fix40::OrderBook Class Reference

订单簿 More...

#include <order_book.hpp>

Collaboration diagram for fix40::OrderBook:

Public Member Functions
	OrderBook (const std::string &symbol)
	构造订单簿
const std::string &	getSymbol () const
	获取合约代码
std::vector< Trade >	addOrder (Order &order)
	添加订单并尝试撮合
std::optional< Order >	cancelOrder (const std::string &clOrdID)
	撤销订单
const Order *	findOrder (const std::string &clOrdID) const
	查找订单
std::optional< double >	getBestBid () const
	获取最优买价
std::optional< double >	getBestAsk () const
	获取最优卖价
std::vector< PriceLevel >	getBidLevels (size_t levels=5) const
	获取买盘深度
std::vector< PriceLevel >	getAskLevels (size_t levels=5) const
	获取卖盘深度
size_t	getBidOrderCount () const
	获取买盘总订单数
size_t	getAskOrderCount () const
	获取卖盘总订单数
bool	empty () const
	检查订单簿是否为空

Detailed Description

订单簿

管理单个合约的买卖盘，实现撮合逻辑。

撮合规则

• 价格优先：买盘价高者优先，卖盘价低者优先
• 时间优先：同价位先到者优先成交
• 成交价格：取被动方（挂单方）价格

线程安全

OrderBook 本身不是线程安全的，应由 MatchingEngine 在单线程中调用。

使用示例

OrderBook book("IF2401");
 
Order buyOrder;
buyOrder.side = OrderSide::BUY;
buyOrder.price = 5000.0;
buyOrder.orderQty = 10;
 
auto trades = book.addOrder(buyOrder);
for (const auto& trade : trades) {
    // 处理成交
}

Constructor & Destructor Documentation

OrderBook()

fix40::OrderBook::OrderBook ( const std::string &  symbol )

explicit

构造订单簿

Parameters

symbol

合约代码

Member Function Documentation

addOrder()

std::vector< Trade > fix40::OrderBook::addOrder

(

Order &

order

)

添加订单并尝试撮合

Parameters

order

订单（会被修改：设置 orderID、更新状态）

Returns

std::vector<Trade> 成交记录列表

流程：

1. 生成 OrderID
2. 尝试与对手盘撮合
3. 未成交部分挂入订单簿
4. 返回成交记录

cancelOrder()

std::optional< Order > fix40::OrderBook::cancelOrder

(

const std::string &

clOrdID

)

撤销订单

Parameters

clOrdID

客户订单ID

Returns

std::optional<Order> 被撤销的订单，不存在返回 nullopt

empty()

bool fix40::OrderBook::empty ( ) const

inline

检查订单簿是否为空

findOrder()

const Order * fix40::OrderBook::findOrder

(

const std::string &

clOrdID

)

const

查找订单

Parameters

clOrdID

客户订单ID

Returns

const Order* 订单指针，不存在返回 nullptr

getAskLevels()

std::vector< PriceLevel > fix40::OrderBook::getAskLevels

(

size_t

levels = 5

)

const

获取卖盘深度

Parameters

levels

档位数量

Returns

std::vector<PriceLevel> 卖盘各档位（价格升序）

getAskOrderCount()

size_t fix40::OrderBook::getAskOrderCount ( ) const

inline

获取卖盘总订单数

getBestAsk()

std::optional< double > fix40::OrderBook::getBestAsk

(

)

const

获取最优卖价

Returns

std::optional<double> 最低卖价，无卖盘返回 nullopt

getBestBid()

std::optional< double > fix40::OrderBook::getBestBid

(

)

const

获取最优买价

Returns

std::optional<double> 最高买价，无买盘返回 nullopt

getBidLevels()

std::vector< PriceLevel > fix40::OrderBook::getBidLevels

(

size_t

levels = 5

)

const

获取买盘深度

Parameters

levels

档位数量

Returns

std::vector<PriceLevel> 买盘各档位（价格降序）

getBidOrderCount()

size_t fix40::OrderBook::getBidOrderCount ( ) const

inline

获取买盘总订单数

getSymbol()

const std::string & fix40::OrderBook::getSymbol ( ) const

inline

获取合约代码

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The documentation for this class was generated from the following files:

• include/app/engine/order_book.hpp
• src/app/engine/order_book.cpp