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 "Export.h"
#include "Containers.h"
#include "Rational.h"
#include "Time.h"
#include "Types.h"

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

/// forward declarations
class OrderBookHolder;

/// \brief Defines data for single price level of order book.
struct ONIXS_ICEMDH_EXPORT PriceLevel
{
    typedef Rational Price;

    /// Raw exchange price (fixed point).
    Rational price;

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

    /// Implied order quantity at price.
    int impliedQuantity;

    /// Order count at price.
    short orderCount;

    /// Implied order count at price.
    short impliedOrderCount;

    /// Constructor.
    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)
    {
    }
};

/// /brief Defines data for single entry of full order depth book.
struct ONIXS_ICEMDH_EXPORT Order
{
    typedef OnixS::ICE::iMpact::MarketData::OrderId OrderId;

    /// Order ID unique for market.
    OrderId orderId;

    /// Order entry date/time (milliseconds since 01-01-1970 00:00 GMT).
    DateTime entryDateTime;

    /// Raw exchange price (fixed point).
    Rational price;

    /// Order quantity.
    int quantity;

    /// Sub-milliseconds ordering sequence.
    int sequenceWithinMillis;

    /// Legacy order modification count.
    short orderSequenceId;

    /// True if order is implied.
    bool isImplied;

    /// True if order is Request For Quote.
    bool isRFQ;

    /// Constructor.
    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;

/// \brief Book instance composing price level book and full order depth book.
class ONIXS_ICEMDH_EXPORT OrderBook
{
public:
    /// Unique identifier of a market.
    MarketId marketId() const;

    /// Returns the maximum book depth.
    std::size_t depth() const;

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

    /// Gets bid side of the price level book.
    const PriceLevelArray& bids() const;

    /// Gets offer side of the price level book.
    const PriceLevelArray& offers() const;

    /// Gets bid side of the full order depth book.
    const OrderArray& bidOrders() const;

    /// Gets offer side of the full order depth book.
    const OrderArray& offerOrders() const;

    /// Returns brief book info.
    std::string brief() const;

    /// Appends brief book info to the string.
    void brief(std::string&) const;

    /// String presentation of the book.
    std::string toString() const;

    /// String presentation of the book.
    void toString(std::string&) const;

    /// Creates immutable snapshot of the book owned by caller.
    /// It's responsibility of caller to delete returned snapshot.
    const OrderBook* snapshot() const;

    /// Destructor
    ~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 MarketData, iMpact, ICE, OnixS