Level 2 OrderBook - aggregated price levels. More...

#include <orderbook_l2.hpp>

Collaboration diagram for slick::orderbook::OrderBookL2:

Public Member Functions
	OrderBookL2 (SymbolId symbol, std::size_t initial_capacity=32)
	Constructor.

virtual	~OrderBookL2 ()=default
	Destructor.

	OrderBookL2 (const OrderBookL2 &)=delete

OrderBookL2 &	operator= (const OrderBookL2 &)=delete

	OrderBookL2 (OrderBookL2 &&) noexcept

OrderBookL2 &	operator= (OrderBookL2 &&) noexcept

SymbolId	symbol () const noexcept
	Get symbol ID.

void	updateLevel (Side side, Price price, Quantity quantity, Timestamp timestamp, uint64_t seq_num=0, bool is_last_in_batch=true)
	Add or update a price level If quantity is 0, the level is deleted.

bool	deleteLevel (Side side, Price price, Timestamp timestamp=0)
	Delete a price level Does not emit a PriceLevelUpdate, but refreshes the cached top-of-book (and notifies onTopOfBookUpdate if it changed)

void	clearSide (Side side, Timestamp timestamp=0)
	Clear all levels on one side Refreshes the cached top-of-book (and notifies onTopOfBookUpdate if it changed)

void	clear (Timestamp timestamp=0)
	Clear all levels (both sides) Refreshes the cached top-of-book (and notifies onTopOfBookUpdate if it changed)

const detail::PriceLevelL2 *	getBestBid () const noexcept
	Get best bid (highest buy price)

const detail::PriceLevelL2 *	getBestAsk () const noexcept
	Get best ask (lowest sell price)

TopOfBook	getTopOfBook () const noexcept
	Get top-of-book snapshot.

std::vector< detail::PriceLevelL2 >	getLevels (Side side, std::size_t depth=0) const
	Get price levels for a side.

const detail::PriceLevelL2 *	getLevel (Side side, Price price) const noexcept
	Get a specific price level by price.

const detail::PriceLevelL2 *	getLevelByIndex (Side side, uint16_t index) const noexcept
	Get a price level by index (0 = best)

std::size_t	levelCount (Side side) const noexcept
	Get number of levels on a side.

bool	isEmpty (Side side) const noexcept
	Check if a side is empty.

bool	isEmpty () const noexcept
	Check if book is empty (both sides)

void	addObserver (std::shared_ptr< IOrderBookObserver > observer)
	Observer management.

bool	removeObserver (const std::shared_ptr< IOrderBookObserver > &observer)

void	clearObservers () noexcept

std::size_t	observerCount () const noexcept

uint64_t	getLastSeqNum () const noexcept
	Get last processed sequence number.

void	emitSnapshot (Timestamp timestamp)
	Emit complete orderbook snapshot to observers Useful for replaying full book state to a new observer Calls onSnapshotBegin(), followed by onPriceLevelUpdate() for each level, then onSnapshotEnd()

Protected Member Functions
void	notifyTopOfBookIfChanged (Timestamp timestamp)
	Notify observers of top-of-book update if best changed Updates cached_tob_ after notification.

Protected Attributes
SymbolId	symbol_

std::array< detail::LevelContainer, SideCount >	sides_

ObserverManager	observers_

TopOfBook	cached_tob_

detail::PriceLevelL2	cached_best_bid_

detail::PriceLevelL2	cached_best_ask_

std::atomic< uint64_t >	tob_seq_

uint64_t	last_seq_num_

uint16_t	change_starting_index_ = INVALID_INDEX

Detailed Description

Level 2 OrderBook - aggregated price levels.

Maintains aggregated order book state with price levels and total quantities. Does not track individual orders.

Features:

O(log n) updates (binary search in sorted vector)
O(1) best bid/ask queries
Cache-friendly memory layout
Observer pattern for notifications

Thread Safety: Single writer, multiple readers (lock-free reads planned)

Memory Layout: Cache-aligned to 64 bytes for optimal performance

Usage:

OrderBookL2 book(symbol_id);
book.updateLevel(Side::Buy, 10000, 100, timestamp);
auto best_bid = book.getBestBid();

Definition at line 41 of file orderbook_l2.hpp.

Constructor & Destructor Documentation

◆ OrderBookL2() [1/3]

slick::orderbook::OrderBookL2::OrderBookL2	(	SymbolId	symbol,
		std::size_t	initial_capacity = `32`
	)

inlineexplicit

Constructor.

Parameters

symbol	Symbol identifier
initial_capacity	Initial capacity for price levels per side

Definition at line 12 of file orderbook_l2_impl.hpp.

