Feature/ Orderbook Class

CMakeLists.txt

@@ -6,11 +6,13 @@ if(POLICY CMP0167)
 endif()
 
 set(CMAKE_CXX_STANDARD 20)
+set(CMAKE_CXX_STANDARD_REQUIRED True)
 
 include_directories(${PROJECT_SOURCE_DIR}/include/)
 include_directories(${PROJECT_SOURCE_DIR}/include/trading_engine)
 include_directories(${PROJECT_SOURCE_DIR}/include/background_service)
 include_directories(${PROJECT_SOURCE_DIR}/include/logger)
+include_directories(${PROJECT_SOURCE_DIR}/include/orderbook)
 set(THREADS_PREFER_PTHREAD_FLAG ON)
 find_package(Threads REQUIRED)
 find_package(Boost REQUIRED COMPONENTS system)
@@ -20,6 +22,7 @@ add_executable(TradingEngineServer
     src/trading_engine/TradingEngineServer.cpp
     src/background_service/BackgroundService.cpp
     src/background_service/ThreadPool.cpp
+    src/orderbook/Orderbook.cpp
 )
 
 target_link_libraries(TradingEngineServer

include/background_service/BackgroundService.h

@@ -16,7 +16,10 @@ using boost::asio::ip::tcp;
 class BackgroundService {
 public:
     BackgroundService(const std::string& log_file_path, const std::string& config_file_path)
-    : logger_(std::make_unique<FileLogger>(log_file_path)), config_(ServerConfiguration(config_file_path)), close_flag_(false) {}
+        : logger_(std::make_unique<FileLogger>(log_file_path))
+        , config_(ServerConfiguration(config_file_path))
+        , close_flag_(false)
+    {}
 
 protected:
     virtual void start_server();

include/orderbook/Orderbook.h

@@ -0,0 +1,56 @@
+#pragma once
+
+#include <condition_variable>
+#include <thread>
+#include <mutex>
+#include <atomic>
+#include <map>
+#include <unordered_map>
+
+#include <OrderbookAliases.h>
+#include <Order.h>
+#include <ModifiedOrder.h>
+#include <OrderbookLevelInfo.h>
+#include <Trade.h>
+
+class Orderbook {
+public:
+    Orderbook()
+        : shutdown_(false)
+    {}
+
+    ~Orderbook();
+    Orderbook(const Orderbook&) = delete;
+    void operator=(const Orderbook&) = delete;
+    Orderbook(Orderbook&&) = delete;
+    void operator=(Orderbook&&) = delete;
+
+    Trades add_order(OrderPointer order);
+    void cancel_order(OrderId order_id);
+    Trades modify_order(ModifiedOrder order);
+
+    std::size_t size() const;
+    OrderbookLevelInfo get_order_info() const;
+
+private:
+    void prune_good_for_day_orders();
+    void cancel_orders(Orders order_id_list);
+    void cancel_order_internal(OrderId order_id);
+    void on_order_cancelled(OrderPointer order);
+    void on_order_added(OrderPointer order);
+    void on_order_matched(Price price, Quantity quantity, bool isFullyFilled);
+    void update_level_data(Price price, Quantity quantity, LevelData::Operation operation);
+    bool can_fully_fill(SideType side, Price price, Quantity quantity) const;
+    bool can_match(SideType side, Price price) const;
+    Trades match_orders();
+
+    std::unordered_map<Price, LevelData> data_;
+    std::map<Price, OrderPointers, std::greater<Price>> bids_;
+    std::map<Price, OrderPointers, std::less<Price>> asks_;
+    std::unordered_map<OrderId, OrderEntry> orders_;
+    mutable std::mutex orders_mutex_;
+    std::thread orders_prune_thread_;
+    std::condition_variable shutdown_condition_variable_;
+    std::atomic<bool> shutdown_;
+
+};

include/orderbook/OrderbookAliases.h

@@ -0,0 +1,14 @@
+#pragma once
+
+#include <vector>
+#include <cstdint>
+#include <limits>
+
+using Price = std::int32_t;
+using Quantity = std::uint32_t;
+using OrderId = std::uint64_t;
+using Orders = std::vector<OrderId>;
+
+struct OrderbookAliases {
+    static const Price INVALID_PRICE = std::numeric_limits<Price>::quiet_NaN();
+};

include/orderbook/level/LevelData.h

@@ -0,0 +1,14 @@
+#pragma once
+
+#include "orderbook/OrderbookAliases.h"
+
+struct LevelData {
+    Price price_;
+    Quantity quantity_;
+
+    enum class Operation {
+        ADD,
+        REMOVE,
+        MATCH
+    };
+};

include/orderbook/level/OrderbookLevelInfo.h

@@ -0,0 +1,20 @@
+#pragma once
+
+#include "LevelData.h"
+
+using LevelInfo = std::vector<LevelData>;
+
+class OrderbookLevelInfo {
+public:
+    OrderbookLevelInfo(const LevelInfo& bids, const LevelInfo& asks)
+        : bids_(bids)
+        , asks_(asks)
+    {}
+
+    const LevelInfo& get_bids() const { return bids_; }
+    const LevelInfo& get_asks() const { return asks_; }
+
+private:
+    LevelInfo bids_;
+    LevelInfo asks_;
+};

