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
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 * to any other location for further reproduction or redistribution, and any
 * amendments to this copyright notice, are expressly prohibited.
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 */

#pragma once

#include <OnixS/Senaf/MarketData/Containers.h>
#include <OnixS/Senaf/MarketData/Export.h>
#include <OnixS/Senaf/MarketData/Rational.h>

namespace OnixS { namespace Senaf { namespace MarketData {

typedef unsigned int MarketId;

/// forward declarations
class OrderBookImpl;
class OrderBookProcessor;

/// \brief Defines data for single price level of order book.
struct ONIXS_BME_SENAF_EXPORT PriceLevel
{
    /// Raw exchange price (fixed point).
    Rational price;

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

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

    /// Positions count at price.
    short positionCount;

    /// Constructor.
    explicit PriceLevel(
        const Rational& inPrice = Rational(),
        const Rational& inYield = Rational(),
        int inQuantity = 0,
        short inPositionCount = 0
    )
      : price(inPrice)
      , yield(inYield)
      , quantity(inQuantity)
      , positionCount(inPositionCount)
    {
    }
};

typedef ArrayRef<const PriceLevel, std::size_t> PriceLevelArray;

/// \brief Book instance composing price level book and full order depth book.
class ONIXS_BME_SENAF_EXPORT OrderBook
{
    friend class OrderBookProcessor;

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& asks() 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;

    /// Destructor
    ~OrderBook();

private:
    OrderBook(OrderBookImpl*);

    // No implementation
    OrderBook(const OrderBook&);
    OrderBook& operator=(const OrderBook&);

    OrderBookImpl* 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::Senaf::MarketData