ConsolidatedPriceLevel.h

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// Copyright Onix Solutions Limited [OnixS]. All rights reserved.
//
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#pragma once

#include <OnixS/CME/MDH/ImpliedPriceLevel.h>
#include <OnixS/CME/MDH/DirectPriceLevel.h>

ONIXS_CMEMDH_NAMESPACE_BEGIN

/// Price level data attributes of bid
/// or ask of consolidated order book.
///
/// Instance exposes consolidated price
/// level data as well as provides references
/// to price level from direct and implied order
/// books which comply consolidated price level.
class ONIXS_CMEMDH_LTWT ConsolidatedPriceLevel
{
public:
    /// Initializes instance indicating
    /// absence of consolidated data.
    ConsolidatedPriceLevel()
        : direct_(null())
        , implied_(null())
    {
    }

    /// Initializes instance from direct price level only.
    ConsolidatedPriceLevel(const DirectPriceLevel& direct)
        : direct_(&direct)
        , implied_(null())
    {
    }

    /// Initializes instance from implied price level only.
    ConsolidatedPriceLevel(const ImpliedPriceLevel& implied)
        : direct_(null())
        , implied_(&implied)
    {
    }

    /// Initializes instance from both
    /// direct and implied price levels.
    ConsolidatedPriceLevel(const DirectPriceLevel& direct, const ImpliedPriceLevel& implied)
        : direct_(&direct)
        , implied_(&implied)
    {
    }

    /// Initializes instance as copy of the other one.
    ConsolidatedPriceLevel(const ConsolidatedPriceLevel& other)
        : direct_(other.direct_)
        , implied_(other.implied_)
    {
    }

    /// Finalizes instance.
    ~ConsolidatedPriceLevel() {}

    /// Indicates whether instance has a valid data
    /// and actually exists at the level accessed.
    bool exist() const
    {
        return (direct_->exist() || implied_->exist());
    }

    /// Price component.
    const Decimal& price() const
    {
        return (direct_->exist() ? direct_->price() : implied_->price());
    }

    /// Quantity component.
    MbpBookQuantity quantity() const
    {
        return (direct_->quantity() + implied_->quantity());
    }

    /// Reference to price level from direct
    /// book consolidated into given instance.
    ///
    /// Use 'exist' member of returned reference
    /// to check whether returned instance refers
    /// to a valid data or there were no corresponding
    /// level available in direct book.
    const DirectPriceLevel& direct() const
    {
        return *direct_;
    }

    /// Consolidates direct price level data part.
    void consolidate(const DirectPriceLevel& direct)
    {
        direct_ = &direct;
    }

    /// Reference to price level from implied
    /// book consolidated into given instance.
    ///
    /// Use 'exist' member of returned reference
    /// to check whether returned instance refers
    /// to a valid data or there were no corresponding
    /// level available in implied book.
    const ImpliedPriceLevel& implied() const
    {
        return *implied_;
    }

    /// Consolidates implied price level data part.
    void consolidate(const ImpliedPriceLevel& implied)
    {
        implied_ = &implied;
    }

    /// Casts instance to implied price level.
    operator ImpliedPriceLevel() const
    {
        if (direct_->exist())
        {
            return ImpliedPriceLevel(direct_->price(), quantity());
        }
        else
        {
            return *implied_;
        }
    }

    /// Re-initializes instance as copy of other one.
    ConsolidatedPriceLevel& operator=(const ConsolidatedPriceLevel& other)
    {
        direct_ = other.direct_;
        implied_ = other.implied_;

        return *this;
    }

private:
    // Direct price level component.
    const DirectPriceLevel* direct_;

    // Implied price level component.
    const ImpliedPriceLevel* implied_;

    // Used to make all references as a valid ones.
    ONIXS_CMEMDH_LTWT_EXPORTED
    static const DirectPriceLevel* null();
};

/// Serializes price level attributes into a string.
ONIXS_CMEMDH_EXPORTED
void toStr(std::string&, const ConsolidatedPriceLevel&);

/// Serializes price level attributes into a string.
inline std::string toStr(const ConsolidatedPriceLevel& priceLevel)
{
    std::string str;

    toStr(str, priceLevel);

    return str;
}

ONIXS_CMEMDH_NAMESPACE_END