Level 3 OrderBook - Individual order tracking with price-time priority. More...

#include <orderbook_l3.hpp>

Collaboration diagram for slick::orderbook::OrderBookL3:

Classes
struct	PriceComparator

Public Types
using	PriceLevelMap = detail::FlatMap< Price, detail::PriceLevelL3, PriceComparator >

Public Member Functions
	OrderBookL3 (SymbolId symbol, std::size_t interested_num_levels=10, std::size_t initial_order_capacity=1024, std::size_t initial_level_capacity=32)
	Constructor.

virtual	~OrderBookL3 ()
	Destructor.

	OrderBookL3 (const OrderBookL3 &)=delete

OrderBookL3 &	operator= (const OrderBookL3 &)=delete

	OrderBookL3 (OrderBookL3 &&) noexcept=default

OrderBookL3 &	operator= (OrderBookL3 &&) noexcept=default

SymbolId	symbol () const noexcept
	Get symbol ID.

bool	addOrModifyOrder (OrderId order_id, Side side, Price price, Quantity quantity, Timestamp timestamp, uint64_t priority, uint64_t seq_num=0, bool is_last_in_batch=true)
	Add a new order or modify existing order if OrderId already exists If the order already exists, modifies its price and/or quantity.

bool	addOrder (OrderId order_id, Side side, Price price, Quantity quantity, Timestamp timestamp, uint64_t priority=0, uint64_t seq_num=0, bool is_last_in_batch=true)
	Add a new order (strict - fails if order already exists)

bool	modifyOrder (OrderId order_id, Price new_price, Quantity new_quantity, Timestamp new_timestamp, uint64_t new_priority=0, uint64_t seq_num=0, bool is_last_in_batch=true)
	Modify an existing order's price and/or quantity Compares new values with old to determine what changed.

bool	deleteOrder (OrderId order_id, Timestamp timestamp, uint64_t seq_num=0, bool is_last_in_batch=true)
	Delete an order.

virtual bool	executeOrder (OrderId order_id, Quantity executed_quantity, Timestamp timestamp, uint64_t seq_num=0, bool is_last_in_batch=true)
	Execute (partially fill) an order.

const detail::Order *	findOrder (OrderId order_id) const noexcept
	Find order by OrderId.

template<Side SIDE>
const detail::PriceLevelL3 *	getBestLevel () const noexcept
	Get the best price level for a given side.

const detail::PriceLevelL3 *	getBestBid () const noexcept
	Get best bid (highest buy price)

const detail::PriceLevelL3 *	getBestAsk () const noexcept
	Get best ask (lowest sell price)

TopOfBook	getTopOfBook () const noexcept
	Get top-of-book snapshot (aggregated L2 view)

const PriceLevelMap &	getLevelsL3 (Side side) const noexcept
	Get L3 price levels for a side (zero-copy access to full order data) Returns reference to flat_map, iterate with range-for.

std::vector< detail::PriceLevelL2 >	getLevelsL2 (Side side, std::size_t depth=0) const
	Get aggregated L2 price levels for a side Converts L3 data to L2 by aggregating quantities at each price.

std::pair< const detail::PriceLevelL3 *, uint16_t >	getLevel (Side side, Price price) const noexcept
	Get L3 price level by price Access the orders at this price via level->orders (IntrusiveList)

std::pair< detail::PriceLevelL3 *, uint16_t >	getLevel (Side side, Price price) noexcept

const detail::PriceLevelL3 *	getLevelByIndex (Side side, uint16_t index) const noexcept
	Get L3 price level by index (0 = best)

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

std::size_t	orderCount () const noexcept
	Get total number of orders.

std::size_t	orderCount (Side side) const noexcept
	Get number of orders 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	clearSide (Side side, Timestamp timestamp=0)
	Clear all orders on one side Does not emit order/level updates, but refreshes the cached top-of-book (and notifies onTopOfBookUpdate if it changed)

