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
---
protocol.cpp | 64 ++++++++++++++++++++++---------
1 files changed, 45 insertions(+), 19 deletions(-)
diff --git a/protocol.cpp b/protocol.cpp
index a4b8475..f1083c0 100644
--- a/protocol.cpp
+++ b/protocol.cpp
@@ -175,31 +175,57 @@
json::DeletedMessage* message)
{
if (message->side == book::Buy) {
- bs[message->product].bidSide.erase(message->id);
+ for (auto i = bs[message->product].bidSide.begin(); i != bs[message->product].bidSide.end(); i++) {
+ if (i->id == message->id) {
+ bs[message->product].bidSide.erase(i);
+ break;
+ }
+ }
} else {
- bs[message->product].askSide.erase(message->id);
+ for (auto i = bs[message->product].askSide.begin(); i != bs[message->product].askSide.end(); i++) {
+ if (i->id == message->id) {
+ bs[message->product].askSide.erase(i);
+ break;
+ }
+ }
}
}
void tradeOrder(std::unordered_map<std::string, book::Book>& bs,
json::TradeMessage* message)
{
- if (bs.find(message->passiveOrder) != bs.end()) {
- if (message->tradeType == json::BUY_AGGRESSOR) {
- if (message->passiveOrderRemaining > 0) {
- bs[message->product].askSide.at(message->passiveOrder).volume =
- message->passiveOrderRemaining;
- } else {
- bs[message->product].askSide.erase(message->passiveOrder);
- }
- } else if (message->tradeType == json::SELL_AGGRESSOR) {
- if (message->passiveOrderRemaining > 0) {
- bs[message->product].bidSide.at(message->passiveOrder).volume =
- message->passiveOrderRemaining;
- } else {
- bs[message->product].bidSide.erase(message->passiveOrder);
- }
- }
- }
+ if (message->tradeType == json::BUY_AGGRESSOR) {
+ if (message->passiveOrderRemaining > 0) {
+ for (auto& i : bs[message->product].askSide) {
+ if (i.id == message->passiveOrder) {
+ i.volume = message->passiveOrderRemaining;
+ break;
+ }
+ }
+ } else {
+ for (auto i = bs[message->product].askSide.begin(); i != bs[message->product].askSide.end(); i++) {
+ if (i->id == message->passiveOrder) {
+ bs[message->product].askSide.erase(i);
+ break;
+ }
+ }
+ }
+ } else if (message->tradeType == json::SELL_AGGRESSOR) {
+ if (message->passiveOrderRemaining > 0) {
+ for (auto& i : bs[message->product].bidSide) {
+ if (i.id == message->passiveOrder) {
+ i.volume = message->passiveOrderRemaining;
+ break;
+ }
+ }
+ } else {
+ for (auto i = bs[message->product].bidSide.begin(); i != bs[message->product].bidSide.end(); i++) {
+ if (i->id == message->passiveOrder) {
+ bs[message->product].bidSide.erase(i);
+ break;
+ }
+ }
+ }
+ }
}
void broker(std::unordered_map<std::string, book::Book>& bs,
--
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