//
// Represents information about an order, placed with the exchange
// We receive order updates from the trading rig with data in this form.
//
export interface IExchangeOrder
{
    symbol : string;
    side : OrderSide;
    quantity : number;
    price : number;
    status : OrderStatus;
    time : number;
}

//
// Represents a single "quote" in an order book
// Qotes with side.Bid are placed in the order book's
// bid array, side.Ask in the ask array.
// Together the price and quantity represent
// the size of the order, in financial terms.
export interface IOrderBookEntry
{
    symbol:InstrumentSymbol;
    side:MarketSide;
    price:number;
    quantity:number;
}

//
// Market data providers generally expose real-time
// feeds, following the pattern where the client
// first request an initial snapshot of the current state
// of the order book, and then subscribes to a websocket, or other
// "push" feed, which updates the client with IExchangeOrder
// objets, which are meant to replace any existing IExchangeOrder
// already in the client's order book. By this mechanism, the order
// book is updated.
//
export interface IOrderBookFeed
{
    loadInitialData(url:string);
    openUpdateFeed(url:string);
    processUpdate();
}

//
// An order book manages two collections of IOderBookEntrys.
// One for the bid, and one for the ask (offer). Entries
// in each book are always price sorted. Bids are stored in descending order.
// Asks are stored in ascending order. This causes the order book to reflect
// The real market structure where the highest bid approaches the price of the lowest ask.
// All other market participants are "away" from the market, with either a lower bid, or
// a higher ask. The distance between the lowest ask and the highest bid is called the "spread".
export interface IOrderBook
{
    exchange:ExchangeName;
    symbol:InstrumentSymbol;

    bids:Array<IOrderBookEntry>;
    asks:Array<IOrderBookEntry>;

    feed:IOrderBookFeed;

    insideBid:IOrderBookEntry;
    insideAsk:IOrderBookEntry;
    spread:number;
    mid:number;

    clear();
    sort();

    getEntries(side:MarketSide) : Array<IOrderBookEntry>;
    getEntry(side:MarketSide, depth:number);

    addEntry(side:MarketSide, price:number, quantity:number);
}