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BookUpdate

BookUpdate is a zero-allocation container for transmitting order-book snapshots or deltas.
It now supports multiple instrument classes (spot, futures, options) and includes optional option metadata.

struct BookUpdate
{
    SymbolId              symbol{};                          // instrument identifier
    InstrumentType        instrument = InstrumentType::Spot; // Spot | Future | Option
    BookUpdateType        type{};                            // SNAPSHOT | DELTA
    std::pmr::vector<BookLevel> bids;                        // depth on bid side
    std::pmr::vector<BookLevel> asks;                        // depth on ask side
    TimePoint             timestamp{};                       // receive-time

    // — Option-specific fields —
    std::optional<Price>       strike;                       // strike price
    std::optional<TimePoint>   expiry;                       // option expiry
    std::optional<OptionType>  optionType;                   // Call | Put

    explicit BookUpdate(std::pmr::memory_resource* res)
        : bids(res), asks(res) {}
};

Purpose

  • Provide a normalized, memory-efficient representation of an order-book update (full snapshot or incremental delta).
  • Embed the instrument class so downstream components can branch without a registry lookup.

Responsibilities

Field / Aspect Description
symbol Unique SymbolId of the instrument.
instrument Spot, Future, or Option.
type SNAPSHOT (full overwrite) or DELTA (incremental change).
bids / asks Depth updates stored in PMR vectors (BookLevel).
timestamp Local receive time, used for sequencing and latency metrics.
strike Strike price — only for option updates.
expiry Expiry date/time — only for option updates.
optionType Call or Put — only for option updates.

Notes

  • When type == SNAPSHOT, consumers must fully replace their local book for symbol.
  • bids and asks are typically reserved to capacity in an object pool, avoiding runtime allocations.
  • Downstream filters can quickly ignore instruments by checking instrument without a SymbolRegistry lookup.
  • Option fields are optional: they are populated only when instrument == InstrumentType::Option.