Added loop to click trader and hit self for perf testing

Joel Grunbaum

2022-01-19 9ae8b92ba549ab916c88e9004a95c1ed0cd16059

 json.cpp

@@ -1,6 +1,5 @@
#include "json.hpp"
#include "book.hpp"
#include "date/include/date/date.h"
#include "protocol.hpp"
#include "rapidjson/include/rapidjson/document.h"
#include "rapidjson/include/rapidjson/rapidjson.h"
@@ -25,32 +24,44 @@
static std::unordered_map<std::string, book::OrderSideEnum> mapOrder;
static std::unordered_map<std::string, TradeTypeEnum> mapTrade;
static std::unordered_map<book::OrderSideEnum, std::string> mapOrderSide;
static std::unordered_map<MessageTypes, std::string> mapAStr;
static std::unordered_map<TradeTypeEnum, std::string> mapTTStr;

void initialise()
{
    mapTypes = {{"FUTURE", FUTURE_TYPE},
                {"SPREAD", SPREAD_TYPE},
                {"CALL", CALL_TYPE},
                {"PUT", PUT_TYPE},
                {"SETTLEMENT", SETTLEMENT},
                {"ADDED", ADDED},
                {"DELETED", DELETED},
                {"TRADE", TRADE},
                {"BROKER_REQUEST", BROKER_REQUEST},
                {"BROKER_ACK", BROKER_ACK},
                {"BROKER_CONFIRM", BROKER_CONFIRM}};
   mapTypes = {{"FUTURE", FUTURE_TYPE},
               {"SPREAD", SPREAD_TYPE},
               {"CALL", CALL_TYPE},
               {"PUT", PUT_TYPE},
               {"SETTLEMENT", SETTLEMENT},
               {"ADDED", ADDED},
               {"DELETED", DELETED},
               {"TRADE", TRADE},
               {"BROKER_REQUEST", BROKER_REQUEST},
               {"BROKER_ACK", BROKER_ACK},
               {"BROKER_CONFIRM", BROKER_CONFIRM}};

    mapAnnounce = {{FUTURE_TYPE, book::FUTURE},
                   {SPREAD_TYPE, book::SPREAD},
                   {CALL_TYPE, book::CALL},
                   {PUT_TYPE, book::PUT}};
   mapAnnounce = {{FUTURE_TYPE, book::FUTURE},
                  {SPREAD_TYPE, book::SPREAD},
                  {CALL_TYPE, book::CALL},
                  {PUT_TYPE, book::PUT}};

    mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}};
   mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}};

    mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
                {"SELL_AGGRESSOR", SELL_AGGRESSOR}};
   mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
               {"SELL_AGGRESSOR", SELL_AGGRESSOR},
               {"BROKER_TRADE", BROKER_TRADE}};

    mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
   mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};

   mapAStr = {{FUTURE_TYPE, "FUTURE"},
              {SPREAD_TYPE, "SPREAD"},
              {CALL_TYPE, "CALL"},
              {PUT_TYPE, "PUT"}};

   mapTTStr = {{BUY_AGGRESSOR, "BUY_AGGRESSOR"},
               {SELL_AGGRESSOR, "SELL_AGGRESSOR"},
               {BROKER_TRADE, "BROKER_TRADE"}};
}

Message* parseSingle(rapidjson::Value& d);
@@ -58,166 +69,204 @@
SettleMessage* settle(rapidjson::Value& d);
AddedMessage* added(rapidjson::Value& d);
DeletedMessage* deleted(rapidjson::Value& d);
RejectMessage* reject(rapidjson::Value& d);
TradeMessage* trade(rapidjson::Value& d);
BrokerRequest* brokerReq(rapidjson::Value& d);
BrokerAck* brokerAck(rapidjson::Value& d);
BrokerConfirm* brokerCon(rapidjson::Value& d);
ErrorMessage* error(rapidjson::Value& d);

std::chrono::seconds parseTime(std::string& s);

std::queue<Message*> parse(std::string& str)
{
    std::queue<Message*> out;
    rapidjson::Document d;
    d.Parse(str.c_str());
    if (d.IsArray()) {
   for (rapidjson::SizeType i = 0; i < d.Size(); i++) {
       out.push(parseSingle(d[i]));
   std::queue<Message*> out;
   rapidjson::Document d;
   d.Parse(str.c_str());
   if (d.IsArray()) {
      for (rapidjson::SizeType i = 0; i < d.Size(); i++) {
         out.push(parseSingle(d[i]));
      }
   } else {
      out.push(parseSingle(d));
   }
    } else {
   out.push(parseSingle(d));
    }
    return out;
   return out;
}