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

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 (L3 MBO) Useful for replaying full book state to a new observer Calls onSnapshotBegin(), followed by onOrderUpdate() for each order, then onSnapshotEnd()

Protected Member Functions
std::tuple< detail::PriceLevelL3 *, uint16_t, bool >	getOrCreateLevel (Side side, Price price)
	Get or create price level, returns pointer, index and if new level created.

bool	removeLevelIfEmpty (Side side, Price price) noexcept
	Remove price level if empty.

void	releaseSide (Side side) noexcept
	Free all orders and levels on one side without any notification.

void	notifyOrderUpdate (const detail::Order *order, Quantity old_quantity, Price old_price, Timestamp timestamp, uint16_t level_index, uint8_t change_flags, uint64_t seq_num) const
	Notify observers of order update with level index and change flags.

void	notifyOrderDelete (const detail::Order *order, Timestamp timestamp, uint16_t level_index, uint8_t change_flags, uint64_t seq_num) const
	Notify observers of order delete with level index.

uint16_t	calculateLevelIndex (Side side, Price price) const noexcept
	Calculate price level index for a given side and price.

void	notifyTrade (OrderId passive_order_id, OrderId aggressive_order_id, Side aggressor_side, Price price, Quantity quantity, Timestamp timestamp) const
	Notify observers of trade.

void	notifyPriceLevelUpdate (Timestamp timestamp, Side side, Price price, Quantity total_quantity, size_t order_count, uint16_t level_index, uint8_t change_flags, uint64_t seq_num) const
	Notify observers of price level update (L2 aggregated view)

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< PriceLevelMap, SideCount >	levels_

detail::OrderMap	order_map_

detail::ObjectPool< detail::Order >	order_pool_

ObserverManager	observers_

TopOfBook	cached_tob_

uint64_t	last_seq_num_

uint16_t	change_starting_index_ = INVALID_INDEX

std::size_t	interested_num_levels_

Detailed Description

Level 3 OrderBook - Individual order tracking with price-time priority.

Maintains full order-by-order state with individual order visibility. Provides automatic aggregated L2 view.

Features:

O(1) order lookup by OrderId
O(log n) price level operations
Priority-based order queuing at each price level
Automatic L2 aggregation from L3 data
Observer pattern for notifications
Zero-allocation order management via object pool

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

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

Usage:

OrderBookL3 book(symbol_id);
book.addOrder(order_id, Side::Buy, 10000, 100, timestamp, priority);
book.modifyOrder(order_id, 10100, 150); // Update price and quantity
 
// Iterate L3 levels (zero-copy)
for (const auto& [price, level] : book.getLevelsL3(Side::Buy)) {
    for (const auto& order : level.orders) {
        // Process individual order...
    }
}
 
// Get aggregated L2 view
auto l2_levels = book.getLevelsL2(Side::Buy, 10); // Top 10 levels
 
book.deleteOrder(order_id);

Definition at line 62 of file orderbook_l3.hpp.

Member Typedef Documentation

◆ PriceLevelMap

using slick::orderbook::OrderBookL3::PriceLevelMap = detail::FlatMap<Price, detail::PriceLevelL3, PriceComparator>

Definition at line 81 of file orderbook_l3.hpp.

Constructor & Destructor Documentation

◆ OrderBookL3() [1/3]

slick::orderbook::OrderBookL3::OrderBookL3	(	SymbolId	symbol,
		std::size_t	interested_num_levels = `10`,
		std::size_t	initial_order_capacity = `1024`,
		std::size_t	initial_level_capacity = `32`
	)

inlineexplicit

Constructor.

Parameters

symbol	Symbol identifier
interested_num_levels	The top N levels to track for observer notifications (0 = all levels)
initial_order_capacity	Initial capacity for order pool
initial_level_capacity	Initial capacity for price levels per side

Definition at line 14 of file orderbook_l3_impl.hpp.

