BookManagement.h

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// Copyright Onix Solutions Limited [OnixS]. All rights reserved.
//
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//
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// agreements granting a non-assignable, non-transferable and non-exclusive license 
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// in the Agreement.
//
// Except as otherwise granted within the terms of the Agreement, copying or 
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// amendments to this copyright notice, are expressly prohibited.
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#pragma once

#include <string>

#include <OnixS/CME/MDH/Decimal.h>

#include <OnixS/CME/MDH/DirectPriceLevel.h>

#include <OnixS/CME/MDH/MboBookTraits.h>
#include <OnixS/CME/MDH/MbpBookTraits.h>

ONIXS_CMEMDH_NAMESPACE_BEGIN

/// Raises exception on invalid best bid/offer threshold value. 
inline 
void
throwBadBboThreshold()
{
    throw std::runtime_error
    (
        "Threshold for tracking best bids "
        "or offers can't be a negative value. "
    );
}

/// Defines tracking attributes for a particular BBO parameter.
ONIXS_CMEMDH_LTWT_CLASS BboThreshold
{
    // Actual threshold value. 
    Decimal threshold_;

    // Indicates whether threshold must be used. 
    bool enabled_;

public:
    /// Initializes parameter tracking. 
    BboThreshold()
        : threshold_()
        , enabled_(false)
    {
    }

    /// Indicates whether tracking is enabled.
    bool enabled() const
    {
        return enabled_;
    }

    /// Indicates whether tracking is enabled.
    void enabled(bool value) 
    {
        enabled_ = value;
    }

    /// Defines value threshold for parameter being tracked.
    const Decimal& threshold() const
    {
        return threshold_;
    }

    /// Defines value threshold for parameter being tracked.
    void 
    threshold(
        const Decimal& threshold)
    {
        if (0 > threshold.mantissa())
            throwBadBboThreshold();

        threshold_ = threshold;
    }
};

/// Checks whether new value exceeds given 
/// threshold in compare to the old value. 
ONIXS_CMEMDH_EXPORTED
bool
thresholdExceeded(
    const Decimal&,
    const Decimal&, 
    const Decimal&);

/// Checks whether new value exceeds given 
/// threshold in compare to the old value. 
ONIXS_CMEMDH_EXPORTED
bool
thresholdExceeded(
    const Decimal&,
    Int32, 
    Int32);


/// Defines tracking for BBO in MBO books.
ONIXS_CMEMDH_LTWT_CLASS MboBboTracking
{
    BboThreshold price_;
    BboThreshold quantity_;

public:
    /// Initializes tracking.
    MboBboTracking()
    {
    }

    /// Price tracking attributes. 
    const 
    BboThreshold& 
    price() const
    {
        return price_;
    }

    /// Price tracking attributes. 
    BboThreshold& price() 
    {
        return price_;
    }

    /// Indicates whether tracking enabled at all. 
    bool enabled() const
    {
        return (
            price_.enabled() 
        );
    }

    /// Checks whether any of thresholds is exceeded. 
    bool 
    exceeded(
        const Order& previous,
        const Order& current) const 
    {
        return (
            price_.enabled() 
            &&
            thresholdExceeded(
                price_.threshold(),
                previous.price(),
                current.price())
        );
    }
};

/// Serializes BBO tracking parameters into string. 
ONIXS_CMEMDH_EXPORTED
void
toStr(
    std::string&, 
    const MboBboTracking&);

/// Serializes BBO tracking parameters into string. 
inline
std::string
toStr(
    const MboBboTracking& tracking)
{
    std::string str;

    toStr(str, tracking);

    return str;
}

/// Defines tracking for BBO in implied books.
ONIXS_CMEMDH_LTWT_CLASS ImpliedBboTracking
{
    BboThreshold price_;
    BboThreshold quantity_;

public:
    /// Initializes tracking.
    ImpliedBboTracking()
    {
    }

    /// Price tracking attributes. 
    const 
    BboThreshold& 
    price() const
    {
        return price_;
    }

    /// Price tracking attributes. 
    BboThreshold& price() 
    {
        return price_;
    }

    /// Quantity tracking attributes. 
    const 
    BboThreshold& 
    quantity() const
    {
        return quantity_;
    }

    /// Quantity tracking attributes. 
    BboThreshold& quantity() 
    {
        return quantity_;
    }

    /// Indicates whether tracking enabled at all. 
    bool enabled() const
    {
        return (
            price_.enabled() 
            || 
            quantity_.enabled()
        );
    }

