feat: L3

build.gradle

@@ -37,8 +37,6 @@ configure(allprojects) {
                     exclude group: "org.apache.commons", name: "commons-lang"
                     exclude group: "com.epam.deltix", name: "containers"
                     exclude group: "com.epam.deltix", name: "hd-date-time"
-                    exclude group: "com.epam.deltix", name: "gflog-api"
-                    exclude group: "com.epam.deltix", name: "gflog-core"
                     exclude group: "com.epam.deltix", name: "dfp"
                 }
             }

gradle.properties

@@ -1,4 +1,4 @@
-version=1.0.17-SNAPSHOT
+version=1.0.18-SNAPSHOT
 
 group=com.epam.deltix
 org.gradle.jvmargs=-Xmx2500m -XX:MaxMetaspaceSize=512m -XX:+HeapDumpOnOutOfMemoryError -Dfile.encoding=UTF-8

orderbook-core/src/main/java/com/epam/deltix/orderbook/core/api/EntryValidationCode.java

@@ -0,0 +1,70 @@
+package com.epam.deltix.orderbook.core.api;
+
+/**
+ * Represents validation error codes that can be encountered during order book updates.
+ * Each constant corresponds to a specific scenario where an update to the order book fails
+ * validation checks.
+ */
+public enum EntryValidationCode {
+    /**
+     * The quote ID, which uniquely identifies an order, is missing.
+     */
+    MISSING_QUOTE_ID,
+
+    /**
+     * The quote ID submitted already exists in the order book, indicating a duplicated order.
+     */
+    DUPLICATE_QUOTE_ID,
+
+    /**
+     * The price field of the order is missing, which is required for order placement.
+     */
+    MISSING_PRICE,
+
+    /**
+     * The submitted order size is either not well-formed or outside the allowed range.
+     */
+    BAD_SIZE,
+
+    /**
+     * The quote ID referenced does not match any existing order in the order book.
+     */
+    UNKNOWN_QUOTE_ID,
+
+    /**
+     * An attempt to modify an existing order with a new price was made,
+     * which may not be supported in certain order book implementations.
+     */
+    MODIFY_CHANGE_PRICE,
+
+    /**
+     * An attempt to increase the size of an existing order through modification was made.
+     * This may be an invalid operation depending on exchange rules.
+     */
+    MODIFY_INCREASE_SIZE,
+
+    /**
+     * The exchange ID, used to identify the marketplace where the order should be placed, is missing.
+     */
+    MISSING_EXCHANGE_ID,
+
+    /**
+     * There's a discrepancy between the exchange ID stated and the one expected by the order book.
+     */
+    EXCHANGE_ID_MISMATCH,
+
+    /**
+     * The action specified for updating the order book is not recognized or allowed.
+     */
+    UNSUPPORTED_UPDATE_ACTION,
+
+    /**
+     * The order does not specify whether it is a buy or sell order.
+     */
+    UNSPECIFIED_SIDE,
+
+    /**
+     * The type of order insert operation specified is not supported by the order book.
+     */
+    UNSUPPORTED_INSERT_TYPE
+}

orderbook-core/src/main/java/com/epam/deltix/orderbook/core/api/ErrorListener.java

@@ -0,0 +1,17 @@
+package com.epam.deltix.orderbook.core.api;
+
+
+import com.epam.deltix.timebase.messages.MessageInfo;
+
+/**
+ * User-defined error handler
+ */
+public interface ErrorListener {
+    /**
+     * Called when input market message contains something invalid.
+     *
+     * @param message   message containing invalid market-related messages
+     * @param errorCode error code that describes what is wrong
+     */
+    void onError(MessageInfo message, EntryValidationCode errorCode);
+}

orderbook-core/src/main/java/com/epam/deltix/orderbook/core/api/Exchange.java

@@ -16,8 +16,8 @@
  */
 package com.epam.deltix.orderbook.core.api;
 
-
 import com.epam.deltix.timebase.messages.universal.QuoteSide;
+import com.epam.deltix.util.annotations.Alphanumeric;
 
 /**
  * Represents the order book entries for a specific stock exchange.
@@ -32,6 +32,7 @@ public interface Exchange<Quote> {
      *
      * @return exchangeId for this exchange.
      */
+    @Alphanumeric
     long getExchangeId();
 
     /**

orderbook-core/src/main/java/com/epam/deltix/orderbook/core/api/ExchangeList.java

@@ -17,6 +17,7 @@
 package com.epam.deltix.orderbook.core.api;
 
 import com.epam.deltix.orderbook.core.options.Option;
+import com.epam.deltix.util.annotations.Alphanumeric;
 
 import java.util.function.BiPredicate;
 import java.util.function.Predicate;
@@ -30,7 +31,7 @@
  *
  * @author Andrii_Ostapenko1
  */
-public interface ExchangeList<StockExchange> extends Iterable<StockExchange> {
+public interface ExchangeList<Exchange> extends Iterable<Exchange> {
 
