Merge pull request #273 from northwesternfintech/float

Switched from doubles to floats in templates

exchange/src/exchange/orders/level_tracking/level_quantity_tracker.cpp

@@ -18,7 +18,7 @@ LevelQuantityTracker::report_quantity(
     // TODO: guarantee size checks
     if (levels.size() <= static_cast<uint64_t>(price.get_underlying())) [[unlikely]] {
         auto new_size =
-            static_cast<size_t>(static_cast<double>(price.get_underlying()) * 1.5);
+            static_cast<size_t>(static_cast<float>(price.get_underlying()) * 1.5f);
         bid_levels_.resize(new_size);
         ask_levels_.resize(new_size);
     }

exchange/src/wrapper/messaging/exchange_communicator.hpp

@@ -12,10 +12,10 @@ namespace nutc::wrapper {
 using namespace nutc::common;
 
 using LimitOrderFunction = std::function<order_id_t(
-    common::Side side, common::Ticker ticker, double quantity, double price, bool ioc
+    common::Side side, common::Ticker ticker, float quantity, float price, bool ioc
 )>;
 using MarketOrderFunction =
-    std::function<bool(common::Side side, common::Ticker ticker, double quantity)>;
+    std::function<bool(common::Side side, common::Ticker ticker, float quantity)>;
 using CancelOrderFunction =
     std::function<bool(common::Ticker ticker, order_id_t order_id)>;
 

exchange/src/wrapper/runtime/cpp/cpp_runtime.cpp

@@ -104,8 +104,8 @@ CppRuntime::fire_on_trade_update(
 ) const
 {
     on_trade_update_func_(
-        strategy_object_, ticker, side, static_cast<double>(quantity),
-        static_cast<double>(price)
+        strategy_object_, ticker, side, static_cast<float>(quantity),
+        static_cast<float>(price)
     );
 }
 
@@ -115,8 +115,8 @@ CppRuntime::fire_on_orderbook_update(
 ) const
 {
     on_orderbook_update_func_(
-        strategy_object_, ticker, side, static_cast<double>(quantity),
-        static_cast<double>(price)
+        strategy_object_, ticker, side, static_cast<float>(quantity),
+        static_cast<float>(price)
     );
 }
 
@@ -127,8 +127,8 @@ CppRuntime::fire_on_account_update(
 ) const
 {
     on_account_update_func_(
-        strategy_object_, ticker, side, static_cast<double>(quantity),
-        static_cast<double>(price), static_cast<double>(capital)
+        strategy_object_, ticker, side, static_cast<float>(quantity),
+        static_cast<float>(price), static_cast<float>(capital)
     );
 }
 

exchange/src/wrapper/runtime/cpp/cpp_runtime.hpp

@@ -29,10 +29,10 @@ class CppRuntime : public Runtime {
     using Strategy = void;
     using InitFunc = Strategy* (*)(MarketOrderFunction, LimitOrderFunction,
                                    CancelOrderFunction);
-    using on_trade_update_func = void (*)(Strategy*, Ticker, Side, double, double);
-    using on_orderbook_update_func = void (*)(Strategy*, Ticker, Side, double, double);
+    using on_trade_update_func = void (*)(Strategy*, Ticker, Side, float, float);
+    using on_orderbook_update_func = void (*)(Strategy*, Ticker, Side, float, float);
     using on_account_update_func =
-        void (*)(Strategy*, Ticker, Side, double, double, double);
+        void (*)(Strategy*, Ticker, Side, float, float, float);
 
     on_trade_update_func on_trade_update_func_;
     on_orderbook_update_func on_orderbook_update_func_;

exchange/src/wrapper/runtime/python/python_runtime.cpp

@@ -18,7 +18,7 @@ PyRuntime::fire_on_trade_update(
 {
     try {
         py::globals()["strategy"].attr("on_trade_update")(
-            ticker, side, static_cast<double>(quantity), static_cast<double>(price)
+            ticker, side, static_cast<float>(quantity), static_cast<float>(price)
         );
     } catch (const py::error_already_set& err) {
         std::cerr << err.what() << "\n";
@@ -32,7 +32,7 @@ PyRuntime::fire_on_orderbook_update(
 {
     try {
         py::globals()["strategy"].attr("on_orderbook_update")(
-            ticker, side, static_cast<double>(quantity), static_cast<double>(price)
+            ticker, side, static_cast<float>(quantity), static_cast<float>(price)
         );
     } catch (const py::error_already_set& err) {
         std::cerr << err.what() << "\n";
@@ -47,8 +47,8 @@ PyRuntime::fire_on_account_update(
 {
     try {
         py::globals()["strategy"].attr("on_account_update")(
-            ticker, side, static_cast<double>(quantity), static_cast<double>(price),
-            static_cast<double>(capital)
+            ticker, side, static_cast<float>(quantity), static_cast<float>(price),
+            static_cast<float>(capital)
         );
     } catch (const py::error_already_set& err) {
         std::cerr << err.what() << "\n";

