Convert Project to Use C++20 Modules

Enumerations.ixx

@@ -0,0 +1,18 @@
+export module Enumerations;
+
+export
+{
+	enum class OrderType
+	{
+		GoodTillCancel,
+		FillAndKill,
+		FillOrKill,
+		GoodForDay,
+	};
+
+	enum class Side
+	{
+		Buy,
+		Sell
+	};
+}

Globals.ixx

@@ -0,0 +1,11 @@
+export module Globals;
+
+import <vector>;
+
+export
+{
+	using Price = std::int32_t;
+	using Quantity = std::uint32_t;
+	using OrderId = std::uint64_t;
+	using OrderIds = std::vector<OrderId>;
+}

LevelInfo.ixx

@@ -0,0 +1,14 @@
+export module LevelInfo;
+
+import Globals;
+
+export
+{
+    struct LevelInfo
+    {
+        Price price_;
+        Quantity quantity_;
+    };
+
+    using LevelInfos = std::vector<LevelInfo>;
+}

Order.ixx

@@ -0,0 +1,52 @@
+export module Order;
+
+import Globals;
+import Enumerations;
+
+import <memory>;
+import <format>;
+import <exception>;
+import <list>;
+
+export
+{
+	class Order
+	{
+	public:
+		Order(OrderType orderType, OrderId orderId, Side side, Price price, Quantity quantity)
+			: orderType_{ orderType }
+			, orderId_{ orderId }
+			, side_{ side }
+			, price_{ price }
+			, initialQuantity_{ quantity }
+			, remainingQuantity_{ quantity }
+		{ }
+
+		OrderId GetOrderId() const { return orderId_; }
+		Side GetSide() const { return side_; }
+		Price GetPrice() const { return price_; }
+		OrderType GetOrderType() const { return orderType_; }
+		Quantity GetInitialQuantity() const { return initialQuantity_; }
+		Quantity GetRemainingQuantity() const { return remainingQuantity_; }
+		Quantity GetFilledQuantity() const { return GetInitialQuantity() - GetRemainingQuantity(); }
+		bool IsFilled() const { return GetRemainingQuantity() == 0; }
+		void Fill(Quantity quantity)
+		{
+			if (quantity > GetRemainingQuantity())
+				throw std::logic_error(std::format("Order ({}) cannot be filled for more than its remaining quantity.", GetOrderId()));
+
+			remainingQuantity_ -= quantity;
+		}
+
+	private:
+		OrderType orderType_;
+		OrderId orderId_;
+		Side side_;
+		Price price_;
+		Quantity initialQuantity_;
+		Quantity remainingQuantity_;
+	};
+
+	using OrderPointer = std::shared_ptr<Order>;
+	using OrderPointers = std::list<OrderPointer>;
+}

OrderModify.ixx

@@ -0,0 +1,32 @@
+export module OrderModify;
+
+import Globals;
+import Enumerations;
+import Order;
+
+export class OrderModify
+{
+public:
+	OrderModify(OrderId orderId, Side side, Price price, Quantity quantity)
+		: orderId_{ orderId }
+		, price_{ price }
+		, side_{ side }
+		, quantity_{ quantity }
+	{ }
+
+	OrderId GetOrderId() const { return orderId_; }
+	Price GetPrice() const { return price_; }
+	Side GetSide() const { return side_; }
+	Quantity GetQuantity() const { return quantity_; }
+
+	OrderPointer ToOrderPointer(OrderType type) const
+	{
+		return std::make_shared<Order>(type, GetOrderId(), GetSide(), GetPrice(), GetQuantity());
+	}
+
+private:
+	OrderId orderId_;
+	Price price_;
+	Side side_;
+	Quantity quantity_;
+};

