BookUpdateEvent

BookUpdateEvent represents a snapshot or delta update to the order book, encapsulated in a pooled, memory-resource-aware structure for zero-allocation fan-out.

struct BookUpdateEvent : public pool::PoolableBase<BookUpdateEvent>
{
  using Listener = IMarketDataSubscriber;

  BookUpdate update;

  int64_t seq{0};      // Exchange sequence number
  int64_t prevSeq{0};  // Previous sequence for gap detection

  uint64_t tickSequence = 0;  // Internal, set by bus

  MonoNanos recvNs{0};       // Local receive time (monotonic)
  MonoNanos publishTsNs{0};  // Bus publish time (monotonic)

  ExchangeId sourceExchange{InvalidExchangeId};  // Source exchange for CEX coordination

  BookUpdateEvent(std::pmr::memory_resource* res);
  void clear();
};

Purpose

• Deliver normalized order book changes with minimal latency and no heap allocations.

Fields

Field	Description
update	BookUpdate payload with bid/ask vectors.
seq	Exchange-assigned sequence number.
prevSeq	Previous sequence number for gap detection.
tickSequence	Internal bus sequence for ordered delivery.
recvNs	Local receive timestamp (monotonic nanoseconds).
publishTsNs	Bus publish timestamp (monotonic nanoseconds).
sourceExchange	Source exchange ID for CEX coordination.

Responsibilities

Aspect	Details
Memory	Constructed with std::pmr::memory_resource for scoped allocation.
Pooling	Inherits from PoolableBase for reuse via pool::Handle<T>.
Payload	Holds a BookUpdate with bid/ask vectors allocated from the PMR.
Sequencing	tickSequence ensures ordered processing across consumers.
Gap Detection	seq / prevSeq enable detection of missed updates.
Latency	recvNs / publishTsNs enable end-to-end latency measurement.
Subscription	Declares IMarketDataSubscriber as the receiver interface.

Notes

• clear() resets bid/ask containers in-place without releasing memory.
• Intended for high-frequency delivery over BookUpdateBus.
• Construction asserts non-null memory resource to enforce deterministic allocation control.
• Immutable after dispatch; reused through pooled lifecycle.
• sourceExchange enables cross-exchange book aggregation in CEX mode.