OrderBookChangeListener.h

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/*
 * Copyright (c) Onix Solutions Limited. All rights reserved.
 *
 * This software owned by Onix Solutions Limited 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 "Enumerations.h"
#include "Export.h"
#include "Rational.h"
#include "Types.h"

namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {

// Forward declarations
class OrderBook;
struct MessageInfo;

struct ONIXS_ICEMDH_EXPORT OrderBookChange
{
    /// Side.
    Side::Enum side;

    /// Price.
    Rational price;

    /// Total order quantity at price.
    int quantity;

    /// Order count at price.
    short orderCount;

    /// Constructor
    OrderBookChange(Side::Enum side, const Rational& price, int quantity, short orderCount);

    /// Convert to string
    std::string toString() const;
};

/// Defines the interface through which the Handler
/// notifies subscribers about detected changes in books.
class ONIXS_ICEMDH_EXPORT OrderBookChangeListener
{
public:
    /// Is called when book is reset for a given instrument.
    ///
    /// \param book is a 'up-to-date' book associated with given market.
    virtual void onOrderBookReset(const OrderBook& book) = 0;

    /// Is called when a change for a particular order book is reported.
    ///
    /// The following messages affect the event:
    ///
    /// - Market Snapshot Message
    /// - Market Snapshot Price Level Message
    /// - Add Price Level Message
    /// - Change Price Level Message
    /// - Delete Price Level Message
    /// - Market Snapshot Order Message
    /// - Add/Modify Order Message
    /// - Delete Order Message
    /// - Trade Message
    ///
    /// \param marketId is a market ID for the order book
    /// \param change is a change in the order book
    virtual void onOrderBookChanged(MarketId marketId, const OrderBookChange& change) = 0;

protected:
    virtual ~OrderBookChangeListener() {}
};

}}}} // namespace OnixS::ICE::iMpact::MarketData