ComposeInstrument.hpp

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 * Copyright(c) 2022, One Unified. All rights reserved.                 *
 * email: info@oneunified.net                                           *
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 * This file is provided as is WITHOUT ANY WARRANTY                     *
 *  without even the implied warranty of                                *
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.                *
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 * See the file LICENSE.txt for redistribution information.             *
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/*
 * File:    ComposeInstrument.h
 * Author:  raymond@burkholder.net
 * Project: TFTrading
 * Created: 2022/11/14 10:37:56
 */

// distinguish between futures & equities
// turn a continuous future into the appropriate front month

#pragma once

#include <unordered_map>

#include "BuildInstrument.h"

namespace ou { // One Unified
namespace tf { // TradeFrame
namespace iqfeed { // IQFeed
  class OptionChainQuery;
} // namespace iqfeed

class ComposeInstrument {
public:

  using pInstrument_t = ou::tf::Instrument::pInstrument_t;
  using fInstrument_t = ou::tf::BuildInstrument::fInstrument_t;

  using pProviderIBTWS_t = ou::tf::ib::TWS::pProvider_t;
  using pProviderIQFeed_t = ou::tf::iqfeed::Provider::pProvider_t;

  using fInitDone_t = std::function<void()>;

  ComposeInstrument( pProviderIQFeed_t, fInitDone_t&& );
  ComposeInstrument( pProviderIQFeed_t, pProviderIBTWS_t, fInitDone_t&& );
  ~ComposeInstrument();

  void Compose( const std::string& sIQFeedSymbol, fInstrument_t&& );

  // any threading issues here?
  using pOptionChainQuery_t = std::shared_ptr<ou::tf::iqfeed::OptionChainQuery>;
  pOptionChainQuery_t OptionChainQuery() { return m_pOptionChainQuery; }

protected:
private:

  struct Query {
    bool bConstructed;
    fInstrument_t fInstrument;
    pInstrument_t pInstrument;
    size_t cntInstrumentsProcessed;

    Query( fInstrument_t&& fInstrument_ )
    : bConstructed( false )
    , fInstrument( std::move( fInstrument_ ) )
    , cntInstrumentsProcessed {}
    {}

    Query( Query&& query )
    : bConstructed( false )
    , fInstrument( std::move( query.fInstrument ) )
    , pInstrument( std::move( query.pInstrument ) )
    , cntInstrumentsProcessed( query.cntInstrumentsProcessed )
    {}
  };

  std::mutex m_mutexMap;

  using pMapQuery_t = std::unordered_map<std::string,Query>;
  pMapQuery_t m_pMapQuery;

  using pBuildInstrument_t = std::unique_ptr<BuildInstrument>;

  pProviderIQFeed_t m_pProviderIQFeed;
  pProviderIBTWS_t  m_pProviderIBTWS;

  fInitDone_t m_fInitDone;

  pBuildInstrument_t m_pBuildInstrumentIQFeed;
  pBuildInstrument_t m_pBuildInstrumentBoth;

  pOptionChainQuery_t m_pOptionChainQuery;

  void Initialize();
  void ConstructChainQuery();
  void Finish( pMapQuery_t::iterator );
};

} // namespace tf
} // namespace ou