order_book.hpp File Reference

#include <jb/itch5/array_based_order_book.hpp>
#include <jb/itch5/buy_sell_indicator.hpp>
#include <jb/itch5/map_based_order_book.hpp>
#include <jb/itch5/price_field.hpp>
#include <jb/itch5/quote_defaults.hpp>
#include <jb/config_object.hpp>
#include <type_traits>

Go to the source code of this file.

Classes
class	jb::itch5::order_book< book_type >
	Maintain the ITCH-5.0 order book for a single security. More...

Namespaces
	jb
	The top-level namespace for the JayBeams library.
	jb::itch5
	Contains classes and functions to parse NASDAQ ITCH-5.0 messages, more information about ITCH-5.0 can be found at: http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf.

Typedefs
using	jb::itch5::book_depth_t = unsigned long int
	Number of prices on a side order book. More...