order_book.hpp

#pragma once
 
#include <cstddef>
#include <cstdint>
#include <expected>
#include <functional>
#include <string>
#include <string_view>
 
#include <ankerl/unordered_dense.h>
 
#include <order_book/feed.hpp>
#include <order_book/levels.hpp>
 
namespace order_book {

struct StringHash {
    using is_transparent = void; 
    using is_avalanching = void; 
    [[nodiscard]] std::uint64_t operator()(std::string_view text) const noexcept
    {
        return ankerl::unordered_dense::hash<std::string_view>{}(text);
    }
};

enum class BookError : std::uint8_t {
    DuplicateOrder, 
    UnknownOrder,   
};

class OrderBook {
public:
    [[nodiscard]] std::expected<bool, BookError> apply(std::string_view order, const Event& event);
    [[nodiscard]] Bbo bbo() const;
    [[nodiscard]] std::size_t order_count() const { return m_orders.size(); }
    [[nodiscard]] std::size_t level_count() const { return m_levels.size(); }
 
private:
    struct Order {
        Shares remaining;
        std::uint32_t level;
    };
 
    std::expected<bool, BookError> add(std::string_view order, const AddOrder& add);
 
    BookLevels m_book;
    LevelPool m_levels;
    ankerl::unordered_dense::map<std::string, Order, StringHash, std::equal_to<>> m_orders;
};
 
} // namespace order_book