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Depth Processing API

Functions

AP_MDM_API void AP_MDM_SetBidDepthData (AP_MDM_Interface *md, const char *subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_SetAskDepthData (AP_MDM_Interface *md, const char *subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_InsertBidDepthData (AP_MDM_Interface *md, const char *subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_InsertAskDepthData (AP_MDM_Interface *md, const char *subKey, const char *depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues)
 
AP_MDM_API void AP_MDM_DeleteBidDepthData (AP_MDM_Interface *md, const char *subKey, const char *depthId)
 
AP_MDM_API void AP_MDM_DeleteAskDepthData (AP_MDM_Interface *md, const char *subKey, const char *depthId)
 
AP_MDM_API const char * AP_MDM_GetBidDepthIdAtLevel (AP_MDM_Interface *md, const char *subKey, AP_int64 level)
 
AP_MDM_API const char * AP_MDM_GetAskDepthIdAtLevel (AP_MDM_Interface *md, const char *subKey, AP_int64 level)
 

Detailed Description

Depth Processing API

A Market by Price data structure.

Function Documentation

AP_MDM_API void AP_MDM_DeleteAskDepthData ( AP_MDM_Interface md,
const char *  subKey,
const char *  depthId 
)

Delete a Depth level 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 Depth Data.
subKeyThe subscription key this Depth Data is for.
depthIdThe unique depth Id as a const char* to remove.
See also
AP_MDM_SubscriptionCommit
AP_MDM_API void AP_MDM_DeleteBidDepthData ( AP_MDM_Interface md,
const char *  subKey,
const char *  depthId 
)

Delete a Depth level 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 Depth Data.
subKeyThe subscription key this Depth Data is for.
depthIdThe unique depth Id as a const char* to remove.
See also
AP_MDM_SubscriptionCommit
AP_MDM_API const char* AP_MDM_GetAskDepthIdAtLevel ( AP_MDM_Interface md,
const char *  subKey,
AP_int64  level 
)

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

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

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

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

Insert a Depth level into the Ask side of the book, keyed off the depth Id.

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

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

Insert a Depth level into the Bid side of the book, keyed off the depth Id.

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

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

Update a Depth level on the Ask side of the book, keyed off the depth Id.

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

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

Update a Depth level on the Bid side of the book, keyed off the depth Id.

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

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