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
---
protocol.py | 104 ++++++++++++++++++++++++++++++++++++++++++++++++---
1 files changed, 97 insertions(+), 7 deletions(-)
diff --git a/protocol.py b/protocol.py
index 9d662cc..c575102 100644
--- a/protocol.py
+++ b/protocol.py
@@ -1,5 +1,19 @@
""".#protocol.py handling protocol."""
import book
+from enum import Enum
+import httpx
+import json
+
+test = True
+
+HOST: str = "sytev070"
+if (test):
+ PORT = "9005"
+else:
+ PORT = "9000"
+
+USER: str = "jgrunbau"
+PASS: str = "b7d630945a0854581d9f86ba147f34a5"
def handleMessage(bs: {str, book.Book}, message: {str, str}):
@@ -11,7 +25,12 @@
elif (message["type"] == "ADDED"):
addOrder(bs, message)
elif (message["type"] == "DELETED"):
- pass
+ deleteOrder(bs, message)
+ elif (message["type"] == "TRADE"):
+ tradeOrder(bs, message)
+ elif (message["type"] in {"BROKER_REQUEST", "BROKER_ACK",
+ "BROKER_CONFIRM"}):
+ broker(bs, message)
def announce(bs: {str, book.Book}, message: {str, str}):
@@ -27,14 +46,85 @@
def settle(bs: {str, book.Book}, message: {str, str}):
"""Settle order."""
- bs.pop(message["product"])#.printBook()
+ b = bs.pop(message["product"])
+ if (False):
+ b.printBook()
+ print()
+ if (len(b.askSide.levels) > 0):
+ print(b.askSide.levels[0])
+ if (len(b.bidSide.levels)):
+ print(b.bidSide.levels[0])
+ print()
+
def addOrder(bs: {str, book.Book}, message: {str, str}):
"""Order added to exchange."""
- price = message["price"]
- volume = message["resting"] + message["filled"]
if (message["side"] == "BUY"):
- side = book.OrderSide.Buy
+ bs[message["product"]].bid(
+ book.Order(message["price"], book.OrderSide.Buy,
+ message["resting"],
+ message["timestamp"], message["id"]))
else:
- side = book.OrderSide.Sell
- bs[message["product"]].addOrder(book.Order(price, side, volume))
+ bs[message["product"]].ask(
+ book.Order(message["price"], book.OrderSide.Sell,
+ message["resting"],
+ message["timestamp"], message["id"]))
+
+
+def deleteOrder(bs: {str, book.Book}, message: {str, str}):
+ """Delete order from market."""
+ if (message["side"] == "BUY"):
+ bs[message["product"]].bidSide.delete(message["id"])
+ else:
+ bs[message["product"]].askSide.delete(message["id"])
+
+
+def tradeOrder(bs: {str, book.Book}, message: {str, str}):
+ """Order traded."""
+ if (message["tradeType"] == "BUY_AGGRESSOR"):
+ bs[message["product"]].bidSide.delete(message["passiveOrder"])
+ elif (message["tradeType"] == "SELL_AGGRESSOR"):
+ bs[message["product"]].askSide.delete(message["passiveOrder"])
+
+
+def broker(bs: {str, book.Book}, message: {str, str}):
+ """Broker trades."""
+ pass
+
+
+def send(message):
+ """Send message with exchange."""
+ return httpx.post(f"http://{HOST}:{PORT}/execution",
+ data={"message": json.dumps(message),
+ "username": USER,
+ "password": PASS}).json()
+
+
+class OrderEnum(Enum):
+ """Enum for ordering from the exchange."""
+
+ ADD = 0,
+ DELETE = 1,
+ BROKER_REQUEST = 2,
+ BROKER_CONFIRM = 3
+
+
+def order(orderType: OrderEnum, product: str, price: float = 0,
+ side: book.OrderSide = book.OrderSide.Buy,
+ volume: int = 0, orderId: str = "", counterparty: str = ""):
+ """Order from exchange."""
+ if (orderType == OrderEnum.ADD):
+ resp = send({"type": "ADD",
+ "product": product,
+ "price": price,
+ "side": side,
+ "volume": volume})
+ elif (orderType == OrderEnum.DELETE):
+ resp = send({"type": "DELETE",
+ "product": product,
+ "id": id})
+ elif (orderType == OrderEnum.BROKER_REQUEST):
+ pass
+ elif (orderType == OrderEnum.BROKER_CONFIRM):
+ pass
+ return resp
--
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