From 9ae8b92ba549ab916c88e9004a95c1ed0cd16059 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Wed, 19 Jan 2022 10:48:57 +0000
Subject: [PATCH] Added loop to click trader and hit self for perf testing
---
book.cpp | 73 ++++++++----------------------------
1 files changed, 16 insertions(+), 57 deletions(-)
diff --git a/book.cpp b/book.cpp
index a450a08..1ee1d06 100644
--- a/book.cpp
+++ b/book.cpp
@@ -3,6 +3,7 @@
#include <chrono>
#include <cstddef>
#include <iostream>
+#include <string>
namespace book
{
@@ -70,7 +71,7 @@
std::ostream& operator<<(std::ostream& out, const Level& a)
{
return out << "Price: " << a.price << ", volume: " << a.volume
- << ", time: " << a.timestamp << ", id: " << a.id;
+ << ", time: " << a.timestamp << ", id: " << a.id;
}
Book::Book()
@@ -85,79 +86,37 @@
double pasFee, double broFee)
: bidSide{}, askSide{}, productType{productType}, product(product),
stationId(stationId), unit(unit), expiry(expiry), aggFee(aggFee),
- pasFee(pasFee), broFee(broFee)
+ pasFee(pasFee), broFee(broFee), bomPrice(0)
{
}
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>());
- }
+ Level a(order);
+ auto b = std::lower_bound(this->askSide.begin(), this->askSide.end(), a);
+ this->askSide.insert(b, a);
}
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>());
- }
+ Level a(order);
+ auto b = std::upper_bound(this->bidSide.begin(), this->bidSide.end(), a);
+ this->bidSide.insert(b, a);
}
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;
+ std::size_t count = 0;
+ for (auto i = this->askSide.rbegin(); i != this->askSide.rend(); i++) {
+ 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;
+ for (auto i = this->bidSide.rbegin(); i != bidSide.rend(); i++) {
+ std::cout << *i << std::endl;
count++;
if (count > numOrders) break;
}
@@ -168,11 +127,11 @@
Book b = Book();
double time(1);
for (int i = 1; i < orders; i++) {
- Order t(i, Buy, 10, time++, "a");
+ Order t(i, Buy, 10, time++, std::to_string(i));
b.bid(t);
}
for (int i = orders + 1; i < 2 * orders; i++) {
- Order t(i, Sell, 10, time++, "b");
+ Order t(i, Sell, 10, time++, std::to_string(i));
b.ask(t);
}
if (printBook) b.printBook(orders - 1);
--
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