b2bits::nasdaq::itch50::Instrument Class Reference

Represents a single trading instrument and its order book. More...

Detailed Description

Represents a single trading instrument and its order book.

The Instrument class maintains the complete state of an order book, including:

• All active orders (order-level detail)
• Aggregated price levels (buy/sell sides)
• Instrument metadata (directory, events, state)
• System events and trading state

Supports both order-level and aggregated views of the market. In aggregated mode, the class maintains price-level quantities. In order-level mode, individual orders are tracked.

Note

Thread-safety: Not thread-safe. Must be accessed from single thread.

See also

Session

BookTraits

#include <nasdaq/itch50/Instrument.h>

Classes
struct	Order
	Represents a single order in the order book. More...

Public Types
using	BookLevelUpdate = LevelUpdateEvent<BookTraits>
	Type alias for aggregated book level updates.
using	OrderMap = std::unordered_map<std::uint32_t, Order>
	Map of order reference number to Order.

Public Member Functions
	Instrument (std::int32_t session_id, const OrderbookDirectory *directory, std::uint16_t market_depth, std::any &&cookie=std::any{})
	Construct a new Instrument.
std::int32_t	get_id () const noexcept
	Get session-local instrument ID.
std::uint32_t	get_qty_multiplier () const
	Get quantity multiplier for this instrument.
std::uint32_t	get_orderbook_id () const noexcept
	Get NASDAQ orderbook ID.
const OrderbookDirectory *	get_orderbook_directory () const noexcept
	Get instrument directory information.
const SystemEvent *	get_system_event () const noexcept
	Get most recent system event for this instrument.
const OrderBookState *	get_order_book_state () const noexcept
	Get most recent order book state for this instrument.
const VolumeUpdate *	get_volume_update () const noexcept
	Get most recent volume update for this instrument.
bool	mmm_enabled () const noexcept
	Check if Market Maker Mode (MMM) is enabled.
template<class T>
T *	get_cookie () const noexcept
	Get user-defined cookie data.
void	apply (const OrderbookDirectory &msg)
	Apply orderbook directory update.
void	apply (const SystemEvent &msg)
	Apply system event update.
void	apply (const OrderBookState &msg)
	Apply order book state update.
void	apply (const VolumeUpdate &msg)
	Apply volume update.
template<class Handler>
void	process (Handler &&h, std::uint64_t sn, const AddOrder *msg, bool)
	Process add order message.
template<class Handler>
void	process (Handler &&h, std::uint64_t sn, const OrderExecuted *msg, bool)
	Process order executed message.
template<class Handler>
void	process (Handler &&h, std::uint64_t sn, const OrderExecutedWithPrice *msg, bool)
	Process order executed with price message.
template<class Handler>
void	process (Handler &&h, std::uint64_t sn, const OrderCancelMessage *msg, bool)
	Process order cancel message.
template<class Handler>
void	process (Handler &&h, std::uint64_t sn, const OrderReplace *msg, bool)
	Process order replace message (ITCH 5.0).
template<class Handler>
void	play_orders (Handler &&handler)
	Replay all active orders to a handler.
template<class Handler>
void	play_book (Handler &&handler)
	Replay aggregated book levels to a handler.
void	clear ()
	Clear all order book state.
template<class Handler, class M>
void	process_order_executed (Handler &&h, std::uint64_t sn, const M *msg, bool mode_aggregated)

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Class Documentation

b2bits::nasdaq::itch50::Instrument::Order

struct b2bits::nasdaq::itch50::Instrument::Order

Represents a single order in the order book.

Contains all ITCH 5.0 order attributes including price, quantity, side, timestamps, and order characteristics (type, time-in-force).

