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This commit is contained in:
Lev
2021-07-02 17:20:32 -05:00
parent 675bfe6b81
commit bb6aa4a02e
2 changed files with 98 additions and 111 deletions
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176
CM2005 Object Oriented Programming/Midterm/Merkelrex-TradingBot/OrderBook.cpp
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@ -4,69 +4,64 @@
#include <algorithm>
#include <iostream>
/** construct, reading a csv data file */
OrderBook::OrderBook(std::string filename)
{
orders = CSVReader::readCSV(filename);
std::map<std::string, bool> prodMap;
for (OrderBookEntry &e : orders)
{
prodMap[e.product] = true;
}
// now flatten the map to a vector of strings
for (auto const &e : prodMap)
{
knownProducts.push_back(e.first);
}
}
/** return vector of all know products in the dataset*/
std::vector<std::string> OrderBook::getKnownProducts()
{
std::vector<std::string> products;
std::map<std::string,bool> prodMap;
for (OrderBookEntry& e : orders)
{
prodMap[e.product] = true;
}
// now flatten the map to a vector of strings
for (auto const& e : prodMap)
{
products.push_back(e.first);
}
return products;
return knownProducts;
}
/** 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> OrderBook::getOrders(OrderBookType type, std::string product, std::string timestamp)
{
std::vector<OrderBookEntry> orders_sub;
for (OrderBookEntry& e : orders)
for (OrderBookEntry &e : orders)
{
if (e.orderType == type &&
e.product == product &&
e.timestamp == timestamp )
{
orders_sub.push_back(e);
}
if (e.orderType == type &&
e.product == product &&
e.timestamp == timestamp)
{
orders_sub.push_back(e);
}
}
return orders_sub;
}
double OrderBook::getHighPrice(std::vector<OrderBookEntry>& orders)
double OrderBook::getHighPrice(std::vector<OrderBookEntry> &orders)
{
double max = orders[0].price;
for (OrderBookEntry& e : orders)
for (OrderBookEntry &e : orders)
{
if (e.price > max)max = e.price;
if (e.price > max)
max = e.price;
}
return max;
}
double OrderBook::getLowPrice(std::vector<OrderBookEntry>& orders)
double OrderBook::getLowPrice(std::vector<OrderBookEntry> &orders)
{
double min = orders[0].price;
for (OrderBookEntry& e : orders)
for (OrderBookEntry &e : orders)
{
if (e.price < min)min = e.price;
if (e.price < min)
min = e.price;
}
return min;
}
@ -79,9 +74,9 @@ std::string OrderBook::getEarliestTime()
std::string OrderBook::getNextTime(std::string timestamp)
{
std::string next_timestamp = "";
for (OrderBookEntry& e : orders)
for (OrderBookEntry &e : orders)
{
if (e.timestamp > timestamp)
if (e.timestamp > timestamp)
{
next_timestamp = e.timestamp;
break;
@ -94,7 +89,7 @@ std::string OrderBook::getNextTime(std::string timestamp)
return next_timestamp;
}
void OrderBook::insertOrder(OrderBookEntry& order)
void OrderBook::insertOrder(OrderBookEntry &order)
{
orders.push_back(order);
std::sort(orders.begin(), orders.end(), OrderBookEntry::compareByTimestamp);
@ -102,17 +97,13 @@ void OrderBook::insertOrder(OrderBookEntry& order)
std::vector<OrderBookEntry> OrderBook::matchAsksToBids(std::string product, std::string timestamp)
{
// asks = orderbook.asks
std::vector<OrderBookEntry> asks = getOrders(OrderBookType::ask,
product,
timestamp);
// bids = orderbook.bids
std::vector<OrderBookEntry> bids = getOrders(OrderBookType::bid,
product,
timestamp);
// asks = orderbook.asks
std::vector<OrderBookEntry> asks = getOrders(OrderBookType::ask, product, timestamp);
// bids = orderbook.bids
std::vector<OrderBookEntry> bids = getOrders(OrderBookType::bid, product, timestamp);
// sales = []
std::vector<OrderBookEntry> sales;
std::vector<OrderBookEntry> sales;
// I put in a little check to ensure we have bids and asks
// to process.
