4-1

spread.cpp

/** getSpread returns the difference between the highest bid and the lowest
 * offer (ask). It throws an exception, if the orders do not contain both bids
 * and asks. */
double OrderBook::getSpread(std::vector<OrderBookEntry>& orders)
{
    if (orders.empty()) {
        return 0;
    }
    // https://web.stanford.edu/class/cme241/lecture_slides/Tour-OrderBook.pdf#page=3
    double maxBidPrice = -std::numeric_limits<double>::infinity();
    double minAskPrice = std::numeric_limits<double>::infinity();

    bool hasAsks = false;
    bool hasBids = false;
    
    for (OrderBookEntry& e : orders) {
        if (e.orderType == OrderBookType::bid) {
            hasBids = true;
            if (e.price > maxBidPrice) {
                maxBidPrice = e.price;
            }
        }
        if (e.orderType == OrderBookType::ask) {
            hasAsks = true;
            if (e.price < minAskPrice) {
                minAskPrice = e.price;
            }
        }
    }
    // reject invalid data
    if (!hasAsks || !hasBids) {
        throw std::invalid_argument("data must contain both asks and bids");
    }
    return minAskPrice - maxBidPrice;
}