BookUpdate

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

enum class BookUpdateType
{
  SNAPSHOT,
  DELTA
};

struct BookLevel
{
  Price price{};
  Quantity quantity{};
  BookLevel() = default;
  BookLevel(Price p, Quantity q) : price(p), quantity(q) {}
};

struct BookUpdate
{
  SymbolId symbol{};
  InstrumentType instrument = InstrumentType::Spot;
  BookUpdateType type{};
  std::pmr::vector<BookLevel> bids;
  std::pmr::vector<BookLevel> asks;

  UnixNanos exchangeTsNs{0};
  UnixNanos systemTsNs{0};

  std::optional<Price> strike;
  std::optional<TimePoint> expiry;
  std::optional<OptionType> optionType;

  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.

Fields

Field	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).
exchangeTsNs	Exchange timestamp in nanoseconds since Unix epoch.
systemTsNs	Local system receive time in nanoseconds, for 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.
• Uses UnixNanos (int64_t nanoseconds) for precise timestamps.