From b4cf0a2e71ad2c204925b33f9600dc720e25b827 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Sun, 09 Jan 2022 23:22:58 +0000
Subject: [PATCH] Initial shift to rapidjson
---
rapidjson | 1
.gitmodules | 3
book.cpp | 4
json.hpp | 7
book.hpp | 4
json.cpp | 316 ++++++++++++---------------------------------------
protocol.cpp | 5
CMakeLists.txt | 6
8 files changed, 96 insertions(+), 250 deletions(-)
diff --git a/.gitmodules b/.gitmodules
index d553919..c935847 100644
--- a/.gitmodules
+++ b/.gitmodules
@@ -4,3 +4,6 @@
[submodule "date"]
path = date
url = https://github.com/HowardHinnant/date.git
+[submodule "rapidjson"]
+ path = rapidjson
+ url = https://github.com/Tencent/rapidjson.git
diff --git a/CMakeLists.txt b/CMakeLists.txt
index c086558..94cf3a1 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -8,8 +8,12 @@
add_compile_options(-g -Wall)
add_subdirectory(date)
+# add_subdirectory(rapidjson)
-add_library(MAIN json.cpp date protocol.cpp book.cpp)
+add_library(JSON json.cpp)
+
+add_library(MAIN date protocol.cpp book.cpp)
+target_link_libraries(MAIN PUBLIC JSON)
add_executable(test test.cpp strat.cpp)
add_executable(bot bot.cpp strat.cpp)
diff --git a/book.cpp b/book.cpp
index ee014ed..381a7a2 100644
--- a/book.cpp
+++ b/book.cpp
@@ -74,14 +74,14 @@
}
Book::Book()
- : bidSide(), askSide(), productType(TEST), product("a"), stationId("b"),
+ : bidSide(), askSide(), productType(TEST), product("a"), stationId(7),
unit("c"), expiry(std::chrono::nanoseconds(0)), aggFee(1), pasFee(-1),
broFee(2)
{
}
Book::Book(ProductTypeEnum productType, std::string product,
- std::string stationId, std::string unit,
+ int stationId, std::string unit,
std::chrono::nanoseconds expiry, double aggFee, double pasFee,
double broFee)
: bidSide{}, askSide{}, productType{productType}, product(product),
diff --git a/book.hpp b/book.hpp
index 2240290..455506b 100644
--- a/book.hpp
+++ b/book.hpp
@@ -46,7 +46,7 @@
std::vector<Level> askSide;
ProductTypeEnum productType;
std::string product;
- std::string stationId;
+ int stationId;
std::string unit;
std::chrono::nanoseconds expiry;
double aggFee;
@@ -55,7 +55,7 @@
Book();
Book(ProductTypeEnum productType, std::string product,
- std::string stationId, std::string unit,
+ int stationId, std::string unit,
std::chrono::nanoseconds expiry, double aggFee, double pasFee,
double broFee);
void ask(Order& order);
diff --git a/json.cpp b/json.cpp
index 11a97fa..5fbc996 100644
--- a/json.cpp
+++ b/json.cpp
@@ -2,6 +2,8 @@
#include "book.hpp"
#include "date/include/date/date.h"
#include "protocol.hpp"
+#include "rapidjson/include/rapidjson/document.h"
+#include "rapidjson/include/rapidjson/rapidjson.h"
#include <chrono>
#include <cstddef>
#include <cstdint>
@@ -51,66 +53,64 @@
mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
}
-AnnounceMessage* announce(std::string& str);
-SettleMessage* settle(std::string& str);
-AddedMessage* added(std::string& str);
-DeletedMessage* deleted(std::string& str);
-TradeMessage* trade(std::string& str);
-BrokerRequest* brokerReq(std::string& str);
-BrokerAck* brokerAck(std::string& str);
-BrokerConfirm* brokerCon(std::string& str);
+Message* parseSingle(rapidjson::Value& d);
+AnnounceMessage* announce(rapidjson::Value& d);
+SettleMessage* settle(rapidjson::Value& d);
+AddedMessage* added(rapidjson::Value& d);
+DeletedMessage* deleted(rapidjson::Value& d);
+TradeMessage* trade(rapidjson::Value& d);
+BrokerRequest* brokerReq(rapidjson::Value& d);
+BrokerAck* brokerAck(rapidjson::Value& d);
+BrokerConfirm* brokerCon(rapidjson::Value& d);
-std::queue<Message*> parseMany(std::string& str)
+std::queue<Message*> parse(std::string& str)
{
std::queue<Message*> out;
- std::size_t startIndex = 0, endIndex = 0;
- while (true) {
- startIndex = str.find("{", endIndex);
- if (startIndex == std::string::npos) break;
- endIndex = str.find("},", startIndex);
- std::string substr = str.substr(startIndex, endIndex - startIndex + 1);
- // std::cout << substr << std::endl;
- Message* a = parseSingle(substr);
- out.push(a);
+ 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));
}
return out;
}
-Message* parseSingle(std::string& str)
+Message* parseSingle(rapidjson::Value& d)
{
if (mapTypes.empty()) {
initialise();
}
- std::size_t startIndex = str.find("\"type\": \"") + 9;
- std::size_t endIndex = str.find("\"", startIndex + 1);
Message* out;
- switch (mapTypes[str.substr(startIndex, endIndex - startIndex)]) {
+ switch (mapTypes[d["type"].GetString()]) {