Message* parseSingle(rapidjson::Value& d)
{
    if (mapTypes.empty()) {
   initialise();
    }
    Message* out;
    switch (mapTypes[d["type"].GetString()]) {
    case FUTURE_TYPE:
    case SPREAD_TYPE:
    case CALL_TYPE:
    case PUT_TYPE:
   out = announce(d);
   break;
    case SETTLEMENT:
   out = settle(d);
   break;
    case ADDED:
   out = added(d);
   break;
    case DELETED:
   out = deleted(d);
   break;
    case TRADE:
   out = trade(d);
   break;
    case BROKER_REQUEST:
   out = brokerReq(d);
   break;
    case BROKER_ACK:
   out = brokerAck(d);
   break;
    case BROKER_CONFIRM:
   out = brokerCon(d);
   break;
    default:
   out = new Message(NONE, "");
   break;
    }
    return out;
   if (mapTypes.empty()) {
      initialise();
   }
   if (d.HasMember("error")) return error(d);
   Message* out;
   switch (mapTypes[d["type"].GetString()]) {
   case FUTURE_TYPE:
   case SPREAD_TYPE:
   case CALL_TYPE:
   case PUT_TYPE:
      out = announce(d);
      break;
   case SETTLEMENT:
      out = settle(d);
      break;
   case ADDED:
      out = added(d);
      break;
   case DELETED:
      out = deleted(d);
      break;
   case REJECT:
      out = reject(d);
      break;
   case TRADE:
      out = trade(d);
      break;
   case BROKER_REQUEST:
      out = brokerReq(d);
      break;
   case BROKER_ACK:
      out = brokerAck(d);
      break;
   case BROKER_CONFIRM:
      out = brokerCon(d);
      break;
   default:
      out = new Message(NONE, "");
      break;
   }
   return out;
}

std::chrono::seconds parseTime(std::string& s)
{
   return std::chrono::hours{std::stoi(s.substr(0, 4)) * 24 * 30 * 12} +
          std::chrono::hours{std::stoi(s.substr(5, 2)) * 24 * 30} +
          std::chrono::hours{std::stoi(s.substr(8, 2)) * 24} +
          std::chrono::hours{std::stoi(s.substr(11, 2))} +
          std::chrono::minutes{std::stoi(s.substr(14, 2))} +
          std::chrono::hours{std::stoi(s.substr(16, 5))};
}

AnnounceMessage* announce(rapidjson::Value& d)
{
    // std::stringstream expiryStream(d["expiry"].GetString());
    std::chrono::nanoseconds exp_time(0);
    // expiryStream >>
    // date::parse("%Y-%m-%f %H:%M%z", exp_time); // Parsing is broken
    return new AnnounceMessage(
   mapTypes[d["type"].GetString()], d["product"].GetString(),
   d["stationId"].GetInt(), d["stationName"].GetString(),
   d["unit"].GetString(), exp_time, d["aggressiveFee"].GetDouble(),
   d["passiveFee"].GetDouble(), d["brokerFee"].GetDouble(),
   d["sequence"].GetInt(), d["timestamp"].GetDouble());
   std::string es = d["expiry"].GetString();
   std::chrono::nanoseconds exp_time(0);
   exp_time = parseTime(es);
   return new AnnounceMessage(
      mapTypes[d["type"].GetString()], d["product"].GetString(),
      d["stationId"].GetInt(), d["stationName"].GetString(),
      d["unit"].GetString(), exp_time, d["aggressiveFee"].GetDouble(),
      d["passiveFee"].GetDouble(), d["brokerFee"].GetDouble(),
      d["sequence"].GetInt(), d["timestamp"].GetDouble());
}

