BookSide

The BookSide class represents one side (bid or ask) of an order book.
It is designed as a fixed-size, ring-buffer-style structure optimized for low-latency price level access and updates.

Purpose

To efficiently maintain and manipulate one side of the limit order book, supporting rapid updates and best-level queries.

Class Definition

class BookSide {
public:
  enum class Side { Bid, Ask };

  BookSide(std::size_t windowSize, Side side, std::pmr::memory_resource *mem);

  void setLevel(std::size_t index, double qty);
  double getLevel(std::size_t index) const;

  void shift(int levels);
  void clear();

  std::optional<std::size_t> findBest() const;

  std::pmr::memory_resource *allocator() const;
};

Responsibilities

• setLevel(index, qty): sets quantity at a specific price level index
• getLevel(index): retrieves quantity at index
• shift(levels): shifts the book window by a relative offset
• clear(): resets all levels
• findBest(): finds the best price level (highest bid or lowest ask)

Internal Design

• Ring buffer backed by std::pmr::vector<double>
• Offset-based indexing via ring(...)
• Tracks best index to avoid scanning entire window

Use Cases

• Used internally in WindowedOrderBook and related components
• Performance-sensitive scenarios requiring rapid top-of-book updates

Notes

• Memory resource passed via constructor enables allocator injection