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;

struct ONIXS_ESPEED_ITCH_API PriceLevel
{
        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);

        const Price8& price() const;

        Quantity quantity() const;

        Quantity numberOfOrders() const;

        const OrderInfos& orders() const;

        void swap (PriceLevel&) ONIXS_ESPEED_ITCH_NOTHROW;

        std::string toString() const;

        void toString (std::string&) const;
 
    private:
        void price (const Price8& value);

        void quantity (Quantity value);

        void addOrderId (OrderId id, Quantity quantity);

        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);

struct ONIXS_ESPEED_ITCH_API PriceLevelCollections
{
    typedef std::vector<PriceLevel> Array;

    typedef Array::iterator ArrayEntry;

    typedef Array::const_iterator ArrayConstEntry;
};

typedef PriceLevelCollections::Array PriceLevels;

typedef PriceLevelCollections::ArrayEntry PriceLevelsEntry;

typedef PriceLevelCollections::ArrayConstEntry PriceLevelsConstEntry;
 
class ONIXS_ESPEED_ITCH_API OrderBook
{
    public:
        OrderBook ();

        virtual ~OrderBook();

        OrderBookId orderBookId() const;

        bool empty() const;

        const PriceLevels& asks() const;

        const PriceLevels& bids() const;

        size_t depth() const;

        std::string toString() const;

        void toString (std::string&) const;

        std::string toShortString() const;

        void toShortString (std::string&) const;

        std::string toFormattedString() const;

        void toFormattedString (std::string&) const;
 
        bool bestAsk (Price8& price, Quantity& quantity) const;
 
        bool bestBid (Price8& price, Quantity& quantity) const;

        void setUserPointer (void* 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);

void checkSanity (const OrderBook& book);
 
ONIXS_ESPEED_ITCH_NAMESPACE_END