Market manager. More...

#include <market_manager.h>

Public Types
typedef std::vector< Symbol * >	Symbols
	Symbols container. More...

typedef std::vector< OrderBook * >	OrderBooks
	Order books container. More...

typedef CppCommon::HashMap< uint64_t, OrderNode *, FastHash >	Orders
	Orders container. More...

Public Member Functions
	MarketManager ()

	MarketManager (MarketHandler &market_handler)

	MarketManager (const MarketManager &)=delete

	MarketManager (MarketManager &&)=delete

	~MarketManager ()

MarketManager &	operator= (const MarketManager &)=delete

MarketManager &	operator= (MarketManager &&)=delete

const Symbols &	symbols () const noexcept
	Get the symbols container. More...

const OrderBooks &	order_books () const noexcept
	Get the order books container. More...

const Orders &	orders () const noexcept
	Get the orders container. More...

const Symbol *	GetSymbol (uint32_t id) const noexcept
	Get the symbol with the given Id. More...

const OrderBook *	GetOrderBook (uint32_t id) const noexcept
	Get the order book for the given symbol Id. More...

const Order *	GetOrder (uint64_t id) const noexcept
	Get the order with the given Id. More...

ErrorCode	AddSymbol (const Symbol &symbol)
	Add a new symbol. More...

ErrorCode	DeleteSymbol (uint32_t id)
	Delete the symbol. More...

ErrorCode	AddOrderBook (const Symbol &symbol)
	Add a new order book. More...

ErrorCode	DeleteOrderBook (uint32_t id)
	Delete the order book. More...

ErrorCode	AddOrder (const Order &order)
	Add a new order. More...

ErrorCode	ReduceOrder (uint64_t id, uint64_t quantity)
	Reduce the order by the given quantity. More...

ErrorCode	ModifyOrder (uint64_t id, uint64_t new_price, uint64_t new_quantity)
	Modify the order. More...

ErrorCode	MitigateOrder (uint64_t id, uint64_t new_price, uint64_t new_quantity)
	Mitigate the order. More...

ErrorCode	ReplaceOrder (uint64_t id, uint64_t new_id, uint64_t new_price, uint64_t new_quantity)
	Replace the order with a similar order but different Id, price and quantity. More...

ErrorCode	ReplaceOrder (uint64_t id, const Order &new_order)
	Replace the order with a new one. More...

ErrorCode	DeleteOrder (uint64_t id)
	Delete the order. More...

ErrorCode	ExecuteOrder (uint64_t id, uint64_t quantity)
	Execute the order. More...

ErrorCode	ExecuteOrder (uint64_t id, uint64_t price, uint64_t quantity)
	Execute the order. More...

bool	IsMatchingEnabled () const noexcept
	Is automatic matching enabled? More...

void	EnableMatching ()
	Enable automatic matching. More...

void	DisableMatching ()
	Disable automatic matching. More...

void	Match ()
	Match crossed orders in all order books. More...

Friends
class	OrderBook

Detailed Description

Market manager.

Market manager is used to manage the market with symbols, orders and order books.

Automatic orders matching can be enabled with EnableMatching() method or can be manually performed with Match() method.

Not thread-safe.

Definition at line 38 of file market_manager.h.

Member Typedef Documentation

◆ OrderBooks

typedef std::vector<OrderBook*> CppTrader::Matching::MarketManager::OrderBooks

Order books container.

Definition at line 46 of file market_manager.h.

◆ Orders

typedef CppCommon::HashMap<uint64_t, OrderNode*, FastHash> CppTrader::Matching::MarketManager::Orders

Orders container.

Definition at line 48 of file market_manager.h.

◆ Symbols

typedef std::vector<Symbol*> CppTrader::Matching::MarketManager::Symbols

Symbols container.

Definition at line 44 of file market_manager.h.

Constructor & Destructor Documentation

◆ MarketManager() [1/4]

CppTrader::Matching::MarketManager::MarketManager ( )

inline

Definition at line 12 of file market_manager.inl.

◆ MarketManager() [2/4]

CppTrader::Matching::MarketManager::MarketManager ( MarketHandler & market_handler )

inline

Definition at line 17 of file market_manager.inl.

◆ MarketManager() [3/4]

CppTrader::Matching::MarketManager::MarketManager ( const MarketManager & )

delete

◆ MarketManager() [4/4]

CppTrader::Matching::MarketManager::MarketManager ( MarketManager && )

delete

◆ ~MarketManager()

CppTrader::Matching::MarketManager::~MarketManager ( )

Definition at line 16 of file market_manager.cpp.

