bomex.git - Gitblit

Joel Grunbaum

2022-01-10 2c515f0de70ad675b5f5d25b6a496d67d8dc0463

commit \| author \| age
16b655	1	#include "json.hpp"
JG	2	#include "book.hpp"
	3	#include "date/include/date/date.h"
	4	#include "protocol.hpp"
b4cf0a	5	#include "rapidjson/include/rapidjson/document.h"
JG	6	#include "rapidjson/include/rapidjson/rapidjson.h"
16b655	7	#include <chrono>
JG	8	#include <cstddef>
	9	#include <cstdint>
	10	#include <cstring>
	11	#include <deque>
	12	#include <iomanip>
	13	#include <netdb.h>
	14	#include <numeric>
	15	#include <queue>
	16	#include <sstream>
	17	#include <string>
	18	#include <unordered_map>
	19	#include <utility>
	20
	21	namespace json
	22	{
	23	static std::unordered_map<std::string, MessageTypes> mapTypes;
	24	static std::unordered_map<MessageTypes, book::ProductTypeEnum> mapAnnounce;
	25	static std::unordered_map<std::string, book::OrderSideEnum> mapOrder;
	26	static std::unordered_map<std::string, TradeTypeEnum> mapTrade;
	27	static std::unordered_map<book::OrderSideEnum, std::string> mapOrderSide;
	28
	29	void initialise()
	30	{
2c515f	31	mapTypes = {{"FUTURE", FUTURE_TYPE},
JG	32	{"SPREAD", SPREAD_TYPE},
	33	{"CALL", CALL_TYPE},
	34	{"PUT", PUT_TYPE},
	35	{"SETTLEMENT", SETTLEMENT},
	36	{"ADDED", ADDED},
	37	{"DELETED", DELETED},
	38	{"TRADE", TRADE},
	39	{"BROKER_REQUEST", BROKER_REQUEST},
	40	{"BROKER_ACK", BROKER_ACK},
	41	{"BROKER_CONFIRM", BROKER_CONFIRM}};
16b655	42
2c515f	43	mapAnnounce = {{FUTURE_TYPE, book::FUTURE},
JG	44	{SPREAD_TYPE, book::SPREAD},
	45	{CALL_TYPE, book::CALL},
	46	{PUT_TYPE, book::PUT}};
16b655	47
2c515f	48	mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}};
16b655	49
2c515f	50	mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
JG	51	{"SELL_AGGRESSOR", SELL_AGGRESSOR}};
16b655	52
2c515f	53	mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
16b655	54	}
JG	55
b4cf0a	56	Message* parseSingle(rapidjson::Value& d);
JG	57	AnnounceMessage* announce(rapidjson::Value& d);
	58	SettleMessage* settle(rapidjson::Value& d);
	59	AddedMessage* added(rapidjson::Value& d);
	60	DeletedMessage* deleted(rapidjson::Value& d);
	61	TradeMessage* trade(rapidjson::Value& d);
	62	BrokerRequest* brokerReq(rapidjson::Value& d);
	63	BrokerAck* brokerAck(rapidjson::Value& d);
	64	BrokerConfirm* brokerCon(rapidjson::Value& d);
16b655	65
b4cf0a	66	std::queue<Message*> parse(std::string& str)
16b655	67	{
2c515f	68	std::queue<Message*> out;
JG	69	rapidjson::Document d;
	70	d.Parse(str.c_str());
	71	if (d.IsArray()) {
	72	for (rapidjson::SizeType i = 0; i < d.Size(); i++) {
	73	out.push(parseSingle(d[i]));
	74	}
	75	} else {
	76	out.push(parseSingle(d));
b4cf0a	77	}
2c515f	78	return out;
16b655	79	}
JG	80
b4cf0a	81	Message* parseSingle(rapidjson::Value& d)
16b655	82	{
2c515f	83	if (mapTypes.empty()) {
JG	84	initialise();
	85	}
	86	Message* out;
	87	switch (mapTypes[d["type"].GetString()]) {
	88	case FUTURE_TYPE:
	89	case SPREAD_TYPE:
	90	case CALL_TYPE:
	91	case PUT_TYPE:
	92	out = announce(d);
	93	break;
	94	case SETTLEMENT:
	95	out = settle(d);
	96	break;
	97	case ADDED:
	98	out = added(d);
	99	break;
	100	case DELETED:
	101	out = deleted(d);
	102	break;
	103	case TRADE:
	104	out = trade(d);
	105	break;
	106	case BROKER_REQUEST:
	107	out = brokerReq(d);
	108	break;
	109	case BROKER_ACK:
	110	out = brokerAck(d);
	111	break;
	112	case BROKER_CONFIRM:
	113	out = brokerCon(d);
	114	break;
	115	default:
	116	out = new Message(NONE, "");
	117	break;
	118	}
	119	return out;
16b655	120	}
JG	121
b4cf0a	122	AnnounceMessage* announce(rapidjson::Value& d)
16b655	123	{
2c515f	124	// std::stringstream expiryStream(d["expiry"].GetString());
JG	125	std::chrono::nanoseconds exp_time(0);
	126	// expiryStream >>
	127	// date::parse("%Y-%m-%f %H:%M%z", exp_time); // Parsing is broken
	128	return new AnnounceMessage(
	129	mapTypes[d["type"].GetString()], d["product"].GetString(),
	130	d["stationId"].GetInt(), d["stationName"].GetString(),