case FUTURE_TYPE:
case SPREAD_TYPE:
case CALL_TYPE:
case PUT_TYPE:
- out = announce(str);
+ out = announce(d);
break;
case SETTLEMENT:
- out = settle(str);
+ out = settle(d);
break;
case ADDED:
- out = added(str);
+ out = added(d);
break;
case DELETED:
- out = deleted(str);
+ out = deleted(d);
break;
case TRADE:
- out = trade(str);
+ out = trade(d);
break;
case BROKER_REQUEST:
- out = brokerReq(str);
+ out = brokerReq(d);
break;
case BROKER_ACK:
- out = brokerAck(str);
+ out = brokerAck(d);
break;
case BROKER_CONFIRM:
- out = brokerCon(str);
+ out = brokerCon(d);
break;
default:
out = new Message(NONE, "");
@@ -119,244 +119,82 @@
return out;
}
-inline std::pair<std::size_t, std::size_t>
-find_arg(std::string str, std::string a, bool quotes, bool end = false)
+AnnounceMessage* announce(rapidjson::Value& d)
{
- std::size_t out[2];
- if (quotes) {
- out[0] = str.find("\"" + a + "\": \"") + 5 + a.size();
- if (end) {
- out[1] = str.find("\"}", out[0] + 1);
- } else {
- out[1] = str.find("\",", out[0] + 1);
- }
- } else {
- out[0] = str.find("\"" + a + "\": ") + 4 + a.size();
- if (end) {
- out[1] = str.find("}", out[0] + 1);
- } else {
- out[1] = str.find(",", out[0] + 1);
- }
- }
- return std::make_pair(out[0], out[1]);
-}
-
-AnnounceMessage* announce(std::string& str)
-{
- std::pair<std::size_t, std::size_t> type, product, stationId, stationName,
- unit, expiry, aggFee, pasFee, broFee, sequence, timestamp;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- stationId = find_arg(str, "stationId", false, false);
- stationName = find_arg(str, "stationName", true, false);
- unit = find_arg(str, "unit", true, false);
- expiry = find_arg(str, "expiry", true, false);
- aggFee = find_arg(str, "aggressiveFee", false, false);
- pasFee = find_arg(str, "passiveFee", false, false);
- broFee = find_arg(str, "brokerFee", false, false);
- sequence = find_arg(str, "sequence", false, false);
- timestamp = find_arg(str, "timestamp", false, true);
- std::stringstream expiryStream(
- str.substr(expiry.first, expiry.second - expiry.first));
+ // 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
+ // date::parse("%Y-%m-%f %H:%M%z", exp_time); // Parsing is broken
return new AnnounceMessage(
- mapTypes[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- str.substr(stationId.first, stationId.second - stationId.first),
- str.substr(stationName.first, stationName.second - stationName.first),
- str.substr(unit.first, unit.second - unit.first), exp_time,
- std::stod(str.substr(aggFee.first, aggFee.second - aggFee.first)),
- std::stod(str.substr(pasFee.first, pasFee.second - pasFee.first)),
- std::stod(str.substr(broFee.first, broFee.second - broFee.first)),
- std::stoll(
- str.substr(sequence.first, sequence.second - sequence.first)),
- std::stod(
- str.substr(timestamp.first, timestamp.second - timestamp.first)));
+ 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(std::string& str)
+SettleMessage* settle(rapidjson::Value& d)
{
- std::pair<std::size_t, std::size_t> type, product, stationName, expiry,
- price, sequence, timestamp;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- stationName = find_arg(str, "stationName", true, false);
- expiry = find_arg(str, "expiry", true, false);
- price = find_arg(str, "price", false, false);
- sequence = find_arg(str, "sequence", false, false);
- timestamp = find_arg(str, "timestamp", false, true);
- std::stringstream expiryStream(
- str.substr(expiry.first, expiry.second - expiry.first));
- std::chrono::nanoseconds exp_time;
- expiryStream >> date::parse("%Y-%m-%d %H:%M%z", exp_time);
+ // 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[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- str.substr(stationName.first, stationName.second - stationName.first),
- exp_time,
- std::stod(str.substr(price.first, price.second - price.first)),
- std::stoll(
- str.substr(sequence.first, sequence.second - sequence.first)),
- std::stod(
- str.substr(timestamp.first, timestamp.second - timestamp.first)));
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["stationName"].GetString(), exp_time, d["price"].GetDouble(),
+ d["sequence"].GetInt(), d["timestamp"].GetDouble());
}
-AddedMessage* added(std::string& str)
+AddedMessage* added(rapidjson::Value& d)
{
- std::pair<std::size_t, std::size_t> type, product, id, side, price, filled,
- resting, sequence, timestamp;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- sequence = find_arg(str, "sequence", false, false);
