Represent one side of the book. More...

#include <array_based_order_book.hpp>

Classes
struct	side
	template specialization struct to handle differences between BUY and SELL version SELL side. More...

struct	side< std::greater< std::size_t >, DUMMY >
	version BUY side More...

Public Member Functions
	array_based_book_side (array_based_order_book::config const &cfg)
	Constructor, initialize a book side from its configuration. More...

half_quote	best_quote () const

half_quote	worst_quote () const

std::size_t	count () const

bool	add_order (price4_t px, int qty)
	Add a price and quantity to the side order book. More...

bool	reduce_order (price4_t px, int qty)
	Reduce the quantity for a given price. More...

bool	is_ascending () const
	Testing hook. More...

Static Public Member Functions
static std::size_t	price_levels_empty_quote ()
	Return the number of price levels for the empty quote. More...

Static Public Attributes
static std::size_t const	tk_empty_quote
	Cache the number of levels for the empty quote. More...

Private Member Functions
std::size_t	relative_worst_top_level () const

std::size_t	top_levels_count () const

void	move_top_to_bottom (std::size_t const tk_max)
	Move prices from tk_begin_top_ to tk_max (excluded) out of top_levels_ to bottom_levels_. More...

void	move_top_to_bottom_ranged (std::size_t N)
	Move the bottom N levels from the top vector to the bottom map. More...

void	move_bottom_to_top ()
	Move relative prices from best price to tk_begin_top* (included) out of bottom_levels_ to top_levels_. More...

std::size_t	next_best_price_level () const

Static Private Member Functions
static auto	get_limits (std::size_t const tk_px, std::size_t const rel)

Private Attributes
std::size_t	max_size_
	top_levels_ max size More...

std::vector< int >	top_levels_
	the best relative prices and quantity More...

std::map< std::size_t, int, compare_t >	bottom_levels_
	the worst (tail) price level and quantity More...

std::size_t	tk_inside_
	price level the inside More...

std::size_t	tk_begin_top_
	worst price level on the top_levels_ range More...

std::size_t	tk_end_top_
	one price level past-the-best price in top_levels_ range More...

Detailed Description

template<typename compare_t>
class jb::itch5::array_based_book_side< compare_t >

Represent one side of the book.

This implementation uses a top_levels_ fix sized vector<price4_t> to keep the prices around the inside. We are hoping this makes a faster order book side (instead of map based).

We have observed that most of the changes to an order book happen in the levels closer to the inside. We are trying to exploit this observation by using a vector<> for the N levels closer to the inside, as updates in a vector should be O(1) instead of O(log N) for tree-based implementations, and O(1) (with a larger constant) for hash-based implementations. This introduces some complexity: maintaining all the levels in the vector would consume too much memory, so we use a vector for the N levels closer to the inside, and a map for all the other levels.

Template Parameters

compare_t function object class type to sort the side

Definition at line 78 of file array_based_order_book.hpp.

Constructor & Destructor Documentation

◆ array_based_book_side()

template<typename compare_t >

jb::itch5::array_based_book_side< compare_t >::array_based_book_side ( array_based_order_book::config const & cfg )

inlineexplicit

Constructor, initialize a book side from its configuration.

Definition at line 131 of file array_based_order_book.hpp.

Member Function Documentation

◆ add_order()

template<typename compare_t >

bool jb::itch5::array_based_book_side< compare_t >::add_order	(	price4_t	px,
		int	qty
	)

inline

Add a price and quantity to the side order book.

if px is worse than the px_begin_top_ then px goes to bottom_levels
if px is better than the inside then changes inside, redefines limits if needed (moving the tail to bottom_levels if any)
finally, updates qty at the relative(px)

Parameters

px	the price of the new order
qty	the quantity of the new order

Returns: true if the inside changed

Exceptions

feed_error px out of valid range, or qty <= 0

Definition at line 192 of file array_based_order_book.hpp.

References jb::itch5::price_levels(), and jb::itch5::detail::validate_operation_params().

Referenced by BOOST_AUTO_TEST_CASE().

