| commit | author | age | ||
| bb2353 | 1 | #pragma once |
| JG | 2 | |
| 3 | #include <chrono> | |
| 4 | #include <iostream> | |
| 5 | #include <queue> | |
| 6 | #include <string> | |
| 7 | #include <vector> | |
| 8 | ||
| 9 | enum OrderSideEnum { Buy, Sell }; | |
| 10 | enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT }; | |
| 11 | ||
| 12 | struct Order { | |
| 13 | double price; | |
| 14 | OrderSideEnum side; | |
| 15 | int remaining_volume; | |
| 16 | int filled_volume; | |
| 17 | std::chrono::nanoseconds timestamp; | |
| 18 | std::string id; | |
| 19 | Order(double price, OrderSideEnum side, int volume, | |
| 20 | std::chrono::nanoseconds timestamp, std::string id); | |
| 21 | }; | |
| 22 | ||
| 23 | struct Level { | |
| 24 | double price; | |
| 25 | int volume; | |
| 26 | OrderSideEnum side; | |
| 27 | std::chrono::nanoseconds timestamp; | |
| 28 | std::string id; | |
| 29 | ||
| 30 | Level(Order &order); | |
| 31 | }; | |
| 32 | ||
| 33 | bool operator>(const Level &a, const Level &b); | |
| 34 | bool operator<(const Level &a, const Level &b); | |
| 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 | ||
| 39 | template <class T> | |
| 40 | struct Side : public std::priority_queue<Level, std::vector<Level>, T> { | |
| 41 | public: | |
| 42 | void deleteLevel(std::string orderId) { | |
| 43 | for (auto i = this->c.begin(); i != this->c.end();) { | |
| 44 | if (*i.id == orderId) { | |
| 45 | this->c.erase(i); | |
| 46 | std::make_heap(this->c.begin(), this->c.end(), this->comp); | |
| 47 | } | |
| 48 | } | |
| 49 | } | |
| 50 | ||
| 51 | void topRemoveVolume(int volume) { this->c[0].volume -= volume; } | |
| 52 | ||
| 53 | void printTop(int num = 5) { | |
| 54 | std::sort(this->c.begin(), this->c.end(), this->comp); | |
| 55 | for (int i = 0; i < num && i < this->size(); i++) { | |
| 56 | std::cout << "Price: " << this->c[i].price | |
| 57 | << ", volume: " << this->c[i].volume | |
| 58 | << ", time: " << this->c[i].timestamp.count() | |
| 59 | << ", id: " << this->c[i].id << std::endl; | |
| 60 | } | |
| 61 | std::make_heap(this->c.begin(), this->c.end(), this->comp); | |
| 62 | } | |
| 63 | }; | |
| 64 | ||
| 65 | using AskSide = Side<std::greater<Level>>; | |
| 66 | using BidSide = Side<std::less<Level>>; | |
| 67 | ||
| 68 | struct Book { | |
| 69 | BidSide bidSide; | |
| 70 | AskSide askSide; | |
| 71 | ProductTypeEnum productType; | |
| 72 | std::string product; | |
| 73 | std::string stationId; | |
| 74 | std::string unit; | |
| 75 | std::chrono::nanoseconds expiry; | |
| 76 | double aggFee; | |
| 77 | double pasFee; | |
| 78 | double broFee; | |
| 79 | ||
| 80 | Book(); | |
| 81 | Book(ProductTypeEnum productType, std::string product, std::string stationId, | |
| 82 | std::string unit, std::chrono::nanoseconds expiry, double aggFee, | |
| 83 | double pasFee, double broFee); | |
| 84 | void ask(Order &order); | |
| 85 | void bid(Order &order); | |
| 86 | void printBook(); | |
| 87 | }; | |
| 88 | ||
| 89 | Book testBook(int orders = 10, bool printBook = true); | |
