Add implemented new OrderBook statistical functions

CM2005 Object Oriented Programming/Topic 4/4.3.3/CSVReader.cpp

@@ -0,0 +1,85 @@
+#include "CSVReader.h"
+#include <iostream>
+#include <fstream>
+
+CSVReader::CSVReader()
+{
+
+}
+
+std::vector<OrderBookEntry> CSVReader::readCSV(std::string csvFilename)
+{
+    std::vector<OrderBookEntry> entries;
+    unsigned int errors = 0;
+    std::ifstream csvFile{csvFilename};
+    std::string line;
+    std::cout << "Loading data..." << std::endl;
+    if (csvFile.is_open())
+    {
+        while(std::getline(csvFile, line))
+        {
+            try
+            {
+                OrderBookEntry obe = stringsToOBE(tokenise(line, ','));
+                entries.push_back(obe);
+            }
+            catch(const std::exception& e)
+            {
+                ++errors;
+            }
+        }// end of while
+        std::cout << "Success! " << entries.size() << " entries found."  << std::endl;
+        if(errors > 0)
+            std::cout << errors << " errors found." << std::endl;
+    }
+    return entries;
+}
+
+std::vector<std::string> CSVReader::tokenise(std::string csvLine, char separator)
+{
+   std::vector<std::string> tokens;
+   signed int start, end;
+   std::string token;
+    start = csvLine.find_first_not_of(separator, 0);
+    do{
+        end = csvLine.find_first_of(separator, start);
+        if (start == csvLine.length() || start == end) break;
+        if (end >= 0) token = csvLine.substr(start, end - start);
+        else token = csvLine.substr(start, csvLine.length() - start);
+        tokens.push_back(token);
+        start = end + 1;
+    }
+    while(end > 0);
+
+   return tokens; 
+}
+
+OrderBookEntry CSVReader::stringsToOBE(std::vector<std::string> tokens)
+{
+    double price, amount;
+
+    if (tokens.size() != 5) // bad
+    {
+        //std::cout << "Bad line " << std::endl;
+        throw std::exception{};
+    }
+    // we have 5 tokens
+    try
+    {
+        price = std::stod(tokens[3]);
+        amount = std::stod(tokens[4]);
+    }
+    catch(const std::exception& e)
+    {
+        throw;        
+    }
+
+    OrderBookEntry obe{price, 
+                        amount, 
+                        tokens[0],
+                        tokens[1], 
+                        OrderBookEntry::stringToOrderBookType(tokens[2])};
+
+    return obe;
+}
+      

CM2005 Object Oriented Programming/Topic 4/4.3.3/CSVReader.h

@@ -0,0 +1,18 @@
+#pragma once
+
+#include "OrderBookEntry.h"
+#include <vector>
+#include <string>
+
+class CSVReader
+{
+    public:
+     CSVReader();
+
+     static std::vector<OrderBookEntry> readCSV(std::string csvFile);
+
+    private:
+     static std::vector<std::string> tokenise(std::string csvLine, char separator);
+     static OrderBookEntry stringsToOBE(std::vector<std::string> strings);
+     
+}; 