◆ best_quote()

template<typename compare_t >

half_quote jb::itch5::array_based_book_side< compare_t >::best_quote ( ) const

inline

Returns: the best bid price and quantity. The inside is always at the top_levels_

Definition at line 142 of file array_based_order_book.hpp.

Referenced by BOOST_AUTO_TEST_CASE().

◆ count()

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::count ( ) const

inline

Returns: the number of levels with non-zero quantity for the order side. This is the size of bottom_levels_ plus all non zero top_levels values

Definition at line 175 of file array_based_order_book.hpp.

Referenced by BOOST_AUTO_TEST_CASE().

◆ get_limits()

template<typename compare_t >

static auto jb::itch5::array_based_book_side< compare_t >::get_limits	(	std::size_t const	tk_px,
		std::size_t const	rel
	)

inlinestaticprivate

Returns: pair of price levels that are rel worse and better than tk_px, limited to valid price levels if tk_px is at the limit, return and empty quote values

Definition at line 509 of file array_based_order_book.hpp.

References jb::itch5::empty_offer_price(), and jb::itch5::price_levels().

◆ is_ascending()

template<typename compare_t >

bool jb::itch5::array_based_book_side< compare_t >::is_ascending ( ) const

inline

Testing hook.

Returns: true is side is ascending To test different implementations for buy and sell sides

Definition at line 333 of file array_based_order_book.hpp.

◆ move_bottom_to_top()

template<typename compare_t >

void jb::itch5::array_based_book_side< compare_t >::move_bottom_to_top ( )

inlineprivate

Move relative prices from best price to tk_begin_top* (included) out of bottom_levels_ to top_levels_.

*tk_begin_top_ is updated before calling this function.

Definition at line 464 of file array_based_order_book.hpp.

◆ move_top_to_bottom()

template<typename compare_t >

void jb::itch5::array_based_book_side< compare_t >::move_top_to_bottom ( std::size_t const tk_max )

inlineprivate

Move prices from tk_begin_top_ to tk_max (excluded) out of top_levels_ to bottom_levels_.

Parameters

tk_max first limit price level that is not moved out.

Inserts the prices into bottom_levels_ Shift top_levels_ prices in order for rel_max to become relative 0 Clear (value = 0) former relative position of moved prices

Definition at line 394 of file array_based_order_book.hpp.

References JB_ASSERT_THROW.

◆ move_top_to_bottom_ranged()

template<typename compare_t >

void jb::itch5::array_based_book_side< compare_t >::move_top_to_bottom_ranged ( std::size_t N )

inlineprivate

Move the bottom N levels from the top vector to the bottom map.

This function "copies" the bottom N levels from the top vector, and then zeroes out that portion of the vector ...

Parameters

N	the number of elements to move.

Definition at line 431 of file array_based_order_book.hpp.

◆ next_best_price_level()

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::next_best_price_level ( ) const

inlineprivate

Returns: the best next price level from the inside. (return empty quote price if none available).

Definition at line 489 of file array_based_order_book.hpp.

◆ price_levels_empty_quote()

template<typename compare_t >

static std::size_t jb::itch5::array_based_book_side< compare_t >::price_levels_empty_quote ( )

inlinestatic

Return the number of price levels for the empty quote.

This is mostly used to initialize tk_empty_quote, because otherwise the template definitions get too gnarly.

Definition at line 351 of file array_based_order_book.hpp.

References jb::itch5::price_levels().

◆ reduce_order()

template<typename compare_t >

bool jb::itch5::array_based_book_side< compare_t >::reduce_order	(	price4_t	px,
		int	qty
	)

inline

Reduce the quantity for a given price.

Parameters

px	the price of the order that was reduced
qty	the quantity reduced in the order

Returns: true if the inside changed

Exceptions

feed_error	qty <= 0
feed_error	px should be in bottom_levels_ but is empty
feed_error	trying to reduce a non-existing bottom_levels price
feed_error	trying to reduce a non-existing top_levels price
feed_error	trying to reduce a price better than px_inside_

Checks and handles if px is a bottom_level_ price Checks if top_levels_ is empty after reducing If so, limits have to be redefined, and tail moved into top_levels

Definition at line 249 of file array_based_order_book.hpp.

