bomex.git - Gitblit

Joel Grunbaum

2022-01-13 d2cfd3eeeb8b6af3b7ccda01e6c1ac581a2df398

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},
4fdb65	51	{"SELL_AGGRESSOR", SELL_AGGRESSOR},
e8c910	52	{"BROKER_TRADE", BROKER_TRADE}};
16b655	53
2c515f	54	mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
16b655	55	}
JG	56
b4cf0a	57	Message* parseSingle(rapidjson::Value& d);
JG	58	AnnounceMessage* announce(rapidjson::Value& d);
	59	SettleMessage* settle(rapidjson::Value& d);
	60	AddedMessage* added(rapidjson::Value& d);
	61	DeletedMessage* deleted(rapidjson::Value& d);
6bdd28	62	RejectMessage* reject(rapidjson::Value& d);
b4cf0a	63	TradeMessage* trade(rapidjson::Value& d);
JG	64	BrokerRequest* brokerReq(rapidjson::Value& d);
	65	BrokerAck* brokerAck(rapidjson::Value& d);
	66	BrokerConfirm* brokerCon(rapidjson::Value& d);
6bdd28	67	ErrorMessage* error(rapidjson::Value& d);
16b655	68
d2cfd3	69	std::chrono::seconds parseTime(std::string& s);
JG	70
b4cf0a	71	std::queue<Message*> parse(std::string& str)
16b655	72	{
2c515f	73	std::queue<Message*> out;
JG	74	rapidjson::Document d;
	75	d.Parse(str.c_str());
	76	if (d.IsArray()) {
	77	for (rapidjson::SizeType i = 0; i < d.Size(); i++) {
	78	out.push(parseSingle(d[i]));
	79	}
	80	} else {
	81	out.push(parseSingle(d));
b4cf0a	82	}
2c515f	83	return out;
16b655	84	}
JG	85
b4cf0a	86	Message* parseSingle(rapidjson::Value& d)
16b655	87	{
2c515f	88	if (mapTypes.empty()) {
JG	89	initialise();
	90	}
6bdd28	91	if (d.HasMember("error")) return error(d);
2c515f	92	Message* out;
JG	93	switch (mapTypes[d["type"].GetString()]) {
	94	case FUTURE_TYPE:
	95	case SPREAD_TYPE:
	96	case CALL_TYPE:
	97	case PUT_TYPE:
	98	out = announce(d);
	99	break;
	100	case SETTLEMENT:
	101	out = settle(d);
	102	break;
	103	case ADDED:
	104	out = added(d);
	105	break;
	106	case DELETED:
	107	out = deleted(d);
6bdd28	108	break;
JG	109	case REJECT:
	110	out = reject(d);
2c515f	111	break;
JG	112	case TRADE:
	113	out = trade(d);
	114	break;
	115	case BROKER_REQUEST:
	116	out = brokerReq(d);
	117	break;
	118	case BROKER_ACK:
	119	out = brokerAck(d);
	120	break;
	121	case BROKER_CONFIRM:
	122	out = brokerCon(d);
	123	break;
	124	default:
	125	out = new Message(NONE, "");
	126	break;
	127	}
	128	return out;
16b655	129	}
JG	130
d2cfd3	131	std::chrono::seconds parseTime(std::string& s)
JG	132	{
	133	return std::chrono::hours{std::stoi(s.substr(0, 4)) * 24 * 30 * 12} +
	134	std::chrono::hours{std::stoi(s.substr(5, 2)) * 24 * 30} +
	135	std::chrono::hours{std::stoi(s.substr(8, 2)) * 24} +
	136	std::chrono::hours{std::stoi(s.substr(11, 2))} +
	137	std::chrono::minutes{std::stoi(s.substr(14, 2))} +
	138	std::chrono::hours{std::stoi(s.substr(16, 5))};
	139	}
	140
b4cf0a	141	AnnounceMessage* announce(rapidjson::Value& d)
16b655	142	{
d2cfd3	143	std::string es = d["expiry"].GetString();
2c515f	144	std::chrono::nanoseconds exp_time(0);
d2cfd3	145	exp_time = parseTime(es);
2c515f	146	return new AnnounceMessage(
JG	147	mapTypes[d["type"].GetString()], d["product"].GetString(),
	148	d["stationId"].GetInt(), d["stationName"].GetString(),
	149	d["unit"].GetString(), exp_time, d["aggressiveFee"].GetDouble(),
	150	d["passiveFee"].GetDouble(), d["brokerFee"].GetDouble(),