exchange/template.cpp

@@ -6,22 +6,22 @@
 
 #include <functional>
 
-using PlaceMarketOrder = std::function<bool(Side, Ticker, double)>;
-using PlaceLimitOrder = std::function<std::int64_t(Side, Ticker, double, double, bool)>;
+using PlaceMarketOrder = std::function<bool(Side, Ticker, float)>;
+using PlaceLimitOrder = std::function<std::int64_t(Side, Ticker, float, float, bool)>;
 using CancelOrder = std::function<bool(Ticker, std::int64_t order_id)>;
 
 static PlaceMarketOrder s_place_market_order;
 static PlaceLimitOrder s_place_limit_order;
 static CancelOrder s_cancel_order;
 
 bool
-place_market_order(Side side, Ticker ticker, double quantity)
+place_market_order(Side side, Ticker ticker, float quantity)
 {
     return s_place_market_order(side, ticker, quantity);
 }
 
 std::int64_t
-place_limit_order(Side side, Ticker ticker, double quantity, double price, bool ioc)
+place_limit_order(Side side, Ticker ticker, float quantity, float price, bool ioc)
 {
     return s_place_limit_order(side, ticker, quantity, price, ioc);
 }
@@ -47,24 +47,24 @@ init(
 
 void
 on_trade_update(
-    Strategy* strategy, Ticker ticker, Side side, double quantity, double price
+    Strategy* strategy, Ticker ticker, Side side, float quantity, float price
 )
 {
     strategy->on_trade_update(ticker, side, quantity, price);
 }
 
 void
 on_orderbook_update(
-    Strategy* strategy, Ticker ticker, Side side, double quantity, double price
+    Strategy* strategy, Ticker ticker, Side side, float quantity, float price
 )
 {
     strategy->on_orderbook_update(ticker, side, quantity, price);
 }
 
 void
 on_account_update(
-    Strategy* strategy, Ticker ticker, Side side, double price, double quantity,
-    double capital_remaining
+    Strategy* strategy, Ticker ticker, Side side, float price, float quantity,
+    float capital_remaining
 )
 {
     strategy->on_account_update(ticker, side, price, quantity, capital_remaining);

exchange/test/src/integration/test_algos/cpp/buy_eth.hpp

@@ -19,7 +19,7 @@ enum class Ticker: std::uint8_t { ETH = 0, BTC = 1, LTC = 2 }; // NOLINT
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 bool
-place_market_order(Side side, Ticker ticker, double quantity);
+place_market_order(Side side, Ticker ticker, float quantity);
 
 /**
  * Place a limit order
@@ -37,7 +37,7 @@ place_market_order(Side side, Ticker ticker, double quantity);
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 std::int64_t place_limit_order(
-    Side side, Ticker ticker, double quantity, double price,
+    Side side, Ticker ticker, float quantity, float price,
     bool ioc = false
 );
 
@@ -58,7 +58,7 @@ class Strategy {
      * @quantity quantity Volume traded
      */
     void
-    on_trade_update(Ticker ticker, Side side, double quantity, double price)
+    on_trade_update(Ticker ticker, Side side, float quantity, float price)
     {}
 
     /**
@@ -72,7 +72,7 @@ class Strategy {
      */
     void
     on_orderbook_update(
-        Ticker ticker, Side side, double quantity, double price
+        Ticker ticker, Side side, float quantity, float price
     )
     {}
 
@@ -86,8 +86,8 @@ class Strategy {
      */
     void
     on_account_update(
-        Ticker ticker, Side side, double price, double quantity,
-        double capital_remaining
+        Ticker ticker, Side side, float price, float quantity,
+        float capital_remaining
     )
     {}
 };

exchange/test/src/integration/test_algos/cpp/buy_market_order_1000.hpp

@@ -18,7 +18,7 @@ enum class Ticker : std::uint8_t { ETH = 0, BTC = 1, LTC = 2 }; // NOLINT
  *
  * @return true if order succeeded, false if order failed due to rate limiting
  */
-bool place_market_order(Side side, Ticker ticker, double quantity);
+bool place_market_order(Side side, Ticker ticker, float quantity);
 
 /**
  * Place a limit order
@@ -36,7 +36,7 @@ bool place_market_order(Side side, Ticker ticker, double quantity);
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 std::int64_t place_limit_order(
-    Side side, Ticker ticker, double quantity, double price, bool ioc = false
+    Side side, Ticker ticker, float quantity, float price, bool ioc = false
 );
 
 bool cancel_order(Ticker ticker, std::int64_t order_id);
@@ -56,7 +56,7 @@ class Strategy {
      * @quantity quantity Volume traded
      */
     void
-    on_trade_update(Ticker ticker, Side side, double quantity, double price)
+    on_trade_update(Ticker ticker, Side side, float quantity, float price)
     {
         if (ticker == Ticker::ETH && price <= 101 && price >= 99 && quantity == 5) {
             place_limit_order(Side::buy, Ticker::BTC, 1, 100);
@@ -74,7 +74,7 @@ class Strategy {
      * @param quantity Volume placed into orderbook
      */
     void
-    on_orderbook_update(Ticker ticker, Side side, double quantity, double price)
+    on_orderbook_update(Ticker ticker, Side side, float quantity, float price)
     {}
 
