From 2c515f0de70ad675b5f5d25b6a496d67d8dc0463 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Mon, 10 Jan 2022 02:48:19 +0000
Subject: [PATCH] Fixed indentation
---
.clang-format | 4
book.hpp | 63 +-
json.cpp | 288 +++++++-------
protocol.cpp | 205 +++++-----
/dev/null | 15
strat.cpp | 3
click.cpp | 102 ++--
test.cpp | 14
book.cpp | 226 +++++-----
json.hpp | 206 +++++-----
strat.hpp | 5
secrets.hpp | 12
bot.cpp | 5
13 files changed, 571 insertions(+), 577 deletions(-)
diff --git a/.clang-format b/.clang-format
index 68225bd..4ae268e 100644
--- a/.clang-format
+++ b/.clang-format
@@ -1,12 +1,12 @@
---
BasedOnStyle: LLVM
IndentWidth: 4
+TabWidth: 4
UseTab: AlignWithSpaces
AllowShortIfStatementsOnASingleLine: true
BreakBeforeBraces: Linux
-IndentCaseLabels: false
PointerAlignment: Left
AllowShortIfStatementsOnASingleLine: true
IndentCaseBlocks: true
IndentCaseLabels: false
-SortUsingDeclarations: true
\ No newline at end of file
+SortUsingDeclarations: true
diff --git a/book.cpp b/book.cpp
index 381a7a2..4473e8c 100644
--- a/book.cpp
+++ b/book.cpp
@@ -8,167 +8,175 @@
{
Order::Order(double price, OrderSideEnum side, int volume, double timestamp,
std::string id)
- : price{price}, side{side}, remaining_volume{volume},
- filled_volume(0), timestamp{timestamp}, id{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}
+ : 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;
+ 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;
+ 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;
+ 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;
+ 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;
+ if (a.price == b.price && (a.timestamp == b.timestamp))
+ 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 << ", id: " << a.id;
+ return out << "Price: " << a.price << ", volume: " << a.volume
+ << ", time: " << a.timestamp << ", id: " << a.id;
}
Book::Book()
- : bidSide(), askSide(), productType(TEST), product("a"), stationId(7),
- unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1),
- broFee(2)
+ : bidSide(), askSide(), productType(TEST), product("a"), stationId(7),
+ unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1),
+ broFee(2)
{
}
-Book::Book(ProductTypeEnum productType, std::string product,
- int 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)
+Book::Book(ProductTypeEnum productType, std::string product, int 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[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>());
+ 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(this->askSide.begin(), order);
- std::make_heap(this->askSide.begin(), this->askSide.end(),
- std::greater<Level>());
- }
+ if (order.remaining_volume > 0) {
+ this->askSide.emplace_back(order);
+ std::make_heap(this->askSide.begin(), this->askSide.end(),
+ std::greater<Level>());
+ }
}
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>());
+ 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(this->bidSide.begin(), order);
- std::make_heap(this->bidSide.begin(), this->bidSide.end(),
- std::less<Level>());
- }
+ if (order.remaining_volume > 0) {
+ this->bidSide.emplace_back(order);
+ std::make_heap(this->bidSide.begin(), this->bidSide.end(),
+ std::less<Level>());
+ }
}
void Book::printBook(std::size_t numOrders)
{
- std::cout << "Sell side: " << this->askSide.size() << std::endl;
- std::vector<Level> askCopy(this->askSide);
- std::size_t count = 0;
- std::sort(askCopy.begin(), askCopy.end());
- for (auto i = askCopy.rbegin(); i != askCopy.rend() && count < numOrders; i++, count++) {
- std::cout << *i << std::endl;
- }
- std::cout << "Buy side: " << this->bidSide.size() << std::endl;
- std::vector<Level> bidCopy(this->bidSide);
- count = 0;
- std::sort(bidCopy.begin(), bidCopy.end());
- for (auto i = bidCopy.rbegin(); i != bidCopy.rend() && count < numOrders; i++, count++) {
- std::cout << *i << std::endl;
- }
- }
+ std::cout << "Sell side: " << this->askSide.size() << std::endl;
+ std::vector<Level> askCopy(this->askSide);
+ 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;
+ count++;
+ if (count > numOrders) break;
+ }
+ std::cout << "Buy side: " << this->bidSide.size() << std::endl;
+ std::vector<Level> bidCopy(this->bidSide);
+ 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;
+ count++;
+ if (count > numOrders) break;
+ }
+}
Book testBook(int orders, bool printBook)
{
- Book b = Book();
- double time(1);
- for (int i = 1; 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(orders - 1);
- return b;
+ Book b = Book();
+ double time(1);
+ for (int i = 1; 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(orders - 1);
+ return b;
}
} // namespace book
diff --git a/book.hpp b/book.hpp
index 455506b..ae89819 100644
--- a/book.hpp
+++ b/book.hpp
@@ -14,24 +14,24 @@
enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT };
struct Order {
- double price;
- OrderSideEnum side;
- int remaining_volume;
- int filled_volume;
- double timestamp;
- std::string id;
- Order(double price, OrderSideEnum side, int volume, double timestamp,
- std::string id);
+ double price;
+ OrderSideEnum side;
+ int remaining_volume;
+ int filled_volume;
+ double timestamp;
+ std::string id;
