From 0bef191acd5a77544852e6a3daae2df05bd34a31 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Wed, 19 Jan 2022 11:20:45 +0000
Subject: [PATCH] Reformat and change send to x-www-form-urlencoded
---
strat.cpp | 46 ++++---
click.cpp | 54 ++++----
test.cpp | 31 ++--
test.py | 33 +++--
book.cpp | 16 +-
json.hpp | 9
strat.hpp | 8
bot.cpp | 17 +-
json.cpp | 8
protocol.cpp | 99 ++++++++-------
10 files changed, 169 insertions(+), 152 deletions(-)
diff --git a/book.cpp b/book.cpp
index 1ee1d06..5a3fb9d 100644
--- a/book.cpp
+++ b/book.cpp
@@ -71,7 +71,7 @@
std::ostream& operator<<(std::ostream& out, const Level& a)
{
return out << "Price: " << a.price << ", volume: " << a.volume
- << ", time: " << a.timestamp << ", id: " << a.id;
+ << ", time: " << a.timestamp << ", id: " << a.id;
}
Book::Book()
@@ -92,22 +92,22 @@
void Book::ask(Order& order)
{
- Level a(order);
- auto b = std::lower_bound(this->askSide.begin(), this->askSide.end(), a);
- this->askSide.insert(b, a);
+ Level a(order);
+ auto b = std::lower_bound(this->askSide.begin(), this->askSide.end(), a);
+ this->askSide.insert(b, a);
}
void Book::bid(Order& order)
{
- Level a(order);
- auto b = std::upper_bound(this->bidSide.begin(), this->bidSide.end(), a);
- this->bidSide.insert(b, a);
+ Level a(order);
+ auto b = std::upper_bound(this->bidSide.begin(), this->bidSide.end(), a);
+ this->bidSide.insert(b, a);
}
void Book::printBook(std::size_t numOrders)
{
std::cout << "Sell side: " << this->askSide.size() << std::endl;
- std::size_t count = 0;
+ std::size_t count = 0;
for (auto i = this->askSide.rbegin(); i != this->askSide.rend(); i++) {
std::cout << *i << std::endl;
count++;
diff --git a/bot.cpp b/bot.cpp
index 0a25597..9792a39 100644
--- a/bot.cpp
+++ b/bot.cpp
@@ -5,19 +5,16 @@
void signalHandler(int signum)
{
- strat::destroy();
- std::exit(0);
+ strat::destroy();
+ std::exit(0);
}
-void no(int signum)
-{
- std::cout << "no." << std::endl;
-}
+void no(int signum) { std::cout << "no." << std::endl; }
int main(void)
{
- signal(SIGINT, signalHandler);
- // signal(SIGTERM, no);
- strat::initialise();
- strat::mainLoop();
+ signal(SIGINT, signalHandler);
+ // signal(SIGTERM, no);
+ strat::initialise();
+ strat::mainLoop();
}
diff --git a/click.cpp b/click.cpp
index 0ee5fdc..ba85093 100644
--- a/click.cpp
+++ b/click.cpp
@@ -32,7 +32,7 @@
<< "\t-p price" << std::endl
<< "\t-v volume" << std::endl
<< "\t-i id" << std::endl
- << "\t-l loop count (default to 1)" << std::endl
+ << "\t-l loop count (default to 1)" << std::endl
<< "Always need product, need side, price and volume for "
"adding/flash, need id for deleting"
<< std::endl;
@@ -76,8 +76,9 @@
std::cout << static_cast<json::RejectMessage*>(d)->as_string()
<< std::endl;
} else if (d->type == json::ERROR) {
- std::cout << static_cast<json::ErrorMessage*>(d)->as_string() << std::endl;
- }
+ std::cout << static_cast<json::ErrorMessage*>(d)->as_string()
+ << std::endl;
+ }
delete b;
delete d;
}
@@ -105,7 +106,7 @@
double price;
clickType click, side;
uint64_t volume;
- uint64_t times = 1;
+ uint64_t times = 1;
initialise();
if (argc == 1) {
usage(), exit(0);
@@ -130,9 +131,9 @@
case 'i':
id = std::string(optarg);
break;
- case 'l':
- times = std::stoll(optarg);
- break;
+ case 'l':
+ times = std::stoll(optarg);
+ break;
case '?':
std::cout << "*1" << std::endl;
default:
@@ -141,24 +142,23 @@
exit(0);
}
}
- for (std::uint64_t i = 0; i < times; i++)
- {
- switch (click) {
- case Buy:
- buy(product, price, volume);
- break;
- case Sell:
- sell(product, price, volume);
