1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
|
/* -*- C++ -*- */
/****************************************************************************
** Copyright (c) 2001-2014
**
** This file is part of the QuickFIX FIX Engine
**
** This file may be distributed under the terms of the quickfixengine.org
** license as defined by quickfixengine.org and appearing in the file
** LICENSE included in the packaging of this file.
**
** This file is provided AS IS with NO WARRANTY OF ANY KIND, INCLUDING THE
** WARRANTY OF DESIGN, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE.
**
** See http://www.quickfixengine.org/LICENSE for licensing information.
**
** Contact ask@quickfixengine.org if any conditions of this licensing are
** not clear to you.
**
****************************************************************************/
#ifndef ORDERMATCH_MARKET_H
#define ORDERMATCH_MARKET_H
#include "Order.h"
#include <map>
#include <queue>
#include <string>
#include <functional>
class Market
{
public:
bool insert( const Order& order );
void erase( const Order& order );
Order& find( Order::Side side, std::string id );
bool match( std::queue < Order > & );
void display() const;
private:
typedef std::multimap < double, Order, std::greater < double > > BidOrders;
typedef std::multimap < double, Order, std::less < double > > AskOrders;
void match( Order& bid, Order& ask );
std::queue < Order > m_orderUpdates;
BidOrders m_bidOrders;
AskOrders m_askOrders;
};
#endif
|