    /// Checks whether any of thresholds is exceeded. 
    bool 
    exceeded(
        const ImpliedPriceLevel& previous,
        const ImpliedPriceLevel& current) const 
    {
        return (
            (price_.enabled() 
                &&
                thresholdExceeded(
                    price_.threshold(),
                    previous.price(),
                    current.price()))
            ||
            (quantity_.enabled() 
                &&
                thresholdExceeded(
                    quantity_.threshold(),
                    previous.quantity(),
                    current.quantity()))
            );
    }
};

/// Serializes BBO tracking parameters into string. 
ONIXS_CMEMDH_EXPORTED
void
toStr(
    std::string&, 
    const ImpliedBboTracking&);

/// Serializes BBO tracking parameters into string. 
inline
std::string
toStr(
    const ImpliedBboTracking& tracking)
{
    std::string str;

    toStr(str, tracking);

    return str;
}

/// Defines tracking for BBO in direct books. 
ONIXS_CMEMDH_LTWT_CLASS 
DirectBboTracking 
: public ImpliedBboTracking
{
    BboThreshold numberOfOrders_;

public:
    /// Initializes tracking. 
    DirectBboTracking()
    {
    }

    /// Tracking for order quantity. 
    const 
    BboThreshold& 
    numberOfOrders() const
    {
        return numberOfOrders_;
    }

    /// Tracking for order quantity. 
    BboThreshold& numberOfOrders() 
    {
        return numberOfOrders_;
    }

    /// Indicates whether tracking enabled at all. 
    bool enabled() const
    {
        return (
            ImpliedBboTracking::enabled() 
            || 
            numberOfOrders_.enabled()
        );
    }

    /// Checks whether any of thresholds is exceeded. 
    bool 
    exceeded(
        const DirectPriceLevel& previous,
        const DirectPriceLevel& current) const 
    {
        return (
            ImpliedBboTracking::exceeded(previous, current) 
            ||
            (numberOfOrders_.enabled() 
                &&
                thresholdExceeded(
                    numberOfOrders_.threshold(),
                    previous.numberOfOrders(),
                    current.numberOfOrders())
                )
            );
    }
};

/// Serializes BBO tracking parameters into string. 
ONIXS_CMEMDH_EXPORTED
void
toStr(
    std::string&, 
    const DirectBboTracking&);

/// Serializes BBO tracking parameters into string. 
inline
std::string
toStr(
    const DirectBboTracking& tracking)
{
    std::string str;

    toStr(str, tracking);

    return str;
}

/// Parameters affecting book management machinery for 
/// a particular book type (direct, implied, consolidated). 
template
<
    class BboTracking
>
class BaseBookManagement
{
    // Indicates whether feature is enabled. 
    bool maintain_;

    // Parameters for tracking. 
    BboTracking bboTracking_;

public:
    /// Initializes instance with default values. 
    BaseBookManagement()
    : maintain_(false)
    , bboTracking_()
    {
    }

    /// Forces to build order book of a particular kind.
    ///
    /// Unless parameter is set to 'true', Handler doesn't 
    /// construct and doesn't process data blocks for the 
    /// books of given kind. If book isn't built, book snapshot 
    /// retrieval is not possible.
    ///
    /// @note Default value is 'false'.
    bool maintain() const
    {
        return maintain_;
    }

    /// Forces Handler to maintain direct order books.
    void maintain(bool value)
    {
        maintain_ = value;
    }

    /// Parameters affecting BBO tracking for 
    /// books which given settings refer to.
    const BboTracking& bboTracking() const
    {
        return bboTracking_;
    }

    /// Parameters affecting BBO tracking for
    /// books which given settings refer to.
    BboTracking& bboTracking() 
    {
        return bboTracking_;
    }
};

/// Parameters affecting book management machinery for 
/// a particular book type (direct, implied, consolidated). 
template
<
    class BboTracking,
    typename Depth
>
class 
FixedDepthBookManagement
: public BaseBookManagement
<
    BboTracking
>
{
    Depth defaultDepth_;

public:
    /// Initializes instance with default values. 
    FixedDepthBookManagement(
        Depth defaultDepth = 0)
        : BaseBookManagement<BboTracking>()
        , defaultDepth_(defaultDepth)
    {
    }

    /// Defines default depth of order book for 
    /// the security whose definition wasn't 
    /// received or had no corresponding data.
    Depth defaultDepth() const
    {
        return defaultDepth_;
    }

    /// Defines default depth of order book for 
    /// the security whose definition wasn't 
    /// received or had no corresponding data.
    void defaultDepth(Depth value)
    {
        defaultDepth_ = value;
    }
};

/// Parameters affecting book management machinery 
/// for a books having variable depth like MBO ones. 
template
<
    class BboTracking,
    typename Depth
>
class 
AnyDepthBookManagement
: public BaseBookManagement
<
    BboTracking
>
{
    Depth reserved_;

public:
    /// Initializes instance with default values. 
    AnyDepthBookManagement()
    : BaseBookManagement<BboTracking>()
    {
    }
};

