#include "book.hpp" #include #include #include 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; } 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.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.count() >= b.timestamp.count())) 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; } 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 void Side::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 void Side::topRemoveVolume(int volume) { this->c[0].volume -= volume; } template void Side::printTop(std::size_t num) { std::vector 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; } } 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); } } 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); } } 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); } 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; }