velox.api.layer1.layers.utils

Class OrderByOrderBook

java.lang.Object

velox.api.layer1.layers.utils.OrderByOrderBook

public class OrderByOrderBook
extends java.lang.Object

Class designed to help with conversion from MBO to MBP data.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	OrderByOrderBook.Order Describes single order
static class	OrderByOrderBook.OrderUpdateResult User to describe updateOrder(long, int, long) result.

Constructor Summary

Constructors

Constructor and Description
OrderByOrderBook()

Method Summary

Modifier and Type	Method and Description
long	addOrder(long id, boolean isBid, int price, long size) Add new order
java.util.Collection<java.lang.Long>	getAllIds() Get all identifiers of orders in the book
int	getLastPriceOfOrder(long id) Get current price corresponding to the order
OrderByOrderBook.Order	getOrder(long id) Get order by id
OrderBook	getOrderBook() Returns a backing order book.
boolean	getSide(long id) Get side of an order
boolean	hasOrder(long id) Check if order is in the book
long	removeOrder(long id) Remove existing order from the book
void	selfTest() Run self-check verifying order book validity.
OrderByOrderBook.OrderUpdateResult	updateOrder(long id, int price, long size) Update existing order

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OrderByOrderBook

public OrderByOrderBook()

Method Detail

getOrderBook

public OrderBook getOrderBook()

Returns a backing order book. Do not modify it.

addOrder

public long addOrder(long id,
                     boolean isBid,
                     int price,
                     long size)
              throws java.lang.IllegalArgumentException

Add new order

Parameters:

id - unique order identifier

isBid - true for bid side, false for ask side

price - price of the order

size - size of the order

Returns:

new size at the level where order is added

Throws:

java.lang.IllegalArgumentException - update leads to invalid book state (crosses are considered valid state)

updateOrder

public OrderByOrderBook.OrderUpdateResult updateOrder(long id,
                                                      int price,
                                                      long size)
                                               throws java.lang.IllegalArgumentException

Update existing order

Parameters:

id - unique order identifier

price - new price of the order

size - new size of the order

Returns:

OrderByOrderBook.OrderUpdateResult describing effect of this update

Throws:

java.lang.IllegalArgumentException - update leads to invalid book state (crosses are considered valid state)

removeOrder

public long removeOrder(long id)
                 throws java.lang.IllegalArgumentException

Remove existing order from the book

Parameters:

id - unique order identifier

Returns:

new size on the level where order is removed

Throws:

java.lang.IllegalArgumentException - if order does not exist

getLastPriceOfOrder

public int getLastPriceOfOrder(long id)
                        throws java.lang.NullPointerException

Get current price corresponding to the order

Parameters:

id - unique order identifier

Returns:

price of the order

Throws:

java.lang.NullPointerException - if order does not exist

getSide

public boolean getSide(long id)
                throws java.lang.NullPointerException

Get side of an order

Parameters:

id - unique order identifier

Returns:

true if bid, false if ask

Throws:

java.lang.NullPointerException - if order does not exist

hasOrder

public boolean hasOrder(long id)

Check if order is in the book

Parameters:

id - unique order identifier

Returns:

true if order is in the book, false otherwise

getOrder

public OrderByOrderBook.Order getOrder(long id)

Get order by id

Parameters:

id - unique order identifier

Returns:

order information or null if it does not exist

getAllIds

public java.util.Collection<java.lang.Long> getAllIds()

Get all identifiers of orders in the book

Returns:

all identifiers of orders in the book

selfTest

public void selfTest()

Run self-check verifying order book validity. Detects some common issues (but not all).