Manipulating Books

Inner Contents
	Book Update Notification Strategies
	Maintaining Books by Natural Refresh
	Building and Maintaining Books by Yourself
	Tracking Best Bids and Offers Only
	Constructing And Copying Books

Detailed Description

Order Books in the SDK

CME MDP maintains market by price (price-level) and market by order books. There are several types of books available for each security: Market By Order (MBO), Direct, Implied and Consolidated. The SDK exposes the corresponding class for each of book type: OnixS::CME::MDH::MboBook, OnixS::CME::MDH::DirectBook, OnixS::CME::MDH::ImpliedBook and OnixS::CME::MDH::ConsolidatedBook. Each class exposes exact data available for a particular kind of the order book.

Note

Although there are four different types of books, MDP transmits data for only MBO, direct and implied types of books. Consolidated books are being maintained by the Handler locally using instances of direct and implied books for a particular security.

The Handler notifies a client code through the OnixS::CME::MDH::SecurityListener::onBookUpdate callback once a book of any type and for any security is updated.

For market by price (MBP) books which direct, implied and consolidated books are, the depth of book of a particular type is usually defined by security definition and is exposed by the OnixS::CME::MDH::MbpBook::depth member. The returned value defines the maximum number of price levels which may exist in the book.

OnixS::CME::MDH::MbpBook::bids and OnixS::CME::MDH::MbpBook::asks members of the OnixS::CME::MDH::MbpBook class can be used to access price value and quantity information for all levels available in the book.

Similarly, interface of class gathering MBO book data includes OnixS::CME::MDH::MboBook::bids and OnixS::CME::MDH::MboBook::asks members to access details for all orders available in the book.

Also, order book maintenance is now explicitly defined by the Handler configuration.

The following code sample defines how to manage maintenance of order books using Handler settings:

HandlerSettings settings;

// Let Handler to maintain direct books. Once parameter is set 
// to 'true', Handler will invoke SecurityListener::onBookUpdate() 
// member passing instance of a valid direct book.
settings.bookManagement().directBooks().maintain(true);

// Given statement suppresses implied order book maintenance.
// However, if consolidated order book maintenance is enabled,
// implied order book will also be maintained. Therefore, given
// statement only suppresses order book update event triggering.
settings.bookManagement().impliedBooks().maintain(false);


// Let Handler to maintain consolidated books. Once parameter
// is set to 'true', Handler will invoke SecurityListener::onBookUpdate()
// member passing instance of a valid consolidated book.
settings.bookManagement().consolidatedBooks().maintain(true);

Depth of a MBP book of a particular type is usually defined by security definition and is exposed by OnixS::CME::MDH::Book::depth member. Returned value defines maximum number of price levels which may exist in a particular book instance.

OnixS::CME::MDH::Book::bids and OnixS::CME::MDH::Book::offers members of the OnixS::CME::MDH::Book class can be used to access price value and quantity information for all levels available in the book.

Behavioral Traits

The Handler constructs books for each security since the moment it receives a definition for that security. Books are changed in time, and their members are not thread-safe. The Handler uses own synchronization strategies while updating the books. Therefore, do not access price levels information outside of book-related event handling as well as do not store references to any book instance and data returned by its members like asks and bids collections. This restriction exists because the Handler may change internal book structures at the same time. If any data exposed by the OnixS::CME::MDH::Book class instance must be used outside of event handling, it must be copied before later use.

See also

Constructing And Copying Books, OnixS::CME::MDH::SecurityListener