43 lines
1.6 KiB
C++
43 lines
1.6 KiB
C++
#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/
|
|
*/ |