TopOfBook

struct TopOfBook

Update relating to top of book (aggregate price)

Public Members

uint16_t stream_id = {}

Stream identifier.

std::string_view exchange

Exchange.

std::string_view symbol

Symbol.

roq::Layer layer = {}

Top of book.

roq::UpdateType update_type = {}

Update type.

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp, possibly from matching engine (UTC)

uint64_t exchange_sequence = {}

Exchange message sequence number.

std::chrono::nanoseconds sending_time_utc = {}

Exchange sending timestamp (UTC)

roq::Precision price_precision = {}

Precision (decimal digits) required to represent prices (dynamic)

roq::Precision quantity_precision = {}

Precision (decimal digits) required to represent quantities (dynamic)