[MDAPI-82][C++] Implement MarketDepthModel

dxFeed · Dec 11, 2024 · a6f2515 · a6f2515
1 parent bfb722e
commit a6f2515
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Showing 3 changed files with 49 additions and 23 deletions.
diff --git a/include/dxfeed_graal_cpp_api/model/MarketDepthModel.hpp b/include/dxfeed_graal_cpp_api/model/MarketDepthModel.hpp
@@ -104,7 +104,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
         }
 
         std::shared_ptr<MarketDepthModel> build() {
-            return MarketDepthModel::createShared(this->template sharedAs<Builder>());
+            return MarketDepthModel::create(this->template sharedAs<Builder>());
         }
     };
 
@@ -197,11 +197,11 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
     struct SellComparator {
         int operator()(const std::shared_ptr<O> &o1, const std::shared_ptr<O> &o2) const {
             if (o1->getPrice() < o2->getPrice()) {
-                return 1; // desc
+                return -1; // asc
             }
 
             if (o1->getPrice() > o2->getPrice()) {
-                return -1;
+                return 1;
             }
 
             return OrderComparator{}(o1, o2);
@@ -383,7 +383,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
     std::shared_ptr<Timer> taskTimer_{};
 
     static std::shared_ptr<MarketDepthModel> create(std::shared_ptr<Builder> builder) {
-        auto marketDepthModel = createShared(builder);
+        auto marketDepthModel = MarketDepthModel::createShared(builder);
 
         marketDepthModel->indexedTxModel_ =
             builder->builder_
@@ -422,7 +422,7 @@ template <Derived<OrderBase> O> struct DXFCPP_EXPORT MarketDepthModel final : Re
     void notifyListeners() {
         std::lock_guard guard(mtx_);
 
-        listener_->getHandler().handle(getBuyOrders(), getSellOrders());
+        listener_->getHandler()(getBuyOrders(), getSellOrders());
         taskScheduled_ = false;
     }
 

diff --git a/samples/cpp/DxFeedConnect/src/main.cpp b/samples/cpp/DxFeedConnect/src/main.cpp
@@ -56,37 +56,55 @@ int main(int argc, char *argv[]) {
     try {
         auto ep = DXEndpoint::getInstance();
         auto feed = ep->getFeed();
-        MarketDepthModel<Order>::newBuilder()
-            ->withFeed(feed)
-            ->withSources({OrderSource::NTV})
-            ->withSymbol("AAPL")
-            ->withDepthLimit(10)
-            ->withListener(
-                [](const std::vector<std::shared_ptr<Order>> &buy, const std::vector<std::shared_ptr<Order>> &sell) {
-                    std::size_t size = std::max(buy.size(), sell.size());
+
+        // IndexedTxModel::newBuilder(Order::TYPE)->withFeed(feed)->withSources({OrderSource::NTV})->withSymbol("AAPL")->withListener<Order>([](const
+        // IndexedEventSource & IndexedEventSource, const std::vector<std::shared_ptr<Order>> & SharedPtrs, bool Cond) {
+        // })
+
+        auto model =
+            MarketDepthModel<Order>::newBuilder()
+                ->withFeed(feed)
+                ->withSources({OrderSource::NTV})
+                ->withSymbol("AAPL")
+                ->withDepthLimit(10)
+                ->withAggregationPeriod(5s)
+                ->withListener([](const std::vector<std::shared_ptr<Order>> &buy,
+                                  const std::vector<std::shared_ptr<Order>> &sell) {
+                    if (buy.empty() && sell.empty()) {
+                        return;
+                    }
+
+                    std::cout << std::format("{:=^66}\n", "");
+                    std::cout << std::format("{:^31} || {:^31}\n", "ASK", "BID");
+                    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();) {
                         std::string row{};
                         if (buyIt != buy.end()) {
-                            row += std::format("{:^30}", std::format("{}@{}", (*buyIt)->getPrice(), (*buyIt)->getSize()));
+                            row += std::format("{:>14.4f} | {:<14.2f}", (*buyIt)->getPrice(), (*buyIt)->getSize());
 
                             ++buyIt;
                         } else {
-                            row += std::format("{:^30}", "");
+                            row += std::format("{:>14} | {:<14}", "", "");
                         }
 
-                        row += " | ";
+                        row += " || ";
 
                         if (sellIt != sell.end()) {
-                            row += std::format("{:^30}", std::format("{:}@{}", (*sellIt)->getPrice(), (*sellIt)->getSize()));
+                            row += std::format("{:>14.4f} | {:<14.2f}", (*sellIt)->getPrice(), (*sellIt)->getSize());
 
                             ++sellIt;
                         } else {
-                            row += std::format("{:^30}", "");
+                            row += std::format("{:>14} | {:<14}", "", "");
                         }
 
-                        row += "\n";
+                        std::cout << row << std::endl;
                     }
-                });
+
+                    std::cout << std::format("{:=^66}\n", "");
+                })
+                ->build();
 
         ep->connect("demo.dxfeed.com:7300");
 

diff --git a/tests/model/MarketDepthModelTest.cpp b/tests/model/MarketDepthModelTest.cpp
@@ -124,18 +124,26 @@ class MarketDepthModelTestFixture {
     }
 
     static int oneIfBuy(const std::shared_ptr<Order> &order) {
-        return order->getOrderSide() == Side::BUY && !!math::equals(order->getSize(), 0) ? 1 : 0;
+        return order && order->getOrderSide() == Side::BUY && !math::equals(order->getSize(), 0) ? 1 : 0;
     }
 
     static int oneIfSell(const std::shared_ptr<Order> &order) {
-        return order->getOrderSide() == Side::SELL && !!math::equals(order->getSize(), 0) ? 1 : 0;
+        return order && order->getOrderSide() == Side::SELL && !math::equals(order->getSize(), 0) ? 1 : 0;
     }
 
     static bool same(const std::shared_ptr<Order> &order, const std::shared_ptr<Order> &old) {
-        if (order->getSize() == 0) {
+        if (order && order->getSize() == 0) {
             return true; // order with zero size is the same as null (missing)
         }
 
+        if (!order && !old) {
+            return true;
+        }
+
+        if (!order || !old) {
+            return false;
+        }
+
         // Check just relevant attributes
         return order->getScope() == old->getScope() && order->getOrderSide() == old->getOrderSide() &&
                order->getIndex() == old->getIndex() && math::equals(order->getSize(), old->getSize()) &&