Order book price level aggregator. More...

Detailed Description

template<typename _Traits, typename _Traits::SideType _Side>
class b2bits::Aggregator< _Traits, _Side >

Order book price level aggregator.

Maintains aggregated price levels for one side of an order book (buy or sell). The aggregator keeps the best N price levels (configured at construction) and tracks additional levels beyond that depth in a separate overflow set.

Key operations:

add_order: Add quantity at a price (creates level if needed)
reduce_qty: Remove quantity from a price (removes level if zero)
modify: Change order price and/or quantity atomically
play: Replay all current levels to a handler

The aggregator automatically:

Sorts levels by best price first
Promotes overflow levels when top levels are removed
Notifies handlers of all level changes
Maintains order counts at each level

Template Parameters

_Traits	Book traits defining types (PriceType, QtyType, etc.)
_Side	Side character: 'B' for buy, 'S' for sell

Note: Non-copyable: Aggregator cannot be copied; Maximum depth is fixed at construction

Example:: using BookTraits = DefaultBookTraits;

// Buy side aggregator with depth=10

Aggregator<BookTraits, 'B'> buy_book(10);

// Add orders

buy_book.add_order([](auto ts, auto& update) {

std::cout << "Level " << update.index_

<< " @ " << update.price_

<< " = " << update.qty_ << "\n";

}, price, quantity, timestamp);

// Reduce quantity

buy_book.reduce_qty(handler, price, qty_to_remove, order_removed, ts);

b2bits::DefaultBookTraits
Default traits for order book.
Definition Aggregator.h:83

#include <core/src/Aggregator.h>

Public Types
using	Traits = _Traits
	Book traits type.
using	PriceType = typename Traits::PriceType
	Price type.
using	QtyType = typename Traits::QtyType
	Quantity type.
using	CounterType = typename Traits::CounterType
	Order counter type.
using	Timestamp = typename Traits::Timestamp
	Timestamp type.

Public Member Functions
	Aggregator (std::uint16_t depth=5)
	Construct aggregator with specified depth.
void	clear ()
	Clear all price levels.
template<class Handler>
void	play (Handler &&handler) const
	Replay all current levels to handler.
template<class Handler>
void	add_order (Handler &&handler, PriceType price, QtyType qty, Timestamp timestamp=0)
	Add order quantity at a price.
template<class Handler>
void	reduce_qty (Handler &&handler, PriceType price, QtyType qty, bool order_removed, Timestamp timestamp=0)
	Reduce quantity at a price.
template<class Handler>
void	modify (Handler &&handler, PriceType old_price, PriceType new_price, QtyType old_qty, QtyType new_qty, Timestamp timestamp=0)
	Modify an order (change price and/or quantity).
void	reset ()
	Reset aggregator to initial state.

Member Typedef Documentation

◆ CounterType

template<typename _Traits, typename _Traits::SideType _Side>

using b2bits::Aggregator< _Traits, _Side >::CounterType = typename Traits::CounterType

Order counter type.

◆ PriceType

template<typename _Traits, typename _Traits::SideType _Side>

using b2bits::Aggregator< _Traits, _Side >::PriceType = typename Traits::PriceType

Price type.

◆ QtyType

template<typename _Traits, typename _Traits::SideType _Side>

using b2bits::Aggregator< _Traits, _Side >::QtyType = typename Traits::QtyType

Quantity type.

◆ Timestamp

template<typename _Traits, typename _Traits::SideType _Side>

using b2bits::Aggregator< _Traits, _Side >::Timestamp = typename Traits::Timestamp

Timestamp type.

◆ Traits

template<typename _Traits, typename _Traits::SideType _Side>

using b2bits::Aggregator< _Traits, _Side >::Traits = _Traits

Book traits type.

Constructor & Destructor Documentation

◆ Aggregator()

template<typename _Traits, typename _Traits::SideType _Side>

b2bits::Aggregator< _Traits, _Side >::Aggregator ( std::uint16_t depth = 5 )

inline

Construct aggregator with specified depth.

Creates an aggregator that maintains up to 'depth' price levels. Additional levels beyond this depth are tracked in overflow storage.

Parameters

depth Maximum number of price levels to maintain (default: 5)

Member Function Documentation

◆ add_order()

template<typename _Traits, typename _Traits::SideType _Side>

template<class Handler>

void b2bits::Aggregator< _Traits, _Side >::add_order	(	Handler &&	handler,
		PriceType	price,
		QtyType	qty,
		Timestamp	timestamp = 0 )

inline

Add order quantity at a price.