+ Order(double price, OrderSideEnum side, int volume, double timestamp,
+ std::string id);
};
struct Level {
- double price;
- int volume;
- OrderSideEnum side;
- double timestamp;
- std::string id;
+ double price;
+ int volume;
+ OrderSideEnum side;
+ double timestamp;
+ std::string id;
- Level(Order& order);
+ Level(Order& order);
};
bool operator>(const Level& a, const Level& b);
@@ -42,25 +42,24 @@
std::ostream& operator<<(std::ostream& out, const Level& a);
struct Book {
- std::vector<Level> bidSide;
- std::vector<Level> askSide;
- ProductTypeEnum productType;
- std::string product;
- int stationId;
- std::string unit;
- std::chrono::nanoseconds expiry;
- double aggFee;
- double pasFee;
- double broFee;
+ std::vector<Level> bidSide;
+ std::vector<Level> askSide;
+ ProductTypeEnum productType;
+ std::string product;
+ int stationId;
+ std::string unit;
+ std::chrono::nanoseconds expiry;
+ double aggFee;
+ double pasFee;
+ double broFee;
- Book();
- Book(ProductTypeEnum productType, std::string product,
- int stationId, std::string unit,
- std::chrono::nanoseconds expiry, double aggFee, double pasFee,
- double broFee);
- void ask(Order& order);
- void bid(Order& order);
- void printBook(std::size_t numOrders = 10);
+ Book();
+ Book(ProductTypeEnum productType, std::string product, int stationId,
+ std::string unit, std::chrono::nanoseconds expiry, double aggFee,
+ double pasFee, double broFee);
+ void ask(Order& order);
+ void bid(Order& order);
+ void printBook(std::size_t numOrders = 10);
};
Book testBook(int orders = 10, bool printBook = true);
diff --git a/bot.cpp b/bot.cpp
index 3e80bf5..2b2d6f7 100644
--- a/bot.cpp
+++ b/bot.cpp
@@ -1,6 +1,3 @@
#include "strat.hpp"
-int main(void)
-{
-
-}
+int main(void) {}
diff --git a/click.cpp b/click.cpp
index 31529e9..f373fce 100644
--- a/click.cpp
+++ b/click.cpp
@@ -13,64 +13,64 @@
void initialise()
{
- mapClick = {{"BUY", Buy}, {"SELL", Sell}, {"FLASH", Flash},
- {"b", Buy}, {"s", Sell}, {"f", Flash},
- {"B", Buy}, {"S", Sell}, {"F", Flash}};
+ mapClick = {{"BUY", Buy}, {"SELL", Sell}, {"FLASH", Flash},
+ {"b", Buy}, {"s", Sell}, {"f", Flash},
+ {"B", Buy}, {"S", Sell}, {"F", Flash}};
}
void usage()
{
- std::cout << "DESCRIPTION" << std::endl
- << "Click trader using same algs" << std::endl
- << std::endl
- << "USAGE" << std::endl
- << "\t-a product" << std::endl
- << "\t-t click type (buy, sell, flash)" << std::endl
- << "\t-p price" << std::endl
- << "\t-v volume" << std::endl
- << "\t-i id" << std::endl
- << "Always need product, need side, price and volume for "
- "adding/flash, need id for deleting"
- << std::endl;
+ std::cout << "DESCRIPTION" << std::endl
+ << "Click trader using same algs" << std::endl
+ << std::endl
+ << "USAGE" << std::endl
+ << "\t-a product" << std::endl
+ << "\t-t click type (buy, sell, flash)" << std::endl
+ << "\t-p price" << std::endl
+ << "\t-v volume" << std::endl
+ << "\t-i id" << std::endl
+ << "Always need product, need side, price and volume for "
+ "adding/flash, need id for deleting"
+ << std::endl;
}
int main(int argc, char** argv)
{
- int c;
- std::string product, id;
- double price;
- clickType click;
- uint64_t volume;
- initialise();
- if (argc == 1) {
- usage(), exit(0);
- }
- while ((c = getopt(argc, argv, "a::t::p::v::i::")) != -1) {
- switch (c) {
- case 'a':
- product = std::string(optarg);
- break;
- case 's':
- click = mapClick[optarg];
- break;
- case 'p':
- price = std::stod(optarg);
- break;
- case 'v':
- volume = std::stoll(optarg);
- break;
- case 'i':
- id = std::string(optarg);
- break;
- case '?':
- default:
- usage();
- exit(0);
+ int c;
+ std::string product, id;
+ double price;
+ clickType click;
+ uint64_t volume;
+ initialise();
+ if (argc == 1) {
+ usage(), exit(0);
}
- }
- switch (click) {
- case Buy:
- case Sell:
- case Flash:;
- }
+ while ((c = getopt(argc, argv, "a::t::p::v::i::")) != -1) {
+ switch (c) {
+ case 'a':
+ product = std::string(optarg);
+ break;
+ case 's':
+ click = mapClick[optarg];
+ break;
+ case 'p':
+ price = std::stod(optarg);
+ break;
+ case 'v':
+ volume = std::stoll(optarg);
+ break;
+ case 'i':
+ id = std::string(optarg);
+ break;
+ case '?':
+ default:
+ usage();
+ exit(0);
+ }
+ }
+ switch (click) {
+ case Buy:
+ case Sell:
+ case Flash:;
+ }
}
diff --git a/json.cpp b/json.cpp
index 5fbc996..5d8e340 100644
--- a/json.cpp
+++ b/json.cpp
@@ -28,29 +28,29 @@
void initialise()
{
- mapTypes = {{"FUTURE", FUTURE_TYPE},
- {"SPREAD", SPREAD_TYPE},
- {"CALL", CALL_TYPE},
- {"PUT", PUT_TYPE},
- {"SETTLEMENT", SETTLEMENT},
- {"ADDED", ADDED},
- {"DELETED", DELETED},
- {"TRADE", TRADE},
- {"BROKER_REQUEST", BROKER_REQUEST},
- {"BROKER_ACK", BROKER_ACK},
- {"BROKER_CONFIRM", BROKER_CONFIRM}};
+ mapTypes = {{"FUTURE", FUTURE_TYPE},
+ {"SPREAD", SPREAD_TYPE},
+ {"CALL", CALL_TYPE},
+ {"PUT", PUT_TYPE},
+ {"SETTLEMENT", SETTLEMENT},
+ {"ADDED", ADDED},
+ {"DELETED", DELETED},
+ {"TRADE", TRADE},
+ {"BROKER_REQUEST", BROKER_REQUEST},
+ {"BROKER_ACK", BROKER_ACK},
+ {"BROKER_CONFIRM", BROKER_CONFIRM}};
- mapAnnounce = {{FUTURE_TYPE, book::FUTURE},
- {SPREAD_TYPE, book::SPREAD},
- {CALL_TYPE, book::CALL},
- {PUT_TYPE, book::PUT}};
