public void Bid_Heap_Latency()
{
const int size = 1024 * 1024;
var arr1 = new Quote[128 * 1024];
Populate(arr1);
var arr2 = new Quote[(1024 - 129) * 1024 - 1];
Populate(arr2);
var arr3 = new Quote[1025];
Populate(arr3);
var quote1 = new Quote(0.5m, 1, Guid.NewGuid().ToString(), 1, null, 1);
var quote2 = new Quote(0.6m, 1, Guid.NewGuid().ToString(), 1, null, 1);
var quote3 = new Quote(0.7m, 1, Guid.NewGuid().ToString(), 1, null, 1);
var fullArray = new Quote[size + 3];
Array.Copy(arr1, 0, fullArray, 0, arr1.Length);
Array.Copy(arr2, 0, fullArray, arr1.Length, arr2.Length);
Array.Copy(arr3, 0, fullArray, arr1.Length + arr2.Length, arr3.Length);
fullArray[fullArray.Length - 3] = quote1;
fullArray[fullArray.Length - 2] = quote2;
fullArray[fullArray.Length - 1] = quote3;
fullArray = fullArray.OrderByDescending(x => x.QuotePrice).ToArray();
var heaps = new[]
{
CreateMaxHeap(arr1, 0),
CreateMaxHeap(arr2, 1),
CreateMaxHeap(arr3, 2)
};
var askHeap = new BidHeap(heaps);
heaps[0].InsertVal(quote1);
heaps[1].InsertVal(quote2);
heaps[2].InsertVal(quote3);
var position = new SellPosition(fullArray.Length);
var sw = Stopwatch.StartNew();
Parallel.For(0, 1, i =>
{
var cnt = 0;
do
{
position.LastSize = 0;
askHeap.FindPriceAdjustSize(position);
Assert.True(fullArray[cnt].QuotePrice.Equals(position.LastPrice));
} while (++cnt < fullArray.Length);
position.LastSize = 0;
askHeap.FindPriceAdjustSize(position);
Assert.True(position.LastSize.Equals(0));
});
sw.Stop();
Console.Out.WriteLine($"AskHeap Extract Time:{sw.Elapsed.TotalMilliseconds}");
}
private static Task <TradeInfo> GetSellTask(SellPosition sell)
{
var seller = sell.LastSeller;
var size = sell.LastSize;
var price = sell.LastPrice;
return(Task.Run(async() => await seller.SellAsync(size, price).ConfigureAwait(false)));
}
public async Task <TradeResponse> TradeAsync(SellPosition sell)
{
var response = new TradeResponse
{
TradeSummary = new List <string>(),
Initial = $"{sell.Current}"
};
var tasks = new List <Task <TradeInfo> >();
var keepLooping = true;
var cnt = 0;
var dollarVal = 0m;
var tradeSize = 0m;
var sw = Stopwatch.StartNew();
while (keepLooping)
{
sell.LastSize = 0;
_bidHeap.FindPriceAdjustSize(sell);
while (!sell.LastSize.Equals(0m))
{
tasks.Add(GetSellTask(sell));
sell.LastSize = 0;
_bidHeap.FindPriceAdjustSize(sell);
}
if (tasks.Count > 0)
{
//We can change this using Interleaved Tasks logic to gain some perf!
var finished = await Task.WhenAny(tasks).ConfigureAwait(false);
tasks.Remove(finished);
var info = await finished.ConfigureAwait(false);
response.TradeSummary.Add(info.Summary(++cnt));
sell.AddSize(info.Remains);
dollarVal += info.DollarValue;
tradeSize += info.TradeSize;
}
else
{
keepLooping = false;
}
}
sw.Stop();
response.Untraded = $"{decimal.Round(sell.Current, 8)}";
response.TotalValue = $"{decimal.Round(dollarVal, 2)} $";
response.TotalTraded = $"{tradeSize}";
response.MsTime = ((int)(sw.Elapsed.TotalMilliseconds * 1000)) / 1000.0m;
return(response);
}