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MarketByPrice

struct MarketByPrice

Interface.

Public Functions

inline virtual ~MarketByPrice()

virtual std::string_view exchange() const = 0

virtual std::string_view symbol() const = 0

virtual uint16_t max_depth() const = 0

virtual double price_increment() const = 0

virtual double quantity_increment() const = 0

virtual Decimals price_decimals() const = 0

virtual Decimals quantity_decimals() const = 0

virtual uint16_t stream_id() const = 0

virtual std::chrono::nanoseconds exchange_time_utc() const = 0

virtual uint64_t exchange_sequence() const = 0

virtual uint32_t checksum() const = 0

virtual std::pair<size_t, size_t> size() const = 0

virtual bool empty() const = 0

virtual void clear() = 0

virtual std::pair<std::span<MBPUpdate const>, std::span<MBPUpdate const>> extract(std::span<MBPUpdate> const &bids, std::span<MBPUpdate> const &asks, bool allow_truncate = false) const = 0

virtual void extract_2(std::vector<MBPUpdate> &bids, std::vector<MBPUpdate> &asks, size_t max_depth = 0) const = 0

virtual std::span<Layer const> extract(std::span<Layer> const&, bool fill_zero = false) const = 0

virtual void extract_2(std::vector<Layer>&, size_t max_depth = 0) const = 0

virtual bool exists(Side, double price) const = 0

virtual std::pair<size_t, bool> find_index(Side, double price) const = 0

virtual bool is_bad() const = 0

virtual Layer compute_vwap(double total_quantity) const = 0

virtual Layer compute_impact_price(double total_quantity) const = 0

inline void operator()(auto const &value)

inline void operator()(std::span<MBPUpdate const> const &bids, std::span<MBPUpdate const> const &asks)

template<typename Callback>
inline void operator()(MarketByPriceUpdate const &market_by_price_update, std::vector<MBPUpdate> &bids, std::vector<MBPUpdate> &asks, Callback callback)

inline void operator()(Side side, MBPUpdate const &mbp_update)

template<typename Callback>
inline void create_snapshot(std::vector<MBPUpdate> &bids, std::vector<MBPUpdate> &asks, Callback callback) const

virtual std::pair<std::span<MBPUpdate const>, std::span<MBPUpdate const>> create_depth_update(MarketByPriceUpdate const&, size_t depth, std::span<MBPUpdate> const &bids, std::span<MBPUpdate> const &asks) const = 0

MarketByOrder

struct MarketByOrder

Public Functions

inline virtual ~MarketByOrder()

virtual std::string_view exchange() const = 0

virtual std::string_view symbol() const = 0

virtual uint16_t max_depth() const = 0

virtual double price_increment() const = 0

virtual double quantity_increment() const = 0

virtual Decimals price_decimals() const = 0

virtual Decimals quantity_decimals() const = 0

virtual uint16_t stream_id() const = 0

virtual std::chrono::nanoseconds exchange_time_utc() const = 0

virtual uint64_t exchange_sequence() const = 0

virtual uint32_t checksum() const = 0

virtual std::pair<size_t, size_t> size() const = 0

virtual bool empty() const = 0

virtual void clear() = 0

template<typename ...Args>
inline void operator()(Args&&... args)

virtual void extract(std::vector<MBOUpdate>&, size_t max_depth = 0) const = 0

virtual void extract(std::vector<MBOUpdate>&, Side, double price) const = 0

virtual void extract(std::vector<Layer>&, size_t max_depth = 0) const = 0

virtual bool exists(Side, double price) const = 0

virtual std::pair<size_t, bool> find_index(Side, double price) const = 0

virtual double total_quantity(Side, double price) const = 0

virtual double accumulated_quantity(Side, double price, bool excluding_price = false) const = 0

virtual double accumulated_quantity_price_index(Side, size_t index, bool excluding_price = false) const = 0

virtual std::pair<MBOUpdate, bool> find_order(Side, std::string_view const &order_id) const = 0

virtual std::pair<Position, bool> get_queue_position(Side, std::string_view const &order_id) const = 0

inline void operator()(std::span<MBOUpdate const> const &orders)

template<typename Callback>
inline void operator()(MarketByOrderUpdate const &market_by_order_update, std::vector<MBOUpdate> &orders, Callback callback)

template<typename Callback>
inline void create_snapshot(std::vector<MBOUpdate> &orders, Callback callback) const

struct OrderUpdate

Public Members

Side side = {}

UpdateAction action = {}

double remaining_quantity = NaN

double last_modified_quantity = NaN

double total_traded_quantity = NaN

double last_traded_quantity = NaN

double total_queue_quantity = NaN

double queue_position_quantity = NaN

size_t queue_position = {}

bool iceberg = false

struct Position

Public Members

double quantity = NaN

double before = NaN

double total = NaN