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

◆ ~OrderBookL3()

slick::orderbook::OrderBookL3::~OrderBookL3 ( )

inlinevirtual

Destructor.

Definition at line 37 of file orderbook_l3_impl.hpp.

References slick::orderbook::Buy, releaseSide(), and slick::orderbook::Sell.

◆ OrderBookL3() [2/3]

slick::orderbook::OrderBookL3::OrderBookL3 ( const OrderBookL3 & )

delete

◆ OrderBookL3() [3/3]

slick::orderbook::OrderBookL3::OrderBookL3 ( OrderBookL3 && )

defaultnoexcept

Member Function Documentation

◆ addObserver()

void slick::orderbook::OrderBookL3::addObserver ( std::shared_ptr< IOrderBookObserver > observer )

inline

Observer management.

Definition at line 266 of file orderbook_l3.hpp.

◆ addOrder()

bool slick::orderbook::OrderBookL3::addOrder	(	OrderId	order_id,
		Side	side,
		Price	price,
		Quantity	quantity,
		Timestamp	timestamp,
		uint64_t	priority = `0`,
		uint64_t	seq_num = `0`,
		bool	is_last_in_batch = `true`
	)

inline

Add a new order (strict - fails if order already exists)

Parameters

order_id	Unique order identifier
side	Buy or Sell
price	Order price
quantity	Order quantity
timestamp	Order timestamp
priority	Priority for sorting (defaults to 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)

Returns: true if order was added successfully, false if OrderId already exists

Definition at line 124 of file orderbook_l3_impl.hpp.

References addOrModifyOrder(), slick::orderbook::detail::OrderMap::contains(), last_seq_num_, and order_map_.

◆ addOrModifyOrder()

bool slick::orderbook::OrderBookL3::addOrModifyOrder	(	OrderId	order_id,
		Side	side,
		Price	price,
		Quantity	quantity,
		Timestamp	timestamp,
		uint64_t	priority,
		uint64_t	seq_num = `0`,
		bool	is_last_in_batch = `true`
	)

inline

Add a new order or modify existing order if OrderId already exists If the order already exists, modifies its price and/or quantity.

Parameters

order_id	Unique order identifier
side	Buy or Sell (must match existing order's side if it exists)
price	Order price
quantity	Order quantity
timestamp	Order timestamp
priority	Priority for sorting (used only when adding new order)
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)

Returns: true if order was added or modified successfully

Definition at line 43 of file orderbook_l3_impl.hpp.

References change_starting_index_, deleteOrder(), slick::orderbook::detail::OrderMap::find(), getOrCreateLevel(), slick::orderbook::detail::OrderMap::insert(), slick::orderbook::INVALID_INDEX, last_seq_num_, slick::orderbook::LastInBatch, modifyOrder(), notifyOrderUpdate(), notifyPriceLevelUpdate(), notifyTopOfBookIfChanged(), order_map_, order_pool_, slick::orderbook::detail::Order::price, slick::orderbook::PriceChanged, slick::orderbook::detail::Order::priority, slick::orderbook::detail::Order::quantity, slick::orderbook::QuantityChanged, slick::orderbook::detail::Order::side, slick::orderbook::SideCount, SLICK_ASSERT, and SLICK_UNLIKELY.

Referenced by addOrder().

◆ calculateLevelIndex()

uint16_t slick::orderbook::OrderBookL3::calculateLevelIndex	(	Side	side,
		Price	price
	)		const

inlineprotectednoexcept

Calculate price level index for a given side and price.

Definition at line 579 of file orderbook_l3_impl.hpp.

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

◆ clear()

void slick::orderbook::OrderBookL3::clear ( Timestamp timestamp = 0 )

inline

Clear all orders (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 523 of file orderbook_l3_impl.hpp.

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

◆ clearObservers()

void slick::orderbook::OrderBookL3::clearObservers ( )

inlinenoexcept

Definition at line 274 of file orderbook_l3.hpp.