Class Members
OrderType	order_type_ = OrderType::Limit	Order type: Market, Limit, StopLimit (ITCH 5.0).
Price	price_ = 0	Order limit price.
QtyType	qty_ = 0	Remaining order quantity.
Side	side_	Order side (Buy/Sell).
TimeInForce	time_in_force_ = TimeInForce::Day	Time-in-force: Day, GTC, IOC, FOK (ITCH 5.0).
Timestamp	timestamp_ = 0	Order entry timestamp (nanoseconds).
uint32_t	transaction_id_	Associated transaction ID.
uint32_t	yield_	Yield (for fixed income instruments).

Member Typedef Documentation

BookLevelUpdate

using b2bits::nasdaq::itch50::Instrument::BookLevelUpdate = LevelUpdateEvent<BookTraits>

Type alias for aggregated book level updates.

OrderMap

using b2bits::nasdaq::itch50::Instrument::OrderMap = std::unordered_map<std::uint32_t, Order>

Map of order reference number to Order.

Constructor & Destructor Documentation

Instrument()

b2bits::nasdaq::itch50::Instrument::Instrument ( std::int32_t session_id, const OrderbookDirectory * directory, std::uint16_t market_depth, std::any && cookie = std::any{} )

inline

Construct a new Instrument.

Initializes the instrument with the given directory information, configures the aggregated book depth, and optionally stores user-defined cookie data.

Parameters

session_id	Session-local instrument identifier
directory	Instrument definition from directory message
market_depth	Maximum depth of aggregated book (number of price levels)
cookie	Optional user-defined data associated with this instrument

Member Function Documentation

apply() [1/4]

void b2bits::nasdaq::itch50::Instrument::apply ( const OrderbookDirectory & msg )

inline

Apply orderbook directory update.

Parameters

msg	Directory message with updated instrument information

apply() [2/4]

void b2bits::nasdaq::itch50::Instrument::apply ( const OrderBookState & msg )

inline

Apply order book state update.

Parameters

msg	Order book state message

apply() [3/4]

void b2bits::nasdaq::itch50::Instrument::apply ( const SystemEvent & msg )

inline

Apply system event update.

Parameters

msg	System event message

apply() [4/4]

void b2bits::nasdaq::itch50::Instrument::apply ( const VolumeUpdate & msg )

inline

Apply volume update.

Parameters

msg	Volume update message

clear()

void b2bits::nasdaq::itch50::Instrument::clear ( )

inline

Clear all order book state.

Removes all orders and resets aggregated book levels. Typically called when starting recovery or during session reset.

get_cookie()

template<class T>

T * b2bits::nasdaq::itch50::Instrument::get_cookie ( ) const

inlinenoexcept

Get user-defined cookie data.

Retrieves the user-defined data that was associated with this instrument during construction or via add_instrument().

Template Parameters

T	Type of the cookie (must not be a pointer type)

Returns

Pointer to cookie data, or nullptr if type mismatch

Note

The type T must match the type used when storing the cookie

get_id()

std::int32_t b2bits::nasdaq::itch50::Instrument::get_id ( ) const

inlinenoexcept

Get session-local instrument ID.

Returns

Instrument identifier unique within this session

get_order_book_state()

const OrderBookState * b2bits::nasdaq::itch50::Instrument::get_order_book_state ( ) const

inlinenoexcept

Get most recent order book state for this instrument.

Returns

Pointer to order book state message, or nullptr if no state received

References b2bits::nasdaq::MessageHeader::get_type().

get_orderbook_directory()

const OrderbookDirectory * b2bits::nasdaq::itch50::Instrument::get_orderbook_directory ( ) const

inlinenoexcept

Get instrument directory information.

Returns

Pointer to orderbook directory message

Referenced by get_orderbook_id().

get_orderbook_id()

std::uint32_t b2bits::nasdaq::itch50::Instrument::get_orderbook_id ( ) const

inlinenoexcept

Get NASDAQ orderbook ID.

Returns

Unique orderbook identifier assigned by NASDAQ

References get_orderbook_directory(), and b2bits::nasdaq::itch50::OrderbookDirectory::get_orderbook_id().

