ConsolidatedBook.h

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#pragma once

#include <OnixS/CME/MDH/DirectBook.h>
#include <OnixS/CME/MDH/ImpliedBook.h>

#include <OnixS/CME/MDH/ConsolidatedPriceLevel.h>

ONIXS_CMEMDH_NAMESPACE_BEGIN

/// Consolidated Order Book.
/// 
/// A set of bid prices and ask prices for the given 
/// security (bids are descending and asks are ascending). 
/// The quantity is provided at each price level.
/// 
/// In addition to regular book interface, provides access
/// to detailed consolidated price level data like direct 
/// and implied quantity components. 
typedef 
MbpBook
<
    ConsolidatedPriceLevel,
    MbpBookDepth
>
ConsolidatedBook;

/// Factory for consolidated books.
typedef 
MbpBookFactory
<
    ConsolidatedPriceLevel,
    MbpBookDepth
>
ConsolidatedBookFactory;

/// Book brief info.
ONIXS_CMEMDH_EXPORTED
void 
brief(
    std::string&,
    const ConsolidatedBook&);

/// Book brief info.
inline 
std::string 
brief(
    const ConsolidatedBook& book)
{
    std::string str;

    brief(str, book);

    return str;
}

/// Serializes book.
ONIXS_CMEMDH_EXPORTED
void 
toStr(
    std::string&,
    const ConsolidatedBook&);

/// Serializes book.
inline 
std::string 
toStr(
    const ConsolidatedBook& book)
{
    std::string str;

    toStr(str, book);

    return str;
}

/// Serializes book in formatted form. 
ONIXS_CMEMDH_EXPORTED
void
toFormattedStr(
    std::string&,
    const ConsolidatedBook&);

/// Serializes book in formatted form. 
inline
std::string
toFormattedStr(
    const ConsolidatedBook& book)
{
    std::string str;

    toFormattedStr(str, book);

    return str;
}

//

/// Consolidates direct and implied 
/// books into given instance. 
ONIXS_CMEMDH_EXPORTED
void
consolidate(
    ConsolidatedBook&,
    const DirectBook&,
    const ImpliedBook&);

ONIXS_CMEMDH_NAMESPACE_END