crossing_engine_demo.jl

### A Pluto.jl notebook ###
# v0.20.3

using Markdown
using InteractiveUtils

# This Pluto notebook uses @bind for interactivity. When running this notebook outside of Pluto, the following 'mock version' of @bind gives bound variables a default value (instead of an error).
macro bind(def, element)
    #! format: off
    quote
        local iv = try Base.loaded_modules[Base.PkgId(Base.UUID("6e696c72-6542-2067-7265-42206c756150"), "AbstractPlutoDingetjes")].Bonds.initial_value catch; b -> missing; end
        local el = $(esc(element))
        global $(esc(def)) = Core.applicable(Base.get, el) ? Base.get(el) : iv(el)
        el
    end
    #! format: on
end

# ╔═╡ 99cb7cf8-a9df-11ef-221d-87167b2e404a
begin
	using PlutoUI,DataFrames, CSV, Random, PrettyTables, Format, JuMP, HiGHS, HypertextLiteral
	Print()
end

# ╔═╡ 006fde87-cbbf-49aa-b7fd-45cc6721d171
html"""
<style>
div.edit_or_run {
    display: none !important;
    visibility: hidden !important;
    width: 0 !important;
    height: 0 !important;
    margin: 0 !important;
    padding: 0 !important;
    border: none !important;
    pointer-events: none !important;
    position: absolute !important;
    clip: rect(0, 0, 0, 0) !important;
    overflow: hidden !important;
}
</style>
"""

# ╔═╡ d5be6e8a-6e84-4a33-87a9-7b972bf92edc
@bind go CounterButton("Recompute")

# ╔═╡ 03bffb9e-d5a2-458e-ad2b-cbc87002bc82
begin
	function makeSampleRotationOrderBook()
	    tickers = CSV.read(download("https://raw.githubusercontent.com/adannenberg/PlutoExport/main/spx_constituents.csv"), DataFrame)
	    nsec = length(tickers.ticker)
	    npm = 9
	    numOrders = npm * nsec
	    #Random.seed!(456) #321
	    go
	    v = Float64.(rand([200, 700, 1200], numOrders))
	    p = rand(1:nsec, numOrders)
	    orderBook = DataFrame(
	        pm=string.(rand(1:npm, numOrders)),
	        order_id=string.(1:numOrders),
	        sell_ticker=tickers.ticker[p],
	        sell_mv=v,
	        buy_ticker=tickers.ticker[vcat(p[end], p[1:end-1])],
	        buy_mv=v
	    )
	    orderBook.sell_mv[orderBook.pm.=="1"] .*= 2
	    orderBook.buy_mv[orderBook.pm.=="2"] .*= 3
	    # remove rows in which buy_ticker = sell_ticker
	    indx = findall(orderBook.buy_ticker .== orderBook.sell_ticker)
	    if length(indx) > 0
	        orderBook = orderBook[Not(indx), :]
	    end
	
	    return orderBook
	end
	
	function convertRotationOrderBookToRegularOrderBook(rotation_ob::DataFrame)
	    regular_ob = DataFrame(pm=String[], order_id=String[], side=String[], ticker=String[], mv=Float64[])
	    for i in 1:nrow(rotation_ob)
	        push!(regular_ob, (rotation_ob.pm[i], "buy_" * string(rotation_ob.order_id[i]), "buy", rotation_ob.buy_ticker[i], rotation_ob.buy_mv[i]))
	        push!(regular_ob, (rotation_ob.pm[i], "sell_" * string(rotation_ob.order_id[i]), "sell", rotation_ob.sell_ticker[i], rotation_ob.sell_mv[i]))
	    end
	    return regular_ob
	end
	
	function ob_flattener(orderBook::DataFrame)
	    ob = copy(orderBook)
	    
	    if "order_id" ∈ names(ob)
	        ob = ob[:,Not(:order_id)]
	    end
	    ob.sign .= ifelse.(ob.side .== "buy", 1, -1)
	    pms = sort(unique(ob.pm))
	    tickers = sort(unique(ob.ticker))
	    ob2 = copy(ob[1:-1,:]) #just an initialization trick
	    ob2 = ob2[:,Not(:sign)]
	    for pm in pms, ticker in tickers
	       indx = findall(ob.pm .== pm .&& ob.ticker .== ticker)
	       if length(indx) > 0
	            mv = sum(ob.mv[indx] .* ob.sign[indx])
	            if mv > 1
	                push!(ob2, (pm = pm, side = "buy", ticker = ticker, mv = mv))
	            elseif mv < -1
	                push!(ob2, (pm = pm, side = "sell", ticker = ticker, mv = -mv))
	            end
	        end
	    end
	    return ob2
	end
	
