BookManagement.h

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// Copyright Onix Solutions Limited [OnixS]. All rights reserved.
//
// This software owned by Onix Solutions Limited [OnixS] and is 
// protected by copyright law and international copyright treaties.
//
// Access to and use of the software is governed by the terms of the applicable 
// OnixS Software Services Agreement (the Agreement) and Customer end user license 
// 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.
//
// Any reproduction or redistribution for sale or hiring of the Software not in 
// 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

inline 
void
throwBadBboThreshold()
{
    throw std::runtime_error
    (
        "Threshold for tracking best bids "
        "or offers can't be a negative value. "
    );
}

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:

    friend 
    ONIXS_CONFLATEDUDP_LTWT_CLASS_DECL
    (
        DirectBboTracking
    );

    const SettingGroup& group() const
    {
        return group_;
    }

    void
    assignNoControl(
        const BboThreshold& other)
    {
        threshold_ = other.threshold_;
        enabled_ = other.enabled_;
    }
 
public:
    BboThreshold(
        const SettingGroup* group = NULL)
        : group_(group ? *group : SettingGroup::null())
        , threshold_(), enabled_(false)
    {
    }

    BboThreshold(
        const BboThreshold& other)
        : group_(
            SettingGroup::null())
        , threshold_(
            other.threshold_)
        , enabled_(
            other.enabled_)
    {
    }

    ~BboThreshold()
    {
    }

    bool 
    enabled() const
    {
        return enabled_;
    }

    void 
    enabled(
        bool value) 
    {
        group_.
            controlAssignment
            (
                "BBO Threshold Enable", 
                enabled_, 
                value 
            );
    }

    const 
    Decimal& 
    threshold() const
    {
        return threshold_;
    }

    void 
    threshold(
        const Decimal& value)
    {
        if (0 <= value.mantissa())
        {
            group_.
                controlAssignment
                (
                    "BBO Threshold", 
                    threshold_, 
                    value
                );
        }
        else
        {
            throwBadBboThreshold();
        }
    }

    BboThreshold&
    operator =(
        const BboThreshold& other)
    {
        group_.
            controlAssignment
            (
                "BBO Threshold Settings", 
                &BboThreshold::assignNoControl, 
                *this, 
                other
            );
 
        return *this;
    }
};

ONIXS_CONFLATEDUDP_EXPORTED
bool
thresholdExceeded(
    const Decimal&,
    const Decimal&, 
    const Decimal&);

ONIXS_CONFLATEDUDP_EXPORTED
bool
thresholdExceeded(
    const Decimal&,
    Int64, 
    Int64);

ONIXS_CONFLATEDUDP_LTWT_CLASS 
DirectBboTracking 
{
    BboThreshold price_;
    BboThreshold quantity_;
    BboThreshold numberOfOrders_;
 
protected:
    template<class> 
    friend 
    class 
    BaseBookManagement;

    const 
    SettingGroup&
    group() const
    {
        return price_.group();
    }

    void
    assignNoControl(
        const DirectBboTracking& other)
    {
        price_.assignNoControl(other.price_);
        quantity_.assignNoControl(other.quantity_);
        numberOfOrders_.assignNoControl(other.numberOfOrders_);
    }
 
public:
    DirectBboTracking(
        const SettingGroup* group = NULL)
        : price_(group)
        , quantity_(group)
        , numberOfOrders_(group)
    {
    }

    DirectBboTracking(
        const DirectBboTracking& other)
        : price_(other.price_)
        , quantity_(other.quantity_)
        , numberOfOrders_(other.numberOfOrders_)
    {
    }

    ~DirectBboTracking()
    {
    }

    const 
    BboThreshold& 
    price() const
    {
        return price_;
    }

    BboThreshold& price() 
    {
        return price_;
    }

    const 
    BboThreshold& 
    quantity() const
    {
        return quantity_;
    }

    BboThreshold& quantity() 
    {
        return quantity_;
    }

    const 
    BboThreshold& 
    numberOfOrders() const
    {
        return numberOfOrders_;
    }

    BboThreshold& 
    numberOfOrders() 
    {
        return numberOfOrders_;
    }

    bool 
    enabled() const
    {
        return (
            price_.enabled()
            ||
            quantity_.enabled()
            || 
            numberOfOrders_.enabled()
        );
    }

    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()))
        );
    }

    DirectBboTracking&
    operator =(
        const DirectBboTracking& other)
    {
        group().
            controlAssignment
            (
                "Direct BBO Tracking Settings", 
                &DirectBboTracking::assignNoControl,
                *this,
                other
            );
 
        return *this;
    }
};

ONIXS_CONFLATEDUDP_EXPORTED
void
toStr(
    std::string&, 
    const DirectBboTracking&);

inline
std::string
toStr(
    const DirectBboTracking& tracking)
{
    std::string str;
 
    toStr(str, tracking);
 
    return str;
}

template
<
    class BboTracking
>
class 
BaseBookManagement
{
    // Indicates whether feature is enabled. 
    bool maintain_;
 
