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 Precision price_precision() const = 0¶

virtual Precision quantity_precision() 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 double total_quantity(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, uint16_t number_of_orders = 0) 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 void create_depth_update(MarketByPriceUpdate const&, size_t depth, std::vector<MBPUpdate> &bids, std::vector<MBPUpdate> &asks) const = 0¶