New file |
| | |
| | | #include "book.hpp" |
| | | #include <chrono> |
| | | #include <iostream> |
| | | |
| | | Order::Order(double price, OrderSideEnum side, int volume, |
| | | std::chrono::nanoseconds timestamp, std::string id) |
| | | : price{price}, side{side}, remaining_volume{volume}, |
| | | filled_volume(0), timestamp{timestamp}, id{id} {} |
| | | |
| | | Level::Level(Order &order) |
| | | : price{order.price}, volume(order.remaining_volume), side{order.side}, |
| | | timestamp{order.timestamp}, id{order.id} {} |
| | | |
| | | bool operator<(const Level &a, const Level &b) { |
| | | if (a.price < b.price) |
| | | return true; |
| | | else if (a.price == b.price && a.timestamp < b.timestamp) |
| | | return true; |
| | | else |
| | | return false; |
| | | } |
| | | |
| | | bool operator>(const Level &a, const Level &b) { |
| | | if (a.price > b.price) |
| | | return true; |
| | | else if (a.price == b.price && a.timestamp > b.timestamp) |
| | | return true; |
| | | else |
| | | return false; |
| | | } |
| | | |
| | | bool operator<=(const Level &a, const Level &b) { |
| | | if (a.price <= b.price) |
| | | return true; |
| | | else if (a.price == b.price && a.timestamp <= b.timestamp) |
| | | return true; |
| | | else |
| | | return false; |
| | | } |
| | | |
| | | bool operator>=(const Level &a, const Level &b) { |
| | | if (a.price >= b.price) |
| | | return true; |
| | | else if (a.price == b.price && a.timestamp >= b.timestamp) |
| | | return true; |
| | | else |
| | | return false; |
| | | } |
| | | |
| | | bool operator==(const Level &a, const Level &b) { |
| | | if (a.price == b.price && a.timestamp == b.timestamp) |
| | | return true; |
| | | else |
| | | return false; |
| | | } |
| | | |
| | | Book::Book() |
| | | : bidSide(), askSide(), productType(TEST), product("a"), stationId("b"), |
| | | unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1), |
| | | broFee(2) {} |
| | | |
| | | Book::Book(ProductTypeEnum productType, std::string product, |
| | | std::string stationId, std::string unit, |
| | | std::chrono::nanoseconds expiry, double aggFee, double pasFee, |
| | | double broFee) |
| | | : bidSide{}, askSide{}, productType{productType}, product(product), |
| | | stationId(stationId), unit(unit), expiry(expiry), aggFee(aggFee), |
| | | pasFee(pasFee), broFee(broFee) {} |
| | | |
| | | void Book::ask(Order &order) { |
| | | while (this->bidSide.size() && this->bidSide.top().price > order.price) { |
| | | if (this->bidSide.top().volume > order.remaining_volume) { |
| | | int temp = this->bidSide.top().volume; |
| | | order.filled_volume += temp; |
| | | this->bidSide.topRemoveVolume(order.remaining_volume); |
| | | order.remaining_volume -= temp; |
| | | } else { |
| | | order.remaining_volume -= this->bidSide.top().volume; |
| | | order.filled_volume += this->bidSide.top().volume; |
| | | this->bidSide.pop(); |
| | | } |
| | | if (order.remaining_volume > 0) { |
| | | this->askSide.emplace(order); |
| | | } |
| | | } |
| | | } |
| | | |
| | | void Book::bid(Order &order) { |
| | | while (this->askSide.size() && this->askSide.top().price > order.price) { |
| | | if (this->askSide.top().volume > order.remaining_volume) { |
| | | int temp = this->askSide.top().volume; |
| | | order.filled_volume += temp; |
| | | this->askSide.topRemoveVolume(order.remaining_volume); |
| | | order.remaining_volume -= temp; |
| | | } else { |
| | | order.remaining_volume -= this->askSide.top().volume; |
| | | order.filled_volume += this->askSide.top().volume; |
| | | this->askSide.pop(); |
| | | } |
| | | if (order.remaining_volume > 0) { |
| | | this->bidSide.emplace(order); |
| | | } |
| | | } |
| | | } |
| | | |
| | | void Book::printBook() { |
| | | std::cout << "Sell side"; |
| | | this->askSide.printTop(); |
| | | std::cout << "Buy side"; |
| | | this->bidSide.printTop(); |
| | | } |
| | | |
| | | Book testBook(int orders, bool printBook) { |
| | | Book b = Book(); |
| | | std::chrono::nanoseconds time(1); |
| | | for (int i = 0; i < orders; i++) { |
| | | Order t(i, Buy, 10, time++, "a"); |
| | | b.bid(t); |
| | | } |
| | | for (int i = orders + 1; i < 2 * orders; i++) { |
| | | Order t(i, Sell, 10, time++, "b"); |
| | | b.ask(t); |
| | | } |
| | | if (printBook) |
| | | b.printBook(); |
| | | return b; |
| | | } |