SettleMessage* settle(rapidjson::Value& d)
{
    // std::stringstream expiryStream(d["expiry"].GetString());
    std::chrono::nanoseconds exp_time(0);
    // expiryStream >> date::parse("%Y-%m-%d %H:%M%z", exp_time);
    return new SettleMessage(
   mapTypes[d["type"].GetString()], d["product"].GetString(),
   d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
   d["sequence"].GetInt(), d["timestamp"].GetDouble());
   std::chrono::nanoseconds exp_time(0);
   std::string es = d["expiry"].GetString();
   exp_time = parseTime(es);
   return new SettleMessage(
      mapTypes[d["type"].GetString()], d["product"].GetString(),
      d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
      d["sequence"].GetInt(), d["timestamp"].GetDouble());
}

AddedMessage* added(rapidjson::Value& d)
{
    return new AddedMessage(
   mapTypes[d["type"].GetString()], d["product"].GetString(),
   d["id"].GetString(), mapOrder[d["side"].GetString()],
   d["price"].GetDouble(), d["filled"].GetInt(), d["resting"].GetInt(),
   d["sequence"].GetInt(), d["timestamp"].GetDouble());
   return new AddedMessage(mapTypes[d["type"].GetString()],
                           d["product"].GetString(), d["id"].GetString(),
                           mapOrder[d["side"].GetString()],
                           d["price"].GetDouble(), d["filled"].GetInt(),
                           d["resting"].GetInt(), d["owner"].GetString(),
                           d["sequence"].GetInt(), d["timestamp"].GetDouble());
}

DeletedMessage* deleted(rapidjson::Value& d)
{
    return new DeletedMessage(
   mapTypes[d["type"].GetString()], d["product"].GetString(),
   d["id"].GetString(), mapOrder[d["side"].GetString()],
   d["sequence"].GetInt(), d["timestamp"].GetDouble());
   return new DeletedMessage(
      mapTypes[d["type"].GetString()], d["product"].GetString(),
      d["id"].GetString(), mapOrder[d["side"].GetString()],
      d["sequence"].GetInt(), d["timestamp"].GetDouble());
}

RejectMessage* reject(rapidjson::Value& d)
{
    return new RejectMessage(mapTypes[d["type"].GetString()], "",
                            d["error"].GetString(), uint64_t(0), double(0));
}

TradeMessage* trade(rapidjson::Value& d)
{
    return new TradeMessage(
   mapTypes[d["type"].GetString()], d["product"].GetString(),
   d["price"].GetDouble(), d["volume"].GetInt(), d["buyer"].GetString(),
   d["seller"].GetString(), mapTrade[d["tradeType"].GetString()],
   d["passiveOrder"].GetString(), d["passiveOrderRemaining"].GetInt(),
   d["sequence"].GetInt(), d["timestamp"].GetDouble());
   return new TradeMessage(
      mapTypes[d["type"].GetString()], d["product"].GetString(),
      d["price"].GetDouble(), d["volume"].GetInt(), d["buyer"].GetString(),
      d["seller"].GetString(), mapTrade[d["tradeType"].GetString()],
      d["passiveOrder"].GetString(), d["passiveOrderRemaining"].GetInt(),
      d["sequence"].GetInt(), d["timestamp"].GetDouble());
}

BrokerRequest* brokerReq(rapidjson::Value& d)
{
    return new BrokerRequest(
   mapTypes[d["type"].GetString()], d["product"].GetString(),
   d["price"].GetDouble(), mapOrder[d["side"].GetString()],
   d["volume"].GetInt(), d["counterparty"].GetString());
   return new BrokerRequest(
      mapTypes[d["type"].GetString()], d["product"].GetString(),
      d["price"].GetDouble(), mapOrder[d["side"].GetString()],
      d["volume"].GetInt(), d["counterparty"].GetString());
}

