22 #ifndef MamdaOrderBookH 23 #define MamdaOrderBookH 30 #include <mama/mamacpp.h> 31 #include <mama/MamaSourceDerivative.h> 39 class MamdaOrderBookBasicDelta;
40 class MamdaOrderBookBasicDeltaList;
62 void clear (
bool deleteLevels =
true);
69 void setSymbol (
const char* symbol);
76 const char* getSymbol ()
const;
82 void setPartId (
const char* partId);
88 const char* getPartId ()
const;
94 bool hasPartId ()
const;
244 size_t getTotalNumLevels()
const;
251 size_t getNumBidLevels()
const;
258 size_t getNumAskLevels()
const;
313 void cleanupDetached ();
322 const MamaDateTime& getBookTime()
const;
329 void setBookTime(
const MamaDateTime& bookTime)
const;
336 void setSourceDerivative (
const MamaSourceDerivative* sourceDeriv);
343 const MamaSourceDerivative* getSourceDerivative ()
const;
350 const MamaSource* getSource ()
const;
357 void setQuality (mamaQuality quality);
364 mamaQuality getQuality ()
const;
371 void setClosure (
void* closure);
378 void* getClosure ()
const;
399 {
return ! operator== (rhs); }
409 const MamaDateTime& eventTime,
420 const MamaDateTime& eventTime,
430 mama_quantity_t entrySize,
433 const MamaDateTime& eventTime,
434 const MamaSourceDerivative* sourceDeriv,
444 mama_quantity_t entrySize,
447 const MamaDateTime& eventTime,
448 const MamaSourceDerivative* sourceDeriv,
459 mama_quantity_t size,
460 const MamaDateTime& eventTime,
471 const MamaDateTime& eventTime,
481 void addEntriesFromBook (
495 void addPriceLevelsFromBookAsEntries (
506 void deleteEntriesFromSource (
507 const MamaSource* source,
522 void setNeedsReevaluation (
bool need);
527 bool getNeedsReevaluation ()
const;
533 void setCheckSourceState (
bool check);
539 bool getCheckSourceState ()
const;
597 struct bidIteratorImpl;
598 bidIteratorImpl&
mImpl;
619 struct askIteratorImpl;
620 askIteratorImpl&
mImpl;
641 struct bidEntryIteratorImpl;
642 bidEntryIteratorImpl&
mImpl;
661 struct askEntryIteratorImpl;
662 askEntryIteratorImpl&
mImpl;
683 constBidIterator bidBegin()
const;
685 constBidIterator bidEnd()
const;
687 constAskIterator askBegin()
const;
689 constAskIterator askEnd()
const;
692 constBidEntryIterator bidEntryBegin()
const;
694 constBidEntryIterator bidEntryEnd()
const;
696 constAskEntryIterator askEntryBegin()
const;
698 constAskEntryIterator askEntryEnd()
const;
708 void setIsConsistent (
bool isConsistent);
720 bool getIsConsistent ()
const;
727 void dump (ostream& output)
const;
734 static void setStrictChecking (
bool strict);
741 void generateDeltaMsgs (
bool generate);
747 bool getGenerateDeltaMsgs();
755 bool populateDelta (MamaMsg& msg);
762 void populateRecap (MamaMsg& msg);
776 mama_quantity_t plDeltaSize,
783 void clearDeltaList();
789 void setBookContributors (
const char* bookContributors);
795 const char* getBookContributors ()
const;
801 bool hasBookContributors ()
const;
807 bool getBookContributorsModified ()
const;
813 void setBookContributorsModified (
bool modified);
816 struct MamdaOrderBookImpl;
817 MamdaOrderBookImpl& mImpl;
822 #endif // MamdaOrderBookH askIteratorImpl & mImpl
Definition: MamdaOrderBook.h:619
Definition: MamdaOrderBook.h:615
Definition: MamdaOrderBookEntryFilter.h:34
Definition: MamdaOrderBook.h:637
const askIterator constAskIterator
Definition: MamdaOrderBook.h:678
MamdaOrderBookEntry is a class that represents an entry within a price level of an order book...
Definition: MamdaOrderBookEntry.h:48
const askEntryIterator constAskEntryIterator
Definition: MamdaOrderBook.h:680
MamdaOrderImbalanceUpdate is an interface that provides access to order imbalance related fields...
Definition: MamdaAuctionFields.h:29
const bidIterator constBidIterator
Definition: MamdaOrderBook.h:677
Side
An enumeration for the side order book side.
Definition: MamdaOrderBookPriceLevel.h:66
MamdaOrderBook is a class that provides order book functionality, including iterators over price leve...
Definition: MamdaOrderBook.h:47
MamdaOrderBookBasicDeltaList is a class that saves information about an order book delta that involve...
Definition: MamdaOrderBookBasicDeltaList.h:43
Definition: MamdaOrderBook.h:657
askEntryIteratorImpl & mImpl
Definition: MamdaOrderBook.h:661
MamdaOrderBookBasicDelta is a class that saves information about a basic order book delta...
Definition: MamdaOrderBookBasicDelta.h:45
const bidEntryIterator constBidEntryIterator
Definition: MamdaOrderBook.h:679
bidEntryIteratorImpl & mImpl
Definition: MamdaOrderBook.h:641
Action
An enumeration for book entry actions.
Definition: MamdaOrderBookEntry.h:57
bidIteratorImpl & mImpl
Definition: MamdaOrderBook.h:597
Definition: MamdaOrderBook.h:593
Action
An enumeration for price level actions.
Definition: MamdaOrderBookPriceLevel.h:53
MamdaOrderBookPriceLevel is a class that provides a price level type for order books.
Definition: MamdaOrderBookPriceLevel.h:44