Manages and matches orders in a trading environment. More...

#include <Orderbook.hpp>

Public Member Functions
	Orderbook ()
	Default constructor, initializes the Good For Day order pruning thread. More...

	Orderbook (const Orderbook &)=delete

void	operator= (const Orderbook &)=delete

	Orderbook (Orderbook &&)=delete

void	operator= (Orderbook &&)=delete

	~Orderbook ()
	Destructor, joins the pruning thread and signals shutdown. More...

void	changeExecutionType (int type)
	Changes the execution type for order matching. More...

Trades	addOrder (OrderPtr order)
	Adds an order to the orderbook. More...

Trades	addOrder (OrderType type, Side side, Price price, Quantity qty)
	Adds a new order to the orderbook with specified parameters. More...

Trades	addOrder (OrderType type, OrderId orderId, Side side, Price price, Quantity qty)
	Adds a new order with a specified ID. More...

void	addOrderViaPython (int type, int id, int side, int price, int qty)
	Adds an order to the orderbook via Python interface. More...

void	CancelOrder (OrderId orderId)
	Cancels an order by its ID. More...

Trades	ModifyOrder (OrderModify order)
	Modifies an existing order. More...

void	setPriceScale (Price _price)
	Sets the price scale for the orderbook. More...

Price	getPriceScale ()
	Retrieves the current price scale of the orderbook. More...

void	printAllOrders ()
	Prints all orders and orderbook details. More...

void	saveToJson (const std::string &buyfilename="BuyHistory.json", const std::string &sellfilename="SellHistory.json", const std::string &purchasefilename="PurchaseHistory.json", const std::string &buyLivefilename="BuyLiveHistory.json", const std::string &sellLivefilename="SellLiveHistory.json")
	Saves orderbook data to JSON files. More...

std::size_t	Size () const
	Retrieves the number of orders in the orderbook. More...

OrderbookLevelInfos	getOrderInfos () const
	Retrieves aggregated orderbook level information. More...

void	EndOfDay ()
	Handles end-of-day processing for the orderbook. More...

Detailed Description

Manages and matches orders in a trading environment.

The Orderbook class maintains separate collections for bids and asks, as well as provides functions for adding, canceling, modifying, and matching orders. It also includes features for managing Good For Day orders and saving the orderbook state to JSON.

Constructor & Destructor Documentation

◆ Orderbook() [1/3]

Orderbook::Orderbook ( )

inline

Default constructor, initializes the Good For Day order pruning thread.

◆ Orderbook() [2/3]

Orderbook::Orderbook ( const Orderbook & )

delete

◆ Orderbook() [3/3]

Orderbook::Orderbook ( Orderbook && )

delete

◆ ~Orderbook()

Orderbook::~Orderbook ( )

inline

Destructor, joins the pruning thread and signals shutdown.

Member Function Documentation

◆ addOrder() [1/3]

Trades Orderbook::addOrder ( OrderPtr order )

Adds an order to the orderbook.

Parameters

order The order to add.

Returns: A vector of Trades resulting from the addition.

Adds the provided order to the orderbook, updates internal data structures, and attempts to match orders.

Parameters

order A shared pointer to the Order to add.

Returns: A vector of Trades resulting from the addition.

◆ addOrder() [2/3]

Trades Orderbook::addOrder	(	OrderType	type,
		OrderId	id,
		Side	side,
		Price	price,
		Quantity	qty
	)

Adds a new order with a specified ID.

Adds a new order to the orderbook with a specified ID.

Parameters

type	The type of the order.
orderId	The ID of the order.
side	The side of the order (Buy or Sell).
price	The price of the order.
qty	The quantity of the order.

Returns: A vector of Trades resulting from the addition.

Creates and adds a new order with the specified ID and parameters.

Parameters

type	The type of the order.
id	The ID of the order.
side	The side of the order (Buy or Sell).
price	The price of the order.
qty	The quantity of the order.

Returns: A vector of Trades resulting from the addition.

◆ addOrder() [3/3]

Trades Orderbook::addOrder	(	OrderType	type,
		Side	side,
		Price	price,
		Quantity	qty
	)

Adds a new order to the orderbook with specified parameters.

Adds a new order to the orderbook.

Parameters

type	The type of the order.
side	The side of the order (Buy or Sell).
price	The price of the order.
qty	The quantity of the order.

Returns: A vector of Trades resulting from the addition.

Creates and adds a new order to the orderbook with the specified parameters.

Parameters

type	The type of the order.
side	The side of the order (Buy or Sell).
price	The price of the order.
qty	The quantity of the order.

