EobiBook.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 <memory>

#include <OnixS/Eurex/MarketData/Defines.h>
#include <OnixS/Eurex/MarketData/Numeric.h>

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            namespace EOBI
            {
                namespace Implementation
                {
                    struct Order;
                }

                typedef UInt64 OrderId;

                struct ONIXS_EUREX_EMDI_API OrderInfo
                {
                    OrderInfo();
                    OrderInfo (OrderId orderId, QuantityType quantity);

                    OrderId orderId_;
                    QuantityType quantity_;
                };

                typedef std::vector<OrderInfo> OrderInfos;

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

                        ~PriceLevel() {};

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

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

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

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

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

                        /// 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 Decimal& value);

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

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

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

                    private:
                        Decimal price_;
                        Quantity qty_;
                        OrderInfos orders_;

                        friend struct Implementation::Order;
                };

                const Decimal& getPrice (const PriceLevel& level);

                bool isValid (const PriceLevel& level);

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

                /// Miscellaneous traits for PriceLevel class.
                struct ONIXS_EUREX_EMDI_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_EUREX_EMDI_API OrderBook
                {
                    public:
                        typedef PriceLevels PriceLevelsType;

                        /// Base initialization.
                        OrderBook ();

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

                        /// Unique instrument Id as qualified
                        SecurityId securityId() 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 (Decimal& price, QuantityType& quantity) const;

                        ///
                        bool bestBid (Decimal& price, QuantityType& 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 SecurityId doSecurityId() const = 0;
                        virtual size_t doDepth() const = 0;
                        virtual bool doBestAsk (Decimal& price, QuantityType& quantity) const = 0;
                        virtual bool doBestBid (Decimal& price, QuantityType& quantity) const = 0;

                    private:

                        void* userPointer_;
                };


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

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