assignment.r

table = read.table("sample1_in.txt", stringsAsFactors=FALSE, fill=TRUE)
colnames(table) = c("Timestamp", "Type", "Order-Id", "Side", "Price", "Size")
# get reduce rows
# table[input$Type == "R", ]
# get add rows
# input[input$Type == "A", ]
# cosmetic fix for reduce rows
# input[input$Type == 'r', 'Size'] = input[input$Type == 'r', 'Side']
# input[Input$Type == 'R', 'Side'] = NA
pricer <- function(infile, outfile, targetsize){
  for (i in 1:nrow(table)) {
    if (input[i, "Type"] == "A")
      print("Add")
  }
  else if (input[i, "Type"] == "R")
      print("Reduce")
  else
    print("Error")
}

# making an order book (maintaining bid and ask books)
# so you have to have 2 internal books 
# bid and ask books
# ask is buying, bid is selling (i think)
# the code below is how you make one book (an example)
book = data.frame()
book = rbind(book.data.frame(price = 10, size = 20, id = "ab", stringsAsFactors = FALSE))
book = rbind(book.data.frame(price = 12, size = 25, id = "ac", stringsAsFactors = FALSE))
# stirngs as factors is false is because id is not same if one is factor one is string

# sorting the book
book = book[order(book[, "price"], decreasing=TRUE),]

# the solution to work sheet 2 is useful here
# we can order a dataframe by using permutation of the rows
# we order the book by price,  why?
# we are going to compute using the bid order book, the income we would get by placing a market order
# for target size.
# the reaosn we use bids is because when a sell market order comes in, its a seller getting
# matched against bidders
# if its a buy market order, (one of the rows with a b in it) we'll be looking at the ask limit
# order book
# to do the matching we start with either the best bid in the bid order book or best ask
# and we go through in order of price
# we sort by prices to access the best bid first, then the second best bid.
# if bid book looks like this:
# ID size price
# cc 2 32
# ac 25 12
# we would buy 2 shares of IDA cc (as it has the highest price, best bid first)
# we would then get 8 from price 12 (if target size = 10).
# by sorting we can go through the order book in order.
# taking out the volume you need
# we'll see a WHILE LOOP FORMULATION OF DOING THIS
# this type of code uses the fact that the order book is ordered by price
# so we can go through rows to get best price first

# if seller u want to sell at best price possible

avgPriceMarketOrder = function(bidBook, k){
  bidBook = bidBook[order(bidBook[, "Prices"], decreasing = TRUE),] 
  # sorts book ^^
  available = sum(bidBook[, "Volumes"]) # check how much is available
  traded = min(available, k) # how many lots will be traded
  
  i = 1
  totalPrice = 0
  leftToTrade = traded
  
  while (leftToTrade > 0){
    tradedAtThisPrice = min(leftToTrade, bidBook[i, "Volumes"])
    totalPrice = totalPrice + tradedAtThisPrice * bidBook[i, "Prices"]
    leftToTrade = leftToTrade - tradedAtThisPrice
    i = i + 1
  
  }
  averagePrice = as.numeric(totalPrice / traded)
}

# when you get a reduce message, you want to remove size from order book
# if you're careful and made sure everything is a string
# you've got these 2 books
# "i promise you if an ID appears, it appears in at most one of the book
# it might not come from both of the books
# if you dont find it in the first book, check second book
# if you find it in the first one, dont even bother for the second one
# look for rows which have id equal to what you're looking for
# if it returns one row, its fine
# if it returns no rows, move on.
book[book$id=="cc",]

# when you know it has a row, change it
book[book$id=="cc", "size"] = 0
# DONT SET IOT TO 0, take the old size and subtract the reduce amount
# but he doesnt want to give us the final solution


# output is always 2 decimal places after dot
price = 100
cat(file="test.out", "the price is ", price, "\n")
# cat stands for concatenate string, but can also append to a file
# some people every year just store all the results in a dataframe and dump it at the end
# rahul suggests doing it incrementally
# make sure the file is empty when you write to it, flush it out

cat(append=TRUE)
# makes it append to the end
# the first one doesnt append ,it just re-writes it all

# R sucks, do this:
isTRUE(all.equal(A, B))
# instead of
A == B
# the above can give you errors, because floating point imprecision

# USE THIS CODE TO FORMAT!!!
prices = c(800.5, 800.25, 800)
cat(prices, '\n')
cat(format(prices, nsmall=2), '\n')

# some people only change income / expense after add order
# just like an add row can change and create output, so can a reduce row
# dont check if both income / expense has changed for each row, because at most one of them has changed
# if a new bid hs come in, the only thing that has changed is the income or a sell market order
# DO CHECK WHETHER THEY CHANGE!!!