Matching engine definitions. More...

Classes
class	FastHash
	Fast hash helper. More...

struct	Level
	Price level. More...

struct	LevelNode
	Price level node. More...

struct	LevelUpdate
	Price level update. More...

class	MarketHandler
	Market handler class. More...

class	MarketManager
	Market manager. More...

struct	Order
	Order. More...

struct	OrderNode
	Order node. More...

class	OrderBook
	Order book. More...

struct	Symbol
	Symbol. More...

Enumerations
enum class	ErrorCode : uint8_t { OK , SYMBOL_DUPLICATE , SYMBOL_NOT_FOUND , ORDER_BOOK_DUPLICATE , ORDER_BOOK_NOT_FOUND , ORDER_DUPLICATE , ORDER_NOT_FOUND , ORDER_ID_INVALID , ORDER_TYPE_INVALID , ORDER_PARAMETER_INVALID , ORDER_QUANTITY_INVALID }
	Error code. More...

enum class	LevelType : uint8_t { BID , ASK }
	Price level type. More...

enum class	OrderSide : uint8_t { BUY , SELL }
	Order side. More...

enum class	OrderType : uint8_t { MARKET , LIMIT , STOP , STOP_LIMIT , TRAILING_STOP , TRAILING_STOP_LIMIT }
	Order type. More...

enum class	OrderTimeInForce : uint8_t { GTC , IOC , FOK , AON }
	Order Time in Force. More...

enum class	UpdateType : uint8_t { NONE , ADD , UPDATE , DELETE }
	Update type. More...

Functions
template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, ErrorCode error)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, LevelType type)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, const Level &level)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, const LevelUpdate &update)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, OrderSide side)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, OrderType type)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, OrderTimeInForce tif)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, const Order &order)

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

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, const Symbol &symbol)

template<class TOutputStream >
TOutputStream &	operator<< (TOutputStream &stream, UpdateType type)

Detailed Description

Matching engine definitions.

Enumeration Type Documentation

◆ ErrorCode

enum CppTrader::Matching::ErrorCode : uint8_t

strong

Error code.

Enumerator
OK
SYMBOL_DUPLICATE
SYMBOL_NOT_FOUND
ORDER_BOOK_DUPLICATE
ORDER_BOOK_NOT_FOUND
ORDER_DUPLICATE
ORDER_NOT_FOUND
ORDER_ID_INVALID
ORDER_TYPE_INVALID
ORDER_PARAMETER_INVALID
ORDER_QUANTITY_INVALID

Examples: matching_engine.cpp.

Definition at line 20 of file errors.h.

◆ LevelType

enum CppTrader::Matching::LevelType : uint8_t

strong

Price level type.

Enumerator
BID
ASK

Definition at line 21 of file level.h.

◆ OrderSide

enum CppTrader::Matching::OrderSide : uint8_t

strong

Order side.

Possible values:

Buy - Buy side is the side of orders made up of investing institutions such as mutual funds, pension funds and insurance firms that tend to buy large portions of securities for money-management purposes.
Sell - The opposite side to buy made up of investing institutions that tend to sell large portions of securities for money-management purposes.

Enumerator
BUY
SELL

Definition at line 33 of file order.h.

◆ OrderTimeInForce

enum CppTrader::Matching::OrderTimeInForce : uint8_t

strong

Order Time in Force.

Possible values:

Good-Till-Cancelled (GTC) - A GTC order is an order to buy or sell a stock that lasts until the order is completed or cancelled.
Immediate-Or-Cancel (IOC) - An IOC order is an order to buy or sell a stock that must be executed immediately. Any portion of the order that cannot be filled immediately will be cancelled.
Fill-Or-Kill (FOK) - An FOK order is an order to buy or sell a stock that must be executed immediately in its entirety; otherwise, the entire order will be cancelled (i.e., no partial execution of the order is allowed).
All-Or-None (AON) - An All-Or-None (AON) order is an order to buy or sell a stock that must be executed in its entirety, or not executed at all. AON orders that cannot be executed immediately remain active until they are executed or cancelled.

Enumerator
GTC	Good-Till-Cancelled.
IOC	Immediate-Or-Cancel.
FOK	Fill-Or-Kill.
AON	All-Or-None.

Definition at line 109 of file order.h.

◆ OrderType

enum CppTrader::Matching::OrderType : uint8_t

strong

Order type.

Possible values:

Market order - A market order is an order to buy or sell a stock at the best available price. Generally, this type of order will be executed immediately. However, the price at which a market order will be executed is not guaranteed. It is important for investors to remember that the last-traded price is not necessarily the price at which a market order will be executed. In fast-moving markets, the price at which a market order will execute often deviates from the last-traded price or "real time" quote.
Limit order - A limit order is an order to buy or sell a stock at a specific price or better. A buy limit order can only be executed at the limit price or lower, and a sell limit order can only be executed at the limit price or higher. A limit order is not guaranteed to execute. A limit order can only be filled if the stock's market price reaches the limit price. While limit orders do not guarantee execution, they help ensure that an investor does not pay more than a predetermined price for a stock.
Stop order - A stop order, also referred to as a stop-loss order, is an order to buy or sell a stock once the price of the stock reaches a specified price, known as the stop price. When the stop price is reached, a stop order becomes a market order. A buy stop order is entered at a stop price above the current market price. Investors generally use a buy stop order to limit a loss or to protect a profit on a stock that they have sold short. A sell stop order is entered at a stop price below the current market price. Investors generally use a sell stop order to limit a loss or to protect a profit on a stock that they own.
Stop-limit order - A stop-limit order is an order to buy or sell a stock that combines the features of a stop order and a limit order. Once the stop price is reached, a stop-limit order becomes a limit order that will be executed at a specified price (or better). The benefit of a stop-limit order is that the investor can control the price at which the order can be executed.
Trailing stop order - A trailing stop order is entered with a stop parameter that creates a moving or trailing activation price, hence the name. This parameter is entered as a percentage change or actual specific amount of rise (or fall) in the security price. Trailing stop sell orders are used to maximize and protect profit as a stock's price rises and limit losses when its price falls.
Trailing stop-limit order - A trailing stop-limit order is similar to a trailing stop order. Instead of selling at market price when triggered, the order becomes a limit order.

Enumerator
MARKET
LIMIT
STOP
STOP_LIMIT
TRAILING_STOP
TRAILING_STOP_LIMIT

Definition at line 81 of file order.h.

◆ UpdateType

enum CppTrader::Matching::UpdateType : uint8_t

strong

Update type.

Enumerator
NONE
ADD
UPDATE
DELETE

Definition at line 20 of file update.h.