kraken: engin: add 'Engine'

This is the brains of the operation, the matching engine.

src/engine/CMakeLists.txt

@@ -1,6 +1,8 @@
 add_library(engine STATIC
   csv-engine-listener.cc
   csv-engine-listener.hh
+  engine.cc
+  engine.hh
   engine-listener.cc
   engine-listener.hh
 )

src/engine/engine.cc

@@ -0,0 +1,187 @@
+#include "engine.hh"
+
+#include <algorithm>
+#include <utility>
+
+#include <cassert>
+
+#include "engine-listener.hh"
+
+namespace kraken::engine {
+
+// A RAII wrapper to ensure the top-of-book callback is made
+struct CallbackOnTopOfBookChange {
+    CallbackOnTopOfBookChange(Symbol symbol, Engine& engine)
+        : symbol_(symbol), engine_(engine) {
+        top_info_ = calculate_top();
+    }
+
+    ~CallbackOnTopOfBookChange() {
+        auto const new_top = calculate_top();
+
+        // Sanity check: both sides of the book are not changing at once
+        assert(!(new_top.asks != top_info_.asks
+                 && new_top.bids != top_info_.bids));
+
+        if (top_info_.asks != new_top.asks) {
+            if (new_top.asks) {
+                engine_.listener_->on_top_of_book_change(
+                    Side::ASK, new_top.asks->first, new_top.asks->second);
+            } else {
+                engine_.listener_->on_top_of_book_change(Side::ASK);
+            }
+        } else if (top_info_.bids != new_top.bids) {
+            if (new_top.bids) {
+                engine_.listener_->on_top_of_book_change(
+                    Side::BID, new_top.bids->first, new_top.bids->second);
+            } else {
+                engine_.listener_->on_top_of_book_change(Side::BID);
+            }
+        }
+    }
+
+private:
+    struct TopInfo {
+        std::optional<std::pair<Price, Quantity>> asks;
+        std::optional<std::pair<Price, Quantity>> bids;
+    };
+
+    TopInfo calculate_top() const {
+        auto info = TopInfo{};
+
+        if (auto const bid_it = engine_.bids_.find(symbol_);
+            bid_it != engine_.bids_.end()) {
+            auto const& [_, bid_map] = *bid_it;
+
+            if (bid_map.size() > 0) {
+                auto const price = bid_map.begin()->first;
+                int quantity = 0;
+                auto const [begin, end] = bid_map.equal_range(price);
+
+                for (auto it = begin; it != end; ++it) {
+                    quantity += int(it->second.quantity);
+                }
+
+                info.bids = {price, Quantity(quantity)};
+            }
+        }
+
+        if (auto const ask_it = engine_.asks_.find(symbol_);
+            ask_it != engine_.asks_.end()) {
+            auto const& [_, ask_map] = *ask_it;
+
+            if (ask_map.size() > 0) {
+                auto const price = ask_map.begin()->first;
+                int quantity = 0;
+                auto const [begin, end] = ask_map.equal_range(price);
+
+                for (auto it = begin; it != end; ++it) {
+                    quantity += int(it->second.quantity);
+                }
+
+                info.asks = {price, Quantity(quantity)};
+            }
+        }
+
+        return info;
+    }
+
+    Symbol symbol_;
+    Engine& engine_;
+    TopInfo top_info_{};
+};
+
+Engine::Engine(std::shared_ptr<EngineListener> listener)
+    : listener_(listener) {}
+
+void Engine::process_orders(std::vector<Order> const& orders) {
+    for (auto const& order : orders) {
+        std::visit([this](auto const& trade_order) { (*this)(trade_order); },
+                   order);
+    }
+}
+
+void Engine::operator()(TradeOrder const& trade_order) {
+    // Set-up automatic call-back in case top-of-book changes
+    auto _ = CallbackOnTopOfBookChange(trade_order.symbol, *this);
+
+    // NOTE: some amount of repetition/mirroring
+    switch (trade_order.side) {
+    case Side::ASK:
+        if (auto bid_map_it = bids_.find(trade_order.symbol);
+            bid_map_it != bids_.end()) {
+            auto& [_, bid_map] = *bid_map_it;
+            if (bid_map.size() > 0
+                && bid_map.begin()->first <= trade_order.price) {
+                // FIXME: handle matching if enabled
+                listener_->on_rejection(trade_order.user, trade_order.id);
+                return;
+            }
+        }
+        asks_[trade_order.symbol].insert(
+            {trade_order.price, OrderMetaData{trade_order.user, trade_order.id,
+                                              trade_order.quantity}});
+        break;
+    case Side::BID:
+        if (auto ask_map_it = asks_.find(trade_order.symbol);
+            ask_map_it != asks_.end()) {
+            auto& [_, ask_map] = *ask_map_it;
+            if (ask_map.size() > 0
+                && ask_map.begin()->first >= trade_order.price) {
+                // FIXME: handle matching if enabled
+                listener_->on_rejection(trade_order.user, trade_order.id);
+                return;
+            }
+        }
+        bids_[trade_order.symbol].insert(
+            {trade_order.price, OrderMetaData{trade_order.user, trade_order.id,
+                                              trade_order.quantity}});
+        break;
+    }
+
+    listener_->on_acknowledgement(trade_order.user, trade_order.id);
+}
+
+void Engine::operator()(CancelOrder const& cancel_order) {
+    // Assume that the input is well-behaved,
+    // no duplicate (userId, userOrderId) values.
+    auto const matches_order = [&](auto const& data) {
+        return data.second.user == cancel_order.user
+            && data.second.id == cancel_order.id;
+    };
+
+    for (auto& [symbol, bid_map] : bids_) {
+        auto const it = std::ranges::find_if(bid_map, matches_order);
+        if (it != bid_map.end()) {
+            // Set-up automatic call-back in case top-of-book changes
+            auto _ = CallbackOnTopOfBookChange(symbol, *this);
+
+            bid_map.erase(it);
+            listener_->on_acknowledgement(cancel_order.user, cancel_order.id);
+            return;
+        }
+    }
+
+    for (auto& [symbol, ask_map] : asks_) {
+        auto const it = std::ranges::find_if(ask_map, matches_order);
+        if (it != ask_map.end()) {
+            // Set-up automatic call-back in case top-of-book changes
+            auto _ = CallbackOnTopOfBookChange(symbol, *this);
+
+            ask_map.erase(it);
+            listener_->on_acknowledgement(cancel_order.user, cancel_order.id);
+            return;
+        }
+    }
+
+    listener_->on_bad_order(cancel_order.user, cancel_order.id);
+}
+
+void Engine::operator()(FlushOrder const&) {
+    bids_.clear();
+    asks_.clear();
+
+    listener_->on_flush();
+}
+
+} // namespace kraken::engine

