//.h#ifndefLONGBEACH_SIGNALS_SIGBOOKBIASL2_H#defineLONGBEACH_SIGNALS_SIGBOOKBIASL2_H#include#include#include#include#includenamespacelongbeach{namespacesignals{///SignalSpecforSigBookBiasL2classSigBookBiasL2Spec:publicSignalSpec{public:LONGBEACH_DECLARE_SCRIPTING;SigBookBiasL2Spec{}SigBookBiasL2Spec;virtualinstrument_tgetInstrumentconst{returnm_book->getInstrument;}virtualISignalPtrbuildconst;virtualvoidcheckValidconst;virtualvoidhashCombineconst;virtualboolcompareconst;virtualvoidprintconst;virtualvoidgetDataRequirementsconst;virtualSigBookBiasL2Spec*cloneconst;IBookSpecPtrm_book;//int32_tm_volFilterWindow;doublem_量化接口,lambda;};LONGBEACH_DECLARE_SHARED_PTR;classSigBookBiasL2:publicSignalStateImpl,privateIBookListener,privateIClockListener{public:///ConstructorSigBookBiasL2;///Destructorvirtual~SigBookBiasL2;///Returnsthetimevalthissignallastchanged.virtualtimeval_tgetLastChangeTvconst{returnm_lastChangeTv;}private://voidupdateVolatility;voidonMsg;std::pairevalSideWeightedAvgPriceSizeconst;virtualvoidonBookFlushed;virtualvoidonWakeupCall;void_reset;virtualvoidrecomputeStateconst;private:ClockMonitorPtrm_spCM;IBookPtrm_spBook;//boost::optionalm_ticksize;boost::optionalm_prevMidPx;//math::VolatilityFilterm_volFilter;duration_tm_updatePeriod;doublem_量化接口,lambda;Subscriptionm_subMsg;Subscriptionm_subUpdate;};LONGBEACH_DECLARE_SHARED_PTR;}//namespacesignals}//namespacelongbeach#endif//LONGBEACH_SIGNALS_SigBookBiasL2_H
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