File size: 2,534 Bytes
f86fb3b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 | #pragma once
#include <cstdint>
#include <vector>
#include <string>
#include <unordered_map>
#include <functional>
#include <memory>
#include <span>
#include "../core/types.hpp"
#include "../core/time_utils.hpp"
#include "../protocol/itch50_protocol.hpp"
#include "../protocol/ouch_protocol.hpp"
#include "../order_book/matching_engine.hpp"
namespace quant::gateway {
using namespace protocol::itch50;
using namespace protocol::ouch;
class alignas(core::CACHELINE_SIZE) ITCHOUCHExchangeSimulator {
public:
using ITCHBroadcastCallback = std::function<void(std::span<const uint8_t> itch_msg)>;
explicit ITCHOUCHExchangeSimulator(core::Symbol symbol, ITCHBroadcastCallback on_itch = nullptr);
~ITCHOUCHExchangeSimulator() = default;
/**
* Submit an OUCH Enter Order ('O') message.
* Returns Outbound OUCH message bytes (Accepted / Executed / Rejected).
*/
std::vector<uint8_t> process_enter_order(const EnterOrderMsg& enter_msg);
/**
* Submit an OUCH Cancel Order ('X') message.
*/
std::vector<uint8_t> process_cancel_order(const CancelOrderMsg& cancel_msg);
/**
* Submit an OUCH Replace Order ('U') message.
*/
std::vector<uint8_t> process_replace_order(const ReplaceOrderMsg& replace_msg);
/**
* Generate an L2/L3 Order Book Snapshot message for clients syncing after disconnect.
*/
std::vector<uint8_t> generate_snapshot_packet();
[[nodiscard]] const std::vector<std::vector<uint8_t>>& emitted_itch_feed() const noexcept {
return emitted_itch_feed_;
}
[[nodiscard]] order_book::MatchingEngine& matching_engine() noexcept { return matching_engine_; }
[[nodiscard]] uint64_t total_orders_received() const noexcept { return total_orders_; }
private:
void broadcast_itch(const void* data, size_t len);
core::Symbol symbol_;
ITCHBroadcastCallback on_itch_;
order_book::MatchingEngine matching_engine_;
uint64_t next_order_ref_num_{1000001};
uint64_t next_match_num_{1};
uint64_t total_orders_{0};
// Mapping from OUCH OrderToken string to internal engine Order ID & state
struct TokenMeta {
uint64_t engine_order_id{0};
uint64_t order_ref_num{0};
char buy_sell{'B'};
uint32_t leaves_qty{0};
uint32_t price{0};
};
std::unordered_map<std::string, TokenMeta> token_to_meta_;
std::unordered_map<uint64_t, std::string> ref_to_token_;
std::vector<std::vector<uint8_t>> emitted_itch_feed_;
};
} // namespace quant::gateway
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