lob::PriceLevel Class Reference

Maintains FIFO resting orders at one price. More...

#include <price_level.hpp>

Public Member Functions
	PriceLevel (Price price)
	Creates an empty level for a single price.
Price	getPrice () const
	Returns the level price.
Order *	getHeadOrder () const
	Returns the first resting order, or nullptr when empty.
Order *	getTailOrder () const
	Returns the last resting order, or nullptr when empty.
std::size_t	getOrderCount () const
	Returns the number of resting orders.
Quantity	getTotalQuantity () const
	Returns the aggregate remaining quantity.
void	addOrder (Order *order)
	Appends an order to the FIFO and updates aggregate state.
void	removeOrder (Order *order)
	Unlinks an order and updates aggregate state.
void	reduceTotalQuantity (Quantity quantity)
	Decreases aggregate quantity after a partial execution.
bool	isEmpty () const
	Returns true when no orders are resting at this price.

Detailed Description

Maintains FIFO resting orders at one price.

Orders are linked intrusively, so appending and removing a known order are constant-time operations. The level also tracks order count and aggregate remaining quantity.

Definition at line 16 of file price_level.hpp.

Constructor & Destructor Documentation

PriceLevel()

lob::PriceLevel::PriceLevel ( Price price )

inlineexplicit

Creates an empty level for a single price.

Definition at line 28 of file price_level.hpp.

Member Function Documentation

getPrice()

Price lob::PriceLevel::getPrice ( ) const

inline

Returns the level price.

Definition at line 31 of file price_level.hpp.

Referenced by lob::OrderBook::captureSnapshot().

getHeadOrder()

Order * lob::PriceLevel::getHeadOrder ( ) const

inline

Returns the first resting order, or nullptr when empty.

Definition at line 33 of file price_level.hpp.

getTailOrder()

Order * lob::PriceLevel::getTailOrder ( ) const

inline

Returns the last resting order, or nullptr when empty.

Definition at line 35 of file price_level.hpp.

getOrderCount()

std::size_t lob::PriceLevel::getOrderCount ( ) const

inline

Returns the number of resting orders.

Definition at line 37 of file price_level.hpp.

Referenced by lob::OrderBook::captureSnapshot().

getTotalQuantity()

Quantity lob::PriceLevel::getTotalQuantity ( ) const

inline

Returns the aggregate remaining quantity.

Definition at line 39 of file price_level.hpp.

Referenced by lob::OrderBook::captureSnapshot().

addOrder()

void lob::PriceLevel::addOrder

(

Order *

order

)

Appends an order to the FIFO and updates aggregate state.

Appends an eligible order and updates FIFO and aggregate state.

Definition at line 9 of file price_level.cpp.

References lob::Order::getPrice(), lob::Order::getPriceLevel(), lob::Quantity::getQuantity(), lob::Order::getRemainingQuantity(), lob::Order::isFullyFilled(), lob::Order::setNextOrder(), lob::Order::setPreviousOrder(), and lob::Order::setPriceLevel().

removeOrder()

void lob::PriceLevel::removeOrder

(

Order *

order

)

Unlinks an order and updates aggregate state.

Unlinks an order in constant time while it is still alive.

Definition at line 41 of file price_level.cpp.

References lob::Order::getNextOrder(), lob::Order::getPreviousOrder(), lob::Order::getPriceLevel(), lob::Quantity::getQuantity(), lob::Order::getRemainingQuantity(), lob::Order::setNextOrder(), lob::Order::setPreviousOrder(), and lob::Order::setPriceLevel().

Referenced by lob::OrderBook::removeOrder().

reduceTotalQuantity()

void lob::PriceLevel::reduceTotalQuantity

(

Quantity

quantity

)

Decreases aggregate quantity after a partial execution.

Applies a partial execution to the aggregate quantity.

Definition at line 70 of file price_level.cpp.

References lob::Quantity::getQuantity().

Referenced by lob::OrderBook::reduceOrder().

isEmpty()

bool lob::PriceLevel::isEmpty

(

)

const

Returns true when no orders are resting at this price.

Definition at line 78 of file price_level.cpp.

Referenced by lob::OrderBook::removeOrder().

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

• include/lob/book/price_level.hpp
• src/book/price_level.cpp