itch5eventdepth.cpp File Reference

This program tries to answer the question: 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_ITCH5EVENTDEPTH_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

This program tries to answer the question:

• How many changes happen at the top of book?
• How many changes happen 2 levels down the book?
• What about 10 levels?

It reports the percentiles of "for each event, record the depth of the change".

Definition in file itch5eventdepth.cpp.

Macro Definition Documentation

JB_ITCH5EVENTDEPTH_DEFAULT_per_symbol_max_book_depth

#define JB_ITCH5EVENTDEPTH_DEFAULT_per_symbol_max_book_depth   5000

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

Definition at line 144 of file itch5eventdepth.cpp.

Function Documentation

main()

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

Definition at line 74 of file itch5eventdepth.cpp.

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