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NLevelOrderBook\

Static-array order book that maintains up to MaxLevels price levels per side without heap allocations.

template <size_t MaxLevels = 8192>
class NLevelOrderBook {
public:
  explicit NLevelOrderBook(Price tickSize);

  void applyBookUpdate(const BookUpdateEvent& ev);

  std::optional<Price> bestBid() const;
  std::optional<Price> bestAsk() const;

  Quantity bidAtPrice(Price p) const;
  Quantity askAtPrice(Price p) const;

  void clear();

  static constexpr size_t MAX_LEVELS = MaxLevels;
};

Purpose

  • Offer a cache-friendly, zero-alloc alternative to map-based books by indexing directly into fixed arrays.

Internal Layout

Field Meaning
_tickSize Smallest price increment.
_bids/_asks std::array<Quantity, MAX_LEVELS> storing size at each level.
Index bounds _minBidIndex, _maxBidIndex, _minAskIndex, _maxAskIndex track populated range for quick scans.

Key Operations

  • applyBookUpdate — applies SNAPSHOT or DELTA; fills/zeros levels, updates min/max indices.
  • bestBid / bestAsk — linear scan within known bounds for non-zero level.
  • priceToIndex — price / tickSize → array index; no bounds check beyond caller’s max-level guard.

Complexity

Operation Cost
Update (per level) O(1)
Best bid/ask O(depth range)
Lookup by price O(1)

Notes

  • MAX_LEVELS must accommodate expected spread; excess levels are ignored.
  • Not thread-safe; wrap with external synchronisation if required.