OrderBook.h

Go to the documentation of this file.

#pragma once
 
#include "common/Types.h"
#include "common_fix/MarketDataSnapshotFullRefresh.h"
#include "common_fix/MarketDataIncrementalRefresh.h"
#include <map>
#include <mutex>
#include <vector>
#include <string>
 
namespace orderbook {
 
    struct Level {
        double price;
        uint64_t qty;
    };
 
    class OrderBook {
    public:
        OrderBook(const std::string& symbol);
        ~OrderBook() = default;
 
        void handleSnapshot(const fix::MarketDataSnapshotFullRefresh& snapshot);
        void handleIncremental(const fix::MarketDataIncrementalRefresh& refresh);
 
        // UI Helpers
        struct Snapshot {
            std::string symbol;
            std::vector<Level> bids;
            std::vector<Level> asks;
            double spread;
            double midPrice;
        };
 
        Snapshot getUISnapshot(size_t maxDepth = 10) const;
 
        const std::string& getSymbol() const { return mSymbol; }
 
    private:
        std::string mSymbol;
        mutable std::mutex mMutex;
 
        // price -> qty
        std::map<double, uint64_t, std::greater<double>> mBids;
        std::map<double, uint64_t, std::less<double>> mAsks;
 
        void updateLevel(char type, double price, uint64_t qty, char action);
    };
 
} // namespace orderbook