     /**
      * Get exchange holder by id.
@@ -40,7 +41,7 @@ public interface ExchangeList<StockExchange> extends Iterable<StockExchange> {
      * @return an {@code Optional} containing the exchange holder; never {@code null} but
      * potentially empty
      */
-    Option<StockExchange> getById(long exchangeId);
+    Option<Exchange> getById(@Alphanumeric long exchangeId);
 
     /**
      * Returns the number of elements in this list.
@@ -69,7 +70,7 @@ public interface ExchangeList<StockExchange> extends Iterable<StockExchange> {
      * @see Stream
      * @see java.util.Spliterator
      */
-    default Stream<StockExchange> stream(final boolean parallel) {
+    default Stream<Exchange> stream(final boolean parallel) {
         return StreamSupport.stream(spliterator(), parallel);
     }
 
@@ -83,21 +84,21 @@ default Stream<StockExchange> stream(final boolean parallel) {
      * @see Stream
      * @see java.util.Spliterator
      */
-    default Stream<StockExchange> stream() {
+    default Stream<Exchange> stream() {
         return stream(false);
     }
 
-    default void forEach(final Predicate<StockExchange> action) {
-        for (final StockExchange e : this) {
+    default void forEach(final Predicate<Exchange> action) {
+        for (final Exchange e : this) {
             if (!action.test(e)) {
                 return;
             }
         }
     }
 
-    default <Cookie> void forEach(final BiPredicate<StockExchange, Cookie> action,
+    default <Cookie> void forEach(final BiPredicate<Exchange, Cookie> action,
                                   final Cookie cookie) {
-        for (final StockExchange e : this) {
+        for (final Exchange e : this) {
             if (!action.test(e, cookie)) {
                 return;
             }

orderbook-core/src/main/java/com/epam/deltix/orderbook/core/api/IterableMarketSide.java

@@ -37,6 +37,7 @@ public interface IterableMarketSide<Quote> extends Iterable<Quote> {
      *
      * @return an iterator over the elements in this market side in proper sequence
      */
+    @Override
     Iterator<Quote> iterator();
 
     /**
@@ -45,7 +46,7 @@ public interface IterableMarketSide<Quote> extends Iterable<Quote> {
      * @param fromLevel - Starting price level index to use
      * @return an iterator over the elements in this order book in proper sequence
      */
-    Iterator<Quote> iterator(short fromLevel);
+    Iterator<Quote> iterator(int fromLevel);
 
     /**
      * Returns an iterator over the elements in this market side in proper sequence.
@@ -54,7 +55,7 @@ public interface IterableMarketSide<Quote> extends Iterable<Quote> {
      * @param toLevel   - End price level index to use
      * @return an iterator over the elements in this order book in proper sequence
      */
-    Iterator<Quote> iterator(short fromLevel, short toLevel);
+    Iterator<Quote> iterator(int fromLevel, int toLevel);
 
     /**
      * Creates a new sequential or parallel {@code Stream} from a
@@ -89,13 +90,13 @@ default Stream<Quote> stream() {
 
     void forEach(Predicate<Quote> action);
 
-    void forEach(short fromLevel, Predicate<Quote> action);
+    void forEach(int fromLevel, Predicate<Quote> action);
 
-    void forEach(short fromLevel, short toLevel, Predicate<Quote> action);
+    void forEach(int fromLevel, int toLevel, Predicate<Quote> action);
 
     <Cookie> void forEach(BiPredicate<Quote, Cookie> action, Cookie cookie);
 
-    <Cookie> void forEach(short fromLevel, BiPredicate<Quote, Cookie> action, Cookie cookie);
+    <Cookie> void forEach(int fromLevel, BiPredicate<Quote, Cookie> action, Cookie cookie);
 
-    <Cookie> void forEach(short fromLevel, short toLevel, BiPredicate<Quote, Cookie> action, Cookie cookie);
+    <Cookie> void forEach(int fromLevel, int toLevel, BiPredicate<Quote, Cookie> action, Cookie cookie);
 }

orderbook-core/src/main/java/com/epam/deltix/orderbook/core/api/MarketSide.java

@@ -49,7 +49,14 @@ public interface MarketSide<Quote> extends IterableMarketSide<Quote> {
     Quote getBestQuote();
 
     /**
-     * Get quote by level.
+     * Get worst quote.
+     *
+     * @return Worst quote from side or null if quote not found
+     */
+    Quote getWorstQuote();
+
+    /**
+     * Get quote by level. WARNING: this method can be slow for some implementations (for example, in L3 order book). Use iterator instead.
      *
      * @param level - level to use
      * @return quote or null if quote not found
@@ -89,30 +96,47 @@ public interface MarketSide<Quote> extends IterableMarketSide<Quote> {
      * @param level - quote level to use.
      * @return true if this market side contains given quote level
      */
-    boolean hasLevel(short level);
+    boolean hasLevel(int level);
+
+    /**
+     * Get quote by quoteId.
+     * Unsupported operation for L2, always returns null.
+     *
+     * @param quoteId - Quote Id
+     * @return quote or null if quote not found
+     */
+    Quote getQuote(CharSequence quoteId);
+
+    /**
+     * Unsupported operation for L2, always returns false.
+     *
+     * @param quoteId - Quote Id
+     * @return true if this market side contains given quote ID
+     */
+    boolean hasQuote(CharSequence quoteId);
 
