 Bruno BELANYI
|
f8558238bf
|
kraken: don't use a thread for reading input
continuous-integration/drone/push Build is passing
Details
|
2022-03-25 10:47:14 +01:00 |
|
Bruno BELANYI
|
7c2a25a6b0
|
kraken: make multi-threaded
continuous-integration/drone/push Build was killed
Details
|
2022-03-24 17:54:37 +01:00 |
|
Bruno BELANYI
|
a95df7a00f
|
kraken: book: make 'Order' default constructible
|
2022-03-24 17:50:36 +01:00 |
|
Bruno BELANYI
|
654be9fc70
|
kraken: link with 'boost::thread'
|
2022-03-24 17:50:20 +01:00 |
|
Bruno BELANYI
|
22fe2ad421
|
nix: add 'boost' dependency
|
2022-03-24 17:50:01 +01:00 |
|
Bruno BELANYI
|
3998b9839f
|
kraken: refactor to interleave input and output
|
2022-03-24 17:19:42 +01:00 |
|
Bruno BELANYI
|
8bba52d3b9
|
kraken: engine: expose 'process_single_order'
|
2022-03-24 17:19:02 +01:00 |
|
Bruno BELANYI
|
e601250e7b
|
kraken: parse: expose 'parse_single_order'
|
2022-03-24 17:18:23 +01:00 |
|
Bruno BELANYI
|
d159cfb877
|
kraken: engine: non-const 'output' on listener
|
2022-03-24 17:17:44 +01:00 |
|
Bruno BELANYI
|
8474ed0c69
|
kraken: csv: expose 'read_csv_line'
|
2022-03-24 17:17:09 +01:00 |
|
Bruno BELANYI
|
6fc5502b99
|
doc: talk about improvements to matching
continuous-integration/drone/push Build is passing
Details
|
2022-03-13 18:04:18 +01:00 |
|
Bruno BELANYI
|
a681671efa
|
data: add invalid scenarios
Those are not supported by my engine, as they have remaining quantities
on a trade match.
|
2022-03-13 18:04:18 +01:00 |
|
Bruno BELANYI
|
ea8c880cca
|
data: add simple tests for matching
Matching is done with asking price, when there is a difference.
|
2022-03-13 18:04:18 +01:00 |
|
Bruno BELANYI
|
14645524e2
|
doc: add warning about trade matching
continuous-integration/drone/push Build is passing
Details
|
2022-03-12 14:24:33 +01:00 |
|
Bruno BELANYI
|
afe78c4d8c
|
doc: mention '--enable-trade'
continuous-integration/drone/push Build is passing
Details
|
2022-03-12 14:03:52 +01:00 |
|
Bruno BELANYI
|
4b06f591c6
|
tests: integration: check when trade enabled
|
2022-03-12 14:03:06 +01:00 |
|
Bruno BELANYI
|
832abfb224
|
kraken: add '--enable-trade'
|
2022-03-12 13:59:44 +01:00 |
|
Bruno BELANYI
|
ef027c77f6
|
doc: adjust README w/ trade matching
|
2022-03-12 13:57:21 +01:00 |
|
Bruno BELANYI
|
1cf45d9125
|
kraken: engine: DRY in trade matching
|
2022-03-12 13:56:08 +01:00 |
|
Bruno BELANYI
|
bc20b1ee9a
|
tests: unit: engine: add 'engine_trade' suite
|
2022-03-12 13:49:20 +01:00 |
|
Bruno BELANYI
|
ce9457fabd
|
kraken: engine: add trading on cross behaviour
It is limited, and mostly untested, I would need more explicit semantics
for the border cases to make it more robust.
|
2022-03-12 13:48:57 +01:00 |
|
Bruno BELANYI
|
68a7e55238
|
data: add trading data
|
2022-03-12 13:47:56 +01:00 |
|
Bruno BELANYI
|
803452bfa2
|
doc: add README
|
2022-03-12 13:19:15 +01:00 |
|
Bruno BELANYI
|
8534a74c87
|
kraken: engine: DRY in top-of-book handling
|
2022-03-12 12:40:23 +01:00 |
|
Bruno BELANYI
|
fae4a9d5c7
|
kraken: engine: refactor 'cancel' ordering
Now that we have a way to reverse-lookup for cancel orders, we are not
linear in the number of active orders.
|
2022-03-12 12:40:23 +01:00 |
|
Bruno BELANYI
|
acbae579b3
|
kraken: utils: make 'StrongType' copyable
|
2022-03-12 12:08:27 +01:00 |
|
Bruno BELANYI
|
c62f79cbb2
|
tests: add integration tests
continuous-integration/drone/push Build is passing
Details
|
2022-03-12 11:39:39 +01:00 |
|
Bruno BELANYI
|
fa563f2f59
|
kraken: make functional binary
|
2022-03-12 11:39:39 +01:00 |
|
Bruno BELANYI
|
e5ddd16da2
|
tests: unit: add 'engine' suite
|
2022-03-12 11:39:39 +01:00 |
|
Bruno BELANYI
|
37b04a678a
|
kraken: engine: fix comparisons
|
2022-03-12 11:39:39 +01:00 |
|
Bruno BELANYI
|
5f1fbac76c
|
data: add additional test cases
I was too tired last night (this morning...) I inverted a couple comparisons.
Those simple tests helped isolate the issue.
|
2022-03-12 11:39:39 +01:00 |
|
Bruno BELANYI
|
4515fc1c36
|
kraken: engine: add 'CsvEngineListern.output'
Otherwise it would be difficult to actually get access to the output...
|
2022-03-12 11:39:39 +01:00 |
|
Bruno BELANYI
|
0817e7ac7e
|
kraken: engin: add 'Engine'
This is the brains of the operation, the matching engine.
|
2022-03-12 11:39:39 +01:00 |
|
Bruno BELANYI
|
346dfc4e17
|
kraken: engine: add 'CsvEngineListener'
This is the listener that implements the expected output.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
e3b2d29463
|
kraken: engine: add 'EngineListener'
The `Engine` will be in charge of updating the book, triggering the
listener on each event.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
21ff896730
|
kraken: move 'Order' definition to 'book'
I think it makes more sense to centralise these important types in the
`book` library.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
7c9b61b654
|
test: unit: add tests for input parsing
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
d1f61e6e61
|
kraken: include 'src' in build directory
Needed for the `config.h` file to be included correctly.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
8c33e298da
|
data: add example CSV files
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
0157c7b193
|
kraken: parse: order: add ordering
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
f0ffc652d5
|
kraken: utils: strong-type: derive order
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
7f5f1f9e04
|
kraken: add 'config.h'
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
12f458cf94
|
kraken: parse: add input file parser
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
9550598a87
|
kraken: parse: define 'Order' type
Use strong typing for the various components of the order.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
b7182826ab
|
kraken: utils: add 'StrongType'
I foresee the need to disambiguate a lot of `int`s.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
382f374031
|
clang-format: break after template declarations
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
bd072e1025
|
kraken: csv: fix comma separation logic
Unfortunately, `std::ostream_iterator` puts its separator *after* every
element, not *in-between* each element.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
6ee4e5b554
|
tests: unit: csv: add 'write_csv' suite
The disabled tests are expected failures (which GTest does not support),
once fixed they will be enabled.
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
3539cd4a34
|
tests: unit: csv: qualify 'read_csv' tests better
|
2022-03-12 11:07:20 +01:00 |
|
Bruno BELANYI
|
23b71018ac
|
kraken: csv: add writing functionality
Once again, pretty naive, but it will do.
|
2022-03-12 11:07:20 +01:00 |