OrderBookHolder.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 "BookImpl.h"

#include <boost/functional/hash.hpp>
#include <boost/function.hpp>

#include <map>
#include <set>

#include <boost/scoped_ptr.hpp>
#include <boost/atomic.hpp>

#include "NamespaceHelper.h"

ONIXS_HANDLER_NAMESPACE_BEGIN

struct AddOrderMsg;
struct OrderExecutedMsg;
struct OrderExecutedWithPriceMsg;
struct OrderReplaceMsg;
struct OrderDeleteMsg;

class SnapshotOrder;
class OrderBookInternal;

using OnixS::HandlerCore::MarketData::OrderBookRegistry;

class ListenerHolder;

static const size_t DefaultBookDepth = 5;

class OrderBookCreator : public OnixS::HandlerCore::MarketData::FullOrderDepthBookCreator<OrderBookInternal, false>
{
public:
    typedef OnixS::HandlerCore::MarketData::FullOrderDepthBookCreator<OrderBookInternal, false> FullOrderDepthBookCreator;
    typedef OrderBookInternal::OrderIdMap OrderIdMap;

    OrderBookCreator(size_t bookDepth, OrderBookAllocator* bookAllocator);
    OrderBookCreator(const OrderBookCreator& other);
    boost::shared_ptr<OrderBookInternal> operator()(const OrderBookId& id) const;
    void reset();

private:
    const size_t bookDepth_;
    OrderBookAllocator* const bookAllocator_;
};


class OrderBookHolder
{
public:
    typedef OrderBookRegistry<OrderBookId, OrderBookInternal, OrderBookCreator> BookRegistry;
    typedef BookRegistry::BookPtr BookPtr;
    typedef boost::function<void(const OrderBookInternal&)> OnOrderBookUpdatedCallback;

    OrderBookHolder(const OnOrderBookUpdatedCallback& onOrderBookUpdated, OrderBookAllocator* bookAllocator, size_t bookDepth = DefaultBookDepth);

    void onOrderAdd(const AddOrderMsg&);
    void onOrderReplace(const OrderReplaceMsg&);
    void onOrderExecuted(const OrderExecutedMsg&);
    void onOrderExecutedWithPrice(const OrderExecutedWithPriceMsg&);
    void onOrderDelete(const OrderDeleteMsg&);


    void onBookOutOfDate(const boost::function<void(const OrderBookInternal&)>& onOrderBookOutOfDate);
    void reset();

    void snapshotRecoveryStarted();
    void snapshotRecoveryFinished();

private:
    template <typename OrderList>
    bool checkOrderExistence(const OrderList& map, OrderId orderid, bool shouldExist);

    Side::Enum getOrderSide(BookPtr ptr, OrderId orderId);

    void onBookChanged(const OrderBookInternal& book);

private:
    boost::scoped_ptr<BookRegistry> impl_;
    OnOrderBookUpdatedCallback onOrderBookUpdated_;

    typedef OnixS::PoolAllocator<BookPtr> BookPtrMapAllocator;
    std::set<BookPtr, std::less<BookPtr>, BookPtrMapAllocator> books_;

    boost::atomic_bool snapshotRecoveryInProgress_;
};


ONIXS_HANDLER_NAMESPACE_END