slick::orderbook::detail::Order Struct Reference

Order structure for Level 3 orderbook Uses intrusive list design for zero-allocation order queues at each price level Cache-aligned to 64 bytes for optimal performance (exactly 1 cache line) More...

#include <order.hpp>

Collaboration diagram for slick::orderbook::detail::Order:

Public Member Functions
	Order (OrderId id, Price p, Quantity qty, Side s, Timestamp ts, uint64_t prio) noexcept
	Constructor with all fields.
	Order (OrderId id, Price p, Quantity qty, Side s, Timestamp ts) noexcept
	Constructor with timestamp as priority (common case)
	Order () noexcept
	Default constructor (for pool allocation)
bool	operator< (const Order &other) const noexcept
	Comparison operator for priority-based sorting Lower priority value = higher priority in queue.
bool	operator> (const Order &other) const noexcept

Public Attributes
OrderId	order_id
Price	price
Quantity	quantity
Side	side
Timestamp	timestamp
uint64_t	priority
Order *	prev
Order *	next

Detailed Description

Order structure for Level 3 orderbook Uses intrusive list design for zero-allocation order queues at each price level Cache-aligned to 64 bytes for optimal performance (exactly 1 cache line)

Definition at line 14 of file order.hpp.

Constructor & Destructor Documentation

Order() [1/3]

slick::orderbook::detail::Order::Order ( OrderId  id, Price  p, Quantity  qty, Side  s, Timestamp  ts, uint64_t  prio  )

inlinenoexcept

Constructor with all fields.

Definition at line 27 of file order.hpp.

Order() [2/3]

slick::orderbook::detail::Order::Order ( OrderId  id, Price  p, Quantity  qty, Side  s, Timestamp  ts  )

inlinenoexcept

Constructor with timestamp as priority (common case)

Definition at line 39 of file order.hpp.

Order() [3/3]

slick::orderbook::detail::Order::Order ( )

inlinenoexcept

Default constructor (for pool allocation)

Definition at line 44 of file order.hpp.

Member Function Documentation

operator<()

bool slick::orderbook::detail::Order::operator< ( const Order &  other ) const

inlinenoexcept

Comparison operator for priority-based sorting Lower priority value = higher priority in queue.

Definition at line 57 of file order.hpp.

operator>()

bool slick::orderbook::detail::Order::operator> ( const Order &  other ) const

inlinenoexcept

Definition at line 61 of file order.hpp.

Member Data Documentation

next

Order* slick::orderbook::detail::Order::next

Definition at line 24 of file order.hpp.

order_id

OrderId slick::orderbook::detail::Order::order_id

Definition at line 15 of file order.hpp.

Referenced by slick::orderbook::OrderBookL3::notifyOrderDelete(), and slick::orderbook::OrderBookL3::notifyOrderUpdate().

prev

Order* slick::orderbook::detail::Order::prev

Definition at line 23 of file order.hpp.

price

Price slick::orderbook::detail::Order::price

Definition at line 16 of file order.hpp.

Referenced by slick::orderbook::OrderBookL3::addOrModifyOrder(), slick::orderbook::OrderBookL3::deleteOrder(), slick::orderbook::OrderBookL3::executeOrder(), slick::orderbook::OrderBookL3::modifyOrder(), slick::orderbook::OrderBookL3::notifyOrderDelete(), and slick::orderbook::OrderBookL3::notifyOrderUpdate().

priority

uint64_t slick::orderbook::detail::Order::priority

Definition at line 20 of file order.hpp.

Referenced by slick::orderbook::OrderBookL3::addOrModifyOrder(), slick::orderbook::OrderBookL3::executeOrder(), slick::orderbook::OrderBookL3::modifyOrder(), slick::orderbook::OrderBookL3::notifyOrderDelete(), and slick::orderbook::OrderBookL3::notifyOrderUpdate().

quantity

Quantity slick::orderbook::detail::Order::quantity

Definition at line 17 of file order.hpp.

Referenced by slick::orderbook::OrderBookL3::addOrModifyOrder(), slick::orderbook::OrderBookL3::executeOrder(), slick::orderbook::OrderBookL3::modifyOrder(), slick::orderbook::OrderBookL3::notifyOrderDelete(), and slick::orderbook::OrderBookL3::notifyOrderUpdate().

side

Side slick::orderbook::detail::Order::side

Definition at line 18 of file order.hpp.

Referenced by slick::orderbook::OrderBookL3::addOrModifyOrder(), slick::orderbook::OrderBookL3::deleteOrder(), slick::orderbook::OrderBookL3::modifyOrder(), slick::orderbook::OrderBookL3::notifyOrderDelete(), and slick::orderbook::OrderBookL3::notifyOrderUpdate().

timestamp

Timestamp slick::orderbook::detail::Order::timestamp

Definition at line 19 of file order.hpp.

Referenced by slick::orderbook::OrderBookL3::deleteOrder(), and slick::orderbook::OrderBookL3::modifyOrder().

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

• slick/orderbook/detail/order.hpp