References JB_LOG, jb::itch5::price_levels(), jb::itch5::detail::raise_invalid_reduce(), jb::itch5::detail::validate_operation_params(), and jb::warning.

Referenced by BOOST_AUTO_TEST_CASE().

◆ relative_worst_top_level()

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::relative_worst_top_level ( ) const

inlineprivate

Returns: relative position of the worst valid price at top_levels.

Exceptions

feed_error top_levels_ is empty.

Definition at line 360 of file array_based_order_book.hpp.

◆ top_levels_count()

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::top_levels_count ( ) const

inlineprivate

Returns: number of valid prices (>0) at top_levels_

Definition at line 369 of file array_based_order_book.hpp.

◆ worst_quote()

template<typename compare_t >

half_quote jb::itch5::array_based_book_side< compare_t >::worst_quote ( ) const

inline

Returns: the worst bid price and quantity. Check if the side is empty first (return empty_quote in this case) The worst price is at the bottom_levels (if not empty), at the top_levels otherwise.

Definition at line 155 of file array_based_order_book.hpp.

Referenced by BOOST_AUTO_TEST_CASE().

Member Data Documentation

◆ bottom_levels_

template<typename compare_t >

std::map<std::size_t, int, compare_t> jb::itch5::array_based_book_side< compare_t >::bottom_levels_

private

the worst (tail) price level and quantity

Definition at line 619 of file array_based_order_book.hpp.

◆ max_size_

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::max_size_

private

top_levels_ max size

Definition at line 613 of file array_based_order_book.hpp.

◆ tk_begin_top_

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::tk_begin_top_

private

worst price level on the top_levels_ range

Definition at line 625 of file array_based_order_book.hpp.

◆ tk_empty_quote

template<typename compare_t >

std::size_t const jb::itch5::array_based_book_side< compare_t >::tk_empty_quote

static

Initial value:

=

array_based_book_side<compare_t>::price_levels_empty_quote()

Cache the number of levels for the empty quote.

This value is used numerous times in the critical path, and we want to avoid recomputing it over and over.

Definition at line 343 of file array_based_order_book.hpp.

◆ tk_end_top_

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::tk_end_top_

private

one price level past-the-best price in top_levels_ range

Definition at line 628 of file array_based_order_book.hpp.

◆ tk_inside_

template<typename compare_t >

std::size_t jb::itch5::array_based_book_side< compare_t >::tk_inside_

private

price level the inside

Definition at line 622 of file array_based_order_book.hpp.

◆ top_levels_

template<typename compare_t >

std::vector<int> jb::itch5::array_based_book_side< compare_t >::top_levels_

private

the best relative prices and quantity

Definition at line 616 of file array_based_order_book.hpp.

The documentation for this class was generated from the following file:

jb/itch5/array_based_order_book.hpp

Classes

Public Member Functions

Static Public Member Functions

Static Public Attributes

Private Member Functions

Static Private Member Functions

Private Attributes

Detailed Description

template<typename compare_t> class jb::itch5::array_based_book_side< compare_t >

Constructor & Destructor Documentation

◆ array_based_book_side()

Member Function Documentation

◆ add_order()

◆ best_quote()

◆ count()

◆ get_limits()

◆ is_ascending()

◆ move_bottom_to_top()

◆ move_top_to_bottom()

◆ move_top_to_bottom_ranged()

◆ next_best_price_level()

◆ price_levels_empty_quote()

◆ reduce_order()

◆ relative_worst_top_level()

◆ top_levels_count()

◆ worst_quote()

Member Data Documentation

◆ bottom_levels_

◆ max_size_

◆ tk_begin_top_

◆ tk_empty_quote

◆ tk_end_top_

◆ tk_inside_

◆ top_levels_

template<typename compare_t>
class jb::itch5::array_based_book_side< compare_t >