BrokerAck* brokerAck(rapidjson::Value& d)
{
    return new BrokerAck(mapTypes[d["type"].GetString()],
                         d["product"].GetString(), d["price"].GetDouble(),
                         mapOrder[d["side"].GetString()], d["volume"].GetInt(),
                         d["counterparty"].GetString(), d["id"].GetString(),
                         d["brokerTradeStatus"].GetString(),
                         d["owner"].GetString());
   return new BrokerAck(mapTypes[d["type"].GetString()],
                        d["product"].GetString(), d["price"].GetDouble(),
                        mapOrder[d["side"].GetString()], d["volume"].GetInt(),
                        d["counterparty"].GetString(), d["id"].GetString(),
                        d["brokerTradeStatus"].GetString(),
                        d["owner"].GetString());
}
BrokerConfirm* brokerCon(rapidjson::Value& d)
{
    return new BrokerConfirm(
   mapTypes[d["type"].GetString()], d["product"].GetString(),
   d["price"].GetDouble(), mapOrder[d["side"].GetString()],
   d["volume"].GetInt(), d["counterparty"].GetString(),
   d["id"].GetString());
   return new BrokerConfirm(
      mapTypes[d["type"].GetString()], d["product"].GetString(),
      d["price"].GetDouble(), mapOrder[d["side"].GetString()],
      d["volume"].GetInt(), d["counterparty"].GetString(),
      d["id"].GetString());
}

ErrorMessage* error(rapidjson::Value& d)
{
   return new ErrorMessage(d["error"].GetString());
}

Message::Message() : type(NONE), product("error") {}

Message::Message(MessageTypes types, std::string product)
    : type(types), product(product)
   : type(types), product(product)
{
}

ErrorMessage::ErrorMessage(std::string message)
   : Message(ERROR, ""), message(message)
{
}
std::string ErrorMessage::as_string()
{
   return "{\"error\": \"" + this->message + "\"}";
}

FromExchange::FromExchange(MessageTypes type, std::string product,
                           uint64_t sequence, double timestamp)
    : Message(type, product), sequence(sequence), timestamp(timestamp)
   : Message(type, product), sequence(sequence), timestamp(timestamp)
{
}

ToExchange::ToExchange(MessageTypes type, std::string product)
    : Message(type, product){};
   : Message(type, product){};

Broker::Broker(MessageTypes type, std::string product, double price,
               book::OrderSideEnum side, uint64_t volume,
               std::string counterparty)
    : Message(type, product), price(price), side(side), volume(volume),
      counterparty(counterparty)
   : Message(type, product), price(price), side(side), volume(volume),
     counterparty(counterparty)
{
}

@@ -227,70 +276,126 @@
                                 std::chrono::nanoseconds expiry, double aggFee,
                                 double pasFee, double broFee,
                                 uint64_t sequence, double timestamp)
    : FromExchange(type, product, sequence, timestamp), stationId(stationId),
      stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee),
      pasFee(pasFee), broFee(broFee)
   : FromExchange(type, product, sequence, timestamp), stationId(stationId),
     stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee),
     pasFee(pasFee), broFee(broFee)
{
}

std::string AnnounceMessage::as_string()
{
   return "{\"type\": \"" + mapAStr[this->type] =
              "\", \"product\": \"" + this->product +
              "\", \"stationId\": " + std::to_string(this->stationId) +
              "\", \"stationName\": \"" + this->stationName +
              "\", \"unit\": \"" + this->unit +
              "\", \"expiry\": " + std::to_string(this->expiry.count()) +
              ", \"aggressiveFee\": " + std::to_string(this->aggFee) +
              ", \"passiveFee\": " + std::to_string(this->pasFee) +
              ", \"sequence\": " + std::to_string(this->sequence) +
              ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}

