Layer#

struct Layer#

Represents aggregate order book bid/ask information at a given depth.

Public Members

double bid_price = std::numeric_limits<double>::quiet_NaN()#

Bid price level.

double bid_quantity = {}#

Total quantity available at bid.

double ask_price = std::numeric_limits<double>::quiet_NaN()#

Ask price level.

double ask_quantity = {}#

Total quantity available at ask.