Update book.cpp

MoQuant · web-flow · commit adc9d91a4e1e · 2025-05-15T13:23:38.000-04:00
diff --git a/BookViz/book.cpp b/BookViz/book.cpp
@@ -12,20 +12,24 @@
 #include "matplotlibcpp.h"
 #include <Python.h>
 
+// Declare global namespaces to simplify calling objects
 using namespace web;
 using namespace web::websockets::client;
 using namespace boost::property_tree;
 namespace plt = matplotlibcpp;
 
+// Coinbase datafeed class
 class datafeed {
     private:
+        // Converts a string response to JSON using Boost
         ptree JSON(std::string message){
             std::stringstream ss(message);
             ptree result;
             read_json(ss, result);
             return result;
         }
 
+        // Parses the level2 orderbook for Bitcoin and updates each change in order which the book receives
         void CYCLONE(ptree df, std::map<double, double> & bids, std::map<double, double> & asks){
             bool snapshot = false;
             bool l2update = false;
@@ -37,9 +41,11 @@ class datafeed {
                             hold.push_back(kt->second.get_value<std::string>().c_str());
                         }
 
+                        // Extract the latest price and volume
                         double price = atof(hold[1].c_str());
                         double volume = atof(hold[2].c_str());
 
+                        // Erases part of book if the volume equals zero meaning that the order has been filled or cancelled fully
                         if(hold[0] == "buy"){
                             if(volume == 0){
                                 bids.erase(price);
@@ -55,6 +61,7 @@ class datafeed {
                         }
                     }
                 }
+                // Parses the bid book in the initial snapshot
                 if(snapshot == true && it->first == "bids"){
                     for(ptree::const_iterator jt = it->second.begin(); jt != it->second.end(); ++jt){
                         std::vector<double> hold;
@@ -64,6 +71,7 @@ class datafeed {
                         bids[hold[0]] = hold[1];
                     }
                 }
+                // Parses the ask book in the initial snapshot
                 if(snapshot == true && it->first == "asks"){
                     for(ptree::const_iterator jt = it->second.begin(); jt != it->second.end(); ++jt){
                         std::vector<double> hold;
@@ -74,6 +82,7 @@ class datafeed {
                     }
                 }
 
+                // Activates whether the message is a snapshot or an update
                 if(it->first == "type"){
                     if(it->second.get_value<std::string>() == "l2update"){
                         l2update = true;
@@ -88,11 +97,13 @@ class datafeed {
         
 
     public:
-        
+
+        // Level2 limit orderbook websocket feed using cpprest
         static void Socket(datafeed dx, std::map<double, double> & bids, std::map<double, double> & asks){
             std::string url = "wss://ws-feed.exchange.coinbase.com";
             std::string msg = "{\"type\":\"subscribe\",\"product_ids\":[\"BTC-USD\"],\"channels\":[\"level2_batch\"]}";
 
+            // Connect to client and send the subscription message
             websocket_client client;
             client.connect(url).wait();
             websocket_outgoing_message outmsg;
@@ -103,6 +114,7 @@ class datafeed {
                 client.receive().then([](websocket_incoming_message inmsg){
                     return inmsg.extract_string();
                 }).then([&](std::string message){
+                    // Retreives response from websocket and parses the data as a snapshot of the book, or an update of the book
                     dx.CYCLONE(dx.JSON(message), std::ref(bids), std::ref(asks));
                 }).wait();
             }
@@ -112,42 +124,50 @@ class datafeed {
         }
 };
 
+// Sets the examination depth to 80 and pulls the orderbooks price and volume for both bids and asks
 std::map<std::string, std::vector<double>> Extract(std::map<double, double> bids, std::map<double, double> asks)
 {
+    // Set depth of book
     int depth = 80;
     std::map<std::string, std::vector<double>> result;
 
+    // Pulls bid orders and takes the cumulative volume summation
     int count = 0;
     double bidvol = 0;
     for(auto it = bids.rbegin(); it != bids.rend(); ++it){
         bidvol += it->second;
         result["bidPrice"].push_back(it->first);
         result["bidSize"].push_back(bidvol);
         count += 1;
+        // Breaks loop once depth limit has been reached
         if(count >= depth){
             break;
         }
     }
 
+    // Pulls ask orders and takes the cumulative volume summation
     count = 0;
     double askvol = 0;
     for(auto it = asks.begin(); it != asks.end(); ++it){
         askvol += it->second;
         result["askPrice"].push_back(it->first);
         result["askSize"].push_back(askvol);
         count += 1;
+        // Breaks loop once depth limit has been reached
         if(count >= depth){
             break;
         }
     }
 
+    // Bids must be reveresed in order to be plotted as the lowest bid must be at the beginning of the vector
     std::reverse(result["bidPrice"].begin(), result["bidPrice"].end());
     std::reverse(result["bidSize"].begin(), result["bidSize"].end());
     
 
     return result;
 }
 
+// Builds a vector with a single value for n elements
 std::vector<double> push_into(double ii, int n){
     std::vector<double> result;
     for(int i = 0; i < n; ++i){
@@ -158,15 +178,18 @@ std::vector<double> push_into(double ii, int n){
 
 int main()
 {
+    // Declare two plots, one for bid and one for ask
     PyObject * ax = plt::chart(121);
     PyObject * ay = plt::chart(122);
 
     std::map<double, double> bids, asks;
     std::map<std::string, std::vector<double>> preprice;
 
+    // Open datafeed thread
     datafeed wsfeed;
     std::thread feed(wsfeed.Socket, wsfeed, std::ref(bids), std::ref(asks));
 
+    // Sleep for 10 seconds to allow the orderbook thread to build a dataset
     std::this_thread::sleep_for(std::chrono::seconds(10));
 
     std::vector<std::vector<double>> bX, bY, bZ, aX, aY, aZ;
@@ -176,7 +199,10 @@ int main()
     int limit = 80;
 
     while(true){
+        // Extract the depth orderbook data
         preprice = Extract(bids, asks);
+
+        // Store bid snapshots for 3D plotting
         bX.clear();
         bY.clear();
         bZ.push_back(preprice["bidSize"]);
@@ -186,6 +212,7 @@ int main()
             ii += 1;
         }
 
+        // Store ask snapshots for 3D plotting
         aX.clear();
         aY.clear();
         aZ.push_back(preprice["askSize"]);
@@ -195,7 +222,7 @@ int main()
             jj += 1;
         }
 
-
+        // Erase data from the beginning of the vectors if limit has been reached
         if(bZ.size() >= limit){
             bX.erase(bX.begin());
             bY.erase(bY.begin());
@@ -208,6 +235,7 @@ int main()
             aZ.erase(aZ.begin());
         }
 
+        // Clear and plot the two orderbooks in their own plots
         plt::Clear3DChart(ax);
         plt::Clear3DChart(ay);
 
@@ -222,4 +250,4 @@ int main()
     plt::show();
     feed.join();
     return 0;
-}
+}