- break;
- case Flash:
- if (side == clickType::Buy)
- flash(product, price, volume, book::Buy);
- else
- flash(product, price, volume, book::Sell);
- break;
- case Delete:
- deleteOrder(product, id);
- break;
- }
- }
+ for (std::uint64_t i = 0; i < times; i++) {
+ switch (click) {
+ case Buy:
+ buy(product, price, volume);
+ break;
+ case Sell:
+ sell(product, price, volume);
+ break;
+ case Flash:
+ if (side == clickType::Buy)
+ flash(product, price, volume, book::Buy);
+ else
+ flash(product, price, volume, book::Sell);
+ break;
+ case Delete:
+ deleteOrder(product, id);
+ break;
+ }
+ }
}
diff --git a/json.cpp b/json.cpp
index 1e51602..3e1ad07 100644
--- a/json.cpp
+++ b/json.cpp
@@ -192,7 +192,7 @@
RejectMessage* reject(rapidjson::Value& d)
{
- return new RejectMessage(mapTypes[d["type"].GetString()], "",
+ return new RejectMessage(mapTypes[d["type"].GetString()], "",
d["error"].GetString(), uint64_t(0), double(0));
}
@@ -393,9 +393,9 @@
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) + "}";
+ "\", \"error\": \"" + this->error +
+ "\", \"sequence\": " + std::to_string(this->sequence) +
+ ", \"timestamp\": " + std::to_string(this->timestamp) + "}";
}
TradeMessage::TradeMessage(MessageTypes type, std::string product, double price,
diff --git a/json.hpp b/json.hpp
index bfe2c50..e896869 100644
--- a/json.hpp
+++ b/json.hpp
@@ -82,7 +82,7 @@
std::chrono::nanoseconds expiry, double aggFee,
double pasFee, double broFee, uint64_t sequence,
double timestamp);
- std::string as_string();
+ std::string as_string();
};
struct SettleMessage : public FromExchange {
@@ -92,7 +92,7 @@
SettleMessage(MessageTypes type, std::string product,
std::string stationName, std::chrono::nanoseconds expiry,
double price, uint64_t sequence, double timestamp);
- std::string as_string();
+ std::string as_string();
};
struct AddMessage : public ToExchange {
@@ -110,10 +110,11 @@
double price;
uint64_t filled;
uint64_t resting;
- std::string owner;
+ std::string owner;
AddedMessage(MessageTypes type, std::string product, std::string id,
book::OrderSideEnum side, double price, uint64_t filled,
- uint64_t resting, std::string owner, uint64_t sequence, double timestamp);
+ uint64_t resting, std::string owner, uint64_t sequence,
+ double timestamp);
std::string as_string();
};
diff --git a/protocol.cpp b/protocol.cpp
index f1083c0..f336597 100644
--- a/protocol.cpp
+++ b/protocol.cpp
@@ -175,57 +175,61 @@
json::DeletedMessage* message)
{
if (message->side == book::Buy) {
- for (auto i = bs[message->product].bidSide.begin(); i != bs[message->product].bidSide.end(); i++) {
- if (i->id == message->id) {
- bs[message->product].bidSide.erase(i);
- break;
- }
- }
+ for (auto i = bs[message->product].bidSide.begin();
+ i != bs[message->product].bidSide.end(); i++) {
+ if (i->id == message->id) {
+ bs[message->product].bidSide.erase(i);
+ break;
+ }
+ }
} else {
- for (auto i = bs[message->product].askSide.begin(); i != bs[message->product].askSide.end(); i++) {
- if (i->id == message->id) {
- bs[message->product].askSide.erase(i);
- break;
- }
- }
+ for (auto i = bs[message->product].askSide.begin();
+ i != bs[message->product].askSide.end(); i++) {
+ if (i->id == message->id) {
+ bs[message->product].askSide.erase(i);
+ break;
+ }
+ }
}
}
void tradeOrder(std::unordered_map<std::string, book::Book>& bs,
json::TradeMessage* message)
{
- if (message->tradeType == json::BUY_AGGRESSOR) {
- if (message->passiveOrderRemaining > 0) {
- for (auto& i : bs[message->product].askSide) {
