Merge pull request #38 from IteraLabs/expand-orderbook-structure-impl…

…ementations

Expand orderbook structure implementations

atelier/examples/ob_metrics.rs

@@ -1,49 +1,192 @@
-use atelier::data::market::Orderbook;
-use atelier::metrics::market::{MarketMetric, Midprice, Spread, VolumeImbalance, VWAP};
+use atelier::data::market::{Level, Order, OrderType, Orderbook, Side};
 
 fn main() {
     // Parameters for synthetic orderbook generation
     let bid_price = 50_000.00;
     let ask_price = 50_100.00;
     let tick_size = 100.0;
-    let n_levels = 5;
-    let n_orders = 2;
+    let n_levels = 2;
+    let n_orders = 1;
 
     // Generate a synthetic orderbook for testing
-    let i_ob = Orderbook::synthetize(bid_price, ask_price, tick_size, n_levels, n_orders);
-
-    // extract tob values
-    let tob_bid: f64 = i_ob.bids[0].price;
-    let tob_ask: f64 = i_ob.asks[0].price;
-
-    // Compute the Spread
-    let spread_value = Spread::compute(&tob_bid, &tob_ask, 0);
-    println!("Spread: {:?}", spread_value);
-
-    // Compute the Midprice
-    let midprice_value = Midprice::compute(&tob_bid, &tob_ask, 0);
-    println!("Midprice: {}", midprice_value);
-
-    // Compute the Volume Imbalance
-    let iter_bids: Vec<f64> = i_ob.bids.clone().into_iter().map(|x| x.volume).collect();
-    let iter_asks: Vec<f64> = i_ob.asks.clone().into_iter().map(|x| x.volume).collect();
-
-    let obimb_value = VolumeImbalance::compute(&iter_bids, &iter_asks, 1);
-    println!("Volume Imbalance: {:?}", obimb_value);
-
-    // Compute the Volume-Weighted Average Price
-    let iter_bids: Vec<_> = i_ob
-        .bids
-        .into_iter()
-        .map(|x| vec![x.price, x.volume])
-        .collect();
-    let iter_asks: Vec<_> = i_ob
-        .asks
-        .into_iter()
-        .map(|x| vec![x.price, x.volume])
-        .collect();
-
-    // Compute the VWAP
-    let vwap_value = VWAP::compute(&iter_bids.clone(), &iter_asks.clone(), 1);
-    println!("VWAP: {:?}", vwap_value);
+    // this determines the order of the Level objects within
+    // the bids and asks vectors, and also, the order of each
+    // order within each level.
+
+    let mut i_ob = Orderbook::synthetize(bid_price, ask_price, tick_size, n_levels, n_orders);
+
+    // Generated Orderbook
+    // println!("{:?}", i_ob);
+
+    // ------------------------------------------------------- Find Level -- //
+    // ------------------------------------------------------- ---------- -- //
+
+    let price_level = 50_200.0;
+    let find_level_ob = i_ob.find_level(&price_level);
+
+    println!("\n -- Find Level --");
+
+    match find_level_ob {
+        Ok(n) if n < 0 => {
+            let bid_found = find_level_ob.unwrap().abs() as usize - 1;
+
+            println!(
+                "
+                The search price: {:?} is in the bid side, 
+                with an index: {:?},
+                with a price level: {:?},
+                with {:?} orders.",
+                &price_level,
+                i_ob.bids[bid_found].level_id,
+                i_ob.bids[bid_found].price,
+                i_ob.bids[bid_found].orders.len()
+            )
+        }
+
+        Ok(n) if n > 0 => {
+            let ask_found = find_level_ob.unwrap() as usize - 1;
+
+            println!(
+                "
+                The price: {:?} is in the ask side,
+                with an index: {:?},
+                with a price level: {:?},
+                with {:?} orders",
+                &price_level,
+                i_ob.asks[ask_found].level_id,
+                i_ob.asks[ask_found].price,
+                i_ob.asks[ask_found].orders.len()
+            )
+        }
+        Err(e) => println!("Error encountered : {:?}", e),
+        Ok(_) => println!("Error not mapped"),
+    }
+
+    // --------------------------------------------------- Retrieve Level -- //
+    // --------------------------------------------------- -------------- -- //
+
