A single-symbol, order-level (L3) limit order book with allocation-light internals. More...

#include <l3_book.hpp>

Public Member Functions
	L3Book (std::string symbol={})
	Constructs a book, optionally tagged with its stock symbol.

auto	set_symbol (std::string symbol) -> void
	Sets the stock symbol associated with this book.

auto	symbol () const noexcept -> const std::string &
	The stock symbol associated with this book (may be empty).

auto	add_order (std::uint64_t reference_number, Side side, std::uint32_t shares, std::uint32_t price) -> void
	Adds a new resting order to the book (ITCH `A`/`F`).

auto	execute_order (std::uint64_t reference_number, std::uint32_t shares) -> std::uint32_t
	Removes `shares` from an order on execution (ITCH `E`/`C`), deleting it when fully filled.

auto	reduce_order (std::uint64_t reference_number, std::uint32_t shares) -> std::uint32_t
	Removes `shares` from an order on a partial cancel (ITCH `X`), deleting it when it reaches zero.

auto	delete_order (std::uint64_t reference_number) -> void
	Deletes an order in its entirety (ITCH `D`).

auto	replace_order (std::uint64_t old_reference_number, std::uint64_t new_reference_number, std::uint32_t shares, std::uint32_t price) -> void
	Replaces an order with a new reference number, size, and price on the same side (ITCH `U`).

auto	contains (std::uint64_t reference_number) const -> bool
	Whether an order with the given reference number is resting.

auto	order_price (std::uint64_t reference_number) const -> std::optional< std::uint32_t >
	The raw limit price of a resting order, if present.

auto	order_side (std::uint64_t reference_number) const -> std::optional< Side >
	The side of a resting order, if present.

auto	bbo () const -> Bbo
	The current best bid and offer.

auto	depth (Side side, std::size_t max_levels=0) const -> std::vector< DepthLevel >
	Aggregated L2 depth for a side, best level first.

auto	orders_at (Side side, std::uint32_t price) const -> std::vector< OrderView >
	The resting orders at a given price on a side, in time priority.

auto	level_count (Side side) const noexcept -> std::size_t
	The number of active price levels on a side.

auto	empty () const noexcept -> bool
	Whether the book has no resting orders on either side.

Detailed Description

A single-symbol, order-level (L3) limit order book with allocation-light internals.

Unlike the original LimitOrderBook, which stored each order in a std::shared_ptr inside a std::list and each price level in a std::map, this engine holds orders in a reusable object pool (a flat vector with a free list) linked into intrusive FIFO queues, and keeps each side's price levels in a flat, sorted vector. There is no per-order heap allocation, no atomic refcount, and no per-level node allocation on the hot path; order lookup by reference number is O(1) and the best bid/offer is the front of a ladder.

Definition at line 72 of file l3_book.hpp.

Constructor & Destructor Documentation

◆ L3Book()

itch::book::L3Book::L3Book ( std::string symbol = {} )

explicit

Constructs a book, optionally tagged with its stock symbol.

Parameters

symbol The ticker symbol to associate with the book (may be empty).

Definition at line 8 of file l3_book.cpp.

Member Function Documentation

◆ set_symbol()

auto itch::book::L3Book::set_symbol ( std::string symbol ) -> void

inline

Sets the stock symbol associated with this book.

Parameters

symbol The ticker symbol to associate with the book.

Definition at line 81 of file l3_book.hpp.

References symbol().

◆ symbol()

auto itch::book::L3Book::symbol ( ) const -> const std::string&

inlinenoexcept

The stock symbol associated with this book (may be empty).

Returns: Const reference to the associated ticker symbol.

Definition at line 85 of file l3_book.hpp.

Referenced by set_symbol(), and itch::book::BookManager::symbol_for_locate().

◆ add_order()

auto itch::book::L3Book::add_order	(	std::uint64_t	reference_number,
		Side	side,
		std::uint32_t	shares,
		std::uint32_t	price
	)		-> void

Adds a new resting order to the book (ITCH A/F).

Parameters

reference_number	Exchange order reference number identifying the new order.
side	The side of the book the order rests on.
shares	The number of shares in the new order.
price	The raw (unscaled) limit price of the new order.

Definition at line 93 of file l3_book.cpp.

References itch::book::OrderIndex::NPOS, price, reference_number, shares, and side.

◆ execute_order()

auto itch::book::L3Book::execute_order	(	std::uint64_t	reference_number,
		std::uint32_t	shares
	)		-> std::uint32_t

Removes shares from an order on execution (ITCH E/C), deleting it when fully filled.

Returns the shares actually removed.

Parameters

reference_number	Exchange order reference number of the order being executed against.
shares	The number of shares to remove from the order.

Returns: The number of shares actually removed (may be less than shares if the order does not have that many resting).

Definition at line 150 of file l3_book.cpp.

References itch::book::OrderIndex::NPOS, reference_number, and shares.

