From bb235393b72f5974a087e48e05c39fcd83e1db57 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Fri, 07 Jan 2022 07:29:27 +0000
Subject: [PATCH] begun cpp version
---
.gitignore | 5
main.cpp | 6 +
book.cpp | 127 +++++++++++++++++++++++++
Makefile | 16 +++
book.hpp | 89 +++++++++++++++++
strat.py | 4
6 files changed, 246 insertions(+), 1 deletions(-)
diff --git a/.gitignore b/.gitignore
index 8a0a550..b836a20 100644
--- a/.gitignore
+++ b/.gitignore
@@ -1,3 +1,6 @@
*
!*.py
-!.gitignore
\ No newline at end of file
+!.gitignore
+!*.cpp
+!*.hpp
+!Makefile
diff --git a/Makefile b/Makefile
new file mode 100644
index 0000000..b57ea21
--- /dev/null
+++ b/Makefile
@@ -0,0 +1,16 @@
+CC=clang
+CXX=clang
+CXXFLAGS=-g -Wall -std=c++20
+
+.PHONY: default all
+default: all
+
+all: exec
+
+exec: main.o book.o
+ ${CXX} -o $@ $^
+
+%: %.cpp %.hpp
+ ${CXX} ${CXXFLAGS} -o $@ $^
+
+
diff --git a/book.cpp b/book.cpp
new file mode 100644
index 0000000..2202639
--- /dev/null
+++ b/book.cpp
@@ -0,0 +1,127 @@
+#include "book.hpp"
+#include <chrono>
+#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;
+}
+
+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;
+}
+
+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);
+ }
+ }
+}
+
+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);
+ }
+ }
+}
+
+void Book::printBook() {
+ std::cout << "Sell side";
+ this->askSide.printTop();
+ std::cout << "Buy side";
+ this->bidSide.printTop();
+}
+
+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;
+}
diff --git a/book.hpp b/book.hpp
new file mode 100644
index 0000000..a167b32
--- /dev/null
+++ b/book.hpp
@@ -0,0 +1,89 @@
+#pragma once
+
+#include <chrono>
+#include <iostream>
+#include <queue>
+#include <string>
+#include <vector>
+
+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);
+};
+
+struct Level {
+ double price;
+ int volume;
+ OrderSideEnum side;
+ std::chrono::nanoseconds timestamp;
+ std::string id;
+
+ 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);
+
+template <class T>
+struct Side : public std::priority_queue<Level, std::vector<Level>, T> {
+public:
+ void deleteLevel(std::string orderId) {
+ for (auto i = this->c.begin(); i != this->c.end();) {
+ if (*i.id == orderId) {
+ this->c.erase(i);
+ std::make_heap(this->c.begin(), this->c.end(), this->comp);
+ }
+ }
+ }
+
+ void topRemoveVolume(int volume) { this->c[0].volume -= volume; }
+
+ void printTop(int num = 5) {
+ std::sort(this->c.begin(), this->c.end(), this->comp);
+ for (int i = 0; i < num && i < this->size(); i++) {
+ std::cout << "Price: " << this->c[i].price
+ << ", volume: " << this->c[i].volume
+ << ", time: " << this->c[i].timestamp.count()
+ << ", id: " << this->c[i].id << std::endl;
+ }
+ std::make_heap(this->c.begin(), this->c.end(), this->comp);
+ }
+};
+
+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;
+
+ 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();
+};
+
+Book testBook(int orders = 10, bool printBook = true);
diff --git a/main.cpp b/main.cpp
new file mode 100644
index 0000000..b05ddec
--- /dev/null
+++ b/main.cpp
@@ -0,0 +1,6 @@
+#include "book.hpp"
+
+int main(void)
+{
+ testBook();
+}
diff --git a/strat.py b/strat.py
new file mode 100644
index 0000000..d7c0db5
--- /dev/null
+++ b/strat.py
@@ -0,0 +1,4 @@
+""".#strat.py Strategy module."""
+import book
+import protocol
+
--
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