References slick::orderbook::Buy, cached_tob_, slick::orderbook::Sell, sides_, slick::orderbook::TopOfBook::symbol, and symbol_.

◆ ~OrderBookL2()

virtual slick::orderbook::OrderBookL2::~OrderBookL2 ( )

virtualdefault

Destructor.

◆ OrderBookL2() [2/3]

slick::orderbook::OrderBookL2::OrderBookL2 ( const OrderBookL2 & )

delete

◆ OrderBookL2() [3/3]

slick::orderbook::OrderBookL2::OrderBookL2 ( OrderBookL2 && other )

inlinenoexcept

Definition at line 26 of file orderbook_l2_impl.hpp.

Member Function Documentation

◆ addObserver()

void slick::orderbook::OrderBookL2::addObserver ( std::shared_ptr< IOrderBookObserver > observer )

inline

Observer management.

Definition at line 138 of file orderbook_l2.hpp.

◆ clear()

void slick::orderbook::OrderBookL2::clear ( Timestamp timestamp = 0 )

inline

Clear all levels (both sides) Refreshes the cached top-of-book (and notifies onTopOfBookUpdate if it changed)

Parameters

timestamp Timestamp for the top-of-book update (0 = unknown)

Definition at line 142 of file orderbook_l2_impl.hpp.

References slick::orderbook::Buy, notifyTopOfBookIfChanged(), slick::orderbook::Sell, and sides_.

◆ clearObservers()

void slick::orderbook::OrderBookL2::clearObservers ( )

inlinenoexcept

Definition at line 146 of file orderbook_l2.hpp.

◆ clearSide()

void slick::orderbook::OrderBookL2::clearSide	(	Side	side,
		Timestamp	timestamp = `0`
	)

inline

Clear all levels on one side Refreshes the cached top-of-book (and notifies onTopOfBookUpdate if it changed)

Parameters

side	Buy or Sell
timestamp	Timestamp for the top-of-book update (0 = unknown)

Definition at line 136 of file orderbook_l2_impl.hpp.

References notifyTopOfBookIfChanged(), slick::orderbook::SideCount, sides_, and SLICK_ASSERT.

◆ deleteLevel()

bool slick::orderbook::OrderBookL2::deleteLevel	(	Side	side,
		Price	price,
		Timestamp	timestamp = `0`
	)

inline

Delete a price level Does not emit a PriceLevelUpdate, but refreshes the cached top-of-book (and notifies onTopOfBookUpdate if it changed)

Parameters

side	Buy or Sell
price	Price level to delete
timestamp	Timestamp for the top-of-book update (0 = unknown)

Returns: true if level was found and deleted

Definition at line 126 of file orderbook_l2_impl.hpp.

References notifyTopOfBookIfChanged(), slick::orderbook::SideCount, sides_, and SLICK_ASSERT.

◆ emitSnapshot()

void slick::orderbook::OrderBookL2::emitSnapshot ( Timestamp timestamp )

inline

Emit complete orderbook snapshot to observers Useful for replaying full book state to a new observer Calls onSnapshotBegin(), followed by onPriceLevelUpdate() for each level, then onSnapshotEnd()

Parameters

timestamp Snapshot timestamp

Definition at line 294 of file orderbook_l2_impl.hpp.

References slick::orderbook::Buy, last_seq_num_, slick::orderbook::ObserverManager::notifyPriceLevelUpdate(), slick::orderbook::ObserverManager::notifySnapshotBegin(), slick::orderbook::ObserverManager::notifySnapshotEnd(), observers_, slick::orderbook::PriceLevelUpdate::price, slick::orderbook::PriceChanged, slick::orderbook::QuantityChanged, slick::orderbook::Sell, sides_, and symbol_.

◆ getBestAsk()

const detail::PriceLevelL2 * slick::orderbook::OrderBookL2::getBestAsk ( ) const

inlinenoexcept

Get best ask (lowest sell price)

Returns: Pointer to best ask level, or nullptr if no asks

Definition at line 170 of file orderbook_l2_impl.hpp.

References slick::orderbook::TopOfBook::best_ask, cached_best_ask_, cached_tob_, and tob_seq_.

◆ getBestBid()

const detail::PriceLevelL2 * slick::orderbook::OrderBookL2::getBestBid ( ) const

inlinenoexcept

Get best bid (highest buy price)

Returns: Pointer to best bid level, or nullptr if no bids

Definition at line 148 of file orderbook_l2_impl.hpp.

References slick::orderbook::TopOfBook::best_bid, cached_best_bid_, cached_tob_, and tob_seq_.