CM2005 Object Oriented Programming/Topic 4/4.3.3/MerkelMain.cpp

@@ -0,0 +1,175 @@
+#include "MerkelMain.h"
+#include <iostream>
+#include <vector>
+#include "OrderBookEntry.h"
+#include "CSVReader.h"
+#include <iomanip>
+
+MerkelMain::MerkelMain()
+{
+    std::cout << "================================================================================" << std::endl;
+}
+
+void MerkelMain::init()
+{
+    //if(orderBook.orders.size() == 0)
+    if(! orderBook.getBookSize() > 0)
+    {
+        std::cout << "No entries found! Exiting program :(" << std::endl;
+        return;
+    }
+    int input;
+    currentTime = orderBook.getEarliestTime();
+    while(true)
+    {
+        printMenu();
+        input = getUserOption();
+        processUserOption(input);
+    }
+}
+
+void MerkelMain::printMenu()
+{
+    std::cout << "MENU" << std::endl;
+    // 1 print help
+    std::cout << "1: Print help " << std::endl;
+    // 2 print exchange stats
+    std::cout << "2: Print exchange stats" << std::endl;
+    // 3 make an offer
+    std::cout << "3: Make an offer " << std::endl;
+    // 4 make a bid 
+    std::cout << "4: Make a bid " << std::endl;
+    // 5 print wallet
+    std::cout << "5: Print wallet " << std::endl;
+    // 6 continue   
+    std::cout << "6: Continue " << std::endl;
+
+    std::cout << "====================================================================================================" << std::endl;
+
+    std::cout << "Current Time: " << currentTime << std::endl;
+}
+
+void MerkelMain::printHelp()
+{
+    std::cout << "Help - your aim is to make money. Analyse the market and make bids and offers. " << std::endl;
+}
+
+// void setw(int w)
+// {
+//     std::cout.width(w);
+//     return;
+// }
+
+void MerkelMain::printMarketStats()
+{
+    /*
+    for(std::string const p : orderBook.getKnownProducts())
+    {
+        std::cout << "Product: " << p  << std::endl;
+        std::vector<OrderBookEntry> entries = orderBook.getOrders(OrderBookType::ask, p, currentTime);
+        std::cout << "Asks for product " << p << " are " << entries.size() << std::endl;
+        std::cout << "Max ask for " << p << " is " << orderBook.getHighPrice(entries)  << std::endl;
+        std::cout << "Min ask for " << p << " is " << orderBook.getLowPrice(entries)  << std::endl;
+    }
+    */
+    std::string separator = "====================================================================================================";
+    std::cout << separator << std::endl;
+    std::cout << "Current Time: " << currentTime << std::endl;
+    std::cout << separator << std::endl;
+    //std::cout <<            "PRODUCT     LAST        CHANGE%     CHANGE      HIGH        LOW         MEAN    " << std::endl;
+    std::cout << std::left
+              << std::setw(12) << "PRODUCT" << std::right
+              << std::setw(12) << "LAST"
+              << std::setw(12) << "CHANGE%"
+              << std::setw(12) << "CHANGE"
+              << std::setw(12) << "HIGH"
+              << std::setw(12) << "LOW"
+              << std::setw(12) << "AVERAGE"
+              << std::setw(12) << "SPREAD" << std::endl;
+    std::cout << "----------------------------------------------------------------------------------------------------" << std::endl;
+    for(std::string const p : orderBook.getKnownProducts())
+    {
+        //std::cout.precision(5);
+        
+        std::vector<OrderBookEntry> askEntries = orderBook.getOrders(OrderBookType::ask, p, currentTime);
+        std::vector<OrderBookEntry> bidEntries = orderBook.getOrders(OrderBookType::bid, p, currentTime);
+        
+        //std::cout << p << fluff << std::cout.width(4) << orderBook.getHighPrice(askEntries) << std::endl;
+        std::cout.left;
+        std::streamsize pres = std::cout.precision();
+        std::cout << std::left << std::setw(12) << p
+                  << std::right << std::fixed << std::setw(12) << orderBook.getLastPrice(askEntries)
+                  << std::right << std::fixed << std::setw(12) << orderBook.getChangePercent(askEntries)
+                  << std::right << std::fixed << std::setw(12) << orderBook.getChangeNumber(askEntries)
+                  << std::right << std::fixed << std::setw(12) << orderBook.getHighPrice(askEntries)
+                  << std::right << std::fixed << std::setw(12) << orderBook.getLowPrice(askEntries)
+                  << std::right << std::fixed << std::setw(12) << orderBook.getAverage(askEntries)
+                  << std::right << std::fixed << std::setw(12) << orderBook.getSpread(bidEntries, askEntries)
+                  << std::endl;
+    }
+    std::cout << separator << std::endl;
+}
+
+void MerkelMain::enterOffer()
+{
+    std::cout << "Mark and offer - enter the amount " << std::endl;
+}
+
+void MerkelMain::enterBid()
+{
+    std::cout << "Make a bid - enter the amount" << std::endl;
+}
+
+void MerkelMain::printWallet()
+{
+    std::cout << "Your wallet is empty. " << std::endl;
+}
+        
+void MerkelMain::gotoNextTimeframe()
+{
+    std::cout << "Going to next time frame. " << std::endl;
+    currentTime = orderBook.getNextTime(currentTime);
+}
+ 
+int MerkelMain::getUserOption()
+{
+    int userOption;
+
+    std::cout << "To select, type in 1-6:" << std::endl;
+    std::cin >> userOption;
+    std::cout << "You chose: " << userOption << std::endl;
+    return userOption;
+}
+
+void MerkelMain::processUserOption(int userOption)
+{
+    if (userOption == 0) // bad input
+    {
+        std::cout << "Invalid choice. Choose 1-6" << std::endl;
+    }
+    if (userOption == 1) 
+    {
+        printHelp();
+    }
+    if (userOption == 2) 
+    {
+        printMarketStats();
+    }
+    if (userOption == 3) 
+    {
+        enterOffer();
+    }
+    if (userOption == 4) 
+    {
+        enterBid();
+    }
+    if (userOption == 5) 
+    {
+        printWallet();
+    }
+    if (userOption == 6) 
+    {
+        gotoNextTimeframe();
+    }       
+}
+ 

