OrderDetailHistory Class Reference

Manages the history of orders and tracks live orders in the orderbook. More...

#include <OrderDetailHistory.hpp>

Public Member Functions
	OrderDetailHistory ()
	Default constructor that initializes the neural network with a predefined topology. More...
int	buyHistorySize () const
	Returns the size of the buy history. More...
int	sellHistorySize () const
	Returns the size of the sell history. More...
int	purchaseHistorySize () const
	Returns the size of the purchase history. More...
void	updateNeutralNetwork (Price price, Quantity quantity)
	Updates the neural network with the latest order price and quantity data. More...
void	addOrderToHistory (const OrderType type, const OrderId id, const Side side, const Price price, const Quantity qty)
	Adds an order to the appropriate history (buy or sell) based on its side. More...
void	addOrderToPurchaseHistory (const Price price, const Quantity qty)
	Adds a new purchase order to the purchase history. More...
void	saveHistoryToJson (const std::string &buyfilename, const std::string &sellfilename, const std::string &purchasefilename)
	Saves the buy, sell, and purchase histories to JSON files. More...
void	saveHistoryToJson (const std::string &buyfilename="BuyHistory.json", const std::string &sellfilename="SellHistory.json", const std::string &purchasefilename="PurchaseHistory.json", const std::string &liveSellOrdersFilename="LiveSellHistory.json", const std::string &buySellOrdersFilename="LiveBuyHistory.json")
	Saves multiple histories including live orders to JSON files. More...
void	removeMatchedOrder (const OrderId bidId, const OrderId askID)
	Removes matched orders by IDs from the live orders map. More...
void	_printSellHistory ()
	Prints the sell history to the console. More...
void	_printBuyHistory ()
	Prints the buy history to the console. More...
void	_printPurchaseHistory ()
	Prints the purchase history to the console. More...
void	_printLiveOrders ()
	Prints the live orders to the console. More...
Price	getVWAP ()
	Calculates the Volume-Weighted Average Price (VWAP) of all purchases. More...
Price	getVWAP (int n)
	Calculates the VWAP of the last n purchases. More...
Price	getPrediction ()
	Retrieves the last prediction from the neural network. More...
std::unordered_map< OrderId, OrderDetail >	getLiveOrders ()
	Retrieves a map of all currently live orders. More...
void	deleteALiveOrder (OrderId id)
	Deletes a live order by ID. More...

Detailed Description

Manages the history of orders and tracks live orders in the orderbook.

The OrderDetailHistory class stores order details, provides methods to save and retrieve order data, and uses a neural network to predict future prices.

Constructor & Destructor Documentation

OrderDetailHistory()

OrderDetailHistory::OrderDetailHistory ( )

inline

Default constructor that initializes the neural network with a predefined topology.

Member Function Documentation

_printBuyHistory()

void OrderDetailHistory::_printBuyHistory

(

)

Prints the buy history to the console.

Prints the buy history.

_printLiveOrders()

void OrderDetailHistory::_printLiveOrders

(

)

Prints the live orders to the console.

_printPurchaseHistory()

void OrderDetailHistory::_printPurchaseHistory

(

)

Prints the purchase history to the console.

Prints the purchase history.

_printSellHistory()

void OrderDetailHistory::_printSellHistory

(

)

Prints the sell history to the console.

Prints the sell history.

addOrderToHistory()

void OrderDetailHistory::addOrderToHistory	(	const OrderType	type,
		const OrderId	id,
		const Side	side,
		const Price	price,
		const Quantity	qty
	)

Adds an order to the appropriate history (buy or sell) based on its side.

Parameters

type	The type of the order.
id	The unique identifier of the order.
side	The side of the order (Buy or Sell).
price	The price of the order.
qty	The quantity of the order.

addOrderToPurchaseHistory()

void OrderDetailHistory::addOrderToPurchaseHistory	(	const Price	price,
		const Quantity	qty
	)

Adds a new purchase order to the purchase history.

Adds a new purchase to the purchase history.

Parameters

price	The price at which the order was purchased.
qty	The quantity of the order.

buyHistorySize()

int OrderDetailHistory::buyHistorySize

(

)

const

Returns the size of the buy history.

Returns

The number of buy orders in the history.

deleteALiveOrder()

void OrderDetailHistory::deleteALiveOrder

(

OrderId

id

)

Deletes a live order by ID.

Deletes a live order by its ID.

Parameters

id	The ID of the order to delete.

getLiveOrders()

std::unordered_map< OrderId, OrderDetail > OrderDetailHistory::getLiveOrders

(

)

Retrieves a map of all currently live orders.

Returns a copy of the live orders map.

Returns

An unordered_map of live orders.

A map of live orders indexed by order ID.

getPrediction()

Price OrderDetailHistory::getPrediction

(

)

Retrieves the last prediction from the neural network.

Retrieves the current VWAP price.

Returns

The predicted price.

The most recent prediction from the neural network.

getVWAP() [1/2]

Price OrderDetailHistory::getVWAP

(

)

Calculates the Volume-Weighted Average Price (VWAP) of all purchases.

Returns

The VWAP of all purchases.

getVWAP() [2/2]

Price OrderDetailHistory::getVWAP

(

int

n

)

Calculates the VWAP of the last n purchases.

Calculates the VWAP for the last n purchases.

Returns

The VWAP of the last n purchases.

Parameters

n	The number of recent purchases to include in the calculation.

Returns

The VWAP of the last n purchases.

purchaseHistorySize()

int OrderDetailHistory::purchaseHistorySize

(

)

const

Returns the size of the purchase history.

Returns

The number of matched purchase orders in the history.

removeMatchedOrder()

void OrderDetailHistory::removeMatchedOrder	(	const OrderId	bidId,
		const OrderId	askId
	)

Removes matched orders by IDs from the live orders map.

Removes a matched order from the live order map.

Parameters

bidId	The unique identifier of the buy order.
askId	The unique identifier of the sell order.

saveHistoryToJson() [1/2]

void OrderDetailHistory::saveHistoryToJson	(	const std::string &	buyfilename,
		const std::string &	sellfilename,
		const std::string &	purchasefilename
	)

Saves the buy, sell, and purchase histories to JSON files.

saveHistoryToJson() [2/2]

void OrderDetailHistory::saveHistoryToJson	(	const std::string &	buyfilename = "BuyHistory.json",
		const std::string &	sellfilename = "SellHistory.json",
		const std::string &	purchasefilename = "PurchaseHistory.json",
		const std::string &	liveSellOrdersFilename = "LiveSellHistory.json",
		const std::string &	buySellOrdersFilename = "LiveBuyHistory.json"
	)

Saves multiple histories including live orders to JSON files.

sellHistorySize()

int OrderDetailHistory::sellHistorySize

(

)

const

Returns the size of the sell history.

Returns

The number of sell orders in the history.

updateNeutralNetwork()

void OrderDetailHistory::updateNeutralNetwork	(	Price	price,
		Quantity	quantity
	)

Updates the neural network with the latest order price and quantity data.

Updates the neural network with new price and quantity data.

Parameters

price	The price of the latest matched order.
quantity	The quantity of the latest matched order.

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The documentation for this class was generated from the following files:

• OrderbookSim/OrderDetailHistory.hpp
• OrderbookSim/OrderDetailHistory.cpp