slick::orderbook Namespace Reference

Namespaces
namespace	detail

Classes
class	IOrderBookObserver
	Base interface for orderbook observers Observers receive callbacks for orderbook events. More...
class	ObserverManager
	Observer manager for notifying multiple observers Uses type erasure to support both concept-based and inheritance-based observers. More...
class	OrderBookL2
	Level 2 OrderBook - aggregated price levels. More...
class	OrderBookL3
	Level 3 OrderBook - Individual order tracking with price-time priority. More...
class	OrderBookManager
	Multi-symbol OrderBook Manager. More...
struct	OrderUpdate
	Level 3 order update event Note: quantity = 0 implies the order should be deleted. More...
struct	PriceLevelUpdate
	Level 2 price level update event Note: quantity = 0 implies the price level should be deleted. More...
struct	Symbol
	Symbol information. More...
struct	TopOfBook
	Top-of-book snapshot - best bid and ask. More...
struct	Trade
	Trade event - represents an executed trade. More...

Concepts
concept	OrderBookObserver
	Concept for orderbook observers Observers must implement all four callback methods.
concept	PriceLike
	Concept for price-like types.
concept	QuantityLike
	Concept for quantity-like types.
concept	TimestampLike
	Concept for timestamp-like types.
concept	Reservable
	Concept for container that supports reserve()
concept	AllocatorLike
	Concept for allocator-like types.

Typedefs
using	Price = int64_t
	Price type - fixed-point representation Example: For 4 decimal places, price = actual_price * 10000 This allows integer arithmetic while maintaining decimal precision.
using	Quantity = int64_t
	Quantity type - volume or size.
using	OrderId = uint64_t
	Unique order identifier.
using	SymbolId = uint16_t
	Symbol identifier - can be hash or sequential ID.
using	Timestamp = uint64_t
	Timestamp in nanoseconds since epoch.

Enumerations
enum	ChangeFlag : uint8_t { PriceChanged = 0x01 , QuantityChanged = 0x02 , LastInBatch = 0x04 }
	Change flags for price level and order updates (regular enum for bitwise operations) More...
enum	Side : uint8_t { Buy = 0 , Sell = 1 , SideCount = 2 }
	Order side - using enum for easy array indexing. More...
enum class	OrderType : uint8_t { Limit , Market , Stop , StopLimit }
	Order type. More...

Functions
template<>
const detail::PriceLevelL3 *	OrderBookL3::getBestLevel< Side::Buy > () const noexcept
template<>
const detail::PriceLevelL3 *	OrderBookL3::getBestLevel< Side::Sell > () const noexcept
constexpr const char *	toString (Side side) noexcept
	Helper functions for Side enum.
constexpr Side	opposite (Side side) noexcept
constexpr const char *	toString (OrderType type) noexcept
	Helper functions for OrderType enum.

Variables
constexpr uint16_t	INVALID_INDEX = std::numeric_limits<uint16_t>::max()

Typedef Documentation

OrderId

using slick::orderbook::OrderId = typedef uint64_t

Unique order identifier.

Definition at line 24 of file types.hpp.

Price

using slick::orderbook::Price = typedef int64_t

Price type - fixed-point representation Example: For 4 decimal places, price = actual_price * 10000 This allows integer arithmetic while maintaining decimal precision.

Definition at line 18 of file types.hpp.

Quantity

using slick::orderbook::Quantity = typedef int64_t

Quantity type - volume or size.

Definition at line 21 of file types.hpp.

SymbolId

using slick::orderbook::SymbolId = typedef uint16_t

Symbol identifier - can be hash or sequential ID.

Definition at line 27 of file types.hpp.

Timestamp

using slick::orderbook::Timestamp = typedef uint64_t

Timestamp in nanoseconds since epoch.

Definition at line 30 of file types.hpp.

Enumeration Type Documentation

ChangeFlag

enum slick::orderbook::ChangeFlag : uint8_t

Change flags for price level and order updates (regular enum for bitwise operations)

Enumerator
PriceChanged
QuantityChanged
LastInBatch

Definition at line 13 of file events.hpp.

OrderType

enum class slick::orderbook::OrderType : uint8_t

strong

Order type.

Enumerator
Limit
Market
Stop
StopLimit

Definition at line 42 of file types.hpp.

Side

enum slick::orderbook::Side : uint8_t

Order side - using enum for easy array indexing.

Enumerator
Buy
Sell
SideCount

Definition at line 35 of file types.hpp.

Function Documentation

opposite()

constexpr Side slick::orderbook::opposite ( Side  side )

constexprnoexcept

Definition at line 77 of file types.hpp.

References Buy, opposite(), and Sell.

Referenced by opposite().

OrderBookL3::getBestLevel< Side::Buy >()

template<>

const detail::PriceLevelL3 * slick::orderbook::OrderBookL3::getBestLevel< Side::Buy > ( ) const

inlinenoexcept

Definition at line 340 of file orderbook_l3.hpp.

OrderBookL3::getBestLevel< Side::Sell >()

template<>

const detail::PriceLevelL3 * slick::orderbook::OrderBookL3::getBestLevel< Side::Sell > ( ) const

inlinenoexcept

Definition at line 345 of file orderbook_l3.hpp.

toString() [1/2]

constexpr const char * slick::orderbook::toString ( OrderType  type )

constexprnoexcept

Helper functions for OrderType enum.

Definition at line 83 of file types.hpp.

References toString().

toString() [2/2]

constexpr const char * slick::orderbook::toString ( Side  side )

constexprnoexcept

Helper functions for Side enum.

Definition at line 69 of file types.hpp.

References Buy, Sell, and toString().

Referenced by toString(), and toString().

Variable Documentation

INVALID_INDEX

constexpr uint16_t slick::orderbook::INVALID_INDEX = std::numeric_limits<uint16_t>::max()

constexpr

Definition at line 32 of file types.hpp.

Referenced by slick::orderbook::OrderBookL3::addOrModifyOrder(), slick::orderbook::OrderBookL3::deleteOrder(), slick::orderbook::OrderBookL3::getLevel(), slick::orderbook::OrderBookL3::getLevel(), slick::orderbook::OrderBookL3::modifyOrder(), and slick::orderbook::OrderBookL2::updateLevel().