+ mapAnnounce = {{FUTURE_TYPE, book::FUTURE},
+ {SPREAD_TYPE, book::SPREAD},
+ {CALL_TYPE, book::CALL},
+ {PUT_TYPE, book::PUT}};
- mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}};
+ mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}};
- mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
- {"SELL_AGGRESSOR", SELL_AGGRESSOR}};
+ mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
+ {"SELL_AGGRESSOR", SELL_AGGRESSOR}};
- mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
+ mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
}
Message* parseSingle(rapidjson::Value& d);
@@ -65,159 +65,159 @@
std::queue<Message*> parse(std::string& str)
{
- std::queue<Message*> out;
- rapidjson::Document d;
- d.Parse(str.c_str());
- if (d.IsArray()) {
- for (rapidjson::SizeType i = 0; i < d.Size(); i++) {
- out.push(parseSingle(d[i]));
+ std::queue<Message*> out;
+ rapidjson::Document d;
+ d.Parse(str.c_str());
+ if (d.IsArray()) {
+ for (rapidjson::SizeType i = 0; i < d.Size(); i++) {
+ out.push(parseSingle(d[i]));
+ }
+ } else {
+ out.push(parseSingle(d));
}
- } else {
- out.push(parseSingle(d));
- }
- return out;
+ return out;
}
Message* parseSingle(rapidjson::Value& d)
{
- if (mapTypes.empty()) {
- initialise();
- }
- Message* out;
- switch (mapTypes[d["type"].GetString()]) {
- case FUTURE_TYPE:
- case SPREAD_TYPE:
- case CALL_TYPE:
- case PUT_TYPE:
- out = announce(d);
- break;
- case SETTLEMENT:
- out = settle(d);
- break;
- case ADDED:
- out = added(d);
- break;
- case DELETED:
- out = deleted(d);
- break;
- case TRADE:
- out = trade(d);
- break;
- case BROKER_REQUEST:
- out = brokerReq(d);
- break;
- case BROKER_ACK:
- out = brokerAck(d);
- break;
- case BROKER_CONFIRM:
- out = brokerCon(d);
- break;
- default:
- out = new Message(NONE, "");
- break;
- }
- return out;
+ if (mapTypes.empty()) {
+ initialise();
+ }
+ Message* out;
+ switch (mapTypes[d["type"].GetString()]) {
+ case FUTURE_TYPE:
+ case SPREAD_TYPE:
+ case CALL_TYPE:
+ case PUT_TYPE:
+ out = announce(d);
+ break;
+ case SETTLEMENT:
+ out = settle(d);
+ break;
+ case ADDED:
+ out = added(d);
+ break;
+ case DELETED:
+ out = deleted(d);
+ break;
+ case TRADE:
+ out = trade(d);
+ break;
+ case BROKER_REQUEST:
+ out = brokerReq(d);
+ break;
+ case BROKER_ACK:
+ out = brokerAck(d);
+ break;
+ case BROKER_CONFIRM:
+ out = brokerCon(d);
+ break;
+ default:
+ out = new Message(NONE, "");
+ break;
+ }
+ return out;
}
AnnounceMessage* announce(rapidjson::Value& d)
{
- // std::stringstream expiryStream(d["expiry"].GetString());
- std::chrono::nanoseconds exp_time(0);
- // expiryStream >>
- // date::parse("%Y-%m-%f %H:%M%z", exp_time); // Parsing is broken
- return new AnnounceMessage(
- mapTypes[d["type"].GetString()], d["product"].GetString(),
- d["stationId"].GetInt(), d["stationName"].GetString(),
- d["unit"].GetString(), exp_time, d["aggressiveFee"].GetDouble(),
- d["passiveFee"].GetDouble(), d["brokerFee"].GetDouble(),
- d["sequence"].GetInt(), d["timestamp"].GetDouble());
+ // std::stringstream expiryStream(d["expiry"].GetString());
+ std::chrono::nanoseconds exp_time(0);
+ // expiryStream >>
+ // date::parse("%Y-%m-%f %H:%M%z", exp_time); // Parsing is broken
+ return new AnnounceMessage(
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["stationId"].GetInt(), d["stationName"].GetString(),
+ d["unit"].GetString(), exp_time, d["aggressiveFee"].GetDouble(),
+ d["passiveFee"].GetDouble(), d["brokerFee"].GetDouble(),
+ d["sequence"].GetInt(), d["timestamp"].GetDouble());
}
SettleMessage* settle(rapidjson::Value& d)
{
- // std::stringstream expiryStream(d["expiry"].GetString());
- std::chrono::nanoseconds exp_time(0);
- // expiryStream >> date::parse("%Y-%m-%d %H:%M%z", exp_time);
- return new SettleMessage(
- mapTypes[d["type"].GetString()], d["product"].GetString(),
- d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
- d["sequence"].GetInt(), d["timestamp"].GetDouble());
+ // std::stringstream expiryStream(d["expiry"].GetString());
+ std::chrono::nanoseconds exp_time(0);
+ // expiryStream >> date::parse("%Y-%m-%d %H:%M%z", exp_time);
+ return new SettleMessage(
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
+ d["sequence"].GetInt(), d["timestamp"].GetDouble());
}
AddedMessage* added(rapidjson::Value& d)
{
- return new AddedMessage(
- mapTypes[d["type"].GetString()], d["product"].GetString(),
- d["id"].GetString(), mapOrder[d["side"].GetString()],
- d["price"].GetDouble(), d["filled"].GetInt(), d["resting"].GetInt(),
- d["sequence"].GetInt(), d["timestamp"].GetDouble());
+ return new AddedMessage(
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["id"].GetString(), mapOrder[d["side"].GetString()],
+ d["price"].GetDouble(), d["filled"].GetInt(), d["resting"].GetInt(),
+ d["sequence"].GetInt(), d["timestamp"].GetDouble());
}
DeletedMessage* deleted(rapidjson::Value& d)
{
- return new DeletedMessage(
- mapTypes[d["type"].GetString()], d["product"].GetString(),
- d["id"].GetString(), mapOrder[d["side"].GetString()],
- d["sequence"].GetInt(), d["timestamp"].GetDouble());
+ return new DeletedMessage(
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["id"].GetString(), mapOrder[d["side"].GetString()],