- timestamp = find_arg(str, "timestamp", false, true);
- id = find_arg(str, "id", true, false);
- side = find_arg(str, "side", true, false);
- price = find_arg(str, "price", false, false);
- filled = find_arg(str, "filled", false, false);
- resting = find_arg(str, "resting", false, false);
return new AddedMessage(
- mapTypes[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- str.substr(id.first, id.second - id.first),
- mapOrder[str.substr(side.first, side.second - side.first)],
- std::stod(str.substr(price.first, price.second - price.first)),
- std::stoll(str.substr(filled.first, filled.second - filled.first)),
- std::stoll(str.substr(resting.first, resting.second - resting.first)),
- std::stoll(
- str.substr(sequence.first, sequence.second - sequence.first)),
- std::stod(
- str.substr(timestamp.first, timestamp.second - timestamp.first)));
+ 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());
}
-DeletedMessage* deleted(std::string& str)
+DeletedMessage* deleted(rapidjson::Value& d)
{
- std::pair<std::size_t, std::size_t> type, product, id, side, sequence,
- timestamp;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- sequence = find_arg(str, "sequence", false, false);
- timestamp = find_arg(str, "timestamp", false, true);
- id = find_arg(str, "id", true, false);
- side = find_arg(str, "side", true, false);
return new DeletedMessage(
- mapTypes[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- str.substr(id.first, id.second - id.first),
- mapOrder[str.substr(side.first, side.second - side.first)],
- std::stoll(
- str.substr(sequence.first, sequence.second - sequence.first)),
- std::stod(
- str.substr(timestamp.first, timestamp.second - timestamp.first)));
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["id"].GetString(), mapOrder[d["side"].GetString()],
+ d["sequence"].GetInt(), d["timestamp"].GetDouble());
}
-TradeMessage* trade(std::string& str)
+TradeMessage* trade(rapidjson::Value& d)
{
- std::pair<std::size_t, std::size_t> type, product, price, volume, buyer,
- seller, tradeType, passiveOrder, passiveOrderRemaining, sequence,
- timestamp;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- sequence = find_arg(str, "sequence", false, false);
- timestamp = find_arg(str, "timestamp", false, true);
- price = find_arg(str, "price", false, false);
- volume = find_arg(str, "volume", false, false);
- buyer = find_arg(str, "buyer", true, false);
- seller = find_arg(str, "seller", true, false);
- tradeType = find_arg(str, "tradeType", true, false);
- passiveOrder = find_arg(str, "passiveOrder", true, false);
- passiveOrderRemaining =
- find_arg(str, "passiveOrderRemaining", false, false);
-
return new TradeMessage(
- mapTypes[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- std::stod(str.substr(price.first, price.second - price.first)),
- std::stoll(str.substr(volume.first, volume.second - volume.first)),
- str.substr(buyer.first, buyer.second - buyer.first),
- str.substr(seller.first, seller.second - seller.first),
- mapTrade[str.substr(tradeType.first,
- tradeType.second - tradeType.first)],
- str.substr(passiveOrder.first,
- passiveOrder.second - passiveOrder.first),
- std::stoll(str.substr(passiveOrderRemaining.first,
- passiveOrderRemaining.second -
- passiveOrderRemaining.first)),
- std::stoll(
- str.substr(sequence.first, sequence.second - sequence.first)),
- std::stod(
- str.substr(timestamp.first, timestamp.second - timestamp.first)));
+ 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(std::string& str)
+BrokerRequest* brokerReq(rapidjson::Value& d)
{
- std::pair<std::size_t, std::size_t> type, product, price, side, volume,
- counterparty;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- price = find_arg(str, "price", false, false);
- side = find_arg(str, "side", true, false);
- volume = find_arg(str, "volume", false, false);
- counterparty = find_arg(str, "counterparty", true, false);
return new BrokerRequest(
- mapTypes[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- std::stod(str.substr(price.first, price.second - price.first)),
- mapOrder[str.substr(side.first, side.second - side.first)],
- std::stoll(str.substr(volume.first, volume.second - volume.first)),
- str.substr(counterparty.first,
- counterparty.second - counterparty.first));
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["price"].GetDouble(), mapOrder[d["side"].GetString()],