◆ clearSide()

void slick::orderbook::OrderBookL3::clearSide	(	Side	side,
		Timestamp	timestamp = `0`
	)

inline

Clear all orders on one side Does not emit order/level updates, but 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 516 of file orderbook_l3_impl.hpp.

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

◆ deleteOrder()

bool slick::orderbook::OrderBookL3::deleteOrder	(	OrderId	order_id,
		Timestamp	timestamp,
		uint64_t	seq_num = `0`,
		bool	is_last_in_batch = `true`
	)

inline

Delete an order.

Parameters

order_id	Order identifier
timestamp	Timestamp of the deletion (required)
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)

Returns: true if order was found and deleted

Definition at line 292 of file orderbook_l3_impl.hpp.

References change_starting_index_, slick::orderbook::detail::OrderMap::erase(), slick::orderbook::detail::OrderMap::find(), getLevel(), slick::orderbook::INVALID_INDEX, last_seq_num_, slick::orderbook::LastInBatch, notifyOrderDelete(), notifyPriceLevelUpdate(), notifyTopOfBookIfChanged(), order_map_, order_pool_, slick::orderbook::detail::Order::price, slick::orderbook::PriceChanged, slick::orderbook::QuantityChanged, removeLevelIfEmpty(), slick::orderbook::detail::Order::side, and slick::orderbook::detail::Order::timestamp.

Referenced by addOrModifyOrder(), executeOrder(), and modifyOrder().

◆ emitSnapshot()

void slick::orderbook::OrderBookL3::emitSnapshot ( Timestamp timestamp )

inline

Emit complete orderbook snapshot to observers (L3 MBO) Useful for replaying full book state to a new observer Calls onSnapshotBegin(), followed by onOrderUpdate() for each order, then onSnapshotEnd()

Parameters

timestamp Snapshot timestamp

Definition at line 722 of file orderbook_l3_impl.hpp.

References slick::orderbook::Buy, last_seq_num_, levels_, slick::orderbook::ObserverManager::notifyOrderUpdate(), slick::orderbook::ObserverManager::notifySnapshotBegin(), slick::orderbook::ObserverManager::notifySnapshotEnd(), observers_, slick::orderbook::OrderUpdate::order_id, slick::orderbook::PriceChanged, slick::orderbook::QuantityChanged, slick::orderbook::Sell, and symbol_.

◆ executeOrder()

bool slick::orderbook::OrderBookL3::executeOrder	(	OrderId	order_id,
		Quantity	executed_quantity,
		Timestamp	timestamp,
		uint64_t	seq_num = `0`,
		bool	is_last_in_batch = `true`
	)

inlinevirtual

Execute (partially fill) an order.

Parameters

order_id	Order identifier
executed_quantity	Quantity executed
timestamp	Timestamp of the execution (required)
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)

Returns: true if order was found and executed

Definition at line 366 of file orderbook_l3_impl.hpp.

References deleteOrder(), slick::orderbook::detail::OrderMap::find(), last_seq_num_, modifyOrder(), order_map_, slick::orderbook::detail::Order::price, slick::orderbook::detail::Order::priority, slick::orderbook::detail::Order::quantity, SLICK_ASSERT, and SLICK_UNLIKELY.

◆ findOrder()

const detail::Order * slick::orderbook::OrderBookL3::findOrder ( OrderId order_id ) const

inlinenoexcept

Find order by OrderId.

Parameters

order_id Order identifier

Returns: Pointer to order, or nullptr if not found

Definition at line 399 of file orderbook_l3_impl.hpp.

◆ getBestAsk()

const detail::PriceLevelL3 * slick::orderbook::OrderBookL3::getBestAsk ( ) const

inlinenoexcept

Get best ask (lowest sell price)

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

Definition at line 413 of file orderbook_l3_impl.hpp.

References levels_, and slick::orderbook::Sell.

Referenced by notifyTopOfBookIfChanged().

