From d14f48a147190989d9b58f7b56429ac8711be077 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Tue, 11 Jan 2022 07:32:46 +0000
Subject: [PATCH] Don't static compile on Darwin systems
---
json.cpp | 344 +++++++++++++++++++++++++++++++++------------------------
1 files changed, 200 insertions(+), 144 deletions(-)
diff --git a/json.cpp b/json.cpp
index 5fbc996..f64f677 100644
--- a/json.cpp
+++ b/json.cpp
@@ -28,29 +28,30 @@
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"}};
}
Message* parseSingle(rapidjson::Value& d);
@@ -58,166 +59,192 @@
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::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;
}
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::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());
}
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::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());
}
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["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)
{
}
@@ -227,9 +254,9 @@
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)
{
}
@@ -237,60 +264,89 @@
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)
{
}
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)
+ : FromExchange(type, product, sequence, timestamp), id(id), side(side),
+ price(price), filled(filled), resting(resting)
{
+}
+
+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) +
+ ", \"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,
@@ -299,16 +355,16 @@
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)
{
}
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)
{
}
@@ -316,8 +372,8 @@
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)
{
}
@@ -325,7 +381,7 @@
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)
{
}
} // namespace json
--
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