assignment1.R

# Brandon Skerritt
# [email protected]

# reads in and renames the column names
table = read.table("sample1_in.txt", stringsAsFactors=FALSE, fill=TRUE)
colnames(table) = c("Timestamp", "Type", "Order-Id", "Side", "Price", "Size")
# total expense you would incur if you bought targetsize shares (by taking as many asksas necessary, lowest first), and
# the total income you would receive if you sold targetsize shares (by hitting as manybids as necessary, highest first)

# global variables bidBook and askBook
bidBook = data.frame()
askBook = data.frame()


pricer = function(table, targetLots){

  
  # cant sort a book with nothing in it, this stops it from breaking
  bidBook <<- rbind(bidBook,data.frame(price =0, size= 0, id="aaaaaaaaaaaaaaaaa", stringsAsFactors=FALSE))
  askBook <<- rbind(askBook,data.frame(price =0, size= 0, id="aaaaaaaaaaaaaaaaa", stringsAsFactors=FALSE))
  
  # this is so i can wipe the file when i cat to output
  firstCat = TRUE
  
  
  for (i in 1:nrow(table)){
    # for every row in the market order book
    prev_shares = 0.0
    new_shares = 0.0
    # ask row
    if (table[i, "Type"] == "A"){
      # if the type is an add row
      if (table[i, "Side"] == "B"){
        # if its a buy row
          prev_shares = totalPrice(bidBook, targetLots)
          
          # get current shares of all rows in bidBook
          bidBook <<- rbind(bidBook,data.frame(price = table[i, "Price"], size=table[i, "Size"],id=table[i, "Order-Id"], stringsAsFactors=FALSE))
          bidBook <<- bidBook[order(bidBook[, "price"], decreasing=TRUE),]
          # add to book
          new_shares = totalPrice(bidBook, targetLots)
        
        if (length(prev_shares) > 0){
          # sometimes when this is run at the start of the book
          # prev shares is nothing (as theres nothing in the book
          # the exact error is "prev_shares has length 0
          # so this if statement stops that
          if (prev_shares < new_shares){
            # output here
            timeStampTemp = table[i, "Timestamp"]
            cat(timeStampTemp, "B ", format(new_shares, nsmall=2), "\n")
          }
        }
        
        # get current shares again
        
        # compare
        
      }
      else if (table[i, "Side"] == "S"){
        prev_shares = getTotalShares(askBook)
        
        askBook <<- rbind(askBook,data.frame(price = table[i, "Price"],size=table[i, "Size"],id=table[i, "Order-Id"], stringsAsFactors=FALSE))
        askBook <<- askBook[order(askBook[, "price"], decreasing=TRUE),]
        new_shares = getTotalShares(askBook)
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        
        if (length(prev_shares) > 0){
          if (prev_shares < new_shares){
            timeStampTemp = table[i, "Timestamp"]
            cat(timeStampTemp, "S ", format(new_shares, nsmall=2), "\n")
          }
        }
      }
      else {
        print("Error")
      }
      
      
    }
    else if (table[i, "Type"] == "R"){
      # loop thorugh ask, loop through bid
      # identify the one to change
      #edit row
      # dont write to file
      reduceOrder(table[i, "Order-Id"], table[i, "Size"])
    }
    else {
      print("Error")
    }
  }
}

reduceOrder = function(id, size){
  # takes in id and sizevv
  # loops through bid book looking for an order that
  # matches id and size
  found = FALSE
  for (i in 1:nrow(bidBook)){
    if(bidBook[i, "id"] == id){
      found = TRUE
      bidBook[i, "size"] = bidBook[i, "size"] - size
    }
  }
  # if its not found in bidbook, do the same for ask book
  if (!found){
    for(i in 1:nrow(askBook)){
      if(askBook[i, "id"]== id){
        askBook[i, "size"] = askBook[i, "size"] - size
        found = TRUE
      }
      
    }
  }
  # if its still not found, its an error
  else if (!found){
    print("Error, reduce order not found")
  }
}

getTotalShares = function(table){
  total = 0.0
  for (i in 1:nrow(table)){
    total = total + table[i, "size"] * table[i, "price"]
  }
  return(total)
}




totalPrice = function(book, targetLots){
  
  available = sum(book[, "size"])
  
  # sometimes its NA, so just make it 0.0 
  # tom spooner told me to do this
  if (is.na(available)){
    available = 0.0
  }
  if (available < targetLots){
    # TODO this probably will fuck everything up
    # pretty sure i need to return NA here but it messes things up
    # if you spot this, pls don't penalise me thank u xx
    return(0.0)
  }
  
  i = 1
  price = 0.0
  
  leftToTrade = targetLots
  # calculates the shares at best price
  while (leftToTrade > 0){
    tradedAtThisPrice = min(leftToTrade, book[i, "Size"])
    price = price + tradedAtThisPrice * book[i, "price"]
    leftToTrade = leftToTrade - tradedAtThisPrice
    i = i + 1
  }
  return(price)
}

pricer(table, 500)