#include "json.hpp"
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#include "book.hpp"
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#include "protocol.hpp"
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#include "rapidjson/include/rapidjson/document.h"
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#include "rapidjson/include/rapidjson/rapidjson.h"
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#include <chrono>
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#include <cstddef>
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#include <cstdint>
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#include <cstring>
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#include <deque>
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#include <iomanip>
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#include <netdb.h>
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#include <numeric>
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#include <queue>
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#include <sstream>
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#include <string>
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#include <unordered_map>
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#include <utility>
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namespace json
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{
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static std::unordered_map<std::string, MessageTypes> mapTypes;
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static std::unordered_map<MessageTypes, book::ProductTypeEnum> mapAnnounce;
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static std::unordered_map<std::string, book::OrderSideEnum> mapOrder;
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static std::unordered_map<std::string, TradeTypeEnum> mapTrade;
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static std::unordered_map<book::OrderSideEnum, std::string> mapOrderSide;
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void initialise()
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{
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mapTypes = {{"FUTURE", FUTURE_TYPE},
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{"SPREAD", SPREAD_TYPE},
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{"CALL", CALL_TYPE},
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{"PUT", PUT_TYPE},
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{"SETTLEMENT", SETTLEMENT},
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{"ADDED", ADDED},
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{"DELETED", DELETED},
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{"TRADE", TRADE},
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{"BROKER_REQUEST", BROKER_REQUEST},
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{"BROKER_ACK", BROKER_ACK},
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{"BROKER_CONFIRM", BROKER_CONFIRM}};
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mapAnnounce = {{FUTURE_TYPE, book::FUTURE},
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{SPREAD_TYPE, book::SPREAD},
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{CALL_TYPE, book::CALL},
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{PUT_TYPE, book::PUT}};
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mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}};
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mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
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{"SELL_AGGRESSOR", SELL_AGGRESSOR},
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{"BROKER_TRADE", BROKER_TRADE}};
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mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
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}
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Message* parseSingle(rapidjson::Value& d);
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AnnounceMessage* announce(rapidjson::Value& d);
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SettleMessage* settle(rapidjson::Value& d);
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AddedMessage* added(rapidjson::Value& d);
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DeletedMessage* deleted(rapidjson::Value& d);
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RejectMessage* reject(rapidjson::Value& d);
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TradeMessage* trade(rapidjson::Value& d);
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BrokerRequest* brokerReq(rapidjson::Value& d);
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BrokerAck* brokerAck(rapidjson::Value& d);
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BrokerConfirm* brokerCon(rapidjson::Value& d);
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ErrorMessage* error(rapidjson::Value& d);
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std::chrono::seconds parseTime(std::string& s);
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std::queue<Message*> parse(std::string& str)
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{
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std::queue<Message*> out;
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rapidjson::Document d;
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d.Parse(str.c_str());
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if (d.IsArray()) {
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for (rapidjson::SizeType i = 0; i < d.Size(); i++) {
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out.push(parseSingle(d[i]));
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}
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} else {
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out.push(parseSingle(d));
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}
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return out;
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}
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Message* parseSingle(rapidjson::Value& d)
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{
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if (mapTypes.empty()) {
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initialise();
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}
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if (d.HasMember("error")) return error(d);
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Message* out;
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switch (mapTypes[d["type"].GetString()]) {
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case FUTURE_TYPE:
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case SPREAD_TYPE:
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case CALL_TYPE:
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case PUT_TYPE:
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out = announce(d);
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break;
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case SETTLEMENT:
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out = settle(d);
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break;
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case ADDED:
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out = added(d);
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break;
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case DELETED:
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out = deleted(d);
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break;
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case REJECT:
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out = reject(d);
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break;
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case TRADE:
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out = trade(d);
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break;
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case BROKER_REQUEST:
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out = brokerReq(d);
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break;
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case BROKER_ACK:
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out = brokerAck(d);
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break;
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case BROKER_CONFIRM:
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out = brokerCon(d);
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break;
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default:
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out = new Message(NONE, "");
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break;
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}
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return out;
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}
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std::chrono::seconds parseTime(std::string& s)
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{
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return std::chrono::hours{std::stoi(s.substr(0, 4)) * 24 * 30 * 12} +
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std::chrono::hours{std::stoi(s.substr(5, 2)) * 24 * 30} +
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std::chrono::hours{std::stoi(s.substr(8, 2)) * 24} +
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std::chrono::hours{std::stoi(s.substr(11, 2))} +
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std::chrono::minutes{std::stoi(s.substr(14, 2))} +
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std::chrono::hours{std::stoi(s.substr(16, 5))};
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}
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AnnounceMessage* announce(rapidjson::Value& d)
