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/* -*- 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_ORDER_H
#define ORDERMATCH_ORDER_H
#include <string>
#include <iomanip>
#include <ostream>
class Order
{
friend std::ostream& operator<<( std::ostream&, const Order& );
public:
enum Side { buy, sell };
enum Type { market, limit };
Order( const std::string& clientId, const std::string& symbol,
const std::string& owner, const std::string& target,
Side side, Type type, double price, long quantity )
: m_clientId( clientId ), m_symbol( symbol ), m_owner( owner ),
m_target( target ), m_side( side ), m_type( type ), m_price( price ),
m_quantity( quantity )
{
m_openQuantity = m_quantity;
m_executedQuantity = 0;
m_avgExecutedPrice = 0;
m_lastExecutedPrice = 0;
m_lastExecutedQuantity = 0;
}
const std::string& getClientID() const { return m_clientId; }
const std::string& getSymbol() const { return m_symbol; }
const std::string& getOwner() const { return m_owner; }
const std::string& getTarget() const { return m_target; }
Side getSide() const { return m_side; }
Type getType() const { return m_type; }
double getPrice() const { return m_price; }
long getQuantity() const { return m_quantity; }
long getOpenQuantity() const { return m_openQuantity; }
long getExecutedQuantity() const { return m_executedQuantity; }
double getAvgExecutedPrice() const { return m_avgExecutedPrice; }
double getLastExecutedPrice() const { return m_lastExecutedPrice; }
long getLastExecutedQuantity() const { return m_lastExecutedQuantity; }
bool isFilled() const { return m_quantity == m_executedQuantity; }
bool isClosed() const { return m_openQuantity == 0; }
void execute( double price, long quantity )
{
m_avgExecutedPrice =
( ( quantity * price ) + ( m_avgExecutedPrice * m_executedQuantity ) )
/ ( quantity + m_executedQuantity );
m_openQuantity -= quantity;
m_executedQuantity += quantity;
m_lastExecutedPrice = price;
m_lastExecutedQuantity = quantity;
}
void cancel()
{
m_openQuantity = 0;
}
private:
std::string m_clientId;
std::string m_symbol;
std::string m_owner;
std::string m_target;
Side m_side;
Type m_type;
double m_price;
long m_quantity;
long m_openQuantity;
long m_executedQuantity;
double m_avgExecutedPrice;
double m_lastExecutedPrice;
long m_lastExecutedQuantity;
};
inline std::ostream& operator<<( std::ostream& ostream, const Order& order )
{
return ostream
<< "ID: " << std::setw( 10 ) << "," << order.getClientID()
<< " OWNER: " << std::setw( 10 ) << "," << order.getOwner()
<< " PRICE: " << std::setw( 10 ) << "," << order.getPrice()
<< " QUANTITY: " << std::setw( 10 ) << "," << order.getQuantity();
}
#endif
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