OOP Design

Fix the Position Book

Difficulty

Asked at Hudson River Trading, Tower Research Capital

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Available in Python and C++. You are solving it in C++. Switch to Python

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Language:

Python 3.12 C++23

PositionBook

#include <algorithm>
#include <cstdlib>
#include <string>
#include <unordered_map>
#include <utility>
#include <vector>

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class PositionBook {
public:
    void fill(const std::string& symbol, long long qty, long long price) {
        if (lots.find(symbol) == lots.end()) symbols.push_back(symbol);
        std::vector<std::pair<long long, long long>>& book = lots[symbol];
        if (book.empty() || (book.front().first > 0) == (qty > 0)) {
            book.emplace_back(qty, price);
            return;
        }
        long long remaining = qty;
        for (size_t i = 0; i < book.size(); ++i) {
            if (remaining == 0) break;
            std::pair<long long, long long>& lot = book[i];
            const long long closed = std::min(std::llabs(remaining), std::llabs(lot.first));
            const long long sign = lot.first > 0 ? 1 : -1;
            pnl[symbol] += closed * (price - lot.second) * sign;
            lot.first -= closed * sign;
            remaining += closed * sign;
            if (lot.first == 0) book.erase(book.begin() + static_cast<long>(i));
        }
    }

    long long position(const std::string& symbol) const {
        const auto found = lots.find(symbol);
        if (found == lots.end()) return 0;
        long long net = 0;
        for (const auto& lot : found->second) net += lot.first;
        return net;
    }

    const std::vector<std::pair<long long, long long>>& open_lots(const std::string& symbol) const {
        static const std::vector<std::pair<long long, long long>> none;
        const auto found = lots.find(symbol);
        return found == lots.end() ? none : found->second;
    }

    long long realised(const std::string& symbol) const {
        const auto found = pnl.find(symbol);
        return found == pnl.end() ? 0 : found->second;
    }

    std::vector<std::pair<std::string, long long>> snapshot() const {
        std::vector<std::pair<std::string, long long>> out;
        for (const std::string& symbol : symbols) {
            if (position(symbol) != 0) out.emplace_back(symbol, position(symbol));
        }
        return out;
    }

private:
    inline static std::unordered_map<std::string, std::vector<std::pair<long long, long long>>> lots;
    inline static std::unordered_map<std::string, long long> pnl;
    inline static std::vector<std::string> symbols;
};

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