itch5bookdepth.cpp File Reference

Compute ITCH5 Depth of Book statistics. More...

#include <jb/itch5/compute_book.hpp>
#include <jb/itch5/price_levels.hpp>
#include <jb/itch5/process_iostream.hpp>
#include <jb/book_depth_statistics.hpp>
#include <jb/fileio.hpp>
#include <jb/log.hpp>
#include <chrono>
#include <iostream>
#include <stdexcept>
#include <unordered_map>

Go to the source code of this file.

Macros
#define	JB_ITCH5BOOKDEPTH_DEFAULT_per_symbol_max_book_depth   5000
	Limit the amount of memory used on each per-symbol statistics. More...

Functions
int	main (int argc, char *argv[])

Detailed Description

Compute ITCH5 Depth of Book statistics.

Generate statistics per symbol and aggregated. See: https://github.com/GFariasR/jaybeams/wiki/ITCH5-Depth-of-Book-StatisticsProject for design and implementation details.

Definition in file itch5bookdepth.cpp.

Macro Definition Documentation

JB_ITCH5BOOKDEPTH_DEFAULT_per_symbol_max_book_depth

#define JB_ITCH5BOOKDEPTH_DEFAULT_per_symbol_max_book_depth   5000

Limit the amount of memory used on each per-symbol statistics.

Definition at line 128 of file itch5bookdepth.cpp.

Function Documentation

main()

int main	(	int	argc,
		char *	argv[]
	)

Definition at line 59 of file itch5bookdepth.cpp.

References jb::usage::exit_status(), jb::log::init(), jb::open_input_file(), jb::open_output_file(), jb::book_depth_statistics::print_csv(), jb::book_depth_statistics::print_csv_header(), jb::itch5::process_iostream(), and jb::itch5::book_update::stock.