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 <OnixS/Eurex/MarketData/Defines.h>
 
#include <vector>
 
namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            struct ONIXS_EUREX_EMDI_API PriceLevel
            {
                public:
                    PriceLevel();

                    PriceLevel (Decimal price, Quantity quantity, Quantity numberOfOrders);

                    Decimal price() const;

                    void price (Decimal value);

                    Quantity quantity() const;

                    void quantity (Quantity value);

                    Quantity numberOfOrders() const;

                    void numberOfOrders (Quantity value);

                    std::string toString() const;

                    void toString (std::string&) const;
 
                protected:
                    Decimal price_;
 
                    Quantity qty_;
                    Quantity ordersQty_;
            };

            bool operator ==(const PriceLevel& l, const PriceLevel& r);

            std::ostream& operator<< (std::ostream& s, const PriceLevel& lvl);
 
 
            inline Decimal PriceLevel::price() const
            {
                return price_;
            }
 
            inline void PriceLevel::price (Decimal value)
            {
                price_ = value;
            }
 
            inline Quantity PriceLevel::quantity() const
            {
                return qty_;
            }
 
            inline void PriceLevel::quantity (Quantity value)
            {
                qty_ = value;
            }
 
            inline Quantity PriceLevel::numberOfOrders() const
            {
                return ordersQty_;
            }
 
            inline void PriceLevel::numberOfOrders (Quantity value)
            {
                ordersQty_ = value;
            }
 
            inline std::string PriceLevel::toString() const
            {
                std::string str;
 
                toString (str);
 
                return str;
            }
 
            bool isValid (const PriceLevel& level);

            struct ONIXS_EUREX_EMDI_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_EUREX_EMDI_API OrderBook
            {
                public:
                    typedef PriceLevels PriceLevelsType;

                    virtual ~OrderBook();

                    SecurityId securityId() const;

                    virtual UInt32 lastMsgSeqNumProcessed() const = 0;

                    size_t depth() const;

                    bool empty() const;

                    virtual const PriceLevels& asks() const = 0;

                    virtual const PriceLevels& bids() const = 0;

                    virtual bool bestAsk (Decimal& price, Quantity& quantity) const = 0;

                    virtual bool bestBid (Decimal& price, Quantity& quantity) const = 0;

                    virtual UInt64 mdEntryTime () const = 0;

                    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;

                    OrderBook* snapshot() const;

                    void* operator new (size_t bookSize);

                    void operator delete (void* book);
 
                protected:
                    // Security id.
                    SecurityId securityId_;
 
                    // Depth (max num. of price levels) of book.
                    size_t depth_;
 
                    // Base initialization.
                    OrderBook (SecurityId securityId, size_t bookDepth);
 
                private:
                    // No public copies are allowed.
                    // Snapshot creation is exposed instead.
 
                    OrderBook (const OrderBook& book);
                    OrderBook& operator= (const OrderBook& book);
            };

            void checkSanity (const OrderBook& book);
 
            inline SecurityId OrderBook::securityId() const
            {
                return securityId_;
            }
 
            inline size_t OrderBook::depth() const
            {
                return depth_;
            }
 
            inline bool OrderBook::empty() const
            {
                return bids().empty() && asks().empty();
            }
 
            inline std::string OrderBook::toString() const
            {
                std::string str;
 
                toString (str);
 
                return str;
            }
 
            inline std::string OrderBook::toShortString() const
            {
                std::string str;
 
                toShortString (str);
 
                return str;
            }
 
            inline std::string OrderBook::toFormattedString() const
            {
                std::string str;
 
                toFormattedString (str);
 
                return str;
            }
        }
    }
}