Container for storing sorted price levels Uses a sorted vector for cache-friendly storage (optimal for < 100 levels) More...

#include <level_container.hpp>

Collaboration diagram for slick::orderbook::detail::LevelContainer:

Public Types
using	value_type = PriceLevelL2

using	iterator = typename std::vector< PriceLevelL2 >::iterator

using	const_iterator = typename std::vector< PriceLevelL2 >::const_iterator

using	Comparator = std::function< bool(const PriceLevelL2 &, const PriceLevelL2 &)>

Public Member Functions
	LevelContainer ()
	Default constructor (for array initialization on MSVC)

	LevelContainer (Side side, std::size_t initial_capacity=32)
	Constructor with side and initial capacity.

Side	side () const noexcept
	Get Side.

std::size_t	size () const noexcept
	Get number of levels.

bool	empty () const noexcept
	Check if empty.

const PriceLevelL2 &	operator[] (std::size_t index) const noexcept
	Get level at index (no bounds checking)

const PriceLevelL2 &	at (std::size_t index) const
	Get level at index with bounds checking.

const PriceLevelL2 *	best () const noexcept
	Get best level (first element)

iterator	find (Price price) noexcept
	Find level by price (binary search) Returns iterator to level with matching price, or end() if not found.

const_iterator	find (Price price) const noexcept
	Find level by price (binary search, const version)

const PriceLevelL2 *	getLevel (Price price) const noexcept
	Get level by price (returns pointer or nullptr)

std::pair< iterator, bool >	insertOrUpdate (Price price, Quantity quantity, Timestamp timestamp)
	Insert or update a level If price exists, updates quantity; otherwise inserts new level Returns iterator to the level and whether insertion occurred.

bool	erase (Price price) noexcept
	Remove level by price Returns true if level was found and removed.

iterator	erase (iterator it) noexcept
	Remove level by iterator.

void	clear () noexcept
	Clear all levels.

void	reserve (std::size_t capacity)
	Reserve capacity.

std::size_t	capacity () const noexcept
	Get capacity.

std::vector< PriceLevelL2 >	getLevels (std::size_t depth=0) const
	Get all levels up to depth.

iterator	begin () noexcept
	Iterators.

iterator	end () noexcept

const_iterator	begin () const noexcept

const_iterator	end () const noexcept

const_iterator	cbegin () const noexcept

const_iterator	cend () const noexcept

Detailed Description

Container for storing sorted price levels Uses a sorted vector for cache-friendly storage (optimal for < 100 levels)

The container is configured at construction time to sort either as bids (descending) or asks (ascending), allowing use in std::array for O(1) side indexing.

Definition at line 20 of file level_container.hpp.

Member Typedef Documentation

◆ Comparator

using slick::orderbook::detail::LevelContainer::Comparator = std::function<bool(const PriceLevelL2&, const PriceLevelL2&)>

Definition at line 25 of file level_container.hpp.

◆ const_iterator

using slick::orderbook::detail::LevelContainer::const_iterator = typename std::vector<PriceLevelL2>::const_iterator

Definition at line 24 of file level_container.hpp.

◆ iterator

using slick::orderbook::detail::LevelContainer::iterator = typename std::vector<PriceLevelL2>::iterator

Definition at line 23 of file level_container.hpp.

◆ value_type

using slick::orderbook::detail::LevelContainer::value_type = PriceLevelL2

Definition at line 22 of file level_container.hpp.

Constructor & Destructor Documentation

◆ LevelContainer() [1/2]

slick::orderbook::detail::LevelContainer::LevelContainer ( )

inline

Default constructor (for array initialization on MSVC)

Definition at line 28 of file level_container.hpp.

References slick::orderbook::Buy.

◆ LevelContainer() [2/2]

slick::orderbook::detail::LevelContainer::LevelContainer	(	Side	side,
		std::size_t	initial_capacity = `32`
	)

inlineexplicit

Constructor with side and initial capacity.

Parameters

side	Side (Buy = bids/descending, Sell = asks/ascending)
initial_capacity	Initial capacity for levels

Definition at line 33 of file level_container.hpp.

References slick::orderbook::Buy.

Member Function Documentation

◆ at()

const PriceLevelL2 & slick::orderbook::detail::LevelContainer::at ( std::size_t index ) const

inline

Get level at index with bounds checking.

Definition at line 63 of file level_container.hpp.

◆ begin() [1/2]

const_iterator slick::orderbook::detail::LevelContainer::begin ( ) const

inlinenoexcept

Definition at line 163 of file level_container.hpp.

◆ begin() [2/2]

iterator slick::orderbook::detail::LevelContainer::begin ( )

inlinenoexcept

Iterators.

Definition at line 161 of file level_container.hpp.