	131	d["unit"].GetString(), exp_time, d["aggressiveFee"].GetDouble(),
	132	d["passiveFee"].GetDouble(), d["brokerFee"].GetDouble(),
	133	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	134	}
JG	135
b4cf0a	136	SettleMessage* settle(rapidjson::Value& d)
16b655	137	{
2c515f	138	// std::stringstream expiryStream(d["expiry"].GetString());
JG	139	std::chrono::nanoseconds exp_time(0);
	140	// expiryStream >> date::parse("%Y-%m-%d %H:%M%z", exp_time);
	141	return new SettleMessage(
	142	mapTypes[d["type"].GetString()], d["product"].GetString(),
	143	d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
	144	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	145	}
JG	146
b4cf0a	147	AddedMessage* added(rapidjson::Value& d)
16b655	148	{
2c515f	149	return new AddedMessage(
JG	150	mapTypes[d["type"].GetString()], d["product"].GetString(),
	151	d["id"].GetString(), mapOrder[d["side"].GetString()],
	152	d["price"].GetDouble(), d["filled"].GetInt(), d["resting"].GetInt(),
	153	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	154	}
JG	155
b4cf0a	156	DeletedMessage* deleted(rapidjson::Value& d)
16b655	157	{
2c515f	158	return new DeletedMessage(
JG	159	mapTypes[d["type"].GetString()], d["product"].GetString(),
	160	d["id"].GetString(), mapOrder[d["side"].GetString()],
	161	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	162	}
JG	163
b4cf0a	164	TradeMessage* trade(rapidjson::Value& d)
16b655	165	{
2c515f	166	return new TradeMessage(
JG	167	mapTypes[d["type"].GetString()], d["product"].GetString(),
	168	d["price"].GetDouble(), d["volume"].GetInt(), d["buyer"].GetString(),
	169	d["seller"].GetString(), mapTrade[d["tradeType"].GetString()],
	170	d["passiveOrder"].GetString(), d["passiveOrderRemaining"].GetInt(),
	171	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	172	}
JG	173
b4cf0a	174	BrokerRequest* brokerReq(rapidjson::Value& d)
16b655	175	{
2c515f	176	return new BrokerRequest(
JG	177	mapTypes[d["type"].GetString()], d["product"].GetString(),
	178	d["price"].GetDouble(), mapOrder[d["side"].GetString()],
	179	d["volume"].GetInt(), d["counterparty"].GetString());
16b655	180	}
JG	181
b4cf0a	182	BrokerAck* brokerAck(rapidjson::Value& d)
16b655	183	{
2c515f	184	return new BrokerAck(mapTypes[d["type"].GetString()],
JG	185	d["product"].GetString(), d["price"].GetDouble(),
	186	mapOrder[d["side"].GetString()], d["volume"].GetInt(),
	187	d["counterparty"].GetString(), d["id"].GetString(),
	188	d["brokerTradeStatus"].GetString(),
	189	d["owner"].GetString());
16b655	190	}
b4cf0a	191	BrokerConfirm* brokerCon(rapidjson::Value& d)
16b655	192	{
2c515f	193	return new BrokerConfirm(
JG	194	mapTypes[d["type"].GetString()], d["product"].GetString(),
	195	d["price"].GetDouble(), mapOrder[d["side"].GetString()],
	196	d["volume"].GetInt(), d["counterparty"].GetString(),
	197	d["id"].GetString());
16b655	198	}
JG	199
	200	Message::Message() : type(NONE), product("error") {}
	201
	202	Message::Message(MessageTypes types, std::string product)
2c515f	203	: type(types), product(product)
16b655	204	{
JG	205	}
	206
	207	FromExchange::FromExchange(MessageTypes type, std::string product,
	208	uint64_t sequence, double timestamp)
2c515f	209	: Message(type, product), sequence(sequence), timestamp(timestamp)
16b655	210	{
JG	211	}
	212
	213	ToExchange::ToExchange(MessageTypes type, std::string product)
2c515f	214	: Message(type, product){};
16b655	215
JG	216	Broker::Broker(MessageTypes type, std::string product, double price,
	217	book::OrderSideEnum side, uint64_t volume,
	218	std::string counterparty)
2c515f	219	: Message(type, product), price(price), side(side), volume(volume),
JG	220	counterparty(counterparty)
16b655	221	{
JG	222	}
	223
	224	AnnounceMessage::AnnounceMessage(MessageTypes type, std::string product,
b4cf0a	225	int stationId, std::string stationName,
16b655	226	std::string unit,
JG	227	std::chrono::nanoseconds expiry, double aggFee,
	228	double pasFee, double broFee,
	229	uint64_t sequence, double timestamp)
