gdax-orderbook-hpp/demo/demo.cpp

   1 #include <chrono>
   2 #include <iostream>
   3 #include <thread>
   4
   5 #include "gdax-orderbook.hpp"
   6
   7 void printBestBidAndOffer(GDAXOrderBook & book)
   8 {
   9     std::cout << "current best bid: " << book.bids.begin()->second << " @ $"
  10                                << book.bids.begin()->first/100.0 << " ; ";
  11     std::cout << "current best offer: " << book.offers.begin()->second << " @ $"
  12                                  << book.offers.begin()->first/100.0 << " ; "
  13                                  << std::endl;
  14 }
  15
  16 int main(int argc, char* argv[]) {
  17     GDAXOrderBook book("ETH-USD");
  18
  19     printBestBidAndOffer(book);
  20
  21     size_t secondsToSleep = 5;
  22     std::cout << "waiting " << secondsToSleep << " seconds for the market to "
  23         "shift" << std::endl;
  24     std::this_thread::sleep_for(std::chrono::seconds(secondsToSleep));
  25
  26     printBestBidAndOffer(book);
  27
  28     size_t histogram[30];
  29     for ( auto bucket : histogram ) bucket = 0;
  30
  31     size_t numThreads = 5;
  32     secondsToSleep = 10;
  33     std::cout << "running for " << secondsToSleep << " seconds, with " <<
  34         numThreads << " threads constantly iterating over the whole order "
  35         "book." << std::endl;
  36     bool keepIterating = true;
  37     {
  38         std::vector<std::future<void>> futures;
  39         for (size_t i = 0 ; i < numThreads ; ++i)
  40         {
  41             futures.emplace_back(
  42                 std::async(std::launch::async,
  43                            [&book, &keepIterating, &histogram] ()
  44             {
  45                 GDAXOrderBook::ensureThreadAttached();
  46
  47                 GDAXOrderBook::bids_map_t::iterator bidIter;
  48                 GDAXOrderBook::offers_map_t::iterator offerIter;
  49                 std::chrono::steady_clock::time_point start, finish;
  50
  51                 while(keepIterating == true)
  52                 {
  53                     start = std::chrono::steady_clock::now();
  54
  55                     bidIter = book.bids.begin();
  56                     while(bidIter != book.bids.end()) { ++bidIter; }
  57
  58                     offerIter = book.offers.begin();
  59                     while(offerIter != book.offers.end()) { ++offerIter; }
  60
  61                     finish = std::chrono::steady_clock::now();
  62
  63                     int index =                         static_cast<size_t>(
  64                             std::chrono::duration<double, std::milli>(
  65                                 std::chrono::steady_clock::now() - start
  66                                                                       ).count()/500);
  67
  68                             histogram[index]++;
  69                 }
  70             }));
  71         }
  72
  73         std::this_thread::sleep_for(std::chrono::seconds(secondsToSleep));
  74
  75         keepIterating = false;
  76     }
  77
  78     // find the largest histogram bucket so we can determine the scale factor
  79     // for all of the buckets
  80     double scaleFactor =
  81         [&histogram]() {
  82             size_t countOfBiggestBucket = 0;
  83             for ( size_t & i : histogram )
  84             {
  85               countOfBiggestBucket = std::max(i, countOfBiggestBucket);
  86             }
  87             return (double)countOfBiggestBucket;
  88         }()/68.0; // 80 column display, minus chars used for row headers, =68
  89     std::cout << "histogram of times to iterate over the whole book:" << std::endl;
  90     for ( int i=0 ; i < sizeof(histogram)/sizeof(histogram[0]) ; ++i )
  91     {
  92         std::cout
  93             << std::right << std::setw(3) << std::setfill(' ') << i*5
  94             << "-"
  95             << std::right << std::setw(3) << std::setfill(' ') << (i+1)*5-1
  96             << " ms: ";
  97         for ( int j=0 ; j<histogram[i]/scaleFactor ; ++j )
  98         {
  99             std::cout << "*";
 100         }
 101         std::cout << std::endl;
 102     }
 103 }