	function punchline(ob::DataFrame)
	    pms = sort(unique(ob.pm))
	    pm_info = DataFrame(pm=pms, order_gmv = zeros(length(pms)), executed_gmv=zeros(length(pms)), order_nmv = zeros(length(pms)), executed_nmv=zeros(length(pms)))
	    for i in 1:nrow(pm_info)
	        pm = pm_info.pm[i]
	        pm_indx = findall(ob.pm .== pm)
	        if length(pm_indx) > 0
	            pm_info.order_gmv[i] = sum(ob.mv[pm_indx])
	            pm_info.executed_gmv[i] = sum(abs.(ob.execmv[pm_indx]))
	            pm_info.order_nmv[i] = sum(ob.signedmv[pm_indx])
	            pm_info.executed_nmv[i] = sum(ob.execmv[pm_indx])
	        end
	    end
	    push!(pm_info, (pm="total", order_gmv = sum(pm_info.order_gmv), executed_gmv=sum(pm_info.executed_gmv), order_nmv = sum(pm_info.order_nmv), executed_nmv=sum(pm_info.executed_nmv)))
	    #pm_info.xnmv2xgmv = string.(round.(100 * pm_info.executed_nmv ./ pm_info.executed_gmv, digits=1)) .* "%"
	    #pm_info.xgmv2ogmv = string.(round.(100*pm_info.executed_gmv ./ pm_info.order_gmv, digits=1)) .* "%"
		pm_info[:,"executed nmv / gmv"] = string.(round.(100 * pm_info.executed_nmv ./ pm_info.executed_gmv, digits=1)) .* "%"
	    pm_info[:,"executed gmv / order gmv"] = string.(round.(100*pm_info.executed_gmv ./ pm_info.order_gmv, digits=1)) .* "%"
		rename!(pm_info, ["pm","order gmv", "executed gmv", "order nmv", "executed nmv", "executed nmv / gmv", "executed gmv / order gmv"])

	    for c in 2:5
	        pm_info[:,c] = Int64.(round.(pm_info[:,c]))
	    end
	    return pm_info
	end
	
	function tMat2ExecutionReport(tMat::Matrix, pms::Vector{String}, tickers::Vector{String})
	    #to be called within crossing_engine so ob, tickers, pms will be within scope
	    # creates an execution report of internalized trades with format DataFrame(mv=Float64[], ticker=String[], buying_pm=String[], selling_pm=String[])
	    n_ticker = length(tickers)
	    executions = DataFrame(mv=Float64[], ticker=String[], buying_pm=String[], selling_pm=String[])
	    for c in 1:n_ticker
	        ticker = tickers[c]
	        nmvs = copy(tMat[:,c])
	        gmvs = abs.(nmvs)
	        while true
	            buy_indx = findall(nmvs .> 0)
	            sell_indx = findall(nmvs .< 0)
	            if length(buy_indx) * length(sell_indx) == 0
	                break
	            end
	            mv = min(nmvs[buy_indx[1]], -nmvs[sell_indx[1]])
	            buying_pm = pms[buy_indx[1]]
	            selling_pm = pms[sell_indx[1]]
	            push!(executions, (mv = mv, ticker = ticker, buying_pm = buying_pm, selling_pm = selling_pm))
	            nmvs[buy_indx[1]] -= mv
	            nmvs[sell_indx[1]] += mv
	            gmvs = abs.(nmvs)
	        end
	    end
	    return executions
	end
	
	function crossing_engine(ob::DataFrame)
	    x = copy(ob)
	    tickers = sort(unique(x.ticker))
	    pms = sort(unique(x.pm))
	    n_pm = length(pms)
	    n_ticker = length(tickers)
	    oMat = zeros(n_pm, n_ticker)
	    for i in 1:nrow(x)
	        r = findall(pms .== x.pm[i])[1]
	        c = findall(tickers .== x.ticker[i])[1]
	        x.side[i] == "buy" ? sgn = 1 : sgn = -1
	        oMat[r, c] = sgn * x.mv[i]
	    end
	
	    sMat = sign.(oMat)
	
	    model = Model(HiGHS.Optimizer)
	
