I'm attempting to implement a limit order book in C++ (a very simple one) by having a std::map
where the keys are price points and the values are PricePoint
objects.
The Book
class has two of these, bid
and ask
to store the buys and sells (respectively).
#include <iostream>
#include <map>
#include <list>
using namespace std;
#define MAX_NUM_ORDERS 512
class Order
{
public:
unsigned int id;
unsigned int price;
unsigned int volume;
bool side;
time_t added;
time_t executed;
time_t cancelled;
Order *next;
Order *prev;
Order(unsigned int price, unsigned int volume, bool side)
{
this->id = 0;
this->price = price;
this->volume = volume;
this->side = side;
this->added = 0;
this->executed = 0;
this->cancelled = 0;
this->next = 0;
this->prev = 0;
}
};
class PricePoint
{
public:
Order *head;
Order *tail;
PricePoint(void)
{
this->head = 0;
this->tail = 0;
}
void insertAfter(Order *node, Order new_node)
{
new_node.next = node->next;
if(node->next == 0)
{
this->tail = &new_node;
}
else
{
node->next->prev = &new_node;
}
node->next = &new_node;
}
void insertHead(Order new_node)
{
if(this->head == 0)
{
this->head = &new_node;
this->tail = &new_node;
new_node.prev = 0;
new_node.next = 0;
}
else
{
insertAfter(this->tail, new_node);
}
}
void insertTail(Order new_node)
{
if (this->tail == 0)
{
insertHead(new_node);
}
else
{
insertAfter(this->tail, new_node);
}
}
unsigned int count(void)
{
unsigned int i;
Order node(0, 0, false);
while(node.next == 0)
{
for(i=0;i<=MAX_NUM_ORDERS;i++)
{
// lol
}
}
return i;
}
bool empty(void)
{
if(this->head == 0)
{
return true;
}
else
{
return false;
}
}
void print(void)
{
if(this->empty() == true)
{
cout<<"[None]"<<endl;
return;
}
else
{
if(this->head != 0)
{
unsigned int i;
Order *node = this->head; // start at the head
cout<<"id, volume, added"<<endl; // labels
while(node->next != 0) // while we're not at the end
{
cout<<node->id<<", "<<node->volume<<", "<<node->added<<endl;
node = node->next;
}
}
else // try and catch it again i guess?
{
cout<<"[None]"<<endl;
return;
}
}
}
};
class Book
{
public:
map<int, PricePoint> bid; // buy-side
map<int, PricePoint> ask; // sell-side
int add(Order order)
{
order.id = this->bid.size() + this->ask.size() + 1; // this way, buy-side and sell-side orders have unique identifiers
if(order.side == false) // buy order
{
if(this->bid.count(order.price) == 0) // if the price point isn't already there
{
PricePoint pp;
pair<int, PricePoint> new_pp(order.price, pp);
bid.insert(new_pp); // add the price point (i.e. add an entry to the map)
}
else
{
this->bid[order.price].insertTail(order); // insert at tail of the doubly linked list
}
}
else if(order.side == true) // sell order
{
if(this->bid.count(order.price) == 0)
{
PricePoint pp;
pair<int, PricePoint> new_pp(order.price, pp);
ask.insert(new_pp); // add the price point (i.e. add an entry to the map)
}
{
this->ask[order.price].insertTail(order); // insert at the tail of the doubly linked list
}
}
return order.id; // the order's id
}
int cancel(unsigned int id)
{
}
void print(void)
{
unsigned int i = 0;
cout<<"-------------------------------------BIDS--------------------------------------"<<endl;
cout<<this->bid.size()<<endl;
for(i=0;i<this->bid.size();i++)
{
cout<<"Orders for $"<<i<<":"<<endl;
this->bid[i].print();
}
i = 0;
cout<<endl;
cout<<"-------------------------------------ASKS--------------------------------------"<<endl;
for(i=0;i<this->ask.size();i++)
{
cout<<"Orders for $"<<i<<":"<<endl;
this->ask[i].print();
}
cout<<endl;
}
};
int main(void)
{
unsigned int i;
Book orderbook; // our limit order book
// some orders
Order a(4, 33, false);
Order b(4, 12, true);
Order c(5, 33, true);
//add them
orderbook.add(a);
orderbook.add(b);
orderbook.add(c);
cout<<"Order book is as follows:"<<endl;
orderbook.print();
system("pause");
return 0;
}
I want to print the order book, but when I attempt to traverse the list I am met with unhandled exceptions, like so:
Unhandled exception at 0x00a418aa in orderbook.exe: 0xC0000005: Access violation reading location 0x00000039.
In the debugger, I'm seeing that the next
pointer is eventually becoming junk, indicative I've failed to initialise correctly, yes?
