smart_order_router.hpp

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#ifndef LIBJMMCG_ISIMUD_EXCHANGES_LINKS_SMART_ORDER_ROUTER_HPP
#define LIBJMMCG_ISIMUD_EXCHANGES_LINKS_SMART_ORDER_ROUTER_HPP
 
/******************************************************************************
** Copyright © 2020 by J.M.McGuiness, isimud@hussar.me.uk
**
** This library is free software; you can redistribute it and/or
** modify it under the terms of the GNU Lesser General Public
** License as published by the Free Software Foundation; either
** version 2.1 of the License, or (at your option) any later version.
**
** This library is distributed in the hope that it will be useful,
** but WITHOUT ANY WARRANTY; without even the implied warranty of
** MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
** Lesser General Public License for more details.
**
** You should have received a copy of the GNU Lesser General Public
** License along with this library; if not, write to the Free Software
** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
*/
 
#include "common/isin.hpp"
 
#include <map>
 
namespace isimud { namespace ISIMUD_VER_NAMESPACE {
 
   /// An idea for implementing a very simple smart order router.
   class smart_order_router {
   public:
      struct available_to_trade {
         using price_t=int;   ///< Probably needs to be a variant over the various price_types of the links if there is no common_type.
         using volume_t=int;  ///< Probably needs to be a variant over the various volume_types of the links if there is no common_type.
 
         bool operator<(available_to_trade const &) const noexcept(true);
      };
      using link_t=int; ///< Base class of all the links.
      using link_ptr_t=link_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....
       */
      using container_type=std::map<
         exchanges::ISIN_t,   ///< These are only ISINs that are traded on multiple venues.
         /**
          * May want to use a std::heap instead, as only need the best available, not all in order.
          */
         std::map<
            available_to_trade,
            link_ptr_t
         >
      >;
 
      /// 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.
       */
      void market_data_update(ISIN_t const &, available_to_trade::price_t const &, available_to_trade::volume_t const &);
 
      /// 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.
      */
      void place_an_order(...) noexcept(false);
 
   private:
      /**
         TODO We'll need some kind of funky locking for this, probably multi-level....
       */
      container_type multi_venue_instruments;
   };
 
} }
 
#endif