◆ getBestBid()

const detail::PriceLevelL3 * slick::orderbook::OrderBookL3::getBestBid ( ) const

inlinenoexcept

Get best bid (highest buy price)

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

Definition at line 403 of file orderbook_l3_impl.hpp.

References slick::orderbook::Buy, and levels_.

Referenced by notifyTopOfBookIfChanged().

◆ getBestLevel()

template<Side SIDE>

const detail::PriceLevelL3 * slick::orderbook::OrderBookL3::getBestLevel ( ) const

noexcept

Get the best price level for a given side.

Template Parameters

SIDE

Returns: Pointer to the best price level, or nullptr if no orders exist on that side

◆ getLastSeqNum()

uint64_t slick::orderbook::OrderBookL3::getLastSeqNum ( ) const

inlinenoexcept

Get last processed sequence number.

Returns: Last sequence number (0 if not tracking)

Definition at line 284 of file orderbook_l3.hpp.

◆ getLevel() [1/2]

std::pair< const detail::PriceLevelL3 *, uint16_t > slick::orderbook::OrderBookL3::getLevel	(	Side	side,
		Price	price
	)		const

inlinenoexcept

Get L3 price level by price Access the orders at this price via level->orders (IntrusiveList)

Parameters

side	Buy or Sell
price	Price level

Returns: Pair of pointer to L3 price level (or nullptr if not found) and level index

Definition at line 460 of file orderbook_l3_impl.hpp.

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

Referenced by deleteOrder(), and modifyOrder().

◆ getLevel() [2/2]

std::pair< detail::PriceLevelL3 *, uint16_t > slick::orderbook::OrderBookL3::getLevel	(	Side	side,
		Price	price
	)

inlinenoexcept

Definition at line 471 of file orderbook_l3_impl.hpp.

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

◆ getLevelByIndex()

const detail::PriceLevelL3 * slick::orderbook::OrderBookL3::getLevelByIndex	(	Side	side,
		uint16_t	index
	)		const

inlinenoexcept

Get L3 price level by index (0 = best)

Parameters

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

Returns: Pointer to L3 price level, or nullptr if index out of range

Definition at line 482 of file orderbook_l3_impl.hpp.

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

◆ getLevelsL2()

std::vector< detail::PriceLevelL2 > slick::orderbook::OrderBookL3::getLevelsL2	(	Side	side,
		std::size_t	depth = `0`
	)		const

inline

Get aggregated L2 price levels for a side Converts L3 data to L2 by aggregating quantities at each price.

Parameters

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

Returns: Vector of aggregated L2 price levels

Definition at line 426 of file orderbook_l3_impl.hpp.

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

◆ getLevelsL3()

const PriceLevelMap & slick::orderbook::OrderBookL3::getLevelsL3 ( Side side ) const

inlinenoexcept

Get L3 price levels for a side (zero-copy access to full order data) Returns reference to flat_map, iterate with range-for.

Parameters

side	Buy or Sell

Returns: Reference to L3 price level map

Definition at line 203 of file orderbook_l3.hpp.

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

◆ getOrCreateLevel()

std::tuple< detail::PriceLevelL3 *, uint16_t, bool > slick::orderbook::OrderBookL3::getOrCreateLevel	(	Side	side,
		Price	price
	)

inlineprotected

Get or create price level, returns pointer, index and if new level created.

Definition at line 548 of file orderbook_l3_impl.hpp.

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

Referenced by addOrModifyOrder(), and modifyOrder().

◆ getTopOfBook()

TopOfBook slick::orderbook::OrderBookL3::getTopOfBook ( ) const

inlinenoexcept

Get top-of-book snapshot (aggregated L2 view)

Returns: TopOfBook structure with best bid/ask

Definition at line 422 of file orderbook_l3_impl.hpp.

References cached_tob_.

