The map of buy orders.

mPublisher

MarketDataPublisher& trading_core::OrderBook::mPublisher

private

mSymbol

common::Symbol trading_core::OrderBook::mSymbol

private

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

• core/trading_core/include/trading_core/OrderBook.h
• core/trading_core/src/OrderBook.cpp