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 | 133 ++++++++++++++++++++++++++++---------------
1 files changed, 86 insertions(+), 47 deletions(-)
diff --git a/protocol.cpp b/protocol.cpp
index 0396038..f1083c0 100644
--- a/protocol.cpp
+++ b/protocol.cpp
@@ -22,6 +22,7 @@
mapAnnounce;
std::string server = std::string(HOST) + ":" + std::string(PORT);
httplib::Client cli("http://" + server);
+std::unique_ptr<easywsclient::WebSocket> ws;
double lastime = 0;
@@ -57,32 +58,44 @@
return bs;
}
-void catchUp(std::unordered_map<std::string, book::Book>& bs)
+void createWebSocket()
{
- static std::unique_ptr<easywsclient::WebSocket> ws(
- easywsclient::WebSocket::from_url("ws://" + server + "/information"));
- std::string feed;
- bool gotMessage = false;
+ ws = std::unique_ptr<easywsclient::WebSocket>(
+ easywsclient::WebSocket::pointer(easywsclient::WebSocket::from_url(
+ "ws://" + server + "/information")));
ws->poll();
- ws->dispatch([gotMessageOut = &gotMessage, messageOut = &feed,
- ws = ws.get()](const std::string& message) {
- *gotMessageOut = true;
- *messageOut = message;
- });
- if (gotMessage) {
- std::queue<json::Message*> a(json::parse(feed));
- while (!a.empty()) {
- if (static_cast<json::FromExchange*>(a.front()) != nullptr ||
- static_cast<json::FromExchange*>(a.front())->timestamp >
- lastime) {
- lastime =
- static_cast<json::FromExchange*>(a.front())->timestamp;
+}
+
+std::deque<json::Message*>
+catchUp(std::unordered_map<std::string, book::Book>& bs)
+{
+ std::string feed;
+ bool gotMessage;
+ std::deque<json::Message*> out;
+ do {
+ gotMessage = false;
+ ws->poll();
+ ws->dispatch([gotMessageOut = &gotMessage, messageOut = &feed,
+ ws = ws.get()](const std::string& message) {
+ *gotMessageOut = true;
+ *messageOut = message;
+ });
+ if (gotMessage) {
+ std::queue<json::Message*> a(json::parse(feed));
+ while (!a.empty()) {
+ if (static_cast<json::FromExchange*>(a.front()) != nullptr ||
+ static_cast<json::FromExchange*>(a.front())->timestamp >
+ lastime) {
+ lastime =
+ static_cast<json::FromExchange*>(a.front())->timestamp;
+ }
+ protocol::handleMessage(bs, a.front());
+ out.push_back(a.front());
+ a.pop();
}
- protocol::handleMessage(bs, a.front());
- delete a.front();
- a.pop();
}
- }
+ } while (gotMessage);
+ return out;
}
json::Message* addOrder(json::AddMessage& order)
@@ -109,24 +122,24 @@
case json::SPREAD_TYPE:
case json::CALL_TYPE:
case json::PUT_TYPE:
- announce(bs, dynamic_cast<json::AnnounceMessage*>(message));
+ announce(bs, static_cast<json::AnnounceMessage*>(message));
break;
case json::SETTLEMENT:
- settle(bs, dynamic_cast<json::SettleMessage*>(message));
+ settle(bs, static_cast<json::SettleMessage*>(message));
break;
case json::ADDED:
- addedOrder(bs, dynamic_cast<json::AddedMessage*>(message));
+ addedOrder(bs, static_cast<json::AddedMessage*>(message));
break;
case json::DELETED:
- deletedOrder(bs, dynamic_cast<json::DeletedMessage*>(message));
+ deletedOrder(bs, static_cast<json::DeletedMessage*>(message));
break;
case json::TRADE:
- tradeOrder(bs, dynamic_cast<json::TradeMessage*>(message));
+ tradeOrder(bs, static_cast<json::TradeMessage*>(message));
break;
case json::BROKER_REQUEST:
case json::BROKER_ACK:
case json::BROKER_CONFIRM:
- broker(bs, dynamic_cast<json::Broker*>(message));
+ broker(bs, static_cast<json::Broker*>(message));
break;
default:;
}
@@ -162,31 +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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