generate_inside.hpp

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#ifndef jb_itch5_generate_inside_hpp
#define jb_itch5_generate_inside_hpp

#include <jb/itch5/compute_book.hpp>
#include <jb/offline_feed_statistics.hpp>

#include <iostream>

namespace jb {
namespace itch5 {

/**
 * Determine if this event changes the inside, if so, record the
 * statistics.
 *
 * @tparam duration_t the type used to record the processing latency,
 * must be compatible with a duration in the std::chrono sense.
 * @tparam book_type the type used to define the book type,
 * order_book<book_type>, must be compatible with jb::itch5::map_price.
 *
 * @param stats where to record the statistics
 * @param header (unused) the header for the message that generated
 * this book update
 * @param book the book updated
 * @param update a report of the changes to the book
 * @param processing_latency the time it took to process the event
 * (before the any output is generated).
 * @returns true if the inside is affected by the change, false otherwise.
 */
template <typename duration_t, typename book_type>
bool record_latency_stats(
    jb::offline_feed_statistics& stats, jb::itch5::message_header const& header,
    jb::itch5::order_book<book_type> const& book,
    jb::itch5::book_update const& update, duration_t processing_latency) {
  // ... we need to treat each side differently ...
  if (update.buy_sell_indicator == u'B') {
    // ... if the update price (or the old price for a cancel/replace
    // is equal or better than the current best bid, that means the
    // best bid changed.  Notice that this works even when there is no
    // best bid, because the book returns "0" as a best bid in that
    // case ...
    if ((not update.cxlreplx and update.px >= book.best_bid().first) or
        (update.cxlreplx and update.oldpx >= book.best_bid().first)) {
      stats.sample(header.timestamp.ts, processing_latency);
      return true;
    }
    return false;
  }
  // ... do the analogous thing for the sell side ...
  if ((not update.cxlreplx and update.px <= book.best_offer().first) or
      (update.cxlreplx and update.oldpx <= book.best_offer().first)) {
    stats.sample(header.timestamp.ts, processing_latency);
    return true;
  }
  return false;
}

/**
 * Determine if this event changes the inside, if so, record the
 * statistics and output the result.
 *
 * @tparam duration_t the type used to record the processing latency,
 * must be compatible with a duration in the std::chrono sense.
 * @tparam book_type the type used to define order_book<book_type>,
 * must be compatible with jb::itch5::map_price
 *
 * @param stats where to record the statistics
 * @param out where to send the new inside quote if needed
 * @param header (unused) the header for the message that generated
 * this book update
 * @param book the book updated
 * @param update a report of the changes to the book
 * @param processing_latency the time it took to process the event
 * (before the any output is generated).
 * @returns true if the inside is affected by the change, false otherwise.
 */
template <typename duration_t, typename book_type>
bool generate_inside(
    jb::offline_feed_statistics& stats, std::ostream& out,
    jb::itch5::message_header const& header,
    jb::itch5::order_book<book_type> const& book,
    jb::itch5::book_update const& update, duration_t processing_latency) {
  if (not record_latency_stats(
          stats, header, book, update, processing_latency)) {
    return false;
  }
  auto bid = book.best_bid();
  auto offer = book.best_offer();
  out << header.timestamp.ts.count() << " " << header.stock_locate << " "
      << update.stock << " " << bid.first.as_integer() << " " << bid.second
      << " " << offer.first.as_integer() << " " << offer.second << "\n";
  return true;
}

} // namespace itch5
} // namespace jb

#endif // jb_itch5_generate_inside_hpp