◆ getLastSeqNum()

uint64_t slick::orderbook::OrderBookL2::getLastSeqNum ( ) const

inlinenoexcept

Get last processed sequence number.

Returns: Last sequence number (0 if not tracking)

Definition at line 156 of file orderbook_l2.hpp.

◆ getLevel()

const detail::PriceLevelL2 * slick::orderbook::OrderBookL2::getLevel	(	Side	side,
		Price	price
	)		const

inlinenoexcept

Get a specific price level by price.

Parameters

side	Buy or Sell
price	Price to look up

Returns: Pointer to price level, or nullptr if not found

Definition at line 215 of file orderbook_l2_impl.hpp.

References slick::orderbook::SideCount, and SLICK_ASSERT.

◆ getLevelByIndex()

const detail::PriceLevelL2 * slick::orderbook::OrderBookL2::getLevelByIndex	(	Side	side,
		uint16_t	index
	)		const

inlinenoexcept

Get a price level by index (0 = best)

Parameters

side	Buy or Sell
index	Level index (0-based, 0 = best bid/ask)

Returns: Pointer to price level, or nullptr if index out of range

Definition at line 220 of file orderbook_l2_impl.hpp.

References slick::orderbook::SideCount, and SLICK_ASSERT.

◆ getLevels()

std::vector< detail::PriceLevelL2 > slick::orderbook::OrderBookL2::getLevels	(	Side	side,
		std::size_t	depth = `0`
	)		const

inline

Get price levels for a side.

Parameters

side	Buy or Sell
depth	Maximum number of levels (0 = all)

Returns: Vector of price levels

Definition at line 210 of file orderbook_l2_impl.hpp.

References slick::orderbook::SideCount, sides_, and SLICK_ASSERT.

◆ getTopOfBook()

TopOfBook slick::orderbook::OrderBookL2::getTopOfBook ( ) const

inlinenoexcept

Get top-of-book snapshot.

Returns: TopOfBook structure with best bid/ask

Definition at line 192 of file orderbook_l2_impl.hpp.

References cached_tob_, and tob_seq_.

◆ isEmpty() [1/2]

bool slick::orderbook::OrderBookL2::isEmpty ( ) const

inlinenoexcept

Check if book is empty (both sides)

Returns: true if both sides are empty

Definition at line 239 of file orderbook_l2_impl.hpp.

References slick::orderbook::Buy, slick::orderbook::Sell, and sides_.

◆ isEmpty() [2/2]

bool slick::orderbook::OrderBookL2::isEmpty ( Side side ) const

inlinenoexcept

Check if a side is empty.

Parameters

side	Buy or Sell

Returns: true if side has no levels

Definition at line 234 of file orderbook_l2_impl.hpp.

References slick::orderbook::SideCount, and SLICK_ASSERT.

◆ levelCount()

std::size_t slick::orderbook::OrderBookL2::levelCount ( Side side ) const

inlinenoexcept

Get number of levels on a side.

Parameters

side	Buy or Sell

Returns: Number of levels

Definition at line 229 of file orderbook_l2_impl.hpp.

References slick::orderbook::SideCount, and SLICK_ASSERT.

◆ notifyTopOfBookIfChanged()

void slick::orderbook::OrderBookL2::notifyTopOfBookIfChanged ( Timestamp timestamp )

inlineprotected

Notify observers of top-of-book update if best changed Updates cached_tob_ after notification.

Parameters

timestamp Update timestamp

Definition at line 243 of file orderbook_l2_impl.hpp.

Referenced by clear(), clearSide(), deleteLevel(), and updateLevel().

◆ observerCount()

std::size_t slick::orderbook::OrderBookL2::observerCount ( ) const

inlinenoexcept

Definition at line 150 of file orderbook_l2.hpp.

◆ operator=() [1/2]

OrderBookL2 & slick::orderbook::OrderBookL2::operator= ( const OrderBookL2 & )

delete

◆ operator=() [2/2]

OrderBookL2 & slick::orderbook::OrderBookL2::operator= ( OrderBookL2 && other )

inlinenoexcept

Definition at line 38 of file orderbook_l2_impl.hpp.

References symbol_.

◆ removeObserver()

bool slick::orderbook::OrderBookL2::removeObserver ( const std::shared_ptr< IOrderBookObserver > & observer )

inline

Definition at line 142 of file orderbook_l2.hpp.

◆ symbol()

SymbolId slick::orderbook::OrderBookL2::symbol ( ) const

inlinenoexcept

Get symbol ID.

Definition at line 58 of file orderbook_l2.hpp.

