Insertion sort sides instead of hashmap

Joel Grunbaum

2022-01-19 f99dcdf422310400fe9f20f61697328e87485a34

Insertion sort sides instead of hashmap

 book.cpp

@@ -92,40 +92,30 @@

void Book::ask(Order& order)
{
    auto a = this->askSide.emplace(order.id, order);
    if (!a.second) {
        std::cout << order.id << "already exists" << std::endl;
    }
    Level a(order);
    auto b = std::lower_bound(this->askSide.begin(), this->askSide.end(), a);
    this->askSide.insert(b, a);
}

void Book::bid(Order& order)
{
    auto a = this->bidSide.emplace(order.id, order);
    if (!a.second) {
        std::cout << order.id << "already exists" << std::endl;
    }
    Level a(order);
    auto b = std::upper_bound(this->bidSide.begin(), this->bidSide.end(), a);
    this->bidSide.insert(b, a);
}

void Book::printBook(std::size_t numOrders)
{
    std::cout << "Sell side: " << this->askSide.size() << std::endl;
    std::vector<Level> askCopy;
    for (auto i : this->askSide)
        askCopy.push_back(i.second);
    std::size_t count = 0;
    std::sort(askCopy.begin(), askCopy.end());
    for (auto i = askCopy.rbegin(); i != askCopy.rend(); i++) {
    for (auto i = this->askSide.rbegin(); i != this->askSide.rend(); i++) {
        std::cout << *i << std::endl;
        count++;
        if (count > numOrders) break;
    }
    std::cout << "Buy side: " << this->bidSide.size() << std::endl;
    std::vector<Level> bidCopy;
    for (auto i : this->bidSide)
        bidCopy.push_back(i.second);
    count = 0;
    std::sort(bidCopy.begin(), bidCopy.end());
    for (auto i = bidCopy.rbegin(); i != bidCopy.rend(); i++) {
    for (auto i = this->bidSide.rbegin(); i != bidSide.rend(); i++) {
        std::cout << *i << std::endl;
        count++;
        if (count > numOrders) break;

 book.hpp

@@ -43,8 +43,8 @@
std::ostream& operator<<(std::ostream& out, const Level& a);

struct Book {
    std::unordered_map<std::string, Level> bidSide;
    std::unordered_map<std::string, Level> askSide;
    std::vector<Level> bidSide;
    std::vector<Level> askSide;
    ProductTypeEnum productType;
    std::string product;
    int stationId;

 protocol.cpp

@@ -175,28 +175,54 @@
                  json::DeletedMessage* message)
{
    if (message->side == book::Buy) {
        bs[message->product].bidSide.erase(message->id);
        for (auto i = bs[message->product].bidSide.begin(); i != bs[message->product].bidSide.end(); i++) {
                    if (i->id == message->id) {
                        bs[message->product].bidSide.erase(i);
                        break;
                    }
                }
    } else {
        bs[message->product].askSide.erase(message->id);
        for (auto i = bs[message->product].askSide.begin(); i != bs[message->product].askSide.end(); i++) {
                    if (i->id == message->id) {
                        bs[message->product].askSide.erase(i);
                        break;
                    }
                }
    }
}
void tradeOrder(std::unordered_map<std::string, book::Book>& bs,
                json::TradeMessage* message)
{
    if (bs.find(message->passiveOrder) != bs.end()) {
        if (message->tradeType == json::BUY_AGGRESSOR) {
            if (message->passiveOrderRemaining > 0) {
                bs[message->product].askSide.at(message->passiveOrder).volume =
                    message->passiveOrderRemaining;
            for (auto& i : bs[message->product].askSide) {
                if (i.id == message->passiveOrder) {
                    i.volume = message->passiveOrderRemaining;
                    break;
                }
            }
            } else {
                bs[message->product].askSide.erase(message->passiveOrder);
            for (auto i = bs[message->product].askSide.begin(); i != bs[message->product].askSide.end(); i++) {
                if (i->id == message->passiveOrder) {
                    bs[message->product].askSide.erase(i);
                    break;
                }
            }
            }
        } else if (message->tradeType == json::SELL_AGGRESSOR) {
            if (message->passiveOrderRemaining > 0) {
                bs[message->product].bidSide.at(message->passiveOrder).volume =
                    message->passiveOrderRemaining;
            for (auto& i : bs[message->product].bidSide) {
                if (i.id == message->passiveOrder) {
                    i.volume = message->passiveOrderRemaining;
                    break;
                }
            }
            } else {
                bs[message->product].bidSide.erase(message->passiveOrder);
            for (auto i = bs[message->product].bidSide.begin(); i != bs[message->product].bidSide.end(); i++) {
                if (i->id == message->passiveOrder) {
                    bs[message->product].bidSide.erase(i);
                    break;
                }
            }
        }
    }

 test.cpp

@@ -7,23 +7,33 @@
#include <unistd.h>
#include <unordered_map>

constexpr int trials = 1000000;

int main(void)
{
    // book::Book b = book::testBook(10, true);
    auto bs = protocol::recoverBook();
    std::chrono::nanoseconds time(0);
    for (int i = 0; i < trials; i++)
    {
        auto s = std::chrono::high_resolution_clock::now();
        book::Book b = book::testBook(100, false);
        auto e = std::chrono::high_resolution_clock::now();
        time += e - s;
    }
    std::cout << time.count() / trials << std::endl;
    // auto bs = protocol::recoverBook();
    //     protocol::catchUp(bs);
    //     std::cout << bs.size() << std::endl;
    //     for (auto i : bs) {
    //         std::cout << i.first << std::endl;
    //         i.second.printBook();
    //     }
    bom::initialise();
    bom::updateBom(bs);
    bom::destroy();
    protocol::catchUp(bs);
    std::cout << bs.size() << std::endl;
    for (auto& i : bs) {
        std::cout << i.first << ", " << i.second.expiry.count() << ", " << i.second.bomPrice << std::endl;
        i.second.printBook();
    }
    // bom::initialise();
    // bom::updateBom(bs);
    // bom::destroy();
    // protocol::catchUp(bs);
    // std::cout << bs.size() << std::endl;
    // for (auto& i : bs) {
        // std::cout << i.first << ", " << i.second.expiry.count() << ", " << i.second.bomPrice << std::endl;
        // i.second.printBook();
    // }
}