#pragma once #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); template struct Side : public std::priority_queue, T> { public: void 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); } } } void topRemoveVolume(int volume) { this->c[0].volume -= volume; } void printTop(int num = 5) { std::sort(this->c.begin(), this->c.end(), this->comp); for (int i = 0; i < num && i < this->size(); i++) { std::cout << "Price: " << this->c[i].price << ", volume: " << this->c[i].volume << ", time: " << this->c[i].timestamp.count() << ", id: " << this->c[i].id << std::endl; } std::make_heap(this->c.begin(), this->c.end(), this->comp); } }; 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(); }; Book testBook(int orders = 10, bool printBook = true);