A single side (buy/sell) of the LimitOrderBook. More...

#include <limit_tree.hpp>

Public Member Functions
void	clear ()
	Clear all the limits in the tree.

void	limit (Order *order)
	Place a limit order on the limit tree. More...

void	cancel (Order *order)
	Remove an order from the limit tree. More...

template<typename Callback >
void	market (Order *order, Callback did_fill)
	Perform a market order of given quantity on the given limit tree. More...

Volume	volume_at (Price price) const
	Return the volume of orders at the given limit price. More...

Count	count_at (Price price) const
	Return the number of orders at the given limit price. More...

Public Attributes
Limit *	root = nullptr
	the sorted tree of orders in the book

PriceLimitMap	limits
	a mapping of limit prices to limits

Limit *	best = nullptr
	the best order

Price	last_best_price = 0
	the last best price

Count	count = 0
	the total number of active orders for this tree

Volume	volume = 0
	the total volume of orders for this tree

Detailed Description

template<Side side>
struct DataFeed::LOB::LimitTree< side >

A single side (buy/sell) of the LimitOrderBook.

Member Function Documentation

◆ cancel()

template<Side side>

void DataFeed::LOB::LimitTree< side >::cancel ( Order * order )

inline

Remove an order from the limit tree.

Parameters

order an order that exists in the limit tree

◆ count_at()

template<Side side>

Count DataFeed::LOB::LimitTree< side >::count_at ( Price price ) const

inline

Return the number of orders at the given limit price.

Parameters

price the limit price to return the number of orders for

Returns: the number of orders at the given limit price

◆ limit()

template<Side side>

void DataFeed::LOB::LimitTree< side >::limit ( Order * order )

inline

Place a limit order on the limit tree.

Parameters

order an order that matches the side of this tree

◆ market()

template<Side side>

template<typename Callback >

void DataFeed::LOB::LimitTree< side >::market	(	Order *	order,
		Callback	did_fill
	)

inline

Perform a market order of given quantity on the given limit tree.

Template Parameters

Callback a callable function that excepts an order ID

Parameters

order	the order to find a market order for
did_fill	the callback handler for when an order is filled

◆ volume_at()

template<Side side>

Volume DataFeed::LOB::LimitTree< side >::volume_at ( Price price ) const

inline

Return the volume of orders at the given limit price.

Parameters

price the limit price to return the volume for

Returns: the volume of orders at the given limit price

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

include/data_feed/limit_order_book/limit_tree.hpp

Public Member Functions

Public Attributes

Detailed Description

template<Side side> struct DataFeed::LOB::LimitTree< side >

Member Function Documentation

◆ cancel()

◆ count_at()

◆ limit()

◆ market()

◆ volume_at()

template<Side side>
struct DataFeed::LOB::LimitTree< side >