jb::itch5::map_based_book_side< compare_t > Class Template Reference

Represent one side of the book. More...

#include <map_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< price4_t >, DUMMY >
	version BUY side More...

Public Member Functions
	map_based_book_side (map_based_order_book::config const &cfg)
	Initializes an empty side order book. 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 reduced_qty)
	Reduce the quantity for a given price. More...
bool	is_ascending () const
	Testing hook. More...

Private Attributes
std::map< price4_t, int, compare_t >	levels_

Detailed Description

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

Represent one side of the book.

Class implementation of struct map_based_order_book buy and side types.

Template Parameters

compare_t

function object class type to sort the side

Definition at line 17 of file map_based_order_book.hpp.

Constructor & Destructor Documentation

map_based_book_side()

template<typename compare_t >

jb::itch5::map_based_book_side< compare_t >::map_based_book_side ( map_based_order_book::config const &  cfg )

inlineexplicit

Initializes an empty side order book.

Definition at line 55 of file map_based_order_book.hpp.

Member Function Documentation

add_order()

template<typename compare_t >

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

inline

Add a price and quantity to the side order book.

Parameters

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

Returns

true if the inside changed

Definition at line 88 of file map_based_order_book.hpp.

best_quote()

template<typename compare_t >

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

inline

Returns

the best side price and quantity

Definition at line 59 of file map_based_order_book.hpp.

count()

template<typename compare_t >

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

inline

Returns

the number of levels with non-zero quantity for the order side.

Definition at line 77 of file map_based_order_book.hpp.

is_ascending()

template<typename compare_t >

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

inline

Testing hook.

Returns

true if side is in ascending order (BUY side) To discriminate different implementations for buy and sell sides during testing.

Definition at line 127 of file map_based_order_book.hpp.

reduce_order()

template<typename compare_t >

bool jb::itch5::map_based_book_side< compare_t >::reduce_order ( price4_t  px, int  reduced_qty  )

inline

Reduce the quantity for a given price.

Parameters

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

Returns

true if the inside changed

Definition at line 101 of file map_based_order_book.hpp.

References JB_LOG, and jb::warning.

worst_quote()

template<typename compare_t >

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

inline

Returns

the worst side price and quantity

Definition at line 68 of file map_based_order_book.hpp.

Member Data Documentation

levels_

template<typename compare_t >

std::map<price4_t, int, compare_t> jb::itch5::map_based_book_side< compare_t >::levels_

private

Definition at line 155 of file map_based_order_book.hpp.

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

• jb/itch5/map_based_order_book.hpp