csv.hpp

// A data feed handler that writes LOB::LimitOrderBook data in csv file format.
// Copyright 2020 Christian Kauten
//
// Author: Christian Kauten (kautenja@auburn.edu)
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU General Public License as published by
// the Free Software Foundation, either version 3 of the License, or
// (at your option) any later version.
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
// GNU General Public License for more details.
// You should have received a copy of the GNU General Public License
// along with this program.  If not, see <http://www.gnu.org/licenses/>.
//
 
#ifndef DATA_FEED_HANDLERS_CSV_HPP
#define DATA_FEED_HANDLERS_CSV_HPP
 
#include "data_feed/receiver.hpp"
#include <ostream>
 
namespace DataFeed {
 
namespace Handlers {
 
class CSV {
 private:
    std::ostream& stream;
 
    inline void print_header() {
        stream
            << "event_time,"
            << "message_time,"
            << "receipt_time,"
            << "buy_volume,"
            << "buy_size,"
            << "buy_price,"
            << "sell_volume,"
            << "sell_size,"
            << "sell_price,"
            << "sell_adds,"
            << "buy_adds,"
            << "cancels,"
            << "sell_trades,"
            << "buy_trades"
            << std::endl;
    }
 
    inline void print(const Messages::Header& header) {
        stream
            << header.sequence << ","
            << header.time << ","
            << Clock::get_time() << ",";
    }
 
    inline void print(const LOB::LimitOrderBook& book) {
        stream
            << book.volume_buy() << ","
            << book.count_buy() << ","
            << book.last_best_buy() << ","
            << book.volume_sell() << ","
            << book.count_sell() << ","
            << book.last_best_sell();
    }
 
 public:
    CSV(std::ostream& stream_ = std::cout) : stream(stream_) { print_header(); }
 
    inline void did_receive(Receiver<CSV>* receiver, const Messages::StartOfSession& message) {
        print(message.header);
        print(receiver->get_book());
        stream << ",0,0,0,0,0" << std::endl;
    }
 
    inline void did_receive(Receiver<CSV>* receiver, const Messages::EndOfSession& message) {
        print(message.header);
        print(receiver->get_book());
        stream << ",1,1,1,1,1" << std::endl;
    }
 
    inline void did_receive(Receiver<CSV>* receiver, const Messages::Clear& message) {
        std::cerr << "CSV::did_receive() - clear message" << std::endl;
    }
 
    inline void did_receive(Receiver<CSV>* receiver, const Messages::AddOrder& message) {
        if (not receiver->is_session_active())
            return;
        print(message.header);
        print(receiver->get_book());
        // add order
        auto is_buy = DataFeed::side_to_bool(message.side);
        stream << "," << !is_buy << "," << is_buy << ",0,0,0" << std::endl;
    }
 
    inline void did_receive(Receiver<CSV>* receiver, const Messages::DeleteOrder& message) {
        if (not receiver->is_session_active())
            return;
        print(message.header);
        print(receiver->get_book());
        // delete order
        stream << ",0,0,1,0,0" << std::endl;
 
    }
 
    inline void did_receive(Receiver<CSV>* receiver, const Messages::Trade& message) {
        if (not receiver->is_session_active())
            return;
        print(message.header);
        print(receiver->get_book());
        // trade
        auto is_buy = DataFeed::side_to_bool(message.side);
        stream << ",0,0,0," << !is_buy << "," << is_buy << std::endl;
    }
};
 
}  // namespace Handlers
 
}  // namespace DataFeed
 
#endif    // DATA_FEED_HANDLERS_CSV_HPP