BookManagement.h

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// Copyright Onix Solutions Limited [OnixS]. All rights reserved.
//
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// protected by copyright law and international copyright treaties.
//
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// agreements granting a non-assignable, non-transferable and non-exclusive license 
// to use the software for it's own data processing purposes under the terms defined 
// in the Agreement.
//
// Except as otherwise granted within the terms of the Agreement, copying or 
// reproduction of any part of this source code or associated reference material 
// to any other location for further reproduction or redistribution, and any 
// amendments to this copyright notice, are expressly prohibited.
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// accordance with the terms of the Agreement is a violation of copyright law.
//

#pragma once

#include <string>

#include <OnixS/CME/ConflatedUDP/Decimal.h>

#include <OnixS/CME/ConflatedUDP/DirectPriceLevel.h>

#include <OnixS/CME/ConflatedUDP/MbpBookTraits.h>

#include <OnixS/CME/ConflatedUDP/SettingGroup.h>

ONIXS_CONFLATEDUDP_NAMESPACE_BEGIN

/// Raises exception on invalid best bid/offer threshold value. 
inline 
void
throwBadBboThreshold()
{
    throw std::runtime_error
    (
        "Threshold for tracking best bids "
        "or offers can't be a negative value. "
    );
}

/// Defines tracking attributes for a particular BBO parameter.
ONIXS_CONFLATEDUDP_LTWT_CLASS BboThreshold
{
    // Group which the given set of settings belongs to. 
    const SettingGroup& group_;

    // Actual threshold value. 
    Decimal threshold_;

    // Indicates whether threshold must be used. 
    bool enabled_;

protected:

    /// Lets grouping and value assignment control functioning. 
    friend 
    ONIXS_CONFLATEDUDP_LTWT_CLASS_DECL
    (
        DirectBboTracking
    );

    /// Instance of a group which the 
    /// given set of settings belongs to. 
    const SettingGroup& group() const
    {
        return group_;
    }

    /// Re-initializes the instance as a copy of the 
    /// other one and bypassing assignment control. 
    void
    assignNoControl(
        const BboThreshold& other)
    {
        threshold_ = other.threshold_;
        enabled_ = other.enabled_;
    }

public:
    /// Initializes BBO attribute (price, qty, etc) tracking. 
    ///
    /// Optional setting group instance allows binding the given 
    /// set of settings to a particular group of settings. 
    BboThreshold(
        const SettingGroup* group = NULL)
        : group_(group ? *group : SettingGroup::null())
        , threshold_(), enabled_(false)
    {
    }

    /// Initializes as a copy of the 
    /// other one. 
    /// 
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    BboThreshold(
        const BboThreshold& other)
        : group_(
            SettingGroup::null())
        , threshold_(
            other.threshold_)
        , enabled_(
            other.enabled_)
    {
    }

    /// Finalizes the group. 
    ~BboThreshold()
    {
    }

    /// Indicates whether tracking is enabled.
    bool 
    enabled() const
    {
        return enabled_;
    }

    /// Indicates whether tracking is enabled.
    void 
    enabled(
        bool value) 
    {
        group_.
            controlAssignment
            (
                "BBO Threshold Enable", 
                enabled_, 
                value 
            );
    }

    /// Threshold for the parameter being tracked.
    const 
    Decimal& 
    threshold() const
    {
        return threshold_;
    }

    /// Updates threshold for the 
    /// parameter being tracked.
    void 
    threshold(
        const Decimal& value)
    {
        if (0 <= value.mantissa())
        {
            group_.
                controlAssignment
                (
                    "BBO Threshold", 
                    threshold_, 
                    value
                );
        }
        else
        {
            throwBadBboThreshold();
        }
    }

    /// Re-initializes as a copy of the other one. 
    /// 
    /// Attributes controlling value assignment aren't 
    /// cloned and thus only settings are copied. 
    BboThreshold&
    operator =(
        const BboThreshold& other)
    {
        group_.
            controlAssignment
            (
                "BBO Threshold Settings", 
                &BboThreshold::assignNoControl, 
                *this, 
                other
            );

        return *this;
    }
};

/// Checks whether new value exceeds given 
/// threshold in compare to the old value. 
ONIXS_CONFLATEDUDP_EXPORTED
bool
thresholdExceeded(
    const Decimal&,
    const Decimal&, 
    const Decimal&);

/// Checks whether new value exceeds given 
/// threshold in compare to the old value. 
ONIXS_CONFLATEDUDP_EXPORTED
bool
thresholdExceeded(
    const Decimal&,
    Int64, 
    Int64);