src/engine/engine.hh

@@ -0,0 +1,46 @@
+#pragma once
+
+#include <functional>
+#include <map>
+#include <memory>
+#include <vector>
+
+#include "book/order.hh"
+
+namespace kraken::engine {
+
+struct CallbackOnTopOfBookChange;
+struct EngineListener;
+
+/// Matching engine which processes orders and keeps the book up-to-date.
+struct Engine {
+    Engine(std::shared_ptr<EngineListener> listener);
+
+    /// Process orders, triggerring the listener on each event.
+    void process_orders(std::vector<Order> const& orders);
+
+private:
+    void operator()(TradeOrder const& trade_order);
+    void operator()(CancelOrder const& cancel_order);
+    void operator()(FlushOrder const& flush_order);
+
+    std::shared_ptr<EngineListener> listener_;
+
+    // Symbol, price, side are implicit given the way the book is represented
+    struct OrderMetaData {
+        User user;
+        UserOrderId id;
+        Quantity quantity;
+    };
+
+    friend struct CallbackOnTopOfBookChange;
+
+    // Sorted by price, then by time
+    template <typename Order>
+    using instrument_side_data = std::multimap<Price, OrderMetaData, Order>;
+
+    std::map<Symbol, instrument_side_data<std::less<void>>> bids_;
+    std::map<Symbol, instrument_side_data<std::greater<void>>> asks_;
+};
+
+} // namespace kraken::engine