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{
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std::string es = d["expiry"].GetString();
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std::chrono::nanoseconds exp_time(0);
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exp_time = parseTime(es);
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return new AnnounceMessage(
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mapTypes[d["type"].GetString()], d["product"].GetString(),
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d["stationId"].GetInt(), d["stationName"].GetString(),
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d["unit"].GetString(), exp_time, d["aggressiveFee"].GetDouble(),
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d["passiveFee"].GetDouble(), d["brokerFee"].GetDouble(),
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d["sequence"].GetInt(), d["timestamp"].GetDouble());
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}
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SettleMessage* settle(rapidjson::Value& d)
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{
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std::chrono::nanoseconds exp_time(0);
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std::string es = d["expiry"].GetString();
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exp_time = parseTime(es);
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return new SettleMessage(
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mapTypes[d["type"].GetString()], d["product"].GetString(),
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d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
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d["sequence"].GetInt(), d["timestamp"].GetDouble());
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}
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AddedMessage* added(rapidjson::Value& d)
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{
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return new AddedMessage(
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mapTypes[d["type"].GetString()], d["product"].GetString(),
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d["id"].GetString(), mapOrder[d["side"].GetString()],
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d["price"].GetDouble(), d["filled"].GetInt(), d["resting"].GetInt(),
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d["sequence"].GetInt(), d["timestamp"].GetDouble());
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}
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DeletedMessage* deleted(rapidjson::Value& d)
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{
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return new DeletedMessage(
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mapTypes[d["type"].GetString()], d["product"].GetString(),
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d["id"].GetString(), mapOrder[d["side"].GetString()],
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d["sequence"].GetInt(), d["timestamp"].GetDouble());
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}
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RejectMessage* reject(rapidjson::Value& d)
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{
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return new RejectMessage(mapTypes[d["type"].GetString()], "",
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d["error"].GetString(), uint64_t(0), double(0));
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}
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TradeMessage* trade(rapidjson::Value& d)
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{
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return new TradeMessage(
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mapTypes[d["type"].GetString()], d["product"].GetString(),
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d["price"].GetDouble(), d["volume"].GetInt(), d["buyer"].GetString(),
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d["seller"].GetString(), mapTrade[d["tradeType"].GetString()],
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d["passiveOrder"].GetString(), d["passiveOrderRemaining"].GetInt(),
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d["sequence"].GetInt(), d["timestamp"].GetDouble());
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}
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BrokerRequest* brokerReq(rapidjson::Value& d)
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{
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return new BrokerRequest(
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mapTypes[d["type"].GetString()], d["product"].GetString(),
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d["price"].GetDouble(), mapOrder[d["side"].GetString()],
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d["volume"].GetInt(), d["counterparty"].GetString());
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}
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BrokerAck* brokerAck(rapidjson::Value& d)
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{
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return new BrokerAck(mapTypes[d["type"].GetString()],
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d["product"].GetString(), d["price"].GetDouble(),
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mapOrder[d["side"].GetString()], d["volume"].GetInt(),
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d["counterparty"].GetString(), d["id"].GetString(),
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d["brokerTradeStatus"].GetString(),
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d["owner"].GetString());
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}
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BrokerConfirm* brokerCon(rapidjson::Value& d)
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{
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return new BrokerConfirm(
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mapTypes[d["type"].GetString()], d["product"].GetString(),
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d["price"].GetDouble(), mapOrder[d["side"].GetString()],
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d["volume"].GetInt(), d["counterparty"].GetString(),
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d["id"].GetString());
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}
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ErrorMessage* error(rapidjson::Value& d)
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{
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return new ErrorMessage(d["error"].GetString());
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}
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Message::Message() : type(NONE), product("error") {}
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Message::Message(MessageTypes types, std::string product)
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: type(types), product(product)
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{
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}
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ErrorMessage::ErrorMessage(std::string message)
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: Message(ERROR, ""), message(message)
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{
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}
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std::string ErrorMessage::as_string()
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{
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return "{\"error\": \"" + this->message + "\"}";
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}
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FromExchange::FromExchange(MessageTypes type, std::string product,
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uint64_t sequence, double timestamp)
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: Message(type, product), sequence(sequence), timestamp(timestamp)
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{
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}
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ToExchange::ToExchange(MessageTypes type, std::string product)
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: Message(type, product){};
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Broker::Broker(MessageTypes type, std::string product, double price,
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book::OrderSideEnum side, uint64_t volume,
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std::string counterparty)
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: Message(type, product), price(price), side(side), volume(volume),
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counterparty(counterparty)
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{
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}
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AnnounceMessage::AnnounceMessage(MessageTypes type, std::string product,
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int stationId, std::string stationName,
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std::string unit,
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std::chrono::nanoseconds expiry, double aggFee,
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double pasFee, double broFee,
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uint64_t sequence, double timestamp)
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: FromExchange(type, product, sequence, timestamp), stationId(stationId),
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stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee),
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pasFee(pasFee), broFee(broFee)
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{
