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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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70
CM2005 Object Oriented Programming/Midterm/Merkelrex-TradingBot/OrderBook.cpp
View File

@ -4,44 +4,39 @@
#include <algorithm> #include <algorithm>
#include <iostream> #include <iostream>
/** construct, reading a csv data file */ /** construct, reading a csv data file */
OrderBook::OrderBook(std::string filename) OrderBook::OrderBook(std::string filename)
{ {
orders = CSVReader::readCSV(filename); orders = CSVReader::readCSV(filename);
}
/** return vector of all know products in the dataset*/ std::map<std::string, bool> prodMap;
std::vector<std::string> OrderBook::getKnownProducts()
{
std::vector<std::string> products;
std::map<std::string,bool> prodMap; for (OrderBookEntry &e : orders)
for (OrderBookEntry& e : orders)
{ {
prodMap[e.product] = true; prodMap[e.product] = true;
} }
// now flatten the map to a vector of strings // now flatten the map to a vector of strings
for (auto const& e : prodMap) for (auto const &e : prodMap)
{ {
products.push_back(e.first); knownProducts.push_back(e.first);
} }
}
return products; /** return vector of all know products in the dataset*/
std::vector<std::string> OrderBook::getKnownProducts()
{
return knownProducts;
} }
/** return vector of Orders according to the sent filters*/ /** return vector of Orders according to the sent filters*/
std::vector<OrderBookEntry> OrderBook::getOrders(OrderBookType type, std::vector<OrderBookEntry> OrderBook::getOrders(OrderBookType type, std::string product, std::string timestamp)
std::string product,
std::string timestamp)
{ {
std::vector<OrderBookEntry> orders_sub; std::vector<OrderBookEntry> orders_sub;
for (OrderBookEntry& e : orders) for (OrderBookEntry &e : orders)
{ {
if (e.orderType == type && if (e.orderType == type &&
e.product == product && e.product == product &&
e.timestamp == timestamp ) e.timestamp == timestamp)
{ {
orders_sub.push_back(e); orders_sub.push_back(e);
} }
@ -49,24 +44,24 @@ std::vector<OrderBookEntry> OrderBook::getOrders(OrderBookType type,
return orders_sub; return orders_sub;
} }
double OrderBook::getHighPrice(std::vector<OrderBookEntry> &orders)
double OrderBook::getHighPrice(std::vector<OrderBookEntry>& orders)
{ {
double max = orders[0].price; 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; return max;
} }
double OrderBook::getLowPrice(std::vector<OrderBookEntry> &orders)
double OrderBook::getLowPrice(std::vector<OrderBookEntry>& orders)
{ {
double min = orders[0].price; 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; return min;
} }
@ -79,7 +74,7 @@ std::string OrderBook::getEarliestTime()
std::string OrderBook::getNextTime(std::string timestamp) std::string OrderBook::getNextTime(std::string timestamp)
{ {
std::string next_timestamp = ""; std::string next_timestamp = "";
for (OrderBookEntry& e : orders) for (OrderBookEntry &e : orders)
{ {
if (e.timestamp > timestamp) if (e.timestamp > timestamp)
{ {
@ -94,7 +89,7 @@ std::string OrderBook::getNextTime(std::string timestamp)
return next_timestamp; return next_timestamp;
} }
void OrderBook::insertOrder(OrderBookEntry& order) void OrderBook::insertOrder(OrderBookEntry &order)
{ {
orders.push_back(order); orders.push_back(order);
std::sort(orders.begin(), orders.end(), OrderBookEntry::compareByTimestamp); std::sort(orders.begin(), orders.end(), OrderBookEntry::compareByTimestamp);
@ -102,14 +97,10 @@ void OrderBook::insertOrder(OrderBookEntry& order)
std::vector<OrderBookEntry> OrderBook::matchAsksToBids(std::string product, std::string timestamp) std::vector<OrderBookEntry> OrderBook::matchAsksToBids(std::string product, std::string timestamp)
{ {
// asks = orderbook.asks // asks = orderbook.asks
std::vector<OrderBookEntry> asks = getOrders(OrderBookType::ask, std::vector<OrderBookEntry> asks = getOrders(OrderBookType::ask, product, timestamp);
product, // bids = orderbook.bids
timestamp); std::vector<OrderBookEntry> bids = getOrders(OrderBookType::bid, product, timestamp);
// bids = orderbook.bids
std::vector<OrderBookEntry> bids = getOrders(OrderBookType::bid,
product,
timestamp);
// sales = [] // sales = []
std::vector<OrderBookEntry> sales; std::vector<OrderBookEntry> sales;
@ -127,15 +118,15 @@ std::vector<OrderBookEntry> OrderBook::matchAsksToBids(std::string product, std:
// sort bids highest first // sort bids highest first
std::sort(bids.begin(), bids.end(), OrderBookEntry::compareByPriceDesc); std::sort(bids.begin(), bids.end(), OrderBookEntry::compareByPriceDesc);
// for ask in asks: // 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 << "min ask " << asks[0].price << std::endl;
std::cout << "max bid " << bids[0].price << std::endl; std::cout << "max bid " << bids[0].price << std::endl;
std::cout << "min bid " << bids[bids.size()-1].price << std::endl; std::cout << "min bid " << bids[bids.size() - 1].price << std::endl;
for (OrderBookEntry& ask : asks) for (OrderBookEntry &ask : asks)
{ {
// for bid in bids: // for bid in bids:
for (OrderBookEntry& bid : 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) if (bid.price >= ask.price)
@ -190,7 +181,6 @@ std::vector<OrderBookEntry> OrderBook::matchAsksToBids(std::string product, std:
break; break;
} }
// if bid.amount < ask.amount # bid is completely gone, slice the ask // if bid.amount < ask.amount # bid is completely gone, slice the ask
if (bid.amount < ask.amount && if (bid.amount < ask.amount &&
bid.amount > 0) bid.amount > 0)

