[MDAPI-216][C++][Console] Add PriceLevelBook sample (#66)

CMakeLists.txt

@@ -573,6 +573,7 @@ if (DXFCXX_BUILD_SAMPLES)
     add_subdirectory(samples/cpp/ReconnectSample)
     add_subdirectory(samples/cpp/IncOrderSnapshotSample)
     add_subdirectory(samples/cpp/MultipleMarketDepthSample)
+    add_subdirectory(samples/cpp/PriceLevelBookSample)
 endif ()
 
 add_subdirectory(docs)

README.md

@@ -381,6 +381,9 @@ be downloaded from [Release](https://github.com/dxFeed/dxfeed-graal-cxx-api/rele
   demonstrates how to subscribe to the Order event and handle snapshots and updates
 - [x] [MultipleMarketDepthSample](samples/cpp/MultipleMarketDepthSample/src/main.cpp)
   demonstrates how to use the `MarketDepthModel` to manage and display order books for multiple symbols
+- [x] [PriceLevelBookSample](samples/cpp/PriceLevelBookSample/src/main.cpp)
+    demonstrates how to compile a price level book (market by price) that aggregates individual orders
+    (market by order)
 
 ### Schedule
 
@@ -394,11 +397,11 @@ be downloaded from [Release](https://github.com/dxFeed/dxfeed-graal-cxx-api/rele
 
 ### UI
 
-- [ ] [MarketDepthModelSample](samples/cpp/MarketDepthModelSample/src/main.cpp)
+- [ ] [MarketDepthModelSample](samples/cpp/UI/MarketDepthModelSample/src/main.cpp)
   demonstrates how to draw a Market Depth.
-- [ ] [CandleChartSample](samples/cpp/CandleChartSample/src/main.cpp)
+- [ ] [CandleChartSample](samples/cpp/UI/CandleChartSample/src/main.cpp)
   demonstrates how to draw a Candlestick Chart.
-- [ ] [PriceLevelBookSample](samples/cpp/PriceLevelBookSample/src/main.cpp)
+- [ ] [PriceLevelBookSample](samples/cpp/UI/PriceLevelBookSample/src/main.cpp)
   demonstrates how to compile a price level book (market by price) that aggregates individual orders
   (market by order)
 

ReleaseNotes.md

@@ -1,6 +1,8 @@
+* **\[MDAPI-216]\[C++][Console]** Added PriceLevelBook sample
+
 ## v4.0.0
 
-* **\[MDAPI-38]\[C++]** Add MultipleMarketDepthSample sample
+* **\[MDAPI-38]\[C++]** Added MultipleMarketDepthSample sample
     * Added `MultipleMarketDepthSample` sample.
     * Added `AuthSample` sample.
     * Added `ReconnectSample` sample.

include/dxfeed_graal_cpp_api/internal/Common.hpp

@@ -233,7 +233,7 @@ static constexpr std::int64_t floorMod(std::int64_t x, std::int64_t y) {
 
 static const double NaN = std::numeric_limits<double>::quiet_NaN();
 
-static inline bool equals(double a, double b, double eps = std::numeric_limits<double>::epsilon()) {
+static bool equals(double a, double b, double eps = std::numeric_limits<double>::epsilon()) {
     if (std::isnan(a) || std::isnan(b)) {
         return false;
     }
@@ -242,7 +242,7 @@ static inline bool equals(double a, double b, double eps = std::numeric_limits<d
 }
 
 template <typename T, typename U>
-static inline bool equals(T a, U b, double eps = std::numeric_limits<double>::epsilon()) {
+static bool equals(T a, U b, double eps = std::numeric_limits<double>::epsilon()) {
     if (std::isnan(static_cast<double>(a)) || std::isnan(static_cast<double>(b))) {
         return false;
     }

include/dxfeed_graal_cpp_api/model/IndexedTxModel.hpp

@@ -374,13 +374,12 @@ struct DXFCPP_EXPORT IndexedTxModel final : IndexedTxModelImpl, RequireMakeShare
     std::shared_ptr<TxModelListenerCommon> listener_;
 
   public:
-    IndexedTxModel(typename IndexedTxModel::LockExternalConstructionTag,
-                   JavaObjectHandle<IndexedTxModelTag> &&handle)
+    IndexedTxModel(typename IndexedTxModel::LockExternalConstructionTag, JavaObjectHandle<IndexedTxModelTag> &&handle)
         : handle_(std::move(handle)) {
     }
 
