From e8c910e52d1807e2fcca3b43d80a9df6acac5387 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Wed, 12 Jan 2022 06:26:46 +0000
Subject: [PATCH] write price level to each book
---
.gitignore | 3
click.cpp | 64 ++++++++-------
test.cpp | 29 ++++--
book.cpp | 26 +++---
bom.cpp | 26 +++---
book.hpp | 2
json.cpp | 38 ++++----
7 files changed, 102 insertions(+), 86 deletions(-)
diff --git a/.gitignore b/.gitignore
index 9a70274..495435f 100644
--- a/.gitignore
+++ b/.gitignore
@@ -9,4 +9,5 @@
oneshot
build
test
-click
\ No newline at end of file
+click
+bom_data.xml
diff --git a/bom.cpp b/bom.cpp
index 5642cfc..64058ba 100644
--- a/bom.cpp
+++ b/bom.cpp
@@ -35,21 +35,23 @@
std::ifstream fs("bom_data.xml");
std::vector<char> buffer{std::istreambuf_iterator<char>(fs),
istreambuf_iterator<char>()};
- buffer.push_back('\0');
+ buffer.push_back('\0');
rapidxml::xml_document<> d;
d.parse<0>(&buffer[0]);
- // Walk stations
+ // Walk stations
for (rapidxml::xml_node<>* n = d.first_node()->last_node()->first_node(); n;
n = n->next_sibling()) {
- int bom_id = std::stoi(n->first_attribute()->next_attribute()->value());
- for (auto &i : bs) {
- if (i.second.stationId == bom_id) {
- // Should be apparent temp
- i.second.bomPrice = std::stod(n->first_node()->first_node()->first_node()->first_node()->value());
- std::cout << i.second.product << ", " << i.second.stationId << ", " << i.second.bomPrice << std::endl;
- break;
- }
- }
- }
+ int bom_id = std::stoi(n->first_attribute()->next_attribute()->value());
+ for (auto& i : bs) {
+ if (i.second.stationId == bom_id) {
+ // Should be apparent temp
+ i.second.bomPrice = std::stod(n->first_node()
+ ->first_node()
+ ->first_node()
+ ->first_node()
+ ->value());
+ }
+ }
+ }
}
} // namespace bom
diff --git a/book.cpp b/book.cpp
index 09d096c..573fa75 100644
--- a/book.cpp
+++ b/book.cpp
@@ -71,7 +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()
@@ -92,27 +92,26 @@
void Book::ask(Order& order)
{
- auto a =
- this->askSide.emplace(order.id, order);
- if (!a.second) {
- std::cout << order.id << "already exists" << std::endl;
- }
+ auto a = this->askSide.emplace(order.id, order);
+ if (!a.second) {
+ std::cout << order.id << "already exists" << std::endl;
+ }
}
void Book::bid(Order& order)
{
- auto a =
- this->bidSide.emplace(order.id, order);
- if (!a.second) {
- std::cout << order.id << "already exists" << std::endl;
- }
+ auto a = this->bidSide.emplace(order.id, order);
+ if (!a.second) {
+ std::cout << order.id << "already exists" << std::endl;
+ }
}
void Book::printBook(std::size_t numOrders)
{
std::cout << "Sell side: " << this->askSide.size() << std::endl;
std::vector<Level> askCopy;
- for (auto i : this->askSide) askCopy.push_back(i.second);
+ for (auto i : this->askSide)
+ askCopy.push_back(i.second);
std::size_t count = 0;
std::sort(askCopy.begin(), askCopy.end());
for (auto i = askCopy.rbegin(); i != askCopy.rend(); i++) {
@@ -122,7 +121,8 @@
}
std::cout << "Buy side: " << this->bidSide.size() << std::endl;
std::vector<Level> bidCopy;
- for (auto i : this->bidSide) bidCopy.push_back(i.second);
+ for (auto i : this->bidSide)
+ bidCopy.push_back(i.second);
count = 0;
std::sort(bidCopy.begin(), bidCopy.end());
for (auto i = bidCopy.rbegin(); i != bidCopy.rend(); i++) {
diff --git a/book.hpp b/book.hpp
index 27b6597..5d952a3 100644
--- a/book.hpp
+++ b/book.hpp
@@ -53,7 +53,7 @@
double aggFee;
double pasFee;
double broFee;
- double bomPrice;
+ double bomPrice;
Book();
Book(ProductTypeEnum productType, std::string product, int stationId,
diff --git a/click.cpp b/click.cpp
index 749d649..932e618 100644
--- a/click.cpp
+++ b/click.cpp
@@ -13,10 +13,10 @@
void initialise()
{
- mapClick = {{"BUY", Buy}, {"SELL", Sell}, {"FLASH", Flash},
- {"b", Buy}, {"s", Sell}, {"f", Flash},
- {"B", Buy}, {"S", Sell}, {"F", Flash},
- {"DELETE", Delete}, {"D", Delete}, {"d", Delete}};
