#include "order_fwd.h"
#include <props/props.h>
#include <logger/xroad_logger.h>

Include dependency graph for order_book.h:

Classes
struct	order_book_callback_t

struct	order_book_replace_args_t

struct	order_book_create_args_t

struct	order_book_destroy_args_t

Macros
#define	order_book_create(instr, size, ...)

#define	order_book_replace(order_book, ...)

#define	order_book_destroy(book, ...)

Enumerations
enum	order_book_state_t { order_book_state_initial = 0 , order_book_state_active = 1 , order_book_state_destroyed = 2 , order_book_state_canceled = 3 , order_book_state_rejected = 4 , order_book_state_awaiting_active = 5 , order_book_state_awaiting_destroy = 6 , order_book_state_awaiting_cancel = 7 , order_book_state_awaiting_replace = 8 , order_book_state_awaiting_reject = 9 , order_book_state_error = 10 , order_book_state_awaiting_cancel_replace = 11 }

enum	order_book_side_t { order_book_side_none = 0 , order_book_side_buy = 1 , order_book_side_sell = 2 , order_book_side_both = 3 }

enum	order_book_replace_mask_t { order_book_replace_best_bid = 1 , order_book_replace_best_ask = 2 , order_book_replace_size = 4 , order_book_replace_side = 8 }

Functions
xroad_str_t	order_book_state_to_str (order_book_state_t state)

xroad_str_t	order_book_side_to_str (order_book_side_t side)

order_book_t *	order_book_create_ex (xroad_instr_t instr, xroad_qty_t size, uint32_t levels, order_book_side_t side, xroad_price_t best_bid, xroad_price_t best_ask, uint32_t price_step, xroad_str_t trader_order_book, xroad_str_t account_buy, xroad_str_t account_sell, xroad_str_t client_code_buy, xroad_str_t client_code_sell, xroad_broker_t broker_buy, xroad_broker_t broker_sell, order_book_callback_t cback, xroad_logger_t logger, xroad_sstream_t ss, int32_t flags, int32_t order_flags, xroad_currency_t hedge_currency, uint32_t destroy_timeout_ms)

void	order_book_print (order_book_t *order_book)

xroad_instr_t *	order_book_get_instr (order_book_t *order_book)

xroad_price_t	order_book_get_size (order_book_t *order_book)

void *	order_book_get_ctx (order_book_t *)

const order_t *	order_book_get_order (order_book_t *order_book, order_book_side_t side, uint32_t idx)

xroad_errno_t	order_book_replace_ex (order_book_t order_book, xroad_qty_t size, order_book_side_t side, xroad_price_t best_bid, xroad_price_t best_ask, int32_t mask, xroad_sstream_t ss)

xroad_errno_t	order_book_send (order_book_t *order_book)

xroad_errno_t	order_book_cancel (order_book_t *order_book)

void	order_book_destroy_ex (order_book_t *order_book, bool force)

order_book_state_t	order_book_get_state (order_book_t *order_book)

Detailed Description

Author: Dmitry S. Melnikov, dmitr.nosp@m.yme@.nosp@m.quant.nosp@m.box..nosp@m.ru

Macro Definition Documentation

◆ order_book_create

#define order_book_create	(	instr,
		size,
		...
	)

Value:

({                                                                                                                \
   order_book_create_args_t args = {.levels = 1, .price_step = 1U, .destroy_timeout_ms = 5000, ## __VA_ARGS__};   \
   order_book_create_ex(instr, size, args.levels, args.side, args.best_bid, args.best_ask,                        \
         args.price_step, args.trader_book, args.account_buy, args.account_sell,                                  \
         args.client_code_buy, args.client_code_sell, args.broker_buy, args.broker_sell,                          \
         args.cback, args.logger, args.ss, args.flags, args.order_flags, args.hedge_currency,                     \
         args.destroy_timeout_ms);                                                                                \
})

◆ order_book_destroy

#define order_book_destroy	(	book,
		...
	)

Value:

({                                                                                  \
   order_book_destroy_args_t args = (order_book_destroy_args_t){__VA_ARGS__};       \
   order_book_destroy_ex(book, args.force);                                         \
})

◆ order_book_replace

#define order_book_replace	(	order_book,
		...
	)

Value:

