OrderDetailHistory.hpp

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#pragma once
 
#include <vector>
#include <iostream>
#include <fstream>
#include <unordered_map>
#include "json.hpp"
#include "NeuralNetwork.hpp"
#include "OrderDetail.hpp"
#include "MatchedOrderDetails.hpp"
 
class OrderDetailHistory {
private:
    std::vector<OrderDetail> buyHistory;               
    std::vector<OrderDetail> sellHistory;              
    std::vector<MatchedOrderDetail> _purchaseHistory;  
    std::unordered_map<OrderId, OrderDetail> _liveOrders; 
 
    NeuralNetwork neutralNetwork;                      
    Price lastPrediction = 0;                          
    Price PRICESCALE = 500;                            
 
    std::pair<std::vector<OrderDetail>, std::vector<OrderDetail>> _getLiveOrders() const;
 
    void addOrderToBuyHistory(const OrderType type, const OrderId id, const Side side, const Price price, const Quantity qty);
 
    void addOrderToSellHistory(const OrderType type, const OrderId id, const Side side, const Price price, const Quantity qty);
 
    void saveHistoryToJson(const std::string& filename, const std::vector<OrderDetail> history);
 
    void saveHistoryToJson(const std::string& filename, const std::vector<MatchedOrderDetail> history);
 
    void _loadJsonLiveOrders(const std::string& SellFilename, const std::string& buyFilename);
 
    void _printLiveOrders(const std::string& SellFilename, const std::string& buyFilename);
 
    void _printAHistory(const std::vector<OrderDetail>& history);
 
    double getCurrentTimeAsFractionOfDay();
 
    void loadHistoryToNeuralNetwork(std::vector<Price> inputPrice, std::vector<Price> outputPrice);
 
public:
    OrderDetailHistory() {
        const std::vector<unsigned> topology = { 2, 3, 1 };
        neutralNetwork.loadTogology(topology);
    }
 
    int buyHistorySize() const;
 
    int sellHistorySize() const;
 
    int purchaseHistorySize() const;
 
    void updateNeutralNetwork(Price price, Quantity quantity);
 
    void addOrderToHistory(const OrderType type, const OrderId id, const Side side, const Price price, const Quantity qty);
 
    void addOrderToPurchaseHistory(const Price price, const Quantity qty);
 
    void saveHistoryToJson(const std::string& buyfilename, const std::string& sellfilename, const std::string& purchasefilename);
 
    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");
 
    void removeMatchedOrder(const OrderId bidId, const OrderId askID);
 
    void _printSellHistory();
 
    void _printBuyHistory();
 
    void _printPurchaseHistory();
 
    void _printLiveOrders();
 
    Price getVWAP();
 
    Price getVWAP(int n);
 
    Price getPrediction();
 
    std::unordered_map<OrderId, OrderDetail> getLiveOrders();
 
    void deleteALiveOrder(OrderId id);
};