CM2005 Object Oriented Programming/Topic 4/4.3.3/MerkelMain.h

@@ -0,0 +1,26 @@
+#pragma once
+
+#include <vector>
+#include "OrderBookEntry.h"
+#include "OrderBook.h"
+
+class MerkelMain
+{
+    public:
+        MerkelMain();
+        /** Call this to start the sim */
+        void init();
+    private: 
+        void loadOrderBook();
+        void printMenu();
+        void printHelp();
+        void printMarketStats();
+        void enterOffer();
+        void enterBid();
+        void printWallet();
+        void gotoNextTimeframe();
+        int getUserOption();
+        void processUserOption(int userOption);
+        std::string currentTime;
+        OrderBook orderBook{"20200317.csv"};
+}; 

CM2005 Object Oriented Programming/Topic 4/4.3.3/OrderBook.cpp

@@ -0,0 +1,156 @@
+#include "OrderBook.h"
+#include "CSVReader.h"
+#include <map>
+#include <iostream>
+
+/* Construct, reading a csv data file */
+OrderBook::OrderBook(std::string filename)
+{
+  orders = CSVReader::readCSV(filename);
+}
+
+/* return vector of all known products in the dataset */
+std::vector<std::string> OrderBook::getKnownProducts()
+{
+  std::vector<std::string> products;
+
+  std::map<std::string, bool> productMap;
+
+  for(OrderBookEntry& entry : orders)
+  {
+    productMap[entry.product] = true;
+  }
+
+  for(auto const&entry : productMap)
+  {
+    products.push_back(entry.first);
+  }
+  return products;
+}
+
+unsigned int OrderBook::getBookSize()
+{
+  return orders.size();
+}
+
+/* return vector of Orders according to the sent filters */
+std::vector<OrderBookEntry> OrderBook::getOrders(OrderBookType type, std::string product, std::string timestamp)
+{
+  std::vector<OrderBookEntry> order_selection;
+
+  for(OrderBookEntry& entry : orders)
+  {
+    if(entry.orderType == type && entry.product == product && entry.timestamp == timestamp)
+    {
+      order_selection.push_back(entry);
+    }
+  }
+
+  return order_selection;
+}
+
+double OrderBook::getHighPrice(std::vector<OrderBookEntry>& orderList)
+{
+  double max = orderList[0].price;
+  for(OrderBookEntry& entry : orderList)
+  {
+    if(entry.price > max)
+      max = entry.price;
+  }
+  return max;
+}
+
+double OrderBook::getLowPrice(std::vector<OrderBookEntry>& orderList)
+{
+  double min = orderList[0].price;
+  for(OrderBookEntry& entry : orderList)
+  {
+    if(entry.price < min)
+      min = entry.price;
+  }
+  
+  return min;
+}
+
+std::string OrderBook::getEarliestTime()
+{
+  return orders[0].timestamp;
+}
+
+std::string OrderBook::getNextTime(std::string timestamp)
+{
+  std::string prev_timestamp = "";
+  for(OrderBookEntry& entry : orders)
+  {
+    if(entry.timestamp > timestamp)
+    {
+      prev_timestamp = entry.timestamp;
+      break;
+    }
+  }
+  if(prev_timestamp == "")
+  {
+    prev_timestamp = orders[0].timestamp;
+  }
+  return prev_timestamp;
+}
+
+double OrderBook::getLastPrice(std::vector<OrderBookEntry>& orderList)
+{
+  //std::cout <<  std::endl << std::to_string(orderList[orderList.size()-1].price) << std::endl;
+  return orderList[orderList.size()-1].price;
+}
+
+double OrderBook::getAverage(std::vector<OrderBookEntry>& orderList)
+{
+  double sum{};
+  for (const OrderBookEntry& entry : orderList)
+  {
+    sum += entry.price;
+  }
+  return sum/orderList.size();
+}
+
+double OrderBook::getSpread(std::vector<OrderBookEntry>& bids, std::vector<OrderBookEntry>& asks)
+{
+  return getAverage(bids) - getAverage(asks);
+}
+double OrderBook::getChangePercent(std::vector<OrderBookEntry>& orderList)
+{
+  std::string prevTime = getPrevTime(orderList[0].timestamp);
+  if(orderList[0].timestamp == prevTime)
+    return 0.0;
+  std::vector<OrderBookEntry> lastList = getOrders(orderList[0].orderType, orderList[0].product, prevTime);
+  double lastAverage = getAverage(lastList);
+  double thisAverage = getAverage(orderList);
+  return ((lastAverage - thisAverage) / lastAverage) * 100;
+}
+
+double OrderBook::getChangeNumber(std::vector<OrderBookEntry>& orderList)
+{
+  std::string prevTime = getPrevTime(orderList[0].timestamp);
+  if(orderList[0].timestamp == prevTime)
+    return 0.0;
+  std::vector<OrderBookEntry> lastList = getOrders(orderList[0].orderType, orderList[0].product, prevTime);
+  double lastAverage = getAverage(lastList);
+  double thisAverage = getAverage(orderList);
+  return lastAverage - thisAverage;
+}
+
+std::string OrderBook::getPrevTime(std::string timestamp)
+{
+  std::string prev_timestamp = "";
+  for(OrderBookEntry& entry : orders)
+  {
+    if(entry.timestamp == timestamp)
+    {
+      break;
+    }
+    prev_timestamp = entry.timestamp;
+  }
+  if(prev_timestamp == "")
+  {
+    prev_timestamp = orders[0].timestamp;
+  }
+  return prev_timestamp;
+}

