// SizeSignal.h
#pragma once
#include <onepiece/models/TickData.h>
#include <queue>
class SizeSignal
{
public:
SizeSignal() = delete;
SizeSignal(unsigned int windows);
~SizeSignal();
void UpdateTick(TickSPtr tickSPtr);
int SumBidSize();
int SumAskSize();
int SumDiff();
int SumVolume();
double AvgBidSize();
double AvgAskSize();
double AvgDiff();
double AvgVolume();
bool Check();
private:
unsigned int m_windows;
queue<TickSPtr> m_ticks;
int m_sumBidSize;
int m_sumAskSize;
int m_sumVolume;
bool m_isOk;
};
// SizeSignal.cc
#include <onepiece/signals/SizeSignal.h>
SizeSignal::SizeSignal(unsigned int windows): m_windows(windows), m_isOk(false) {
}
SizeSignal::~SizeSignal() {
while (!this->m_ticks.empty()) {
this->m_ticks.pop();
}
}
void SizeSignal::UpdateTick(TickSPtr tickSPtr) {
if (this->m_ticks.size() < this->m_windows) {
this->m_ticks.push(tickSPtr);
this->m_sumAskSize += tickSPtr->AskSize();
this->m_sumBidSize += tickSPtr->BidSize();
this->m_sumVolume += tickSPtr->Volume();
this->m_isOk = false;
return;
}
this->m_ticks.push(tickSPtr);
this->m_sumAskSize += tickSPtr->AskSize();
this->m_sumBidSize += tickSPtr->BidSize();
this->m_sumVolume += tickSPtr->Volume();
TickSPtr firstTickSPtr = this->m_ticks.front();
this->m_sumAskSize -= firstTickSPtr->AskSize();
this->m_sumBidSize -= firstTickSPtr->BidSize();
this->m_sumVolume -= firstTickSPtr->Volume();
this->m_ticks.pop();
this->m_isOk = true;
}
int SizeSignal::SumAskSize() {
return this->m_sumAskSize;
}
int SizeSignal::SumBidSize() {
return this->m_sumBidSize;
}
int SizeSignal::SumDiff() {
return this->m_sumBidSize - this->m_sumAskSize;
}
int SizeSignal::SumVolume() {
return this->m_sumVolume;
}
double SizeSignal::AvgBidSize() {
return (0 != this->m_windows) ? (this->m_sumBidSize / this->m_windows) : 0;
}
double SizeSignal::AvgAskSize() {
return (0 != this->m_windows) ? (this->m_sumAskSize / this->m_windows) : 0;
}
double SizeSignal::AvgDiff() {
return (0 != this->m_windows) ? (this->SumDiff() / this->m_windows) : 0;
}
double SizeSignal::AvgVolume() {
return (0 != this->m_windows) ? (this->SumVolume() / this->m_windows) : 0;
}
bool SizeSignal::Check() {
return this->m_isOk;
}