Decimal.h

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#pragma once

#include <string>

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

ONIXS_CMEMDH_NAMESPACE_BEGIN

/// Represents real number with constant exponent. 
/// 
/// CME Market Data Platform currently operates prices 
/// and scaling factors as real numbers with constant exponent. 
/// This class implements concept of fixed point decimal and 
/// lets to dramatically improve performance of book-related 
/// operations. 
template 
<
    class MantissaType, 
    class ExponentType
>
class FixedPointDecimal
{
    // Only mantissa is stored. 
    MantissaType mantissa_;

public:
    /// Aliases mantissa component type. 
    typedef MantissaType Mantissa;

    /// Aliases exponent component type. 
    typedef ExponentType Exponent;

    /// A few traits. 
    enum
    {
        /// Size of class in bytes. 
        ///
        /// Instantiations of given class are used 
        /// while manipulating binary messages. Regular 
        /// composites expose given characteristics so 
        /// as this template class does. 
        Size = sizeof(Mantissa)
    };

    /// Default (zero) initialization. 
    FixedPointDecimal()
        : mantissa_()
    {
    }

    /// Explicitly initializes instance from its mantissa value. 
    explicit 
    FixedPointDecimal(
        Mantissa mantissa)
        : mantissa_(mantissa)
    {
    }

    /// Initializes instance as copy of the other one. 
    FixedPointDecimal(
        const FixedPointDecimal& other)
        : mantissa_(other.mantissa_)
    {
    }

    /// Returns mantissa of given decimal.
    Mantissa mantissa() const
    {
        return mantissa_;
    }

    /// Returns exponent of given decimal.
    Exponent exponent() const
    {
        return Exponent();
    }

    /// Re-initializes instance as copy of the other one. 
    FixedPointDecimal& 
    operator =(
        const FixedPointDecimal& other)
    {
        mantissa_ = other.mantissa_;

        return *this;
    }
};

/// Compares two fixed-point decimals. 
template
<
    class Mantissa, 
    class Exponent
>
bool 
operator ==(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return left.mantissa() == right.mantissa();
}

/// Compares two fixed-point decimals. 
template
<
    class Mantissa, 
    class Exponent
>
bool 
operator !=(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return left.mantissa() != right.mantissa();
}

/// Compares two fixed-point decimals. 
template
<
    class Mantissa, 
    class Exponent
>
bool 
operator <(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return left.mantissa() < right.mantissa();
}

/// Compares two fixed-point decimals. 
template
<
    class Mantissa, 
    class Exponent
>
bool 
operator >(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return left.mantissa() > right.mantissa();
}

/// Compares two fixed-point decimals. 
template
<
    class Mantissa, 
    class Exponent
>
bool 
operator <=(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return left.mantissa() <= right.mantissa();
}

/// Compares two fixed-point decimals. 
template
<
    class Mantissa, 
    class Exponent
>
bool 
operator >=(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return left.mantissa() >= right.mantissa();
}

//

/// A real number with floating exponent. 
ONIXS_CMEMDH_LTWT_CLASS Decimal
{
public:
    /// Aliases mantissa component type. 
    typedef Int64 Mantissa;

    /// Aliases exponent component type. 
    typedef Int32 Exponent;

    /// Default (zero) initialization. 
    Decimal()
      : mantissa_(0)
      , exponent_(0)
    {
    }

    /// Explicitly initializes instance from its mantissa value. 
    Decimal(
        Mantissa mantissa, 
        Exponent exponent)
        : mantissa_(mantissa)
        , exponent_(exponent)
    {
    }

    /// Initializes instance as copy of the other one. 
    Decimal(
        const Decimal& other)
        : mantissa_(other.mantissa_)
        , exponent_(other.exponent_)
    {
    }

    /// Initializes instance from 
    /// the fixed point decimal. 
    template
    <
        class OtherMantissa,
        class OtherExponent
    >
    Decimal(
        const FixedPointDecimal
        <OtherMantissa, OtherExponent>& other)
        : mantissa_(other.mantissa())
        , exponent_(other.exponent())
    {
    }

    /// Returns mantissa of given decimal.
    Mantissa mantissa() const
    {
        return mantissa_;
    }

    /// Returns exponent of given decimal.
    Exponent exponent() const
    {
        return exponent_;
    }

    /// Re-initializes instance as copy of the other one. 
    Decimal& 
    operator =(
        const Decimal& other)
    {
        mantissa_ = other.mantissa_;
        exponent_ = other.exponent_;

        return *this;
    }

    /// Re-initializes instance as a 
    /// copy of the fixed point value. 
    template
    <
        class OtherMantissa,
        class OtherExponent
    >
    Decimal& 
    operator =(
        const FixedPointDecimal
        <OtherMantissa, OtherExponent>& other)
    {
        mantissa_ = other.mantissa();
        exponent_ = other.exponent();

        return *this;
    }

private:
    Mantissa mantissa_;
    Exponent exponent_;
};

//

ONIXS_CMEMDH_EXPORTED
bool 
operator ==(
    const Decimal& left,
    const Decimal& right);

ONIXS_CMEMDH_EXPORTED
bool 
operator !=(
    const Decimal& left,
    const Decimal& right);

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator ==(
    const Decimal& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return (left == Decimal(right));
}

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator ==(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const Decimal& right)
{
    return (Decimal(left) == right);
}

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator !=(
    const Decimal& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return (left != Decimal(right));
}

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator !=(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const Decimal& right)
{
    return (Decimal(left) != right);
}

ONIXS_CMEMDH_EXPORTED
bool 
operator <(
    const Decimal& left,
    const Decimal& right);

ONIXS_CMEMDH_EXPORTED
bool 
operator <=(
    const Decimal& left,
    const Decimal& right);

inline 
bool 
operator >(
    const Decimal& left,
    const Decimal& right)
{
    return (right < left);
}

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator <(
    const Decimal& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return (left < Decimal(right));
}

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator <(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const Decimal& right)
{
    return (Decimal(left) < right);
}

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator >(
    const Decimal& left,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& right)
{
    return (left > Decimal(right));
}

template
<
    class Mantissa,
    class Exponent
>
inline 
bool 
operator >(
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& left,
    const Decimal& right)
{
    return (Decimal(left) > right);
}

/// Serializes decimal presented by 
/// mantissa and exponent into a string. 
ONIXS_CMEMDH_EXPORTED
void
decimalToStr(
    std::string&, 
    Int64, 
    Int32);

inline 
void
toStr(
    std::string& str, 
    const Decimal& number)
{
    decimalToStr
    (
        str,
        number.mantissa(),
        number.exponent()
    );
}

inline
std::string
toStr(
    const Decimal& number)
{
    std::string str;
 
    toStr(str, number);

    return str;
}

/// Serializes fixed-point decimal into a string. 
template
<
    class Mantissa, 
    class Exponent
>
inline 
void
toStr(
    std::string& str,
    const 
    FixedPointDecimal
    <Mantissa, Exponent>& number)
{
    toStr(
        str, 
        Decimal(number));
}

/// Serializes fixed-point decimal into a string. 
template
<
    class Mantissa, 
    class Exponent
>
inline 
std::string
toStr(
    const 
    FixedPointDecimal
    <
        Mantissa, 
        Exponent
    >& number)
{
    std::string str;
    
    toStr(str, number);
    
    return str;
}

ONIXS_CMEMDH_NAMESPACE_END