algotradelib::DepthSnapshot Struct Reference

An instrument's order book: resting bids and offers. More...

#include <algotradelib/src/core/market_data.hpp>

Collaboration diagram for algotradelib::DepthSnapshot:

Public Member Functions
std::optional< DepthLevel >	best_bid () const
	Returns the best bid.
std::optional< DepthLevel >	best_ask () const
	Returns the best offer.
std::optional< Decimal64 >	spread () const
	Returns the spread, best offer minus best bid, exactly.
std::optional< Decimal64 >	mid () const
	Returns the midpoint of the best bid and offer, exactly (one more decimal place if needed).

Public Attributes
InstrumentId	instrument_
	The instrument.
std::vector< DepthLevel >	bids_
	The bids, descending by price.
std::vector< DepthLevel >	asks_
	The offers, ascending by price.
Currency	currency_
	The currency of the prices.
std::optional< std::chrono::system_clock::time_point >	exchange_time_
	When the exchange says the book was true, if the broker gave a time.
std::chrono::system_clock::time_point	received_at_
	When the book was received, on this machine's clock.

Detailed Description

An instrument's order book: resting bids and offers.

Index zero is the best level on each side (bids descending, asks ascending); adapters sort the levels themselves. A side may be empty.

Definition at line 206 of file market_data.hpp.

Member Function Documentation

best_ask()

std::optional< DepthLevel > algotradelib::DepthSnapshot::best_ask ( ) const

inline

Returns the best offer.

Returns

The lowest offer level, or std::nullopt if no offer rests.

Definition at line 232 of file market_data.hpp.

Referenced by mid(), and spread().

best_bid()

std::optional< DepthLevel > algotradelib::DepthSnapshot::best_bid ( ) const

inline

Returns the best bid.

Returns

The highest bid level, or std::nullopt if no bid rests.

Definition at line 224 of file market_data.hpp.

Referenced by mid(), and spread().

mid()

std::optional< Decimal64 > algotradelib::DepthSnapshot::mid ( ) const

inline

Returns the midpoint of the best bid and offer, exactly (one more decimal place if needed).

Not rounded to the tick grid; round it yourself before using it as an order price.

Returns

The midpoint, or std::nullopt if a side is empty or the arithmetic does not fit.

Definition at line 256 of file market_data.hpp.

spread()

std::optional< Decimal64 > algotradelib::DepthSnapshot::spread ( ) const

inline

Returns the spread, best offer minus best bid, exactly.

Returns

The spread, or std::nullopt if a side is empty or the arithmetic does not fit.

Definition at line 240 of file market_data.hpp.

Member Data Documentation

asks_

std::vector<DepthLevel> algotradelib::DepthSnapshot::asks_

The offers, ascending by price.

Definition at line 212 of file market_data.hpp.

Referenced by best_ask(), and algotradelib::order_depth().

bids_

std::vector<DepthLevel> algotradelib::DepthSnapshot::bids_

The bids, descending by price.

Definition at line 210 of file market_data.hpp.

Referenced by best_bid(), and algotradelib::order_depth().

currency_

Currency algotradelib::DepthSnapshot::currency_

The currency of the prices.

Definition at line 214 of file market_data.hpp.

exchange_time_

std::optional<std::chrono::system_clock::time_point> algotradelib::DepthSnapshot::exchange_time_

When the exchange says the book was true, if the broker gave a time.

Definition at line 216 of file market_data.hpp.

instrument_

InstrumentId algotradelib::DepthSnapshot::instrument_

The instrument.

Definition at line 208 of file market_data.hpp.

received_at_

std::chrono::system_clock::time_point algotradelib::DepthSnapshot::received_at_

When the book was received, on this machine's clock.

Definition at line 218 of file market_data.hpp.

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

• algotradelib/src/core/market_data.hpp