Also, the program outputs junk data (also indicative of uninitialised pointers) before excepting.
Any help is much appreciated, thanking you very much.
These:
void insertAfter(Order *node, Order new_node)
void insertHead(Order new_node)
void insertTail(Order new_node)
insert a pointer to a local variable. They have to take a pointer:
void insertAfter(Order *node, Order* new_node)
void insertHead(Order* new_node)
void insertTail(Order* new_node)
try this (and correct it, i guess):
#include <iostream>
#include <map>
#include <list>
using namespace std;
#define MAX_NUM_ORDERS 512
class Order
{
public:
unsigned int id;
unsigned int price;
unsigned int volume;
bool side;
time_t added;
time_t executed;
time_t cancelled;
Order *next;
Order *prev;
Order(unsigned int price, unsigned int volume, bool side)
{
this->id = 0;
this->price = price;
this->volume = volume;
this->side = side;
this->added = 0;
this->executed = 0;
this->cancelled = 0;
this->next = 0;
this->prev = 0;
}
};
class PricePoint
{
public:
Order *head;
Order *tail;
PricePoint(void)
{
this->head = 0;
this->tail = 0;
}
void insertAfter(Order *node, Order* new_node)
{
new_node->next = node->next;
if(node->next == 0)
{
this->tail = new_node;
}
else
{
node->next->prev = new_node;
}
node->next = new_node;
}
void insertHead(Order* new_node)
{
if(this->head == 0)
{
this->head = new_node;
this->tail = new_node;
new_node->prev = 0;
new_node->next = 0;
}
else
{
insertAfter(this->tail, new_node);
}
}
void insertTail(Order* new_node)
{
if (this->tail == 0)
{
insertHead(new_node);
}
else
{
insertAfter(this->tail, new_node);
}
}
unsigned int count(void)
{
unsigned int i;
Order node(0, 0, false);
while(node.next == 0)
{
for(i=0;i<=MAX_NUM_ORDERS;i++)
{
// lol
}
}
return i;
}
bool empty(void)
{
if(this->head == 0)
{
return true;
}
else
{
return false;
}
}
void print(void)
{
if(this->empty() == true)
{
cout<<"[None]"<<endl;
return;
}
else
{
if(this->head != 0)
{
unsigned int i;
Order *node = this->head; // start at the head
cout<<"id, volume, added"<<endl; // labels
while(node->next != 0) // while we're not at the end
{
cout<<node->id<<", "<<node->volume<<", "<<node->added<<endl;
node = node->next;
}
}
else // try and catch it again i guess?
{
cout<<"[None]"<<endl;
return;
}
}
}
};
class Book
{
public:
map<int, PricePoint> bid; // buy-side
map<int, PricePoint> ask; // sell-side
int add(Order order)
{
order.id = this->bid.size() + this->ask.size() + 1; // this way, buy-side and sell-side orders have unique identifiers
if(order.side == false) // buy order
{
if(this->bid.count(order.price) == 0) // if the price point isn't already there
{
PricePoint pp;
pair<int, PricePoint> new_pp(order.price, pp);
bid.insert(new_pp); // add the price point (i.e. add an entry to the map)
}
else
{
this->bid[order.price].insertTail(&order); // insert at tail of the doubly linked list
}
}
else if(order.side == true) // sell order
{
if(this->bid.count(order.price) == 0)
{
PricePoint pp;
pair<int, PricePoint> new_pp(order.price, pp);
ask.insert(new_pp); // add the price point (i.e. add an entry to the map)
}
{
this->ask[order.price].insertTail(&order); // insert at the tail of the doubly linked list
}
}
return order.id; // the order's id
}
int cancel(unsigned int id)
{
}
void print(void)
{
unsigned int i = 0;
cout<<"-------------------------------------BIDS--------------------------------------"<<endl;
cout<<this->bid.size()<<endl;
for(i=0;i<this->bid.size();i++)
{
cout<<"Orders for $"<<i<<":"<<endl;
this->bid[i].print();
}
i = 0;
cout<<endl;
cout<<"-------------------------------------ASKS--------------------------------------"<< ask.size() <<endl;
for(i=0;i<this->ask.size();i++)
{
cout<<"Orders for $"<<i<<":"<<endl;
this->ask[i].print();
}
cout<<endl;
}
};
int main(void)
{
unsigned int i;
Book orderbook; // our limit order book
// some orders
Order a(4, 33, false);
Order b(4, 12, true);
Order c(5, 33, true);
//add them
orderbook.add(a);
orderbook.add(b);
orderbook.add(c);
cout<<"Order book is as follows:"<<endl;
orderbook.print();
// system("pause");
return 0;
}
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