| commit | author | age | ||
| bb2353 | 1 | #pragma once |
| JG | 2 | |
| 16b655 | 3 | #include <algorithm> |
| bb2353 | 4 | #include <chrono> |
| 127d5a | 5 | #include <cstddef> |
| bb2353 | 6 | #include <iostream> |
| JG | 7 | #include <queue> |
| 8 | #include <string> | |
| 4fdb65 | 9 | #include <unordered_map> |
| bb2353 | 10 | #include <vector> |
| JG | 11 | |
| 16b655 | 12 | namespace book |
| JG | 13 | { |
| bb2353 | 14 | enum OrderSideEnum { Buy, Sell }; |
| JG | 15 | enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT }; |
| 16 | ||
| 17 | struct Order { | |
| 2c515f | 18 | double price; |
| JG | 19 | OrderSideEnum side; |
| 20 | int remaining_volume; | |
| 21 | int filled_volume; | |
| 22 | double timestamp; | |
| 23 | std::string id; | |
| 24 | Order(double price, OrderSideEnum side, int volume, double timestamp, | |
| 25 | std::string id); | |
| bb2353 | 26 | }; |
| JG | 27 | |
| 28 | struct Level { | |
| 2c515f | 29 | double price; |
| JG | 30 | int volume; |
| 31 | OrderSideEnum side; | |
| 32 | double timestamp; | |
| 33 | std::string id; | |
| bb2353 | 34 | |
| 2c515f | 35 | Level(Order& order); |
| bb2353 | 36 | }; |
| JG | 37 | |
| 16b655 | 38 | bool operator>(const Level& a, const Level& b); |
| JG | 39 | bool operator<(const Level& a, const Level& b); |
| 40 | bool operator>=(const Level& a, const Level& b); | |
| 41 | bool operator<=(const Level& a, const Level& b); | |
| 42 | bool operator==(const Level& a, const Level& b); | |
| 127d5a | 43 | std::ostream& operator<<(std::ostream& out, const Level& a); |
| bb2353 | 44 | |
| JG | 45 | struct Book { |
| 4fdb65 | 46 | std::unordered_map<std::string, Level> bidSide; |
| JG | 47 | std::unordered_map<std::string, Level> askSide; |
| 2c515f | 48 | ProductTypeEnum productType; |
| JG | 49 | std::string product; |
| 50 | int stationId; | |
| 51 | std::string unit; | |
| 52 | std::chrono::nanoseconds expiry; | |
| 53 | double aggFee; | |
| 54 | double pasFee; | |
| 55 | double broFee; | |
| bb2353 | 56 | |
| 2c515f | 57 | Book(); |
| JG | 58 | Book(ProductTypeEnum productType, std::string product, int stationId, |
| 59 | std::string unit, std::chrono::nanoseconds expiry, double aggFee, | |
| 60 | double pasFee, double broFee); | |
| 61 | void ask(Order& order); | |
| 62 | void bid(Order& order); | |
| 63 | void printBook(std::size_t numOrders = 10); | |
| bb2353 | 64 | }; |
| JG | 65 | |
| 66 | Book testBook(int orders = 10, bool printBook = true); | |
| 16b655 | 67 | } // namespace book |