+ d["sequence"].GetInt(), d["timestamp"].GetDouble());
}
TradeMessage* trade(rapidjson::Value& d)
{
- return new TradeMessage(
- mapTypes[d["type"].GetString()], d["product"].GetString(),
- d["price"].GetDouble(), d["volume"].GetInt(), d["buyer"].GetString(),
- d["seller"].GetString(), mapTrade[d["tradeType"].GetString()],
- d["passiveOrder"].GetString(), d["passiveOrderRemaining"].GetInt(),
- d["sequence"].GetInt(), d["timestamp"].GetDouble());
+ return new TradeMessage(
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["price"].GetDouble(), d["volume"].GetInt(), d["buyer"].GetString(),
+ d["seller"].GetString(), mapTrade[d["tradeType"].GetString()],
+ d["passiveOrder"].GetString(), d["passiveOrderRemaining"].GetInt(),
+ d["sequence"].GetInt(), d["timestamp"].GetDouble());
}
BrokerRequest* brokerReq(rapidjson::Value& d)
{
- return new BrokerRequest(
- mapTypes[d["type"].GetString()], d["product"].GetString(),
- d["price"].GetDouble(), mapOrder[d["side"].GetString()],
- d["volume"].GetInt(), d["counterparty"].GetString());
+ return new BrokerRequest(
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["price"].GetDouble(), mapOrder[d["side"].GetString()],
+ d["volume"].GetInt(), d["counterparty"].GetString());
}
BrokerAck* brokerAck(rapidjson::Value& d)
{
- return new BrokerAck(mapTypes[d["type"].GetString()],
- d["product"].GetString(), d["price"].GetDouble(),
- mapOrder[d["side"].GetString()], d["volume"].GetInt(),
- d["counterparty"].GetString(), d["id"].GetString(),
- d["brokerTradeStatus"].GetString(),
- d["owner"].GetString());
+ return new BrokerAck(mapTypes[d["type"].GetString()],
+ d["product"].GetString(), d["price"].GetDouble(),
+ mapOrder[d["side"].GetString()], d["volume"].GetInt(),
+ d["counterparty"].GetString(), d["id"].GetString(),
+ d["brokerTradeStatus"].GetString(),
+ d["owner"].GetString());
}
BrokerConfirm* brokerCon(rapidjson::Value& d)
{
- return new BrokerConfirm(
- mapTypes[d["type"].GetString()], d["product"].GetString(),
- d["price"].GetDouble(), mapOrder[d["side"].GetString()],
- d["volume"].GetInt(), d["counterparty"].GetString(),
- d["id"].GetString());
+ return new BrokerConfirm(
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["price"].GetDouble(), mapOrder[d["side"].GetString()],
+ d["volume"].GetInt(), d["counterparty"].GetString(),
+ d["id"].GetString());
}
Message::Message() : type(NONE), product("error") {}
Message::Message(MessageTypes types, std::string product)
- : type(types), product(product)
+ : type(types), product(product)
{
}
FromExchange::FromExchange(MessageTypes type, std::string product,
uint64_t sequence, double timestamp)
- : Message(type, product), sequence(sequence), timestamp(timestamp)
+ : Message(type, product), sequence(sequence), timestamp(timestamp)
{
}
ToExchange::ToExchange(MessageTypes type, std::string product)
- : Message(type, product){};
+ : Message(type, product){};
Broker::Broker(MessageTypes type, std::string product, double price,
book::OrderSideEnum side, uint64_t volume,
std::string counterparty)
- : Message(type, product), price(price), side(side), volume(volume),
- counterparty(counterparty)
+ : Message(type, product), price(price), side(side), volume(volume),
+ counterparty(counterparty)
{
}
@@ -227,9 +227,9 @@
std::chrono::nanoseconds expiry, double aggFee,
double pasFee, double broFee,
uint64_t sequence, double timestamp)
- : FromExchange(type, product, sequence, timestamp), stationId(stationId),
- stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee),
- pasFee(pasFee), broFee(broFee)
+ : FromExchange(type, product, sequence, timestamp), stationId(stationId),
+ stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee),
+ pasFee(pasFee), broFee(broFee)
{
}
@@ -237,59 +237,59 @@
std::string stationName,
std::chrono::nanoseconds expiry, double price,
uint64_t sequence, double timestamp)
- : FromExchange(type, product, sequence, timestamp),
- stationName(stationName), expiry(expiry), price(price)
+ : FromExchange(type, product, sequence, timestamp),
+ stationName(stationName), expiry(expiry), price(price)
{
}
AddMessage::AddMessage(MessageTypes type, std::string product, double price,
book::OrderSideEnum side, uint64_t volume)
- : ToExchange(type, product), price(price), side(side), volume(volume)
+ : ToExchange(type, product), price(price), side(side), volume(volume)
{
}
std::string AddMessage::as_string()
{
- if (mapOrderSide.empty()) initialise();
- return "{\"type\": \"ADD\", \"product\": \"" + this->product +
- "\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
- mapOrderSide[this->side] +
- "\", \"volume\": " + std::to_string(this->volume) + "}";
+ if (mapOrderSide.empty()) initialise();
+ return "{\"type\": \"ADD\", \"product\": \"" + this->product +
+ "\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
+ mapOrderSide[this->side] +
+ "\", \"volume\": " + std::to_string(this->volume) + "}";
}
AddedMessage::AddedMessage(MessageTypes type, std::string product,
std::string id, book::OrderSideEnum side,
double price, uint64_t filled, uint64_t resting,
uint64_t sequence, double timestamp)
- : FromExchange(type, product, sequence, timestamp), id(id), side(side),
