OrderBook

classdef OrderBook < handle
   
   properties (SetAccess = private, Hidden)
       Heaps  % collections of same-type, same-side orders
   end  
   
   methods (Static)
       
       function[i,j] = index(order)
           type = [order.Type ' ' order.Side];
           switch type
               case 'MKT BUY',  i = 1;
               case 'MKT SELL', i = 2; 
               case 'LIM BUY',  i = 3;
               case 'LIM SELL', i = 4;
           end
           j = 5-i;  % index of contra-side heap (assuming MKT-against-LIM-only crosses)
       end
       
   end
      
   methods 
       
       function[obj] = OrderBook()
           obj.Heaps = [OrderHeap('BUY','MKT') ...
                        OrderHeap('SELL','MKT') ...
                        OrderHeap('BUY','LIM') ...
                        OrderHeap('SELL','LIM')];
       end       
            
       function put(obj,order)
           
           if Settings.Verbose
              disp('--- Order book before order is entered ---')
              for i = 1:4
                  disp(obj.Heaps(i))
              end 
              disp('------------------------------------------')
           end
           
           if Settings.Verbose
              fprintf('%s passed into crossing engine\n', char(order))             
           end
           
           [i,j] = OrderBook.index(order);
           thisSide = obj.Heaps(i);
           othrSide = obj.Heaps(j);           
                     
           w1 = OrderWrapper(order);
           obj.Heaps(i).put(w1);
            
           while w1.SizeLeft > 0
               w2 = othrSide.peek();  
               if ~isempty(w2) 
                   
                   if Settings.Verbose
                      disp('Best contra order:')
                      shortdisp(w2)
                   end
                   
                   size  = min(w1.SizeLeft,w2.SizeLeft);
                   price = thisSide.TradePrice(w1,w2);
                   treco = TradeRecord(w1.Order,w2.Order,size,price);
                   
                   w1.update(treco)
                   w2.update(treco)
                   
                   notify(obj,'TradeRecord',treco)
                     
                   if w2.SizeLeft == 0
                      othrSide.get;
                   end   
               else
                   if Settings.Verbose
                      disp('Best contra order: <none>')
                   end
                   break
               end               
           end
           if w1.SizeLeft == 0
              thisSide.get;
           end  
           
           if Settings.Verbose
              disp('--- Order book after order is entered and crossed ---')
              for i = 1:4
                  disp(obj.Heaps(i))
              end 
              disp('-----------------------------------------------------')
           end
           
       end
         
   end 
   
   events       
       TradeRecord  % listened to by exchange
   end
    
end