	151	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	152	}
JG	153
b4cf0a	154	SettleMessage* settle(rapidjson::Value& d)
16b655	155	{
2c515f	156	std::chrono::nanoseconds exp_time(0);
d2cfd3	157	std::string es = d["expiry"].GetString();
JG	158	exp_time = parseTime(es);
2c515f	159	return new SettleMessage(
JG	160	mapTypes[d["type"].GetString()], d["product"].GetString(),
	161	d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
	162	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	163	}
JG	164
b4cf0a	165	AddedMessage* added(rapidjson::Value& d)
16b655	166	{
2c515f	167	return new AddedMessage(
JG	168	mapTypes[d["type"].GetString()], d["product"].GetString(),
	169	d["id"].GetString(), mapOrder[d["side"].GetString()],
	170	d["price"].GetDouble(), d["filled"].GetInt(), d["resting"].GetInt(),
	171	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	172	}
JG	173
b4cf0a	174	DeletedMessage* deleted(rapidjson::Value& d)
16b655	175	{
2c515f	176	return new DeletedMessage(
JG	177	mapTypes[d["type"].GetString()], d["product"].GetString(),
	178	d["id"].GetString(), mapOrder[d["side"].GetString()],
	179	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	180	}
JG	181
6bdd28	182	RejectMessage* reject(rapidjson::Value& d)
JG	183	{
	184	return new RejectMessage(mapTypes[d["type"].GetString()], "",
	185	d["error"].GetString(), uint64_t(0), double(0));
	186	}
	187
b4cf0a	188	TradeMessage* trade(rapidjson::Value& d)
16b655	189	{
2c515f	190	return new TradeMessage(
JG	191	mapTypes[d["type"].GetString()], d["product"].GetString(),
	192	d["price"].GetDouble(), d["volume"].GetInt(), d["buyer"].GetString(),
	193	d["seller"].GetString(), mapTrade[d["tradeType"].GetString()],
	194	d["passiveOrder"].GetString(), d["passiveOrderRemaining"].GetInt(),
	195	d["sequence"].GetInt(), d["timestamp"].GetDouble());
16b655	196	}
JG	197
b4cf0a	198	BrokerRequest* brokerReq(rapidjson::Value& d)
16b655	199	{
2c515f	200	return new BrokerRequest(
JG	201	mapTypes[d["type"].GetString()], d["product"].GetString(),
	202	d["price"].GetDouble(), mapOrder[d["side"].GetString()],
	203	d["volume"].GetInt(), d["counterparty"].GetString());
16b655	204	}
JG	205
b4cf0a	206	BrokerAck* brokerAck(rapidjson::Value& d)
16b655	207	{
2c515f	208	return new BrokerAck(mapTypes[d["type"].GetString()],
JG	209	d["product"].GetString(), d["price"].GetDouble(),
	210	mapOrder[d["side"].GetString()], d["volume"].GetInt(),
	211	d["counterparty"].GetString(), d["id"].GetString(),
	212	d["brokerTradeStatus"].GetString(),
	213	d["owner"].GetString());
16b655	214	}
b4cf0a	215	BrokerConfirm* brokerCon(rapidjson::Value& d)
16b655	216	{
2c515f	217	return new BrokerConfirm(
JG	218	mapTypes[d["type"].GetString()], d["product"].GetString(),
	219	d["price"].GetDouble(), mapOrder[d["side"].GetString()],
	220	d["volume"].GetInt(), d["counterparty"].GetString(),
	221	d["id"].GetString());
16b655	222	}
JG	223
6bdd28	224	ErrorMessage* error(rapidjson::Value& d)
JG	225	{
	226	return new ErrorMessage(d["error"].GetString());
	227	}
	228
16b655	229	Message::Message() : type(NONE), product("error") {}
JG	230
	231	Message::Message(MessageTypes types, std::string product)
2c515f	232	: type(types), product(product)
16b655	233	{
