MarketByOrder¶
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struct MarketByOrder¶
Public Functions
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inline virtual ~MarketByOrder()¶
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virtual std::string_view exchange() const = 0¶
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virtual std::string_view symbol() const = 0¶
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virtual uint16_t max_depth() const = 0¶
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virtual double price_increment() const = 0¶
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virtual double quantity_increment() const = 0¶
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virtual uint16_t stream_id() const = 0¶
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virtual std::chrono::nanoseconds exchange_time_utc() const = 0¶
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virtual uint64_t exchange_sequence() const = 0¶
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virtual uint32_t checksum() const = 0¶
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virtual std::pair<size_t, size_t> size() const = 0¶
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virtual bool empty() const = 0¶
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virtual void clear() = 0¶
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virtual double accumulated_quantity_price_index(Side, size_t index, bool excluding_price = false) const = 0¶
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virtual std::pair<Position, bool> get_queue_position(Side, std::string_view const &order_id) const = 0¶
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template<typename Callback>
inline void operator()(MarketByOrderUpdate const &market_by_order_update, std::vector<MBOUpdate> &orders, Callback callback)¶
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struct OrderUpdate¶
Public Members
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UpdateAction action = {}¶
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double remaining_quantity = NaN¶
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double last_modified_quantity = NaN¶
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double total_traded_quantity = NaN¶
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double last_traded_quantity = NaN¶
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double total_queue_quantity = NaN¶
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double queue_position_quantity = NaN¶
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size_t queue_position = {}¶
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bool iceberg = false¶
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UpdateAction action = {}¶
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struct Position¶
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inline virtual ~MarketByOrder()¶