OrderBook.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/FenicsUST/MarketData/Bimp/ABI.h>
#include <OnixS/FenicsUST/MarketData/Bimp/Defines.h>
#include <OnixS/FenicsUST/MarketData/Bimp/String.h>

#include <vector>
#include <memory>

namespace OnixS
{
    namespace FenicsUST
    {
        namespace MarketData
        {
            namespace Bimp
            {
                struct ONIXS_FENICSUST_BIMP_API OrderInfo
                {
                    OrderInfo() ONIXS_FENICSUST_BIMP_NOTHROW;
                    OrderInfo (OrderId orderId, Quantity quantity) ONIXS_FENICSUST_BIMP_NOTHROW;

                    OrderId orderId_;
                    Quantity quantity_;
                };

                typedef std::vector<OrderInfo> OrderInfos;

                /// Encapsulates price level concept.
                struct ONIXS_FENICSUST_BIMP_API PriceLevel
                {
                    /// Default initialization.
                    PriceLevel();

                    /// Initializes the instances according to specified attributes.
                    explicit
                    PriceLevel (const Price& price,
                        Quantity quantity = 0,
                        Quantity numberOfOrders = 0,
                        Integer8 imestamp = 0,
                        const OrderInfos& orders = OrderInfos() );

#if defined(ONIXS_FENICSUST_BIMP_COMPILER_CXX_RVALUE_REFERENCES) && ONIXS_FENICSUST_BIMP_COMPILER_CXX_RVALUE_REFERENCES

                        PriceLevel(PriceLevel&&)
                        ONIXS_FENICSUST_BIMP_NOTHROW;

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

#if defined(ONIXS_FENICSUST_BIMP_COMPILER_CXX_DEFAULTED_FUNCTIONS) && ONIXS_FENICSUST_BIMP_COMPILER_CXX_DEFAULTED_FUNCTIONS
                    PriceLevel(const PriceLevel&) = default;
#else
                    PriceLevel(const PriceLevel&);
#endif

                    PriceLevel&
                    operator=(const PriceLevel& other);

                    /// Price8 value.
                    const Price& getPrice() const
                    ONIXS_FENICSUST_BIMP_NOTHROW;

                    /// Updates price value.
                    void setPrice (const Price& value)
                    ONIXS_FENICSUST_BIMP_NOTHROW;

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

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

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

                    /// Updates total number of orders.
                    void numberOfOrders (Quantity value)
                    ONIXS_FENICSUST_BIMP_NOTHROW;

                    /// Timestamp
                    Integer8 timestamp() const
                    ONIXS_FENICSUST_BIMP_NOTHROW;

                    ///
                    void timestamp(Integer8)
                    ONIXS_FENICSUST_BIMP_NOTHROW;

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

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

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

                    /// returns list of order IDs for the price level
                    const OrderInfos& orders() const
                    ONIXS_FENICSUST_BIMP_NOTHROW;

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

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

                    /// upate order by Id
                    void updateOrderId(OrderId id, Quantity quantity);

                private:
                    Price price_;
                    Quantity qty_;
                    Quantity ordersQty_;
                    Integer8 timestamp_;
                    OrderInfos orders_;
                };

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

                /// Indicates whether the instance of PriceLevel is valid.
                bool isValid (const PriceLevel& level)
                ONIXS_FENICSUST_BIMP_NOTHROW;

                /// Returns value of Price8
                const Price& getPrice (const PriceLevel& level)
                ONIXS_FENICSUST_BIMP_NOTHROW;

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


                /// Miscellaneous traits for PriceLevel class.
                struct ONIXS_FENICSUST_BIMP_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;

                /// Order Book.
                /// A set of bid prices and ask prices for the given
                /// security (bids are descending and asks are ascending).
                /// The quantity is provided at each price level.
                class ONIXS_FENICSUST_BIMP_API OrderBook
                {
                    public:
                        // Base initialization.
                        OrderBook ();

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

                        /// Instrument Id
                        InstrumentId instrumentId() const;

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

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

                        bool bestBid (Price& price, Quantity& quantity) 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;

                        /// 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 Last Message Seq Num Applied to the Book
                        UInt64 lastMessageSeqNumApplied() const;


                    private:
                        virtual const PriceLevels& doAsks() const = 0;
                        virtual const PriceLevels& doBids() const = 0;
                        virtual bool doBestAsk (Price& price, Quantity& quantity) const = 0;
                        virtual bool doBestBid (Price& price, Quantity& quantity) const = 0;
                        virtual InstrumentId doInstrumentID() const = 0;
                        virtual UInt64 doLastMessageSeqNumApplied() const = 0;
                };

                inline const Price& PriceLevel::getPrice() const
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return price_;
                }

                inline void PriceLevel::setPrice (const Price& value)
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    price_ = value;
                }

                inline Quantity PriceLevel::quantity() const
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return qty_;
                }

                inline void PriceLevel::quantity (Quantity value)
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    qty_ = value;
                }

                inline Quantity PriceLevel::numberOfOrders() const
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return ordersQty_;
                }

                inline void PriceLevel::numberOfOrders (Quantity value)
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    ordersQty_ = value;
                }

                inline const Price& getPrice (const PriceLevel& level)
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return level.getPrice();
                }

                inline bool isValid (const PriceLevel& level)
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return (level.quantity() != 0);
                }

                inline Integer8 PriceLevel::timestamp() const
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return timestamp_;
                }

                inline void PriceLevel::timestamp(Integer8 timestamp)
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    timestamp_ = timestamp;
                }

                inline bool operator== (const PriceLevel& l, const PriceLevel& r)
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return (l.quantity() == r.quantity() ) && (l.numberOfOrders() == r.numberOfOrders() ) && (l.getPrice() == r.getPrice() );
                }

                inline const PriceLevels& OrderBook::asks() const
                {
                    return doAsks();
                }

                inline const PriceLevels& OrderBook::bids() const
                {
                    return doBids();
                }

                inline bool OrderBook::bestAsk (Price& price, Quantity& quantity ) const
                {
                    return doBestAsk (price, quantity);
                }

                inline bool OrderBook::bestBid (Price& price, Quantity& quantity ) const
                {
                    return doBestBid (price, quantity);
                }

                inline InstrumentId OrderBook::instrumentId() const
                {
                    return doInstrumentID();
                }

                inline bool OrderBook::empty() const
                ONIXS_FENICSUST_BIMP_NOTHROW
                {
                    return bids().empty() && asks().empty();
                }

                inline UInt64 OrderBook::lastMessageSeqNumApplied() const
                {
                    return doLastMessageSeqNumApplied();
                }
            }
        }
    }
}