order_book.hpp File Reference

An in-memory limit order book reconstructed from a stream of parsed ITCH 5.0 messages. More...

#include <cstdint>
#include <functional>
#include <list>
#include <map>
#include <memory>
#include <ostream>
#include <set>
#include <variant>
#include "itch/messages.hpp"

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Classes
struct	itch::Order
	Represents a single resting order within the Limit Order Book. More...
struct	itch::PriceLevel
	Represents a specific price node in the order book. More...
class	itch::LimitOrderBook
	Manages the state of a limit order book for a specific financial instrument. More...

Namespaces
namespace	itch

Typedefs
using	itch::OrderIt = std::list< std::shared_ptr< Order > >::iterator
	Iterator type for navigating the list of orders within a price level.

Detailed Description

An in-memory limit order book reconstructed from a stream of parsed ITCH 5.0 messages.

LimitOrderBook maintains the resting bid/ask price levels for a single instrument, applying Add/Execute/Cancel/Delete/Replace order events as they arrive so callers can query the current book depth or render it for inspection.

Author

Bertin Balouki SIMYELI

Definition in file order_book.hpp.