-    IndexedTxModel(typename IndexedTxModel::LockExternalConstructionTag,
-                   JavaObjectHandle<IndexedTxModelTag> &&handle, std::shared_ptr<TxModelListenerCommon> listener)
+    IndexedTxModel(typename IndexedTxModel::LockExternalConstructionTag, JavaObjectHandle<IndexedTxModelTag> &&handle,
+                   std::shared_ptr<TxModelListenerCommon> listener)
         : handle_(std::move(handle)), listener_(std::move(listener)) {
     }
 

include/dxfeed_graal_cpp_api/model/MarketDepthModel.hpp

@@ -82,7 +82,7 @@ struct SymbolWrapper;
  *             std::cout << std::format("{0:^15}|{1:^15} || {0:^15}|{1:^15}\n", "Price", "Size");
  *             std::cout << std::format("{:-^66}\n", "");
  *
- *             for (auto buyIt = buy.begin(), sellIt = sell.begin(); buyIt != buy.end() && sellIt != sell.end();) {
+ *             for (auto buyIt = buy.begin(), sellIt = sell.begin(); buyIt != buy.end() || sellIt != sell.end();) {
  *                 std::string row{};
  *                 if (buyIt != buy.end()) {
  *                     row += std::format("{:>14.4f} | {:<14.2f}", (*buyIt)->getPrice(), (*buyIt)->getSize());
@@ -130,8 +130,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
             builder_ = IndexedTxModel<O>::newBuilder();
         }
 
-        ~Builder() override {
-        }
+        ~Builder() override = default;
 
         /**
          * Sets the DXFeed for the model being created.
@@ -179,9 +178,10 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
          * @param onEventsReceived The callback.
          * @return The builder instance.
          */
-        std::shared_ptr<Builder> withListener(std::function<void(const std::vector<std::shared_ptr<O>> & /* buy */,
-                                                                 const std::vector<std::shared_ptr<O>> & /* sell */)>
-                                                  onEventsReceived) {
+        std::shared_ptr<Builder>
+        withListener(std::function<void(const std::vector<std::shared_ptr<O>> & /* buy */,
+                                        const std::vector<std::shared_ptr<O>> & /* sell */)>
+                         onEventsReceived) {
             this->listener_ = MarketDepthModelListener<O>::create(onEventsReceived);
 
             return this->template sharedAs<Builder>();
@@ -431,7 +431,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
             isChanged_ = false;
             snapshot_.clear();
 
-            auto limit = isDepthLimitUnbounded() ? std::numeric_limits<std::size_t>::max() : depthLimit_.load();
+            const auto limit = isDepthLimitUnbounded() ? std::numeric_limits<std::size_t>::max() : depthLimit_.load();
             std::size_t i = 0;
 
             for (auto it = orders_.begin(); i < limit && it != orders_.end(); ++it) {
@@ -514,9 +514,8 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
          * Clears orders from the set by source.
          *
          * @param source The source to clear orders by.
-         * @return `true` if any order was removed.
          */
-        bool clearBySource(const IndexedEventSource &source) {
+        void clearBySource(const IndexedEventSource &source) {
             std::lock_guard lock(mutex_);
 
             std::size_t size = orders_.size();
@@ -527,7 +526,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
                 }
             }
 
-            return orders_.size() != size;
+            isChanged_ = orders_.size() != size;
         }
 
         std::vector<std::shared_ptr<O>> toVector() {
@@ -722,7 +721,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
     }
 
     /**
-     * @return The depth limit of the book.
+     * @return The depth limit of the model.
      */
     std::size_t getDepthLimit() const {
         std::lock_guard guard(mtx_);
@@ -731,7 +730,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
     }
 
     /**
-     * Sets the depth limit of the book.
+     * Sets the depth limit of the model.
      *
      * @param depthLimit The new depth limit value.
      */
@@ -750,7 +749,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
     }
 
     /**
-     * @return The aggregation period of the book.
+     * @return The aggregation period of the model.
      */
     std::int64_t getAggregationPeriod() const {
         std::lock_guard guard(mtx_);

include/dxfeed_graal_cpp_api/model/TxModelListener.hpp

@@ -9,9 +9,9 @@ DXFCXX_DISABLE_MSC_WARNINGS_PUSH(4251)
 
