order_event.hpp File Reference

Defines event-first order command payloads and dispatch types. More...

#include "lob/order/order_side.hpp"
#include "lob/order/order_type.hpp"
#include "lob/types/order_id.hpp"
#include "lob/types/price.hpp"
#include "lob/types/quantity.hpp"
#include "lob/types/timestamp.hpp"
#include <variant>

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Classes
struct	lob::NewOrder
	Payload for accepting a new order. More...
struct	lob::CancelOrder
	Payload for removing an existing resting order. More...
struct	lob::ReduceOrder
	Payload for shrinking a resting order without losing priority. More...
class	lob::OrderEvent
	Type-safe event-first command for the matching engine. More...

Enumerations
enum class	lob::OrderEventType { NEW , CANCEL , REDUCE }
	Operation selected before an event payload is interpreted. More...

Detailed Description

Defines event-first order command payloads and dispatch types.

Definition in file order_event.hpp.

Enumeration Type Documentation

OrderEventType

enum class lob::OrderEventType

strong

Operation selected before an event payload is interpreted.

These are the three primitives a price-time-priority venue actually exposes. There is deliberately no in-place modify: a reprice or a size increase always forfeits time priority, so it is expressed as CANCEL followed by NEW, which also routes it through the matcher. REDUCE is the only change that keeps a resting order's queue position.

Definition at line 29 of file order_event.hpp.