Apama Capital Markets Foundation  10.2.0.0
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Orderbook Processing API

Functions

AP_MDM_API void AP_MDM_SetBidOrderBookData (AP_MDM_Interface *md, const char *subKey, const char *orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_SetAskOrderBookData (AP_MDM_Interface *md, const char *subKey, const char *orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_InsertBidOrderBookData (AP_MDM_Interface *md, const char *subKey, const char *orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_InsertAskOrderBookData (AP_MDM_Interface *md, const char *subKey, const char *orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_DeleteBidOrderBookData (AP_MDM_Interface *md, const char *subKey, const char *orderId)
 
AP_MDM_API void AP_MDM_DeleteAskOrderBookData (AP_MDM_Interface *md, const char *subKey, const char *orderId)
 
AP_MDM_API const char * AP_MDM_GetBidOrderIdAtLevel (AP_MDM_Interface *md, const char *subKey, AP_int64 level)
 
AP_MDM_API const char * AP_MDM_GetAskOrderIdAtLevel (AP_MDM_Interface *md, const char *subKey, AP_int64 level)
 

Detailed Description

Orderbook Processing API

A Market by Order datastructure

Function Documentation

AP_MDM_API void AP_MDM_DeleteAskOrderBookData ( AP_MDM_Interface md,
const char *  subKey,
const char *  orderId 
)

Delete an Order from the Ask side of the book.

If the Id does not exist, this update will silently fail.

Parameters
mdThe AP_MDM_Interface to use for this Ordebook Data.
subKeyThe subscription key this Ordebook Data is for.
orderIdThe unique order Id as a const char* to remove.
See also
AP_MDM_SubscriptionCommit
AP_MDM_API void AP_MDM_DeleteBidOrderBookData ( AP_MDM_Interface md,
const char *  subKey,
const char *  orderId 
)

Delete an Order from the Bid side of the book.

If the Id does not exist, this update will silently fail.

Parameters
mdThe AP_MDM_Interface to use for this Ordebook Data.
subKeyThe subscription key this Ordebook Data is for.
orderIdThe unique order Id as a const char* to remove.
See also
AP_MDM_SubscriptionCommit
AP_MDM_API const char* AP_MDM_GetAskOrderIdAtLevel ( AP_MDM_Interface md,
const char *  subKey,
AP_int64  level 
)

Get the order Id of a level from the Ask side of the book.

Parameters
mdThe AP_MDM_Interface to use.
subKeyThe subscription key this Order Data is for.
levelThe level to get the order Id for, 0 being the top.
Returns
The order Id, or NULL if not found.
AP_MDM_API const char* AP_MDM_GetBidOrderIdAtLevel ( AP_MDM_Interface md,
const char *  subKey,
AP_int64  level 
)

Get the order Id of a level from the Bid side of the book.

Parameters
mdThe AP_MDM_Interface to use.
subKeyThe subscription key this Order Data is for.
levelThe level to get the order Id for, 0 being the top.
Returns
The order Id, or NULL if not found.
AP_MDM_API void AP_MDM_InsertAskOrderBookData ( AP_MDM_Interface md,
const char *  subKey,
const char *  orderId,
AP_float64  price,
AP_int64  quantity,
const char *  party,
const StringDictionary epValues 
)

Insert an Order into the Ask side of the book, keyed off the order Id.

If the Id already exists, this update will silently fail.

Parameters
mdThe AP_MDM_Interface to use for this Orderbook Data.
subKeyThe subscription key this Orderbook Data is for.
orderIdThe unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
priceThe price as an AP_float64 for this order.
quantityThe quantity as a AP_int64 for this order.
partyThe party as a const char* for this order.
epValuesThe map of Extra Param key to values as a StringDictionary for this order. These cannot be delta updated and must be the full snapshot.
See also
AP_MDM_SubscriptionCommit
StringDictionary
AP_MDM_API void AP_MDM_InsertBidOrderBookData ( AP_MDM_Interface md,
const char *  subKey,
const char *  orderId,
AP_float64  price,
AP_int64  quantity,
const char *  party,
const StringDictionary epValues 
)

Insert an Order into the Bid side of the book, keyed off the order Id.

If the Id already exists, this update will silently fail.

Parameters
mdThe AP_MDM_Interface to use for this Orderbook Data.
subKeyThe subscription key this Orderbook Data is for.
orderIdThe unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
priceThe price as an AP_float64 for this order.
quantityThe quantity as a AP_int64 for this order.
partyThe party as a const char* for this order.
epValuesThe map of Extra Param key to values as a StringDictionary for this order. These cannot be delta updated and must be the full snapshot.
See also
AP_MDM_SubscriptionCommit
StringDictionary
AP_MDM_API void AP_MDM_SetAskOrderBookData ( AP_MDM_Interface md,
const char *  subKey,
const char *  orderId,
AP_float64  price,
AP_int64  quantity,
const char *  party,
const StringDictionary epValues 
)

Update an Order on the Ask side of the book, keyed off the order Id.

If the Id does not exist, a new order will be inserted. If it does exist, the order will be updated.

Parameters
mdThe AP_MDM_Interface to use for this Orderbook Data.
subKeyThe subscription key this Depth Orderbook is for.
orderIdThe unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
priceThe price as an AP_float64 for this order.
quantityThe quantity as a AP_int64 for this order.
partyThe party as a const char* for this order.
epValuesThe map of Extra Param key to values as a StringDictionary for this order. These cannot be delta updated and must be the full snapshot.
See also
AP_MDM_SubscriptionCommit
StringDictionary
AP_MDM_API void AP_MDM_SetBidOrderBookData ( AP_MDM_Interface md,
const char *  subKey,
const char *  orderId,
AP_float64  price,
AP_int64  quantity,
const char *  party,
const StringDictionary epValues 
)

Update an Order on the Bid side of the book, keyed off the order Id.

If the Id does not exist, a new order will be inserted. If it does exist, the level will be updated.

Parameters
mdThe AP_MDM_Interface to use for this Orderbook Data.
subKeyThe subscription key this Orderbook Data is for.
orderIdThe unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
priceThe price as an AP_float64 for this order.
quantityThe quantity as a AP_int64 for this order.
partyThe party as a const char* for this order.
epValuesThe map of Extra Param key to values as a StringDictionary for this order. These cannot be delta updated and must be the full snapshot.
See also
AP_MDM_SubscriptionCommit
StringDictionary