     @Override
     default Iterator<Quote> iterator() {
-        return iterator((short) 0);
+        return iterator(0);
     }
 
     @Override
-    default Iterator<Quote> iterator(final short fromLevel) {
-        return iterator(fromLevel, (short) depth());
+    default Iterator<Quote> iterator(final int fromLevel) {
+        return iterator(fromLevel, depth());
     }
 
     @Override
     default void forEach(final Predicate<Quote> action) {
-        forEach((short) 0, (short) depth(), action);
+        forEach(0, depth(), action);
     }
 
     @Override
-    default void forEach(final short level, final Predicate<Quote> action) {
-        forEach((short) 0, level, action);
+    default void forEach(final int level, final Predicate<Quote> action) {
+        forEach(0, level, action);
     }
 
     @Override
-    default void forEach(final short fromLevel, final short toLevel, final Predicate<Quote> action) {
+    default void forEach(final int fromLevel, final int toLevel, final Predicate<Quote> action) {
         Objects.requireNonNull(action);
         for (int i = fromLevel; i < toLevel; i++) {
             if (!action.test(getQuote(i))) {
@@ -123,17 +147,17 @@ default void forEach(final short fromLevel, final short toLevel, final Predicate
 
     @Override
     default <Cookie> void forEach(final BiPredicate<Quote, Cookie> action, final Cookie cookie) {
-        forEach((short) 0, (short) depth(), action, cookie);
+        forEach(0, depth(), action, cookie);
     }
 
     @Override
-    default <Cookie> void forEach(final short fromLevel, final BiPredicate<Quote, Cookie> action, final Cookie cookie) {
-        forEach(fromLevel, (short) depth(), action, cookie);
+    default <Cookie> void forEach(final int fromLevel, final BiPredicate<Quote, Cookie> action, final Cookie cookie) {
+        forEach(fromLevel, depth(), action, cookie);
     }
 
     @Override
-    default <Cookie> void forEach(final short fromLevel,
-                                  final short toLevel,
+    default <Cookie> void forEach(final int fromLevel,
+                                  final int toLevel,
                                   final BiPredicate<Quote, Cookie> action,
                                   final Cookie cookie) {
         Objects.requireNonNull(action);

orderbook-core/src/main/java/com/epam/deltix/orderbook/core/api/OrderBook.java

@@ -16,8 +16,9 @@
  */
 package com.epam.deltix.orderbook.core.api;
 
+
 import com.epam.deltix.orderbook.core.options.Option;
-import com.epam.deltix.timebase.messages.MarketMessageInfo;
+import com.epam.deltix.timebase.messages.MessageInfo;
 import com.epam.deltix.timebase.messages.universal.DataModelType;
 import com.epam.deltix.timebase.messages.universal.QuoteSide;
 
@@ -28,10 +29,10 @@
  * of various trading systems that we have previously worked with. It is designed to provide high-level normalized
  * format suitable to capture data from majority of very different trading venues.
  * Package Type is enumeration of:
- * •VENDOR_SNAPSHOT – snapshot that came directly from data vendor (e.g. exchange).
- * •PERIODICAL_SNAPSHOT Synthetic snapshot generated by EPAM Market
+ * VENDOR_SNAPSHOT - snapshot that came directly from data vendor (e.g. exchange).
+ * PERIODICAL_SNAPSHOT Synthetic snapshot generated by EPAM Market
  * Data Aggregation software to simplify data validation and allow late joiners (consumers that appear in the middle of trading session).
- * •INCREMENTAL_UPDATE – incremental update, a list of insert/update/delete data entries.
+ * INCREMENTAL_UPDATE - incremental update, a list of insert/update/delete data entries.
  * This Format does not support snapshot and increment messages mixed in one package.
  * Trade entries can be easily combined with Increments.
  * It is important to differentiate one type of snapshot from another.
@@ -52,7 +53,7 @@ public interface OrderBook<Quote> {
      * Note: FlyWeight pattern in use. We don't keep any references on your classes (message) after method returns execution.
      * </p>
      * <p>
-     * Supported market data messages: L1/L2/ResetEntry
+     * Supported market data messages: L1/L2/L3/ResetEntry,
      *
      * @param message Most financial market-related messages to use.
      * @return {@code true} if all entries of the package is process otherwise {@code false}
@@ -63,7 +64,7 @@ public interface OrderBook<Quote> {
      * @see com.epam.deltix.timebase.messages.universal.BookResetEntryInterface
      * </p>
      */
-    boolean update(MarketMessageInfo message);
+    boolean update(MessageInfo message);
 
     /**
      * Returns true if this order book contains no quotes, applies to both sides of Order Book.
@@ -119,4 +120,11 @@ public interface OrderBook<Quote> {
      */
     ExchangeList<? extends Exchange<Quote>> getExchanges();
 
+    /**
+     * @return true if order book from this exchange is waiting for snapshot to recover.
+     * In this state order book appears empty, but corresponding exchange is likely not empty.
+     * Order book may be in this state initially, or after we market data disconnect, as well as after internal error.
+     */
+    boolean isWaitingForSnapshot();
+
 }