◆ reduce_order()

auto itch::book::L3Book::reduce_order	(	std::uint64_t	reference_number,
		std::uint32_t	shares
	)		-> std::uint32_t

Removes shares from an order on a partial cancel (ITCH X), deleting it when it reaches zero.

Returns the shares actually removed.

Parameters

reference_number	Exchange order reference number of the order being reduced.
shares	The number of shares to remove from the order.

Returns: The number of shares actually removed (may be less than shares if the order does not have that many resting).

Definition at line 173 of file l3_book.cpp.

References reference_number, and shares.

◆ delete_order()

auto itch::book::L3Book::delete_order ( std::uint64_t reference_number ) -> void

Deletes an order in its entirety (ITCH D).

Parameters

reference_number Exchange order reference number of the order to delete.

Definition at line 178 of file l3_book.cpp.

References itch::book::OrderIndex::NPOS, and reference_number.

◆ replace_order()

auto itch::book::L3Book::replace_order	(	std::uint64_t	old_reference_number,
		std::uint64_t	new_reference_number,
		std::uint32_t	shares,
		std::uint32_t	price
	)		-> void

Replaces an order with a new reference number, size, and price on the same side (ITCH U).

Parameters

old_reference_number	Exchange order reference number of the order being replaced.
new_reference_number	Exchange order reference number assigned to the replacement order.
shares	The number of shares in the replacement order.
price	The raw (unscaled) limit price of the replacement order.

Definition at line 188 of file l3_book.cpp.

References itch::book::OrderIndex::NPOS, price, shares, and side.

◆ contains()

auto itch::book::L3Book::contains ( std::uint64_t reference_number ) const -> bool

Whether an order with the given reference number is resting.

Parameters

reference_number Exchange order reference number to look up.

Returns: True if an order with reference_number is resting, false otherwise.

Definition at line 203 of file l3_book.cpp.

References reference_number.

◆ order_price()

auto itch::book::L3Book::order_price ( std::uint64_t reference_number ) const -> std::optional<std::uint32_t>

The raw limit price of a resting order, if present.

Parameters

reference_number Exchange order reference number to look up.

Returns: The order's raw limit price, or std::nullopt if no such order is resting.

Definition at line 207 of file l3_book.cpp.

References itch::book::OrderIndex::NPOS, and reference_number.

◆ order_side()

auto itch::book::L3Book::order_side ( std::uint64_t reference_number ) const -> std::optional<Side>

The side of a resting order, if present.

Parameters

reference_number Exchange order reference number to look up.

Returns: The order's side, or std::nullopt if no such order is resting.

Definition at line 215 of file l3_book.cpp.

References itch::book::OrderIndex::NPOS, and reference_number.

◆ bbo()

auto itch::book::L3Book::bbo ( ) const -> Bbo

The current best bid and offer.

Returns: The book's current best bid and offer snapshot.

Definition at line 223 of file l3_book.cpp.

References itch::book::Bbo::has_bid.

◆ depth()

auto itch::book::L3Book::depth	(	Side	side,
		std::size_t	max_levels = `0`
	)		const -> std::vector<DepthLevel>

Aggregated L2 depth for a side, best level first.

Parameters

side	The side to report.
max_levels	The maximum number of levels to return (0 == all).

Returns: The requested side's price levels, best (top of book) first.

Definition at line 238 of file l3_book.cpp.

References itch::book::DepthLevel::price, and side.

◆ orders_at()

auto itch::book::L3Book::orders_at	(	Side	side,
		std::uint32_t	price
	)		const -> std::vector<OrderView>

The resting orders at a given price on a side, in time priority.

Parameters

side	The side to query.
price	The raw (unscaled) limit price to query.

Returns: The resting orders at price on side, oldest first.

Definition at line 253 of file l3_book.cpp.

References price, itch::book::OrderView::reference_number, and side.

◆ level_count()

auto itch::book::L3Book::level_count ( Side side ) const -> std::size_t

noexcept

The number of active price levels on a side.

Parameters

side	The side to query.

Returns: The count of active price levels on side.

Definition at line 273 of file l3_book.cpp.

References side.

◆ empty()

auto itch::book::L3Book::empty ( ) const -> bool

inlinenoexcept

Whether the book has no resting orders on either side.

Returns: True if no orders are resting on either side, false otherwise.

Definition at line 179 of file l3_book.hpp.

References itch::book::OrderIndex::empty().

The documentation for this class was generated from the following files:

Public Member Functions

Detailed Description

Constructor & Destructor Documentation

◆ L3Book()

Member Function Documentation

◆ set_symbol()

◆ symbol()

◆ add_order()

◆ execute_order()

◆ reduce_order()

◆ delete_order()

◆ replace_order()

◆ contains()

◆ order_price()

◆ order_side()

◆ bbo()

◆ depth()

◆ orders_at()

◆ level_count()

◆ empty()