@ -127,24 +118,24 @@ std::vector<OrderBookEntry> OrderBook::matchAsksToBids(std::string product, std:
// sort bids highest first
std::sort(bids.begin(), bids.end(), OrderBookEntry::compareByPriceDesc);
// for ask in asks:
std::cout << "max ask " << asks[asks.size()-1].price << std::endl;
std::cout << "max ask " << asks[asks.size() - 1].price << std::endl;
std::cout << "min ask " << asks[0].price << std::endl;
std::cout << "max bid " << bids[0].price << std::endl;
std::cout << "min bid " << bids[bids.size()-1].price << std::endl;
for (OrderBookEntry& ask : asks)
std::cout << "min bid " << bids[bids.size() - 1].price << std::endl;
for (OrderBookEntry &ask : asks)
{
// for bid in bids:
for (OrderBookEntry& bid : bids)
// for bid in bids:
for (OrderBookEntry &bid : bids)
{
// if bid.price >= ask.price # we have a match
// if bid.price >= ask.price # we have a match
if (bid.price >= ask.price)
{
// sale = new order()
// sale.price = ask.price
OrderBookEntry sale{ask.price, 0, timestamp,
product,
OrderBookType::asksale};
// sale = new order()
// sale.price = ask.price
OrderBookEntry sale{ask.price, 0, timestamp,
product,
OrderBookType::asksale};
if (bid.username == "simuser")
{
@ -154,63 +145,62 @@ std::vector<OrderBookEntry> OrderBook::matchAsksToBids(std::string product, std:
if (ask.username == "simuser")
{
sale.username = "simuser";
sale.orderType = OrderBookType::asksale;
sale.orderType = OrderBookType::asksale;
}
// # now work out how much was sold and
// # create new bids and asks covering
// # anything that was not sold
// if bid.amount == ask.amount: # bid completely clears ask
// # now work out how much was sold and
// # create new bids and asks covering
// # anything that was not sold
// if bid.amount == ask.amount: # bid completely clears ask
if (bid.amount == ask.amount)
{
// sale.amount = ask.amount
// sale.amount = ask.amount
sale.amount = ask.amount;
// sales.append(sale)
// sales.append(sale)
sales.push_back(sale);
// bid.amount = 0 # make sure the bid is not processed again
// bid.amount = 0 # make sure the bid is not processed again
bid.amount = 0;
// # can do no more with this ask
// # go onto the next ask
// break
// # can do no more with this ask
// # go onto the next ask
// break
break;
}
// if bid.amount > ask.amount: # ask is completely gone slice the bid
// if bid.amount > ask.amount: # ask is completely gone slice the bid
if (bid.amount > ask.amount)
{
// sale.amount = ask.amount
// sale.amount = ask.amount
sale.amount = ask.amount;
// sales.append(sale)
// sales.append(sale)
sales.push_back(sale);
// # we adjust the bid in place
// # so it can be used to process the next ask
// bid.amount = bid.amount - ask.amount
bid.amount = bid.amount - ask.amount;
// # ask is completely gone, so go to next ask
// break
// # we adjust the bid in place
// # so it can be used to process the next ask
// bid.amount = bid.amount - ask.amount
bid.amount = bid.amount - ask.amount;
// # ask is completely gone, so go to next ask
// break
break;
}
// if bid.amount < ask.amount # bid is completely gone, slice the ask
if (bid.amount < ask.amount &&
bid.amount > 0)
// if bid.amount < ask.amount # bid is completely gone, slice the ask
if (bid.amount < ask.amount &&
bid.amount > 0)
{
// sale.amount = bid.amount
// sale.amount = bid.amount
sale.amount = bid.amount;
// sales.append(sale)
// sales.append(sale)
sales.push_back(sale);
// # update the ask
// # and allow further bids to process the remaining amount
// ask.amount = ask.amount - bid.amount
// # update the ask
// # and allow further bids to process the remaining amount
// ask.amount = ask.amount - bid.amount
ask.amount = ask.amount - bid.amount;
// bid.amount = 0 # make sure the bid is not processed again
// bid.amount = 0 # make sure the bid is not processed again
bid.amount = 0;
// # some ask remains so go to the next bid
// continue
// # some ask remains so go to the next bid
// continue
continue;
}
}
}
}
return sales;
return sales;
}