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

md	The AP_MDM_Interface to use for this Ordebook Data.
subKey	The subscription key this Ordebook Data is for.
orderId	The 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

md	The AP_MDM_Interface to use for this Ordebook Data.
subKey	The subscription key this Ordebook Data is for.
orderId	The 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

md	The AP_MDM_Interface to use.
subKey	The subscription key this Order Data is for.
level	The 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

md	The AP_MDM_Interface to use.
subKey	The subscription key this Order Data is for.
level	The 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

md	The AP_MDM_Interface to use for this Orderbook Data.
subKey	The subscription key this Orderbook Data is for.
orderId	The unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
price	The price as an AP_float64 for this order.
quantity	The quantity as a AP_int64 for this order.
party	The party as a const char* for this order.
epValues	The 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

md	The AP_MDM_Interface to use for this Orderbook Data.
subKey	The subscription key this Orderbook Data is for.
orderId	The unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
price	The price as an AP_float64 for this order.
quantity	The quantity as a AP_int64 for this order.
party	The party as a const char* for this order.
epValues	The 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

md	The AP_MDM_Interface to use for this Orderbook Data.
subKey	The subscription key this Depth Orderbook is for.
orderId	The unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
price	The price as an AP_float64 for this order.
quantity	The quantity as a AP_int64 for this order.
party	The party as a const char* for this order.
epValues	The 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

md	The AP_MDM_Interface to use for this Orderbook Data.
subKey	The subscription key this Orderbook Data is for.
orderId	The unique order Id as a const char* for this order. This is used to reference this order when updating or deleting.
price	The price as an AP_float64 for this order.
quantity	The quantity as a AP_int64 for this order.
party	The party as a const char* for this order.
epValues	The 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