/// Defines tracking for BBO in direct books. 
ONIXS_CONFLATEDUDP_LTWT_CLASS 
DirectBboTracking 
{
    BboThreshold price_;
    BboThreshold quantity_;
    BboThreshold numberOfOrders_;

protected:
    /// Lets grouping and value 
    /// assignment control functioning. 
    template<class> 
    friend 
    class 
    BaseBookManagement;

    /// Instance of the group of setting which 
    /// the given set of settings belongs to. 
    const 
    SettingGroup&
    group() const
    {
        return price_.group();
    }

    /// Re-initializes as a copy of the other instance 
    /// without involving value assignment control services. 
    void
    assignNoControl(
        const DirectBboTracking& other)
    {
        price_.assignNoControl(other.price_);
        quantity_.assignNoControl(other.quantity_);
        numberOfOrders_.assignNoControl(other.numberOfOrders_);
    }

public:
    /// Initializes tracking with the 
    /// optional grouping services enabled. 
    DirectBboTracking(
        const SettingGroup* group = NULL)
        : price_(group)
        , quantity_(group)
        , numberOfOrders_(group)
    {
    }

    /// Initializes the instance 
    /// as a copy of the other one. 
    /// 
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    DirectBboTracking(
        const DirectBboTracking& other)
        : price_(other.price_)
        , quantity_(other.quantity_)
        , numberOfOrders_(other.numberOfOrders_)
    {
    }

    /// Finalizes the instance.
    ~DirectBboTracking()
    {
    }

    /// Price tracking attributes. 
    const 
    BboThreshold& 
    price() const
    {
        return price_;
    }

    /// Price tracking attributes. 
    BboThreshold& price() 
    {
        return price_;
    }

    /// Quantity tracking attributes. 
    const 
    BboThreshold& 
    quantity() const
    {
        return quantity_;
    }

    /// Quantity tracking attributes. 
    BboThreshold& quantity() 
    {
        return quantity_;
    }

    /// Tracking for order quantity. 
    const 
    BboThreshold& 
    numberOfOrders() const
    {
        return numberOfOrders_;
    }

    /// Tracking for order quantity. 
    BboThreshold& 
    numberOfOrders() 
    {
        return numberOfOrders_;
    }

    /// Indicates whether tracking enabled at all. 
    bool 
    enabled() const
    {
        return (
            price_.enabled()
            ||
            quantity_.enabled()
            || 
            numberOfOrders_.enabled()
        );
    }

    /// Checks whether any of thresholds is exceeded. 
    bool 
    exceeded(
        const DirectPriceLevel& previous,
        const DirectPriceLevel& current) const 
    {
        return 
        (
            (price_.enabled() && thresholdExceeded(price_.threshold(), previous.price(), current.price()))
            ||
            (quantity_.enabled() && thresholdExceeded(quantity_.threshold(), previous.quantity(), current.quantity()))
            ||
            (numberOfOrders_.enabled()  && thresholdExceeded( numberOfOrders_.threshold(), previous.numberOfOrders(), current.numberOfOrders()))
        );
    }

    /// Re-initializes instance as 
    /// a copy of the other one. 
    /// 
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    DirectBboTracking&
    operator =(
        const DirectBboTracking& other)
    {
        group().
            controlAssignment
            (
                "Direct BBO Tracking Settings", 
                &DirectBboTracking::assignNoControl,
                *this,
                other
            );

        return *this;
    }
};

/// Serializes BBO tracking parameters into string. 
ONIXS_CONFLATEDUDP_EXPORTED
void
toStr(
    std::string&, 
    const DirectBboTracking&);

/// Serializes BBO tracking parameters into string. 
inline
std::string
toStr(
    const DirectBboTracking& tracking)
{
    std::string str;

    toStr(str, tracking);

    return str;
}

/// Parameters affecting book management machinery for 
/// a particular book type (direct). 
template
<
    class BboTracking
>
class 
BaseBookManagement
{
    // Indicates whether feature is enabled. 
    bool maintain_;

    // Parameters for tracking. 
    BboTracking bboTracking_;

protected:
    /// Lets grouping and value 
    /// assignment control functioning. 
    friend 
    ONIXS_CONFLATEDUDP_LTWT_CLASS_DECL
    (
        BookManagement
    );

    /// Instance of the group of setting which 
    /// the given set of settings belongs to. 
    const 
    SettingGroup& 
    group() const
    {
        return bboTracking_.group();
    }

