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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.
**
****************************************************************************/
#ifdef _MSC_VER
#pragma warning( disable : 4786 )
#endif
#include "Market.h"
#include <iostream>
bool Market::insert( const Order& order )
{
if ( order.getSide() == Order::buy )
m_bidOrders.insert( BidOrders::value_type( order.getPrice(), order ) );
else
m_askOrders.insert( AskOrders::value_type( order.getPrice(), order ) );
return true;
}
void Market::erase( const Order& order )
{
std::string id = order.getClientID();
if ( order.getSide() == Order::buy )
{
BidOrders::iterator i;
for ( i = m_bidOrders.begin(); i != m_bidOrders.end(); ++i )
if ( i->second.getClientID() == id )
{
m_bidOrders.erase( i );
return ;
}
}
else if ( order.getSide() == Order::sell )
{
AskOrders::iterator i;
for ( i = m_askOrders.begin(); i != m_askOrders.end(); ++i )
if ( i->second.getClientID() == id )
{
m_askOrders.erase( i );
return ;
}
}
}
bool Market::match( std::queue < Order > & orders )
{
while ( true )
{
if ( !m_bidOrders.size() || !m_askOrders.size() )
return orders.size() != 0;
BidOrders::iterator iBid = m_bidOrders.begin();
AskOrders::iterator iAsk = m_askOrders.begin();
if ( iBid->second.getPrice() >= iAsk->second.getPrice() )
{
Order & bid = iBid->second;
Order& ask = iAsk->second;
match( bid, ask );
orders.push( bid );
orders.push( ask );
if ( bid.isClosed() ) m_bidOrders.erase( iBid );
if ( ask.isClosed() ) m_askOrders.erase( iAsk );
}
else
return orders.size() != 0;
}
}
Order& Market::find( Order::Side side, std::string id )
{
if ( side == Order::buy )
{
BidOrders::iterator i;
for ( i = m_bidOrders.begin(); i != m_bidOrders.end(); ++i )
if ( i->second.getClientID() == id ) return i->second;
}
else if ( side == Order::sell )
{
AskOrders::iterator i;
for ( i = m_askOrders.begin(); i != m_askOrders.end(); ++i )
if ( i->second.getClientID() == id ) return i->second;
}
throw std::exception();
}
void Market::match( Order& bid, Order& ask )
{
double price = ask.getPrice();
long quantity = 0;
if ( bid.getOpenQuantity() > ask.getOpenQuantity() )
quantity = ask.getOpenQuantity();
else
quantity = bid.getOpenQuantity();
bid.execute( price, quantity );
ask.execute( price, quantity );
}
void Market::display() const
{
BidOrders::const_iterator iBid;
AskOrders::const_iterator iAsk;
std::cout << "BIDS:" << std::endl;
std::cout << "-----" << std::endl << std::endl;
for ( iBid = m_bidOrders.begin(); iBid != m_bidOrders.end(); ++iBid )
std::cout << iBid->second << std::endl;
std::cout << std::endl << std::endl;
std::cout << "ASKS:" << std::endl;
std::cout << "-----" << std::endl << std::endl;
for ( iAsk = m_askOrders.begin(); iAsk != m_askOrders.end(); ++iAsk )
std::cout << iAsk->second << std::endl;
}
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