itch::PriceLevel Struct Reference

Represents a specific price node in the order book. More...

#include <order_book.hpp>

Public Member Functions
auto	add_order (const std::shared_ptr< Order > &order) -> void
	Appends an order to the end of the queue (Time priority).
auto	remove_order (const OrderIt &order_it) -> void
	Removes a specific order from the queue.

Public Attributes
uint32_t	total_shares {0}
	Aggregate volume of shares at this price.
std::list< std::shared_ptr< Order > >	orders
	FIFO queue of orders.

Detailed Description

Represents a specific price node in the order book.

Maintains a queue of orders at a specific price, enforcing Time-Priority (FIFO) execution. It tracks the aggregate share volume for this level.

Definition at line 67 of file order_book.hpp.

Member Function Documentation

add_order()

auto itch::PriceLevel::add_order

(

const std::shared_ptr< Order > &

order

)

-> void

Appends an order to the end of the queue (Time priority).

Parameters

order

Shared pointer to the order to add.

Definition at line 14 of file order_book.cpp.

remove_order()

auto itch::PriceLevel::remove_order

(

const OrderIt &

order_it

)

-> void

Removes a specific order from the queue.

Parameters

order_it

Iterator pointing to the order to remove.

Definition at line 20 of file order_book.cpp.

Member Data Documentation

total_shares

uint32_t itch::PriceLevel::total_shares {0}

Aggregate volume of shares at this price.

Definition at line 68 of file order_book.hpp.

orders

std::list<std::shared_ptr<Order> > itch::PriceLevel::orders

FIFO queue of orders.

Definition at line 69 of file order_book.hpp.

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

• order_book.hpp
• order_book.cpp