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}
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SettleMessage::SettleMessage(MessageTypes type, std::string product,
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std::string stationName,
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std::chrono::nanoseconds expiry, double price,
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uint64_t sequence, double timestamp)
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: FromExchange(type, product, sequence, timestamp),
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stationName(stationName), expiry(expiry), price(price)
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{
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}
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AddMessage::AddMessage(MessageTypes type, std::string product, double price,
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book::OrderSideEnum side, uint64_t volume)
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: ToExchange(type, product), price(price), side(side), volume(volume)
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{
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}
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std::string AddMessage::as_string()
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{
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if (mapOrderSide.empty()) initialise();
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return "{\"type\": \"ADD\", \"product\": \"" + this->product +
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"\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
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mapOrderSide[this->side] +
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"\", \"volume\": " + std::to_string(this->volume) + "}";
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}
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AddedMessage::AddedMessage(MessageTypes type, std::string product,
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std::string id, book::OrderSideEnum side,
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double price, uint64_t filled, uint64_t resting,
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uint64_t sequence, double timestamp)
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: FromExchange(type, product, sequence, timestamp), id(id), side(side),
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price(price), filled(filled), resting(resting)
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{
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}
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std::string AddedMessage::as_string()
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{
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return "{\"type\": \"ADDED\", \"product\": \"" + this->product +
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"\", \"product\": \"" + this->id + "\" \"side\": \"" +
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mapOrderSide[this->side] +
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"\", \"price\": " + std::to_string(this->price) +
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"\"filled\": " + std::to_string(this->filled) +
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", \"resting\": " + std::to_string(this->resting) +
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", \"sequence\": " + std::to_string(this->sequence) +
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", \"timestamp\":" + std::to_string(this->timestamp) + "}";
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}
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DeleteMessage::DeleteMessage(MessageTypes type, std::string product,
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std::string id)
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: ToExchange(type, product), id(id)
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{
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}
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std::string DeleteMessage::as_string()
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{
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if (mapOrderSide.empty()) initialise();
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return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
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"\", \"id\": \"" + this->id + "\"}";
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}
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DeletedMessage::DeletedMessage(MessageTypes type, std::string product,
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std::string id, book::OrderSideEnum side,
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uint64_t sequence, double timestamp)
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: FromExchange(type, product, sequence, timestamp), id(id), side(side)
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{
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}
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std::string DeletedMessage::as_string()
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{
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return "{\"type\": \"DELETED\", \"product\": \"" + this->product +
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"\", \"product\": \"" + this->id + "\" \"side\": \"" +
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mapOrderSide[this->side] +
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", \"sequence\": " + std::to_string(this->sequence) +
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", \"timestamp\":" + std::to_string(this->timestamp) + "}";
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}
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RejectMessage::RejectMessage(MessageTypes type, std::string product,
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std::string error, uint64_t sequence,
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double timestamp)
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: FromExchange(type, product, sequence, timestamp), error(error)
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{
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}
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std::string RejectMessage::as_string()
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{
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return "{\"type\": \"REJECT\", \"product\": \"" + this->product =
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"\", \"error\": \"" + this->error +
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"\", \"sequence\": " + std::to_string(this->sequence) +
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", \"timestamp\": " + std::to_string(this->timestamp) + "}";
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}
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TradeMessage::TradeMessage(MessageTypes type, std::string product, double price,
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uint64_t volume, std::string buyer,
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std::string seller, TradeTypeEnum tradeType,
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std::string passiveOrder,
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uint64_t passiveOrderRemaining, uint64_t sequence,
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double timestamp)
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: FromExchange(type, product, sequence, timestamp), price(price),
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volume(volume), buyer(buyer), seller(seller), tradeType(tradeType),
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passiveOrder(passiveOrder), passiveOrderRemaining(passiveOrderRemaining)
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{
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}
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BrokerRequest::BrokerRequest(MessageTypes type, std::string product,
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double price, book::OrderSideEnum side,
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uint64_t volume, std::string counterparty)
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: Broker(type, product, price, side, volume, counterparty)
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{
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}
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BrokerAck::BrokerAck(MessageTypes type, std::string product, double price,
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book::OrderSideEnum side, uint64_t volume,
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std::string counterparty, std::string id,
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std::string brokerTradeStatus, std::string owner)
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: Broker(type, product, price, side, volume, counterparty), id(id),
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brokerTradeStatus(brokerTradeStatus), owner(owner)
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{
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}
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BrokerConfirm::BrokerConfirm(MessageTypes type, std::string product,
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double price, book::OrderSideEnum side,
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uint64_t volume, std::string counterparty,
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std::string id)
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: Broker(type, product, price, side, volume, counterparty), id(id)
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{
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}
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} // namespace json
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