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
---
book.cpp | 257 ++++++++++++++++++++++++--------------------------
1 files changed, 123 insertions(+), 134 deletions(-)
diff --git a/book.cpp b/book.cpp
index 9cb14e7..573fa75 100644
--- a/book.cpp
+++ b/book.cpp
@@ -1,161 +1,150 @@
#include "book.hpp"
+#include <algorithm>
#include <chrono>
#include <cstddef>
#include <iostream>
+#include <string>
-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.count() > b.timestamp.count()))
- 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.count() > b.timestamp.count()))
- 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.count() >= b.timestamp.count()))
- 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.count() >= b.timestamp.count()))
- 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.count() == b.timestamp.count()))
- 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.count() << ", id: " << a.id;
-}
-
-template<class T>
-void Side<T>::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);
- }
- }
-}
-
-template<class T>
-void Side<T>::topRemoveVolume(int volume) { this->c[0].volume -= volume; }
-
-template<class T>
-void Side<T>::printTop(std::size_t num)
-{
- std::vector<Level> copy(this->c);
- std::sort(copy.begin(), copy.end(), this->comp);
- if (copy.size() && copy[0].side == Buy)
- std::reverse(copy.begin(), copy.end());
- for (std::size_t i = 0; i < copy.size() && i < num; i++) {
- std::cout << copy[i] << std::endl;
- }
+ 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;
- break;
- } 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;
- break;
- } 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), bomPrice(0)
+{
}
-void Book::printBook(std::size_t numOrders) {
- std::cout << "Sell side: " << this->askSide.size() << std::endl;
- this->askSide.printTop(numOrders);
- std::cout << "Buy side: " << this->bidSide.size() << std::endl;
- this->bidSide.printTop(numOrders);
+void Book::ask(Order& order)
+{
+ auto a = this->askSide.emplace(order.id, order);
+ if (!a.second) {
+ std::cout << order.id << "already exists" << std::endl;
+ }
}
-Book testBook(int orders, bool printBook) {
- Book b = Book();
- std::chrono::nanoseconds 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;
+void Book::bid(Order& order)
+{
+ 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);
+ std::size_t count = 0;
+ std::sort(askCopy.begin(), askCopy.end());
+ for (auto i = askCopy.rbegin(); i != askCopy.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;
+ 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++) {
+ 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++, std::to_string(i));
+ b.bid(t);
+ }
+ for (int i = orders + 1; i < 2 * orders; i++) {
+ Order t(i, Sell, 10, time++, std::to_string(i));
+ b.ask(t);
+ }
+ if (printBook) b.printBook(orders - 1);
+ return b;
+}
+} // namespace book
--
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