◆ isEmpty() [1/2]

bool slick::orderbook::OrderBookL3::isEmpty ( ) const

inlinenoexcept

Check if book is empty (both sides)

Returns: true if both sides are empty

Definition at line 512 of file orderbook_l3_impl.hpp.

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

◆ isEmpty() [2/2]

bool slick::orderbook::OrderBookL3::isEmpty ( Side side ) const

inlinenoexcept

Check if a side is empty.

Parameters

side	Buy or Sell

Returns: true if side has no orders

Definition at line 507 of file orderbook_l3_impl.hpp.

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

◆ levelCount()

std::size_t slick::orderbook::OrderBookL3::levelCount ( Side side ) const

inlinenoexcept

Get number of price levels on a side.

Parameters

side	Buy or Sell

Returns: Number of levels

Definition at line 493 of file orderbook_l3_impl.hpp.

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

◆ modifyOrder()

bool slick::orderbook::OrderBookL3::modifyOrder	(	OrderId	order_id,
		Price	new_price,
		Quantity	new_quantity,
		Timestamp	new_timestamp,
		uint64_t	new_priority = `0`,
		uint64_t	seq_num = `0`,
		bool	is_last_in_batch = `true`
	)

inline

Modify an existing order's price and/or quantity Compares new values with old to determine what changed.

Parameters

order_id	Order identifier
new_price	New price
new_quantity	New quantity (0 = delete)
new_timestamp	Timestamp of the modification (required)
new_priority	New priority (default: 0 = use new_timestamp as priority for FIFO ordering) Use non-zero to explicitly set queue position priority
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)

Returns: true if order was found and modified

Definition at line 144 of file orderbook_l3_impl.hpp.

Referenced by addOrModifyOrder(), and executeOrder().

◆ notifyOrderDelete()

void slick::orderbook::OrderBookL3::notifyOrderDelete	(	const detail::Order *	order,
		Timestamp	timestamp,
		uint16_t	level_index,
		uint8_t	change_flags,
		uint64_t	seq_num
	)		const

inlineprotected

Notify observers of order delete with level index.

Definition at line 620 of file orderbook_l3_impl.hpp.

References slick::orderbook::ObserverManager::notifyOrderUpdate(), observers_, slick::orderbook::detail::Order::order_id, slick::orderbook::detail::Order::price, slick::orderbook::detail::Order::priority, slick::orderbook::detail::Order::quantity, slick::orderbook::detail::Order::side, and symbol_.

Referenced by deleteOrder().

◆ notifyOrderUpdate()

void slick::orderbook::OrderBookL3::notifyOrderUpdate	(	const detail::Order *	order,
		Quantity	old_quantity,
		Price	old_price,
		Timestamp	timestamp,
		uint16_t	level_index,
		uint8_t	change_flags,
		uint64_t	seq_num
	)		const

inlineprotected

Notify observers of order update with level index and change flags.

Definition at line 595 of file orderbook_l3_impl.hpp.

References slick::orderbook::ObserverManager::notifyOrderUpdate(), observers_, slick::orderbook::detail::Order::order_id, slick::orderbook::detail::Order::price, slick::orderbook::detail::Order::priority, slick::orderbook::detail::Order::quantity, slick::orderbook::detail::Order::side, and symbol_.

Referenced by addOrModifyOrder(), and modifyOrder().

◆ notifyPriceLevelUpdate()

void slick::orderbook::OrderBookL3::notifyPriceLevelUpdate	(	Timestamp	timestamp,
		Side	side,
		Price	price,
		Quantity	total_quantity,
		size_t	order_count,
		uint16_t	level_index,
		uint8_t	change_flags,
		uint64_t	seq_num
	)		const

inlineprotected

Notify observers of price level update (L2 aggregated view)

Definition at line 662 of file orderbook_l3_impl.hpp.

References interested_num_levels_, slick::orderbook::ObserverManager::notifyPriceLevelUpdate(), observers_, and symbol_.

Referenced by addOrModifyOrder(), deleteOrder(), and modifyOrder().

