#include "book.hpp" #include #include #include #include namespace book { Order::Order(double price, OrderSideEnum side, int volume, double 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 > b.timestamp)) 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 > b.timestamp)) 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 >= b.timestamp)) 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 >= b.timestamp)) return true; else return false; } bool operator==(const Level& a, const Level& b) { if (a.price == b.price && (a.timestamp == b.timestamp)) 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 << ", id: " << a.id; } Book::Book() : bidSide(), askSide(), productType(TEST), product("a"), stationId(7), unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1), broFee(2) { } Book::Book(ProductTypeEnum productType, std::string product, int 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[0].price >= order.price) { if (this->bidSide[0].volume > order.remaining_volume) { int temp = this->bidSide[0].volume; order.filled_volume += temp; this->bidSide.front().volume -= order.remaining_volume; order.remaining_volume -= temp; break; } else { order.remaining_volume -= this->bidSide[0].volume; order.filled_volume += this->bidSide[0].volume; this->bidSide.erase(this->bidSide.begin()); std::make_heap(this->bidSide.begin(), this->bidSide.end(), std::less()); } } if (order.remaining_volume > 0) { this->askSide.emplace(this->askSide.begin(), order); std::make_heap(this->askSide.begin(), this->askSide.end(), std::greater()); } } void Book::bid(Order& order) { while (this->askSide.size() && this->askSide[0].price <= order.price) { if (this->askSide[0].volume > order.remaining_volume) { int temp = this->askSide.front().volume; order.filled_volume += temp; this->askSide.front().volume -= order.remaining_volume; order.remaining_volume -= temp; break; } else { order.remaining_volume -= this->askSide[0].volume; order.filled_volume += this->askSide[0].volume; this->askSide.erase(this->askSide.begin()); std::make_heap(this->askSide.begin(), this->askSide.end(), std::greater()); } } if (order.remaining_volume > 0) { this->bidSide.emplace(this->bidSide.begin(), order); std::make_heap(this->bidSide.begin(), this->bidSide.end(), std::less()); } } void Book::printBook(std::size_t numOrders) { std::cout << "Sell side: " << this->askSide.size() << std::endl; std::vector askCopy(this->askSide); std::size_t count = 0; std::sort(askCopy.begin(), askCopy.end()); for (auto i = askCopy.rbegin(); i != askCopy.rend() && count < numOrders; i++, count++) { std::cout << *i << std::endl; } std::cout << "Buy side: " << this->bidSide.size() << std::endl; std::vector bidCopy(this->bidSide); count = 0; std::sort(bidCopy.begin(), bidCopy.end()); for (auto i = bidCopy.rbegin(); i != bidCopy.rend() && count < numOrders; i++, count++) { std::cout << *i << std::endl; } } Book testBook(int orders, bool printBook) { Book b = Book(); double 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; } } // namespace book