book_manager.hpp

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#pragma once
 
 
#include <cstdint>
#include <functional>
#include <memory>
#include <string>
#include <string_view>
#include <unordered_set>
#include <vector>
 
#include "itch/book/l3_book.hpp"
#include "itch/messages.hpp"
#include "itch/tape.hpp"
 
namespace itch::book {
 
class BookManager {
   public:
    using BboCallback = std::function<void(const L3Book& book, const Bbo& bbo)>;
 
    BookManager() = default;
 
    auto process(const Message& message) -> void;
 
    auto set_bbo_callback(BboCallback callback) -> void { m_bbo_callback = std::move(callback); }
 
    auto set_trade_callback(TradeCallback callback) -> void {
        m_trade_callback = std::move(callback);
    }
 
    auto track_symbol(std::string symbol) -> void { m_universe.insert(std::move(symbol)); }
 
    [[nodiscard]] auto book(std::uint16_t stock_locate) const -> const L3Book*;
 
    [[nodiscard]] auto book_for_symbol(std::string_view symbol) const -> const L3Book*;
 
    [[nodiscard]] auto book_count() const noexcept -> std::size_t { return m_book_count; }
 
    [[nodiscard]] auto symbol_for_locate(std::uint16_t stock_locate) const -> std::string_view;
 
   private:
    struct BookEntry {
        L3Book book;
        Bbo    last_bbo {};
    };
 
    auto ensure_entry(std::uint16_t stock_locate, std::string_view symbol) -> BookEntry*;
 
    [[nodiscard]] auto entry(std::uint16_t stock_locate) const -> BookEntry*;
 
    auto emit_bbo_if_changed(BookEntry& target) -> void;
 
    [[nodiscard]] auto in_universe(std::string_view symbol) const -> bool;
 
    template <typename AddMessage>
    auto handle_add_order(const AddMessage& add) -> void;
 
    auto handle_order_executed(const OrderExecutedMessage& exec) -> void;
 
    auto handle_order_executed_with_price(const OrderExecutedWithPriceMessage& exec) -> void;
 
    auto handle_order_cancel(const OrderCancelMessage& cancel) -> void;
 
    auto handle_order_delete(const OrderDeleteMessage& del) -> void;
 
    auto handle_order_replace(const OrderReplaceMessage& replace) -> void;
 
    auto handle_non_cross_trade(const NonCrossTradeMessage& trade) -> void;
 
    auto handle_cross_trade(const CrossTradeMessage& cross) -> void;
 
    auto handle_stock_directory(const StockDirectoryMessage& directory) -> void;
 
    std::vector<std::unique_ptr<BookEntry>> m_books_by_locate;   
    std::vector<std::string>                m_symbol_by_locate;  
    std::unordered_set<std::string>         m_universe;          
    BboCallback                             m_bbo_callback {};
    TradeCallback                           m_trade_callback {};
    std::size_t                             m_book_count {0};
};
 
}  // namespace itch::book