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‎AlterGUI/algo.cpp

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#include <iostream>
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#include <vector>
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#include <string>
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#include <Python.h>
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#include "matplotlibcpp.h"
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#include <math.h>
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#include <map>
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namespace plt = matplotlibcpp;
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double fx(double x, double y)
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{
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return -(pow(x, 2) + pow(y, 2));
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}
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double dfx(double x, double y)
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{
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return -2.0*x;
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}
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double dfy(double x, double y)
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{
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return -2.0*y;
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}
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double plane(double x, double y, double x0, double y0)
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{
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return dfx(x0, y0)*(x - x0) + dfy(x0, y0)*(y - y0) + fx(x0, y0);
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}
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std::map<std::string, std::vector<std::vector<double>>> Tangent(double c, double x0, double y0)
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{
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double m0 = x0 - c, m1 = x0 + c;
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double n0 = y0 - c, n1 = y0 + c;
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int o = 60;
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double dM = (m1 - m0)/(o - 1);
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double dN = (n1 - n0)/(o - 1);
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std::map<std::string, std::vector<std::vector<double>>> result;
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std::vector<double> tx, ty, tz;
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double rx, ry;
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for(int i = 0; i < o; ++i){
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tx.clear();
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ty.clear();
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tz.clear();
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rx = m0 + i*dM;
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for(int j = 0; j < o; ++j){
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ry = n0 + j*dM;
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tx.push_back(rx);
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ty.push_back(ry);
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tz.push_back(plane(rx, ry, x0, y0));
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}
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result["x"].push_back(tx);
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result["y"].push_back(ty);
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result["z"].push_back(tz);
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}
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return result;
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}
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int main()
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{
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PyObject * ax = plt::chart(111);
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plt::Clear3DChart(ax);
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int n = 60;
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double t0 = -4.0, t1 = 4.0;
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double dT = (t1 - t0)/(n - 1);
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std::vector<std::vector<double>> x, y, z;
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std::vector<double> tx, ty, tz;
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double rx, ry;
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for(int i = 0; i < n; ++i){
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tx.clear();
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ty.clear();
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tz.clear();
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rx = t0 + i*dT;
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for(int j = 0; j < n; ++j){
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ry = t0 + j*dT;
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tx.push_back(rx);
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ty.push_back(ry);
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tz.push_back(fx(rx, ry));
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}
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x.push_back(tx);
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y.push_back(ty);
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z.push_back(tz);
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}
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double Px = -3.5, Py = -3.5;
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double learning = 0.15;
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std::map<std::string, std::vector<std::vector<double>>> gd;
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for(int i = 0; i < 100; ++i){
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plt::Clear3DChart(ax);
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gd = Tangent(2, Px, Py);
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plt::surface3D(ax, x, y, z, "red", 0.9);
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plt::surface3D(ax, gd["x"], gd["y"], gd["z"], "green", 0.9);
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Px = Px + learning*dfx(Px, Py);
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Py = Py + learning*dfy(Px, Py);
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plt::pause(0.5);
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}
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plt::show();
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return 0;
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}

