cameron.stream / pricing-engine
[READ-ONLY] Mirror of https://github.com/just-cameron/pricing-engine.
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Cameron Pfiffer date (Aug 2, 2018, 12:29 PM -0700) commit d17886b5 parent 1cca3b26
+242 -23
+1
.gitignore
··· 1 1 target/ 2 + pricing-engine.code-workspace/
+78
Cargo.lock
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+4
Cargo.toml
··· 7 7 rand = "0.5" 8 8 log = "0.4" 9 9 pretty_env_logger = "0.2.4" 10 + serde_json = "1.0" 11 + serde_derive = "1.0" 12 + serde = "1.0" 13 +
+10
pricing-engine.code-workspace
··· 1 + { 2 + "folders": [ 3 + { 4 + "path": "." 5 + } 6 + ], 7 + "settings": { 8 + "git.ignoreLimitWarning": true 9 + } 10 + }
src/lib.rs src/not-lib.rs
+4
src/main.rs
··· 1 1 #[macro_use] 2 2 extern crate log; 3 3 4 + #[macro_use] 5 + extern crate serde_derive; 6 + extern crate serde_json; 7 + 4 8 pub mod orderbook; 5 9 pub mod testing; 6 10
+3
src/orderbook/mod.rs
··· 1 + extern crate serde; 2 + extern crate serde_json; 3 + 1 4 pub mod orderbook; 2 5 pub mod pricelevel; 3 6 pub mod orders;
+100 -9
src/orderbook/orderbook.rs
··· 1 1 extern crate pretty_env_logger; 2 + 2 3 use orderbook::orders::Order; 3 4 use orderbook::orders::Ordertype; 4 5 use orderbook::pricelevel::PriceLevel; 5 6 use std::collections::HashMap; 7 + use std::f64; 8 + use serde_json; 6 9 7 10 pub struct Orderbook{ 8 - // Describes an orderbook. 11 + // Describes an orderbook 9 12 name: String, // A currency pair, ticker, whatever. 13 + automatch: bool, // Whether or not to match trades 10 14 11 - // Price levels. 15 + // Price levels 12 16 buys: HashMap<String, PriceLevel>, 13 - sells: HashMap<String, PriceLevel> 17 + sells: HashMap<String, PriceLevel>, 18 + 19 + // Bests 20 + best_buy: (String, f64), 21 + best_sell: (String, f64), 14 22 } 15 23 16 24 impl Orderbook { 17 25 pub fn new(name: String) -> Orderbook{ 18 26 return Orderbook{ 19 27 name, 28 + automatch: false, 20 29 buys: HashMap::new(), 21 30 sells: HashMap::new(), 31 + best_buy: (String::default(), f64::MIN), 32 + best_sell: (String::default(), f64::MAX), 22 33 } 23 34 } 24 35 ··· 26 37 let pl = PriceLevel::new(&new_buy); 27 38 match self.buys.contains_key(&new_buy.price_string) { 28 39 true => { 29 - self.buys.entry(new_buy.price_string).or_insert(pl); 40 + let price = new_buy.price_string; 41 + if verbose { 42 + info!("Inserting new buy level {} at {}", 43 + &price, 44 + pl.quantity) 45 + } 46 + self.buys.entry(price).or_insert(pl); 30 47 }, 31 48 false => { 32 - let entry = self.buys.entry(new_buy.price_string).or_default(); 49 + let price = new_buy.price_string; 50 + let entry = self.buys.entry(price.clone()).or_default(); 33 51 34 52 if new_buy.additive { 53 + if verbose { 54 + info!("Adjusting buy level {} by {}", 55 + price, 56 + pl.quantity) 57 + } 58 + 35 59 (*entry).merge(pl); 36 60 } else { 37 61 *entry = pl; ··· 44 68 let pl = PriceLevel::new(&new_sell); 45 69 match self.sells.contains_key(&new_sell.price_string) { 46 70 true => { 47 - self.sells.entry(new_sell.price_string).or_insert(pl); 71 + let price = new_sell.price_string; 72 + if verbose { 73 + info!("Inserting new sell level {} at {}", 74 + &price, 75 + pl.quantity) 76 + } 77 + self.sells.entry(price).or_insert(pl); 48 78 }, 49 79 false => { 50 - let entry = self.sells.entry(new_sell.price_string).or_default(); 51 - *entry = pl; 80 + let price = new_sell.price_string; 81 + let entry = self.sells.entry(price.clone()).or_default(); 82 + 83 + if new_sell.additive { 84 + if verbose { 85 + info!("Adjusting sell level {} by {}", 86 + price, 87 + pl.quantity) 88 + } 89 + 90 + (*entry).merge(pl); 91 + } else { 92 + *entry = pl; 93 + } 52 94 } 53 95 } 54 96 } 55 97 56 98 pub fn insert(&mut self, new_order: Order, verbose: bool){ 99 + self.update_best(&new_order, verbose); 57 100 match new_order.order_type { 58 - Ordertype::Buy => self.update_buy(new_order, verbose), 101 + Ordertype::Buy => self.update_buy(new_order, verbose), 59 102 Ordertype::Sell => self.update_sell(new_order, verbose) 60 103 }; 104 + } 105 + 106 + pub fn insert_from_json(&mut self, order_string: String, verbose: bool) { 107 + let new_order: Order = match serde_json::from_str(&order_string) { 108 + Ok(o) => o, 109 + Err(e) => { 110 + print!