File size: 3,567 Bytes
8f4d2d0 44cddac 8f4d2d0 44cddac 8f4d2d0 5759f0b 8f4d2d0 5759f0b 8f4d2d0 5759f0b 8f4d2d0 5759f0b 8f4d2d0 5759f0b 8f4d2d0 5759f0b 8f4d2d0 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 | #pragma once
#include "common/Types.hpp"
#include <vector>
#include <map>
#include <unordered_map>
#include <functional>
namespace eunex {
// ── Trade callback type ────────────────────────────────────────────
using TradeCallback = std::function<void(const Trade&)>;
using ExecCallback = std::function<void(const ExecutionReport&)>;
// ── Price-Time Priority Order Book ─────────────────────────────────
class Book {
public:
explicit Book(SymbolIndex_t symbolIdx);
void newOrder(Order& order, const TradeCallback& onTrade, const ExecCallback& onExec);
bool cancelOrder(OrderId_t orderId, ExecutionReport& report);
bool modifyOrder(OrderId_t orderId, Price_t newPrice, Quantity_t newQty,
ExecutionReport& report);
// ── Trading phase ─────────────────────────────────────────────
void setPhase(TradingPhase phase);
TradingPhase getPhase() const { return phase_; }
// Indicative Opening Price — computed during PreOpen
Price_t getIOP() const;
// Transition PreOpen → Continuous: run uncrossing at IOP
void uncross(const TradeCallback& onTrade, const ExecCallback& onExec);
// ── Stop orders ───────────────────────────────────────────────
void triggerStopOrders(Price_t tradePrice, const TradeCallback& onTrade,
const ExecCallback& onExec);
bool cancelStopOrder(OrderId_t orderId, ExecutionReport& report);
// ── Queries ────────────────────────────────────────────────────
struct Level {
Price_t price;
Quantity_t totalQty;
int orderCount;
};
std::vector<Level> getBids(int depth = 10) const;
std::vector<Level> getAsks(int depth = 10) const;
Price_t bestBid() const;
Price_t bestAsk() const;
size_t bidCount() const;
size_t askCount() const;
size_t stopOrderCount() const { return stopOrders_.size(); }
SymbolIndex_t symbolIndex() const { return symbolIdx_; }
Price_t lastTradePrice() const { return lastTradePrice_; }
private:
SymbolIndex_t symbolIdx_;
TradeId_t nextTradeId_ = 1;
OrderId_t nextOrderId_ = 1;
Price_t lastTradePrice_ = 0;
TradingPhase phase_ = TradingPhase::CTS;
using BidMap = std::map<Price_t, std::vector<Order>, std::greater<Price_t>>;
using AskMap = std::map<Price_t, std::vector<Order>, std::less<Price_t>>;
BidMap bids_;
AskMap asks_;
std::unordered_map<OrderId_t, std::pair<Side, Price_t>> orderIndex_;
// Stop orders waiting to be triggered
std::vector<Order> stopOrders_;
OrderId_t allocateOrderId() { return nextOrderId_++; }
TradeId_t allocateTradeId() { return nextTradeId_++; }
void matchBuy(Order& incoming, const TradeCallback& onTrade, const ExecCallback& onExec);
void matchSell(Order& incoming, const TradeCallback& onTrade, const ExecCallback& onExec);
void insertResting(Order& order);
void removeOrder(OrderId_t orderId, Side side, Price_t price);
template<typename MapT>
std::vector<Level> getLevels(const MapT& map, int depth) const;
};
} // namespace eunex
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