Referenced by play_orders(), process(), process(), process(), and process_order_executed().

get_qty_multiplier()

std::uint32_t b2bits::nasdaq::itch50::Instrument::get_qty_multiplier ( ) const

inline

Get quantity multiplier for this instrument.

The quantity multiplier is used to convert displayed quantities to actual contract quantities (e.g., for bonds traded in lots).

Returns

Quantity multiplier from instrument directory

get_system_event()

const SystemEvent * b2bits::nasdaq::itch50::Instrument::get_system_event ( ) const

inlinenoexcept

Get most recent system event for this instrument.

Returns

Pointer to system event message, or nullptr if no event received

References b2bits::nasdaq::MessageHeader::get_type().

get_volume_update()

const VolumeUpdate * b2bits::nasdaq::itch50::Instrument::get_volume_update ( ) const

inlinenoexcept

Get most recent volume update for this instrument.

Returns

Pointer to volume update message, or nullptr if no update received

References b2bits::nasdaq::MessageHeader::get_type().

mmm_enabled()

bool b2bits::nasdaq::itch50::Instrument::mmm_enabled ( ) const

inlinenoexcept

Check if Market Maker Mode (MMM) is enabled.

Market Maker Mode allows additional trading features for registered market makers.

Returns

true if MMM is enabled for this instrument

References b2bits::nasdaq::itch50::MMMEnabled.

play_book()

template<class Handler>

void b2bits::nasdaq::itch50::Instrument::play_book

(

Handler &&

handler

)

Replay aggregated book levels to a handler.

Iterates through all price levels in the aggregated book (both buy and sell sides) and invokes the handler for each level.

Template Parameters

Handler

Type of the replay handler

Parameters

handler

Handler to receive book level information

play_orders()

template<class Handler>

void b2bits::nasdaq::itch50::Instrument::play_orders

(

Handler &&

handler

)

Replay all active orders to a handler.

Iterates through all orders currently in the order book and invokes the handler for each one. Useful for snapshot generation or state reconstruction.

Template Parameters

Handler

Type of the replay handler

Parameters

handler

Handler to receive order information

References get_orderbook_id(), b2bits::nasdaq::itch50::AddOrder::set_order_reference_number(), b2bits::nasdaq::itch50::AddOrder::set_order_type(), b2bits::nasdaq::itch50::AddOrder::set_orderbook_id(), b2bits::nasdaq::itch50::AddOrder::set_price(), b2bits::nasdaq::itch50::AddOrder::set_quantity(), b2bits::nasdaq::itch50::AddOrder::set_side(), b2bits::nasdaq::itch50::AddOrder::set_time_in_force(), b2bits::nasdaq::itch50::AddOrder::set_timestamp(), b2bits::nasdaq::itch50::AddOrder::set_transaction_id(), and b2bits::nasdaq::itch50::AddOrder::set_yield().

process() [1/5]

template<class Handler>

void b2bits::nasdaq::itch50::Instrument::process	(	Handler &&	h,
		std::uint64_t	sn,
		const AddOrder *	msg,
		bool	mode_aggregated )

Process add order message.

Adds a new order to the order book and updates aggregated levels if in aggregated mode.

Template Parameters

Handler

Type of the event handler

Parameters

h	Event handler to notify of changes
sn	Sequence number of the message
msg	Add order message
[parameter	description for bool - typically aggregated mode flag]

References b2bits::nasdaq::itch50::AddOrder::get_order_reference_number(), b2bits::nasdaq::itch50::AddOrder::get_order_type(), get_orderbook_id(), b2bits::nasdaq::itch50::AddOrder::get_price(), b2bits::nasdaq::itch50::AddOrder::get_quantity(), b2bits::nasdaq::itch50::AddOrder::get_side(), b2bits::nasdaq::itch50::AddOrder::get_time_in_force(), b2bits::nasdaq::itch50::AddOrder::get_timestamp(), b2bits::nasdaq::itch50::AddOrder::get_transaction_id(), b2bits::nasdaq::itch50::AddOrder::get_yield(), INSTRUMENT_LOG_ID, and b2bits::nasdaq::Sell.

process() [2/5]

template<class Handler>

void b2bits::nasdaq::itch50::Instrument::process	(	Handler &&	h,
		std::uint64_t	sn,
		const OrderCancelMessage *	msg,
		bool	mode_aggregated )

Process order cancel message.