+ d["volume"].GetInt(), d["counterparty"].GetString());
}
-BrokerAck* brokerAck(std::string& str)
+BrokerAck* brokerAck(rapidjson::Value& d)
{
- std::pair<std::size_t, std::size_t> type, product, price, side, volume,
- counterparty, id, brokerTradeStatus, owner;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- price = find_arg(str, "price", false, false);
- side = find_arg(str, "side", true, false);
- volume = find_arg(str, "volume", false, false);
- counterparty = find_arg(str, "counterparty", true, false);
- id = find_arg(str, "id", true, false);
- brokerTradeStatus = find_arg(str, "brokerTradeStatus", true, false);
- owner = find_arg(str, "owner", true, false);
-
- return new BrokerAck(
- mapTypes[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- std::stod(str.substr(price.first, price.second - price.first)),
- mapOrder[str.substr(side.first, side.second - side.first)],
- std::stoll(str.substr(volume.first, volume.second - volume.first)),
- str.substr(counterparty.first,
- counterparty.second - counterparty.first),
- str.substr(id.first, id.second - id.first),
- str.substr(brokerTradeStatus.first,
- brokerTradeStatus.second - brokerTradeStatus.first),
- str.substr(owner.first, owner.second - owner.first));
+ 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(std::string& str)
+BrokerConfirm* brokerCon(rapidjson::Value& d)
{
- std::pair<std::size_t, std::size_t> type, product, price, side, volume,
- counterparty, id;
- type = find_arg(str, "type", true, false);
- product = find_arg(str, "product", true, false);
- price = find_arg(str, "price", false, false);
- side = find_arg(str, "side", true, false);
- volume = find_arg(str, "volume", false, false);
- counterparty = find_arg(str, "counterparty", true, false);
- id = find_arg(str, "id", true, false);
-
return new BrokerConfirm(
- mapTypes[str.substr(type.first, type.second - type.first)],
- str.substr(product.first, product.second - product.first),
- std::stod(str.substr(price.first, price.second - price.first)),
- mapOrder[str.substr(side.first, side.second - side.first)],
- std::stoll(str.substr(volume.first, volume.second - volume.first)),
- str.substr(counterparty.first,
- counterparty.second - counterparty.first),
- str.substr(id.first, id.second - id.first));
+ mapTypes[d["type"].GetString()], d["product"].GetString(),
+ d["price"].GetDouble(), mapOrder[d["side"].GetString()],
+ d["volume"].GetInt(), d["counterparty"].GetString(),
+ d["id"].GetString());
}
Message::Message() : type(NONE), product("error") {}
@@ -384,7 +222,7 @@
}
AnnounceMessage::AnnounceMessage(MessageTypes type, std::string product,
- std::string stationId, std::string stationName,
+ int stationId, std::string stationName,
std::string unit,
std::chrono::nanoseconds expiry, double aggFee,
double pasFee, double broFee,
diff --git a/json.hpp b/json.hpp
index 5d1fc2b..19a4b68 100644
--- a/json.hpp
+++ b/json.hpp
@@ -62,7 +62,7 @@
};
struct AnnounceMessage : public FromExchange {
- std::string stationId;
+ int stationId;
std::string stationName;
std::string unit;
std::chrono::nanoseconds expiry;
@@ -71,7 +71,7 @@
double broFee;
AnnounceMessage(MessageTypes type, std::string product,
- std::string stationId, std::string stationName,
+ int stationId, std::string stationName,
std::string unit, std::chrono::nanoseconds expiry,
double aggFee, double pasFee, double broFee,
uint64_t sequence, double timestamp);
@@ -164,6 +164,5 @@
std::string counterparty, std::string id);
};
-Message* parseSingle(std::string& str);
-std::queue<Message*> parseMany(std::string& str);
+std::queue<Message*> parse(std::string& str);
} // namespace json
diff --git a/protocol.cpp b/protocol.cpp
index a129985..604c725 100644
--- a/protocol.cpp
+++ b/protocol.cpp
@@ -37,7 +37,7 @@
// auto res = cli.Get("/recover");
std::string l;
l = ss.str();
- std::queue<json::Message*> a(json::parseMany(l));
+ std::queue<json::Message*> a(json::parse(l));
while (!a.empty()) {
protocol::handleMessage(bs, a.front());
delete a.front();
@@ -166,7 +166,8 @@
json::Message* send(std::string& message)
{
auto res = cli.Post("/execution", message, "text/plain");
- return json::parseSingle(res->body);
+ std::queue<json::Message*> a = json::parse(res->body);
+ return a.front();
}
} // namespace protocol
diff --git a/rapidjson b/rapidjson
new file mode 160000
index 0000000..fd3dc29
--- /dev/null
+++ b/rapidjson
@@ -0,0 +1 @@
+Subproject commit fd3dc29a5c2852df569e1ea81dbde2c412ac5051
--
Gitblit v1.9.3