| commit | author | age | ||
| 16b655 | 1 | #pragma once |
| JG | 2 | |
| 3 | #include "book.hpp" | |
| 4 | ||
| 5 | #include <chrono> | |
| 6 | #include <cstdint> | |
| 7 | #include <ostream> | |
| 8 | #include <queue> | |
| 9 | #include <unordered_map> | |
| 10 | ||
| 11 | namespace json | |
| 12 | { | |
| 13 | enum MessageTypes { | |
| 2c515f | 14 | FUTURE_TYPE, |
| JG | 15 | SPREAD_TYPE, |
| 16 | CALL_TYPE, | |
| 17 | PUT_TYPE, | |
| 18 | SETTLEMENT, | |
| 19 | ADD, | |
| 20 | ADDED, | |
| 21 | DELETE, | |
| 22 | DELETED, | |
| 23 | REJECT, | |
| 24 | TRADE, | |
| 25 | BROKER_REQUEST, | |
| 26 | BROKER_ACK, | |
| 27 | BROKER_CONFIRM, | |
| 6bdd28 | 28 | ERROR, |
| 2c515f | 29 | NONE |
| 16b655 | 30 | }; |
| JG | 31 | |
| 32 | enum TradeTypeEnum { BUY_AGGRESSOR, SELL_AGGRESSOR }; | |
| 33 | ||
| 34 | struct Message { | |
| 2c515f | 35 | MessageTypes type; |
| JG | 36 | std::string product; |
| 37 | Message(MessageTypes type, std::string product); | |
| 38 | Message(); | |
| 39 | virtual ~Message() = default; | |
| 6bdd28 | 40 | }; |
| JG | 41 | |
| 42 | struct ErrorMessage : public Message { | |
| 43 | std::string message; | |
| 44 | ErrorMessage(std::string message); | |
| 45 | std::string as_string(); | |
| 16b655 | 46 | }; |
| JG | 47 | |
| 48 | struct FromExchange : public Message { | |
| 2c515f | 49 | uint64_t sequence; |
| JG | 50 | double timestamp; |
| 51 | FromExchange(MessageTypes type, std::string product, uint64_t sequence, | |
| 52 | double timestamp); | |
| 53 | virtual ~FromExchange() = default; | |
| 16b655 | 54 | }; |
| JG | 55 | |
| 56 | struct ToExchange : public Message { | |
| 2c515f | 57 | ToExchange(MessageTypes type, std::string product); |
| JG | 58 | virtual ~ToExchange() = default; |
| 16b655 | 59 | }; |
| JG | 60 | |
| 61 | struct Broker : public Message { | |
| 2c515f | 62 | double price; |
| JG | 63 | book::OrderSideEnum side; |
| 64 | uint64_t volume; | |
| 65 | std::string counterparty; | |
| 66 | Broker(MessageTypes type, std::string product, double price, | |
| 67 | book::OrderSideEnum side, uint64_t volume, std::string counterparty); | |
| 68 | virtual ~Broker() = default; | |
| 16b655 | 69 | }; |
| JG | 70 | |
| 71 | struct AnnounceMessage : public FromExchange { | |
| 2c515f | 72 | int stationId; |
| JG | 73 | std::string stationName; |
| 74 | std::string unit; | |
| 75 | std::chrono::nanoseconds expiry; | |
| 76 | double aggFee; | |
| 77 | double pasFee; | |
| 78 | double broFee; | |
| 16b655 | 79 | |
| 2c515f | 80 | AnnounceMessage(MessageTypes type, std::string product, int stationId, |
| JG | 81 | std::string stationName, std::string unit, |
| 82 | std::chrono::nanoseconds expiry, double aggFee, | |
| 83 | double pasFee, double broFee, uint64_t sequence, | |
| 84 | double timestamp); | |
| 16b655 | 85 | }; |
| JG | 86 | |
| 87 | struct SettleMessage : public FromExchange { | |
| 2c515f | 88 | std::string stationName; |
| JG | 89 | std::chrono::nanoseconds expiry; |
| 90 | double price; | |
| 91 | SettleMessage(MessageTypes type, std::string product, | |
| 92 | std::string stationName, std::chrono::nanoseconds expiry, | |
| 93 | double price, uint64_t sequence, double timestamp); | |
| 16b655 | 94 | }; |
| JG | 95 | |
| 96 | struct AddMessage : public ToExchange { | |
| 2c515f | 97 | double price; |
| JG | 98 | book::OrderSideEnum side; |
| 99 | uint64_t volume; | |
| 100 | AddMessage(MessageTypes type, std::string product, double price, | |