- price(price), filled(filled), resting(resting)
+ : FromExchange(type, product, sequence, timestamp), id(id), side(side),
+ price(price), filled(filled), resting(resting)
{
}
DeleteMessage::DeleteMessage(MessageTypes type, std::string product,
std::string id)
- : ToExchange(type, product), id(id)
+ : ToExchange(type, product), id(id)
{
}
std::string DeleteMessage::as_string()
{
- if (mapOrderSide.empty()) initialise();
- return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
- "\", \"id\": \"" + this->id + "\"}";
+ if (mapOrderSide.empty()) initialise();
+ return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
+ "\", \"id\": \"" + this->id + "\"}";
}
DeletedMessage::DeletedMessage(MessageTypes type, std::string product,
std::string id, book::OrderSideEnum side,
uint64_t sequence, double timestamp)
- : FromExchange(type, product, sequence, timestamp), id(id), side(side)
+ : FromExchange(type, product, sequence, timestamp), id(id), side(side)
{
}
RejectMessage::RejectMessage(MessageTypes type, std::string product,
std::string error, uint64_t sequence,
double timestamp)
- : FromExchange(type, product, sequence, timestamp), error(error)
+ : FromExchange(type, product, sequence, timestamp), error(error)
{
}
@@ -299,16 +299,16 @@
std::string passiveOrder,
uint64_t passiveOrderRemaining, uint64_t sequence,
double timestamp)
- : FromExchange(type, product, sequence, timestamp), price(price),
- volume(volume), buyer(buyer), seller(seller), tradeType(tradeType),
- passiveOrder(passiveOrder), passiveOrderRemaining(passiveOrderRemaining)
+ : FromExchange(type, product, sequence, timestamp), price(price),
+ volume(volume), buyer(buyer), seller(seller), tradeType(tradeType),
+ passiveOrder(passiveOrder), passiveOrderRemaining(passiveOrderRemaining)
{
}
BrokerRequest::BrokerRequest(MessageTypes type, std::string product,
double price, book::OrderSideEnum side,
uint64_t volume, std::string counterparty)
- : Broker(type, product, price, side, volume, counterparty)
+ : Broker(type, product, price, side, volume, counterparty)
{
}
@@ -316,8 +316,8 @@
book::OrderSideEnum side, uint64_t volume,
std::string counterparty, std::string id,
std::string brokerTradeStatus, std::string owner)
- : Broker(type, product, price, side, volume, counterparty), id(id),
- brokerTradeStatus(brokerTradeStatus), owner(owner)
+ : Broker(type, product, price, side, volume, counterparty), id(id),
+ brokerTradeStatus(brokerTradeStatus), owner(owner)
{
}
@@ -325,7 +325,7 @@
double price, book::OrderSideEnum side,
uint64_t volume, std::string counterparty,
std::string id)
- : Broker(type, product, price, side, volume, counterparty), id(id)
+ : Broker(type, product, price, side, volume, counterparty), id(id)
{
}
} // namespace json
diff --git a/json.hpp b/json.hpp
index 19a4b68..adcb147 100644
--- a/json.hpp
+++ b/json.hpp
@@ -11,157 +11,157 @@
namespace json
{
enum MessageTypes {
- FUTURE_TYPE,
- SPREAD_TYPE,
- CALL_TYPE,
- PUT_TYPE,
- SETTLEMENT,
- ADD,
- ADDED,
- DELETE,
- DELETED,
- REJECT,
- TRADE,
- BROKER_REQUEST,
- BROKER_ACK,
- BROKER_CONFIRM,
- NONE
+ FUTURE_TYPE,
+ SPREAD_TYPE,
+ CALL_TYPE,
+ PUT_TYPE,
+ SETTLEMENT,
+ ADD,
+ ADDED,
+ DELETE,
+ DELETED,
+ REJECT,
+ TRADE,
+ BROKER_REQUEST,
+ BROKER_ACK,
+ BROKER_CONFIRM,
+ NONE
};
enum TradeTypeEnum { BUY_AGGRESSOR, SELL_AGGRESSOR };
struct Message {
- MessageTypes type;
- std::string product;
- Message(MessageTypes type, std::string product);
- Message();
- virtual ~Message() = default;
+ MessageTypes type;
+ std::string product;
+ Message(MessageTypes type, std::string product);
+ Message();
+ virtual ~Message() = default;
};
struct FromExchange : public Message {
- uint64_t sequence;
- double timestamp;
- FromExchange(MessageTypes type, std::string product, uint64_t sequence,
- double timestamp);
- virtual ~FromExchange() = default;
+ uint64_t sequence;
+ double timestamp;
+ FromExchange(MessageTypes type, std::string product, uint64_t sequence,
+ double timestamp);
+ virtual ~FromExchange() = default;
};
struct ToExchange : public Message {
- ToExchange(MessageTypes type, std::string product);
- virtual ~ToExchange() = default;
+ ToExchange(MessageTypes type, std::string product);
+ virtual ~ToExchange() = default;
};
struct Broker : public Message {
- double price;
- book::OrderSideEnum side;
- uint64_t volume;
- std::string counterparty;
- Broker(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume, std::string counterparty);
- virtual ~Broker() = default;
+ double price;
+ book::OrderSideEnum side;
+ uint64_t volume;
+ std::string counterparty;
+ Broker(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume, std::string counterparty);
+ virtual ~Broker() = default;
};
struct AnnounceMessage : public FromExchange {
- int stationId;
- std::string stationName;
- std::string unit;
- std::chrono::nanoseconds expiry;
- double aggFee;
- double pasFee;
- double broFee;
+ int stationId;
+ std::string stationName;
+ std::string unit;
+ std::chrono::nanoseconds expiry;
+ double aggFee;
+ double pasFee;
+ double broFee;
- AnnounceMessage(MessageTypes type, std::string product,
- int stationId, std::string stationName,
- std::string unit, std::chrono::nanoseconds expiry,