    /// Re-initializes as a copy of the other instance 
    /// without involving value assignment control services. 
    void
    assignNoControl(
        const BaseBookManagement& other)
    {
        maintain_ = 
            other.maintain_;

        bboTracking_.
            assignNoControl(
                other.bboTracking_);
    }

public:
    /// Initializes instance with the default values 
    /// and setting validation facilities enabled. 
    BaseBookManagement(
        const SettingGroup* group = NULL)
        : maintain_(false), bboTracking_(group)
    {
    }

    /// Initializes the instance 
    /// as a copy of the other one. 
    /// 
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    BaseBookManagement(
        const BaseBookManagement& other)
        : maintain_(other.maintain_)
        , bboTracking_(other.bboTracking_)
    {
    }

    /// Finalizes the instance. 
    ~BaseBookManagement()
    {
    }

    /// Forces to build order book of a particular kind.
    ///
    /// Unless parameter is set to 'true', Handler doesn't 
    /// construct and doesn't process data blocks for the 
    /// books of given kind. If book isn't built, book snapshot 
    /// retrieval is not possible.
    ///
    /// @note Default value is 'false'.
    bool 
    maintain() const
    {
        return maintain_;
    }

    /// Forces Handler to maintain order books.
    void 
    maintain(
        bool value)
    {
        group().
            controlAssignment
            (
                "Maintain",
                maintain_,
                value 
            );
    }

    /// Parameters affecting BBO tracking for 
    /// books which given settings refer to.
    const 
    BboTracking& 
    bboTracking() const
    {
        return bboTracking_;
    }

    /// Parameters affecting BBO tracking for
    /// books which given settings refer to.
    BboTracking& bboTracking() 
    {
        return bboTracking_;
    }

    /// Re-initializes the instance 
    /// as a copy of other one. 
    ///
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    BaseBookManagement&
    operator =(
        const 
        BaseBookManagement& other)
    {
        group().
            controlAssignment
            (
                "Base Book Management Settings",
                &BaseBookManagement::assignNoControl,
                *this,
                other
            );

        return *this;
    }
};

/// Parameters affecting book management machinery for 
/// a particular book type (direct). 
template
<
    class BboTracking,
    typename Depth
>
class 
FixedDepthBookManagement
: public BaseBookManagement
<
    BboTracking
>
{
    // Lets grouping and value assignment control functioning. 
    friend 
    ONIXS_CONFLATEDUDP_LTWT_CLASS_DECL
    (
        BookManagement
    );

    // Alias for the base class. 
    typedef 
    BaseBookManagement
    <
        BboTracking
    >
    Base;

    // 

    Depth defaultDepth_;

    // Re-initializes as a copy of the other instance 
    // without involving value assignment control services. 
    void
    assignNoControl(
        const FixedDepthBookManagement& other)
    {
        Base::assignNoControl(other);

        defaultDepth_ = 
            other.defaultDepth_;
    }

public:
    /// Initializes instance with defaults 
    /// and optional grouping facilities. 
    FixedDepthBookManagement(
        const SettingGroup* group = NULL,
        Depth defaultDepth = 0)
        : Base(group)
        , defaultDepth_(
            defaultDepth)
    {
    }

    /// Initializes the instance 
    /// as a copy of the other one. 
    /// 
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    FixedDepthBookManagement(
        const
        FixedDepthBookManagement& other)
        : Base(
            static_cast
            <const Base&>
            (other))
        , defaultDepth_(
            other.defaultDepth_)
    {
    }

    /// Finalizes the instance. 
    ~FixedDepthBookManagement()
    {
    }

    /// Defines default depth of order book for 
    /// the security whose definition wasn't 
    /// received or had no corresponding data.
    Depth 
    defaultDepth() const
    {
        return defaultDepth_;
    }

    /// Defines default depth of order book for 
    /// the security whose definition wasn't 
    /// received or had no corresponding data.
    void 
    defaultDepth(
        Depth value)
    {
        this->
            group().
                controlAssignment
                (
                    "Default Depth",
                    defaultDepth_,
                    value
                );
    }

    /// Re-initializes the instance 
    /// as a copy of the other one. 
    /// 
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    FixedDepthBookManagement&
    operator =(
        const 
        FixedDepthBookManagement& other)
    {
        this->
            group().
                controlAssignment
                (
                    "Fixed Depth Book Management Settings",
                    &FixedDepthBookManagement::assignNoControl,
                    *this,
                    other
                );

        return *this;
    }
};

