From 0b7aa02704f6ece97d17fbb118519c5cc62caaba Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Wed, 19 Jan 2022 07:45:21 +0000
Subject: [PATCH] Bot prints exchange feed

---
 book.cpp |   74 ++++++++++--------------------------
 1 files changed, 21 insertions(+), 53 deletions(-)

diff --git a/book.cpp b/book.cpp
index 4473e8c..573fa75 100644
--- a/book.cpp
+++ b/book.cpp
@@ -3,6 +3,7 @@
 #include <chrono>
 #include <cstddef>
 #include <iostream>
+#include <string>
 
 namespace book
 {
@@ -70,7 +71,7 @@
 std::ostream& operator<<(std::ostream& out, const Level& a)
 {
 	return out << "Price: " << a.price << ", volume: " << a.volume
-	           << ", time: " << a.timestamp << ", id: " << a.id;
+			   << ", time: " << a.timestamp << ", id: " << a.id;
 }
 
 Book::Book()
@@ -85,80 +86,47 @@
            double pasFee, double broFee)
 	: bidSide{}, askSide{}, productType{productType}, product(product),
 	  stationId(stationId), unit(unit), expiry(expiry), aggFee(aggFee),
-	  pasFee(pasFee), broFee(broFee)
+	  pasFee(pasFee), broFee(broFee), bomPrice(0)
 {
 }
 
 void Book::ask(Order& order)
 {
-	while (this->bidSide.size() && this->bidSide[0].price >= order.price) {
-		if (this->bidSide[0].volume > order.remaining_volume) {
-			int temp = this->bidSide[0].volume;
-			order.filled_volume += temp;
-			this->bidSide.front().volume -= order.remaining_volume;
-			order.remaining_volume -= temp;
-			break;
-		} else {
-			order.remaining_volume -= this->bidSide[0].volume;
-			order.filled_volume += this->bidSide[0].volume;
-			this->bidSide.erase(this->bidSide.begin());
-			std::make_heap(this->bidSide.begin(), this->bidSide.end(),
-			               std::less<Level>());
-		}
-	}
-	if (order.remaining_volume > 0) {
-		this->askSide.emplace_back(order);
-		std::make_heap(this->askSide.begin(), this->askSide.end(),
-		               std::greater<Level>());
+	auto a = this->askSide.emplace(order.id, order);
+	if (!a.second) {
+		std::cout << order.id << "already exists" << std::endl;
 	}
 }
 
 void Book::bid(Order& order)
 {
-	while (this->askSide.size() && this->askSide[0].price <= order.price) {
-		if (this->askSide[0].volume > order.remaining_volume) {
-			int temp = this->askSide.front().volume;
-			order.filled_volume += temp;
-			this->askSide.front().volume -= order.remaining_volume;
-			order.remaining_volume -= temp;
-			break;
-		} else {
-			order.remaining_volume -= this->askSide[0].volume;
-			order.filled_volume += this->askSide[0].volume;
-			this->askSide.erase(this->askSide.begin());
-			std::make_heap(this->askSide.begin(), this->askSide.end(),
-			               std::greater<Level>());
-		}
-	}
-	if (order.remaining_volume > 0) {
-		this->bidSide.emplace_back(order);
-		std::make_heap(this->bidSide.begin(), this->bidSide.end(),
-		               std::less<Level>());
+	auto a = this->bidSide.emplace(order.id, order);
+	if (!a.second) {
+		std::cout << order.id << "already exists" << std::endl;
 	}
 }
 
 void Book::printBook(std::size_t numOrders)
 {
 	std::cout << "Sell side: " << this->askSide.size() << std::endl;
-	std::vector<Level> askCopy(this->askSide);
+	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());
-	std::reverse(askCopy.begin(), askCopy.end());
-	uint64_t volume = 0;
-	double price = askCopy.front().price;
-	for (auto i : askCopy) {
-		std::cout << i << std::endl;
+	for (auto i = askCopy.rbegin(); i != askCopy.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(this->bidSide);
+	std::vector<Level> bidCopy;
+	for (auto i : this->bidSide)
+		bidCopy.push_back(i.second);
 	count = 0;
 	std::sort(bidCopy.begin(), bidCopy.end());
-	std::reverse(bidCopy.begin(), bidCopy.end());
-	price = bidCopy.front().price;
-	for (auto i : bidCopy) {
-		std::cout << i << std::endl;
+	for (auto i = bidCopy.rbegin(); i != bidCopy.rend(); i++) {
+		std::cout << *i << std::endl;
 		count++;
 		if (count > numOrders) break;
 	}
@@ -169,11 +137,11 @@
 	Book b = Book();
 	double time(1);
 	for (int i = 1; i < orders; i++) {
-		Order t(i, Buy, 10, time++, "a");
+		Order t(i, Buy, 10, time++, std::to_string(i));
 		b.bid(t);
 	}
 	for (int i = orders + 1; i < 2 * orders; i++) {
-		Order t(i, Sell, 10, time++, "b");
+		Order t(i, Sell, 10, time++, std::to_string(i));
 		b.ask(t);
 	}
 	if (printBook) b.printBook(orders - 1);

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