Class OrderBookView

Class Documentation

class OrderBookView

Public Functions

inline OrderBookView(const OrderBook &book)

Constructs a read-only view over the given order book.

double get_depth_volume(bool is_bid, int k) const

Returns the total volume across the top k non-empty levels.

Parameters:

  • is_bid – If true, queries the bid side; otherwise the ask side.

  • k – Number of levels to aggregate.

Returns:

Sum of volume across the top k levels.

double get_vwaa(bool is_bid, int top_n, uint64_t max_age_cap) const

Returns the volume-weighted average age of resting orders across the top top_n levels.

Parameters:

  • is_bid – If true, queries the bid side; otherwise the ask side.

  • top_n – Number of price levels to inspect.

  • max_age_cap – Age is capped at this value (in ticks) to prevent outlier skew.

Returns:

VWAA in ticks, or NAN if no orders are present.

double get_price_at_level(bool is_bid, int k) const

Returns the price at the k-th non-empty level (0-indexed).

Parameters:

  • is_bid – If true, queries the bid side; otherwise the ask side.

  • k – Zero-based level index.

Returns:

Price at level k, or NAN if fewer than k+1 levels exist.

double get_vwap_depth(bool is_bid, int k) const

Returns the volume-weighted average price across the top k levels.

Parameters:

  • is_bid – If true, queries the bid side; otherwise the ask side.

  • k – Number of levels to include in the VWAP calculation.

Returns:

VWAP over the top k levels, or NAN if no volume exists.

double get_vol_at_level(bool is_bid, int k) const

Returns the total volume at the k-th non-empty level (0-indexed).

Parameters:

  • is_bid – If true, queries the bid side; otherwise the ask side.

  • k – Zero-based level index.

Returns:

Volume at level k, or NAN if fewer than k+1 levels exist.

double get_bid_price(int level = 0) const

Returns the bid price at the given level.

Parameters:

level – Zero-based level index (default: best bid).

Returns:

Bid price at level, or NAN if the level does not exist.

double get_ask_price(int level = 0) const

Returns the ask price at the given level.

Parameters:

level – Zero-based level index (default: best ask).

Returns:

Ask price at level, or NAN if the level does not exist.

double get_bid_size(int level = 0) const

Returns the bid volume at the given level.

Parameters:

level – Zero-based level index (default: best bid).

Returns:

Bid volume at level, or NAN if the level does not exist.

double get_ask_size(int level = 0) const

Returns the ask volume at the given level.

Parameters:

level – Zero-based level index (default: best ask).

Returns:

Ask volume at level, or NAN if the level does not exist.

trading::Action get_last_action() const

Returns the action type of the most recently processed event.

trading::TimeStamp get_last_ts() const

Returns the timestamp of the most recently processed event.

trading::Side get_last_trade_side() const

Returns the aggressor side of the most recent trade.

Returns:

The side, or trading::Side::None if the last event was not a trade.

trading::Price get_last_trade_price() const

Returns the price of the most recent trade.

trading::Volume get_last_trade_size() const

Returns the volume of the most recent trade.

int get_bid_depth() const

Returns the number of live (non-zero volume) bid price levels.

int get_ask_depth() const

Returns the number of live (non-zero volume) ask price levels.

double get_mid_price() const

Returns the midpoint between the best bid and best ask.

Returns:

Mid price, or NAN if either side of the book is empty.

double get_spread() const

Returns the spread between the best ask and best bid.

Returns:

Ask minus bid, or NAN if either side of the book is empty.

const trading::Level *get_level(bool is_bid, int level) const

Returns the Level at the level-th non-empty price level (0-indexed).

Note

Level pointers are value-stable for the lifetime of the session.

Parameters:

  • is_bid – If true, queries the bid side; otherwise the ask side.

  • level – Zero-based level index.

Returns:

Pointer to the Level, or nullptr if fewer than level+1 non-empty levels exist.

std::vector<const trading::Order*> get_orders_at_level_snapshot(bool is_bid, int level) const

Returns all resting orders at the level-th non-empty price level, in queue order.

Note

Order pointers are only guaranteed correct for the current tick. See section note above.

Parameters:

  • is_bid – If true, queries the bid side; otherwise the ask side.

  • level – Zero-based level index.

Returns:

Snapshot pointers to each Order at that level, or empty if the level does not exist.

std::vector<const trading::Order*> get_orders_at_level_snapshot(const trading::Level *level) const

Returns all resting orders at the given Level, in queue order.

Note

Order pointers are only guaranteed correct for the current tick. See section note above.

Parameters:

level – Pointer to a Level object; accepts nullptr (e.g. as returned by get_level).

Returns:

Snapshot pointers to each Order at that level, or empty if level is nullptr.

const trading::Order *get_order_snapshot(trading::OrderId id) const

Looks up a resting order by its order ID.

Note

Order pointers are only guaranteed correct for the current tick. See section note above.

Parameters:

id – The order ID to search for.

Returns:

Snapshot pointer to the Order if currently resting in the book, otherwise nullptr.