◆ notifyTopOfBookIfChanged()

void slick::orderbook::OrderBookL3::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 689 of file orderbook_l3_impl.hpp.

References slick::orderbook::TopOfBook::ask_quantity, slick::orderbook::TopOfBook::best_ask, slick::orderbook::TopOfBook::best_bid, slick::orderbook::TopOfBook::bid_quantity, cached_tob_, slick::orderbook::TopOfBook::change_flags, getBestAsk(), getBestBid(), slick::orderbook::ObserverManager::notifyTopOfBookUpdate(), observers_, slick::orderbook::PriceChanged, slick::orderbook::QuantityChanged, and slick::orderbook::TopOfBook::timestamp.

Referenced by addOrModifyOrder(), clear(), clearSide(), deleteOrder(), and modifyOrder().

◆ notifyTrade()

void slick::orderbook::OrderBookL3::notifyTrade	(	OrderId	passive_order_id,
		OrderId	aggressive_order_id,
		Side	aggressor_side,
		Price	price,
		Quantity	quantity,
		Timestamp	timestamp
	)		const

inlineprotected

Notify observers of trade.

Definition at line 643 of file orderbook_l3_impl.hpp.

References slick::orderbook::ObserverManager::notifyTrade(), observers_, and symbol_.

◆ observerCount()

std::size_t slick::orderbook::OrderBookL3::observerCount ( ) const

inlinenoexcept

Definition at line 278 of file orderbook_l3.hpp.

◆ operator=() [1/2]

OrderBookL3 & slick::orderbook::OrderBookL3::operator= ( const OrderBookL3 & )

delete

◆ operator=() [2/2]

OrderBookL3 & slick::orderbook::OrderBookL3::operator= ( OrderBookL3 && )

defaultnoexcept

◆ orderCount() [1/2]

std::size_t slick::orderbook::OrderBookL3::orderCount ( ) const

inlinenoexcept

Get total number of orders.

Returns: Total order count

Definition at line 237 of file orderbook_l3.hpp.

◆ orderCount() [2/2]

std::size_t slick::orderbook::OrderBookL3::orderCount ( Side side ) const

inlinenoexcept

Get number of orders on a side.

Parameters

side	Buy or Sell

Returns: Number of orders on this side

Definition at line 498 of file orderbook_l3_impl.hpp.

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

◆ releaseSide()

void slick::orderbook::OrderBookL3::releaseSide ( Side side )

inlineprotectednoexcept

Free all orders and levels on one side without any notification.

Definition at line 529 of file orderbook_l3_impl.hpp.

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

Referenced by ~OrderBookL3(), clear(), and clearSide().

◆ removeLevelIfEmpty()

bool slick::orderbook::OrderBookL3::removeLevelIfEmpty	(	Side	side,
		Price	price
	)

inlineprotectednoexcept

Remove price level if empty.

Definition at line 566 of file orderbook_l3_impl.hpp.

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

Referenced by deleteOrder(), and modifyOrder().

◆ removeObserver()

bool slick::orderbook::OrderBookL3::removeObserver ( const std::shared_ptr< IOrderBookObserver > & observer )

inline

Definition at line 270 of file orderbook_l3.hpp.

◆ symbol()

SymbolId slick::orderbook::OrderBookL3::symbol ( ) const

inlinenoexcept

Get symbol ID.

Definition at line 103 of file orderbook_l3.hpp.

Member Data Documentation

◆ cached_tob_

TopOfBook slick::orderbook::OrderBookL3::cached_tob_

protected

Definition at line 332 of file orderbook_l3.hpp.

Referenced by OrderBookL3(), getTopOfBook(), and notifyTopOfBookIfChanged().

◆ change_starting_index_

uint16_t slick::orderbook::OrderBookL3::change_starting_index_ = INVALID_INDEX

protected

Definition at line 334 of file orderbook_l3.hpp.

Referenced by addOrModifyOrder(), deleteOrder(), and modifyOrder().

