| commit | author | age | ||
| bb2353 | 1 | #include "book.hpp" |
| 16b655 | 2 | #include <algorithm> |
| bb2353 | 3 | #include <chrono> |
| 127d5a | 4 | #include <cstddef> |
| bb2353 | 5 | #include <iostream> |
| 4fdb65 | 6 | #include <string> |
| bb2353 | 7 | |
| 16b655 | 8 | namespace book |
| JG | 9 | { |
| 10 | Order::Order(double price, OrderSideEnum side, int volume, double timestamp, | |
| 11 | std::string id) | |
| 2c515f | 12 | : price{price}, side{side}, remaining_volume{volume}, |
| JG | 13 | filled_volume(0), timestamp{timestamp}, id{id} |
| 16b655 | 14 | { |
| JG | 15 | } |
| bb2353 | 16 | |
| 16b655 | 17 | Level::Level(Order& order) |
| 2c515f | 18 | : price{order.price}, volume(order.remaining_volume), side{order.side}, |
| JG | 19 | timestamp{order.timestamp}, id{order.id} |
| 16b655 | 20 | { |
| bb2353 | 21 | } |
| JG | 22 | |
| 16b655 | 23 | bool operator<(const Level& a, const Level& b) |
| JG | 24 | { |
| 2c515f | 25 | if (a.price < b.price) |
| JG | 26 | return true; |
| 27 | else if (a.price == b.price && (a.timestamp > b.timestamp)) | |
| 28 | return true; | |
| 29 | else | |
| 30 | return false; | |
| bb2353 | 31 | } |
| JG | 32 | |
| 16b655 | 33 | bool operator>(const Level& a, const Level& b) |
| JG | 34 | { |
| 2c515f | 35 | if (a.price > b.price) |
| JG | 36 | return true; |
| 37 | else if (a.price == b.price && (a.timestamp > b.timestamp)) | |
| 38 | return true; | |
| 39 | else | |
| 40 | return false; | |
| bb2353 | 41 | } |
| JG | 42 | |
| 16b655 | 43 | bool operator<=(const Level& a, const Level& b) |
| JG | 44 | { |
| 2c515f | 45 | if (a.price <= b.price) |
| JG | 46 | return true; |
| 47 | else if (a.price == b.price && (a.timestamp >= b.timestamp)) | |
| 48 | return true; | |
| 49 | else | |
| 50 | return false; | |
| bb2353 | 51 | } |
| JG | 52 | |
| 16b655 | 53 | bool operator>=(const Level& a, const Level& b) |
| JG | 54 | { |
| 2c515f | 55 | if (a.price >= b.price) |
| JG | 56 | return true; |
| 57 | else if (a.price == b.price && (a.timestamp >= b.timestamp)) | |
| 58 | return true; | |
| 59 | else | |
| 60 | return false; | |
| 16b655 | 61 | } |
| JG | 62 | |
| 63 | bool operator==(const Level& a, const Level& b) | |
| 64 | { | |
| 2c515f | 65 | if (a.price == b.price && (a.timestamp == b.timestamp)) |
| JG | 66 | return true; |
| 67 | else | |
| 68 | return false; | |
| 127d5a | 69 | } |
| JG | 70 | |
| 71 | std::ostream& operator<<(std::ostream& out, const Level& a) | |
| 72 | { | |
| 2c515f | 73 | return out << "Price: " << a.price << ", volume: " << a.volume |
| e8c910 | 74 | << ", time: " << a.timestamp << ", id: " << a.id; |
| bb2353 | 75 | } |
| JG | 76 | |
| 77 | Book::Book() | |
| 2c515f | 78 | : bidSide(), askSide(), productType(TEST), product("a"), stationId(7), |
| JG | 79 | unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1), |
| 80 | broFee(2) | |
| 16b655 | 81 | { |
| JG | 82 | } |
| bb2353 | 83 | |
| 2c515f | 84 | Book::Book(ProductTypeEnum productType, std::string product, int stationId, |
| JG | 85 | std::string unit, std::chrono::nanoseconds expiry, double aggFee, |
| 86 | double pasFee, double broFee) | |
| 87 | : bidSide{}, askSide{}, productType{productType}, product(product), | |
| 88 | stationId(stationId), unit(unit), expiry(expiry), aggFee(aggFee), | |
| 611ad7 | 89 | pasFee(pasFee), broFee(broFee), bomPrice(0) |
| 16b655 | 90 | { |
| JG | 91 | } |
| bb2353 | 92 | |
| 16b655 | 93 | void Book::ask(Order& order) |
| JG | 94 | { |
| f99dcd | 95 | Level a(order); |
| JG | 96 | auto b = std::lower_bound(this->askSide.begin(), this->askSide.end(), a); |
| 97 | this->askSide.insert(b, a); | |
| bb2353 | 98 | } |
| JG | 99 | |
| 16b655 | 100 | void Book::bid(Order& order) |
| JG | 101 | { |
| f99dcd | 102 | Level a(order); |
| JG | 103 | auto b = std::upper_bound(this->bidSide.begin(), this->bidSide.end(), a); |
| 104 | this->bidSide.insert(b, a); | |
| bb2353 | 105 | } |
| JG | 106 | |
| 16b655 | 107 | void Book::printBook(std::size_t numOrders) |
| JG | 108 | { |
| 2c515f | 109 | std::cout << "Sell side: " << this->askSide.size() << std::endl; |
| f99dcd | 110 | std::size_t count = 0; |
| JG | 111 | for (auto i = this->askSide.rbegin(); i != this->askSide.rend(); i++) { |
| 4fdb65 | 112 | std::cout << *i << std::endl; |
| 2c515f | 113 | count++; |
| JG | 114 | if (count > numOrders) break; |
| 115 | } | |
| 116 | std::cout << "Buy side: " << this->bidSide.size() << std::endl; | |
| 117 | count = 0; | |
| f99dcd | 118 | for (auto i = this->bidSide.rbegin(); i != bidSide.rend(); i++) { |
| 4fdb65 | 119 | std::cout << *i << std::endl; |
| 2c515f | 120 | count++; |
| JG | 121 | if (count > numOrders) break; |
| 122 | } | |
| 123 | } | |
| 16b655 | 124 | |
| JG | 125 | Book testBook(int orders, bool printBook) |
| 126 | { | |
| 2c515f | 127 | Book b = Book(); |
| JG | 128 | double time(1); |
| 129 | for (int i = 1; i < orders; i++) { | |
| 4fdb65 | 130 | Order t(i, Buy, 10, time++, std::to_string(i)); |
| 2c515f | 131 | b.bid(t); |
| JG | 132 | } |
| 133 | for (int i = orders + 1; i < 2 * orders; i++) { | |
| 4fdb65 | 134 | Order t(i, Sell, 10, time++, std::to_string(i)); |
| 2c515f | 135 | b.ask(t); |
| JG | 136 | } |
| 137 | if (printBook) b.printBook(orders - 1); | |
| 138 | return b; | |
| bb2353 | 139 | } |
| 16b655 | 140 | } // namespace book |