Member Function Documentation

◆ AddOrder()

ErrorCode CppTrader::Matching::MarketManager::AddOrder ( const Order & order )

Add a new order.

Parameters

order - Order to add

Returns: Error code

Definition at line 135 of file market_manager.cpp.

◆ AddOrderBook()

ErrorCode CppTrader::Matching::MarketManager::AddOrderBook ( const Symbol & symbol )

Add a new order book.

Parameters

symbol - Symbol of the order book to add

Returns: Error code

Definition at line 82 of file market_manager.cpp.

◆ AddSymbol()

ErrorCode CppTrader::Matching::MarketManager::AddSymbol ( const Symbol & symbol )

Add a new symbol.

Parameters

symbol - Symbol to add

Returns: Error code

Definition at line 36 of file market_manager.cpp.

◆ DeleteOrder()

ErrorCode CppTrader::Matching::MarketManager::DeleteOrder ( uint64_t id )

Delete the order.

Parameters

id	- Order Id

Returns: Error code

Definition at line 815 of file market_manager.cpp.

◆ DeleteOrderBook()

ErrorCode CppTrader::Matching::MarketManager::DeleteOrderBook ( uint32_t id )

Delete the order book.

Parameters

id	- Symbol Id of the order book

Returns: Error code

Definition at line 114 of file market_manager.cpp.

◆ DeleteSymbol()

ErrorCode CppTrader::Matching::MarketManager::DeleteSymbol ( uint32_t id )

Delete the symbol.

Parameters

id	- Symbol Id

Returns: Error code

Definition at line 61 of file market_manager.cpp.

◆ DisableMatching()

void CppTrader::Matching::MarketManager::DisableMatching ( )

inline

Disable automatic matching.

Definition at line 214 of file market_manager.h.

◆ EnableMatching()

void CppTrader::Matching::MarketManager::EnableMatching ( )

inline

Enable automatic matching.

Definition at line 212 of file market_manager.h.

◆ ExecuteOrder() [1/2]

ErrorCode CppTrader::Matching::MarketManager::ExecuteOrder	(	uint64_t	id,
		uint64_t	price,
		uint64_t	quantity
	)

Execute the order.

Parameters

id	- Order Id
price	- Order executed price
quantity	- Order executed quantity

Returns: Error code

Definition at line 968 of file market_manager.cpp.

◆ ExecuteOrder() [2/2]

ErrorCode CppTrader::Matching::MarketManager::ExecuteOrder	(	uint64_t	id,
		uint64_t	quantity
	)

Execute the order.

Parameters

id	- Order Id
quantity	- Order executed quantity

Returns: Error code

Definition at line 877 of file market_manager.cpp.

◆ GetOrder()

const Order * CppTrader::Matching::MarketManager::GetOrder ( uint64_t id ) const

inlinenoexcept

Get the order with the given Id.

Parameters

id	- Order Id

Returns: Pointer to the order with the given Id or nullptr

Definition at line 44 of file market_manager.inl.

◆ GetOrderBook()

const OrderBook * CppTrader::Matching::MarketManager::GetOrderBook ( uint32_t id ) const

inlinenoexcept

Get the order book for the given symbol Id.

Parameters

id	- Symbol Id of the order book

Returns: Pointer to the order book with the given symbol Id or nullptr

Definition at line 39 of file market_manager.inl.

◆ GetSymbol()

const Symbol * CppTrader::Matching::MarketManager::GetSymbol ( uint32_t id ) const

inlinenoexcept

Get the symbol with the given Id.

Parameters

id	- Symbol Id

Returns: Pointer to the symobl with the given Id or nullptr

Definition at line 34 of file market_manager.inl.

◆ IsMatchingEnabled()

bool CppTrader::Matching::MarketManager::IsMatchingEnabled ( ) const

inlinenoexcept

Is automatic matching enabled?

Definition at line 210 of file market_manager.h.

◆ Match()

void CppTrader::Matching::MarketManager::Match ( )

Match crossed orders in all order books.

Method will match all crossed orders in each order book. Buy orders will be matched with sell orders at arbitrage price starting from the top of the book. Matched orders will be executed with deleted form the order book. After the matching operation each order book will have the best bid price guarantied less than the best ask price!

Definition at line 1059 of file market_manager.cpp.

◆ MitigateOrder()

ErrorCode CppTrader::Matching::MarketManager::MitigateOrder	(	uint64_t	id,
		uint64_t	new_price,
		uint64_t	new_quantity
	)

Mitigate the order.

The in-flight mitigation functionality prevents an order from being filled for a quantity greater than the quantity requested by the user. It protects from the risk of a resting order being filled between the time an order modification is submitted and the time the order modification is processed and applied to the order.