({                                                                                                                    \
   xroad_qty_t def_size = -99999999999;                                                                               \
   xroad_price_t def_price = - 99999999999.0;                                                                         \
   order_book_replace_args_t args = (order_book_replace_args_t){                                                      \
      .size = def_size, .best_bid = def_price, .best_ask = def_price, .side = (order_book_side_t)-1, ## __VA_ARGS__}; \
   int32_t mask = 0;                                                                                                  \
   mask |= !xroad_dbl_cmp(args.best_bid, def_price) ? 0 : order_book_replace_best_bid;                                \
   mask |= !xroad_dbl_cmp(args.best_ask, def_price) ? 0 : order_book_replace_best_ask;                                \
   mask |= args.side == (order_book_side_t)-1 ? 0 : order_book_replace_side;                                          \
   mask |= args.size == def_size ? 0 : order_book_replace_size;                                                       \
   order_book_replace_ex(order_book, args.size, args.side, args.best_bid, args.best_ask, mask, args.ss);              \
})

Enumeration Type Documentation

◆ order_book_replace_mask_t

enum order_book_replace_mask_t

replace mask

Enumerator
order_book_replace_best_bid	replace best bid
order_book_replace_best_ask	replace best ask
order_book_replace_size	replace size
order_book_replace_side	replace side

◆ order_book_state_t

enum order_book_state_t

Enumerator
order_book_state_initial	order_book is in initial state
order_book_state_active	order_book is in active state
order_book_state_destroyed	order_book is in destroyed state
order_book_state_canceled	order_book is in canceled state
order_book_state_rejected	order_book is in rejected state
order_book_state_awaiting_active	order_book is in awaiting active state
order_book_state_awaiting_destroy	order_book is in awaiting destroyed state
order_book_state_awaiting_cancel	order_book is in awaiting cancel state
order_book_state_awaiting_replace	order_book is in awaiting replace state
order_book_state_awaiting_reject	order_book is awaiting to cancel all after reject
order_book_state_error	order_book is in errorneus state
order_book_state_awaiting_cancel_replace	order_book is in awaiting cancel/replace state

Function Documentation

◆ order_book_create_ex()

order_book_t* order_book_create_ex	(	xroad_instr_t *	instr,
		xroad_qty_t	size,
		uint32_t	levels,
		order_book_side_t	side,
		xroad_price_t	best_bid,
		xroad_price_t	best_ask,
		uint32_t	price_step,
		xroad_str_t	trader_order_book,
		xroad_str_t	account_buy,
		xroad_str_t	account_sell,
		xroad_str_t	client_code_buy,
		xroad_str_t	client_code_sell,
		xroad_broker_t *	broker_buy,
		xroad_broker_t *	broker_sell,
		order_book_callback_t	cback,
		xroad_logger_t *	logger,
		xroad_sstream_t *	ss,
		int32_t	flags,
		int32_t	order_flags,
		xroad_currency_t *	hedge_currency,
		uint32_t	destroy_timeout_ms
	)

creates new order_book instance

Parameters

[in]	instr	- instrument
[in]	size	- order_book size
[in]	levels	- count of levels at one side
[in]	side	-order_book side(see order_book_side_t)
[in]	best_bid	- best bid level price
[in]	best_ask	- best ask level price
[in]	price_step	- price increment in terms of tick size
[in]	trader_order_book	- trader order_book
[in]	account_buy	- buy account
[in]	account_sell	- sell account
[in]	client_code_buy	- client code for buy orders
[in]	client_code_sell	- client code for sell orders
[in]	broker_buy	- broker buy
[in]	broker_sell	- broker sell
[in]	cback	- order_book callback (see order_book_callback_t)
[in]	logger	- optional logger instance
[out]	ss	- stream for error storing
[in]	pullout_time	- order_book cancel/resend timeout, when trade received
[in]	flags	- order_book flags (reserved)
[in]	order_flags	- order flags (see xroad_order_flags_t)
[in]	hedge_currency	- hedge currency
[in]	destroy_timeout_ms	- optional destroy timeout

Returns: order_book instance, else NULL (failed)

◆ order_book_get_state()

order_book_state_t order_book_get_state ( order_book_t * order_book )

return book state

Parameters

[in] order_book - order book instance

Returns: book state

◆ order_book_side_to_str()

xroad_str_t order_book_side_to_str ( order_book_side_t side )

convert order_book side to string

Parameters

[in] side - side to convert

Returns: string representation

◆ order_book_state_to_str()

xroad_str_t order_book_state_to_str ( order_book_state_t state )

order book state to string

Parameters

[in] state - order book state

Returns: state string representation

Classes

Macros

Enumerations

Functions

Detailed Description

Macro Definition Documentation

◆ order_book_create

◆ order_book_destroy

◆ order_book_replace

Enumeration Type Documentation

◆ order_book_replace_mask_t

◆ order_book_state_t

Function Documentation

◆ order_book_create_ex()

◆ order_book_get_state()

◆ order_book_side_to_str()

◆ order_book_state_to_str()