MboBook.h

Go to the documentation of this file.

// 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 <OnixS/CME/MDH/BookAttributes.h>
#include <OnixS/CME/MDH/MboBookTraits.h>

ONIXS_CMEMDH_NAMESPACE_BEGIN

/// Private base for MBO book.
///
/// Manages internals related with
/// efficient order entry allocation.
class ONIXS_CMEMDH_LTWT MboBookBase
{
protected:
    /// Instantiates allocator using MemoryPool for orders.
    typedef MemoryPoolAllocator<Order> OrderAllocator;

    /// Initializes with privately maintained memory pool.
    MboBookBase()
        : pool_(*makeMemoryPool(64, 1, 20, 1))
        , releasePool_(true)
    {
    }

    /// Binds to given memory pool.
    MboBookBase(MemoryPool& sharedPool)
        : pool_(sharedPool)
        , releasePool_(false)
    {
    }

    /// Releases memory pool according to policy.
    ~MboBookBase()
    {
        if (releasePool_)
            pool_.release();
    }

    /// Allocator over memory pool.
    OrderAllocator allocator() const
    {
        return OrderAllocator(pool_);
    }

private:
    MemoryPool& pool_;
    const bool releasePool_;
};

/// Market By Order book.
class ONIXS_CMEMDH_LTWT MboBook : MboBookBase
{
public:
    /// Order as book entry.
    typedef Order Entry;

    /// Book depth type.
    typedef SortedOrders::size_type Depth;

    /// Sorted orders are book entries.
    typedef SortedOrders Entries;

    /// Iterator over bids and offers.
    typedef Entries::const_iterator EntryIterator;

    /// Initializes blank order book.
    MboBook()
        : state_(BookState::Constructed)
        , bids_(allocator())
        , offers_(allocator())
    {
    }

    /// Initializes book using given memory pool.
    MboBook(MemoryPool& pool)
        : MboBookBase(pool)
        , state_(BookState::Constructed)
        , bids_(allocator())
        , offers_(allocator())
    {
    }

    /// Initializes as copy of other book.
    MboBook(const MboBook& other)
        : MboBookBase()
        , state_(other.state())
        , bids_(allocator())
        , offers_(allocator())
    {
        bids_ = other.bids();
        offers_ = other.offers();
    }

    /// Disposes allocated resources.
    ~MboBook() {}

    /// List of descending bid prices.
    Entries& bids()
    {
        return bids_;
    }

    /// List of descending bid prices.
    Entries& operator[](const Bids&)
    {
        return bids_;
    }

    /// List of descending bid prices.
    const Entries& bids() const
    {
        return bids_;
    }

    /// List of descending bid prices.
    const Entries& operator[](const Bids&) const
    {
        return bids_;
    }

    /// List of ascending offer prices.
    Entries& offers()
    {
        return offers_;
    }

    /// List of ascending offer prices.
    Entries& operator[](const Offers&)
    {
        return offers_;
    }

    /// List of ascending offer prices.
    const Entries& offers() const
    {
        return offers_;
    }

    /// List of ascending offer prices.
    const Entries& operator[](const Offers&) const
    {
        return offers_;
    }

    /// Indicates current state of book.
    BookState::Enum state() const
    {
        return state_;
    }

    /// Updates state of book.
    void state(BookState::Enum state)
    {
        state_ = state;
    }

    /// Wipes out all bids and offers and other
    /// data associated with book (like instance
    /// of last applied FIX message).
    void reset(BookState::Enum bookState)
    {
        state(bookState);

        bids_.clear();
        offers_.clear();
    }

    /// Re-initializes as copy of other instance.
    MboBook& operator=(const MboBook& other)
    {
        if (this != &other)
        {
            state_ = other.state();

            bids_ = other.bids();
            offers_ = other.offers();
        }

        return *this;
    }

private:
    BookState::Enum state_;

    SortedOrders bids_;
    SortedOrders offers_;
};

/// Copies content of MBO book to the other one.
inline MboBook& copy(MboBook& target, const MboBook& source)
{
    target = source;
    return target;
}

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

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

    brief(str, book);

    return str;
}

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

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

    toStr(str, book);

    return str;
}

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

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

    toFormattedStr(str, book);

    return str;
}

ONIXS_CMEMDH_NAMESPACE_END