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
 * 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/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;

class OrderBookImpl;
class OrderBookProcessor;

struct ONIXS_BME_SENAF_EXPORT PriceLevel
{
    Rational price;

    Rational yield;

    int quantity;

    short positionCount;

    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;

class ONIXS_BME_SENAF_EXPORT OrderBook
{
    friend class OrderBookProcessor;
 
public:
    MarketId marketId() const;

    std::size_t depth() const;

    bool empty() const;

    const PriceLevelArray& bids() const;

    const PriceLevelArray& asks() const;

    std::string brief() const;

    void brief(std::string&) const;

    std::string toString() const;

    void toString(std::string&) const;

    ~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