Adds the specified quantity to the order book at the given price. If the price level exists, quantity and order count are incremented. If it's a new price, a level is created (potentially causing level shifts).

The handler is invoked for:

New level creation (UpdateEvent::New)
Quantity update at existing level (UpdateEvent::Update)

Template Parameters

Handler Handler type: void(Timestamp, const LevelUpdateEvent&)

Parameters

handler	Handler to receive update events
price	Price to add quantity at
qty	Quantity to add
timestamp	Event timestamp (default: 0)

Note: If price is beyond max_depth, it's added to overflow storage; Handler is called for each level change (may be multiple calls)

References b2bits::LevelUpdateEvent< _Traits >::New, and b2bits::LevelUpdateEvent< _Traits >::Update.

Referenced by modify().

◆ clear()

template<typename _Traits, typename _Traits::SideType _Side>

void b2bits::Aggregator< _Traits, _Side >::clear ( )

inline

Clear all price levels.

Removes all levels and resets the aggregator to empty state.

◆ modify()

template<typename _Traits, typename _Traits::SideType _Side>

template<class Handler>

void b2bits::Aggregator< _Traits, _Side >::modify	(	Handler &&	handler,
		PriceType	old_price,
		PriceType	new_price,
		QtyType	old_qty,
		QtyType	new_qty,
		Timestamp	timestamp = 0 )

inline

Modify an order (change price and/or quantity).

Atomically changes an order from old price/quantity to new price/quantity. If possible, the level is modified in-place. Otherwise, the old quantity is reduced and new quantity is added (equivalent to cancel + add).

Optimization: If only quantity changes (same price), performs efficient update.

Template Parameters

Handler Handler type: void(Timestamp, const LevelUpdateEvent&)

Parameters

handler	Handler to receive update events
old_price	Previous order price
new_price	New order price
old_qty	Previous order quantity
new_qty	New order quantity
timestamp	Event timestamp (default: 0)

Note: May result in reduce_qty + add_order if in-place modification impossible

References add_order(), reduce_qty(), and b2bits::LevelUpdateEvent< _Traits >::Update.

◆ play()

template<typename _Traits, typename _Traits::SideType _Side>

template<class Handler>

void b2bits::Aggregator< _Traits, _Side >::play ( Handler && handler ) const

inline

Replay all current levels to handler.

Iterates through all active price levels (0 to depth-1) and invokes the handler with a "New" event for each level. Useful for snapshot generation or initial state transmission.

Template Parameters

Handler Handler type: void(Timestamp, const LevelUpdateEvent&)

Parameters

handler Handler to receive level events

◆ reduce_qty()

template<typename _Traits, typename _Traits::SideType _Side>

template<class Handler>

void b2bits::Aggregator< _Traits, _Side >::reduce_qty	(	Handler &&	handler,
		PriceType	price,
		QtyType	qty,
		bool	order_removed,
		Timestamp	timestamp = 0 )

inline

Reduce quantity at a price.

Removes the specified quantity from the order book at the given price. If an order is removed (order_removed=true), the order count is decremented. If quantity reaches zero, the level is removed and overflow levels may be promoted.

The handler is invoked for:

Quantity update (UpdateEvent::Update)
Level removal (UpdateEvent::Remove)
Overflow level promotion (UpdateEvent::New)

Template Parameters

Handler Handler type: void(Timestamp, const LevelUpdateEvent&)

Parameters

handler	Handler to receive update events
price	Price to reduce quantity at
qty	Quantity to remove
order_removed	If true, decrement order count
timestamp	Event timestamp (default: 0)

Note: Multiple handler calls may occur for level removal and promotion

References b2bits::LevelUpdateEvent< _Traits >::Remove, and b2bits::LevelUpdateEvent< _Traits >::Update.

Referenced by modify().

◆ reset()

template<typename _Traits, typename _Traits::SideType _Side>

void b2bits::Aggregator< _Traits, _Side >::reset ( )

inline

Reset aggregator to initial state.

Clears all levels and overflow storage, resetting depth to zero. Similar to clear() but reinitializes the levels vector.

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

core/src/Aggregator.h

Detailed Description

Public Types

Public Member Functions

Member Typedef Documentation

◆ CounterType

◆ PriceType

◆ QtyType

◆ Timestamp

◆ Traits

Constructor & Destructor Documentation

◆ Aggregator()

Member Function Documentation

◆ add_order()

◆ clear()

◆ modify()

◆ play()

◆ reduce_qty()

◆ reset()