("Serializing string: {:?}", e); 111 + return (); 112 + } 113 + }; 114 + 115 + if verbose { 116 + info!("Received JSON string:"); 117 + info!("{}", order_string); 118 + } 119 + 120 + self.insert(new_order, verbose); 121 + } 122 + 123 + pub fn update_best(&mut self, new_order: &Order, _verbose: bool) { 124 + match new_order.order_type { 125 + Ordertype::Buy => { 126 + if new_order.price > self.best_buy.1 { 127 + self.best_buy = (new_order.price_string.clone(), new_order.price.clone()) 128 + } 129 + }, 130 + Ordertype::Sell => { 131 + if new_order.price < self.best_sell.1 { 132 + self.best_sell = (new_order.price_string.clone(), new_order.price.clone()) 133 + } 134 + } 135 + } 136 + } 137 + 138 + pub fn summary(&self) { 139 + let name = &self.name; 140 + let num_buys = self.buys.len(); 141 + let num_sells = self.sells.len(); 142 + let best_buy = &self.best_buy.0; 143 + let best_sell = &self.best_sell.0; 144 + 145 + println!("Name: {} 146 + Buy count: {} 147 + Sell count: {} 148 + 149 + Best buy: {} 150 + Best sell: {}", 151 + name, num_buys, num_sells, best_buy, best_sell); 61 152 } 62 153 }
+4 -2
src/orderbook/orders.rs
··· 1 - #[derive(PartialEq, Eq, Debug)] 1 + extern crate serde_json; 2 + 3 + #[derive(Serialize, Deserialize, PartialEq, Eq, Debug)] 2 4 pub enum Ordertype{ 3 5 Buy = 1, 4 6 Sell = -1 5 7 } 6 8 7 - #[derive(Debug)] 9 + #[derive(Serialize, Deserialize, Debug)] 8 10 pub struct Order { 9 11 pub order_type: Ordertype, 10 12 pub price_string: String,
+1 -2
src/orderbook/pricelevel.rs
··· 1 1 use orderbook::orders::Order; 2 - use std::ops::Add; 3 2 4 3 #[derive(Default)] 5 4 pub struct PriceLevel { ··· 11 10 return PriceLevel {quantity: order.amount} 12 11 } 13 12 14 - pub fn merge(&self, other: PriceLevel) { 13 + pub fn merge(&mut self, other: PriceLevel) { 15 14 self.quantity += other.quantity; 16 15 } 17 16 }
+37 -10
src/testing/mod.rs
··· 1 1 extern crate rand; 2 2 extern crate pretty_env_logger; 3 + extern crate serde_json; 3 4 4 - use testing::rand::prelude::random; 5 + use testing::rand::ThreadRng; 6 + use testing::rand::random; 7 + use testing::rand::distributions::Uniform; 8 + use testing::rand::{Rng, thread_rng}; 5 9 use orderbook::orderbook::Orderbook; 6 10 use orderbook::orders::*; 7 11 ··· 11 15 let mut ob = Orderbook::new(name); 12 16 let cumulative = true; 13 17 18 + let mut rng = thread_rng(); 19 + let price_range = Uniform::new(1, 100); 20 + let amount_range = Uniform::new(1, 1000000); 21 + 14 22 for _ in 1..50 { 15 - let new_order = random_order(cumulative); 23 + let new_order = random_order(cumulative, &mut rng, &price_range, &amount_range); 16 24 // info!("{:?}", &new_order); 17 25 ob.insert(new_order, true); 18 26 } 27 + 28 + // Test string insertion 29 + for _ in 1..50 { 30 + let new_str = random_order_string(cumulative, &mut rng, &price_range, &amount_range); 31 + ob.insert_from_json(new_str, true); 32 + } 33 + 34 + ob.summary(); 19 35 } 20 36 21 - pub fn random_order(cumulative: bool) -> Order { 22 - let price: f64 = random(); 23 - let amount: f64 = random(); 37 + pub fn random_order(cumulative: bool, 38 + rng: &mut ThreadRng, 39 + price_range: &Uniform<i32>, 40 + amount_range: &Uniform<i32>) -> Order { 41 + let price: i32 = rng.sample(price_range); 42 + let amount: i32 = rng.sample(amount_range); 43 + 44 + if random() { 45 + return Order::sell(price.into(), amount.into(), cumulative); 46 + } else { 47 + return Order::buy(price.into(), amount.into(), cumulative); 48 + } 49 + } 24 50 25 - if random() { 26 - return Order::sell(price - 0.5, amount, cumulative); 27 - } else { 28 - return Order::buy(price - 0.5, amount, cumulative); 29 - } 51 + pub fn random_order_string(cumulative: bool, 52 + rng: &mut ThreadRng, 53 + price_range: &Uniform<i32>, 54 + amount_range: &Uniform<i32>) -> String { 55 + let new_order = random_order(cumulative, rng, &price_range, &amount_range); 56 + return serde_json::to_string_pretty(&new_order).unwrap(); 30 57 }