+ mapClick = {{"BUY", Buy}, {"SELL", Sell}, {"FLASH", Flash},
+ {"b", Buy}, {"s", Sell}, {"f", Flash},
+ {"B", Buy}, {"S", Sell}, {"F", Flash},
+ {"DELETE", Delete}, {"D", Delete}, {"d", Delete}};
}
void usage()
@@ -38,27 +38,32 @@
void buy(std::string& product, double price, uint64_t volume)
{
json::AddMessage a(json::ADD, product, price, book::Buy, volume);
- json::AddedMessage* b = static_cast<json::AddedMessage*>(protocol::addOrder(a));
+ json::AddedMessage* b =
+ static_cast<json::AddedMessage*>(protocol::addOrder(a));
std::cout << b->as_string() << std::endl;
}
void sell(std::string& product, double price, uint64_t volume)
{
json::AddMessage a(json::ADD, product, price, book::Sell, volume);
- json::AddedMessage* b = static_cast<json::AddedMessage*>(protocol::addOrder(a));
+ json::AddedMessage* b =
+ static_cast<json::AddedMessage*>(protocol::addOrder(a));
std::cout << b->as_string() << std::endl;
delete b;
}
-void flash(std::string& product, double price, uint64_t volume, book::OrderSideEnum side)
+void flash(std::string& product, double price, uint64_t volume,
+ book::OrderSideEnum side)
{
json::AddMessage a(json::ADD, product, price, side, volume);
json::Message* b = static_cast<json::Message*>(protocol::addOrder(a));
- if (b->type == json::ERROR) {
- std::cout << static_cast<json::ErrorMessage*>(b)->as_string() << std::endl;
- return;
- }
- json::DeleteMessage c(json::DELETE, product, static_cast<json::AddedMessage*>(b)->id);
+ if (b->type == json::ERROR) {
+ std::cout << static_cast<json::ErrorMessage*>(b)->as_string()
+ << std::endl;
+ return;
+ }
+ json::DeleteMessage c(json::DELETE, product,
+ static_cast<json::AddedMessage*>(b)->id);
json::Message* d = protocol::deleteOrder(c);
std::cout << static_cast<json::AddedMessage*>(b)->as_string() << std::endl;
if (d->type == json::DELETED) {
@@ -74,17 +79,18 @@
void deleteOrder(std::string& product, std::string& id)
{
- json::DeleteMessage a(json::DELETE, product, id);
- json::Message* b = protocol::deleteOrder(a);
- if (b->type == json::DELETED) {
+ json::DeleteMessage a(json::DELETE, product, id);
+ json::Message* b = protocol::deleteOrder(a);
+ if (b->type == json::DELETED) {
std::cout << static_cast<json::DeletedMessage*>(b)->as_string()
<< std::endl;
} else if (b->type == json::REJECT) {
std::cout << static_cast<json::RejectMessage*>(b)->as_string()
<< std::endl;
} else {
- std::cout << static_cast<json::ErrorMessage*>(b)->as_string() << std::endl;
- }
+ std::cout << static_cast<json::ErrorMessage*>(b)->as_string()
+ << std::endl;
+ }
}
int main(int argc, char** argv)
@@ -106,9 +112,9 @@
case 't':
click = mapClick[optarg];
break;
- case 's':
- side = mapClick[optarg];
- break;
+ case 's':
+ side = mapClick[optarg];
+ break;
case 'p':
price = std::stod(optarg);
break;
@@ -119,9 +125,9 @@
id = std::string(optarg);
break;
case '?':
- std::cout << "*1" << std::endl;
+ std::cout << "*1" << std::endl;
default:
- std::cout << "*2 " << (char) c << std::endl;
+ std::cout << "*2 " << (char)c << std::endl;
usage();
exit(0);
}
@@ -134,13 +140,13 @@
sell(product, price, volume);
break;
case Flash:
- if (side == clickType::Buy)
- flash(product, price, volume, book::Buy);
- else
- flash(product, price, volume, book::Sell);
+ if (side == clickType::Buy)
+ flash(product, price, volume, book::Buy);
+ else
+ flash(product, price, volume, book::Sell);
break;
- case Delete:
- deleteOrder(product, id);
- break;
+ case Delete:
+ deleteOrder(product, id);
+ break;
}
}
diff --git a/json.cpp b/json.cpp
index f64f677..dfcbbf4 100644
--- a/json.cpp
+++ b/json.cpp
@@ -49,7 +49,7 @@
mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
{"SELL_AGGRESSOR", SELL_AGGRESSOR},
- {"BROKER_TRADE", BROKER_TRADE}};
+ {"BROKER_TRADE", BROKER_TRADE}};
mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
}
@@ -279,9 +279,9 @@
{
if (mapOrderSide.empty()) initialise();