+    let find_this: f64 = 50_200.0;
+    let content_ob_level = i_ob.retrieve_level(&find_this).unwrap();
+
+    println!("\n -- Retrieve Level --");
+    println!(
+        "
+        level to be retrieved: {:?},
+        retrieved Level index: {:?},
+        retrieved Level price: {:?}, 
+        retrieved Level orders: {:?}",
+        find_this,
+        content_ob_level.level_id,
+        content_ob_level.price,
+        content_ob_level.orders.len(),
+    );
+
+    // ----------------------------------------------------- Delete Level -- //
+    // ----------------------------------------------------- ------------ -- //
+
+    println!("\n -- Delete Level --");
+    let delete_this: f64 = 50_200.0;
+    println!(
+        " 
+        Delete the level with this price: {:?}",
+        &delete_this
+    );
+    i_ob.delete_level(&delete_this).unwrap();
+    println!("\nNew state of the OB.bids: \n{:?}", i_ob.bids);
+    println!("\nNew state of the OB.asks: \n{:?}", i_ob.asks);
+
+    // ----------------------------------------------------- Insert Level -- //
+    // ----------------------------------------------------- ------------ -- //
+
+    println!("\n -- Insert Level --");
+    println!("");
+
+    let new_order = Order {
+        order_id: 123,
+        order_ts: 456,
+        order_type: OrderType::Limit,
+        side: Side::Asks,
+        price: 50_200.0,
+        amount: 0.123,
+    };
+
+    let new_level = Level {
+        level_id: 123,
+        side: Side::Asks,
+        price: 50_200.0,
+        volume: 0.987,
+        orders: vec![new_order],
+    };
+
+    let insert_this: &Level = &new_level;
+    println!(
+        "
+        Level to be inserted: {:?}",
+        &insert_this
+    );
+
+    println!("\nResult of insertion: {:?}", i_ob.insert_level(new_level));
+
+    // let find_this: &f64 = &new_level.price;
+    println!("i_ob content: {:?}", i_ob);
+
+    println!("\n -- Retrieve Level --");
+    println!(
+        "
+        NEW level to be retrieved: {:?},
+        NEW retrieved Level index: {:?},
+        NEW retrieved Level price: {:?}, 
+        NEW retrieved Level orders: {:?}",
+        find_this,
+        content_ob_level.level_id,
+        content_ob_level.price,
+        content_ob_level.orders.len()
+    );
+
+    // ------------------------------------------------------- Find Order -- //
+    // ------------------------------------------------------- ---------- -- //
+
+    println!("\n -- Find Order --");
+    let i_order = &i_ob.bids[0].orders[0];
+
+    let found_order = i_ob.find_order(i_order.side, i_order.price, i_order.order_ts);
+
+    println!(
+        "
+        Order to be found,
+        side: {:?},
+        price: {:?},
+        order_ts: {:?}",
+        i_order.side, i_order.price, i_order.order_ts,
+    );
+
+    println!("\nOrder found: {:?}", found_order.unwrap());
+
+    // --------------------------------------------------- Retrieve Order -- //
+    // --------------------------------------------------- -------------- -- //
+
+    println!("\n -- Retrieve Order --");
+    let i_order = &i_ob.bids[0].orders[0];
+
+    let retrieved_order = i_ob.retrieve_order(i_order.side, i_order.price, i_order.order_ts);
+
+    println!(
+        "
+        Order to be found,
+        side: {:?},
+        price: {:?},
+        order_ts: {:?}",
+        i_order.side, i_order.price, i_order.order_ts,
+    );
+
+    println!("Retrieved Order: {:?}", retrieved_order);
+
+    // ----------------------------------------------------- Delete Order -- //
+    // ----------------------------------------------------- ------------ -- //
+
+    // ----------------------------------------------------- Insert Order -- //
+    // ----------------------------------------------------- ------------ -- //
+
+    // ----------------------------------------------------- Modify Order -- //
+    // ----------------------------------------------------- ------------ -- //
 }