- if (i.id == message->passiveOrder) {
- i.volume = message->passiveOrderRemaining;
- break;
- }
- }
- } else {
- for (auto i = bs[message->product].askSide.begin(); i != bs[message->product].askSide.end(); i++) {
- if (i->id == message->passiveOrder) {
- bs[message->product].askSide.erase(i);
- break;
- }
- }
- }
- } else if (message->tradeType == json::SELL_AGGRESSOR) {
- if (message->passiveOrderRemaining > 0) {
- for (auto& i : bs[message->product].bidSide) {
- if (i.id == message->passiveOrder) {
- i.volume = message->passiveOrderRemaining;
- break;
- }
- }
- } else {
- for (auto i = bs[message->product].bidSide.begin(); i != bs[message->product].bidSide.end(); i++) {
- if (i->id == message->passiveOrder) {
- bs[message->product].bidSide.erase(i);
- break;
- }
- }
- }
- }
+ if (message->tradeType == json::BUY_AGGRESSOR) {
+ if (message->passiveOrderRemaining > 0) {
+ for (auto& i : bs[message->product].askSide) {
+ if (i.id == message->passiveOrder) {
+ i.volume = message->passiveOrderRemaining;
+ break;
+ }
+ }
+ } else {
+ for (auto i = bs[message->product].askSide.begin();
+ i != bs[message->product].askSide.end(); i++) {
+ if (i->id == message->passiveOrder) {
+ bs[message->product].askSide.erase(i);
+ break;
+ }
+ }
+ }
+ } else if (message->tradeType == json::SELL_AGGRESSOR) {
+ if (message->passiveOrderRemaining > 0) {
+ for (auto& i : bs[message->product].bidSide) {
+ if (i.id == message->passiveOrder) {
+ i.volume = message->passiveOrderRemaining;
+ break;
+ }
+ }
+ } else {
+ for (auto i = bs[message->product].bidSide.begin();
+ i != bs[message->product].bidSide.end(); i++) {
+ if (i->id == message->passiveOrder) {
+ bs[message->product].bidSide.erase(i);
+ break;
+ }
+ }
+ }
+ }
}
void broker(std::unordered_map<std::string, book::Book>& bs,
@@ -238,7 +242,10 @@
httplib::MultipartFormDataItems a = {{"message", message, "", ""},
{"username", USER, "", ""},
{"password", PASS, "", ""}};
- auto res = cli.Post("/execution", a);
+ auto res = cli.Post("/execution",
+ "message=" + message + "&username=" + USER +
+ "&password=" + PASS,
+ "application/x-www-form-urlencoded");
std::string b = res->body;
std::queue<json::Message*> c = json::parse(b);
return c.front();
diff --git a/strat.cpp b/strat.cpp
index 4655787..a25ca17 100644
--- a/strat.cpp
+++ b/strat.cpp
@@ -46,7 +46,8 @@
while (true) {
auto messages = protocol::catchUp(bs);
// bom::updateBom(bs);
- printFeed(messages);
+ // printFeed(messages);
+ dumbHit(messages);
freeMessages(messages);
}
}
@@ -102,23 +103,30 @@
void dumbHit(std::deque<json::Message*>& m)
{
- for (auto& i : m) {
- if (i->type == json::ADDED) {
- json::AddedMessage* j = (json::AddedMessage*) i;
- if (j->owner == "jgrunbau") {
- book::OrderSideEnum s = j->side == book::Buy ? book::Sell : book::Buy;
- json::AddMessage a(json::ADD, j->product, j->price, s, j->resting);
- auto b = protocol::addOrder(a);
- if (b->type == json::ADDED && ((json::AddedMessage*) b)->resting > 0) {
- json::DeleteMessage d(json::DELETE, j->product, ((json::AddedMessage*) b)->id);
- delete protocol::deleteOrder(d);
- }
- if (b->type == json::ADDED) {
- std::cout << "Hit " << j->owner << " for " << ((json::AddedMessage*) b)->filled << ", resting " << ((json::AddedMessage*) b)->resting << std::endl;
- }
- delete b;
- }
- }
- }
+ for (auto& i : m) {
+ if (i->type == json::ADDED) {
+ json::AddedMessage* j = (json::AddedMessage*)i;
+ if (j->owner == "jgrunbau") {
+ book::OrderSideEnum s =
+ j->side == book::Buy ? book::Sell : book::Buy;