SettleMessage::SettleMessage(MessageTypes type, std::string product,
                             std::string stationName,
                             std::chrono::nanoseconds expiry, double price,
                             uint64_t sequence, double timestamp)
    : FromExchange(type, product, sequence, timestamp),
      stationName(stationName), expiry(expiry), price(price)
   : FromExchange(type, product, sequence, timestamp),
     stationName(stationName), expiry(expiry), price(price)
{
}

std::string SettleMessage::as_string()
{
   return "{\"type\": \"" + mapAStr[this->type] =
              "\", \"product\": \"" + this->product +
              "\", \"stationName\": \"" + this->stationName +
              "\", \"expiry\": " + std::to_string(this->expiry.count()) +
              ", \"price\": " + std::to_string(this->price) +
              ", \"sequence\": " + std::to_string(this->sequence) +
              ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}

AddMessage::AddMessage(MessageTypes type, std::string product, double price,
                       book::OrderSideEnum side, uint64_t volume)
    : ToExchange(type, product), price(price), side(side), volume(volume)
   : ToExchange(type, product), price(price), side(side), volume(volume)
{
}

std::string AddMessage::as_string()
{
    if (mapOrderSide.empty()) initialise();
    return "{\"type\": \"ADD\", \"product\": \"" + this->product +
           "\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
           mapOrderSide[this->side] +
           "\", \"volume\": " + std::to_string(this->volume) + "}";
   if (mapOrderSide.empty()) initialise();
   return "{\"type\": \"ADD\", \"product\": \"" + this->product +
          "\", \"price\": " + std::to_string(this->price) + ", \"side\": \"" +
          mapOrderSide[this->side] +
          "\", \"volume\": " + std::to_string(this->volume) + "}";
}

AddedMessage::AddedMessage(MessageTypes type, std::string product,
                           std::string id, book::OrderSideEnum side,
                           double price, uint64_t filled, uint64_t resting,
                           uint64_t sequence, double timestamp)
    : FromExchange(type, product, sequence, timestamp), id(id), side(side),
      price(price), filled(filled), resting(resting)
                           std::string owner, uint64_t sequence,
                           double timestamp)
   : FromExchange(type, product, sequence, timestamp), id(id), side(side),
     price(price), filled(filled), resting(resting), owner(owner)
{
}

std::string AddedMessage::as_string()
{
   return "{\"type\": \"ADDED\", \"product\": \"" + this->product +
          "\", \"product\": \"" + this->id + "\", \"side\": \"" +
          mapOrderSide[this->side] +
          "\", \"price\": " + std::to_string(this->price) +
          ", \"filled\": " + std::to_string(this->filled) +
          ", \"resting\": " + std::to_string(this->resting) +
          ", \"owner\": \"" + this->owner +
          "\", \"sequence\": " + std::to_string(this->sequence) +
          ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}

DeleteMessage::DeleteMessage(MessageTypes type, std::string product,
                             std::string id)
    : ToExchange(type, product), id(id)
   : ToExchange(type, product), id(id)
{
}

std::string DeleteMessage::as_string()
{
    if (mapOrderSide.empty()) initialise();
    return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
           "\", \"id\": \"" + this->id + "\"}";
   if (mapOrderSide.empty()) initialise();
   return "{\"type\": \"DELETE\", \"product\": \"" + this->product +
          "\", \"id\": \"" + this->id + "\"}";
}

DeletedMessage::DeletedMessage(MessageTypes type, std::string product,
                               std::string id, book::OrderSideEnum side,
                               uint64_t sequence, double timestamp)
    : FromExchange(type, product, sequence, timestamp), id(id), side(side)
   : FromExchange(type, product, sequence, timestamp), id(id), side(side)
{
}

std::string DeletedMessage::as_string()
{
   return "{\"type\": \"DELETED\", \"product\": \"" + this->product +
          "\", \"product\": \"" + this->id + "\", \"side\": \"" +
          mapOrderSide[this->side] +
          ", \"sequence\": " + std::to_string(this->sequence) +
          ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}

RejectMessage::RejectMessage(MessageTypes type, std::string product,
                             std::string error, uint64_t sequence,
                             double timestamp)
    : FromExchange(type, product, sequence, timestamp), error(error)
   : FromExchange(type, product, sequence, timestamp), error(error)
{
}

std::string RejectMessage::as_string()
{
   return "{\"type\": \"REJECT\", \"product\": \"" + this->product +
              "\", \"error\": \"" + this->error +
              "\", \"sequence\": " + std::to_string(this->sequence) +
              ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}

