#pragma once
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#include "book.hpp"
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#include <chrono>
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#include <cstdint>
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#include <ostream>
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#include <queue>
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#include <unordered_map>
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namespace json
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{
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enum MessageTypes {
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FUTURE_TYPE,
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SPREAD_TYPE,
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CALL_TYPE,
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PUT_TYPE,
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SETTLEMENT,
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ADD,
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ADDED,
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DELETE,
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DELETED,
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REJECT,
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TRADE,
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BROKER_REQUEST,
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BROKER_ACK,
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BROKER_CONFIRM,
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ERROR,
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NONE
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};
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enum TradeTypeEnum { BUY_AGGRESSOR, SELL_AGGRESSOR, BROKER_TRADE };
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struct Message {
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MessageTypes type;
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std::string product;
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Message(MessageTypes type, std::string product);
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Message();
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virtual ~Message() = default;
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};
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struct ErrorMessage : public Message {
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std::string message;
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ErrorMessage(std::string message);
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std::string as_string();
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};
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struct FromExchange : public Message {
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uint64_t sequence;
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double timestamp;
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FromExchange(MessageTypes type, std::string product, uint64_t sequence,
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double timestamp);
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virtual ~FromExchange() = default;
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};
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struct ToExchange : public Message {
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ToExchange(MessageTypes type, std::string product);
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virtual ~ToExchange() = default;
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};
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struct Broker : public Message {
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double price;
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book::OrderSideEnum side;
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uint64_t volume;
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std::string counterparty;
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Broker(MessageTypes type, std::string product, double price,
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book::OrderSideEnum side, uint64_t volume, std::string counterparty);
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virtual ~Broker() = default;
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};
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struct AnnounceMessage : public FromExchange {
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int stationId;
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std::string stationName;
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std::string unit;
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std::chrono::nanoseconds expiry;
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double aggFee;
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double pasFee;
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double broFee;
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AnnounceMessage(MessageTypes type, std::string product, int stationId,
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std::string stationName, std::string unit,
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std::chrono::nanoseconds expiry, double aggFee,
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double pasFee, double broFee, uint64_t sequence,
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double timestamp);
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std::string as_string();
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};
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struct SettleMessage : public FromExchange {
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std::string stationName;
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std::chrono::nanoseconds expiry;
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double price;
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SettleMessage(MessageTypes type, std::string product,
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std::string stationName, std::chrono::nanoseconds expiry,
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double price, uint64_t sequence, double timestamp);
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std::string as_string();
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};
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struct AddMessage : public ToExchange {
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double price;
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book::OrderSideEnum side;
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uint64_t volume;
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AddMessage(MessageTypes type, std::string product, double price,
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book::OrderSideEnum side, uint64_t volume);
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std::string as_string();
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};
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struct AddedMessage : public FromExchange {
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std::string id;
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book::OrderSideEnum side;
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double price;
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uint64_t filled;
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uint64_t resting;
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std::string owner;
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AddedMessage(MessageTypes type, std::string product, std::string id,
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book::OrderSideEnum side, double price, uint64_t filled,
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uint64_t resting, std::string owner, uint64_t sequence, double timestamp);
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std::string as_string();
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};
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struct DeleteMessage : public ToExchange {
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std::string id;
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DeleteMessage(MessageTypes type, std::string product, std::string id);
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std::string as_string();
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};
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struct DeletedMessage : public FromExchange {
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std::string id;
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book::OrderSideEnum side;
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DeletedMessage(MessageTypes type, std::string product, std::string id,
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book::OrderSideEnum side, uint64_t sequence,
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double timestamp);
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std::string as_string();
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};
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struct RejectMessage : public FromExchange {
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std::string error;
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RejectMessage(MessageTypes type, std::string product, std::string error,
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uint64_t sequence, double timestamp);
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std::string as_string();
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};
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struct TradeMessage : public FromExchange {
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double price;
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uint64_t volume;
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std::string buyer;
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std::string seller;
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TradeTypeEnum tradeType;
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std::string passiveOrder;
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uint64_t passiveOrderRemaining;
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TradeMessage(MessageTypes type, std::string product, double price,
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uint64_t volume, std::string buyer, std::string seller,
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TradeTypeEnum tradeType, std::string passiveOrder,
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uint64_t passiveOrderRemaining, uint64_t sequence,
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double timestamp);
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std::string as_string();
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};
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struct BrokerRequest : public Broker {
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BrokerRequest(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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std::string as_string();
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};
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struct BrokerAck : public Broker {
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std::string id;
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std::string brokerTradeStatus;
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std::string owner;
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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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std::string as_string();
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};
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struct BrokerConfirm : public Broker {
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std::string id;
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BrokerConfirm(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 as_string();
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};
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std::queue<Message*> parse(std::string& str);
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} // namespace json
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