Order book. More...

#include <order_book.h>

Public Types
typedef CppCommon::BinTreeAVL< LevelNode, std::less< LevelNode > >	Levels
	Price level container.

Public Member Functions
	OrderBook (MarketManager &manager, const Symbol &symbol)

	OrderBook (const OrderBook &)=delete

	OrderBook (OrderBook &&)=delete

	~OrderBook ()

OrderBook &	operator= (const OrderBook &)=delete

OrderBook &	operator= (OrderBook &&)=delete

	operator bool () const noexcept
	Check if the order book is not empty.

bool	empty () const noexcept
	Is the order book empty?

size_t	size () const noexcept
	Get the order book size.

const Symbol &	symbol () const noexcept
	Get the order book symbol.

const LevelNode *	best_bid () const noexcept
	Get the order book best bid price level.

const LevelNode *	best_ask () const noexcept
	Get the order book best ask price level.

const Levels &	bids () const noexcept
	Get the order book bids container.

const Levels &	asks () const noexcept
	Get the order book asks container.

const LevelNode *	best_buy_stop () const noexcept
	Get the order book best buy stop order price level.

const LevelNode *	best_sell_stop () const noexcept
	Get the order book best sell stop order price level.

const Levels &	buy_stop () const noexcept
	Get the order book buy stop orders container.

const Levels &	sell_stop () const noexcept
	Get the order book sell stop orders container.

const LevelNode *	best_trailing_buy_stop () const noexcept
	Get the order book best trailing buy stop order price level.

const LevelNode *	best_trailing_sell_stop () const noexcept
	Get the order book best trailing sell stop order price level.

const Levels &	trailing_buy_stop () const noexcept
	Get the order book trailing buy stop orders container.

const Levels &	trailing_sell_stop () const noexcept
	Get the order book trailing sell stop orders container.

const LevelNode *	GetBid (uint64_t price) const noexcept
	Get the order book bid price level with the given price.

const LevelNode *	GetAsk (uint64_t price) const noexcept
	Get the order book ask price level with the given price.

const LevelNode *	GetBuyStopLevel (uint64_t price) const noexcept
	Get the order book buy stop level with the given price.

const LevelNode *	GetSellStopLevel (uint64_t price) const noexcept
	Get the order book sell stop level with the given price.

const LevelNode *	GetTrailingBuyStopLevel (uint64_t price) const noexcept
	Get the order book trailing buy stop level with the given price.

const LevelNode *	GetTrailingSellStopLevel (uint64_t price) const noexcept
	Get the order book trailing sell stop level with the given price.

Friends
class	MarketManager

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, const OrderBook &order_book)

Detailed Description

Order book.

Order book is used to keep buy and sell orders in a price level order.

Not thread-safe.

Examples: market_manager.cpp, and matching_engine.cpp.

Definition at line 28 of file order_book.h.

Member Typedef Documentation

◆ Levels

typedef CppCommon::BinTreeAVL<LevelNode, std::less<LevelNode> > CppTrader::Matching::OrderBook::Levels

Price level container.

Definition at line 34 of file order_book.h.

Constructor & Destructor Documentation

◆ OrderBook() [1/3]

CppTrader::Matching::OrderBook::OrderBook	(	MarketManager &	manager,
		const Symbol &	symbol
	)

Definition at line 15 of file order_book.cpp.

◆ OrderBook() [2/3]

CppTrader::Matching::OrderBook::OrderBook ( const OrderBook & )

delete

◆ OrderBook() [3/3]

CppTrader::Matching::OrderBook::OrderBook ( OrderBook && )

delete

◆ ~OrderBook()

CppTrader::Matching::OrderBook::~OrderBook ( )

Definition at line 33 of file order_book.cpp.

Member Function Documentation

◆ asks()

const Levels & CppTrader::Matching::OrderBook::asks ( ) const

inlinenoexcept

Get the order book asks container.

Definition at line 64 of file order_book.h.

◆ best_ask()

const LevelNode * CppTrader::Matching::OrderBook::best_ask ( ) const

inlinenoexcept

Get the order book best ask price level.

Definition at line 59 of file order_book.h.

◆ best_bid()

const LevelNode * CppTrader::Matching::OrderBook::best_bid ( ) const

inlinenoexcept

Get the order book best bid price level.

Definition at line 57 of file order_book.h.

◆ best_buy_stop()

const LevelNode * CppTrader::Matching::OrderBook::best_buy_stop ( ) const

inlinenoexcept

Get the order book best buy stop order price level.

Definition at line 67 of file order_book.h.

◆ best_sell_stop()

const LevelNode * CppTrader::Matching::OrderBook::best_sell_stop ( ) const

inlinenoexcept

Get the order book best sell stop order price level.

Definition at line 69 of file order_book.h.

◆ best_trailing_buy_stop()

const LevelNode * CppTrader::Matching::OrderBook::best_trailing_buy_stop ( ) const

inlinenoexcept

Get the order book best trailing buy stop order price level.

Definition at line 77 of file order_book.h.

◆ best_trailing_sell_stop()

const LevelNode * CppTrader::Matching::OrderBook::best_trailing_sell_stop ( ) const

inlinenoexcept

Get the order book best trailing sell stop order price level.

Definition at line 79 of file order_book.h.

◆ bids()

const Levels & CppTrader::Matching::OrderBook::bids ( ) const

inlinenoexcept

Get the order book bids container.

Definition at line 62 of file order_book.h.