◆ interested_num_levels_

std::size_t slick::orderbook::OrderBookL3::interested_num_levels_

protected

Definition at line 335 of file orderbook_l3.hpp.

Referenced by notifyPriceLevelUpdate().

◆ last_seq_num_

uint64_t slick::orderbook::OrderBookL3::last_seq_num_

protected

Definition at line 333 of file orderbook_l3.hpp.

Referenced by addOrder(), addOrModifyOrder(), deleteOrder(), emitSnapshot(), executeOrder(), and modifyOrder().

◆ levels_

std::array<PriceLevelMap, SideCount> slick::orderbook::OrderBookL3::levels_

protected

Definition at line 328 of file orderbook_l3.hpp.

Referenced by OrderBookL3(), emitSnapshot(), getBestAsk(), getBestBid(), getLevelsL2(), getOrCreateLevel(), and isEmpty().

◆ observers_

ObserverManager slick::orderbook::OrderBookL3::observers_

protected

Definition at line 331 of file orderbook_l3.hpp.

Referenced by emitSnapshot(), notifyOrderDelete(), notifyOrderUpdate(), notifyPriceLevelUpdate(), notifyTopOfBookIfChanged(), and notifyTrade().

◆ order_map_

detail::OrderMap slick::orderbook::OrderBookL3::order_map_

protected

Definition at line 329 of file orderbook_l3.hpp.

Referenced by addOrder(), addOrModifyOrder(), deleteOrder(), executeOrder(), and modifyOrder().

◆ order_pool_

detail::ObjectPool<detail::Order> slick::orderbook::OrderBookL3::order_pool_

protected

Definition at line 330 of file orderbook_l3.hpp.

Referenced by addOrModifyOrder(), and deleteOrder().

◆ symbol_

SymbolId slick::orderbook::OrderBookL3::symbol_

protected

Definition at line 327 of file orderbook_l3.hpp.

Referenced by OrderBookL3(), emitSnapshot(), notifyOrderDelete(), notifyOrderUpdate(), notifyPriceLevelUpdate(), and notifyTrade().

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

slick/orderbook/orderbook_l3.hpp
slick/orderbook/detail/impl/orderbook_l3_impl.hpp

Classes

Public Types

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Member Typedef Documentation

◆ PriceLevelMap

Constructor & Destructor Documentation

◆ OrderBookL3() [1/3]

◆ ~OrderBookL3()

◆ OrderBookL3() [2/3]

◆ OrderBookL3() [3/3]

Member Function Documentation

◆ addObserver()

◆ addOrder()

◆ addOrModifyOrder()

◆ calculateLevelIndex()

◆ clear()

◆ clearObservers()

◆ clearSide()

◆ deleteOrder()

◆ emitSnapshot()

◆ executeOrder()

◆ findOrder()

◆ getBestAsk()

◆ getBestBid()

◆ getBestLevel()

◆ getLastSeqNum()

◆ getLevel() [1/2]

◆ getLevel() [2/2]

◆ getLevelByIndex()

◆ getLevelsL2()

◆ getLevelsL3()

◆ getOrCreateLevel()

◆ getTopOfBook()

◆ isEmpty() [1/2]

◆ isEmpty() [2/2]

◆ levelCount()

◆ modifyOrder()

◆ notifyOrderDelete()

◆ notifyOrderUpdate()

◆ notifyPriceLevelUpdate()

◆ notifyTopOfBookIfChanged()

◆ notifyTrade()

◆ observerCount()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ orderCount() [1/2]

◆ orderCount() [2/2]

◆ releaseSide()

◆ removeLevelIfEmpty()

◆ removeObserver()

◆ symbol()

Member Data Documentation

◆ cached_tob_

◆ change_starting_index_

◆ interested_num_levels_

◆ last_seq_num_

◆ levels_

◆ observers_

◆ order_map_

◆ order_pool_

◆ symbol_