orderbook::OrderBook Class Reference

A client-side representation of the exchange's order book. More...

#include <OrderBook.h>

Collaboration diagram for orderbook::OrderBook:

Classes
struct	Snapshot

Public Member Functions
	OrderBook (const std::string &symbol)
	~OrderBook ()=default
const std::string &	getSymbol () const
Snapshot	getUISnapshot (size_t maxDepth=10) const
void	handleIncremental (const fix::MarketDataIncrementalRefresh &refresh)
void	handleSnapshot (const fix::MarketDataSnapshotFullRefresh &snapshot)

Private Member Functions
void	updateLevel (char type, double price, uint64_t qty, char action)

Private Attributes
std::map< double, uint64_t, std::less< double > >	mAsks
std::map< double, uint64_t, std::greater< double > >	mBids
std::mutex	mMutex
std::string	mSymbol

Detailed Description

A client-side representation of the exchange's order book.

Maintains a sorted Bid/Ask ladder using snapshots and incremental updates.

Constructor & Destructor Documentation

OrderBook()

orderbook::OrderBook::OrderBook

(

const std::string &

symbol

)

~OrderBook()

orderbook::OrderBook::~OrderBook ( )

default

Member Function Documentation

getSymbol()

const std::string & orderbook::OrderBook::getSymbol ( ) const

inline

getUISnapshot()

OrderBook::Snapshot orderbook::OrderBook::getUISnapshot

(

size_t

maxDepth = 10

)

const

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handleIncremental()

void orderbook::OrderBook::handleIncremental

(

const fix::MarketDataIncrementalRefresh &

refresh

)

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handleSnapshot()

void orderbook::OrderBook::handleSnapshot

(

const fix::MarketDataSnapshotFullRefresh &

snapshot

)

updateLevel()

void orderbook::OrderBook::updateLevel ( char  type, double  price, uint64_t  qty, char  action  )

private

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Member Data Documentation

mAsks

std::map<double, uint64_t, std::less<double> > orderbook::OrderBook::mAsks

private

mBids

std::map<double, uint64_t, std::greater<double> > orderbook::OrderBook::mBids

private

mMutex

std::mutex orderbook::OrderBook::mMutex

mutableprivate

mSymbol

std::string orderbook::OrderBook::mSymbol

private

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

• client/client_orderbook/include/orderbook/OrderBook.h
• client/client_orderbook/src/OrderBook.cpp