IncrementalRefreshOrderBook.h

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// Copyright Onix Solutions Limited [OnixS]. All rights reserved.
//
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// and international copyright treaties.
//
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// 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
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// the terms of the Agreement is a violation of copyright law.
//
 
#pragma once
 
#include <type_traits>
#include <utility>
 
#include <OnixS/CME/MDH/ABI.h>
#include <OnixS/CME/MDH/Domain.h>
#include <OnixS/CME/MDH/Messaging.h>
#include <OnixS/CME/MDH/Order.h>
#include <OnixS/CME/MDH/testing/MessageBuilder.h>
#include <OnixS/CME/MDH/testing/MessageHolder.h>
#include <OnixS/CME/MDH/testing/EventFlags.h>
#include <OnixS/CME/MDH/Watch.h>
 
ONIXS_CME_MDH_TESTING_NAMESPACE_BEGIN

using IncrementalRefreshOrderBook = MessageHolder<Messaging::IncrementalRefreshOrderBook47>;

namespace details
{
    template <typename Holder>
    using EnableIncrementalRefreshOrderBook = EnableMutableMessageHolder<IncrementalRefreshOrderBook, Holder>;

    enum class IncrementalRefreshOrderBookInitializationTag {};
 
    template <Messaging::UpdateAction::Enum Action>
    struct IsOrderBookMdEntryAction : std::integral_constant<bool,
        Action == Messaging::UpdateAction::New ||
        Action == Messaging::UpdateAction::Change ||
        Action == Messaging::UpdateAction::Delete>
    {};
 
    template <Messaging::UpdateAction::Enum Action, typename Holder>
    using EnableOrderBookMdEntry = typename std::enable_if<
        IsOrderBookMdEntryAction<Action>::value, EnableIncrementalRefreshOrderBook<Holder>>::type;
 
    template <Messaging::UpdateAction::Enum Action, typename Holder>
    Messaging::IncrementalRefreshOrderBook47::Entry appendOrderBookMdEntry(
        Holder& message, SecurityId securityId, OrderId orderId, OrderPriority orderPriority,
        Messaging::Decimal9 price, DisplayQuantity quantity, Messaging::EntryTypeBook::Enum entryType)
    {
        auto entry = appendGroupEntry(message->entries(), [&message](
            typename decltype(message->entries())::Size size) { return message->entries(size); });
 
        entry.setSecurityId(securityId);
        entry.setOrderId(orderId);
        entry.setOrderPriority(orderPriority);
        entry.setEntryPx(price);
        entry.setDisplayQty(quantity);
        entry.setUpdateAction(Action);
        entry.setEntryType(entryType);
 
        return entry;
    }
 
}

template <typename Holder, details::IncrementalRefreshOrderBookInitializationTag...>
auto initialize(Holder& message, EventFlags::Bits eventIndicator, Messaging::Timestamp transactTime = UtcWatch::now()) noexcept
    -> details::EnableIncrementalRefreshOrderBook<Holder>
{
    return details::initializeMessage<IncrementalRefreshOrderBook>(message, eventIndicator, transactTime);
}

template <typename Holder, details::IncrementalRefreshOrderBookInitializationTag...>
ONIXS_CMEMDH_NODISCARD
auto initialize(EventFlags::Bits eventIndicator, Messaging::Timestamp transactTime = UtcWatch::now()) -> decltype(
    details::makeInitializationRecipe<Holder, IncrementalRefreshOrderBook>(eventIndicator, transactTime))
{
    return details::makeInitializationRecipe<Holder, IncrementalRefreshOrderBook>(eventIndicator, transactTime);
}

template <Messaging::UpdateAction::Enum Action, typename Holder>
auto addEntry(
    Holder& message, SecurityId securityId, OrderId orderId, OrderPriority orderPriority,
    Messaging::Decimal9 price, DisplayQuantity quantity, Messaging::EntryTypeBook::Enum entryType)
        -> details::EnableOrderBookMdEntry<Action, Holder>
{
    details::appendOrderBookMdEntry<Action>(
        message, securityId, orderId, orderPriority, price, quantity, entryType);
 
    return message;
}

namespace details
{
    template <Messaging::UpdateAction::Enum Action>
    struct OrderBookMdEntryOperation
    {
        template <typename Holder, typename... Arguments>
        static auto apply(Holder& message, Arguments&&... arguments) -> decltype(
            addEntry<Action>(message, std::forward<Arguments>(arguments)...),
            appendOrderBookMdEntry<Action>(message, std::forward<Arguments>(arguments)...))
        {
            return appendOrderBookMdEntry<Action>(message, std::forward<Arguments>(arguments)...);
        }
    };
 
    template <>
    struct EntryOperationSelector<IncrementalRefreshOrderBook::MessageType>
    {
        template <Messaging::UpdateAction::Enum Action, typename Holder, typename... Arguments>
        static auto apply(Holder& message, Arguments&&... arguments) -> typename std::enable_if<
            IsOrderBookMdEntryAction<Action>::value,
            decltype(OrderBookMdEntryOperation<Action>::apply(
                message, std::forward<Arguments>(arguments)...))>::type
        {
            return OrderBookMdEntryOperation<Action>::apply(
                message, std::forward<Arguments>(arguments)...);
        }
    };
}
 
ONIXS_CME_MDH_TESTING_NAMESPACE_END