CM2005 Object Oriented Programming/Topic 4/4.3.3/OrderBook.h

@@ -0,0 +1,43 @@
+#pragma once
+
+#include "OrderBookEntry.h"
+#include "CSVReader.h"
+#include <string>
+#include <vector>
+
+class OrderBook
+{
+  public:
+    /* Construct, reading a csv data file */
+    OrderBook(std::string filename);
+    /* return vector of all known products in the dataset */
+    std::vector<std::string> getKnownProducts();
+    /* return vector of Orders according to the sent filters */
+    std::vector<OrderBookEntry> getOrders(OrderBookType type, std::string product, std::string timestamp);
+    /** returns earliest time in the order book */
+    std::string getEarliestTime();
+    /** returns the next time after the sent time in the orderbook
+      * If no next timestamp is found, wraps to the start */
+    std::string getNextTime(std::string timestamp);
+    std::string getPrevTime(std::string timestamp);
+    unsigned int getBookSize(); 
+    static double getHighPrice(std::vector<OrderBookEntry>& orderList);
+    static double getLowPrice(std::vector<OrderBookEntry>& orderList);
+
+    static double getLastPrice(std::vector<OrderBookEntry>& orderList);
+    static double getAverage(std::vector<OrderBookEntry>& orderList);
+    static double getSpread(std::vector<OrderBookEntry>& bids, std::vector<OrderBookEntry>& asks);
+    double getChangePercent(std::vector<OrderBookEntry>& orderList);
+    double getChangeNumber(std::vector<OrderBookEntry>& orderList);
+  private:
+    std::vector<OrderBookEntry> orders;
+};
+
+/*
+About the Spread
+https://www.forex.com/en/markets/forex/
+https://www.ig.com/en/trading-strategies/what-is-the-spread-in-forex-and-how-do-you-calculate-it-201126
+
+Percentage variance
+https://www.tradingview.com/markets/currencies/rates-major/
+*/

CM2005 Object Oriented Programming/Topic 4/4.3.3/OrderBookEntry.cpp

@@ -0,0 +1,29 @@
+#include "OrderBookEntry.h"
+
+OrderBookEntry::OrderBookEntry( double _price, 
+                        double _amount, 
+                        std::string _timestamp, 
+                        std::string _product, 
+                        OrderBookType _orderType)
+: price(_price), 
+  amount(_amount), 
+  timestamp(_timestamp),
+  product(_product), 
+  orderType(_orderType)
+{
+    
+}
+
+OrderBookType OrderBookEntry::stringToOrderBookType(std::string s)
+{
+  if (s == "ask")
+  {
+    return OrderBookType::ask;
+  }
+  if (s == "bid")
+  {
+    return OrderBookType::bid;
+  }
+  return OrderBookType::unknown;
+}
+ 

CM2005 Object Oriented Programming/Topic 4/4.3.3/OrderBookEntry.h

@@ -0,0 +1,25 @@
+#pragma once
+
+#include <string>
+
+enum class OrderBookType{bid, ask, unknown};
+
+class OrderBookEntry
+{
+    public:
+
+        OrderBookEntry( double _price, 
+                        double _amount, 
+                        std::string _timestamp, 
+                        std::string _product, 
+                        OrderBookType _orderType);
+
+        static OrderBookType stringToOrderBookType(std::string s);
+
+        double price;
+        double amount;
+        std::string timestamp;
+        std::string product;
+        OrderBookType orderType;
+};
+ 

CM2005 Object Oriented Programming/Topic 4/4.3.3/main.cpp

@@ -0,0 +1,13 @@
+#include <iostream>
+#include <string>
+#include <vector>
+#include "OrderBookEntry.h"
+#include "MerkelMain.h"
+#include "CSVReader.h"
+
+int main()
+{
+    MerkelMain app{};
+    app.init();
+    return 0;
+}