19
CM2005 Object Oriented Programming/Midterm/Merkelrex-TradingBot/OrderBook.h
View File

@ -6,15 +6,13 @@
class OrderBook class OrderBook
{ {
public: public:
/** construct, reading a csv data file */ /** construct, reading a csv data file */
OrderBook(std::string filename); OrderBook(std::string filename);
/** return vector of all know products in the dataset*/ /** return vector of all know products in the dataset*/
std::vector<std::string> getKnownProducts(); std::vector<std::string> getKnownProducts();
/** return vector of Orders according to the sent filters*/ /** return vector of Orders according to the sent filters*/
std::vector<OrderBookEntry> getOrders(OrderBookType type, std::vector<OrderBookEntry> getOrders(OrderBookType type, std::string product, std::string timestamp);
std::string product,
std::string timestamp);
/** returns the earliest time in the orderbook*/ /** returns the earliest time in the orderbook*/
std::string getEarliestTime(); std::string getEarliestTime();
@ -24,15 +22,14 @@ class OrderBook
* */ * */
std::string getNextTime(std::string timestamp); std::string getNextTime(std::string timestamp);
void insertOrder(OrderBookEntry& order); void insertOrder(OrderBookEntry &order);
std::vector<OrderBookEntry> matchAsksToBids(std::string product, std::string timestamp); std::vector<OrderBookEntry> matchAsksToBids(std::string product, std::string timestamp);
static double getHighPrice(std::vector<OrderBookEntry>& orders); static double getHighPrice(std::vector<OrderBookEntry> &orders);
static double getLowPrice(std::vector<OrderBookEntry>& orders); static double getLowPrice(std::vector<OrderBookEntry> &orders);
private:
std::vector<OrderBookEntry> orders;
private:
std::vector<OrderBookEntry> orders; // private variable which holds all loaded orders from the file
std::vector<std::string> knownProducts;
}; };