OrderBook.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 "Containers.h"
#include "Export.h"
#include "Rational.h"
#include "Time.h"
#include "Types.h"
 
namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {

class OrderBookHolder;

struct ONIXS_ICEMDH_EXPORT PriceLevel
{
    typedef Rational Price;

    Rational price;

    int quantity;

    int impliedQuantity;

    short orderCount;

    short impliedOrderCount;

    explicit PriceLevel(
        const Rational& inPrice = Rational(),
        int inQuantity = 0,
        int inImpliedQuantity = 0,
        short inOrderCount = 0,
        short inImpliedOrderCount = 0
    )
      : price(inPrice)
      , quantity(inQuantity)
      , impliedQuantity(inImpliedQuantity)
      , orderCount(inOrderCount)
      , impliedOrderCount(inImpliedOrderCount)
    {
    }
};

struct ONIXS_ICEMDH_EXPORT Order
{
    typedef OnixS::ICE::iMpact::MarketData::OrderId OrderId;

    OrderId orderId;

    DateTime entryDateTime;

    Rational price;

    int quantity;

    int sequenceWithinMillis;

    short orderSequenceId;

    bool isImplied;

    bool isRFQ;

    explicit Order(
        OrderId inOrderId = OrderId(),
        const DateTime& inEntryDateTime = DateTime(),
        const Rational& inPrice = Rational(),
        int inQuantity = 0,
        int inSequenceWithinMillis = 0,
        short inOrderSequenceId = 0,
        bool inIsImplied = false,
        bool inIsRFQ = false
    )
      : orderId(inOrderId)
      , entryDateTime(inEntryDateTime)
      , price(inPrice)
      , quantity(inQuantity)
      , sequenceWithinMillis(inSequenceWithinMillis)
      , orderSequenceId(inOrderSequenceId)
      , isImplied(inIsImplied)
      , isRFQ(inIsRFQ)
    {
    }
};
 
typedef ArrayRef<const PriceLevel, std::size_t> PriceLevelArray;
typedef ArrayRef<const Order, std::size_t> OrderArray;

class ONIXS_ICEMDH_EXPORT OrderBook
{
public:
    MarketId marketId() const;

    std::size_t depth() const;

    bool empty() const;

    const PriceLevelArray& bids() const;

    const PriceLevelArray& offers() const;

    const OrderArray& bidOrders() const;

    const OrderArray& offerOrders() const;

    std::string brief() const;

    void brief(std::string&) const;

    std::string toString() const;

    void toString(std::string&) const;

    const OrderBook* snapshot() const;

    ~OrderBook();
 
private:
    friend class OrderBookHolder;
    struct Impl;
 
    OrderBook(Impl*);
 
    // No implementation
    OrderBook(const OrderBook&);
    OrderBook& operator=(const OrderBook&);
 
    Impl* impl_;
};
 
inline std::string OrderBook::brief() const
{
    std::string str;
    brief(str);
    return str;
}
 
inline std::string OrderBook::toString() const
{
    std::string str;
    toString(str);
    return str;
}
 
}}}} // namespace OnixS::ICE::iMpact::MarketData