DataFeed::LOB Namespace Reference

Logic for maintaining a continuous double auction via a limit-order book. More...

Classes
struct	Limit
	A price limit containing a FIFO queue of Order objects. More...
class	LimitOrderBook
	An order book for managing Limit / Order objects in a continuous double auction. More...
struct	LimitTree
	A single side (buy/sell) of the LimitOrderBook. More...
struct	Order
	A single order in the LimitOrderBook. More...

Typedefs
typedef std::unordered_map< UID, Order >	UIDOrderMap
	a map of order IDs to orders
typedef tsl::robin_map< Price, Limit * >	PriceLimitMap
	a map of prices to limit pointers
typedef uint64_t	UID
	a type for order IDs
typedef uint32_t	Quantity
	a type for order quantities
typedef uint64_t	Price
	a type for order prices
typedef uint32_t	Count
	a type for limit price order counts
typedef uint64_t	Volume
	a type for limit total volume

Enumerations
enum	Side : bool { Sell = false, Buy = true }
	the possible sides for the LimitTree

Functions
template<Side side>
void	set_best (Limit **best, Limit *limit)
	Set the best to the given limit if the given limit is better. More...
template<>
void	set_best< Side::Buy > (Limit **highest_buy, Limit *limit)
	Set the best buy to the given limit if the given limit is better. More...
template<>
void	set_best< Side::Sell > (Limit **lowest_sell, Limit *limit)
	Set the best sell to the given limit if the given limit is better. More...
template<Side side>
void	find_best (Limit **best)
	Find the next best when removing the best from the tree. More...
template<>
void	find_best< Side::Buy > (Limit **highest_buy)
	Find the next buy when removing the best buy from the tree. More...
template<>
void	find_best< Side::Sell > (Limit **lowest_sell)
	Find the next sell when removing the best sell from the tree. More...
template<Side side>
bool	can_match (Price limit, Price market)
	Return true if the market price can match with the limit price. More...
template<>
bool	can_match< Side::Buy > (Price limit, Price market)
	Return true if the sell market price can match with the buy limit price. More...
template<>
bool	can_match< Side::Sell > (Price limit, Price market)
	Return true if the buy market price can match with the sell limit price. More...
Side	operator! (Side side)
	Return the opposite side using the invert operator. More...

Detailed Description

Logic for maintaining a continuous double auction via a limit-order book.

Function Documentation

can_match()

template<Side side>

bool DataFeed::LOB::can_match	(	Price	limit,
		Price	market
	)

Return true if the market price can match with the limit price.

Template Parameters

side	the side of the book to perform the calculation from

Parameters

limit	the price of the limit order (i.e., the best price)
market	the price of the opposing side market order to compare

Returns

true if the market price can match with the limit price

can_match< Side::Buy >()

template<>

bool DataFeed::LOB::can_match< Side::Buy > ( Price  limit, Price  market  )

inline

Return true if the sell market price can match with the buy limit price.

Parameters

limit	the price of the buy limit order (i.e., the best price)
market	the price of the sell side market order to compare

Returns

true if the sell market price can match with the buy limit price

can_match< Side::Sell >()

template<>

bool DataFeed::LOB::can_match< Side::Sell > ( Price  limit, Price  market  )

inline

Return true if the buy market price can match with the sell limit price.

Parameters

limit	the price of the sell limit order (i.e., the best price)
market	the price of the buy side market order to compare

Returns

true if the buy market price can match with the sell limit price

find_best()

template<Side side>

void DataFeed::LOB::find_best

(

Limit **

best

)

Find the next best when removing the best from the tree.

Template Parameters

side	the side of the book to perform the calculation from

Parameters

best	the best limit node

find_best< Side::Buy >()

template<>

void DataFeed::LOB::find_best< Side::Buy > ( Limit **  highest_buy )

inline

Find the next buy when removing the best buy from the tree.

Parameters

highest_buy

the best buy limit node

find_best< Side::Sell >()

template<>

void DataFeed::LOB::find_best< Side::Sell > ( Limit **  lowest_sell )

inline

Find the next sell when removing the best sell from the tree.

Parameters

lowest_sell

the best sell limit node

operator!()

Side DataFeed::LOB::operator! ( Side  side )

inline

Return the opposite side using the invert operator.

Parameters

side	the side to invert

Returns

the opposite of the given side

set_best()

template<Side side>

void DataFeed::LOB::set_best	(	Limit **	best,
		Limit *	limit
	)

Set the best to the given limit if the given limit is better.

Template Parameters

side	the side of the book to perform the calculation from

Parameters

best	the current best limit
limit	the limit node to compare to

set_best< Side::Buy >()

template<>

void DataFeed::LOB::set_best< Side::Buy > ( Limit **  highest_buy, Limit *  limit  )

inline

Set the best buy to the given limit if the given limit is better.

Parameters

highest_buy	the current best buy limit
limit	the buy limit node to compare to

set_best< Side::Sell >()

template<>

void DataFeed::LOB::set_best< Side::Sell > ( Limit **  lowest_sell, Limit *  limit  )

inline

Set the best sell to the given limit if the given limit is better.

Parameters

lowest_sell	the current best sell limit
limit	the sell limit node to compare to