#pragma once #include #include #include #include #include #include #include enum OrderSideEnum { Buy, Sell }; enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT }; struct Order { double price; OrderSideEnum side; int remaining_volume; int filled_volume; std::chrono::nanoseconds timestamp; std::string id; Order(double price, OrderSideEnum side, int volume, std::chrono::nanoseconds timestamp, std::string id); }; struct Level { double price; int volume; OrderSideEnum side; std::chrono::nanoseconds timestamp; std::string id; Level(Order &order); }; bool operator>(const Level &a, const Level &b); bool operator<(const Level &a, const Level &b); bool operator>=(const Level &a, const Level &b); bool operator<=(const Level &a, const Level &b); bool operator==(const Level &a, const Level &b); std::ostream& operator<<(std::ostream& out, const Level& a); template struct Side : public std::priority_queue, T> { public: void deleteLevel(std::string orderId); void topRemoveVolume(int volume); void printTop(std::size_t num = 5); }; using AskSide = Side>; using BidSide = Side>; struct Book { BidSide bidSide; AskSide askSide; ProductTypeEnum productType; std::string product; std::string stationId; std::string unit; std::chrono::nanoseconds expiry; double aggFee; double pasFee; double broFee; Book(); Book(ProductTypeEnum productType, std::string product, std::string stationId, std::string unit, std::chrono::nanoseconds expiry, double aggFee, double pasFee, double broFee); void ask(Order &order); void bid(Order &order); void printBook(std::size_t numOrders = 10); }; Book testBook(int orders = 10, bool printBook = true);