/// Defines book update notification strategies.
ONIXS_CMEMDH_LTWT_STRUCT BookUpdateNotification
{
    /// Integral type used as basement for constants. 
    typedef UInt32 Base;

    enum Enum
    {
        /// Book update event is raised once security id is changed in 
        /// sequence of market data entries being processed by the Handler.
        /// 
        /// @warning Given strategy does not follow MDP policy 
        /// on exposing order books and thus can be used on own risk!
        /// Also, books may not be in a valid state (especially consolidated),
        /// as far as exposed earlier than data for entire market event
        /// is processed.
        OnSecurityChange,

        /// Book update event is raised at the end of market event.
        /// 
        /// Direct books updates are raised at the end of real 
        /// quotes updates, implied books updates are raised at 
        /// the end of implied quotes updates and consolidated 
        /// books updates are raised at the end of entire event.
        OnEndOfEvent
    };
};

/// Serializes book update notification policy into a string. 
ONIXS_CMEMDH_EXPORTED
void
toStr(
    std::string&,
    BookUpdateNotification::Enum);

/// Serializes book update notification policy into a string. 
inline 
std::string
toStr(
    BookUpdateNotification::Enum strategy)
{
    std::string str;

    toStr(str, strategy);

    return str;
}

/// Parameters affecting book management machinery. 
ONIXS_CMEMDH_LTWT_CLASS BookManagement
{
public:
    /// Management and tracking parameters for MBO books. 
    typedef 
    AnyDepthBookManagement
    <
        MboBboTracking,
        SortedOrders::size_type
    >
    MboBookManagement;

    /// Management and tracking parameters for direct books. 
    typedef 
    FixedDepthBookManagement
    <
        DirectBboTracking, 
        MbpBookDepth
    >
    DirectBookManagement;

    /// Management and tracking parameters for implied books. 
    typedef 
    FixedDepthBookManagement
    <
        ImpliedBboTracking,
        MbpBookDepth
    >
    ImpliedBookManagement;

    /// Management and tracking parameters for consolidated books. 
    typedef 
    BaseBookManagement
    <
        ImpliedBboTracking
    >
    ConsolidatedBookManagement;

    /// Initializes instance with default values. 
    BookManagement()
        : mboBooks_()
        , directBooks_(10)
        , impliedBooks_(2)
        , consolidatedBooks_()
        , updateNotification_(
            BookUpdateNotification::
            OnEndOfEvent)
    {
    }

    /// Management and tracking parameters for direct books. 
    const 
    MboBookManagement& 
    mboBooks() const
    {
        return mboBooks_;
    }

    /// Management and tracking parameters for direct books. 
    MboBookManagement& 
    mboBooks()
    {
        return mboBooks_;
    }

    /// Management and tracking parameters for direct books. 
    const 
    DirectBookManagement& 
    directBooks() const
    {
        return directBooks_;
    }

    /// Management and tracking parameters for direct books. 
    DirectBookManagement& 
    directBooks()
    {
        return directBooks_;
    }

    /// Management and tracking parameters for implied books. 
    const 
    ImpliedBookManagement& 
    impliedBooks() const
    {
        return impliedBooks_;
    }

    /// Management and tracking parameters for implied books. 
    ImpliedBookManagement& 
    impliedBooks()
    {
        return impliedBooks_;
    }

    /// Management and tracking parameters for consolidated books. 
    const 
    ConsolidatedBookManagement& 
    consolidatedBooks() const
    {
        return consolidatedBooks_;
    }

    /// Management and tracking parameters for consolidated books. 
    ConsolidatedBookManagement& 
    consolidatedBooks()
    {
        return consolidatedBooks_;
    }

    /// Defines the way Handler raises onBookUpdated callbacks.
    ///
    /// @note Default is BookUpdateNotification::OnEndOfEvent.
    BookUpdateNotification::Enum 
    updateNotification() const
    {
        return updateNotification_;
    }

    /// Defines the way Handler raises order book update event.
    void 
    updateNotification(
        BookUpdateNotification::Enum value)
    {
        updateNotification_ = value;
    }

private:
    MboBookManagement mboBooks_;

    DirectBookManagement directBooks_;
    ImpliedBookManagement impliedBooks_;
    
    ConsolidatedBookManagement consolidatedBooks_;

    BookUpdateNotification::Enum updateNotification_;
};

/// Serializes book management settings into string. 
ONIXS_CMEMDH_EXPORTED
void
toStr(
    std::string&, 
    const BookManagement&);

/// Serializes book management settings into string. 
inline
std::string
toStr(
    const BookManagement& settings)
{
    std::string str;

    toStr(str, settings);

    return str;
}

ONIXS_CMEMDH_NAMESPACE_END