Maintain the ITCH-5.0 order book for a single security. More...

#include <order_book.hpp>

Public Types
using	book_type_config = typename book_type::config

Public Member Functions
	order_book (book_type_config const &cfg)
	Initialize an empty order book. More...

bool	handle_add_order (buy_sell_indicator_t side, price4_t px, int qty)
	Handle a new order. More...

bool	handle_order_reduced (buy_sell_indicator_t side, price4_t px, int reduced_qty)
	Handle an order reduction, which includes executions, cancels and replaces. More...

Accessors
half_quote	best_bid () const

half_quote	worst_bid () const

half_quote	best_offer () const

half_quote	worst_offer () const

book_depth_t	buy_count () const

book_depth_t	sell_count () const

book_depth_t	get_book_depth () const

Private Attributes
book_type::buys_t	buy_

book_type::sells_t	sell_

Detailed Description

template<typename book_type>
class jb::itch5::order_book< book_type >

Maintain the ITCH-5.0 order book for a single security.

ITCH-5.0, like other market data feeds provide order-by-order detail, that is, the feed includes a message for each order received by the exchange, as well as the changes to these orders, i.e. when the execute, when their quantity (and/or price) is modified, and when they are canceled.. Such feeds are sometimes called Level III feeds. Typically only orders that do not immediately execute in full are included in the feed.

There is substantial variation in the format of the messages, and some variation as to whether executions are represented differently than a partial cancel, and whether changes in price are allowed or create new order ids.

This class encapsulates the order book data structure as well as its configuration.

This class receives a stream of (unnormalized) ITCH-5.0 messages for a single security, and organizes the orders in a book, i.e. a data structure where orders at the same price are grouped together, and one can quickly ask:

What is the best bid (highest price of BUY orders) and what is the total quantity available at that price?
What is the best offer (lowest price of SELL orders) and what is the total quantity available at that price?

This is a template class.

Template Parameters

book_type defines data structure type of price book, both sides buy and sell. Must be compatible with jb::itch5::map_based_order_book

Parameters

cfg	book_type config

Definition at line 57 of file order_book.hpp.

Member Typedef Documentation

◆ book_type_config

template<typename book_type>

using jb::itch5::order_book< book_type >::book_type_config = typename book_type::config

Definition at line 59 of file order_book.hpp.

Constructor & Destructor Documentation

◆ order_book()

template<typename book_type>

jb::itch5::order_book< book_type >::order_book ( book_type_config const & cfg )

inlineexplicit

Initialize an empty order book.

Definition at line 62 of file order_book.hpp.

Member Function Documentation

◆ best_bid()

template<typename book_type>

half_quote jb::itch5::order_book< book_type >::best_bid ( ) const

inline

Returns: the best bid price and quantity

Definition at line 73 of file order_book.hpp.

References jb::itch5::order_book< book_type >::buy_.

Referenced by jb::itch5::generate_inside(), and jb::itch5::record_latency_stats().

◆ best_offer()

template<typename book_type>

half_quote jb::itch5::order_book< book_type >::best_offer ( ) const

inline

Returns: the best offer price and quantity

Definition at line 83 of file order_book.hpp.

References jb::itch5::order_book< book_type >::sell_.

Referenced by jb::itch5::generate_inside(), and jb::itch5::record_latency_stats().

◆ buy_count()

template<typename book_type>

book_depth_t jb::itch5::order_book< book_type >::buy_count ( ) const

inline

Definition at line 92 of file order_book.hpp.

References jb::itch5::order_book< book_type >::buy_.

Referenced by jb::itch5::order_book< book_type >::get_book_depth().

◆ get_book_depth()

template<typename book_type>

book_depth_t jb::itch5::order_book< book_type >::get_book_depth ( ) const

inline

Returns: the book depth, this is the number of price levels on this order book.

Definition at line 101 of file order_book.hpp.

References jb::itch5::order_book< book_type >::buy_count(), and jb::itch5::order_book< book_type >::sell_count().

◆ handle_add_order()

template<typename book_type>

bool jb::itch5::order_book< book_type >::handle_add_order	(	buy_sell_indicator_t	side,
		price4_t	px,
		int	qty
	)

inline

Handle a new order.

Update the quantity at the right price level in the correct side of the book.

Parameters

side	whether the order is a buy or a sell
px	the price of the order
qty	the quantity of the order

Returns: true if the inside changed

Definition at line 118 of file order_book.hpp.

References jb::itch5::order_book< book_type >::buy_, and jb::itch5::order_book< book_type >::sell_.

◆ handle_order_reduced()

template<typename book_type>

bool jb::itch5::order_book< book_type >::handle_order_reduced	(	buy_sell_indicator_t	side,
		price4_t	px,
		int	reduced_qty
	)

inline

Handle an order reduction, which includes executions, cancels and replaces.

Parameters

side	whether the order is a buy or a sell
px	the price of the order
reduced_qty	the executed quantity of the order

Returns: true if the inside changed

Definition at line 134 of file order_book.hpp.

References jb::itch5::order_book< book_type >::buy_, and jb::itch5::order_book< book_type >::sell_.

Referenced by jb::itch5::compute_book< book_type >::do_reduce().

◆ sell_count()

template<typename book_type>

book_depth_t jb::itch5::order_book< book_type >::sell_count ( ) const

inline

Definition at line 95 of file order_book.hpp.

References jb::itch5::order_book< book_type >::sell_.

Referenced by jb::itch5::order_book< book_type >::get_book_depth().

◆ worst_bid()

template<typename book_type>

half_quote jb::itch5::order_book< book_type >::worst_bid ( ) const

inline

Returns: the worst bid price and quantity

Definition at line 78 of file order_book.hpp.

References jb::itch5::order_book< book_type >::buy_.

◆ worst_offer()

template<typename book_type>

half_quote jb::itch5::order_book< book_type >::worst_offer ( ) const

inline

Returns: the worst offer price and quantity

Definition at line 88 of file order_book.hpp.

References jb::itch5::order_book< book_type >::sell_.

Member Data Documentation

◆ buy_

template<typename book_type>

book_type::buys_t jb::itch5::order_book< book_type >::buy_

private

Definition at line 143 of file order_book.hpp.

Referenced by jb::itch5::order_book< book_type >::best_bid(), jb::itch5::order_book< book_type >::buy_count(), jb::itch5::order_book< book_type >::handle_add_order(), jb::itch5::order_book< book_type >::handle_order_reduced(), and jb::itch5::order_book< book_type >::worst_bid().

◆ sell_

template<typename book_type>

book_type::sells_t jb::itch5::order_book< book_type >::sell_

private

Definition at line 144 of file order_book.hpp.

Referenced by jb::itch5::order_book< book_type >::best_offer(), jb::itch5::order_book< book_type >::handle_add_order(), jb::itch5::order_book< book_type >::handle_order_reduced(), jb::itch5::order_book< book_type >::sell_count(), and jb::itch5::order_book< book_type >::worst_offer().

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

jb/itch5/order_book.hpp

Public Types

Public Member Functions

Private Attributes

Detailed Description

template<typename book_type> class jb::itch5::order_book< book_type >

Member Typedef Documentation

◆ book_type_config

Constructor & Destructor Documentation

◆ order_book()

Member Function Documentation

◆ best_bid()

◆ best_offer()

◆ buy_count()

◆ get_book_depth()

◆ handle_add_order()

◆ handle_order_reduced()

◆ sell_count()

◆ worst_bid()

◆ worst_offer()

Member Data Documentation

◆ buy_

◆ sell_

template<typename book_type>
class jb::itch5::order_book< book_type >