return "{\"type\": \"ADD\", \"product\": \"" + this->product +
- "\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
- mapOrderSide[this->side] +
- "\", \"volume\": " + std::to_string(this->volume) + "}";
+ "\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
+ mapOrderSide[this->side] +
+ "\", \"volume\": " + std::to_string(this->volume) + "}";
}
AddedMessage::AddedMessage(MessageTypes type, std::string product,
@@ -296,13 +296,13 @@
std::string AddedMessage::as_string()
{
return "{\"type\": \"ADDED\", \"product\": \"" + this->product +
- "\", \"product\": \"" + this->id + "\" \"side\": \"" +
- mapOrderSide[this->side] +
- "\", \"price\": " + std::to_string(this->price) +
- "\"filled\": " + std::to_string(this->filled) +
- ", \"resting\": " + std::to_string(this->resting) +
- ", \"sequence\": " + std::to_string(this->sequence) +
- ", \"timestamp\":" + std::to_string(this->timestamp) + "}";
+ "\", \"product\": \"" + this->id + "\" \"side\": \"" +
+ mapOrderSide[this->side] +
+ "\", \"price\": " + std::to_string(this->price) +
+ "\"filled\": " + std::to_string(this->filled) +
+ ", \"resting\": " + std::to_string(this->resting) +
+ ", \"sequence\": " + std::to_string(this->sequence) +
+ ", \"timestamp\":" + std::to_string(this->timestamp) + "}";
}
DeleteMessage::DeleteMessage(MessageTypes type, std::string product,
@@ -315,7 +315,7 @@
{
if (mapOrderSide.empty()) initialise();
return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
- "\", \"id\": \"" + this->id + "\"}";
+ "\", \"id\": \"" + this->id + "\"}";
}
DeletedMessage::DeletedMessage(MessageTypes type, std::string product,
@@ -328,10 +328,10 @@
std::string DeletedMessage::as_string()
{
return "{\"type\": \"DELETED\", \"product\": \"" + this->product +
- "\", \"product\": \"" + this->id + "\" \"side\": \"" +
- mapOrderSide[this->side] +
- ", \"sequence\": " + std::to_string(this->sequence) +
- ", \"timestamp\":" + std::to_string(this->timestamp) + "}";
+ "\", \"product\": \"" + this->id + "\" \"side\": \"" +
+ mapOrderSide[this->side] +
+ ", \"sequence\": " + std::to_string(this->sequence) +
+ ", \"timestamp\":" + std::to_string(this->timestamp) + "}";
}
RejectMessage::RejectMessage(MessageTypes type, std::string product,
@@ -344,9 +344,9 @@
std::string RejectMessage::as_string()
{
return "{\"type\": \"REJECT\", \"product\": \"" + this->product =
- "\", \"error\": \"" + this->error +
- "\", \"sequence\": " + std::to_string(this->sequence) +
- ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
+ "\", \"error\": \"" + this->error +
+ "\", \"sequence\": " + std::to_string(this->sequence) +
+ ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}
TradeMessage::TradeMessage(MessageTypes type, std::string product, double price,
diff --git a/test.cpp b/test.cpp
index ad954bc..b8df66a 100644
--- a/test.cpp
+++ b/test.cpp
@@ -1,22 +1,29 @@
+#include "bom.hpp"
#include "book.hpp"
#include "json.hpp"
#include "protocol.hpp"
-#include "bom.hpp"
#include <chrono>
+#include <iostream>
#include <unistd.h>
#include <unordered_map>
int main(void)
{
// book::Book b = book::testBook(10, true);
- auto bs = protocol::recoverBook();
-// protocol::catchUp(bs);
-// std::cout << bs.size() << std::endl;
-// for (auto i : bs) {
-// std::cout << i.first << std::endl;
-// i.second.printBook();
-// }
- bom::initialise();
- bom::updateBom(bs);
- bom::destroy();
+ auto bs = protocol::recoverBook();
+ // protocol::catchUp(bs);
+ // std::cout << bs.size() << std::endl;
+ // for (auto i : bs) {
+ // std::cout << i.first << std::endl;
+ // i.second.printBook();
+ // }
+ bom::initialise();
+ bom::updateBom(bs);
+ bom::destroy();
+ protocol::catchUp(bs);
+ std::cout << bs.size() << std::endl;
+ for (auto& i : bs) {
+ std::cout << i.first << ", " << i.second.bomPrice << std::endl;
+ i.second.printBook();
+ }
}
--
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