‎AlterGUI/altergui.png

1.13 MB
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‎BookViz/book.cpp

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#include <iostream>
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#include <string>
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#include <sstream>
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#include <vector>
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#include <map>
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#include <cpprest/ws_client.h>
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#include <boost/property_tree/ptree.hpp>
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#include <boost/property_tree/json_parser.hpp>
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#include <thread>
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#include <algorithm>
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#include <chrono>
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#include "matplotlibcpp.h"
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#include <Python.h>
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using namespace web;
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using namespace web::websockets::client;
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using namespace boost::property_tree;
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namespace plt = matplotlibcpp;
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class datafeed {
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private:
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ptree JSON(std::string message){
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std::stringstream ss(message);
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ptree result;
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read_json(ss, result);
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return result;
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}
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void CYCLONE(ptree df, std::map<double, double> & bids, std::map<double, double> & asks){
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bool snapshot = false;
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bool l2update = false;
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for(ptree::const_iterator it = df.begin(); it != df.end(); ++it){
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if(l2update == true && it->first == "changes"){
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for(ptree::const_iterator jt = it->second.begin(); jt != it->second.end(); ++jt){
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std::vector<std::string> hold;
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for(ptree::const_iterator kt = jt->second.begin(); kt != jt->second.end(); ++kt){
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hold.push_back(kt->second.get_value<std::string>().c_str());
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}
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double price = atof(hold[1].c_str());
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double volume = atof(hold[2].c_str());
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if(hold[0] == "buy"){
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if(volume == 0){
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bids.erase(price);
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} else {
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bids[price] = volume;
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}
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} else {
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if(volume == 0){
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asks.erase(price);
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} else {
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asks[price] = volume;
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}
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}
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}
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}
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if(snapshot == true && it->first == "bids"){
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for(ptree::const_iterator jt = it->second.begin(); jt != it->second.end(); ++jt){
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std::vector<double> hold;
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for(ptree::const_iterator kt = jt->second.begin(); kt != jt->second.end(); ++kt){
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hold.push_back(atof(kt->second.get_value<std::string>().c_str()));
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}
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bids[hold[0]] = hold[1];
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}
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}
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if(snapshot == true && it->first == "asks"){
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for(ptree::const_iterator jt = it->second.begin(); jt != it->second.end(); ++jt){
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std::vector<double> hold;
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for(ptree::const_iterator kt = jt->second.begin(); kt != jt->second.end(); ++kt){
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hold.push_back(atof(kt->second.get_value<std::string>().c_str()));
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}
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asks[hold[0]] = hold[1];
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}
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}
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if(it->first == "type"){
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if(it->second.get_value<std::string>() == "l2update"){
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l2update = true;
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}
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if(it->second.get_value<std::string>() == "snapshot"){
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snapshot = true;
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}
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}
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}
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}
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public:
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static void Socket(datafeed dx, std::map<double, double> & bids, std::map<double, double> & asks){
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std::string url = "wss://ws-feed.exchange.coinbase.com";
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std::string msg = "{\"type\":\"subscribe\",\"product_ids\":[\"BTC-USD\"],\"channels\":[\"level2_batch\"]}";
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websocket_client client;
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client.connect(url).wait();
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websocket_outgoing_message outmsg;
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outmsg.set_utf8_message(msg);
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client.send(outmsg);
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while(true){
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client.receive().then([](websocket_incoming_message inmsg){
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return inmsg.extract_string();
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}).then([&](std::string message){
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dx.CYCLONE(dx.JSON(message), std::ref(bids), std::ref(asks));
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}).wait();
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}
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client.close().wait();
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}
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};
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std::map<std::string, std::vector<double>> Extract(std::map<double, double> bids, std::map<double, double> asks)
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{
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int depth = 80;
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std::map<std::string, std::vector<double>> result;
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int count = 0;
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double bidvol = 0;
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for(auto it = bids.rbegin(); it != bids.rend(); ++it){
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bidvol += it->second;
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result["bidPrice"].push_back(it->first);
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result["bidSize"].push_back(bidvol);
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count += 1;
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if(count >= depth){
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break;
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}
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}
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count = 0;
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double askvol = 0;
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for(auto it = asks.begin(); it != asks.end(); ++it){
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askvol += it->second;
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result["askPrice"].push_back(it->first);
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result["askSize"].push_back(askvol);
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count += 1;
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if(count >= depth){
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break;
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}
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}
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std::reverse(result["bidPrice"].begin(), result["bidPrice"].end());
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std::reverse(result["bidSize"].begin(), result["bidSize"].end());
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return result;
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}
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std::vector<double> push_into(double ii, int n){
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std::vector<double> result;
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for(int i = 0; i < n; ++i){
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result.push_back(ii);
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}
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return result;
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}
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int main()
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{
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PyObject * ax = plt::chart(121);
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PyObject * ay = plt::chart(122);
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std::map<double, double> bids, asks;
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std::map<std::string, std::vector<double>> preprice;
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datafeed wsfeed;
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std::thread feed(wsfeed.Socket, wsfeed, std::ref(bids), std::ref(asks));
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std::this_thread::sleep_for(std::chrono::seconds(10));
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std::vector<std::vector<double>> bX, bY, bZ, aX, aY, aZ;
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int ii = 0;
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int jj = 0;
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int limit = 80;
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while(true){
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preprice = Extract(bids, asks);
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bX.clear();
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bY.clear();
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bZ.push_back(preprice["bidSize"]);
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for(int u = 0; u < bZ.size(); ++u){
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bY.push_back(preprice["bidPrice"]);
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bX.push_back(push_into(ii, preprice["bidPrice"].size()));
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ii += 1;
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}
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aX.clear();
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aY.clear();
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aZ.push_back(preprice["askSize"]);
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for(int u = 0; u < aZ.size(); ++u){
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aY.push_back(preprice["askPrice"]);
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aX.push_back(push_into(jj, preprice["askPrice"].size()));
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jj += 1;
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}
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if(bZ.size() >= limit){
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bX.erase(bX.begin());
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bY.erase(bY.begin());
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bZ.erase(bZ.begin());
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}
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if(aZ.size() >= limit){
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aX.erase(aX.begin());
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aY.erase(aY.begin());
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aZ.erase(aZ.begin());
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}
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plt::Clear3DChart(ax);
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plt::Clear3DChart(ay);
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plt::surface3D(ax, bX, bY, bZ, "red", 1.0);
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plt::surface3D(ay, aX, aY, aZ, "limegreen", 1.0);
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plt::pause(0.1);
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//std::cout << bX.size() << " " << bX[0].size() << "\t" << bY.size() << " " << bY[0].size() << "\t" << bZ.size() << " " << bZ[0].size() << std::endl;
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}
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plt::show();
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feed.join();
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return 0;
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}

‎BookViz/book.sh

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#!/bin/bash
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echo "Compiling"
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g++ book.cpp -std=c++17 -lcpprest -lcrypto -lssl -lpthread -I/Library/Frameworks/Python.framework/Versions/3.11/include/python3.11 -L/Library/Frameworks/Python.framework/Versions/3.11/lib -lpython3.11 -I/Library/Frameworks/Python.framework/Versions/3.11/lib/python3.11/site-packages/numpy/core/include
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echo "Compiled"
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exit 0

‎BookViz/bookviz.png

1.55 MB
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