File size: 4,705 Bytes
f86fb3b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 | #include "../../include/order_book/order_book.hpp"
#include <cmath>
namespace quant::order_book {
bool OrderBook::add_resting_order(Order* order) noexcept {
if (!order || order->leaves_qty == 0) return false;
if (order->side == core::Side::BUY) {
auto& level = bids_[order->price];
level.price = order->price;
level.append(order);
} else if (order->side == core::Side::SELL) {
auto& level = asks_[order->price];
level.price = order->price;
level.append(order);
} else {
return false;
}
orders_map_[order->order_id] = order;
if (order->client_order_id != 0) {
client_orders_map_[order->client_order_id] = order;
}
return true;
}
bool OrderBook::remove_order(Order* order) noexcept {
if (!order) return false;
if (order->side == core::Side::BUY) {
auto it = bids_.find(order->price);
if (it != bids_.end()) {
it->second.remove(order);
if (it->second.order_count == 0) {
bids_.erase(it);
}
}
} else if (order->side == core::Side::SELL) {
auto it = asks_.find(order->price);
if (it != asks_.end()) {
it->second.remove(order);
if (it->second.order_count == 0) {
asks_.erase(it);
}
}
}
orders_map_.erase(order->order_id);
if (order->client_order_id != 0) {
client_orders_map_.erase(order->client_order_id);
}
return true;
}
bool OrderBook::reduce_order_qty(Order* order, core::Quantity fill_qty) noexcept {
if (!order || fill_qty > order->leaves_qty) return false;
if (order->side == core::Side::BUY) {
auto it = bids_.find(order->price);
if (it != bids_.end()) {
it->second.total_volume -= fill_qty;
}
} else if (order->side == core::Side::SELL) {
auto it = asks_.find(order->price);
if (it != asks_.end()) {
it->second.total_volume -= fill_qty;
}
}
order->leaves_qty -= fill_qty;
if (order->leaves_qty == 0) {
remove_order(order);
}
return true;
}
std::optional<core::Price> OrderBook::best_bid() const noexcept {
if (bids_.empty()) return std::nullopt;
return bids_.begin()->first;
}
std::optional<core::Price> OrderBook::best_ask() const noexcept {
if (asks_.empty()) return std::nullopt;
return asks_.begin()->first;
}
double OrderBook::get_mid_price() const noexcept {
auto bb = best_bid();
auto ba = best_ask();
if (bb && ba) {
return 0.5 * (bb->to_double() + ba->to_double());
}
if (bb) return bb->to_double();
if (ba) return ba->to_double();
return 0.0;
}
double OrderBook::get_weighted_microprice() const noexcept {
if (bids_.empty() || asks_.empty()) {
return get_mid_price();
}
const auto& best_b = bids_.begin()->second;
const auto& best_a = asks_.begin()->second;
double bb_p = best_b.price.to_double();
double ba_p = best_a.price.to_double();
double bb_v = static_cast<double>(best_b.total_volume);
double ba_v = static_cast<double>(best_a.total_volume);
double total_v = bb_v + ba_v;
if (total_v > 0.0) {
return (bb_p * ba_v + ba_p * bb_v) / total_v;
}
return get_mid_price();
}
double OrderBook::get_book_imbalance() const noexcept {
double bid_vol = 0.0;
double ask_vol = 0.0;
size_t count = 0;
for (auto it = bids_.begin(); it != bids_.end() && count < 5; ++it, ++count) {
bid_vol += it->second.total_volume;
}
count = 0;
for (auto it = asks_.begin(); it != asks_.end() && count < 5; ++it, ++count) {
ask_vol += it->second.total_volume;
}
double total = bid_vol + ask_vol;
if (total > 0.0) {
return (bid_vol - ask_vol) / total;
}
return 0.0;
}
void OrderBook::get_l2_snapshot(L2Snapshot& snapshot) const noexcept {
snapshot.bid_count = 0;
for (auto it = bids_.begin(); it != bids_.end() && snapshot.bid_count < L2Snapshot::MAX_DEPTH; ++it) {
snapshot.bids[snapshot.bid_count] = L2Level{
it->first.to_double(),
static_cast<double>(it->second.total_volume),
it->second.order_count
};
++snapshot.bid_count;
}
snapshot.ask_count = 0;
for (auto it = asks_.begin(); it != asks_.end() && snapshot.ask_count < L2Snapshot::MAX_DEPTH; ++it) {
snapshot.asks[snapshot.ask_count] = L2Level{
it->first.to_double(),
static_cast<double>(it->second.total_volume),
it->second.order_count
};
++snapshot.ask_count;
}
}
} // namespace quant::order_book
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