An idea for implementing a very simple smart order router. More...

#include <smart_order_router.hpp>

Classes
struct	available_to_trade

Public Types
using	link_t = int
	Base class of all the links. More...

using	link_ptr_t = link_t *

using	container_type = std::map< exchanges::ISIN_t, std::map< available_to_trade, link_ptr_t > >

Public Member Functions
void	market_data_update (ISIN_t const &, available_to_trade::price_t const &, available_to_trade::volume_t const &)
	The market-data thread receives updates for the subscribed ISINs and calls this function to update the internal container. More...

void	place_an_order (...) noexcept(false)
	Call to place an order via the SOR. More...

Detailed Description

An idea for implementing a very simple smart order router.

Definition at line 29 of file smart_order_router.hpp.

Member Typedef Documentation

◆ container_type

using isimud::ISIMUD_VER_NAMESPACE::smart_order_router::container_type = std::map< exchanges::ISIN_t, std::map< available_to_trade, link_ptr_t > >

A collection that contains the ISINs that are tradeable on multiple exchanges ordered by ISIN->{price, volume}->link. So that as market data comes in the prices & available volumes are updated.

May want to use a sorted vector instead....

Definition at line 44 of file smart_order_router.hpp.

◆ link_ptr_t

using isimud::ISIMUD_VER_NAMESPACE::smart_order_router::link_ptr_t = link_t*

Definition at line 38 of file smart_order_router.hpp.

◆ link_t

using isimud::ISIMUD_VER_NAMESPACE::smart_order_router::link_t = int

Base class of all the links.

Definition at line 37 of file smart_order_router.hpp.

Member Function Documentation

◆ market_data_update()

void isimud::ISIMUD_VER_NAMESPACE::smart_order_router::market_data_update	(	ISIN_t const &	,
		available_to_trade::price_t const &	,
		available_to_trade::volume_t const &
	)

The market-data thread receives updates for the subscribed ISINs and calls this function to update the internal container.

Re-insert the ISIN into the map with the updated details.

◆ place_an_order()

void isimud::ISIMUD_VER_NAMESPACE::smart_order_router::place_an_order ( ... )

noexcept

Call to place an order via the SOR.

Places the trade on the venue that has the best price & most volume. Could split the trade between venues.

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

isimud/exchanges/links/smart_order_router.hpp

Classes

Public Types

Public Member Functions