- double aggFee, double pasFee, double broFee,
- uint64_t sequence, double timestamp);
+ AnnounceMessage(MessageTypes type, std::string product, int stationId,
+ std::string stationName, std::string unit,
+ std::chrono::nanoseconds expiry, double aggFee,
+ double pasFee, double broFee, uint64_t sequence,
+ double timestamp);
};
struct SettleMessage : public FromExchange {
- std::string stationName;
- std::chrono::nanoseconds expiry;
- double price;
- SettleMessage(MessageTypes type, std::string product,
- std::string stationName, std::chrono::nanoseconds expiry,
- double price, uint64_t sequence, double timestamp);
+ std::string stationName;
+ std::chrono::nanoseconds expiry;
+ double price;
+ SettleMessage(MessageTypes type, std::string product,
+ std::string stationName, std::chrono::nanoseconds expiry,
+ double price, uint64_t sequence, double timestamp);
};
struct AddMessage : public ToExchange {
- double price;
- book::OrderSideEnum side;
- uint64_t volume;
- AddMessage(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume);
- std::string as_string();
+ double price;
+ book::OrderSideEnum side;
+ uint64_t volume;
+ AddMessage(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume);
+ std::string as_string();
};
struct AddedMessage : public FromExchange {
- std::string id;
- book::OrderSideEnum side;
- double price;
- uint64_t filled;
- uint64_t resting;
- AddedMessage(MessageTypes type, std::string product, std::string id,
- book::OrderSideEnum side, double price, uint64_t filled,
- uint64_t resting, uint64_t sequence, double timestamp);
+ std::string id;
+ book::OrderSideEnum side;
+ double price;
+ uint64_t filled;
+ uint64_t resting;
+ AddedMessage(MessageTypes type, std::string product, std::string id,
+ book::OrderSideEnum side, double price, uint64_t filled,
+ uint64_t resting, uint64_t sequence, double timestamp);
};
struct DeleteMessage : public ToExchange {
- std::string id;
- DeleteMessage(MessageTypes type, std::string product, std::string id);
- std::string as_string();
+ std::string id;
+ DeleteMessage(MessageTypes type, std::string product, std::string id);
+ std::string as_string();
};
struct DeletedMessage : public FromExchange {
- std::string id;
- book::OrderSideEnum side;
- DeletedMessage(MessageTypes type, std::string product, std::string id,
- book::OrderSideEnum side, uint64_t sequence,
- double timestamp);
+ std::string id;
+ book::OrderSideEnum side;
+ DeletedMessage(MessageTypes type, std::string product, std::string id,
+ book::OrderSideEnum side, uint64_t sequence,
+ double timestamp);
};
struct RejectMessage : public FromExchange {
- std::string error;
- RejectMessage(MessageTypes type, std::string product, std::string error,
- uint64_t sequence, double timestamp);
+ std::string error;
+ RejectMessage(MessageTypes type, std::string product, std::string error,
+ uint64_t sequence, double timestamp);
};
struct TradeMessage : public FromExchange {
- double price;
- uint64_t volume;
- std::string buyer;
- std::string seller;
- TradeTypeEnum tradeType;
- std::string passiveOrder;
- uint64_t passiveOrderRemaining;
- TradeMessage(MessageTypes type, std::string product, double price,
- uint64_t volume, std::string buyer, std::string seller,
- TradeTypeEnum tradeType, std::string passiveOrder,
- uint64_t passiveOrderRemaining, uint64_t sequence,
- double timestamp);
+ double price;
+ uint64_t volume;
+ std::string buyer;
+ std::string seller;
+ TradeTypeEnum tradeType;
+ std::string passiveOrder;
+ uint64_t passiveOrderRemaining;
+ TradeMessage(MessageTypes type, std::string product, double price,
+ uint64_t volume, std::string buyer, std::string seller,
+ TradeTypeEnum tradeType, std::string passiveOrder,
+ uint64_t passiveOrderRemaining, uint64_t sequence,
+ double timestamp);
};
struct BrokerRequest : public Broker {
- BrokerRequest(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume,
- std::string counterparty);
+ BrokerRequest(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume,
+ std::string counterparty);
};
struct BrokerAck : public Broker {
- std::string id;
- std::string brokerTradeStatus;
- std::string owner;
- BrokerAck(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume,
- std::string counterparty, std::string id,
- std::string brokerTradeStatus, std::string owner);
+ std::string id;
+ std::string brokerTradeStatus;
+ std::string owner;
+ BrokerAck(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume,
+ std::string counterparty, std::string id,
+ std::string brokerTradeStatus, std::string owner);
};
struct BrokerConfirm : public Broker {
- std::string id;
- BrokerConfirm(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume,
- std::string counterparty, std::string id);
+ std::string id;
+ BrokerConfirm(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume,
+ std::string counterparty, std::string id);
};
std::queue<Message*> parse(std::string& str);
diff --git a/main.cpp b/main.cpp
deleted file mode 100644
index 20d1aa9..0000000
--- a/main.cpp
+++ /dev/null
@@ -1,15 +0,0 @@
-#include "book.hpp"
-#include "json.hpp"
-#include "protocol.hpp"
-#include <chrono>
-
-int main(void)
-{
- book::Book b = book::testBook(10, true);
