#include "book.hpp"
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#include <algorithm>
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#include <chrono>
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#include <cstddef>
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#include <iostream>
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#include <string>
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namespace book
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{
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Order::Order(double price, OrderSideEnum side, int volume, double timestamp,
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std::string id)
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: price{price}, side{side}, remaining_volume{volume},
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filled_volume(0), timestamp{timestamp}, id{id}
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{
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}
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Level::Level(Order& order)
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: price{order.price}, volume(order.remaining_volume), side{order.side},
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timestamp{order.timestamp}, id{order.id}
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{
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}
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bool operator<(const Level& a, const Level& b)
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{
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if (a.price < b.price)
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return true;
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else if (a.price == b.price && (a.timestamp > b.timestamp))
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return true;
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else
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return false;
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}
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bool operator>(const Level& a, const Level& b)
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{
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if (a.price > b.price)
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return true;
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else if (a.price == b.price && (a.timestamp > b.timestamp))
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return true;
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else
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return false;
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}
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bool operator<=(const Level& a, const Level& b)
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{
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if (a.price <= b.price)
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return true;
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else if (a.price == b.price && (a.timestamp >= b.timestamp))
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return true;
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else
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return false;
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}
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bool operator>=(const Level& a, const Level& b)
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{
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if (a.price >= b.price)
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return true;
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else if (a.price == b.price && (a.timestamp >= b.timestamp))
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return true;
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else
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return false;
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}
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bool operator==(const Level& a, const Level& b)
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{
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if (a.price == b.price && (a.timestamp == b.timestamp))
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return true;
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else
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return false;
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}
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std::ostream& operator<<(std::ostream& out, const Level& a)
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{
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return out << "Price: " << a.price << ", volume: " << a.volume
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<< ", time: " << a.timestamp << ", id: " << a.id;
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}
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Book::Book()
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: bidSide(), askSide(), productType(TEST), product("a"), stationId(7),
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unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1),
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broFee(2)
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{
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}
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Book::Book(ProductTypeEnum productType, std::string product, int stationId,
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std::string unit, std::chrono::nanoseconds expiry, double aggFee,
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double pasFee, double broFee)
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: bidSide{}, askSide{}, productType{productType}, product(product),
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stationId(stationId), unit(unit), expiry(expiry), aggFee(aggFee),
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pasFee(pasFee), broFee(broFee), bomPrice(0)
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{
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}
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void Book::ask(Order& order)
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{
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Level a(order);
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auto b = std::lower_bound(this->askSide.begin(), this->askSide.end(), a);
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this->askSide.insert(b, a);
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}
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void Book::bid(Order& order)
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{
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Level a(order);
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auto b = std::upper_bound(this->bidSide.begin(), this->bidSide.end(), a);
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this->bidSide.insert(b, a);
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}
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void Book::printBook(std::size_t numOrders)
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{
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std::cout << "Sell side: " << this->askSide.size() << std::endl;
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std::size_t count = 0;
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for (auto i = this->askSide.rbegin(); i != this->askSide.rend(); i++) {
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std::cout << *i << std::endl;
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count++;
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if (count > numOrders) break;
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}
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std::cout << "Buy side: " << this->bidSide.size() << std::endl;
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count = 0;
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for (auto i = this->bidSide.rbegin(); i != bidSide.rend(); i++) {
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std::cout << *i << std::endl;
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count++;
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if (count > numOrders) break;
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}
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}
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Book testBook(int orders, bool printBook)
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{
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Book b = Book();
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double time(1);
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for (int i = 1; i < orders; i++) {
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Order t(i, Buy, 10, time++, std::to_string(i));
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b.bid(t);
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}
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for (int i = orders + 1; i < 2 * orders; i++) {
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Order t(i, Sell, 10, time++, std::to_string(i));
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b.ask(t);
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}
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if (printBook) b.printBook(orders - 1);
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return b;
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}
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} // namespace book
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