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