	    @variable(model, tmv[1:n_pm, 1:n_ticker])
	    
	    # order-level restrictions
	    zindx = findall(oMat .== 0)
	    if length(zindx) > 0
	        @constraint(model, c0, tmv[zindx] .== 0)
	    end
	    nzindx = findall(abs.(oMat) .> 0)
	    if length(nzindx) > 0
	        @constraint(model, c3, tmv[nzindx] .* sMat[nzindx] .>= 0)  #ensures that all trades are of the right sign
	        @constraint(model, c4, tmv[nzindx] .* sMat[nzindx] .<= oMat[nzindx] .* sMat[nzindx]) # ensures that trades are not bigger than orders
	    end
	    # pm-level restrictions
	    indx = findall(sum(oMat, dims=2)[:] .== 0)
	    if length(indx) > 0
	        # c1a makes each each pm with a mn list have mn execns
	        @constraint(model, c1a, sum(tmv, dims=2)[indx, 1] .== 0)
	    end
	    
	    indx = findall(sum(oMat, dims=2)[:] .!= 0)
	    if length(indx) > 0
	        # c1b makes each pm with an outright list have nmv ∈ [-Inf, +nmv_target] for nmv_target > 0, nmv ∈ [nmv_target, +Inf] for nmv_target < 0
	        @constraint(model, c1b, sum(tmv, dims=2)[indx,1] ./ sum(oMat, dims=2)[indx,1] .<= 1) 
	        # c1c complements c1b and makes each pm have sign (nmv) = sign(nmv_target)
	        # in conjunction with c1b we now have the requirement that nmv lie between 0 and nmv_target
	        @constraint(model, c1c, sum(tmv, dims=2)[indx,1] .* sum(oMat, dims=2)[indx,1] .>= 0)
	    end
	    # by requiring that total trades in each ticker = 0 we ensure all trading is internalized
	    @constraint(model, c2, sum(tmv, dims=1) .== 0)
	    # objective is to maximize gmv traded subject to constraints
	    @objective(model, Max, sum(sMat .* tmv))
	    set_silent(model)
	    optimize!(model)
	    tMat = value.(tmv) #matrix of trade match_values
	    # now let's take mn_ob and add a net executed value column from tMat
	
	    x.sign .= ifelse.(x.side .== "buy", 1, -1)
	    x.signedmv = x.mv .* x.sign
	
	    x.execmv = zeros(nrow(x))
	    for i in 1:n_pm, j in 1:n_ticker
	        pm = pms[i]
	        ticker = tickers[j]
	        if tMat[i,j] != 0
	            r = findall(x.pm .== pm .&& x.ticker .== ticker)
	            if length(r) != 1
	                println("PROBLEM: for pm = $pm, ticker = $ticker optimzn gives tradevalue $(tMat[i,j]) but there's no corresponding order")
	            else
	                x.execmv[r[1]] = tMat[i,j]
	            end
	        end
	    end
	    x.opensignedmv = x.signedmv .- x.execmv
	    executionReport = tMat2ExecutionReport(tMat, pms, tickers)
	    return x, tMat, executionReport
	end

	function ptf(v,i,j)
	    if !(v isa String)
	        return replace(string(Int(round(v))), r"(?<=[0-9])(?=(?:[0-9]{3})+(?![0-9]))" => ",")
	    else
	        return v
	    end
	end

	function display_df_scrollable(df::DataFrame; 
	                             title::String = "my title",
	                             max_height::Int=400,
	                             max_rows::Union{Int,Nothing}=nothing,
								 showRowLabels::Bool = true,
	                             scrollable::Bool=true)
	    
	    # If max_rows is specified, limit the displayed rows
	    display_df = isnothing(max_rows) ? df : first(df, max_rows)
	    
	    # Get the basic table HTML
		if showRowLabels == true
		    table_html = pretty_table(String, display_df, 
		        backend=Val(:html),
		        formatters=ptf,
		        title = title,
		        title_alignment = :C,
		        row_labels = 1:nrow(display_df),
		        show_subheader = false,
		        standalone=false,
		        tf=tf_html_default)
		else
			table_html = pretty_table(String, display_df, 
		        backend=Val(:html),
		        formatters=ptf,
		        title = title,
		        title_alignment = :C,
		        show_subheader = false,
		        standalone=false,
		        tf=tf_html_default)
		end
	    