2c515f	230	: FromExchange(type, product, sequence, timestamp), stationId(stationId),
JG	231	stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee),
	232	pasFee(pasFee), broFee(broFee)
16b655	233	{
JG	234	}
	235
	236	SettleMessage::SettleMessage(MessageTypes type, std::string product,
	237	std::string stationName,
	238	std::chrono::nanoseconds expiry, double price,
	239	uint64_t sequence, double timestamp)
2c515f	240	: FromExchange(type, product, sequence, timestamp),
JG	241	stationName(stationName), expiry(expiry), price(price)
16b655	242	{
JG	243	}
	244
	245	AddMessage::AddMessage(MessageTypes type, std::string product, double price,
	246	book::OrderSideEnum side, uint64_t volume)
2c515f	247	: ToExchange(type, product), price(price), side(side), volume(volume)
16b655	248	{
JG	249	}
	250
	251	std::string AddMessage::as_string()
	252	{
2c515f	253	if (mapOrderSide.empty()) initialise();
JG	254	return "{\"type\": \"ADD\", \"product\": \"" + this->product +
	255	"\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
	256	mapOrderSide[this->side] +
	257	"\", \"volume\": " + std::to_string(this->volume) + "}";
16b655	258	}
JG	259
	260	AddedMessage::AddedMessage(MessageTypes type, std::string product,
	261	std::string id, book::OrderSideEnum side,
	262	double price, uint64_t filled, uint64_t resting,
	263	uint64_t sequence, double timestamp)
2c515f	264	: FromExchange(type, product, sequence, timestamp), id(id), side(side),
JG	265	price(price), filled(filled), resting(resting)
16b655	266	{
JG	267	}
	268
	269	DeleteMessage::DeleteMessage(MessageTypes type, std::string product,
	270	std::string id)
2c515f	271	: ToExchange(type, product), id(id)
16b655	272	{
JG	273	}
	274
	275	std::string DeleteMessage::as_string()
	276	{
2c515f	277	if (mapOrderSide.empty()) initialise();
JG	278	return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
	279	"\", \"id\": \"" + this->id + "\"}";
16b655	280	}
JG	281
	282	DeletedMessage::DeletedMessage(MessageTypes type, std::string product,
	283	std::string id, book::OrderSideEnum side,
	284	uint64_t sequence, double timestamp)
2c515f	285	: FromExchange(type, product, sequence, timestamp), id(id), side(side)
16b655	286	{
JG	287	}
	288
	289	RejectMessage::RejectMessage(MessageTypes type, std::string product,
	290	std::string error, uint64_t sequence,
	291	double timestamp)
2c515f	292	: FromExchange(type, product, sequence, timestamp), error(error)
16b655	293	{
JG	294	}
	295
	296	TradeMessage::TradeMessage(MessageTypes type, std::string product, double price,
	297	uint64_t volume, std::string buyer,
	298	std::string seller, TradeTypeEnum tradeType,
	299	std::string passiveOrder,
	300	uint64_t passiveOrderRemaining, uint64_t sequence,
	301	double timestamp)
2c515f	302	: FromExchange(type, product, sequence, timestamp), price(price),
JG	303	volume(volume), buyer(buyer), seller(seller), tradeType(tradeType),
	304	passiveOrder(passiveOrder), passiveOrderRemaining(passiveOrderRemaining)
16b655	305	{
JG	306	}
	307
	308	BrokerRequest::BrokerRequest(MessageTypes type, std::string product,
	309	double price, book::OrderSideEnum side,
	310	uint64_t volume, std::string counterparty)
2c515f	311	: Broker(type, product, price, side, volume, counterparty)
16b655	312	{
JG	313	}
	314
	315	BrokerAck::BrokerAck(MessageTypes type, std::string product, double price,
	316	book::OrderSideEnum side, uint64_t volume,
	317	std::string counterparty, std::string id,
	318	std::string brokerTradeStatus, std::string owner)
2c515f	319	: Broker(type, product, price, side, volume, counterparty), id(id),
JG	320	brokerTradeStatus(brokerTradeStatus), owner(owner)
16b655	321	{
JG	322	}
	323
	324	BrokerConfirm::BrokerConfirm(MessageTypes type, std::string product,
	325	double price, book::OrderSideEnum side,
	326	uint64_t volume, std::string counterparty,
	327	std::string id)
2c515f	328	: Broker(type, product, price, side, volume, counterparty), id(id)
16b655	329	{
JG	330	}
	331	} // namespace json