     /**
@@ -88,8 +88,8 @@ class Strategy {
      */
     void
     on_account_update(
-        Ticker ticker, Side side, double price, double quantity,
-        double capital_remaining
+        Ticker ticker, Side side, float price, float quantity,
+        float capital_remaining
     )
     {}
 };

exchange/test/src/integration/test_algos/cpp/buy_tsla_at_100.hpp

@@ -19,7 +19,7 @@ enum class Ticker: std::uint8_t { ETH = 0, BTC = 1, LTC = 2 }; // NOLINT
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 bool
-place_market_order(Side side, Ticker ticker, double quantity);
+place_market_order(Side side, Ticker ticker, float quantity);
 
 /**
  * Place a limit order
@@ -37,7 +37,7 @@ place_market_order(Side side, Ticker ticker, double quantity);
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 std::int64_t place_limit_order(
-    Side side, Ticker ticker, double quantity, double price,
+    Side side, Ticker ticker, float quantity, float price,
     bool ioc = false
 );
 
@@ -58,7 +58,7 @@ class Strategy {
      * @quantity quantity Volume traded
      */
     void
-    on_trade_update(Ticker ticker, Side side, double quantity, double price)
+    on_trade_update(Ticker ticker, Side side, float quantity, float price)
     {}
 
     /**
@@ -72,7 +72,7 @@ class Strategy {
      */
     void
     on_orderbook_update(
-        Ticker ticker, Side side, double quantity, double price
+        Ticker ticker, Side side, float quantity, float price
     )
     {
         if (ticker == Ticker::ETH && quantity < 101 && quantity > 99) {
@@ -90,8 +90,8 @@ class Strategy {
      */
     void
     on_account_update(
-        Ticker ticker, Side side, double price, double quantity,
-        double capital_remaining
+        Ticker ticker, Side side, float price, float quantity,
+        float capital_remaining
     )
     {}
 };

exchange/test/src/integration/test_algos/cpp/buy_tsla_on_account.hpp

@@ -19,7 +19,7 @@ enum class Ticker: std::uint8_t { ETH = 0, BTC = 1, LTC = 2 }; // NOLINT
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 bool
-place_market_order(Side side, Ticker ticker, double quantity);
+place_market_order(Side side, Ticker ticker, float quantity);
 
 /**
  * Place a limit order
@@ -37,7 +37,7 @@ place_market_order(Side side, Ticker ticker, double quantity);
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 std::int64_t place_limit_order(
-    Side side, Ticker ticker, double quantity, double price,
+    Side side, Ticker ticker, float quantity, float price,
     bool ioc = false
 );
 
@@ -58,7 +58,7 @@ class Strategy {
      * @quantity quantity Volume traded
      */
     void
-    on_trade_update(Ticker ticker, Side side, double quantity, double price)
+    on_trade_update(Ticker ticker, Side side, float quantity, float price)
     {}
 
     /**
@@ -72,7 +72,7 @@ class Strategy {
      */
     void
     on_orderbook_update(
-        Ticker ticker, Side side, double quantity, double price
+        Ticker ticker, Side side, float quantity, float price
     )
     {}
 
@@ -86,8 +86,8 @@ class Strategy {
      */
     void
     on_account_update(
-        Ticker ticker, Side side, double price, double quantity,
-        double capital_remaining
+        Ticker ticker, Side side, float price, float quantity,
+        float capital_remaining
     )
     {
         if (ticker == Ticker::ETH && quantity >= 10)

exchange/test/src/integration/test_algos/cpp/buy_tsla_on_trade.hpp

@@ -19,7 +19,7 @@ enum class Ticker: std::uint8_t { ETH = 0, BTC = 1, LTC = 2 }; // NOLINT
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 bool
-place_market_order(Side side, Ticker ticker, double quantity);
+place_market_order(Side side, Ticker ticker, float quantity);
 
 /**
  * Place a limit order
@@ -37,7 +37,7 @@ place_market_order(Side side, Ticker ticker, double quantity);
  * @return true if order succeeded, false if order failed due to rate limiting
  */
 std::int64_t place_limit_order(
-    Side side, Ticker ticker, double quantity, double price,
+    Side side, Ticker ticker, float quantity, float price,
     bool ioc = false
 );
 
@@ -58,7 +58,7 @@ class Strategy {
      * @quantity quantity Volume traded
      */
     void
-    on_trade_update(Ticker ticker, Side side, double quantity, double price)
+    on_trade_update(Ticker ticker, Side side, float quantity, float price)
     {
         if (ticker == Ticker::ETH && quantity >= 10)
             place_limit_order(Side::buy, Ticker::BTC, 1, 100);
@@ -75,7 +75,7 @@ class Strategy {
      */
     void
     on_orderbook_update(
-        Ticker ticker, Side side, double quantity, double price
+        Ticker ticker, Side side, float quantity, float price
     )
     {}
 
@@ -89,8 +89,8 @@ class Strategy {
      */
     void
     on_account_update(
-        Ticker ticker, Side side, double price, double quantity,
-        double capital_remaining
+        Ticker ticker, Side side, float price, float quantity,
+        float capital_remaining
     )
     {}
 };