Package org.drip.oms.depth

L1/L2/L3 Deep Books
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    MontageL1Entry
    MontageL1Entry holds the Venue-specific Top-of-the Book L1 for a given Ticker.
    MontageL1Manager
    MontageL1Manager manages the Top-of-the Book L1 Montage across Venues for a single Ticker.
    MontageL1SizeLayer
    MontageL1SizeLayer holds the Per-ticker Posted Blocks for a given Venue and a Price, ordered by Size.
    OrderBlockL2
    OrderBlockL2 maintains a Deep Price Book for a Venue.
    PriceBook
    PriceBook maintains the Ordered Price Book Entry for a Ticker/Venue.
    PriceTick
    Order holds the Details of an Order.
    UBBOBlock
    UBBOBlock retains the Aggregated Top-of-the-Book and its Contributors.