#pragma once #include #include #include #include #include #include #include namespace book { enum OrderSideEnum { Buy, Sell }; enum ProductTypeEnum { TEST, FUTURE, SPREAD, CALL, PUT }; struct Order { double price; OrderSideEnum side; int remaining_volume; int filled_volume; double timestamp; std::string id; Order(double price, OrderSideEnum side, int volume, double timestamp, std::string id); }; struct Level { double price; int volume; OrderSideEnum side; double 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); struct Book { std::vector bidSide; std::vector askSide; ProductTypeEnum productType; std::string product; int stationId; std::string unit; std::chrono::nanoseconds expiry; double aggFee; double pasFee; double broFee; Book(); Book(ProductTypeEnum productType, std::string product, int 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); } // namespace book