Owns resting limit orders and maintains their book indexes. More...

#include <order_book.hpp>

Public Member Functions
	OrderBook ()
	Creates an order book with a small default price range.
	OrderBook (Price minPrice, Price tickSize, std::size_t levelCount)
	Creates an order book with an explicitly sized price ladder.
	OrderBook (const OrderBook &)=delete
OrderBook &	operator= (const OrderBook &)=delete
	OrderBook (OrderBook &&)=delete
OrderBook &	operator= (OrderBook &&)=delete
Order *	addOrder (OrderId orderId, Price price, Quantity quantity, Timestamp timestamp, OrderSide orderSide, OrderType orderType, SequenceNumber sequenceNumber)
	Adds a valid resting limit order to the appropriate side.
Order *	addRestingRemainder (OrderId orderId, Price price, Quantity originalQuantity, Quantity remainingQuantity, Timestamp timestamp, OrderSide orderSide, OrderType orderType, SequenceNumber sequenceNumber)
	Adds a partially filled limit order while preserving its history.
bool	cancelOrder (const OrderId &orderId)
	Removes a resting order by ID.
bool	reduceOrder (const OrderId &orderId, Quantity newQuantity)
	Shrinks a resting order in place, preserving its priority.
void	removeOrder (Order *order)
	Removes a currently resting order from every book structure.
Order *	findOrder (const OrderId &orderId)
	Finds an order by ID, or returns nullptr when absent.
const Order *	findOrder (const OrderId &orderId) const
	Finds an order by ID without allowing mutation.
PriceLevel *	getBestBid ()
	Returns the mutable highest-priced bid level.
PriceLevel *	getBestAsk ()
	Returns the mutable lowest-priced ask level.
const PriceLevel *	getBestBid () const
	Returns the best bid level for read-only inspection.
const PriceLevel *	getBestAsk () const
	Returns the best ask level for read-only inspection.
std::size_t	getBidLevelCount () const
	Returns the number of occupied bid price levels.
std::size_t	getAskLevelCount () const
	Returns the number of occupied ask price levels.
void	reserveOrderCapacity (std::size_t orderCount)
	Pre-allocates order storage and index capacity for up to `orderCount` live orders.
void	captureSnapshot (BookSnapshot &out, std::size_t depth) const
	Fills `out` with the top `depth` levels of each side.

Static Public Attributes
static constexpr std::size_t	DefaultLevelCount = 65536
	Number of representable price levels used by the default constructor.

Detailed Description

Owns resting limit orders and maintains their book indexes.

OrderBook owns Order storage through OrderPool. OrderIndex and PriceLevel objects hold non-owning references to those orders. Matching decisions are made by MatchingEngine; this class maintains synchronized book state.

Bid and ask levels are tick-indexed arrays (PriceLadder), not ordered maps: a price is an index, not a search key, so both adding a level and finding the best one are array operations rather than a tree allocation and a tree descent. That requires a bounded, pre-configured price range; see the two-argument constructor.

Definition at line 29 of file order_book.hpp.

Constructor & Destructor Documentation

◆ OrderBook() [1/2]

lob::OrderBook::OrderBook ( )

Creates an order book with a small default price range.

The default range and tick (integer prices 1 through 65536, tick 1) exist for tests and examples that do not care about the ladder's configuration. A real instrument should use the explicit constructor, sized to its actual tick size and trading range, and call it once at startup: the ladder never grows after construction.

See the header for why 65536 levels of tick 1 starting at 1 are adequate defaults for tests and examples only.

Definition at line 8 of file order_book.cpp.

References DefaultLevelCount, and OrderBook().

Referenced by OrderBook().

◆ OrderBook() [2/2]

lob::OrderBook::OrderBook	(	Price	minPrice,
		Price	tickSize,
		std::size_t	levelCount )

Creates an order book with an explicitly sized price ladder.

Parameters

minPrice	Lowest representable price on either side.
tickSize	Price increment between adjacent levels.
levelCount	Number of representable price levels.

Exceptions

std::invalid_argument for an invalid or overflowing range.

Definition at line 10 of file order_book.cpp.

Member Function Documentation

◆ addOrder()

Order * lob::OrderBook::addOrder	(	OrderId	orderId,
		Price	price,
		Quantity	quantity,
		Timestamp	timestamp,
		OrderSide	orderSide,
		OrderType	orderType,
		SequenceNumber	sequenceNumber )

Adds a valid resting limit order to the appropriate side.