6bdd28	234	}
JG	235
	236	ErrorMessage::ErrorMessage(std::string message)
	237	: Message(ERROR, ""), message(message)
	238	{
	239	}
	240	std::string ErrorMessage::as_string()
	241	{
	242	return "{\"error\": \"" + this->message + "\"}";
16b655	243	}
JG	244
	245	FromExchange::FromExchange(MessageTypes type, std::string product,
	246	uint64_t sequence, double timestamp)
2c515f	247	: Message(type, product), sequence(sequence), timestamp(timestamp)
16b655	248	{
JG	249	}
	250
	251	ToExchange::ToExchange(MessageTypes type, std::string product)
2c515f	252	: Message(type, product){};
16b655	253
JG	254	Broker::Broker(MessageTypes type, std::string product, double price,
	255	book::OrderSideEnum side, uint64_t volume,
	256	std::string counterparty)
2c515f	257	: Message(type, product), price(price), side(side), volume(volume),
JG	258	counterparty(counterparty)
16b655	259	{
JG	260	}
	261
	262	AnnounceMessage::AnnounceMessage(MessageTypes type, std::string product,
b4cf0a	263	int stationId, std::string stationName,
16b655	264	std::string unit,
JG	265	std::chrono::nanoseconds expiry, double aggFee,
	266	double pasFee, double broFee,
	267	uint64_t sequence, double timestamp)
2c515f	268	: FromExchange(type, product, sequence, timestamp), stationId(stationId),
JG	269	stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee),
	270	pasFee(pasFee), broFee(broFee)
16b655	271	{
JG	272	}
	273
	274	SettleMessage::SettleMessage(MessageTypes type, std::string product,
	275	std::string stationName,
	276	std::chrono::nanoseconds expiry, double price,
	277	uint64_t sequence, double timestamp)
2c515f	278	: FromExchange(type, product, sequence, timestamp),
JG	279	stationName(stationName), expiry(expiry), price(price)
16b655	280	{
JG	281	}
	282
	283	AddMessage::AddMessage(MessageTypes type, std::string product, double price,
	284	book::OrderSideEnum side, uint64_t volume)
2c515f	285	: ToExchange(type, product), price(price), side(side), volume(volume)
16b655	286	{
JG	287	}
	288
	289	std::string AddMessage::as_string()
	290	{
2c515f	291	if (mapOrderSide.empty()) initialise();
JG	292	return "{\"type\": \"ADD\", \"product\": \"" + this->product +
d2cfd3	293	"\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
JG	294	mapOrderSide[this->side] +
	295	"\", \"volume\": " + std::to_string(this->volume) + "}";
16b655	296	}
JG	297
	298	AddedMessage::AddedMessage(MessageTypes type, std::string product,
	299	std::string id, book::OrderSideEnum side,
	300	double price, uint64_t filled, uint64_t resting,
	301	uint64_t sequence, double timestamp)
2c515f	302	: FromExchange(type, product, sequence, timestamp), id(id), side(side),
JG	303	price(price), filled(filled), resting(resting)
16b655	304	{
JG	305	}
	306
6bdd28	307	std::string AddedMessage::as_string()
JG	308	{
	309	return "{\"type\": \"ADDED\", \"product\": \"" + this->product +
d2cfd3	310	"\", \"product\": \"" + this->id + "\" \"side\": \"" +
JG	311	mapOrderSide[this->side] +
	312	"\", \"price\": " + std::to_string(this->price) +
	313	"\"filled\": " + std::to_string(this->filled) +
	314	", \"resting\": " + std::to_string(this->resting) +
	315	", \"sequence\": " + std::to_string(this->sequence) +
	316	", \"timestamp\":" + std::to_string(this->timestamp) + "}";