Reduces or removes an order from the book and updates aggregated levels.

Template Parameters

Handler

Type of the event handler

Parameters

h	Event handler to notify of changes
sn	Sequence number of the message
msg	Order cancel message
[parameter	description for bool]

References b2bits::nasdaq::itch50::OrderCancelMessage::get_canceled_quantity(), b2bits::nasdaq::itch50::OrderCancelMessage::get_order_reference_number(), get_orderbook_id(), b2bits::nasdaq::itch50::OrderCancelMessage::get_timestamp(), and INSTRUMENT_LOG_ID.

process() [3/5]

template<class Handler>

void b2bits::nasdaq::itch50::Instrument::process	(	Handler &&	h,
		std::uint64_t	sn,
		const OrderExecuted *	msg,
		bool	mode_aggregated )

Process order executed message.

Updates the order quantity and aggregated book levels based on the execution.

Template Parameters

Handler

Type of the event handler

Parameters

h	Event handler to notify of changes
sn	Sequence number of the message
msg	Order executed message
[parameter	description for bool]

process() [4/5]

template<class Handler>

void b2bits::nasdaq::itch50::Instrument::process	(	Handler &&	h,
		std::uint64_t	sn,
		const OrderExecutedWithPrice *	msg,
		bool	mode_aggregated )

Process order executed with price message.

Similar to process(OrderExecuted*) but includes explicit execution price.

Template Parameters

Handler

Type of the event handler

Parameters

h	Event handler to notify of changes
sn	Sequence number of the message
msg	Order executed with price message
[parameter	description for bool]

process() [5/5]

template<class Handler>

void b2bits::nasdaq::itch50::Instrument::process	(	Handler &&	h,
		std::uint64_t	sn,
		const OrderReplace *	msg,
		bool	mode_aggregated )

Process order replace message (ITCH 5.0).

Handles order replacement where the original order is cancelled and a new order (with different reference number) is created.

Template Parameters

Handler

Type of the event handler

Parameters

h	Event handler to notify of changes
sn	Sequence number of the message
msg	Order replace message
[parameter	description for bool]

Note

ITCH 5.0 feature

References b2bits::nasdaq::itch50::OrderReplace::get_new_order_reference_number(), b2bits::nasdaq::itch50::OrderReplace::get_order_type(), get_orderbook_id(), b2bits::nasdaq::itch50::OrderReplace::get_original_order_reference_number(), b2bits::nasdaq::itch50::OrderReplace::get_price(), b2bits::nasdaq::itch50::OrderReplace::get_quantity(), b2bits::nasdaq::itch50::OrderReplace::get_side(), b2bits::nasdaq::itch50::OrderReplace::get_time_in_force(), b2bits::nasdaq::itch50::OrderReplace::get_timestamp(), b2bits::nasdaq::itch50::OrderReplace::get_transaction_id(), b2bits::nasdaq::itch50::OrderReplace::get_yield(), INSTRUMENT_LOG_ID, and b2bits::nasdaq::Sell.

process_order_executed()

template<class Handler, class M>

void b2bits::nasdaq::itch50::Instrument::process_order_executed	(	Handler &&	h,
		std::uint64_t	sn,
		const M *	msg,
		bool	mode_aggregated )

References get_orderbook_id(), and INSTRUMENT_LOG_ID.

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

• nasdaq/itch50/Instrument.h
• nasdaq/itch50/impl/Instrument.h