The book allocates the order, links it into the side's PriceLevel FIFO, and registers it in OrderIndex. If any step fails, all earlier state is rolled back before the pool slot is released.

Returns: The stable address of the newly stored order.

Exceptions

std::invalid_argument	if the order is invalid or not a limit.
std::logic_error	if the order ID already exists.

A new order starts with equal original and remaining quantities. The shared insertion helper provides the same transactional guarantees as remainder insertion while keeping the public API concise.

Definition at line 19 of file order_book.cpp.

◆ addRestingRemainder()

Order * lob::OrderBook::addRestingRemainder	(	OrderId	orderId,
		Price	price,
		Quantity	originalQuantity,
		Quantity	remainingQuantity,
		Timestamp	timestamp,
		OrderSide	orderSide,
		OrderType	orderType,
		SequenceNumber	sequenceNumber )

Adds a partially filled limit order while preserving its history.

This is used when MatchingEngine has executed part of an incoming order. The stored order retains the submitted quantity as originalQuantity and enters the book with only remainingQuantity available.

Parameters

originalQuantity	Quantity submitted before any executions.
remainingQuantity	Quantity still available to execute.

Exceptions

std::invalid_argument if remainingQuantity is zero, exceeds the original quantity, or the order is otherwise invalid.

The original quantity is preserved for audit and lifecycle semantics; only the remaining quantity is placed into the level aggregate.

Definition at line 30 of file order_book.cpp.

◆ cancelOrder()

bool lob::OrderBook::cancelOrder ( const OrderId & orderId )

Removes a resting order by ID.

Returns: false when no order with the ID is present; true after removal.

Removal is delegated to removeOrder(Order*) so the PriceLevel, OrderIndex, and OrderPool remain synchronized.

Looks up the order, then delegates all structural cleanup to removeOrder().

Definition at line 97 of file order_book.cpp.

References removeOrder().

◆ reduceOrder()

bool lob::OrderBook::reduceOrder	(	const OrderId &	orderId,
		Quantity	newQuantity )

Shrinks a resting order in place, preserving its priority.

The order keeps its price, its FIFO position, and its sequence number; only its remaining quantity and the level aggregate change. This is the sole modification that does not forfeit time priority, which is why repricing and size increases are expressed as a cancel followed by a new order rather than handled here.

A missing order is reported rather than thrown: a replayed feed may reference an order that was resting before the captured window began.

Returns: false when the order is absent; true after the reduction.

Exceptions

std::invalid_argument if newQuantity is zero or above the order's current remaining quantity.

The order is resolved once and mutated where it lies. Because the price is unchanged the order cannot move between levels, so no relinking, no level lookup, and no sequence number are involved.

Definition at line 111 of file order_book.cpp.

References lob::Order::getPriceLevel(), lob::Quantity::getQuantity(), lob::Order::getRemainingQuantity(), lob::PriceLevel::reduceTotalQuantity(), and lob::Order::setRemainingQuantity().

◆ removeOrder()

void lob::OrderBook::removeOrder ( Order * order )

Removes a currently resting order from every book structure.

The order is unlinked from its FIFO and its empty PriceLevel is erased before its index entry and pool storage are released. The caller must not use the pointer after this function returns.

This is the single removal path used by cancellation and matching. It removes non-owning references while the Order is alive, then destroys and recycles the object through OrderPool.

Order already carries a direct pointer to its PriceLevel, set when it was inserted, so removal uses that pointer instead of independently re-deriving the level from price through the ladder. PriceLevel::removeOrder still checks that the order actually belongs to the level it names, which is the same identity check a map-based re-lookup would have produced; the ladder-based lookup here would only have been useful for detecting a corrupted Order::priceLevel pointer, at the cost of a lookup on every removal to guard against a case OrderPool's own invariants already rule out.

Definition at line 146 of file order_book.cpp.

References lob::Order::getOrderId(), lob::Order::getPrice(), lob::Order::getPriceLevel(), lob::Order::isBuy(), lob::PriceLevel::isEmpty(), lob::PriceLadder::markEmpty(), and lob::PriceLevel::removeOrder().

Referenced by cancelOrder().