◆ buy_stop()

const Levels & CppTrader::Matching::OrderBook::buy_stop ( ) const

inlinenoexcept

Get the order book buy stop orders container.

Definition at line 72 of file order_book.h.

◆ empty()

bool CppTrader::Matching::OrderBook::empty ( ) const

inlinenoexcept

Is the order book empty?

Definition at line 48 of file order_book.h.

◆ GetAsk()

const LevelNode * CppTrader::Matching::OrderBook::GetAsk ( uint64_t price ) const

inlinenoexcept

Get the order book ask price level with the given price.

Parameters

price - Price

Returns: Pointer to the order book ask price level with the given price or nullptr

Definition at line 32 of file order_book.inl.

◆ GetBid()

const LevelNode * CppTrader::Matching::OrderBook::GetBid ( uint64_t price ) const

inlinenoexcept

Get the order book bid price level with the given price.

Parameters

price - Price

Returns: Pointer to the order book bid price level with the given price or nullptr

Definition at line 26 of file order_book.inl.

◆ GetBuyStopLevel()

const LevelNode * CppTrader::Matching::OrderBook::GetBuyStopLevel ( uint64_t price ) const

inlinenoexcept

Get the order book buy stop level with the given price.

Parameters

price - Price

Returns: Pointer to the order book buy stop level with the given price or nullptr

Definition at line 38 of file order_book.inl.

◆ GetSellStopLevel()

const LevelNode * CppTrader::Matching::OrderBook::GetSellStopLevel ( uint64_t price ) const

inlinenoexcept

Get the order book sell stop level with the given price.

Parameters

price - Price

Returns: Pointer to the order book sell stop level with the given price or nullptr

Definition at line 44 of file order_book.inl.

◆ GetTrailingBuyStopLevel()

const LevelNode * CppTrader::Matching::OrderBook::GetTrailingBuyStopLevel ( uint64_t price ) const

inlinenoexcept

Get the order book trailing buy stop level with the given price.

Parameters

price - Price

Returns: Pointer to the order book trailing buy stop level with the given price or nullptr

Definition at line 50 of file order_book.inl.

◆ GetTrailingSellStopLevel()

const LevelNode * CppTrader::Matching::OrderBook::GetTrailingSellStopLevel ( uint64_t price ) const

inlinenoexcept

Get the order book trailing sell stop level with the given price.

Parameters

price - Price

Returns: Pointer to the order book trailing sell stop level with the given price or nullptr

Definition at line 56 of file order_book.inl.

◆ operator bool()

CppTrader::Matching::OrderBook::operator bool ( ) const

inlineexplicitnoexcept

Check if the order book is not empty.

Definition at line 45 of file order_book.h.

◆ operator=() [1/2]

OrderBook & CppTrader::Matching::OrderBook::operator= ( const OrderBook & )

delete

◆ operator=() [2/2]

OrderBook & CppTrader::Matching::OrderBook::operator= ( OrderBook && )

delete

◆ sell_stop()

const Levels & CppTrader::Matching::OrderBook::sell_stop ( ) const

inlinenoexcept

Get the order book sell stop orders container.

Definition at line 74 of file order_book.h.

◆ size()

size_t CppTrader::Matching::OrderBook::size ( ) const

inlinenoexcept

Get the order book size.

Definition at line 51 of file order_book.h.

◆ symbol()

const Symbol & CppTrader::Matching::OrderBook::symbol ( ) const

inlinenoexcept

Get the order book symbol.

Definition at line 54 of file order_book.h.

◆ trailing_buy_stop()

const Levels & CppTrader::Matching::OrderBook::trailing_buy_stop ( ) const

inlinenoexcept

Get the order book trailing buy stop orders container.

Definition at line 82 of file order_book.h.

◆ trailing_sell_stop()

const Levels & CppTrader::Matching::OrderBook::trailing_sell_stop ( ) const

inlinenoexcept

Get the order book trailing sell stop orders container.

Definition at line 84 of file order_book.h.

Friends And Related Symbol Documentation

◆ MarketManager

friend class MarketManager

friend

Definition at line 30 of file order_book.h.

◆ operator<<

template<class TOutputStream >

TOutputStream & operator<<	(	TOutputStream &	stream,
		const OrderBook &	order_book
	)

friend

Definition at line 13 of file order_book.inl.

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

include/trader/matching/order_book.h
include/trader/matching/order_book.inl
source/trader/matching/order_book.cpp

Public Types

Public Member Functions

Friends

Detailed Description

Member Typedef Documentation

◆ Levels

Constructor & Destructor Documentation

◆ OrderBook() [1/3]

◆ OrderBook() [2/3]

◆ OrderBook() [3/3]

◆ ~OrderBook()

Member Function Documentation

◆ asks()

◆ best_ask()

◆ best_bid()

◆ best_buy_stop()

◆ best_sell_stop()

◆ best_trailing_buy_stop()

◆ best_trailing_sell_stop()

◆ bids()

◆ buy_stop()

◆ empty()

◆ GetAsk()

◆ GetBid()

◆ GetBuyStopLevel()

◆ GetSellStopLevel()

◆ GetTrailingBuyStopLevel()

◆ GetTrailingSellStopLevel()

◆ operator bool()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ sell_stop()

◆ size()

◆ symbol()

◆ trailing_buy_stop()

◆ trailing_sell_stop()

Friends And Related Symbol Documentation

◆ MarketManager

◆ operator<<