array_based_order_book.hpp File Reference

#include <jb/itch5/price_field.hpp>
#include <jb/itch5/price_levels.hpp>
#include <jb/itch5/quote_defaults.hpp>
#include <jb/assert_throw.hpp>
#include <jb/config_object.hpp>
#include <jb/feed_error.hpp>
#include <jb/log.hpp>
#include <algorithm>
#include <cmath>
#include <functional>
#include <map>
#include <utility>
#include <vector>

Go to the source code of this file.

Classes
class	jb::itch5::array_based_book_side< compare_t >
	Represent one side of the book. More...
struct	jb::itch5::array_based_order_book
	Define the types of buy and sell side classes. More...
class	jb::itch5::array_based_order_book::config
	Configure an array_based_order_book config object. More...
class	jb::itch5::array_based_book_side< compare_t >
	Represent one side of the book. More...
struct	jb::itch5::array_based_book_side< compare_t >::side< ordering, DUMMY >
	template specialization struct to handle differences between BUY and SELL version SELL side. More...
struct	jb::itch5::array_based_book_side< compare_t >::side< std::greater< std::size_t >, DUMMY >
	version BUY side More...

Namespaces
	jb
	The top-level namespace for the JayBeams library.
	jb::itch5
	Contains classes and functions to parse NASDAQ ITCH-5.0 messages, more information about ITCH-5.0 can be found at: http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf.
	jb::itch5::detail

Functions
void	jb::itch5::detail::raise_invalid_operation_parameters (char const *operation, int qty, price4_t px)
	Raise the right exception when we detect invalid parameters for add_order() or reduce_order() More...
void	jb::itch5::detail::validate_operation_params (char const *operation, int qty, price4_t px)
	Validate the input parameters for all array_order_book operations. More...
void	jb::itch5::detail::raise_invalid_reduce (std::string const &msg, std::size_t tk_begin_top, std::size_t tk_inside, price4_t px, int book_qty, int qty)
	Raise an exception describing a invalid reduce operation. More...

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Class Documentation

jb::itch5::array_based_order_book

struct jb::itch5::array_based_order_book

Define the types of buy and sell side classes.

It is used as template parameter book_type of the template classes order_book and compute_book:

• usage: jb::itch5::order_book<jb::itch5::array_based_order_book>

Definition at line 87 of file array_based_order_book.hpp.

Class Members
typedef array_based_book_side < greater< size_t > >	buys_t
typedef array_based_book_side < less< size_t > >	sells_t