	    # Replace the existing table tags with ones that have our styles, removing borders
	    styled_table = replace(table_html, 
	        "<table>" => """<table style="width:100%; border-collapse:collapse; font-size:16px; border-spacing:0; position:relative;  ">""") #border:none;
	    
	    # Adjust header styling based on scrollable parameter, removing borders
	    header_top = scrollable ? "top:40px;" : "top:0;"
	    styled_table = replace(styled_table,
	        "<th" => """<th style="position:sticky; $(header_top) background:white; padding:8px; text-align:center; font-size:16px; " """) #border:none;
	    
	    styled_table = replace(styled_table,
	        "<td" => """<td style="padding:8px; text-align:center; font-size:18px; " """) #border:none;
	    
	    # Adjust caption styling based on scrollable parameter
	    caption_position = scrollable ? "position: sticky; top: 0;" : ""
	    styled_table = replace(styled_table,
	        """<caption style = "text-align: center;">""" => 
	        """<caption style="text-align: center; font-family: Georgia, serif; font-size: 24px; font-weight: bold; color: #2c3e50; padding: 10px; $(caption_position) background: white; z-index: 1; ">""") #border:none;
	    
	    # Wrap in appropriate div without borders
	    if scrollable
	        return @htl("""
	            <div style="max-height:$(max_height)px; overflow-y:auto; display:block;">
	                $(HTML(styled_table))
	            </div>
	        """)
	    else
	        return @htl("""
	            <div style="display:block;">
	                $(HTML(styled_table))
	            </div>
	        """)
	    end
	end
		
	Print()
end

# ╔═╡ 77adcf13-1ba4-4e6a-8744-3636d0f67ca1
begin
	#go
	ob = convertRotationOrderBookToRegularOrderBook(makeSampleRotationOrderBook())
	ob = ob_flattener(ob)
	ob_exec, tMat, executionReport = crossing_engine(ob);
	Print()
end

# ╔═╡ 61e99319-3be7-4646-82bc-db7e34f50bdc
display_df_scrollable(punchline(ob_exec),title="summary statistics of internal cross",scrollable=false,showRowLabels=false)

# ╔═╡ 60422a72-068a-46e2-84d8-f6900a67d73e
display_df_scrollable(ob, title = "simulated order book of $(format(nrow(ob),commas=true)) orders among $(length(unique(ob.pm))) PMs", showRowLabels = true)

# ╔═╡ 6003dec6-7270-47e1-833d-3f283a063181
display_df_scrollable(executionReport, title = "internal crosses", showRowLabels = true)

# ╔═╡ 07e3477a-c0df-499a-99f3-bb2eff71ec5b
begin
	indx = findall(ob_exec.opensignedmv .!= 0)
	x = ob_exec[indx, [:pm, :side, :ticker, :opensignedmv]]
	x.opensignedmv = abs.(x.opensignedmv)
	rename!(x, [:pm,:side,:ticker,:mv])
	display_df_scrollable(x, title = "remaining open orders")
end

# ╔═╡ 492db5f9-6916-41e4-9088-d9b31de42996
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	main {
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[[deps.OpenLibm_jll]]
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[[deps.PlutoUI]]
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[[deps.StaticArraysCore]]
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[[deps.TOML]]
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[[deps.Zlib_jll]]
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[[deps.libblastrampoline_jll]]
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[[deps.nghttp2_jll]]
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[[deps.p7zip_jll]]
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version = "17.4.0+2"
"""

# ╔═╡ Cell order:
# ╟─d5be6e8a-6e84-4a33-87a9-7b972bf92edc
# ╟─61e99319-3be7-4646-82bc-db7e34f50bdc
# ╟─60422a72-068a-46e2-84d8-f6900a67d73e
# ╟─6003dec6-7270-47e1-833d-3f283a063181
# ╟─07e3477a-c0df-499a-99f3-bb2eff71ec5b
# ╟─77adcf13-1ba4-4e6a-8744-3636d0f67ca1
# ╟─03bffb9e-d5a2-458e-ad2b-cbc87002bc82
# ╟─492db5f9-6916-41e4-9088-d9b31de42996
# ╟─99cb7cf8-a9df-11ef-221d-87167b2e404a
# ╟─006fde87-cbbf-49aa-b7fd-45cc6721d171
# ╟─00000000-0000-0000-0000-000000000001
# ╟─00000000-0000-0000-0000-000000000002