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

---
 book.cpp |   74 +++++++++++++++++++++++++++----------
 1 files changed, 54 insertions(+), 20 deletions(-)

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;
@@ -41,19 +42,50 @@
 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()
     : bidSide(), askSide(), productType(TEST), product("a"), stationId("b"),
       unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1),
@@ -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;
 }

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