Order new quantity will be calculated in a following way:

if (new_quantity > oder.ExecutedQuantity)
{
    oder.Quantity = new_quantity;
    oder.LeavesQuantity = new_quantity - oder.ExecutedQuantity;
 
    // Order will be modified...
}
else
{
    oder.Quantity = new_quantity;
    oder.LeavesQuantity = 0;
 
    // Order will be canceled...
}

Parameters

id	- Order Id
new_price	- Order price to mitigate
new_quantity	- Order quantity to mitigate

Returns: Error code

Definition at line 562 of file market_manager.cpp.

◆ ModifyOrder()

ErrorCode CppTrader::Matching::MarketManager::ModifyOrder	(	uint64_t	id,
		uint64_t	new_price,
		uint64_t	new_quantity
	)

Modify the order.

Order new quantity will be calculated in a following way:

oder.Quantity = new_quantity;

oder.LeavesQuantity = new_quantity;

Parameters

id	- Order Id
new_price	- Order price to modify
new_quantity	- Order quantity to modify

Returns: Error code

Definition at line 557 of file market_manager.cpp.

◆ operator=() [1/2]

MarketManager& CppTrader::Matching::MarketManager::operator= ( const MarketManager & )

delete

◆ operator=() [2/2]

MarketManager& CppTrader::Matching::MarketManager::operator= ( MarketManager && )

delete

◆ order_books()

const OrderBooks& CppTrader::Matching::MarketManager::order_books ( ) const

inlinenoexcept

Get the order books container.

Definition at line 62 of file market_manager.h.

◆ orders()

const Orders& CppTrader::Matching::MarketManager::orders ( ) const

inlinenoexcept

Get the orders container.

Definition at line 64 of file market_manager.h.

◆ ReduceOrder()

ErrorCode CppTrader::Matching::MarketManager::ReduceOrder	(	uint64_t	id,
		uint64_t	quantity
	)

Reduce the order by the given quantity.

Parameters

id	- Order Id
quantity	- Order quantity to reduce

Returns: Error code

Definition at line 452 of file market_manager.cpp.

◆ ReplaceOrder() [1/2]

ErrorCode CppTrader::Matching::MarketManager::ReplaceOrder	(	uint64_t	id,
		const Order &	new_order
	)

Replace the order with a new one.

Parameters

id	- Order Id
new_order	- Order to replace

Returns: Error code

Definition at line 804 of file market_manager.cpp.

◆ ReplaceOrder() [2/2]

ErrorCode CppTrader::Matching::MarketManager::ReplaceOrder	(	uint64_t	id,
		uint64_t	new_id,
		uint64_t	new_price,
		uint64_t	new_quantity
	)

Replace the order with a similar order but different Id, price and quantity.

Parameters

id	- Order Id
new_id	- Order Id to replace
new_price	- Order price to replace
new_quantity	- Order quantity to replace

Returns: Error code

Definition at line 680 of file market_manager.cpp.

◆ symbols()

const Symbols& CppTrader::Matching::MarketManager::symbols ( ) const

inlinenoexcept

Get the symbols container.

Definition at line 60 of file market_manager.h.

Friends And Related Function Documentation

◆ OrderBook

friend class OrderBook

friend

Definition at line 40 of file market_manager.h.

The documentation for this class was generated from the following files:

include/trader/matching/market_manager.h
include/trader/matching/market_manager.inl
source/trader/matching/market_manager.cpp

Public Types

Public Member Functions

Friends

Detailed Description

Member Typedef Documentation

◆ OrderBooks

◆ Orders

◆ Symbols

Constructor & Destructor Documentation

◆ MarketManager() [1/4]

◆ MarketManager() [2/4]

◆ MarketManager() [3/4]

◆ MarketManager() [4/4]

◆ ~MarketManager()

Member Function Documentation

◆ AddOrder()

◆ AddOrderBook()

◆ AddSymbol()

◆ DeleteOrder()

◆ DeleteOrderBook()

◆ DeleteSymbol()

◆ DisableMatching()

◆ EnableMatching()

◆ ExecuteOrder() [1/2]

◆ ExecuteOrder() [2/2]

◆ GetOrder()

◆ GetOrderBook()

◆ GetSymbol()

◆ IsMatchingEnabled()

◆ Match()

◆ MitigateOrder()

◆ ModifyOrder()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ order_books()

◆ orders()

◆ ReduceOrder()

◆ ReplaceOrder() [1/2]

◆ ReplaceOrder() [2/2]

◆ symbols()

Friends And Related Function Documentation

◆ OrderBook