From 6bdd28a09c589cf631fce948476d48e9375f72a0 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Mon, 10 Jan 2022 04:50:34 +0000
Subject: [PATCH] Click trader working, with exchange communication
---
book.cpp | 264 +++++++++++++++++++++++++++++++---------------------
1 files changed, 159 insertions(+), 105 deletions(-)
diff --git a/book.cpp b/book.cpp
index 2202639..a450a08 100644
--- a/book.cpp
+++ b/book.cpp
@@ -1,127 +1,181 @@
#include "book.hpp"
+#include <algorithm>
#include <chrono>
+#include <cstddef>
#include <iostream>
-Order::Order(double price, OrderSideEnum side, int volume,
- std::chrono::nanoseconds timestamp, std::string 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} {}
-
-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;
+namespace book
+{
+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}
+{
}
-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;
+Level::Level(Order& order)
+ : 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;
+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;
}
-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;
+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;
}
-bool operator==(const Level &a, const Level &b) {
- 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;
+}
+
+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;
+}
+
+bool operator==(const Level& a, const Level& b)
+{
+ 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;
}
Book::Book()
- : bidSide(), askSide(), productType(TEST), product("a"), stationId("b"),
- unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1),
- broFee(2) {}
-
-Book::Book(ProductTypeEnum productType, std::string product,
- std::string 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.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;
- } 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);
- }
- }
+ : bidSide(), askSide(), productType(TEST), product("a"), stationId(7),
+ unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1),
+ broFee(2)
+{
}
-void Book::bid(Order &order) {
- 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;
- } 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);
- }
- }
+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::printBook() {
- std::cout << "Sell side";
- this->askSide.printTop();
- std::cout << "Buy side";
- this->bidSide.printTop();
+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>());
+ }
}
-Book testBook(int orders, bool printBook) {
- Book b = Book();
- std::chrono::nanoseconds time(1);
- for (int i = 0; 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();
- return b;
+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>());
+ }
}
+
+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());
+ std::reverse(askCopy.begin(), askCopy.end());
+ 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;
+}
+} // namespace book
--
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