From 127d5af6f934b162c98a40ce414b98415d899cea Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Fri, 07 Jan 2022 10:43:34 +0000
Subject: [PATCH] finished book
---
.gitignore | 15 +++--
main.cpp | 3
book.cpp | 74 ++++++++++++++++++------
strat.hpp | 9 +++
Makefile | 4
.clang-format | 8 ++
book.hpp | 29 ++-------
secrets.hpp | 11 +++
8 files changed, 102 insertions(+), 51 deletions(-)
diff --git a/.clang-format b/.clang-format
new file mode 100644
index 0000000..e6786f7
--- /dev/null
+++ b/.clang-format
@@ -0,0 +1,8 @@
+---
+BasedOnStyle: LLVM
+IndentWidth: 4
+UseTab: AlignWithSpaces
+AllowShortIfStatementsOnASingleLine: true
+BreakBeforeBraces: Linux
+IndentCaseLabels: false
+---
\ No newline at end of file
diff --git a/.gitignore b/.gitignore
index b836a20..4e07316 100644
--- a/.gitignore
+++ b/.gitignore
@@ -1,6 +1,9 @@
-*
-!*.py
-!.gitignore
-!*.cpp
-!*.hpp
-!Makefile
+*~
+*\#*
+*.o
+exec
+test
+bot
+bid
+ask
+oneshot
diff --git a/Makefile b/Makefile
index b57ea21..96fba56 100644
--- a/Makefile
+++ b/Makefile
@@ -1,5 +1,5 @@
-CC=clang
-CXX=clang
+CC=gcc
+CXX=g++
CXXFLAGS=-g -Wall -std=c++20
.PHONY: default all
diff --git a/book.cpp b/book.cpp
index 2202639..9cb14e7 100644
--- a/book.cpp
+++ b/book.cpp
@@ -1,5 +1,6 @@
#include "book.hpp"
#include <chrono>
+#include <cstddef>
#include <iostream>
Order::Order(double price, OrderSideEnum side, int volume,
@@ -14,7 +15,7 @@
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)
+ else if (a.price == b.price && (a.timestamp.count() > b.timestamp.count()))
return true;
else
return false;
@@ -23,7 +24,7 @@
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)
+ else if (a.price == b.price && (a.timestamp.count() > b.timestamp.count()))
return true;
else
return false;
@@ -32,7 +33,7 @@
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)
+ else if (a.price == b.price && (a.timestamp.count() >= b.timestamp.count()))
return true;
else
return false;
@@ -41,17 +42,48 @@
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)
+ else if (a.price == b.price && (a.timestamp.count() >= b.timestamp.count()))
return true;
else
return false;
}
bool operator==(const Level &a, const Level &b) {
- if (a.price == b.price && a.timestamp == b.timestamp)
+ if (a.price == b.price && (a.timestamp.count() == b.timestamp.count()))
return true;
else
return false;
+}
+
+std::ostream& operator<<(std::ostream& out, const Level& a)
+{
+ return out << "Price: " << a.price << ", volume: " << a.volume << ", time: " << a.timestamp.count() << ", id: " << a.id;
+}
+
+template<class T>
+void Side<T>::deleteLevel(std::string orderId)
+{
+ for (auto i = this->c.begin(); i != this->c.end();) {
+ if (*i.id == orderId) {
+ this->c.erase(i);
+ std::make_heap(this->c.begin(), this->c.end(), this->comp);
+ }
+ }
+}
+
+template<class T>
+void Side<T>::topRemoveVolume(int volume) { this->c[0].volume -= volume; }
+
+template<class T>
+void Side<T>::printTop(std::size_t num)
+{
+ std::vector<Level> copy(this->c);
+ std::sort(copy.begin(), copy.end(), this->comp);
+ if (copy.size() && copy[0].side == Buy)
+ std::reverse(copy.begin(), copy.end());
+ for (std::size_t i = 0; i < copy.size() && i < num; i++) {
+ std::cout << copy[i] << std::endl;
+ }
}
Book::Book()
@@ -68,52 +100,54 @@
pasFee(pasFee), broFee(broFee) {}
void Book::ask(Order &order) {
- while (this->bidSide.size() && this->bidSide.top().price > order.price) {
+ 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;
+ break;
} 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);
