IOrderBook

IOrderBook defines the abstract interface for order book implementations that consume BookUpdateEvents and provide access to market depth and price levels.

class IOrderBook {
public:
  virtual ~IOrderBook() = default;

  virtual void applyBookUpdate(const BookUpdateEvent& update) = 0;
  virtual std::optional<Price> bestBid() const = 0;
  virtual std::optional<Price> bestAsk() const = 0;

  virtual Quantity bidAtPrice(Price price) const = 0;
  virtual Quantity askAtPrice(Price price) const = 0;
};

Purpose

• Define a common contract for order book consumers, simulators, and strategy components.

Responsibilities

Aspect	Details
Update	applyBookUpdate() ingests raw changes from BookUpdateEvent.
Top of book	bestBid() / bestAsk() expose inside market prices.
Depth query	bidAtPrice() / askAtPrice() return size at arbitrary levels.

Notes

• Stateless interface — actual book implementation (e.g. NLevelOrderBook) manages memory and performance.
• Compatible with pooled update dispatch via BookUpdateBus.
• Returns std::optional for top-of-book queries to reflect potential emptiness.