◆ best()

const PriceLevelL2 * slick::orderbook::detail::LevelContainer::best ( ) const

inlinenoexcept

Get best level (first element)

Definition at line 68 of file level_container.hpp.

◆ capacity()

std::size_t slick::orderbook::detail::LevelContainer::capacity ( ) const

inlinenoexcept

Get capacity.

Definition at line 147 of file level_container.hpp.

◆ cbegin()

const_iterator slick::orderbook::detail::LevelContainer::cbegin ( ) const

inlinenoexcept

Definition at line 165 of file level_container.hpp.

◆ cend()

const_iterator slick::orderbook::detail::LevelContainer::cend ( ) const

inlinenoexcept

Definition at line 166 of file level_container.hpp.

◆ clear()

void slick::orderbook::detail::LevelContainer::clear ( )

inlinenoexcept

Clear all levels.

Definition at line 137 of file level_container.hpp.

◆ empty()

bool slick::orderbook::detail::LevelContainer::empty ( ) const

inlinenoexcept

Check if empty.

Definition at line 53 of file level_container.hpp.

◆ end() [1/2]

const_iterator slick::orderbook::detail::LevelContainer::end ( ) const

inlinenoexcept

Definition at line 164 of file level_container.hpp.

◆ end() [2/2]

iterator slick::orderbook::detail::LevelContainer::end ( )

inlinenoexcept

Definition at line 162 of file level_container.hpp.

◆ erase() [1/2]

iterator slick::orderbook::detail::LevelContainer::erase ( iterator it )

inlinenoexcept

Remove level by iterator.

Definition at line 132 of file level_container.hpp.

◆ erase() [2/2]

bool slick::orderbook::detail::LevelContainer::erase ( Price price )

inlinenoexcept

Remove level by price Returns true if level was found and removed.

Definition at line 122 of file level_container.hpp.

◆ find() [1/2]

const_iterator slick::orderbook::detail::LevelContainer::find ( Price price ) const

inlinenoexcept

Find level by price (binary search, const version)

Definition at line 84 of file level_container.hpp.

◆ find() [2/2]

iterator slick::orderbook::detail::LevelContainer::find ( Price price )

inlinenoexcept

Find level by price (binary search) Returns iterator to level with matching price, or end() if not found.

Definition at line 74 of file level_container.hpp.

◆ getLevel()

const PriceLevelL2 * slick::orderbook::detail::LevelContainer::getLevel ( Price price ) const

inlinenoexcept

Get level by price (returns pointer or nullptr)

Definition at line 94 of file level_container.hpp.

◆ getLevels()

std::vector< PriceLevelL2 > slick::orderbook::detail::LevelContainer::getLevels ( std::size_t depth = 0 ) const

inline

Get all levels up to depth.

Parameters

depth Maximum number of levels to return (0 = all)

Definition at line 153 of file level_container.hpp.

◆ insertOrUpdate()

std::pair< iterator, bool > slick::orderbook::detail::LevelContainer::insertOrUpdate	(	Price	price,
		Quantity	quantity,
		Timestamp	timestamp
	)

inline

Insert or update a level If price exists, updates quantity; otherwise inserts new level Returns iterator to the level and whether insertion occurred.

Definition at line 102 of file level_container.hpp.

◆ operator[]()

const PriceLevelL2 & slick::orderbook::detail::LevelContainer::operator[] ( std::size_t index ) const

inlinenoexcept

Get level at index (no bounds checking)

Definition at line 58 of file level_container.hpp.

◆ reserve()

void slick::orderbook::detail::LevelContainer::reserve ( std::size_t capacity )

inline

Reserve capacity.

Definition at line 142 of file level_container.hpp.

◆ side()

Side slick::orderbook::detail::LevelContainer::side ( ) const

inlinenoexcept

Get Side.

Definition at line 43 of file level_container.hpp.

◆ size()

std::size_t slick::orderbook::detail::LevelContainer::size ( ) const

inlinenoexcept

Get number of levels.

Definition at line 48 of file level_container.hpp.

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

slick/orderbook/detail/level_container.hpp

Public Types

Public Member Functions

Detailed Description

Member Typedef Documentation

◆ Comparator

◆ const_iterator

◆ iterator

◆ value_type

Constructor & Destructor Documentation

◆ LevelContainer() [1/2]

◆ LevelContainer() [2/2]

Member Function Documentation

◆ at()

◆ begin() [1/2]

◆ begin() [2/2]

◆ best()

◆ capacity()

◆ cbegin()

◆ cend()

◆ clear()

◆ empty()

◆ end() [1/2]

◆ end() [2/2]

◆ erase() [1/2]

◆ erase() [2/2]

◆ find() [1/2]

◆ find() [2/2]

◆ getLevel()

◆ getLevels()

◆ insertOrUpdate()

◆ operator[]()

◆ reserve()

◆ side()

◆ size()