#include <fastmm/core/book/l2_book.hpp>

Public Member Functions
	L2Book () noexcept=default

void	clear () noexcept

FASTMM_FORCE_INLINE bool	apply_level (Side side, Price price, Qty qty) noexcept
	Sets/updates/deletes (qty == 0) one level.

void	apply_snapshot (std::span< const Level > bids, std::span< const Level > asks, std::uint64_t seq, Timestamp ts) noexcept

void	apply_delta (const BookDeltaMsg &d) noexcept
	Applies a BookDeltaMsg (or snapshot with kSnapshot).

void	set_seq (std::uint64_t s) noexcept

void	set_last_update (Timestamp t) noexcept

void	mark_snapshot () noexcept

FASTMM_FORCE_INLINE Level	best_bid () const noexcept

FASTMM_FORCE_INLINE Level	best_ask () const noexcept

Price	mid () const noexcept

Price	spread () const noexcept

Level	level (Side side, std::size_t i) const noexcept
	i == 0 is best. Level{} if out of range.

std::size_t	depth (Side side) const noexcept

std::size_t	depth () const noexcept

Qty	qty_at_or_better (Side side, Price limit) const noexcept
	Total quantity on `side` at prices at-or-better than `limit`.

Price	price_for_qty (Side side, Qty qty) const noexcept
	Price of the level at which cumulative quantity from the best reaches `qty`; Price{} if the side is too thin.

template<class F >
void	for_each_level (Side side, F &&f) const noexcept
	Visits levels best-first. F(const Level&) may return bool (false stops) or void.

template<std::size_t N>
TopLevels< N >	top (Side side) const noexcept

bool	crossed () const noexcept

Duration	crossed_for (Timestamp now) const noexcept
	How long the book has been crossed as of `now` (zero if not crossed).

bool	truncated (Side side) const noexcept

bool	truncated () const noexcept

bool	has_snapshot () const noexcept

bool	is_valid () const noexcept

std::uint64_t	seq () const noexcept

Timestamp	last_update () const noexcept

const StaticVector< Level, kMaxDepth > &	raw (Side side) const noexcept
	Raw access (worst..best order) for tests/tools.

Static Public Attributes
static constexpr std::size_t	kDepth = kMaxDepth

static constexpr std::size_t	kLinearScan = 16

Constructor & Destructor Documentation

◆ L2Book()

template<std::size_t kMaxDepth = 256>

fastmm::L2Book< kMaxDepth >::L2Book ( )

defaultnoexcept

Member Function Documentation

◆ clear()

template<std::size_t kMaxDepth = 256>

void fastmm::L2Book< kMaxDepth >::clear ( )

inlinenoexcept

◆ apply_level()

template<std::size_t kMaxDepth = 256>

FASTMM_FORCE_INLINE bool fastmm::L2Book< kMaxDepth >::apply_level	(	Side	side,
		Price	price,
		Qty	qty
	)

inlinenoexcept

Sets/updates/deletes (qty == 0) one level.

Returns false if the level was dropped because the side is full and the price is worse than everything stored.

Position such that v[i].price is the first level at-or-better than price when scanning from the worst (front) - i.e. lower_bound in "goodness" order.

Linear scan from the best (back) over the top kLinearScan levels.

< insert after v[i-1]

Bisect the remainder [0, stop): find first index whose price is at-or-better.

< delete of an unknown level: no-op

< worse than everything we hold

< drop the worst level to make room

◆ apply_snapshot()

template<std::size_t kMaxDepth = 256>

void fastmm::L2Book< kMaxDepth >::apply_snapshot	(	std::span< const Level >	bids,
		std::span< const Level >	asks,
		std::uint64_t	seq,
		Timestamp	ts
	)

inlinenoexcept

◆ apply_delta()

template<std::size_t kMaxDepth = 256>

void fastmm::L2Book< kMaxDepth >::apply_delta ( const BookDeltaMsg & d )

inlinenoexcept

Applies a BookDeltaMsg (or snapshot with kSnapshot).

Uses last_update_id as seq and exch_ts (falling back to recv_ts) as the update time.

◆ set_seq()

template<std::size_t kMaxDepth = 256>

void fastmm::L2Book< kMaxDepth >::set_seq ( std::uint64_t s )

inlinenoexcept

◆ set_last_update()

template<std::size_t kMaxDepth = 256>

void fastmm::L2Book< kMaxDepth >::set_last_update ( Timestamp t )

inlinenoexcept

◆ mark_snapshot()

template<std::size_t kMaxDepth = 256>

void fastmm::L2Book< kMaxDepth >::mark_snapshot ( )

inlinenoexcept

◆ best_bid()

template<std::size_t kMaxDepth = 256>

FASTMM_FORCE_INLINE Level fastmm::L2Book< kMaxDepth >::best_bid ( ) const

inlinenoexcept

◆ best_ask()

template<std::size_t kMaxDepth = 256>

FASTMM_FORCE_INLINE Level fastmm::L2Book< kMaxDepth >::best_ask ( ) const

inlinenoexcept

◆ mid()

template<std::size_t kMaxDepth = 256>

Price fastmm::L2Book< kMaxDepth >::mid ( ) const

inlinenoexcept

◆ spread()

template<std::size_t kMaxDepth = 256>

Price fastmm::L2Book< kMaxDepth >::spread ( ) const

inlinenoexcept

◆ level()

template<std::size_t kMaxDepth = 256>

Level fastmm::L2Book< kMaxDepth >::level	(	Side	side,
		std::size_t	i
	)		const

inlinenoexcept

i == 0 is best. Level{} if out of range.

