Helpers#
Fill#
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struct roq::Fill#
Represents a single fill (match) when an order is being partially or fully filled.
MBPUpdate#
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struct roq::MBPUpdate#
Represents the update status of a single aggregate price level in the order book.
Public Members
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double price = NaN#
Price level.
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double quantity = {}#
Total quantity available at price.
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double implied_quantity = NaN#
Total implied quantity at price (optional)
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uint32_t price_level = {}#
Level of price (optional, 1-based indexing)
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uint32_t number_of_orders = {}#
Number of orders at price (optional)
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double price = NaN#
Statistics#
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struct roq::Statistics#
Represents a single statistic.
Public Members
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StatisticsType type = {}#
Statistics type.
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double value = NaN#
Value.
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std::chrono::seconds begin_time_utc = {}#
Sample period begin time.
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std::chrono::seconds end_time_utc = {}#
Sample period end time.
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StatisticsType type = {}#