From b4cf0a2e71ad2c204925b33f9600dc720e25b827 Mon Sep 17 00:00:00 2001 From: Joel Grunbaum <joelgrun@gmail.com> Date: Sun, 09 Jan 2022 23:22:58 +0000 Subject: [PATCH] Initial shift to rapidjson --- book.cpp | 225 ++++++++++++++++++++++++++++++++++---------------------- 1 files changed, 136 insertions(+), 89 deletions(-) diff --git a/book.cpp b/book.cpp index 2202639..381a7a2 100644 --- a/book.cpp +++ b/book.cpp @@ -1,127 +1,174 @@ #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) +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} {} + filled_volume(0), timestamp{timestamp}, id{id} +{ +} -Level::Level(Order &order) +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; + 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) - 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 && (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"), + : bidSide(), askSide(), productType(TEST), product("a"), stationId(7), unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1), - broFee(2) {} + broFee(2) +{ +} Book::Book(ProductTypeEnum productType, std::string product, - std::string stationId, std::string unit, + 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) {} + 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(); +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(order); + this->askSide.emplace(this->askSide.begin(), order); + std::make_heap(this->askSide.begin(), this->askSide.end(), + std::greater<Level>()); } - } } -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(); +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(order); + this->bidSide.emplace(this->bidSide.begin(), order); + std::make_heap(this->bidSide.begin(), this->bidSide.end(), + std::less<Level>()); } - } } -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; + 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; + } + } -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; +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 -- Gitblit v1.9.3