From d2cfd3eeeb8b6af3b7ccda01e6c1ac581a2df398 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Thu, 13 Jan 2022 06:54:09 +0000
Subject: [PATCH] Added time parsing
---
json.cpp | 79 ++++++++++++++++++++++++++++++++++++---
1 files changed, 73 insertions(+), 6 deletions(-)
diff --git a/json.cpp b/json.cpp
index 5d8e340..a1b0a7a 100644
--- a/json.cpp
+++ b/json.cpp
@@ -48,7 +48,8 @@
mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}};
mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR},
- {"SELL_AGGRESSOR", SELL_AGGRESSOR}};
+ {"SELL_AGGRESSOR", SELL_AGGRESSOR},
+ {"BROKER_TRADE", BROKER_TRADE}};
mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}};
}
@@ -58,10 +59,14 @@
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)
{
@@ -83,6 +88,7 @@
if (mapTypes.empty()) {
initialise();
}
+ if (d.HasMember("error")) return error(d);
Message* out;
switch (mapTypes[d["type"].GetString()]) {
case FUTURE_TYPE:
@@ -99,6 +105,9 @@
break;
case DELETED:
out = deleted(d);
+ break;
+ case REJECT:
+ out = reject(d);
break;
case TRADE:
out = trade(d);
@@ -119,12 +128,21 @@
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::string es = d["expiry"].GetString();
std::chrono::nanoseconds exp_time(0);
- // expiryStream >>
- // date::parse("%Y-%m-%f %H:%M%z", exp_time); // Parsing is broken
+ exp_time = parseTime(es);
return new AnnounceMessage(
mapTypes[d["type"].GetString()], d["product"].GetString(),
d["stationId"].GetInt(), d["stationName"].GetString(),
@@ -135,9 +153,9 @@
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);
+ 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(),
@@ -159,6 +177,12 @@
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)
@@ -197,11 +221,25 @@
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)
{
+}
+
+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,
@@ -266,6 +304,18 @@
{
}
+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)
@@ -286,6 +336,15 @@
{
}
+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)
@@ -293,6 +352,14 @@
{
}
+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,
uint64_t volume, std::string buyer,
std::string seller, TradeTypeEnum tradeType,
--
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