Pages/TrackingBestBidOffer.md

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\addtogroup best-bid-offer

\brief Uncovers how to track changes in best bid/offer only. 

By default, the Handler invokes the OnixS::CME::MDH::SecurityListener::onBookUpdate 
callback each time it receives book-related data via real-time or recovery feeds. 
Received and processed updates may refer to any level and side in a book. Sometimes, 
there's no interest in having updates for any price level in a book except top one. 
For this reason, the Handler allows getting notified only about updates of the best 
bid or offer.

To take advantage of such facility the Handler exposes best bid/offer tracking
parameters which may be defined through the OnixS::CME::MDH::HandlerSettings
class interface. Its OnixS::CME::MDH::HandlerSettings::bookManagement section
exposes three members: OnixS::CME::MDH::BookManagement::directBooks,
OnixS::CME::MDH::BookManagement::impliedBooks and
OnixS::CME::MDH::BookManagement::consolidatedBooks each of which returns a
mutable instantiation of the OnixS::CME::MDH::BookManagementAndTracking template
class. Returned instance of OnixS::CME::MDH::BookManagementAndTracking in own
turn provides access to BBO tracking parameters specialized for a particular
book type via OnixS::CME::MDH::BookManagementAndTracking::bboTracking member.

OnixS::CME::MDH::DirectBBOTracking structure for direct books
(OnixS::CME::MDH::ImpliedBBOTracking structure for implied and
consolidated books respectively) exposes members for each price level
attribute like price (OnixS::CME::MDH::DirectBBOTracking::price) and
quantity (OnixS::CME::MDH::DirectBBOTracking::quantity) allowing to
define tracking.

OnixS::CME::MDH::BBOThreshold::enabled member defines whether the particular
attribute must be tracked for changes. The Handler raises a book update 
only if the best bid/offer exceeds threshold bounds.

OnixS::CME::MDH::BBOThreshold::threshold member allows to control the sensitivity
of Handler to the updates. The value specified via given member allows defining 
sensitivity threshold for the best bid/offer. If price level attribute (price,
quantity) of the best bid or offer changes for more than the specified value,
the Handler raises an appropriate event. Otherwise - not.

\section bbo-tracking-example Example

The following example demonstrates how to configure the Handler to 
get book updates only when the price of the best bid or offer changes 
for more than 10% or quantity changes for more than 50%.

~~~{.cpp}

using namespace OnixS::CME::MDH;

HandlerSettings settings;

DirectBBOTracking&
bboTracking =
    settings.
        bookManagement().
            directBooks().
                bboTracking();


bboTracking.price().enabled(true);
bboTracking.price().threshold(FLOAT(100000));

bboTracking.quantity().enabled(true);
bboTracking.quantity().threshold(FLOAT(500000));

~~~