+ json::AddMessage a(json::ADD, j->product, j->price, s,
+ j->resting);
+ auto b = protocol::addOrder(a);
+ if (b->type == json::ADDED &&
+ ((json::AddedMessage*)b)->resting > 0) {
+ json::DeleteMessage d(json::DELETE, j->product,
+ ((json::AddedMessage*)b)->id);
+ delete protocol::deleteOrder(d);
+ }
+ if (b->type == json::ADDED) {
+ std::cout << "Hit " << j->owner << " for "
+ << ((json::AddedMessage*)b)->filled
+ << ", resting "
+ << ((json::AddedMessage*)b)->resting << std::endl;
+ }
+ delete b;
+ }
+ }
+ }
}
} // namespace strat
diff --git a/strat.hpp b/strat.hpp
index dd02bf5..3b37313 100644
--- a/strat.hpp
+++ b/strat.hpp
@@ -2,7 +2,7 @@
namespace strat
{
- void initialise();
- void destroy();
- void mainLoop();
-}
+void initialise();
+void destroy();
+void mainLoop();
+} // namespace strat
diff --git a/test.cpp b/test.cpp
index 6226a44..b4c19b2 100644
--- a/test.cpp
+++ b/test.cpp
@@ -11,29 +11,28 @@
int main(void)
{
- std::chrono::nanoseconds time(0);
- for (int i = 0; i < trials; i++)
- {
- auto s = std::chrono::high_resolution_clock::now();
- book::Book b = book::testBook(100, false);
- auto e = std::chrono::high_resolution_clock::now();
- time += e - s;
- }
- std::cout << time.count() / trials << std::endl;
+ std::chrono::nanoseconds time(0);
+ for (int i = 0; i < trials; i++) {
+ auto s = std::chrono::high_resolution_clock::now();
+ book::Book b = book::testBook(100, false);
+ auto e = std::chrono::high_resolution_clock::now();
+ time += e - s;
+ }
+ std::cout << time.count() / trials << std::endl;
// auto bs = protocol::recoverBook();
// protocol::catchUp(bs);
- // std::cout << bs.size() << std::endl;
- // for (auto i : bs) {
- // std::cout << i.first << std::endl;
- // i.second.printBook();
- // }
+ // std::cout << bs.size() << std::endl;
+ // for (auto i : bs) {
+ // std::cout << i.first << std::endl;
+ // i.second.printBook();
+ // }
// bom::initialise();
// bom::updateBom(bs);
// bom::destroy();
// protocol::catchUp(bs);
// std::cout << bs.size() << std::endl;
// for (auto& i : bs) {
- // std::cout << i.first << ", " << i.second.expiry.count() << ", " << i.second.bomPrice << std::endl;
- // i.second.printBook();
+ // std::cout << i.first << ", " << i.second.expiry.count() << ", " <<
+ // i.second.bomPrice << std::endl; i.second.printBook();
// }
}
diff --git a/test.py b/test.py
index 76de53f..f95add8 100644
--- a/test.py
+++ b/test.py
@@ -6,7 +6,7 @@
import book
import protocol
-test = False
+test = True
HOST: str = 'sytev070'
if (test):
@@ -45,24 +45,29 @@
so_far_today = f.read();
for message in so_far_today:
protocol.handleMessage(bs, message)
+
+
+message = {"type": "ADD", "product": "F_THS_APP0119T2230", "price": 99.0,
+ "side": "BUY", "volume": 1}
+
# print(json.dumps(message))
-# print(send(message))
+print(protocol.send(message))
# printRecoveryLog()
# logAllIncomingMessages()
# print(getInformation())
# wstest()
-bs = {}
+# bs = {}
# recoverBook(bs)
-testRecoverBook(bs)
-print(list(bs))
-for i in bs:
- print(bs[i].product)
- bs[i].printBook()
- print()
- if (len(bs[i].askSide.levels) > 0):
- print(bs[i].askSide.levels[0])
- if (len(bs[i].bidSide.levels)):
- print(bs[i].bidSide.levels[0])
- print()
+# testRecoverBook(bs)
+# print(list(bs))
+# for i in bs:
+# print(bs[i].product)
+# bs[i].printBook()
+# print()
+# if (len(bs[i].askSide.levels) > 0):
+# print(bs[i].askSide.levels[0])
+# if (len(bs[i].bidSide.levels)):
+# print(bs[i].bidSide.levels[0])
+# print()
# book.testBook()
--
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