- }
+ }
+ if (order.remaining_volume > 0) {
+ this->askSide.emplace(order);
}
}
void Book::bid(Order &order) {
- while (this->askSide.size() && this->askSide.top().price > order.price) {
+ 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;
+ break;
} 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);
- }
+ }
+ 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();
+void Book::printBook(std::size_t numOrders) {
+ std::cout << "Sell side: " << this->askSide.size() << std::endl;
+ this->askSide.printTop(numOrders);
+ std::cout << "Buy side: " << this->bidSide.size() << std::endl;
+ this->bidSide.printTop(numOrders);
}
Book testBook(int orders, bool printBook) {
Book b = Book();
std::chrono::nanoseconds time(1);
- for (int i = 0; i < orders; i++) {
+ for (int i = 1; i < orders; i++) {
Order t(i, Buy, 10, time++, "a");
b.bid(t);
}
@@ -122,6 +156,6 @@
b.ask(t);
}
if (printBook)
- b.printBook();
+ b.printBook(orders - 1);
return b;
}
diff --git a/book.hpp b/book.hpp
index a167b32..9e3a89c 100644
--- a/book.hpp
+++ b/book.hpp
@@ -1,10 +1,12 @@
#pragma once
#include <chrono>
+#include <cstddef>
#include <iostream>
#include <queue>
#include <string>
#include <vector>
+#include <algorithm>
enum OrderSideEnum { Buy, Sell };
enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT };
@@ -35,31 +37,14 @@
bool operator>=(const Level &a, const Level &b);
bool operator<=(const Level &a, const Level &b);
bool operator==(const Level &a, const Level &b);
+std::ostream& operator<<(std::ostream& out, const Level& a);
template <class T>
struct Side : public std::priority_queue<Level, std::vector<Level>, T> {
public:
- void deleteLevel(std::string orderId) {
- for (auto i = this->c.begin(); i != this->c.end();) {
- if (*i.id == orderId) {
- this->c.erase(i);
- std::make_heap(this->c.begin(), this->c.end(), this->comp);
- }
- }
- }
-
- void topRemoveVolume(int volume) { this->c[0].volume -= volume; }
-
- void printTop(int num = 5) {
- std::sort(this->c.begin(), this->c.end(), this->comp);
- for (int i = 0; i < num && i < this->size(); i++) {
- std::cout << "Price: " << this->c[i].price
- << ", volume: " << this->c[i].volume
- << ", time: " << this->c[i].timestamp.count()
- << ", id: " << this->c[i].id << std::endl;
- }
- std::make_heap(this->c.begin(), this->c.end(), this->comp);
- }
+ void deleteLevel(std::string orderId);
+ void topRemoveVolume(int volume);
+ void printTop(std::size_t num = 5);
};
using AskSide = Side<std::greater<Level>>;
@@ -83,7 +68,7 @@
double pasFee, double broFee);
void ask(Order &order);
void bid(Order &order);
- void printBook();
+ void printBook(std::size_t numOrders = 10);
};
Book testBook(int orders = 10, bool printBook = true);
diff --git a/main.cpp b/main.cpp
index b05ddec..612f52f 100644
--- a/main.cpp
+++ b/main.cpp
@@ -1,6 +1,7 @@
#include "book.hpp"
+#include <chrono>
int main(void)
{
- testBook();
+ Book b = testBook(10, true);
}
diff --git a/secrets.hpp b/secrets.hpp
new file mode 100644
index 0000000..b0622e5
--- /dev/null
+++ b/secrets.hpp
@@ -0,0 +1,11 @@
+#pragma once
+
+#define HOST "sytev070"
+#ifdef TEST
+#define PORT "9005"
+#else
+#define PORT "9000"
+#endif
+
+#define USER "jgrunbau"
+#define PASS "b7d630945a0854581d9f86ba147f34a5"
diff --git a/strat.hpp b/strat.hpp
new file mode 100644
index 0000000..212f323
--- /dev/null
+++ b/strat.hpp
@@ -0,0 +1,9 @@
+#pragma once
+
+#include "book.hpp"
+#include "secrets.hpp"
+
+Book recoverBook()
+{
+
+}
--
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