level.h

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#ifndef CPPTRADER_MATCHING_LEVEL_H
#define CPPTRADER_MATCHING_LEVEL_H
 
#include "order.h"
#include "update.h"
 
#include "containers/bintree_avl.h"
 
namespace CppTrader {
namespace Matching {
 
enum class LevelType : uint8_t
{
    BID,
    ASK
};
 
template <class TOutputStream>
TOutputStream& operator<<(TOutputStream& stream, LevelType type);
 
struct Level
{
    LevelType Type;
    uint64_t Price;
    uint64_t TotalVolume;
    uint64_t HiddenVolume;
    uint64_t VisibleVolume;
    size_t Orders;
 
    Level(LevelType type, uint64_t price) noexcept;
    Level(const Level&) noexcept = default;
    Level(Level&&) noexcept = default;
    ~Level() noexcept = default;
 
    Level& operator=(const Level&) noexcept = default;
    Level& operator=(Level&&) noexcept = default;
 
    // Price level comparison
    friend bool operator==(const Level& level1, const Level& level2) noexcept
    { return level1.Price == level2.Price; }
    friend bool operator!=(const Level& level1, const Level& level2) noexcept
    { return level1.Price != level2.Price; }
    friend bool operator<(const Level& level1, const Level& level2) noexcept
    { return level1.Price < level2.Price; }
    friend bool operator>(const Level& level1, const Level& level2) noexcept
    { return level1.Price > level2.Price; }
    friend bool operator<=(const Level& level1, const Level& level2) noexcept
    { return level1.Price <= level2.Price; }
    friend bool operator>=(const Level& level1, const Level& level2) noexcept
    { return level1.Price >= level2.Price; }
 
    template <class TOutputStream>
    friend TOutputStream& operator<<(TOutputStream& stream, const Level& level);
 
    bool IsBid() const noexcept { return Type == LevelType::BID; }
    bool IsAsk() const noexcept { return Type == LevelType::ASK; }
};
 
struct LevelNode : public Level, public CppCommon::BinTreeAVL<LevelNode>::Node
{
    CppCommon::List<OrderNode> OrderList;
 
    LevelNode(LevelType type, uint64_t price) noexcept;
    LevelNode(const Level& level) noexcept;
    LevelNode(const LevelNode&) noexcept = default;
    LevelNode(LevelNode&&) noexcept = default;
    ~LevelNode() noexcept = default;
 
    LevelNode& operator=(const Level& level) noexcept;
    LevelNode& operator=(const LevelNode&) noexcept = default;
    LevelNode& operator=(LevelNode&&) noexcept = default;
 
    // Price level comparison
    friend bool operator==(const LevelNode& level1, const LevelNode& level2) noexcept
    { return level1.Price == level2.Price; }
    friend bool operator!=(const LevelNode& level1, const LevelNode& level2) noexcept
    { return level1.Price != level2.Price; }
    friend bool operator<(const LevelNode& level1, const LevelNode& level2) noexcept
    { return level1.Price < level2.Price; }
    friend bool operator>(const LevelNode& level1, const LevelNode& level2) noexcept
    { return level1.Price > level2.Price; }
    friend bool operator<=(const LevelNode& level1, const LevelNode& level2) noexcept
    { return level1.Price <= level2.Price; }
    friend bool operator>=(const LevelNode& level1, const LevelNode& level2) noexcept
    { return level1.Price >= level2.Price; }
};
 
struct LevelUpdate
{
    UpdateType Type;
    Level Update;
    bool Top;
 
    LevelUpdate(UpdateType type, const Level& update, bool top) noexcept;
    LevelUpdate(const LevelUpdate&) noexcept = default;
    LevelUpdate(LevelUpdate&&) noexcept = default;
    ~LevelUpdate() noexcept = default;
 
    LevelUpdate& operator=(const LevelUpdate&) noexcept = default;
    LevelUpdate& operator=(LevelUpdate&&) noexcept = default;
 
    template <class TOutputStream>
    friend TOutputStream& operator<<(TOutputStream& stream, const LevelUpdate& update);
};
 
} // namespace Matching
} // namespace CppTrader
 
#include "level.inl"
 
#endif // CPPTRADER_MATCHING_LEVEL_H