prices.hpp

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#pragma once

#include <tt_core_sdk/enums.hpp>

#include <string>
#include <cstdint>
#include <bitset>
#include <atomic>
#include <memory>

namespace tt_core_sdk {

class InProcessComposerImpl;
class InProcessUnifierImpl;
class PriceClientTCP;
class Instrument;

struct PriceSnap
{
    static constexpr size_t MAX_DEPTH_LEVEL = 10; 

    struct depth_snap
    {
        size_t count; 

        struct depth_level
        {
            double price;             
            int32_t quantity;         
            int32_t implied_quantity; 
            int32_t order_count;      
        } levels[MAX_DEPTH_LEVEL];
    };

    enum market_state market_state; 

    depth_snap bids; 
    depth_snap asks; 

    double open_price;          
    double close_price;         
    double high_price;          
    double low_price;           
    double last_trade_price;    
    double last_trade_quantity; 
    double volume;              
    double settlement_price;    

    uint64_t seq_no;        
    uint64_t conflation_no; 
    uint64_t exchange_time; 

    uint64_t exchange_time_ns;
    uint64_t exchange_transaction_time_ns;
    uint64_t mdrc_recv_time; // eReceivedByServer
    uint64_t order_stimulus_received_algo;
    uint64_t client_recv_time;
    uint64_t queue_up_time;
    uint64_t dequeue_time;
    uint64_t before_parse_time;
    uint64_t after_parse_time;
    uint64_t after_cache_time;
    uint64_t after_merge_time;
    uint64_t before_callback_time;

};

struct TimeSale
{
    enum class trade_type
    {
        HIT,    
        TAKE,   
        UNKNOWN 
    };

    double last_trade_price;    
    double last_trade_quantity; 

    uint64_t epoch_transact_time_micro; 
    uint64_t epoch_transact_time_nano;  

    trade_type type;           
    trade_status status;       
    trade_qualifier qualifier; 

    bool is_otc;     
    bool is_implied; 
    bool is_leg;     

    uint64_t exchange_transact_time_ns;
};

using Filter = std::bitset<30>;

static constexpr Filter PRICE_FILTER_NONE             { 0 };
static constexpr Filter PRICE_FILTER_MARKET_STATE     { 1 };
static constexpr Filter PRICE_FILTER_ASK0             { 1 << 1 };
static constexpr Filter PRICE_FILTER_ASK1             { 1 << 2 };
static constexpr Filter PRICE_FILTER_ASK2             { 1 << 3 };
static constexpr Filter PRICE_FILTER_ASK3             { 1 << 4 };
static constexpr Filter PRICE_FILTER_ASK4             { 1 << 5 };
static constexpr Filter PRICE_FILTER_ASK5             { 1 << 6 };
static constexpr Filter PRICE_FILTER_ASK6             { 1 << 7 };
static constexpr Filter PRICE_FILTER_ASK7             { 1 << 8 };
static constexpr Filter PRICE_FILTER_ASK8             { 1 << 9 };
static constexpr Filter PRICE_FILTER_ASK9             { 1 << 10 };
static constexpr Filter PRICE_FILTER_BID0             { 1 << 11 };
static constexpr Filter PRICE_FILTER_BID1             { 1 << 12 };
static constexpr Filter PRICE_FILTER_BID2             { 1 << 13 };
static constexpr Filter PRICE_FILTER_BID3             { 1 << 14 };
static constexpr Filter PRICE_FILTER_BID4             { 1 << 15 };
static constexpr Filter PRICE_FILTER_BID5             { 1 << 16 };
static constexpr Filter PRICE_FILTER_BID6             { 1 << 17 };
static constexpr Filter PRICE_FILTER_BID7             { 1 << 18 };
static constexpr Filter PRICE_FILTER_BID8             { 1 << 19 };
static constexpr Filter PRICE_FILTER_BID9             { 1 << 20 };
static constexpr Filter PRICE_FILTER_OPEN             { 1 << 21 };
static constexpr Filter PRICE_FILTER_CLOSE            { 1 << 22 };
static constexpr Filter PRICE_FILTER_HIGH             { 1 << 23 };
static constexpr Filter PRICE_FILTER_LOW              { 1 << 24 };
static constexpr Filter PRICE_FILTER_LAST_TRADE_PRICE { 1 << 25 };
static constexpr Filter PRICE_FILTER_LAST_TRADE_QTY   { 1 << 26 };
static constexpr Filter PRICE_FILTER_VOLUME           { 1 << 27 };
static constexpr Filter PRICE_FILTER_SETTLEMENT       { 1 << 28 };
static constexpr Filter PRICE_FILTER_TIME_SALES       { 1 << 29 };
static constexpr Filter PRICE_FILTER_NO_IMPLIES       { 1 << 30 };
static constexpr Filter PRICE_FILTER_ALL_ASK          { 0x7FE };
static constexpr Filter PRICE_FILTER_ALL_BID          { 0x1FF800 };
static constexpr Filter PRICE_FILTER_ALL_DEPTH        { 0x1FFFFE };
static constexpr Filter PRICE_FILTER_ALL_PRICE_FIELD  { 0x1FFFFFFF };
static constexpr Filter PRICE_FILTER_ALL              { 0x3FFFFFFF };
static constexpr Filter PRICE_FILTER_PNL              { 0x12400803 };
//static constexpr Filter PRICE_FILTER_INSIDE_MARKET    { PRICE_FILTER_ASK0 | PRICE_FILTER_BID0 };

class PriceEventListener
{
public:
    virtual ~PriceEventListener (void) noexcept = default;

    virtual void OnPriceUpdate (const PriceSnap& snap) = 0;

    virtual void OnTimeSalesUpdate (const TimeSale& ts) = 0;

    virtual void OnError (const std::string& error) = 0;
};

struct price_sub_key
{
    uint64_t instr_id;
    uint64_t user_id;
};

class PriceSubscription
{
public:
    PriceSubscription (void);

    ~PriceSubscription (void) noexcept;

    PriceSubscription (const PriceSubscription&) = delete;
    PriceSubscription& operator= (const PriceSubscription&) = delete;
    PriceSubscription (PriceSubscription&&) noexcept;
    PriceSubscription& operator= (PriceSubscription&&) noexcept;

    uint64_t Id (void) const noexcept { return m_id; }

    bool IsValid (void) const noexcept;

    void Pause (void);
    bool Resume (void);
    void Cancel (void);

    Filter GetFilter (void) const noexcept;
    void SetFilter (const Filter& filter) noexcept;            
    void AddFilter (const Filter& additional_filter) noexcept; 

private:
    friend class PriceLibImpl;
    friend class InProcessComposerImpl;
    friend class InProcessUnifierImpl;
    friend class InProcessPriceTCPImpl;
    friend class PriceClientTCP;

    using FilterPtr = std::shared_ptr<std::atomic<Filter>>;
    PriceSubscription (uint64_t, const price_sub_key&, FilterPtr&&);

    uint64_t      m_id = 0;
    price_sub_key m_key;
    FilterPtr     m_filter;
};

PriceSubscription CreatePriceSubscription (const std::shared_ptr<Instrument>&         instr,
                                           const Filter&                              filter,
                                           const std::shared_ptr<PriceEventListener>& listener);

std::string to_string (const PriceSnap& snap);
std::string to_string (TimeSale::trade_type type);

} // namespace tt_core_sdk