 #include "../entity/SharedEntity.hpp"
 #include "../event/EventType.hpp"
-#include "../event/TimeSeriesEvent.hpp"
 #include "../event/IndexedEvent.hpp"
 #include "../event/IndexedEventSource.hpp"
+#include "../event/TimeSeriesEvent.hpp"
 #include "../internal/Handler.hpp"
 #include "../internal/Id.hpp"
 #include "../internal/JavaObjectHandle.hpp"

samples/cpp/AuthSample/src/main.cpp

@@ -3,7 +3,6 @@
 
 #include <dxfeed_graal_cpp_api/api.hpp>
 
-#include <chrono>
 #include <mutex>
 #include <random>
 #include <string>

samples/cpp/MultipleMarketDepthSample/src/MultipleMarketDepthModel.hpp

@@ -25,6 +25,7 @@ struct MultipleMarketDepthModel : dxfcpp::RequireMakeShared<MultipleMarketDepthM
     /// A builder class for creating instances of MultipleMarketDepthModel.
     struct Builder : dxfcpp::RequireMakeShared<Builder> {
         friend struct MultipleMarketDepthModel;
+
       private:
         std::shared_ptr<typename dxfcpp::MarketDepthModel<O>::Builder> builder_{};
 

samples/cpp/MultipleMarketDepthSample/src/main.cpp

@@ -20,7 +20,7 @@ using namespace dxfcpp::literals;
 using namespace std::literals;
 
 // This sample program demonstrates how to use the MultipleMarketDepthModel
-int main() {
+int main(int /*argc*/, char * /*argv*/[]) {
     try {
         const auto address = "demo.dxfeed.com:7300";
 
@@ -40,12 +40,12 @@ int main() {
             const auto maxCount = std::max(book->buy.size(), book->sell.size());
 
             for (std::size_t i = 0; i < maxCount; i++) {
-                auto buyTable = i < book->buy.size() ? fmt::format("Buy  [Source: {}, Size: {:5}, Price: {:8}]",
+                auto buyTable = i < book->buy.size() ? fmt::format("Buy  [Source: {}, Size: {:8.2f}, Price: {:8.4f}]",
                                                                    book->buy[i]->getSource().toString(),
                                                                    book->buy[i]->getSize(), book->buy[i]->getPrice())
                                                      : "Buy  [None]"s;
                 auto sellTable = i < book->sell.size()
-                                     ? fmt::format("Sell  [Source: {}, Size: {:5}, Price: {:8}]",
+                                     ? fmt::format("Sell  [Source: {}, Size: {:8.2f}, Price: {:8.4f}]",
                                                    book->sell[i]->getSource().toString(), book->sell[i]->getSize(),
                                                    book->sell[i]->getPrice())
                                      : "Sell  [None]"s;

samples/cpp/PriceLevelBookSample/CMakeLists.txt

@@ -0,0 +1,56 @@
+# Copyright (c) 2024 Devexperts LLC.
+# SPDX-License-Identifier: MPL-2.0
+
+cmake_minimum_required(VERSION 3.21)
+
+if (POLICY CMP0092)
+    cmake_policy(SET CMP0092 NEW)
+endif ()
+
+if (POLICY CMP0135)
+    cmake_policy(SET CMP0135 NEW)
+endif ()
+
+project(PriceLevelBookSample LANGUAGES CXX)
+
+set(CMAKE_CXX_STANDARD 20)
+set(CMAKE_C_STANDARD 11)
+set(CXX_EXTENSIONS OFF)
+set(C_EXTENSIONS OFF)
+
+if (${CMAKE_SYSTEM_NAME} MATCHES "Darwin")
+    set(CMAKE_MACOSX_RPATH ON)
+    set(CMAKE_SKIP_BUILD_RPATH ON)
+    set(CMAKE_BUILD_WITH_INSTALL_RPATH ON)
+    set(CMAKE_INSTALL_RPATH_USE_LINK_PATH OFF)
+    set(CMAKE_BUILD_RPATH_USE_ORIGIN ON)
+    set(CMAKE_INSTALL_RPATH "@loader_path/../${CMAKE_INSTALL_LIBDIR};@loader_path;@executable_path;@executable_path/../Frameworks")
+elseif (UNIX)
+    set(CMAKE_SKIP_BUILD_RPATH ON)
+    set(CMAKE_BUILD_WITH_INSTALL_RPATH ON)
+    set(CMAKE_INSTALL_RPATH_USE_LINK_PATH OFF)
+    set(CMAKE_BUILD_RPATH_USE_ORIGIN ON)
+    set(CMAKE_INSTALL_RPATH "$ORIGIN/../${CMAKE_INSTALL_LIBDIR}:$ORIGIN/../lib64:$ORIGIN/../lib:$ORIGIN")
+endif ()
+
+add_executable(${PROJECT_NAME} src/main.cpp)
+
+target_include_directories(${PROJECT_NAME} PRIVATE ../../../third_party/range-v3-0.12/include)
+
+target_link_libraries(${PROJECT_NAME} PRIVATE dxfcxx::static fmt::fmt-header-only)
+
+if (DXFCXX_FEATURE_STACKTRACE)
+    LinkStacktrace(${PROJECT_NAME})
+endif ()
+
+add_custom_command(TARGET ${PROJECT_NAME} POST_BUILD COMMAND ${CMAKE_COMMAND} -E copy_if_different
+        $<TARGET_FILE:dxfcxx::graal>
+        $<TARGET_FILE_DIR:${PROJECT_NAME}>)
+
+if (DXFCXX_INSTALL AND DXFCXX_INSTALL_SAMPLES)
+    install(TARGETS ${PROJECT_NAME} DESTINATION ${CMAKE_INSTALL_BINDIR})
+
+    if (WIN32)
+        install(FILES $<TARGET_FILE:dxfcxx::graal> DESTINATION ${CMAKE_INSTALL_BINDIR})
+    endif ()
+endif ()