◆ depth() [1/2]

template<std::size_t kMaxDepth = 256>

std::size_t fastmm::L2Book< kMaxDepth >::depth ( Side side ) const

inlinenoexcept

◆ depth() [2/2]

template<std::size_t kMaxDepth = 256>

std::size_t fastmm::L2Book< kMaxDepth >::depth ( ) const

inlinenoexcept

◆ qty_at_or_better()

template<std::size_t kMaxDepth = 256>

Qty fastmm::L2Book< kMaxDepth >::qty_at_or_better	(	Side	side,
		Price	limit
	)		const

inlinenoexcept

Total quantity on side at prices at-or-better than limit.

◆ price_for_qty()

template<std::size_t kMaxDepth = 256>

Price fastmm::L2Book< kMaxDepth >::price_for_qty	(	Side	side,
		Qty	qty
	)		const

inlinenoexcept

Price of the level at which cumulative quantity from the best reaches qty; Price{} if the side is too thin.

◆ for_each_level()

template<std::size_t kMaxDepth = 256>

template<class F >

void fastmm::L2Book< kMaxDepth >::for_each_level	(	Side	side,
		F &&	f
	)		const

inlinenoexcept

Visits levels best-first. F(const Level&) may return bool (false stops) or void.

◆ top()

template<std::size_t kMaxDepth = 256>

template<std::size_t N>

TopLevels< N > fastmm::L2Book< kMaxDepth >::top ( Side side ) const

inlinenoexcept

◆ crossed()

template<std::size_t kMaxDepth = 256>

bool fastmm::L2Book< kMaxDepth >::crossed ( ) const

inlinenoexcept

◆ crossed_for()

template<std::size_t kMaxDepth = 256>

Duration fastmm::L2Book< kMaxDepth >::crossed_for ( Timestamp now ) const

inlinenoexcept

How long the book has been crossed as of now (zero if not crossed).

◆ truncated() [1/2]

template<std::size_t kMaxDepth = 256>

bool fastmm::L2Book< kMaxDepth >::truncated ( Side side ) const

inlinenoexcept

◆ truncated() [2/2]

template<std::size_t kMaxDepth = 256>

bool fastmm::L2Book< kMaxDepth >::truncated ( ) const

inlinenoexcept

◆ has_snapshot()

template<std::size_t kMaxDepth = 256>

bool fastmm::L2Book< kMaxDepth >::has_snapshot ( ) const

inlinenoexcept

◆ is_valid()

template<std::size_t kMaxDepth = 256>

bool fastmm::L2Book< kMaxDepth >::is_valid ( ) const

inlinenoexcept

◆ seq()

template<std::size_t kMaxDepth = 256>

std::uint64_t fastmm::L2Book< kMaxDepth >::seq ( ) const

inlinenoexcept

◆ last_update()

template<std::size_t kMaxDepth = 256>

Timestamp fastmm::L2Book< kMaxDepth >::last_update ( ) const

inlinenoexcept

◆ raw()

template<std::size_t kMaxDepth = 256>

const StaticVector< Level, kMaxDepth > & fastmm::L2Book< kMaxDepth >::raw ( Side side ) const

inlinenoexcept

Raw access (worst..best order) for tests/tools.

Member Data Documentation

◆ kDepth

template<std::size_t kMaxDepth = 256>

constexpr std::size_t fastmm::L2Book< kMaxDepth >::kDepth = kMaxDepth

staticconstexpr

◆ kLinearScan

template<std::size_t kMaxDepth = 256>

constexpr std::size_t fastmm::L2Book< kMaxDepth >::kLinearScan = 16

staticconstexpr

Public Member Functions

Static Public Attributes

Constructor & Destructor Documentation

◆ L2Book()

Member Function Documentation

◆ clear()

◆ apply_level()

◆ apply_snapshot()

◆ apply_delta()

◆ set_seq()

◆ set_last_update()

◆ mark_snapshot()

◆ best_bid()

◆ best_ask()

◆ mid()

◆ spread()

◆ level()

◆ depth() [1/2]

◆ depth() [2/2]

◆ qty_at_or_better()

◆ price_for_qty()

◆ for_each_level()

◆ top()

◆ crossed()

◆ crossed_for()

◆ truncated() [1/2]

◆ truncated() [2/2]

◆ has_snapshot()

◆ is_valid()

◆ seq()

◆ last_update()

◆ raw()

Member Data Documentation

◆ kDepth

◆ kLinearScan