TradeMessage::TradeMessage(MessageTypes type, std::string product, double price,
@@ -299,33 +404,82 @@
                           std::string passiveOrder,
                           uint64_t passiveOrderRemaining, uint64_t sequence,
                           double timestamp)
    : FromExchange(type, product, sequence, timestamp), price(price),
      volume(volume), buyer(buyer), seller(seller), tradeType(tradeType),
      passiveOrder(passiveOrder), passiveOrderRemaining(passiveOrderRemaining)
   : FromExchange(type, product, sequence, timestamp), price(price),
     volume(volume), buyer(buyer), seller(seller), tradeType(tradeType),
     passiveOrder(passiveOrder), passiveOrderRemaining(passiveOrderRemaining)
{
}

std::string TradeMessage::as_string()
{
   return "{\"type\": \"TRADE\", \"product\": \"" + this->product +
          "\", \"price\": " + std::to_string(this->price) +
          ", \"volume\": " + std::to_string(this->volume) + ", \"buyer\": \"" +
          this->buyer + "\", \"seller\": \"" + this->seller +
          "\", \"tradeType\": \"" + mapTTStr[this->tradeType] +
          "\", \"passiveOrder\": \"" + this->passiveOrder +
          "\", \"passoveOrderRemaining\": " +
          std::to_string(this->passiveOrderRemaining) +
          "\", \"sequence\": " + std::to_string(this->sequence) +
          ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}

BrokerRequest::BrokerRequest(MessageTypes type, std::string product,
                             double price, book::OrderSideEnum side,
                             uint64_t volume, std::string counterparty)
    : Broker(type, product, price, side, volume, counterparty)
   : Broker(type, product, price, side, volume, counterparty)
{
}

std::string BrokerRequest::as_string()
{
   return "{\"type\": \"" + mapAStr[this->type] =
              "\", \"product\": \"" + this->product +
              "\", \"price\": " + std::to_string(this->price) +
              ", \"side\": " + mapOrderSide[this->side] +
              ", \"volume\": " + std::to_string(this->volume) +
              ", \"counterparty\": \"" + this->counterparty + "\"}";
}

BrokerAck::BrokerAck(MessageTypes type, std::string product, double price,
                     book::OrderSideEnum side, uint64_t volume,
                     std::string counterparty, std::string id,
                     std::string brokerTradeStatus, std::string owner)
    : Broker(type, product, price, side, volume, counterparty), id(id),
      brokerTradeStatus(brokerTradeStatus), owner(owner)
   : Broker(type, product, price, side, volume, counterparty), id(id),
     brokerTradeStatus(brokerTradeStatus), owner(owner)
{
}

std::string BrokerAck::as_string()
{
   return "{\"type\": \"" + mapAStr[this->type] =
              "\", \"product\": \"" + this->product +
              "\", \"price\": " + std::to_string(this->price) +
              ", \"side\": " + mapOrderSide[this->side] +
              ", \"volume\": " + std::to_string(this->volume) +
              ", \"counterparty\": \"" + this->counterparty + +"\", \"id\"" +
              this->id +
              "\", \"brokerTradeStatus\": " + this->brokerTradeStatus +
              "\", \"owner\": \"" + this->owner + "\"}";
}

BrokerConfirm::BrokerConfirm(MessageTypes type, std::string product,
                             double price, book::OrderSideEnum side,
                             uint64_t volume, std::string counterparty,
                             std::string id)
    : Broker(type, product, price, side, volume, counterparty), id(id)
   : Broker(type, product, price, side, volume, counterparty), id(id)
{
}

std::string BrokerConfirm::as_string()
{
   return "{\"type\": \"" + mapAStr[this->type] =
              "\", \"product\": \"" + this->product +
              "\", \"price\": " + std::to_string(this->price) +
              ", \"side\": " + mapOrderSide[this->side] +
              ", \"volume\": " + std::to_string(this->volume) +
              ", \"counterparty\": \"" + this->counterparty +
              "\", \"id\": " + this->id + "\"}";
}

} // namespace json