samples/cpp/PriceLevelBookSample/src/PriceLevel.hpp

@@ -0,0 +1,105 @@
+// Copyright (c) 2024 Devexperts LLC.
+// SPDX-License-Identifier: MPL-2.0
+
+#pragma once
+
+#include <dxfeed_graal_cpp_api/api.hpp>
+
+#include <string>
+
+/// Represents a price level in a price level book.
+struct PriceLevel {
+  private:
+    std::optional<std::string> eventSymbol_;
+    const dxfcpp::IndexedEventSource &eventSource_;
+    const dxfcpp::Side &side_;
+    double price_;
+    double size_;
+
+  public:
+    /**
+     * Initializes a new default instance.
+     */
+    PriceLevel() : eventSource_{dxfcpp::IndexedEventSource::DEFAULT}, side_{dxfcpp::Side::UNDEFINED}, price_{}, size_{} {
+    }
+
+    /**
+     * Initializes a new instance by copying an existing price level.
+     *
+     * @param pl The price level to copy.
+     */
+    PriceLevel(const PriceLevel &pl)
+        : eventSymbol_{pl.eventSymbol_}, eventSource_{pl.eventSource_}, side_{pl.side_}, price_{pl.price_},
+          size_(pl.size_) {
+    }
+
+    /**
+     * Initializes a new instance using an order.
+     *
+     * @param order The order to initialize the price level from.
+     */
+    explicit PriceLevel(const std::shared_ptr<dxfcpp::OrderBase> &order)
+        : eventSymbol_{order->getEventSymbolOpt()}, eventSource_{order->getSource()}, side_{order->getOrderSide()},
+          price_{order->getPrice()}, size_{order->getSize()} {
+    }
+
+    /// Returns the optional event symbol.
+    const std::optional<std::string> &getEventSymbol() const {
+        return eventSymbol_;
+    }
+
+    /// Returns the event source.
+    const dxfcpp::IndexedEventSource &getEventSource() const {
+        return eventSource_;
+    }
+
+    /// Returns the side of the price level.
+    const dxfcpp::Side &getSide() const {
+        return side_;
+    }
+
+    /// Returns the price of the price level.
+    double getPrice() const {
+        return price_;
+    }
+
+    /// Returns the size of the price level.
+    double getSize() const {
+        return size_;
+    }
+
+    /**
+     * Sets the size of the price level.
+     *
+     * @param size The new price level size.
+     */
+    void setSize(const double size) {
+        size_ = size;
+    }
+
+    /**
+     * Compares two price levels without taking price into account.
+     *
+     * @param pl1 The first price level to compare.
+     * @param pl2 The second price level to compare.
+     * @return Returns `true` if the event symbols are not nullptr, are equal, and the sides are equal.
+     */
+    friend bool operator==(const std::shared_ptr<PriceLevel> &pl1, const std::shared_ptr<PriceLevel> &pl2) {
+        if (pl1->getEventSymbol() == std::nullopt || pl2->getEventSymbol() == std::nullopt) {
+            return false;
+        }
+
+        if (pl1->getEventSymbol() != pl2->getEventSymbol()) {
+            return false;
+        }
+
+        return pl1->getSide() == pl2->getSide();
+    }
+
+    /// Returns a string representation of this price level.
+    std::string toString() const {
+        return "PriceLevel{" + eventSymbol_.value_or(dxfcpp::String::NUL) + ", source=" + eventSource_.toString() +
+               ", side=" + side_.toString() + ", price=" + dxfcpp::toString(price_) +
+               ", size=" + dxfcpp::toString(size_) + "}";
+    }
+};