slick::orderbook::TopOfBook Struct Reference

Top-of-book snapshot - best bid and ask. More...

#include <events.hpp>

Collaboration diagram for slick::orderbook::TopOfBook:

Public Member Functions
	TopOfBook () noexcept
	TopOfBook (SymbolId sym, Price bid, Quantity bid_qty, Price ask, Quantity ask_qty, Timestamp ts) noexcept
Price	spread () const noexcept
	Calculate spread.
Price	midPrice () const noexcept
	Calculate mid price.
bool	isCrossed () const noexcept
	Check if book is crossed (bid >= ask, should not happen in normal conditions)
bool	hasBid () const noexcept
	Check if book has valid bid.
bool	hasAsk () const noexcept
	Check if book has valid ask.
bool	isValid () const noexcept
	Check if book has both valid bid and ask.

Public Attributes
SymbolId	symbol
Price	best_bid
Quantity	bid_quantity
Price	best_ask
Quantity	ask_quantity
Timestamp	timestamp
std::array< uint8_t, 2 >	change_flags {0, 0}

Detailed Description

Top-of-book snapshot - best bid and ask.

Definition at line 142 of file events.hpp.

Constructor & Destructor Documentation

TopOfBook() [1/2]

slick::orderbook::TopOfBook::TopOfBook ( )

inlinenoexcept

Definition at line 151 of file events.hpp.

TopOfBook() [2/2]

slick::orderbook::TopOfBook::TopOfBook ( SymbolId  sym, Price  bid, Quantity  bid_qty, Price  ask, Quantity  ask_qty, Timestamp  ts  )

inlinenoexcept

Definition at line 154 of file events.hpp.

Member Function Documentation

hasAsk()

bool slick::orderbook::TopOfBook::hasAsk ( ) const

inlinenoexcept

Check if book has valid ask.

Definition at line 178 of file events.hpp.

hasBid()

bool slick::orderbook::TopOfBook::hasBid ( ) const

inlinenoexcept

Check if book has valid bid.

Definition at line 173 of file events.hpp.

isCrossed()

bool slick::orderbook::TopOfBook::isCrossed ( ) const

inlinenoexcept

Check if book is crossed (bid >= ask, should not happen in normal conditions)

Definition at line 168 of file events.hpp.

isValid()

bool slick::orderbook::TopOfBook::isValid ( ) const

inlinenoexcept

Check if book has both valid bid and ask.

Definition at line 183 of file events.hpp.

midPrice()

Price slick::orderbook::TopOfBook::midPrice ( ) const

inlinenoexcept

Calculate mid price.

Definition at line 163 of file events.hpp.

spread()

Price slick::orderbook::TopOfBook::spread ( ) const

inlinenoexcept

Calculate spread.

Definition at line 158 of file events.hpp.

Member Data Documentation

ask_quantity

Quantity slick::orderbook::TopOfBook::ask_quantity

Definition at line 147 of file events.hpp.

Referenced by slick::orderbook::OrderBookL2::notifyTopOfBookIfChanged(), and slick::orderbook::OrderBookL3::notifyTopOfBookIfChanged().

best_ask

Price slick::orderbook::TopOfBook::best_ask

Definition at line 146 of file events.hpp.

Referenced by slick::orderbook::OrderBookL2::getBestAsk(), slick::orderbook::OrderBookL2::notifyTopOfBookIfChanged(), and slick::orderbook::OrderBookL3::notifyTopOfBookIfChanged().

best_bid

Price slick::orderbook::TopOfBook::best_bid

Definition at line 144 of file events.hpp.

Referenced by slick::orderbook::OrderBookL2::getBestBid(), slick::orderbook::OrderBookL2::notifyTopOfBookIfChanged(), and slick::orderbook::OrderBookL3::notifyTopOfBookIfChanged().

bid_quantity

Quantity slick::orderbook::TopOfBook::bid_quantity

Definition at line 145 of file events.hpp.

Referenced by slick::orderbook::OrderBookL2::notifyTopOfBookIfChanged(), and slick::orderbook::OrderBookL3::notifyTopOfBookIfChanged().

change_flags

std::array<uint8_t, 2> slick::orderbook::TopOfBook::change_flags {0, 0}

Definition at line 149 of file events.hpp.

Referenced by slick::orderbook::OrderBookL2::notifyTopOfBookIfChanged(), and slick::orderbook::OrderBookL3::notifyTopOfBookIfChanged().

symbol

SymbolId slick::orderbook::TopOfBook::symbol

Definition at line 143 of file events.hpp.

Referenced by slick::orderbook::OrderBookL2::OrderBookL2(), and slick::orderbook::OrderBookL3::OrderBookL3().

timestamp

Timestamp slick::orderbook::TopOfBook::timestamp

Definition at line 148 of file events.hpp.

Referenced by slick::orderbook::OrderBookL2::notifyTopOfBookIfChanged(), and slick::orderbook::OrderBookL3::notifyTopOfBookIfChanged().

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

• slick/orderbook/events.hpp