SecurityOrdersSnapshot

Path in Local Pack include/security_orders_snapshot.h

Description of your current orders. Only orders with Adding or Active status are taken into account. In deleting_amount_by_dir method orders with Deleting status are also counted.

The snapshot is updated before every update in strategy. It remains unchanged during single update processing.

Methods

Name Description
volume() Volume of the orders with given price and direction.
size_by_dir() Number of your orders with given direction.
active_orders_count() Number of your active orders with given direction.
active_orders_volume() Volume of your active orders with given direction.
orders_by_dir() Vector of your orders with given direction.
orders_by_dir_as_map() Your orders with given direction as a map.
deleting_amount_by_dir() Volume of your orders which have been sent to deletion.

Methods description

volume()

Takes a direction and a price.

Returns total volume of the orders with given price and direction.

C++
Python
Amount volume(Dir dir, Price price) const;
def volume(self, dir, price)

size_by_dir()

Takes a direction.

Returns a number of your current orders with given direction.

C++
Python
size_t size_by_dir(Dir dir) const;
def size_by_dir(self, dir)

active_orders_count()

Takes a direction.

Returns a number of your active orders with given direction, i.e. orders with Active status.

C++
Python
size_t active_orders_count(Dir dir) const;
def active_orders_count(self, dir)

active_orders_volume()

Takes a direction.

Returns total volume of your active orders with given direction, i.e. orders with Active status.

C++
Python
Amount active_orders_volume(Dir dir) const;
def active_orders_volume(self, dir)

orders_by_dir()

Takes a direction.

Returns a vector of pointers to your orders with given direction.

C++
Python
const Orders& orders_by_dir(Dir dir) const;
def orders_by_dir(self, dir)

orders_by_dir_as_map()

Takes a direction.

Returns a map from price to vector of pointers to your orders with given direction. Note: the map is always ordered by price in ascending order.

C++
Python
OrdersMap orders_by_dir_as_map(Dir dir) const;
def orders_by_dir_as_map(self, dir)

Here is an example of using this method. We iterate through all of our bids and output the current number of bids with given price.

C++
Python
auto orders_map = order_book.orders().orders_by_dir_as_map(BID);
for (auto it = orders_map.cbegin(); it != orders_map.cend(); ++it) {
  SCREEN() << "price: " << it->first << " amount: " << it->second.size()
}
orders_map = order_book.orders().orders_by_dir_as_map(BID)
for price, orders in orders_map.iteritems():
    print 'price: %s amount: %s' % (price, len(orders))

deleting_amount_by_dir()

Takes a direction.

Returns a total volume of your orders with given direction, which had been sent to deletion, but have not been deleted (the ones with Deleting status) yet.

C++
Python
Amount deleting_amount_by_dir(Dir dir) const;
def deleting_amount_by_dir(self, dir)

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