MBPUpdate

struct MBPUpdate

Represents the update status of a single aggregate price level in the order book.

Public Members

double price = NaN

Price.

double quantity = {}

Total quantity available at price (zero means remove price level)

double implied_quantity = NaN

Total implied quantity at price (optional)

uint16_t number_of_orders = {}

Number of orders at price (optional)

UpdateAction update_action = {}

Type of update action.

uint32_t price_level = {}

Price level (0-based indexing)