◆ findOrder() [1/2]

Order * lob::OrderBook::findOrder ( const OrderId & orderId )

Finds an order by ID, or returns nullptr when absent.

Definition at line 169 of file order_book.cpp.

◆ findOrder() [2/2]

const Order * lob::OrderBook::findOrder ( const OrderId & orderId ) const

Finds an order by ID without allowing mutation.

Definition at line 173 of file order_book.cpp.

◆ getBestBid() [1/2]

PriceLevel * lob::OrderBook::getBestBid ( )

Returns the mutable highest-priced bid level.

Returns: The best bid level, or nullptr when no bids are resting.

Definition at line 177 of file order_book.cpp.

◆ getBestAsk() [1/2]

PriceLevel * lob::OrderBook::getBestAsk ( )

Returns the mutable lowest-priced ask level.

Returns: The best ask level, or nullptr when no asks are resting.

Definition at line 181 of file order_book.cpp.

◆ getBestBid() [2/2]

const PriceLevel * lob::OrderBook::getBestBid ( ) const

Returns the best bid level for read-only inspection.

Definition at line 185 of file order_book.cpp.

◆ getBestAsk() [2/2]

const PriceLevel * lob::OrderBook::getBestAsk ( ) const

Returns the best ask level for read-only inspection.

Definition at line 189 of file order_book.cpp.

◆ getBidLevelCount()

std::size_t lob::OrderBook::getBidLevelCount ( ) const

inline

Returns the number of occupied bid price levels.

Definition at line 147 of file order_book.hpp.

◆ getAskLevelCount()

std::size_t lob::OrderBook::getAskLevelCount ( ) const

inline

Returns the number of occupied ask price levels.

Definition at line 149 of file order_book.hpp.

◆ reserveOrderCapacity()

void lob::OrderBook::reserveOrderCapacity ( std::size_t orderCount )

Pre-allocates order storage and index capacity for up to orderCount live orders.

See OrderPool::reserve(), OrderIndex::reserve(), and ARCH_DECISIONS.md ADR-008. Call once, before trading begins.

Definition at line 193 of file order_book.cpp.

◆ captureSnapshot()

void lob::OrderBook::captureSnapshot	(	BookSnapshot &	out,
		std::size_t	depth ) const

Fills out with the top depth levels of each side.

Read-only, and deliberately not called from anywhere inside the matching path: a caller captures this between events so that nothing a snapshot consumer needs can ever execute inside processEvent(). out is reused rather than returned by value, so a caller snapshotting repeatedly stops allocating once its vectors reach steady-state capacity — the same reasoning as the execution buffer in ADR-005.

Walks each ladder outward from the touch via PriceLadder::forEachOccupied(), which visits levels in price priority without sorting because "best" is the lowest occupied index on both sides. Nothing here mutates book state, and no caller inside the matching path invokes it.

Definition at line 205 of file order_book.cpp.

References lob::BookSnapshot::bestAskRaw, lob::BookSnapshot::bestBidRaw, lob::BookSnapshot::bidLevelCount, lob::BookSnapshot::bids, lob::PriceLevel::getOrderCount(), lob::Price::getPrice(), lob::PriceLevel::getPrice(), lob::Quantity::getQuantity(), and lob::PriceLevel::getTotalQuantity().

Member Data Documentation

◆ DefaultLevelCount

std::size_t lob::OrderBook::DefaultLevelCount = 65536

staticconstexpr

Number of representable price levels used by the default constructor.

Definition at line 32 of file order_book.hpp.

Referenced by OrderBook().

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

include/lob/book/order_book.hpp
src/book/order_book.cpp

Public Member Functions

Static Public Attributes

Detailed Description

Constructor & Destructor Documentation

◆ OrderBook() [1/2]

◆ OrderBook() [2/2]

Member Function Documentation

◆ addOrder()

◆ addRestingRemainder()

◆ cancelOrder()

◆ reduceOrder()

◆ removeOrder()

◆ findOrder() [1/2]

◆ findOrder() [2/2]

◆ getBestBid() [1/2]

◆ getBestAsk() [1/2]

◆ getBestBid() [2/2]

◆ getBestAsk() [2/2]

◆ getBidLevelCount()

◆ getAskLevelCount()

◆ reserveOrderCapacity()

◆ captureSnapshot()

Member Data Documentation

◆ DefaultLevelCount