| 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> | |
| 9 | #include <vector> | |
| 10 | ||
| 16b655 | 11 | namespace book |
| JG | 12 | { |
| bb2353 | 13 | enum OrderSideEnum { Buy, Sell }; |
| JG | 14 | enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT }; |
| 15 | ||
| 16 | struct Order { | |
| 16b655 | 17 | double price; |
| JG | 18 | OrderSideEnum side; |
| 19 | int remaining_volume; | |
| 20 | int filled_volume; | |
| 21 | double timestamp; | |
| 22 | std::string id; | |
| 23 | Order(double price, OrderSideEnum side, int volume, double timestamp, | |
| 24 | std::string id); | |
| bb2353 | 25 | }; |
| JG | 26 | |
| 27 | struct Level { | |
| 16b655 | 28 | double price; |
| JG | 29 | int volume; |
| 30 | OrderSideEnum side; | |
| 31 | double timestamp; | |
| 32 | std::string id; | |
| bb2353 | 33 | |
| 16b655 | 34 | Level(Order& order); |
| bb2353 | 35 | }; |
| JG | 36 | |
| 16b655 | 37 | bool operator>(const Level& a, const Level& b); |
| JG | 38 | bool operator<(const Level& a, const Level& b); |
| 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); | |
| 127d5a | 42 | std::ostream& operator<<(std::ostream& out, const Level& a); |
| bb2353 | 43 | |
| JG | 44 | struct Book { |
| 16b655 | 45 | std::vector<Level> bidSide; |
| JG | 46 | std::vector<Level> askSide; |
| 47 | ProductTypeEnum productType; | |
| 48 | std::string product; | |
| b4cf0a | 49 | int stationId; |
| 16b655 | 50 | std::string unit; |
| JG | 51 | std::chrono::nanoseconds expiry; |
| 52 | double aggFee; | |
| 53 | double pasFee; | |
| 54 | double broFee; | |
| bb2353 | 55 | |
| 16b655 | 56 | Book(); |
| JG | 57 | Book(ProductTypeEnum productType, std::string product, |
| b4cf0a | 58 | int stationId, std::string unit, |
| 16b655 | 59 | std::chrono::nanoseconds expiry, double aggFee, double pasFee, |
| JG | 60 | double broFee); |
| 61 | void ask(Order& order); | |
| 62 | void bid(Order& order); | |
| 127d5a | 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 |
