| commit | author | age | ||
| bb2353 | 1 | #pragma once |
| JG | 2 | |
| 3 | #include <chrono> | |
| 127d5a | 4 | #include <cstddef> |
| bb2353 | 5 | #include <iostream> |
| JG | 6 | #include <queue> |
| 7 | #include <string> | |
| 8 | #include <vector> | |
| 127d5a | 9 | #include <algorithm> |
| bb2353 | 10 | |
| JG | 11 | enum OrderSideEnum { Buy, Sell }; |
| 12 | enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT }; | |
| 13 | ||
| 14 | struct Order { | |
| 15 | double price; | |
| 16 | OrderSideEnum side; | |
| 17 | int remaining_volume; | |
| 18 | int filled_volume; | |
| 19 | std::chrono::nanoseconds timestamp; | |
| 20 | std::string id; | |
| 21 | Order(double price, OrderSideEnum side, int volume, | |
| 22 | std::chrono::nanoseconds timestamp, std::string id); | |
| 23 | }; | |
| 24 | ||
| 25 | struct Level { | |
| 26 | double price; | |
| 27 | int volume; | |
| 28 | OrderSideEnum side; | |
| 29 | std::chrono::nanoseconds timestamp; | |
| 30 | std::string id; | |
| 31 | ||
| 32 | Level(Order &order); | |
| 33 | }; | |
| 34 | ||
| 35 | bool operator>(const Level &a, const Level &b); | |
| 36 | bool operator<(const Level &a, const Level &b); | |
| 37 | bool operator>=(const Level &a, const Level &b); | |
| 38 | bool operator<=(const Level &a, const Level &b); | |
| 39 | bool operator==(const Level &a, const Level &b); | |
| 127d5a | 40 | std::ostream& operator<<(std::ostream& out, const Level& a); |
| bb2353 | 41 | |
| JG | 42 | template <class T> |
| 43 | struct Side : public std::priority_queue<Level, std::vector<Level>, T> { | |
| 44 | public: | |
| 127d5a | 45 | void deleteLevel(std::string orderId); |
| JG | 46 | void topRemoveVolume(int volume); |
| 47 | void printTop(std::size_t num = 5); | |
| bb2353 | 48 | }; |
| JG | 49 | |
| 50 | using AskSide = Side<std::greater<Level>>; | |
| 51 | using BidSide = Side<std::less<Level>>; | |
| 52 | ||
| 53 | struct Book { | |
| 54 | BidSide bidSide; | |
| 55 | AskSide askSide; | |
| 56 | ProductTypeEnum productType; | |
| 57 | std::string product; | |
| 58 | std::string stationId; | |
| 59 | std::string unit; | |
| 60 | std::chrono::nanoseconds expiry; | |
| 61 | double aggFee; | |
| 62 | double pasFee; | |
| 63 | double broFee; | |
| 64 | ||
| 65 | Book(); | |
| 66 | Book(ProductTypeEnum productType, std::string product, std::string stationId, | |
| 67 | std::string unit, std::chrono::nanoseconds expiry, double aggFee, | |
| 68 | double pasFee, double broFee); | |
| 69 | void ask(Order &order); | |
| 70 | void bid(Order &order); | |
| 127d5a | 71 | void printBook(std::size_t numOrders = 10); |
| bb2353 | 72 | }; |
| JG | 73 | |
| 74 | Book testBook(int orders = 10, bool printBook = true); | |
