kraken: engin: add 'Engine'
This is the brains of the operation, the matching engine.
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add_library(engine STATIC
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csv-engine-listener.cc
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csv-engine-listener.hh
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engine.cc
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engine.hh
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engine-listener.cc
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engine-listener.hh
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)
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187
src/engine/engine.cc
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187
src/engine/engine.cc
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#include "engine.hh"
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#include <algorithm>
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#include <utility>
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#include <cassert>
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#include "engine-listener.hh"
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namespace kraken::engine {
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// A RAII wrapper to ensure the top-of-book callback is made
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struct CallbackOnTopOfBookChange {
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CallbackOnTopOfBookChange(Symbol symbol, Engine& engine)
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: symbol_(symbol), engine_(engine) {
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top_info_ = calculate_top();
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}
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~CallbackOnTopOfBookChange() {
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auto const new_top = calculate_top();
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// Sanity check: both sides of the book are not changing at once
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assert(!(new_top.asks != top_info_.asks
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&& new_top.bids != top_info_.bids));
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if (top_info_.asks != new_top.asks) {
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if (new_top.asks) {
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engine_.listener_->on_top_of_book_change(
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Side::ASK, new_top.asks->first, new_top.asks->second);
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} else {
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engine_.listener_->on_top_of_book_change(Side::ASK);
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}
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} else if (top_info_.bids != new_top.bids) {
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if (new_top.bids) {
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engine_.listener_->on_top_of_book_change(
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Side::BID, new_top.bids->first, new_top.bids->second);
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} else {
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engine_.listener_->on_top_of_book_change(Side::BID);
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}
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}
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}
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private:
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struct TopInfo {
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std::optional<std::pair<Price, Quantity>> asks;
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std::optional<std::pair<Price, Quantity>> bids;
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};
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TopInfo calculate_top() const {
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auto info = TopInfo{};
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if (auto const bid_it = engine_.bids_.find(symbol_);
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bid_it != engine_.bids_.end()) {
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auto const& [_, bid_map] = *bid_it;
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if (bid_map.size() > 0) {
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auto const price = bid_map.begin()->first;
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int quantity = 0;
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auto const [begin, end] = bid_map.equal_range(price);
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for (auto it = begin; it != end; ++it) {
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quantity += int(it->second.quantity);
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}
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info.bids = {price, Quantity(quantity)};
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}
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}
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if (auto const ask_it = engine_.asks_.find(symbol_);
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ask_it != engine_.asks_.end()) {
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auto const& [_, ask_map] = *ask_it;
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if (ask_map.size() > 0) {
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auto const price = ask_map.begin()->first;
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int quantity = 0;
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auto const [begin, end] = ask_map.equal_range(price);
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for (auto it = begin; it != end; ++it) {
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quantity += int(it->second.quantity);
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}
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info.asks = {price, Quantity(quantity)};
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}
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}
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return info;
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}
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Symbol symbol_;
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Engine& engine_;
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TopInfo top_info_{};
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};
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Engine::Engine(std::shared_ptr<EngineListener> listener)
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: listener_(listener) {}
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void Engine::process_orders(std::vector<Order> const& orders) {
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for (auto const& order : orders) {
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std::visit([this](auto const& trade_order) { (*this)(trade_order); },
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order);
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}
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}
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void Engine::operator()(TradeOrder const& trade_order) {
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// Set-up automatic call-back in case top-of-book changes
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auto _ = CallbackOnTopOfBookChange(trade_order.symbol, *this);
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// NOTE: some amount of repetition/mirroring
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switch (trade_order.side) {
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case Side::ASK:
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if (auto bid_map_it = bids_.find(trade_order.symbol);
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bid_map_it != bids_.end()) {
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auto& [_, bid_map] = *bid_map_it;
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if (bid_map.size() > 0
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&& bid_map.begin()->first <= trade_order.price) {
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// FIXME: handle matching if enabled
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listener_->on_rejection(trade_order.user, trade_order.id);
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return;
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}
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}
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asks_[trade_order.symbol].insert(
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{trade_order.price, OrderMetaData{trade_order.user, trade_order.id,
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trade_order.quantity}});
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break;
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case Side::BID:
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if (auto ask_map_it = asks_.find(trade_order.symbol);
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ask_map_it != asks_.end()) {
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auto& [_, ask_map] = *ask_map_it;
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if (ask_map.size() > 0
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&& ask_map.begin()->first >= trade_order.price) {
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// FIXME: handle matching if enabled
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listener_->on_rejection(trade_order.user, trade_order.id);
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return;
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}
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}
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bids_[trade_order.symbol].insert(
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{trade_order.price, OrderMetaData{trade_order.user, trade_order.id,
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trade_order.quantity}});
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break;
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}
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listener_->on_acknowledgement(trade_order.user, trade_order.id);
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}
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void Engine::operator()(CancelOrder const& cancel_order) {
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// Assume that the input is well-behaved,
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// no duplicate (userId, userOrderId) values.
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auto const matches_order = [&](auto const& data) {
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return data.second.user == cancel_order.user
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&& data.second.id == cancel_order.id;
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};
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for (auto& [symbol, bid_map] : bids_) {
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auto const it = std::ranges::find_if(bid_map, matches_order);
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if (it != bid_map.end()) {
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// Set-up automatic call-back in case top-of-book changes
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auto _ = CallbackOnTopOfBookChange(symbol, *this);
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bid_map.erase(it);
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listener_->on_acknowledgement(cancel_order.user, cancel_order.id);
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return;
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}
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}
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for (auto& [symbol, ask_map] : asks_) {
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auto const it = std::ranges::find_if(ask_map, matches_order);
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if (it != ask_map.end()) {
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// Set-up automatic call-back in case top-of-book changes
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auto _ = CallbackOnTopOfBookChange(symbol, *this);
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ask_map.erase(it);
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listener_->on_acknowledgement(cancel_order.user, cancel_order.id);
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return;
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}
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}
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listener_->on_bad_order(cancel_order.user, cancel_order.id);
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}
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void Engine::operator()(FlushOrder const&) {
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bids_.clear();
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asks_.clear();
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listener_->on_flush();
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}
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} // namespace kraken::engine
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46
src/engine/engine.hh
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46
src/engine/engine.hh
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@ -0,0 +1,46 @@
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#pragma once
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#include <functional>
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#include <map>
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#include <memory>
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#include <vector>
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#include "book/order.hh"
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namespace kraken::engine {
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struct CallbackOnTopOfBookChange;
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struct EngineListener;
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/// Matching engine which processes orders and keeps the book up-to-date.
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struct Engine {
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Engine(std::shared_ptr<EngineListener> listener);
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/// Process orders, triggerring the listener on each event.
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void process_orders(std::vector<Order> const& orders);
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private:
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void operator()(TradeOrder const& trade_order);
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void operator()(CancelOrder const& cancel_order);
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void operator()(FlushOrder const& flush_order);
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std::shared_ptr<EngineListener> listener_;
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// Symbol, price, side are implicit given the way the book is represented
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struct OrderMetaData {
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User user;
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UserOrderId id;
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Quantity quantity;
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};
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friend struct CallbackOnTopOfBookChange;
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// Sorted by price, then by time
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template <typename Order>
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using instrument_side_data = std::multimap<Price, OrderMetaData, Order>;
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std::map<Symbol, instrument_side_data<std::less<void>>> bids_;
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std::map<Symbol, instrument_side_data<std::greater<void>>> asks_;
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};
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} // namespace kraken::engine
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