Bruno BELANYI
fae4a9d5c7
Now that we have a way to reverse-lookup for cancel orders, we are not linear in the number of active orders.
56 lines
1.4 KiB
C++
56 lines
1.4 KiB
C++
#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::greater<void>>> bids_;
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std::map<Symbol, instrument_side_data<std::less<void>>> asks_;
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// Map cancel information to allow faster lookups
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struct CancelReverseInfo {
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Side side;
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Symbol symbol;
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Price price;
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};
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std::map<CancelOrder, CancelReverseInfo> cancel_reverse_info_;
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};
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} // namespace kraken::engine
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