fastmm::DesiredQuotes Struct Reference

#include <fastmm/core/quote_manager.hpp>

Public Member Functions
void	clear () noexcept
VenueId	account (Side s, std::uint32_t lvl) const noexcept
const StaticVector< Level, kMaxQuoteLevels > &	side (Side s) const noexcept
bool	empty () const noexcept
bool	bid (Price px, Qty qty) noexcept
	Append the next level of a side (index 0 first).
bool	ask (Price px, Qty qty) noexcept
void	uncross (Price tick) noexcept
	Never cross ourselves at level 0: an ask at or below the best bid moves one tick above it.

Public Attributes
StaticVector< Level, kMaxQuoteLevels >	bids
	index 0 = closest to mid
StaticVector< Level, kMaxQuoteLevels >	asks
std::array< VenueId, kMaxQuoteLevels >	bid_account {}
	The pool account a level's order goes from (NewOrderRequest::account); invalid = the engine's automatic routing.
std::array< VenueId, kMaxQuoteLevels >	ask_account {}

Member Function Documentation

clear()

void fastmm::DesiredQuotes::clear ( )

inlinenoexcept

account()

VenueId fastmm::DesiredQuotes::account ( Side  s, std::uint32_t  lvl  ) const

inlinenoexcept

side()

const StaticVector< Level, kMaxQuoteLevels > & fastmm::DesiredQuotes::side ( Side  s ) const

inlinenoexcept

empty()

bool fastmm::DesiredQuotes::empty ( ) const

inlinenoexcept

bid()

bool fastmm::DesiredQuotes::bid ( Price  px, Qty  qty  )

inlinenoexcept

Append the next level of a side (index 0 first).

A non-positive price or quantity is dropped, as is a level beyond kMaxQuoteLevels; returns whether the level was added.

ask()

bool fastmm::DesiredQuotes::ask ( Price  px, Qty  qty  )

inlinenoexcept

uncross()

void fastmm::DesiredQuotes::uncross ( Price  tick )

inlinenoexcept

Never cross ourselves at level 0: an ask at or below the best bid moves one tick above it.

Member Data Documentation

bids

StaticVector<Level, kMaxQuoteLevels> fastmm::DesiredQuotes::bids

index 0 = closest to mid

asks

StaticVector<Level, kMaxQuoteLevels> fastmm::DesiredQuotes::asks

bid_account

std::array<VenueId, kMaxQuoteLevels> fastmm::DesiredQuotes::bid_account {}

The pool account a level's order goes from (NewOrderRequest::account); invalid = the engine's automatic routing.

A resting order on another account is cancelled and placed again.

ask_account

std::array<VenueId, kMaxQuoteLevels> fastmm::DesiredQuotes::ask_account {}