- auto bs = protocol::recoverBook();
- std::cout << bs.size() << std::endl;
- for (auto i : bs) {
- std::cout << i.first << std::endl;
- i.second.printBook();
- }
-}
diff --git a/protocol.cpp b/protocol.cpp
index 604c725..c15fded 100644
--- a/protocol.cpp
+++ b/protocol.cpp
@@ -15,148 +15,151 @@
namespace protocol
{
static std::unordered_map<json::MessageTypes, book::ProductTypeEnum>
- mapAnnounce;
+ mapAnnounce;
std::string server = std::string(HOST) + ":" + std::string(PORT);
httplib::Client cli("http://" + server);
void initialise()
{
- mapAnnounce = {{json::FUTURE_TYPE, book::FUTURE},
- {json::SPREAD_TYPE, book::SPREAD},
- {json::CALL_TYPE, book::CALL},
- {json::PUT_TYPE, book::PUT}};
+ mapAnnounce = {{json::FUTURE_TYPE, book::FUTURE},
+ {json::SPREAD_TYPE, book::SPREAD},
+ {json::CALL_TYPE, book::CALL},
+ {json::PUT_TYPE, book::PUT}};
}
std::unordered_map<std::string, book::Book> recoverBook()
{
- std::unordered_map<std::string, book::Book> bs;
- std::ifstream sampleFile("../data.test");
- std::stringstream ss;
- ss << sampleFile.rdbuf();
- // httplib::Client cli("http://" + server);
- // auto res = cli.Get("/recover");
- std::string l;
- l = ss.str();
- std::queue<json::Message*> a(json::parse(l));
- while (!a.empty()) {
- protocol::handleMessage(bs, a.front());
- delete a.front();
- a.pop();
- }
- return bs;
+ std::unordered_map<std::string, book::Book> bs;
+ // std::ifstream sampleFile("../data.test");
+ // std::stringstream ss;
+ // ss << sampleFile.rdbuf();
+ httplib::Client cli("http://" + server);
+ auto res = cli.Get("/recover");
+ std::string l;
+ // l = ss.str();
+ l = res->body;
+ std::queue<json::Message*> a(json::parse(l));
+ while (!a.empty()) {
+ protocol::handleMessage(bs, a.front());
+ delete a.front();
+ a.pop();
+ }
+ return bs;
}
json::Message* addOrder(json::AddMessage& order)
{
- std::string message = "{\"message\": " + order.as_string() + ", " +
- "\"username\": \"" + std::string(USER) +
- "\", \"password\": \"" + std::string(PASS) + "\"}";
- return send(message);
+ std::string message = "{\"message\": " + order.as_string() + ", " +
+ "\"username\": \"" + std::string(USER) +
+ "\", \"password\": \"" + std::string(PASS) + "\"}";
+ return send(message);
}
json::Message* deleteOrder(json::DeleteMessage& order)
{
- std::string message = "{\"message\": " + order.as_string() +
- ", \"username\": \"" + std::string(USER) +
- "\", \"password\": \"" + std::string(PASS) + "\"}";
- return send(message);
+ std::string message = "{\"message\": " + order.as_string() +
+ ", \"username\": \"" + std::string(USER) +
+ "\", \"password\": \"" + std::string(PASS) + "\"}";
+ return send(message);
}
void handleMessage(std::unordered_map<std::string, book::Book>& bs,
json::Message* message)
{
- if (mapAnnounce.empty()) initialise();
- switch (message->type) {
- case json::FUTURE_TYPE:
- case json::SPREAD_TYPE:
- case json::CALL_TYPE:
- case json::PUT_TYPE:
- announce(bs, dynamic_cast<json::AnnounceMessage*>(message));
- break;
- case json::SETTLEMENT:
- settle(bs, dynamic_cast<json::SettleMessage*>(message));
- break;
- case json::ADDED:
- addedOrder(bs, dynamic_cast<json::AddedMessage*>(message));
- break;
- case json::DELETED:
- deletedOrder(bs, dynamic_cast<json::DeletedMessage*>(message));
- break;
- case json::TRADE:
- tradeOrder(bs, dynamic_cast<json::TradeMessage*>(message));
- break;
- case json::BROKER_REQUEST:
- case json::BROKER_ACK:
- case json::BROKER_CONFIRM:
- broker(bs, dynamic_cast<json::Broker*>(message));
- break;
- default:;
- }
+ if (mapAnnounce.empty()) initialise();
+ switch (message->type) {
+ case json::FUTURE_TYPE:
+ case json::SPREAD_TYPE:
+ case json::CALL_TYPE:
+ case json::PUT_TYPE:
+ announce(bs, dynamic_cast<json::AnnounceMessage*>(message));
+ break;
+ case json::SETTLEMENT:
+ settle(bs, dynamic_cast<json::SettleMessage*>(message));
+ break;
+ case json::ADDED:
+ addedOrder(bs, dynamic_cast<json::AddedMessage*>(message));
+ break;
+ case json::DELETED:
+ deletedOrder(bs, dynamic_cast<json::DeletedMessage*>(message));
+ break;
+ case json::TRADE:
+ tradeOrder(bs, dynamic_cast<json::TradeMessage*>(message));
+ break;
+ case json::BROKER_REQUEST:
+ case json::BROKER_ACK:
+ case json::BROKER_CONFIRM:
+ broker(bs, dynamic_cast<json::Broker*>(message));
+ break;
+ default:;
+ }
}
void announce(std::unordered_map<std::string, book::Book>& bs,
json::AnnounceMessage* message)
{
- bs[message->product] =
- book::Book(mapAnnounce[message->type], message->product,
- message->stationId, message->unit, message->expiry,
- message->aggFee, message->pasFee, message->broFee);
+ bs[message->product] =
+ book::Book(mapAnnounce[message->type], message->product,
+ message->stationId, message->unit, message->expiry,
+ message->aggFee, message->pasFee, message->broFee);
}
void settle(std::unordered_map<std::string, book::Book>& bs,
json::SettleMessage* message)
{
- bs.erase(message->product);
+ bs.erase(message->product);
}
void addedOrder(std::unordered_map<std::string, book::Book>& bs,
json::AddedMessage* message)
{
- if (message->side == book::Buy) {
- book::Order t(message->price, book::Buy, message->resting,
- message->timestamp, message->id);
