Book Update Event

The BookUpdateEvent represents a snapshot or delta update to the order book, including both bids and asks.

Purpose

To deliver order book updates to subscribers like order books, strategies, or analytics modules with minimal latency and no allocations.

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Interface Summary

struct BookUpdateEvent : public IMarketDataEvent {
  SymbolId symbol;
  BookUpdateType type;
  std::pmr::vector<BookLevel> bids;
  std::pmr::vector<BookLevel> asks;
  std::chrono::system_clock::time_point timestamp;

  BookUpdateEvent(std::pmr::memory_resource *res);
};

BookLevel Structure

struct BookLevel {
  double price;
  double quantity;
};

Responsibilities

• Represent current book state or changes (snapshot vs delta)
• Contain bid/ask levels in memory-resource-backed containers
• Delivered to subscribers via the book update bus

Memory Optimization

• Uses std::pmr::vector for bids and asks to reduce allocation overhead
• Allocator is provided during construction from the owning EventPool

Notes

• Produced by market data connectors or simulators
• Consumed by WindowedOrderBook, FullOrderBook, strategies, etc.
• Supports accurate timestamping via timestamp field