6bdd28	317	}
JG	318
16b655	319	DeleteMessage::DeleteMessage(MessageTypes type, std::string product,
JG	320	std::string id)
2c515f	321	: ToExchange(type, product), id(id)
16b655	322	{
JG	323	}
	324
	325	std::string DeleteMessage::as_string()
	326	{
2c515f	327	if (mapOrderSide.empty()) initialise();
JG	328	return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
d2cfd3	329	"\", \"id\": \"" + this->id + "\"}";
16b655	330	}
JG	331
	332	DeletedMessage::DeletedMessage(MessageTypes type, std::string product,
	333	std::string id, book::OrderSideEnum side,
	334	uint64_t sequence, double timestamp)
2c515f	335	: FromExchange(type, product, sequence, timestamp), id(id), side(side)
16b655	336	{
JG	337	}
	338
6bdd28	339	std::string DeletedMessage::as_string()
JG	340	{
	341	return "{\"type\": \"DELETED\", \"product\": \"" + this->product +
d2cfd3	342	"\", \"product\": \"" + this->id + "\" \"side\": \"" +
JG	343	mapOrderSide[this->side] +
	344	", \"sequence\": " + std::to_string(this->sequence) +
	345	", \"timestamp\":" + std::to_string(this->timestamp) + "}";
6bdd28	346	}
JG	347
16b655	348	RejectMessage::RejectMessage(MessageTypes type, std::string product,
JG	349	std::string error, uint64_t sequence,
	350	double timestamp)
2c515f	351	: FromExchange(type, product, sequence, timestamp), error(error)
16b655	352	{
JG	353	}
	354
6bdd28	355	std::string RejectMessage::as_string()
JG	356	{
	357	return "{\"type\": \"REJECT\", \"product\": \"" + this->product =
d2cfd3	358	"\", \"error\": \"" + this->error +
JG	359	"\", \"sequence\": " + std::to_string(this->sequence) +
	360	", \"timestamp\": " + std::to_string(this->timestamp) + "}";
6bdd28	361	}
JG	362
16b655	363	TradeMessage::TradeMessage(MessageTypes type, std::string product, double price,
JG	364	uint64_t volume, std::string buyer,
	365	std::string seller, TradeTypeEnum tradeType,
	366	std::string passiveOrder,
	367	uint64_t passiveOrderRemaining, uint64_t sequence,
	368	double timestamp)
2c515f	369	: FromExchange(type, product, sequence, timestamp), price(price),
JG	370	volume(volume), buyer(buyer), seller(seller), tradeType(tradeType),
	371	passiveOrder(passiveOrder), passiveOrderRemaining(passiveOrderRemaining)
16b655	372	{
JG	373	}
	374
	375	BrokerRequest::BrokerRequest(MessageTypes type, std::string product,
	376	double price, book::OrderSideEnum side,
	377	uint64_t volume, std::string counterparty)
2c515f	378	: Broker(type, product, price, side, volume, counterparty)
16b655	379	{
JG	380	}
	381
	382	BrokerAck::BrokerAck(MessageTypes type, std::string product, double price,
	383	book::OrderSideEnum side, uint64_t volume,
	384	std::string counterparty, std::string id,
	385	std::string brokerTradeStatus, std::string owner)
2c515f	386	: Broker(type, product, price, side, volume, counterparty), id(id),
JG	387	brokerTradeStatus(brokerTradeStatus), owner(owner)
16b655	388	{
JG	389	}
	390
	391	BrokerConfirm::BrokerConfirm(MessageTypes type, std::string product,
	392	double price, book::OrderSideEnum side,
	393	uint64_t volume, std::string counterparty,
	394	std::string id)
2c515f	395	: Broker(type, product, price, side, volume, counterparty), id(id)
16b655	396	{
JG	397	}
	398	} // namespace json