multi_index instead of unordered_map - performance improvement, adds …

…boost dependancy

.travis.yml

@@ -4,18 +4,22 @@ compiler:
   - gcc
 
 env:
-  - LIBUV_VERSION=1.0.2
+  - LIBUV_VERSION=1.0.2 BOOST_VERSION=1.59.0
 
 before_install:
   - sudo add-apt-repository ppa:ubuntu-toolchain-r/test -y
   - sudo apt-get update -qq
   - if [ "$CXX" = "g++" ]; then sudo apt-get install -qq g++-4.9; fi
   - if [ "$CXX" = "g++" ]; then export CXX="g++-4.9" CC="gcc-4.9"; fi
+  - sudo apt-get install -y build-essential python-dev autotools-dev libicu-dev build-essential libbz2-dev
 
 before_script:
   # install libuv
   - curl -L http://dist.libuv.org/dist/v${LIBUV_VERSION}/libuv-v${LIBUV_VERSION}.tar.gz | tar xzf -
   - (cd libuv-v${LIBUV_VERSION} && ./autogen.sh && ./configure --prefix=/usr && make && sudo make install)
+  # install boost
+  - curl -L http://sourceforge.net/projects/boost/files/boost/${BOOST_VERSION}/boost_`echo ${BOOST_VERSION} | tr . _`.tar.bz2/download | tar xjf -
+  - (cd boost_`echo ${BOOST_VERSION} | tr . _` && ./bootstrap.sh --prefix=/usr && sudo ./b2 --with=all -j 2 install)
   # generate makefile
   - cmake .
 

include/helix/order_book.hh

@@ -6,6 +6,11 @@
 /// querying per-asset order book state such as top and depth of book bid
 /// and ask price and size.
 
+#include <boost/multi_index/ordered_index.hpp>
+#include <boost/multi_index/hashed_index.hpp>
+#include <boost/multi_index_container.hpp>
+#include <boost/multi_index/member.hpp>
+
 #include <unordered_map>
 #include <cstdint>
 #include <utility>
@@ -88,16 +93,21 @@ struct price_level {
 /// \brief Order book is a price-time prioritized list of buy and sell
 /// orders.
 
+using namespace boost::multi_index;
+
+typedef multi_index_container<order, indexed_by<
+    hashed_unique<member<order, uint64_t, &order::id>>>> order_set;
+
 class order_book {
 private:
     std::string _symbol;
     uint64_t _timestamp;
     trading_state _state;
-    std::unordered_map<uint64_t, order> _orders;
+    order_set _orders;
     std::map<uint64_t, price_level, std::greater<uint64_t>> _bids;
     std::map<uint64_t, price_level, std::less   <uint64_t>> _asks;
 public:
-    using iterator = std::unordered_map<uint64_t, order>::iterator;
+    using iterator = order_set::iterator;
 
     order_book(const std::string& symbol, uint64_t timestamp, size_t max_orders = 0);
     ~order_book();
@@ -146,7 +156,7 @@ private:
     void remove(iterator& iter);
 
     template<typename T>
-    void remove(order& o, T& levels);
+    void remove(const order& o, T& levels);
 
     template<typename T>
     price_level& lookup_or_create(T& levels, uint64_t price);
@@ -156,4 +166,4 @@ private:
 
 }
 
-}
+}

src/order_book.cc

@@ -39,7 +39,7 @@ void order_book::add(order&& order)
     default:
         throw invalid_argument(string("invalid side: ") + static_cast<char>(order.side));
     }
-    _orders.emplace(order.id, std::move(order));
+    _orders.emplace(std::move(order));
 }
 
 void order_book::cancel(uint64_t order_id, uint64_t quantity)
@@ -48,10 +48,11 @@ void order_book::cancel(uint64_t order_id, uint64_t quantity)
     if (it == _orders.end()) {
         throw invalid_argument(string("invalid order id: ") + to_string(order_id));
     }
-    auto&& order = it->second;
-    order.quantity -= quantity;
-    order.level->size -= quantity;
-    if (!order.quantity) {
+    _orders.modify(it, [quantity](order& order) {
+        order.quantity -= quantity;
+        order.level->size -= quantity;
+    });
+    if (!it->quantity) {
         remove(it);
     }
 }
@@ -62,15 +63,15 @@ std::pair<uint64_t, side_type> order_book::execute(uint64_t order_id, uint64_t q
     if (it == _orders.end()) {
         throw invalid_argument(string("invalid order id: ") + to_string(order_id));
     }
-    auto& order = it->second;
-    uint64_t price = order.price;
-    side_type s = order.side;
-    order.quantity -= quantity;
-    order.level->size -= quantity;
-    if (!order.quantity) {
+    auto ret = std::make_pair(it->price, it->side);
+    _orders.modify(it, [quantity](order& order) {
+        order.quantity -= quantity;
+        order.level->size -= quantity;
+    });
+    if (!it->quantity) {
         remove(it);
     }
-    return std::make_pair(price, s);
+    return ret;
 }
 
 void order_book::remove(uint64_t order_id)
@@ -84,7 +85,7 @@ void order_book::remove(uint64_t order_id)
 
 void order_book::remove(iterator& iter)
 {
-    auto&& order = iter->second;
+    auto && order = *iter;
     switch (order.side) {
     case side_type::buy: {
         remove(order, _bids);
@@ -101,7 +102,7 @@ void order_book::remove(iterator& iter)
 }
 
 template<typename T>
-void order_book::remove(order& o, T& levels)
+void order_book::remove(const order& o, T& levels)
 {
     auto it = levels.find(o.price);
     if (it == levels.end()) {
@@ -133,7 +134,7 @@ side_type order_book::side(uint64_t order_id) const
     if (it == _orders.end()) {
         throw invalid_argument(string("invalid order id: ") + to_string(order_id));
     }
-    return it->second.side;
+    return it->side;
 }
 
 
@@ -213,4 +214,4 @@ uint64_t order_book::midprice(size_t level) const
 
 }
 
-}
+}