- bs[message->product].bid(t);
- } else {
- book::Order t(message->price, book::Sell, message->resting,
- message->timestamp, message->id);
- bs[message->product].ask(t);
- }
+ if (message->side == book::Buy) {
+ book::Order t(message->price, book::Buy, message->resting,
+ message->timestamp, message->id);
+ bs[message->product].bid(t);
+ } else {
+ book::Order t(message->price, book::Sell, message->resting,
+ message->timestamp, message->id);
+ bs[message->product].ask(t);
+ }
}
void deletedOrder(std::unordered_map<std::string, book::Book>& bs,
json::DeletedMessage* message)
{
- if (message->side == book::Buy) {
- for (std::size_t i = 0; i < bs[message->product].bidSide.size(); i++) {
- if (bs[message->product].bidSide[i].id == message->id) {
- bs[message->product].bidSide[i] = bs[message->product].bidSide.back();
- bs[message->product].bidSide.erase(bs[message->product].bidSide.end());
- std::make_heap(bs[message->product].bidSide.begin(),
- bs[message->product].bidSide.end(),
- std::less<book::Level>());
- }
+ if (message->side == book::Buy) {
+ for (std::size_t i = 0; i < bs[message->product].bidSide.size(); i++) {
+ if (bs[message->product].bidSide[i].id == message->id) {
+ bs[message->product].bidSide[i] =
+ bs[message->product].bidSide.back();
+ bs[message->product].bidSide.pop_back();
+ std::make_heap(bs[message->product].bidSide.begin(),
+ bs[message->product].bidSide.end(),
+ std::less<book::Level>());
+ }
+ }
+ } else {
+ for (std::size_t i = 0; i < bs[message->product].askSide.size(); i++) {
+ if (bs[message->product].askSide[i].id == message->id) {
+ bs[message->product].askSide[i] =
+ bs[message->product].askSide.back();
+ bs[message->product].askSide.pop_back();
+ std::make_heap(bs[message->product].askSide.begin(),
+ bs[message->product].askSide.end(),
+ std::greater<book::Level>());
+ }
+ }
}
- } else {
- for (std::size_t i = 0; i < bs[message->product].askSide.size(); i++) {
- if (bs[message->product].askSide[i].id == message->id) {
- bs[message->product].askSide[i] = bs[message->product].askSide.back();
- bs[message->product].askSide.erase(bs[message->product].askSide.end());
- std::make_heap(bs[message->product].askSide.begin(),
- bs[message->product].askSide.end(),
- std::greater<book::Level>());
- }
- }
- }
}
void tradeOrder(std::unordered_map<std::string, book::Book>& bs,
json::TradeMessage* message)
{
- if (message->tradeType == json::BUY_AGGRESSOR) {
- book::Order t(message->price, book::Buy, message->volume,
- message->timestamp, message->passiveOrder);
- bs[message->product].bid(t);
- } else {
- book::Order t(message->price, book::Sell, message->volume,
- message->timestamp, message->passiveOrder);
- bs[message->product].ask(t);
- }
+ if (message->tradeType == json::BUY_AGGRESSOR) {
+ book::Order t(message->price, book::Buy, message->volume,
+ message->timestamp, message->passiveOrder);
+ bs[message->product].bid(t);
+ } else {
+ book::Order t(message->price, book::Sell, message->volume,
+ message->timestamp, message->passiveOrder);
+ bs[message->product].ask(t);
+ }
}
void broker(std::unordered_map<std::string, book::Book>& bs,
json::Broker* message)
@@ -165,9 +168,9 @@
json::Message* send(std::string& message)
{
- auto res = cli.Post("/execution", message, "text/plain");
- std::queue<json::Message*> a = json::parse(res->body);
- return a.front();
+ auto res = cli.Post("/execution", message, "text/plain");
+ std::queue<json::Message*> a = json::parse(res->body);
+ return a.front();
}
} // namespace protocol
diff --git a/secrets.hpp b/secrets.hpp
index d9d7ae8..398da5c 100644
--- a/secrets.hpp
+++ b/secrets.hpp
@@ -2,14 +2,14 @@
#include <string>
-#define TEST
+// #define TEST
-constexpr const char* HOST="sytev070";
+constexpr const char* HOST = "sytev070";
#ifdef TEST
-constexpr const char* PORT="9005";
+constexpr const char* PORT = "9005";
#else
-constexpr const char* PORT="9000";
+constexpr const char* PORT = "9000";
#endif
-constexpr const char* USER="jgrunbau";
-constexpr const char* PASS="b7d630945a0854581d9f86ba147f34a5";
+constexpr const char* USER = "jgrunbau";
+constexpr const char* PASS = "b7d630945a0854581d9f86ba147f34a5";
diff --git a/strat.cpp b/strat.cpp
index ef8b0ba..fdd367d 100644
--- a/strat.cpp
+++ b/strat.cpp
@@ -1,5 +1,6 @@
#include "strat.hpp"
-namespace strat {
+namespace strat
+{
}
diff --git a/strat.hpp b/strat.hpp
index 893edce..836984b 100644
--- a/strat.hpp
+++ b/strat.hpp
@@ -1,8 +1,9 @@
#pragma once
#include "book.hpp"
-#include <unordered_map>
#include <string>
+#include <unordered_map>
-namespace strat {
+namespace strat
+{
}
diff --git a/test.cpp b/test.cpp
index 20d1aa9..843cbe3 100644
--- a/test.cpp
+++ b/test.cpp
@@ -5,11 +5,11 @@
int main(void)
{
- book::Book b = book::testBook(10, true);
- auto bs = protocol::recoverBook();
- std::cout << bs.size() << std::endl;
- for (auto i : bs) {
- std::cout << i.first << std::endl;
- i.second.printBook();
- }
+ // book::Book b = book::testBook(10, true);
+ auto bs = protocol::recoverBook();
+ std::cout << bs.size() << std::endl;
+ for (auto i : bs) {
+ std::cout << i.first << std::endl;
+ i.second.printBook();
+ }
}
--
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