include/orderbook/order/ModifiedOrder.h

@@ -0,0 +1,28 @@
+#pragma once
+
+#include <Order.h>
+
+class ModifiedOrder {
+    ModifiedOrder(OrderId order_id, SideType side, Price price, Quantity quantity)
+        : order_id_(order_id)
+        , price_(price)
+        , side_(side)
+        , quantity_(quantity)
+    {}
+
+    OrderId get_order_id() const { return order_id_; }
+    Price get_price() const { return price_; }
+    SideType get_side() const { return side_; }
+    Quantity get_quantity() const { return quantity_; }
+
+    OrderPointer to_order_pointer(OrderType type) const {
+        return std::make_shared<Order>(type, get_order_id(), get_side(), get_price(), get_quantity());
+    }
+
+private:
+    OrderId order_id_;
+    Price price_;
+    SideType side_;
+    Quantity quantity_;
+
+};

include/orderbook/order/Order.h

@@ -0,0 +1,66 @@
+#pragma once
+
+#include <exception>
+#include <list>
+#include <memory>
+
+#include <OrderbookAliases.h>
+#include <OrderType.h>
+#include <SideType.h>
+
+class Order {
+public:
+    Order(OrderType order_type, OrderId order_id, SideType side, Price price, Quantity quantity)
+        : order_type_(order_type)
+        , order_id_(order_id)
+        , side_(side)
+        , price_(price)
+        , initial_quantity_(quantity)
+        , remaining_quantity_(quantity)
+    {}
+
+    Order(OrderId order_id, SideType side, Quantity quantity)
+        : Order(OrderType::MARKET, order_id, side, OrderbookAliases::INVALID_PRICE, quantity)
+    {}
+
+    OrderId get_order_id() const { return order_id_; }
+    SideType get_side() const { return side_; }
+    Price get_price() const { return price_; }
+    OrderType get_order_type() const { return order_type_; }
+    Quantity get_initial_quantity() const { return initial_quantity_; }
+    Quantity get_remaining_quantity() const { return remaining_quantity_; }
+    Quantity get_filled_quantity() const { return get_initial_quantity() - get_remaining_quantity(); }
+    bool is_filled() const { return get_remaining_quantity() == 0; }
+
+    void fill(Quantity quantity) {
+        if (quantity > get_remaining_quantity())
+            // throw std::logic_error("Order (" + get_order_id() + ") cannot be filled for more than its remaining quantity.");
+
+        remaining_quantity_ -= quantity;
+    }
+
+    void to_good_till_cancel(Price price) {
+        if (get_order_type() != OrderType::MARKET)
+            // throw std::logic_error("Order (" + get_order_id() + ") cannot have its price adjusted, only market orders can.");
+
+        price_ = price;
+        order_type_ = OrderType::GOOD_TILL_CANCEL;
+    }
+
+private:
+    OrderType order_type_;
+    OrderId order_id_;
+    SideType side_;
+    Price price_;
+    Quantity initial_quantity_;
+    Quantity remaining_quantity_;
+
+};
+
+using OrderPointer = std::shared_ptr<Order>;
+using OrderPointers = std::list<OrderPointer>;
+
+struct OrderEntry {
+    OrderPointer order_;
+    OrderPointers::iterator location_;
+};

include/orderbook/order/OrderType.h

@@ -0,0 +1,9 @@
+#pragma once
+
+enum class OrderType {
+    GOOD_TILL_CANCEL,
+    FILL_AND_KILL,
+    FILL_OR_KILL,
+    GOOD_FOR_DAY,
+    MARKET
+};

include/orderbook/order/SideType.h

@@ -0,0 +1,6 @@
+#pragma once
+
+enum class SideType {
+    BUY,
+    SELL
+};

include/orderbook/trade/Trade.h

@@ -0,0 +1,21 @@
+#pragma once
+
+#include <TradeInfo.h>
+
+class Trade {
+public:
+    Trade(const TradeInfo& bid, const TradeInfo& ask)
+        : bid_trade_(bid)
+        , ask_trade_(ask)
+    {}
+
+    const TradeInfo& get_bid_trade() const { return bid_trade_; }
+    const TradeInfo& get_ask_trade() const { return ask_trade_; }
+
+private:
+    TradeInfo bid_trade_;
+    TradeInfo ask_trade_;
+
+};
+
+using Trades = std::vector<Trade>;

include/orderbook/trade/TradeInfo.h

@@ -0,0 +1,9 @@
+#pragma once
+
+#include <OrderbookAliases.h>
+
+struct TradeInfo {
+    OrderId order_id_;
+    Price price_;
+    Quantity quantity_;
+};

include/trading_engine/TradingEngineServer.h

@@ -5,7 +5,8 @@
 class TradingEngineServer : public BackgroundService {
 public:
     TradingEngineServer(const std::string& config_file_path, const std::string& log_file_path)
-        : BackgroundService(log_file_path, config_file_path) {}
+        : BackgroundService(log_file_path, config_file_path)
+    {}
 
     void run_trading_engine();