OrderBook.h

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/*
* 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 <vector>

#include <OnixS/eSpeed/MarketData/Itch/Compiler.h>
#include <OnixS/eSpeed/MarketData/Itch/ABI.h>
#include <OnixS/eSpeed/MarketData/Itch/Defines.h>
#include <OnixS/eSpeed/MarketData/Itch/Integral.h>


ONIXS_ESPEED_ITCH_NAMESPACE_BEGIN

struct Order;

struct ONIXS_ESPEED_ITCH_API OrderInfo
{
    OrderInfo();
    OrderInfo (OrderId orderId, Quantity quantity);

    OrderId orderId_;
    Quantity quantity_;
};

typedef std::vector<OrderInfo> OrderInfos;

/// Encapsulates price level concept.
struct ONIXS_ESPEED_ITCH_API PriceLevel
{
        /// Initializes the instances according to specified attributes.
        explicit
        PriceLevel (const Price8& price, Quantity quantity = 0, Quantity numberOfOrders = 0, const OrderInfos& orders = OrderInfos() );
        PriceLevel();

        ~PriceLevel() {};

#if defined(ONIXS_ESPEED_ITCH_COMPILER_CXX_RVALUE_REFERENCES) && ONIXS_ESPEED_ITCH_COMPILER_CXX_RVALUE_REFERENCES

        PriceLevel(PriceLevel&&)
        ONIXS_ESPEED_ITCH_NOTHROW;

        PriceLevel&
        operator=(PriceLevel&& other)
        ONIXS_ESPEED_ITCH_NOTHROW;
        
#endif

        PriceLevel(const PriceLevel&);

        PriceLevel&
        operator=(const PriceLevel& other);

        /// Price value.
        const Price8& price() const;

        /// Quantify for the given price.
        Quantity quantity() const;

        /// Total number of orders of given price.
        Quantity numberOfOrders() const;

        /// orders ids for a given level
        const OrderInfos& orders() const;

        /// swap values
        void swap (PriceLevel&) ONIXS_ESPEED_ITCH_NOTHROW;

        /// Returns string representation of the instance.
        std::string toString() const;

        /// Appends representation of the instance to the string.
        void toString (std::string&) const;

    private:
        /// Updates price value.
        void price (const Price8& value);

        /// Updates quantity value.
        void quantity (Quantity value);

        /// add order id to the list
        void addOrderId (OrderId id, Quantity quantity);

        /// remove order id from the list
        void removeOrderId (OrderId id);

    private:
        Price8 price_;
        Quantity qty_;
        OrderInfos orders_;

        friend struct Order;
};

const Price8& getPrice (const PriceLevel& level);

bool isValid (const PriceLevel& level) ONIXS_ESPEED_ITCH_NOTHROW;

ONIXS_ESPEED_ITCH_API
std::ostream& operator << (std::ostream& stream, const PriceLevel& value);

/// Miscellaneous traits for PriceLevel class.
struct ONIXS_ESPEED_ITCH_API PriceLevelCollections
{
    /// Sequential collection of price levels.
    typedef std::vector<PriceLevel> Array;

    /// Mutable entry iterator.
    typedef Array::iterator ArrayEntry;

    /// Iterator for read-only access.
    typedef Array::const_iterator ArrayConstEntry;
};

/// Sequence of price levels.
typedef PriceLevelCollections::Array PriceLevels;

/// Iterator to access price levels with write permissions.
typedef PriceLevelCollections::ArrayEntry PriceLevelsEntry;

/// Iterator over read-only collection of price levels.
typedef PriceLevelCollections::ArrayConstEntry PriceLevelsConstEntry;

class ONIXS_ESPEED_ITCH_API OrderBook
{
    public:
        /// Base initialization.
        OrderBook ();

        /// Destruction interface.
        virtual ~OrderBook();

        /// Unique instrument Id as qualified
        OrderBookId orderBookId() const;

        /// Indicates whether book has no bids & asks.
        bool empty() const;

        /// Returns a set of descending bid prices for the given security.
        const PriceLevels& asks() const;

        /// Returns a set of ascending ask prices for the given security.
        const PriceLevels& bids() const;

        /// Returns the maximum book depth.
        size_t depth() const;

        /// String presentation of the book.
        std::string toString() const;

        /// String presentation of the book.
        void toString (std::string&) const;

        /// Returns brief book info.
        std::string toShortString() const;

        /// Appends brief book info to the string.
        void toShortString (std::string&) const;

        /// Returns formatted presentation of the book.
        std::string toFormattedString() const;

        /// Appends Formatted presentation of the book.
        void toFormattedString (std::string&) const;

        bool bestAsk (Price8& price, Quantity& quantity) const;

        bool bestBid (Price8& price, Quantity& quantity) const;

        /// sets user data pointer
        void setUserPointer (void* pointer);

        /// returns kept user data pointer
        void* getUserPointer() const;

    private:
        virtual const PriceLevels& doAsks() const = 0;
        virtual const PriceLevels& doBids() const = 0;
        virtual OrderBookId doOrderBookId() const = 0;
        virtual size_t doDepth() const = 0;
        virtual bool doBestAsk (Price8& price, Quantity& quantity) const = 0;
        virtual bool doBestBid (Price8& price, Quantity& quantity) const = 0;

    private:
        void* userPointer_;
};


ONIXS_ESPEED_ITCH_API
std::ostream& operator << (std::ostream& stream, const OrderBook& book);

/// checks whether the given book is properly built
void checkSanity (const OrderBook& book);

ONIXS_ESPEED_ITCH_NAMESPACE_END