Orderbook.cpp → Orderbook.ixx

@@ -1,163 +1,24 @@
-#include <iostream>
-#include <map>
-#include <set>
-#include <list>
-#include <cmath>
-#include <ctime>
-#include <deque>
-#include <queue>
-#include <stack>
-#include <limits>
-#include <string>
-#include <vector>
-#include <numeric>
-#include <iostream>
-#include <algorithm>
-#include <unordered_map>
-#include <memory>
-#include <variant>
-#include <optional>
-#include <tuple>
-#include <format>
-#include <chrono>
-#include <condition_variable>
-
-enum class OrderType
-{
-    GoodTillCancel,
-    FillAndKill,
-    FillOrKill,
-    GoodForDay,
-};
-
-enum class Side
-{
-    Buy,
-    Sell
-};
-
-using Price = std::int32_t;
-using Quantity = std::uint32_t;
-using OrderId = std::uint64_t;
-using OrderIds = std::vector<OrderId>;
-
-struct LevelInfo
-{
-    Price price_;
-    Quantity quantity_;
-};
-
-using LevelInfos = std::vector<LevelInfo>;
-
-class OrderbookLevelInfos
-{
-public:
-    OrderbookLevelInfos(const LevelInfos& bids, const LevelInfos& asks)
-        : bids_{ bids }
-        , asks_{ asks }
-    { }
-
-    const LevelInfos& GetBids() const { return bids_; }
-    const LevelInfos& GetAsks() const { return asks_; }
-
-private:
-    LevelInfos bids_;
-    LevelInfos asks_;
-};
-
-class Order
-{
-public:
-    Order(OrderType orderType, OrderId orderId, Side side, Price price, Quantity quantity)
-        : orderType_{ orderType }
-        , orderId_{ orderId }
-        , side_{ side }
-        , price_{ price }
-        , initialQuantity_{ quantity }
-        , remainingQuantity_{ quantity }
-    { }
-
-    OrderId GetOrderId() const { return orderId_; }
-    Side GetSide() const { return side_; }
-    Price GetPrice() const { return price_; }
-    OrderType GetOrderType() const { return orderType_; }
-    Quantity GetInitialQuantity() const { return initialQuantity_; }
-    Quantity GetRemainingQuantity() const { return remainingQuantity_; }
-    Quantity GetFilledQuantity() const { return GetInitialQuantity() - GetRemainingQuantity(); }
-    bool IsFilled() const { return GetRemainingQuantity() == 0; }
-    void Fill(Quantity quantity)
-    {
-        if (quantity > GetRemainingQuantity())
-            throw std::logic_error(std::format("Order ({}) cannot be filled for more than its remaining quantity.", GetOrderId()));
-
-        remainingQuantity_ -= quantity;
-    }
-
-private:
-    OrderType orderType_;
-    OrderId orderId_;
-    Side side_;
-    Price price_;
-    Quantity initialQuantity_;
-    Quantity remainingQuantity_;
-};
-
-using OrderPointer = std::shared_ptr<Order>;
-using OrderPointers = std::list<OrderPointer>;
-
-class OrderModify
-{
-public:
-    OrderModify(OrderId orderId, Side side, Price price, Quantity quantity)
-        : orderId_{ orderId }
-        , price_{ price }
-        , side_{ side }
-        , quantity_{ quantity }
-    { }
-
-    OrderId GetOrderId() const { return orderId_; }
-    Price GetPrice() const { return price_; }
-    Side GetSide() const { return side_; }
-    Quantity GetQuantity() const { return quantity_; }
-
-    OrderPointer ToOrderPointer(OrderType type) const
-    {
-        return std::make_shared<Order>(type, GetOrderId(), GetSide(), GetPrice(), GetQuantity());
-    }
-
-private:
-    OrderId orderId_;
-    Price price_;
-    Side side_;
-    Quantity quantity_;
-};
-
-struct TradeInfo
-{
-    OrderId orderId_;
-    Price price_;
-    Quantity quantity_;
-};
-
-class Trade
-{
-public:
-    Trade(const TradeInfo& bidTrade, const TradeInfo& askTrade)
-        : bidTrade_{ bidTrade }
-        , askTrade_{ askTrade }
-    { }
-
-    const TradeInfo& GetBidTrade() const { return bidTrade_; }
-    const TradeInfo& GetAskTrade() const { return askTrade_; }
-
-private:
-    TradeInfo bidTrade_;
-    TradeInfo askTrade_;
-};
-
-using Trades = std::vector<Trade>;
-
-class Orderbook
+export module Orderbook;
+
+import Globals;
+import Enumerations;
+import Order;
+import OrderModify;
+import OrderbookLevelInfos;
+import TradeInfo;
+import Trade;
+
+import <map>;
+import <numeric>;
+import <algorithm>;
+import <numeric>;
+import <unordered_map>;
+import <optional>;
+import <ctime>;
+import <chrono>;
+import <condition_variable>;
+
+export class Orderbook
 {
 private:
 
@@ -198,7 +59,7 @@ class Orderbook
             const auto now = system_clock::now();
             const auto now_c = system_clock::to_time_t(now);
             std::tm now_parts;
-            localtime_s(&now_parts, &now_c);
+            _localtime64_s(&now_parts, &now_c);
 
             if (now_parts.tm_hour >= end.count())
                 now_parts.tm_mday += 1;
@@ -207,7 +68,7 @@ class Orderbook
 			now_parts.tm_min = 0;
 			now_parts.tm_sec = 0;
 
-			auto next = system_clock::from_time_t(mktime(&now_parts));
+			auto next = system_clock::from_time_t(_mktime64(&now_parts));
             auto till = next - now + milliseconds(100);
 
             {
@@ -547,10 +408,4 @@ class Orderbook
 
         return OrderbookLevelInfos{ bidInfos, askInfos };
     }
-
 };
-
-int main()
-{
-    return 0;
-}

Orderbook.vcxproj

@@ -129,7 +129,16 @@
     </Link>
   </ItemDefinitionGroup>
   <ItemGroup>
-    <ClCompile Include="Orderbook.cpp" />
+    <ClCompile Include="Enumerations.ixx" />
+    <ClCompile Include="Globals.ixx" />
+    <ClCompile Include="LevelInfo.ixx" />
+    <ClCompile Include="Order.ixx" />
+    <ClCompile Include="main.cpp" />
+    <ClCompile Include="Orderbook.ixx" />
+    <ClCompile Include="OrderbookLevelInfos.ixx" />
+    <ClCompile Include="OrderModify.ixx" />
+    <ClCompile Include="Trade.ixx" />
+    <ClCompile Include="TradeInfo.ixx" />
   </ItemGroup>
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
   <ImportGroup Label="ExtensionTargets">