◆ updateLevel()

void slick::orderbook::OrderBookL2::updateLevel	(	Side	side,
		Price	price,
		Quantity	quantity,
		Timestamp	timestamp,
		uint64_t	seq_num = `0`,
		bool	is_last_in_batch = `true`
	)

inline

Add or update a price level If quantity is 0, the level is deleted.

Parameters

side	Buy or Sell
price	Price level
quantity	Total quantity at this level (0 = delete)
timestamp	Update timestamp
seq_num	Exchange sequence number (0 = no tracking, default) Out-of-order updates (seq_num <= last_seq_num) are rejected
is_last_in_batch	Set to true if this is the last update in an external batch (enables batching of TopOfBook updates)

Definition at line 52 of file orderbook_l2_impl.hpp.

References change_starting_index_, slick::orderbook::INVALID_INDEX, last_seq_num_, slick::orderbook::LastInBatch, slick::orderbook::ObserverManager::notifyPriceLevelUpdate(), notifyTopOfBookIfChanged(), observers_, slick::orderbook::PriceChanged, slick::orderbook::QuantityChanged, slick::orderbook::SideCount, sides_, SLICK_ASSERT, and symbol_.

Member Data Documentation

◆ cached_best_ask_

detail::PriceLevelL2 slick::orderbook::OrderBookL2::cached_best_ask_

protected

Definition at line 177 of file orderbook_l2.hpp.

Referenced by getBestAsk(), and notifyTopOfBookIfChanged().

◆ cached_best_bid_

detail::PriceLevelL2 slick::orderbook::OrderBookL2::cached_best_bid_

protected

Definition at line 176 of file orderbook_l2.hpp.

Referenced by getBestBid(), and notifyTopOfBookIfChanged().

◆ cached_tob_

TopOfBook slick::orderbook::OrderBookL2::cached_tob_

protected

Definition at line 175 of file orderbook_l2.hpp.

Referenced by OrderBookL2(), getBestAsk(), getBestBid(), getTopOfBook(), and notifyTopOfBookIfChanged().

◆ change_starting_index_

uint16_t slick::orderbook::OrderBookL2::change_starting_index_ = INVALID_INDEX

protected

Definition at line 180 of file orderbook_l2.hpp.

Referenced by updateLevel().

◆ last_seq_num_

uint64_t slick::orderbook::OrderBookL2::last_seq_num_

protected

Definition at line 179 of file orderbook_l2.hpp.

Referenced by emitSnapshot(), and updateLevel().

◆ observers_

ObserverManager slick::orderbook::OrderBookL2::observers_

protected

Definition at line 174 of file orderbook_l2.hpp.

Referenced by emitSnapshot(), notifyTopOfBookIfChanged(), and updateLevel().

◆ sides_

std::array<detail::LevelContainer, SideCount> slick::orderbook::OrderBookL2::sides_

protected

Definition at line 173 of file orderbook_l2.hpp.

Referenced by OrderBookL2(), clear(), clearSide(), deleteLevel(), emitSnapshot(), getLevels(), isEmpty(), notifyTopOfBookIfChanged(), and updateLevel().

◆ symbol_

SymbolId slick::orderbook::OrderBookL2::symbol_

protected

Definition at line 172 of file orderbook_l2.hpp.

Referenced by OrderBookL2(), emitSnapshot(), operator=(), and updateLevel().

◆ tob_seq_

std::atomic<uint64_t> slick::orderbook::OrderBookL2::tob_seq_

protected

Definition at line 178 of file orderbook_l2.hpp.

Referenced by getBestAsk(), getBestBid(), getTopOfBook(), and notifyTopOfBookIfChanged().

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

slick/orderbook/orderbook_l2.hpp
slick/orderbook/detail/impl/orderbook_l2_impl.hpp

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ OrderBookL2() [1/3]

◆ ~OrderBookL2()

◆ OrderBookL2() [2/3]

◆ OrderBookL2() [3/3]

Member Function Documentation

◆ addObserver()

◆ clear()

◆ clearObservers()

◆ clearSide()

◆ deleteLevel()

◆ emitSnapshot()

◆ getBestAsk()

◆ getBestBid()

◆ getLastSeqNum()

◆ getLevel()

◆ getLevelByIndex()

◆ getLevels()

◆ getTopOfBook()

◆ isEmpty() [1/2]

◆ isEmpty() [2/2]

◆ levelCount()

◆ notifyTopOfBookIfChanged()

◆ observerCount()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ removeObserver()

◆ symbol()

◆ updateLevel()

Member Data Documentation

◆ cached_best_ask_

◆ cached_best_bid_

◆ cached_tob_

◆ change_starting_index_

◆ last_seq_num_

◆ observers_

◆ sides_

◆ symbol_

◆ tob_seq_