| 101 | book::OrderSideEnum side, uint64_t volume); | |
| 102 | std::string as_string(); | |
| 16b655 | 103 | }; |
| JG | 104 | |
| 105 | struct AddedMessage : public FromExchange { | |
| 2c515f | 106 | std::string id; |
| JG | 107 | book::OrderSideEnum side; |
| 108 | double price; | |
| 109 | uint64_t filled; | |
| 110 | uint64_t resting; | |
| 111 | AddedMessage(MessageTypes type, std::string product, std::string id, | |
| 112 | book::OrderSideEnum side, double price, uint64_t filled, | |
| 113 | uint64_t resting, uint64_t sequence, double timestamp); | |
| 6bdd28 | 114 | std::string as_string(); |
| 16b655 | 115 | }; |
| JG | 116 | |
| 117 | struct DeleteMessage : public ToExchange { | |
| 2c515f | 118 | std::string id; |
| JG | 119 | DeleteMessage(MessageTypes type, std::string product, std::string id); |
| 120 | std::string as_string(); | |
| 16b655 | 121 | }; |
| JG | 122 | |
| 123 | struct DeletedMessage : public FromExchange { | |
| 2c515f | 124 | std::string id; |
| JG | 125 | book::OrderSideEnum side; |
| 126 | DeletedMessage(MessageTypes type, std::string product, std::string id, | |
| 127 | book::OrderSideEnum side, uint64_t sequence, | |
| 128 | double timestamp); | |
| 6bdd28 | 129 | std::string as_string(); |
| 16b655 | 130 | }; |
| JG | 131 | |
| 132 | struct RejectMessage : public FromExchange { | |
| 2c515f | 133 | std::string error; |
| JG | 134 | RejectMessage(MessageTypes type, std::string product, std::string error, |
| 135 | uint64_t sequence, double timestamp); | |
| 6bdd28 | 136 | std::string as_string(); |
| 16b655 | 137 | }; |
| JG | 138 | |
| 139 | struct TradeMessage : public FromExchange { | |
| 2c515f | 140 | double price; |
| JG | 141 | uint64_t volume; |
| 142 | std::string buyer; | |
| 143 | std::string seller; | |
| 144 | TradeTypeEnum tradeType; | |
| 145 | std::string passiveOrder; | |
| 146 | uint64_t passiveOrderRemaining; | |
| 147 | TradeMessage(MessageTypes type, std::string product, double price, | |
| 148 | uint64_t volume, std::string buyer, std::string seller, | |
| 149 | TradeTypeEnum tradeType, std::string passiveOrder, | |
| 150 | uint64_t passiveOrderRemaining, uint64_t sequence, | |
| 151 | double timestamp); | |
| 16b655 | 152 | }; |
| JG | 153 | |
| 154 | struct BrokerRequest : public Broker { | |
| 2c515f | 155 | BrokerRequest(MessageTypes type, std::string product, double price, |
| JG | 156 | book::OrderSideEnum side, uint64_t volume, |
| 157 | std::string counterparty); | |
| 16b655 | 158 | }; |
| JG | 159 | |
| 160 | struct BrokerAck : public Broker { | |
| 2c515f | 161 | std::string id; |
| JG | 162 | std::string brokerTradeStatus; |
| 163 | std::string owner; | |
| 164 | BrokerAck(MessageTypes type, std::string product, double price, | |
| 165 | book::OrderSideEnum side, uint64_t volume, | |
| 166 | std::string counterparty, std::string id, | |
| 167 | std::string brokerTradeStatus, std::string owner); | |
| 16b655 | 168 | }; |
| JG | 169 | |
| 170 | struct BrokerConfirm : public Broker { | |
| 2c515f | 171 | std::string id; |
| JG | 172 | BrokerConfirm(MessageTypes type, std::string product, double price, |
| 173 | book::OrderSideEnum side, uint64_t volume, | |
| 174 | std::string counterparty, std::string id); | |
| 16b655 | 175 | }; |
| JG | 176 | |
| b4cf0a | 177 | std::queue<Message*> parse(std::string& str); |
| 16b655 | 178 | } // namespace json |
