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Update include/Orderbook.h
Browse files- include/Orderbook.h +13 -21
include/Orderbook.h
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@@ -15,18 +15,6 @@
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#include "Types.h"
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#include "Order.h"
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#include "Trade.h"
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#include "MemoryPool.h"
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// GLOBAL MEMORY POOL (25M capacity)
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extern ObjectPool<Order, 25000000> g_OrderPool;
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// CUSTOM SPINLOCK (To avoid OS context switch)
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class SpinLock {
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std::atomic_flag flag = ATOMIC_FLAG_INIT;
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public:
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void lock() { while(flag.test_and_set(std::memory_order_acquire)) { /* spin */ } }
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void unlock() { flag.clear(std::memory_order_release); }
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};
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class Orderbook {
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public:
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Orderbook(Orderbook&&) = delete;
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Orderbook& operator=(Orderbook&&) = delete;
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Trades AddOrder (OrderPointer order);
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void CancelOrder(OrderId orderId);
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Trades ModifyOrder(OrderModify order);
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std::size_t Size() const;
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bool HasOrder(OrderId) const;
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OrderbookSnapshot GetSnapshot() const;
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Price MidPrice() const;
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Price Spread() const;
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uint64_t GetTotalOrders() const noexcept { return stats_.totalOrders.load(); }
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uint64_t GetTotalTrades() const noexcept { return stats_.totalTrades.load(); }
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uint64_t GetTotalCancels() const noexcept { return stats_.totalCancels.load(); }
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uint64_t GetTotalVolume() const noexcept { return stats_.totalVolume.load(); }
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uint64_t GetSequenceNumber() const noexcept { return stats_.seqNum.load(); }
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void
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void SetOnOrderCancelled(OnOrderCallback cb) { onCancelled_ = std::move(cb); }
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void CheckAndTriggerStops(Price lastTrade);
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std::multimap<Price, OrderPointer> stopBuys_;
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std::multimap<Price, OrderPointer, std::greater<Price>> stopSells_;
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mutable SpinLock ordersMutex_;
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std::mutex cvMutex_; // Only for sleep/CV
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std::thread pruneThread_;
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std::condition_variable shutdownCV_;
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std::atomic<bool> shutdown_{false};
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void CancelOrdersInternal(const OrderIds& ids);
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void CancelOrderInternal (OrderId orderId);
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bool CanMatch (Side side, Price price) const;
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bool CanFullyFill (Side side, Price price, Quantity qty) const;
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@@ -120,6 +114,4 @@ private:
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void OnOrderAdded (OrderPointer order);
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void OnOrderCancelled (OrderPointer order);
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void OnOrderMatched (Price price, Quantity qty, bool fullyFilled);
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};
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}
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#include "Types.h"
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#include "Order.h"
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#include "Trade.h"
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class Orderbook {
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public:
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Orderbook(Orderbook&&) = delete;
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Orderbook& operator=(Orderbook&&) = delete;
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// ─── Core API ─────────────────────────────────────────────────────────────
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Trades AddOrder (OrderPointer order);
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void CancelOrder(OrderId orderId);
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Trades ModifyOrder(OrderModify order);
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// ─── Query API ────────────────────────────────────────────────────────────
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std::size_t Size() const;
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bool HasOrder(OrderId) const;
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OrderbookSnapshot GetSnapshot() const;
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Price MidPrice() const;
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Price Spread() const;
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// ─── Statistics ───────────────────────────────────────────────────────────
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uint64_t GetTotalOrders() const noexcept { return stats_.totalOrders.load(); }
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uint64_t GetTotalTrades() const noexcept { return stats_.totalTrades.load(); }
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uint64_t GetTotalCancels() const noexcept { return stats_.totalCancels.load(); }
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uint64_t GetTotalVolume() const noexcept { return stats_.totalVolume.load(); }
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uint64_t GetSequenceNumber() const noexcept { return stats_.seqNum.load(); }
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// ─── Event Hooks ──────────────────────────────────────────────────────────
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void SetOnTrade(OnTradeCallback cb) { onTrade_ = std::move(cb); }
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void SetOnOrderAdded(OnOrderCallback cb) { onAdded_ = std::move(cb); }
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void SetOnOrderCancelled(OnOrderCallback cb) { onCancelled_ = std::move(cb); }
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void CheckAndTriggerStops(Price lastTrade);
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std::multimap<Price, OrderPointer> stopBuys_;
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std::multimap<Price, OrderPointer, std::greater<Price>> stopSells_;
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mutable std::mutex ordersMutex_;
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std::thread pruneThread_;
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std::condition_variable shutdownCV_;
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std::atomic<bool> shutdown_{false};
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void CancelOrdersInternal(const OrderIds& ids);
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void CancelOrderInternal (OrderId orderId);
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// BUG FIX: Internal add/match that assumes mutex is already held.
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// Required to fix the deadlock in CheckAndTriggerStops and the race
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// condition in ModifyOrder.
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Trades AddOrderInternal(OrderPointer order);
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bool CanMatch (Side side, Price price) const;
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bool CanFullyFill (Side side, Price price, Quantity qty) const;
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void OnOrderAdded (OrderPointer order);
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void OnOrderCancelled (OrderPointer order);
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void OnOrderMatched (Price price, Quantity qty, bool fullyFilled);
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};
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