/// Defines book update notification strategies.
ONIXS_CONFLATEDUDP_LTWT_STRUCT BookUpdateNotification
{
    /// Integral type used as basement for constants. 
    typedef UInt32 Base;

    enum Enum
    {
        /// Book update event is raised once security id is changed in 
        /// sequence of market data entries being processed by the Handler.
        /// 
        /// @warning Given strategy does not follow MDP policy 
        /// on exposing order books and thus can be used on own risk!
        /// Also, books may not be in a valid state (especially consolidated),
        /// as far as exposed earlier than data for entire market event
        /// is processed.
        OnSecurityChange,

        /// Book update event is raised at the end of market event.
        /// 
        /// Direct books updates are raised at the end of real 
        /// quotes updates.
        OnEndOfEvent
    };
};

/// Serializes book update notification policy into a string. 
ONIXS_CONFLATEDUDP_EXPORTED
void
toStr(
    std::string&,
    BookUpdateNotification::Enum);

/// Serializes book update notification policy into a string. 
inline 
std::string
toStr(
    BookUpdateNotification::Enum strategy)
{
    std::string str;

    toStr(str, strategy);

    return str;
}

// Aliases for instantiations. 

/// Management and tracking parameters for direct books. 
typedef 
FixedDepthBookManagement
<
    DirectBboTracking, 
    MbpBookDepth
>
DirectBookManagement;

/// Parameters affecting book management machinery. 
ONIXS_CONFLATEDUDP_LTWT_CLASS 
BookManagement : public SettingGroup
{
    // Lets grouping and value 
    // assignment control functioning. 
    friend 
    ONIXS_CONFLATEDUDP_LTWT_CLASS_DECL
    (
        HandlerSettings
    );

    // Subsets of parameters.

    DirectBookManagement directBooks_;

    BookUpdateNotification::Enum updateNotification_;

    // Casts the given instance to an 
    // instance of SettingGroup class. 
    const 
    SettingGroup& 
    group() const
    {
        return *this;
    }

    // Re-initializes the given instance
    // as a copy of the other one without
    // involving assignment control service. 
    void
    assignNoControl(
        const BookManagement& other)
    {
        directBooks_.
            assignNoControl(
                other.directBooks_);

        updateNotification_ = 
            other.updateNotification_;
    }

public:
    /// Initializes instance with default values. 
    BookManagement(
        SettingAssignController* 
        controller = NULL)
        : SettingGroup(controller)
        , directBooks_(&group(), 10)
        , updateNotification_(
            BookUpdateNotification::
            OnEndOfEvent)
    {
    }

    /// Initializes the instance 
    /// as a copy of the other one. 
    /// 
    /// Attributes controlling value 
    /// assignment aren't cloned and 
    /// thus only settings are copied. 
    BookManagement(
        const BookManagement& other)
        : SettingGroup()
        , directBooks_(
            other.directBooks_)
        , updateNotification_(
            other.updateNotification_)
    {
    }

    // Finalizes the instance. 
    ~BookManagement()
    {
    }

    /// Management and tracking parameters for direct books. 
    const 
    DirectBookManagement& 
    directBooks() const
    {
        return directBooks_;
    }

    /// Management and tracking parameters for direct books. 
    DirectBookManagement& 
    directBooks()
    {
        return directBooks_;
    }

    /// Defines the way Handler raises onBookUpdated callbacks.
    ///
    /// @note Default is BookUpdateNotification::OnEndOfEvent.
    BookUpdateNotification::Enum 
    updateNotification() const
    {
        return updateNotification_;
    }

    /// Defines the way Handler raises order book update event.
    void 
    updateNotification(
        BookUpdateNotification::Enum value)
    {
        group().
            controlAssignment
            (
                "Update Notification",
                updateNotification_, 
                value
            );
    }

    /// Copies settings from the given instance. 
    /// 
    /// Attributes controlling value assignment aren't 
    /// cloned and thus only settings' values are copied. 
    BookManagement&
    operator =(
        const BookManagement& other)
    {
        group().
            controlAssignment
            (
                "Book Management Settings",
                &BookManagement::assignNoControl,
                *this,
                other
            );

        return *this;
    }
};

/// Serializes book management settings into string. 
ONIXS_CONFLATEDUDP_EXPORTED
void
toStr(
    std::string&, 
    const BookManagement&);

/// Serializes book management settings into string. 
inline
std::string
toStr(
    const BookManagement& settings)
{
    std::string str;

    toStr(str, settings);

    return str;
}

ONIXS_CONFLATEDUDP_NAMESPACE_END