l3_book.hpp File Reference

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

#include <cstdint>
#include <optional>
#include <string>
#include <vector>
#include "itch/book/order_index.hpp"
#include "itch/price.hpp"

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Classes
struct	itch::book::DepthLevel
	Aggregated state of one price level, for L2 depth snapshots. More...
struct	itch::book::OrderView
	A single resting order, for L3 order-level snapshots. More...
struct	itch::book::Bbo
	Best bid and offer of a single book. More...
class	itch::book::L3Book
	A single-symbol, order-level (L3) limit order book with allocation-light internals. More...

Namespaces
namespace	itch
namespace	itch::book

Enumerations
enum class	itch::book::Side : char { itch::book::buy = 'B' , itch::book::sell = 'S' }
	Which side of the book an order rests on. More...

Detailed Description

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

This header declares L3Book, which reconstructs one security's full order book from ITCH add/execute/cancel/delete/replace messages using an object pool and intrusive FIFO queues instead of per-order heap allocation, plus the small Side, DepthLevel, OrderView, and Bbo value types used to query it.

Author

Bertin Balouki SIMYELI

Definition in file l3_book.hpp.