    // Parameters for tracking. 
    BboTracking bboTracking_;
 
protected:
    friend 
    ONIXS_CONFLATEDUDP_LTWT_CLASS_DECL
    (
        BookManagement
    );

    const 
    SettingGroup& 
    group() const
    {
        return bboTracking_.group();
    }

    void
    assignNoControl(
        const BaseBookManagement& other)
    {
        maintain_ = 
            other.maintain_;
 
        bboTracking_.
            assignNoControl(
                other.bboTracking_);
    }
 
public:
    BaseBookManagement(
        const SettingGroup* group = NULL)
        : maintain_(false), bboTracking_(group)
    {
    }

    BaseBookManagement(
        const BaseBookManagement& other)
        : maintain_(other.maintain_)
        , bboTracking_(other.bboTracking_)
    {
    }

    ~BaseBookManagement()
    {
    }

    bool 
    maintain() const
    {
        return maintain_;
    }

    void 
    maintain(
        bool value)
    {
        group().
            controlAssignment
            (
                "Maintain",
                maintain_,
                value 
            );
    }

    const 
    BboTracking& 
    bboTracking() const
    {
        return bboTracking_;
    }

    BboTracking& bboTracking() 
    {
        return bboTracking_;
    }

    BaseBookManagement&
    operator =(
        const 
        BaseBookManagement& other)
    {
        group().
            controlAssignment
            (
                "Base Book Management Settings",
                &BaseBookManagement::assignNoControl,
                *this,
                other
            );
 
        return *this;
    }
};

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:
    FixedDepthBookManagement(
        const SettingGroup* group = NULL,
        Depth defaultDepth = 0)
        : Base(group)
        , defaultDepth_(
            defaultDepth)
    {
    }

    FixedDepthBookManagement(
        const
        FixedDepthBookManagement& other)
        : Base(
            static_cast
            <const Base&>
            (other))
        , defaultDepth_(
            other.defaultDepth_)
    {
    }

    ~FixedDepthBookManagement()
    {
    }

    Depth 
    defaultDepth() const
    {
        return defaultDepth_;
    }

    void 
    defaultDepth(
        Depth value)
    {
        this->
            group().
                controlAssignment
                (
                    "Default Depth",
                    defaultDepth_,
                    value
                );
    }

    FixedDepthBookManagement&
    operator =(
        const 
        FixedDepthBookManagement& other)
    {
        this->
            group().
                controlAssignment
                (
                    "Fixed Depth Book Management Settings",
                    &FixedDepthBookManagement::assignNoControl,
                    *this,
                    other
                );
 
        return *this;
    }
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT BookUpdateNotification
{
    typedef UInt32 Base;
 
    enum Enum
    {
        OnSecurityChange,

        OnEndOfEvent
    };
};

ONIXS_CONFLATEDUDP_EXPORTED
void
toStr(
    std::string&,
    BookUpdateNotification::Enum);

inline 
std::string
toStr(
    BookUpdateNotification::Enum strategy)
{
    std::string str;
 
    toStr(str, strategy);
 
    return str;
}
 
// Aliases for instantiations. 

typedef 
FixedDepthBookManagement
<
    DirectBboTracking, 
    MbpBookDepth
>
DirectBookManagement;

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:
    BookManagement(
        SettingAssignController* 
        controller = NULL)
        : SettingGroup(controller)
        , directBooks_(&group(), 10)
        , updateNotification_(
            BookUpdateNotification::
            OnEndOfEvent)
    {
    }

    BookManagement(
        const BookManagement& other)
        : SettingGroup()
        , directBooks_(
            other.directBooks_)
        , updateNotification_(
            other.updateNotification_)
    {
    }
 
    // Finalizes the instance. 
    ~BookManagement()
    {
    }

    const 
    DirectBookManagement& 
    directBooks() const
    {
        return directBooks_;
    }

    DirectBookManagement& 
    directBooks()
    {
        return directBooks_;
    }

    BookUpdateNotification::Enum 
    updateNotification() const
    {
        return updateNotification_;
    }

    void 
    updateNotification(
        BookUpdateNotification::Enum value)
    {
        group().
            controlAssignment
            (
                "Update Notification",
                updateNotification_, 
                value
            );
    }

    BookManagement&
    operator =(
        const BookManagement& other)
    {
        group().
            controlAssignment
            (
                "Book Management Settings",
                &BookManagement::assignNoControl,
                *this,
                other
            );
 
        return *this;
    }
};

ONIXS_CONFLATEDUDP_EXPORTED
void
toStr(
    std::string&, 
    const BookManagement&);

inline
std::string
toStr(
    const BookManagement& settings)
{
    std::string str;
 
    toStr(str, settings);
 
    return str;
}
 
ONIXS_CONFLATEDUDP_NAMESPACE_END