Returns: A vector of Trades resulting from the addition.

◆ addOrderViaPython()

void Orderbook::addOrderViaPython	(	int	type,
		int	id,
		int	side,
		int	price,
		int	qty
	)

Adds an order to the orderbook via Python interface.

Parameters

type	The type of the order (as integer).
id	The ID of the order.
side	The side of the order (1 for Buy, 2 for Sell).
price	The price of the order.
qty	The quantity of the order.

Exposed to Python via Pybind11, allows adding orders from Python code.

Parameters

type	The type of the order (as integer).
id	The ID of the order.
side	The side of the order (1 for Buy, 2 for Sell).
price	The price of the order.
qty	The quantity of the order.

◆ CancelOrder()

void Orderbook::CancelOrder ( OrderId orderId )

Cancels an order by its ID.

Parameters

orderId The ID of the order to cancel.

Public interface to cancel an order.

Parameters

orderId The ID of the order to cancel.

◆ changeExecutionType()

void Orderbook::changeExecutionType ( int type )

Changes the execution type for order matching.

Parameters

type	The execution type (0: BuyersPrice, 1: SellersPrice, 2: MidPrice).

Adjusts how the execution price is determined during order matching.

Parameters

type	The execution type (0: BuyersPrice, 1: SellersPrice, 2: MidPrice).

◆ EndOfDay()

void Orderbook::EndOfDay ( )

Handles end-of-day processing for the orderbook.

Cancels GoodForDay orders and cleans up orders and order entries.

◆ getOrderInfos()

OrderbookLevelInfos Orderbook::getOrderInfos ( ) const

Retrieves aggregated orderbook level information.

Provides information about the bid and ask levels in the orderbook, including prices and quantities.

Returns: An OrderbookLevelInfos object containing level information.

◆ getPriceScale()

Price Orderbook::getPriceScale ( )

Retrieves the current price scale of the orderbook.

Returns: The current price scale.

◆ ModifyOrder()

Trades Orderbook::ModifyOrder ( OrderModify order )

Modifies an existing order.

Parameters

order The OrderModify object containing new order details.

Returns: A vector of Trades resulting from the modification.

Replaces the existing order with a new one based on the modification details.

Parameters

order The OrderModify object containing new order details.

Returns: A vector of Trades resulting from the modification.

◆ operator=() [1/2]

void Orderbook::operator= ( const Orderbook & )

delete

◆ operator=() [2/2]

void Orderbook::operator= ( Orderbook && )

delete

◆ printAllOrders()

void Orderbook::printAllOrders ( )

Prints all orders and orderbook details.

Outputs order histories and statistics to the console.

◆ saveToJson()

void Orderbook::saveToJson	(	const std::string &	buyfilename = `"BuyHistory.json"`,
		const std::string &	sellfilename = `"SellHistory.json"`,
		const std::string &	purchasefilename = `"PurchaseHistory.json"`,
		const std::string &	buyLivefilename = `"BuyLiveHistory.json"`,
		const std::string &	sellLivefilename = `"SellLiveHistory.json"`
	)

Saves orderbook data to JSON files.

Exports order histories and live orders to specified JSON files.

Parameters

buyfilename	Filename for buy order history.
sellfilename	Filename for sell order history.
purchasefilename	Filename for purchase history.
buyLivefilename	Filename for live buy orders.
sellLivefilename	Filename for live sell orders.

◆ setPriceScale()

void Orderbook::setPriceScale ( Price _price )

Sets the price scale for the orderbook.

Parameters

_price The new price scale to set.

Adjusts the price scale used in the orderbook's internal calculations.

Parameters

_price The new price scale to set.

◆ Size()

std::size_t Orderbook::Size ( ) const

Retrieves the number of orders in the orderbook.

Returns: The size of the orderbook.

The documentation for this class was generated from the following files:

OrderbookSim/Orderbook.hpp
OrderbookSim/Orderbook.cpp

Public Member Functions

Detailed Description

Constructor & Destructor Documentation

◆ Orderbook() [1/3]

◆ Orderbook() [2/3]

◆ Orderbook() [3/3]

◆ ~Orderbook()

Member Function Documentation

◆ addOrder() [1/3]

◆ addOrder() [2/3]

◆ addOrder() [3/3]

◆ addOrderViaPython()

◆ CancelOrder()

◆ changeExecutionType()

◆ EndOfDay()

◆ getOrderInfos()

◆ getPriceScale()

◆ ModifyOrder()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ printAllOrders()

◆ saveToJson()

◆ setPriceScale()

◆ Size()