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

md	The AP_MDM_Interface to use for this Depth Data.
subKey	The subscription key this Depth Data is for.
depthId	The 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

md	The AP_MDM_Interface to use for this Depth Data.
subKey	The subscription key this Depth Data is for.
depthId	The 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

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

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

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

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

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

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