Release 1.0.2

Release Notes

Added

• OrderBookL3: Add interested_num_levels parameter to constructor for efficient top-N level tracking
  • New constructor signature includes optional interested_num_levels parameter (defaults to 10)
  • When set to a non-zero value, only top-N level changes trigger observer notifications
  • Setting to 0 maintains backward compatibility (all levels trigger notifications)
  • Reduces observer overhead for use cases that only care about top of book
• OrderBookL3: Add template method getBestLevel<Side>() for compile-time side selection
  • Returns pointer to best price level for the specified side (Buy or Sell)
  • Template specializations for Side::Buy and Side::Sell
  • More efficient than runtime branching for side-agnostic algorithms
  • Returns nullptr if no orders exist on that side
• PriceLevelUpdate: Add num_orders in PriceLevelUpdate; update related notifyPriceLevelUpdate methods
• TopOfBookUpdate: Add change_flags in TopOfBook event; update related notifyTopOfBookUpdate methods

Changed

• BREAKING CHANGE: OrderBookL3::modifyOrder() signature updated to include timestamp and priority parameters
  • Old signature: modifyOrder(OrderId, Price, Quantity, seq_num=0, is_last_in_batch=true)
  • New signature: modifyOrder(OrderId, Price, Quantity, Timestamp new_timestamp, uint64_t new_priority=0, seq_num=0, is_last_in_batch=true)
  • new_timestamp is now required (no default value)
  • new_priority defaults to 0, meaning "use timestamp as priority" for FIFO ordering (matches addOrder behavior)
  • Priority changes at same price level now trigger re-insertion to maintain correct queue position
  • Order timestamp and priority are properly updated on modification
• BREAKING CHANGE: OrderBookL3::deleteOrder() signature updated to include timestamp parameter
  • Old signature: deleteOrder(OrderId, seq_num=0, is_last_in_batch=true)
  • New signature: deleteOrder(OrderId, Timestamp timestamp, seq_num=0, is_last_in_batch=true)
  • timestamp is now required (no default value)
  • Rename PriceLevelChangeFlag to ChangeFlag
• Changed Quantity type from int64_t to uint64_t in types.hpp
  • Negative quantities are now invalid at the type system level
  • Prevents semantic errors and improves type safety
• Update executeOrder method to include timestamp parameter; adjust related tests
• Changed executeOrder to virtual function