I'm writing a software that stores GenericOrder (containing a quantity, a price, a way and a timestamp) as shared_ptr.
I've read Boost documentation and succeed to define a MultiIndexOrderContainer using three indexes: way, timestamp and price.
But I don't find a way to iterate on specific orders using multiple indexes at the same time.
#include <memory>
#include <boost/multi_index_container.hpp>
#include <boost/multi_index/ordered_index.hpp>
#include <boost/multi_index/identity.hpp>
#include <boost/multi_index/member.hpp>
using namespace ::boost;
using namespace ::boost::multi_index;
enum class Way
{
UNDEFINED,
BUY,
SELL
};
template <typename QuantityType, typename PriceType>
struct GenericOrder
{
explicit GenericOrder(const Way way, const QuantityType& quantity, const PriceType& price, const long long& timestamp)
: way_(way), quantity_(quantity), price_(price), timestamp_(timestamp)
{
}
~GenericOrder() = default;
GenericOrder(const GenericOrder&) = delete;
GenericOrder& operator=(const GenericOrder&) = delete;
Way way_;
QuantityType quantity_;
PriceType price_;
long long timestamp_ = -1;
};
// Aliases
using QuantityType = int;
using PriceType = int;
using OrderType = GenericOrder<QuantityType, PriceType>;
using PointerType = std::shared_ptr<OrderType>;
struct way {};
struct timestamp {};
struct price {};
using MultiIndexOrderContainer = multi_index_container<PointerType,
indexed_by<
ordered_non_unique<tag<way>, member<OrderType, decltype(OrderType::way_), &OrderType::way_ >>,
ordered_non_unique<tag<timestamp>, member<OrderType, decltype(OrderType::timestamp_), &OrderType::timestamp_ >>,
ordered_non_unique<tag<price>, member<OrderType, decltype(OrderType::price_), &OrderType::price_>>
>
>;
int main()
{
MultiIndexOrderContainer c;
// Inserting some orders
c.insert(std::make_shared<OrderType>(Way::BUY, 10, 15, 0));
c.insert(std::make_shared<OrderType>(Way::BUY, 10, 14, 1));
c.insert(std::make_shared<OrderType>(Way::BUY, 10, 13, 2));
c.insert(std::make_shared<OrderType>(Way::SELL, 10, 16, 3));
c.insert(std::make_shared<OrderType>(Way::SELL, 10, 17, 4));
c.insert(std::make_shared<OrderType>(Way::SELL, 10, 18, 5));
return 0;
}
I would like to iterate on:
- On buying orders with a specific price sorted by timestamp
- Cheapest order price from selling orders
- Costliest order price from buying orders
How can I achieve that ?
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