From 611ad7b12fcc6b34229316099ae66bccbcf24ad9 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Wed, 12 Jan 2022 06:12:35 +0000
Subject: [PATCH] Pull data from ftp and parse
---
book.hpp | 90 +++++++++++++++++++++------------------------
1 files changed, 42 insertions(+), 48 deletions(-)
diff --git a/book.hpp b/book.hpp
index 9e3a89c..27b6597 100644
--- a/book.hpp
+++ b/book.hpp
@@ -1,74 +1,68 @@
#pragma once
+#include <algorithm>
#include <chrono>
#include <cstddef>
#include <iostream>
#include <queue>
#include <string>
+#include <unordered_map>
#include <vector>
-#include <algorithm>
+namespace book
+{
enum OrderSideEnum { Buy, Sell };
enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT };
struct Order {
- double price;
- OrderSideEnum side;
- int remaining_volume;
- int filled_volume;
- std::chrono::nanoseconds timestamp;
- std::string id;
- Order(double price, OrderSideEnum side, int volume,
- std::chrono::nanoseconds 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;
- std::chrono::nanoseconds 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);
-bool operator<(const Level &a, const Level &b);
-bool operator>=(const Level &a, const Level &b);
-bool operator<=(const Level &a, const Level &b);
-bool operator==(const Level &a, const Level &b);
+bool operator>(const Level& a, const Level& b);
+bool operator<(const Level& a, const Level& b);
+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);
- void topRemoveVolume(int volume);
- void printTop(std::size_t num = 5);
-};
-
-using AskSide = Side<std::greater<Level>>;
-using BidSide = Side<std::less<Level>>;
-
struct Book {
- BidSide bidSide;
- AskSide askSide;
- ProductTypeEnum productType;
- std::string product;
- std::string stationId;
- std::string unit;
- std::chrono::nanoseconds expiry;
- double aggFee;
- double pasFee;
- double broFee;
+ std::unordered_map<std::string, Level> bidSide;
+ std::unordered_map<std::string, Level> askSide;
+ ProductTypeEnum productType;
+ std::string product;
+ int stationId;
+ std::string unit;
+ std::chrono::nanoseconds expiry;
+ double aggFee;
+ double pasFee;
+ double broFee;
+ double bomPrice;
- Book();
- Book(ProductTypeEnum productType, std::string product, std::string 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);
+} // namespace book
--
Gitblit v1.9.3