From f99dcdf422310400fe9f20f61697328e87485a34 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Wed, 19 Jan 2022 09:57:14 +0000
Subject: [PATCH] Insertion sort sides instead of hashmap
---
book.cpp | 186 +++++++++++++++++++---------------------------
1 files changed, 76 insertions(+), 110 deletions(-)
diff --git a/book.cpp b/book.cpp
index ee014ed..1ee1d06 100644
--- a/book.cpp
+++ b/book.cpp
@@ -3,172 +3,138 @@
#include <chrono>
#include <cstddef>
#include <iostream>
+#include <string>
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}
+ : 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}
+ : 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;
+ 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;
+ 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;
+ 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;
+ 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;
+ 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;
+ 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)
+ : bidSide(), askSide(), productType(TEST), product("a"), stationId(7),
+ 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)
+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::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(this->askSide.begin(), 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(this->bidSide.begin(), 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::cout << "Sell side: " << this->askSide.size() << std::endl;
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;
- }
- }
+ 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;
+ count = 0;
+ for (auto i = this->bidSide.rbegin(); i != bidSide.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++, "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;
+ 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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