Adding incremental book updates to IMarketDataListener

src/lib/md/IMarketDataListener.h

@@ -1,5 +1,7 @@
 #pragma once
+#include "lib/api/services/OrderService.pb.h"
 #include "lib/domain/Book.h"
+#include "lib/md/PriceSize.h"
 #include <vector>
 
 namespace bts::domain {
@@ -17,6 +19,14 @@ class MarketDataError;
 // The is the interface that registers itself to IMarketDataGateway and receives
 // all market data via callbacks. These callbacks are always on the same thread.
 class IMarketDataListener {
+   enum BookOpType { Add = 0, REMOVE, MODIFY };
+   struct BookOp {
+      bts::api::Side side;
+      BookOpType op_type;
+      // for op == REMOVE size in price_size is no-op
+      PriceSize price_size;
+   };
+
  public:
    // complete list of all securities. as securities are added subsequent calls
    // on this callback are made. IMarketDataGateway guarantees that a security
@@ -29,6 +39,7 @@ class IMarketDataListener {
    virtual void on_security_statistics(
        const domain::SecurityMarketDataStatistics &security_stats) = 0;
    virtual void on_book(const domain::Book &book) = 0;
+   virtual void on_book_increment(const BookOp &) {}
    virtual void on_trades(
        const std::vector<domain::TradeRecord const *> &trades) = 0;
    virtual void on_rfqs(const std::vector<domain::RFQ const *> &rfqs) = 0;