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
---
protocol.cpp | 112 ++++++++++++++++++++++++++++++++++++--------------------
1 files changed, 72 insertions(+), 40 deletions(-)
diff --git a/protocol.cpp b/protocol.cpp
index 0e168f5..0492374 100644
--- a/protocol.cpp
+++ b/protocol.cpp
@@ -2,13 +2,17 @@
#include "book.hpp"
#include "cpp-httplib/httplib.h"
+#include "easywsclient/easywsclient.hpp"
#include "json.hpp"
#include "secrets.hpp"
#include <chrono>
+#include <cstddef>
#include <iostream>
+#include <memory>
#include <queue>
#include <sstream>
+#include <stdexcept>
#include <string>
#include <unordered_map>
@@ -18,6 +22,8 @@
mapAnnounce;
std::string server = std::string(HOST) + ":" + std::string(PORT);
httplib::Client cli("http://" + server);
+
+double lastime = 0;
void initialise()
{
@@ -40,11 +46,43 @@
l = res->body;
std::queue<json::Message*> a(json::parse(l));
while (!a.empty()) {
- protocol::handleMessage(bs, a.front());
+ if (static_cast<json::FromExchange*>(a.front()) != nullptr ||
+ static_cast<json::FromExchange*>(a.front())->timestamp > lastime) {
+ lastime = static_cast<json::FromExchange*>(a.front())->timestamp;
+ protocol::handleMessage(bs, a.front());
+ }
delete a.front();
a.pop();
}
return bs;
+}
+
+void catchUp(std::unordered_map<std::string, book::Book>& bs)
+{
+ static std::unique_ptr<easywsclient::WebSocket> ws(
+ easywsclient::WebSocket::from_url("ws://" + server + "/information"));
+ std::string feed;
+ bool gotMessage = false;
+ ws->poll();
+ ws->dispatch([gotMessageOut = &gotMessage, messageOut = &feed,
+ ws = ws.get()](const std::string& message) {
+ *gotMessageOut = true;
+ *messageOut = message;
+ });
+ if (gotMessage) {
+ std::queue<json::Message*> a(json::parse(feed));
+ while (!a.empty()) {
+ if (static_cast<json::FromExchange*>(a.front()) != nullptr ||
+ static_cast<json::FromExchange*>(a.front())->timestamp >
+ lastime) {
+ lastime =
+ static_cast<json::FromExchange*>(a.front())->timestamp;
+ }
+ protocol::handleMessage(bs, a.front());
+ delete a.front();
+ a.pop();
+ }
+ }
}
json::Message* addOrder(json::AddMessage& order)
@@ -63,29 +101,32 @@
json::Message* message)
{
if (mapAnnounce.empty()) initialise();
+ if (dynamic_cast<json::FromExchange*>(message) != nullptr) {
+ lastime = dynamic_cast<json::FromExchange*>(message)->timestamp;
+ }
switch (message->type) {
case json::FUTURE_TYPE:
case json::SPREAD_TYPE:
case json::CALL_TYPE:
case json::PUT_TYPE:
- announce(bs, dynamic_cast<json::AnnounceMessage*>(message));
+ announce(bs, static_cast<json::AnnounceMessage*>(message));
break;
case json::SETTLEMENT:
- settle(bs, dynamic_cast<json::SettleMessage*>(message));
+ settle(bs, static_cast<json::SettleMessage*>(message));
break;
case json::ADDED:
- addedOrder(bs, dynamic_cast<json::AddedMessage*>(message));
+ addedOrder(bs, static_cast<json::AddedMessage*>(message));
break;
case json::DELETED:
- deletedOrder(bs, dynamic_cast<json::DeletedMessage*>(message));
+ deletedOrder(bs, static_cast<json::DeletedMessage*>(message));
break;
case json::TRADE:
- tradeOrder(bs, dynamic_cast<json::TradeMessage*>(message));
+ tradeOrder(bs, static_cast<json::TradeMessage*>(message));
break;
case json::BROKER_REQUEST:
case json::BROKER_ACK:
case json::BROKER_CONFIRM:
- broker(bs, dynamic_cast<json::Broker*>(message));
+ broker(bs, static_cast<json::Broker*>(message));
break;
default:;
}
@@ -107,11 +148,11 @@
void addedOrder(std::unordered_map<std::string, book::Book>& bs,
json::AddedMessage* message)
{
- if (message->side == book::Buy) {
+ if (message->side == book::Buy && message->resting) {
book::Order t(message->price, book::Buy, message->resting,
message->timestamp, message->id);
bs[message->product].bid(t);
- } else {
+ } else if (message->side == book::Sell && message->resting) {
book::Order t(message->price, book::Sell, message->resting,
message->timestamp, message->id);
bs[message->product].ask(t);
@@ -121,42 +162,33 @@
json::DeletedMessage* message)
{
if (message->side == book::Buy) {
- for (std::size_t i = 0; i < bs[message->product].bidSide.size(); i++) {
- if (bs[message->product].bidSide[i].id == message->id) {
- bs[message->product].bidSide[i] =
- bs[message->product].bidSide.back();
- bs[message->product].bidSide.pop_back();
- std::make_heap(bs[message->product].bidSide.begin(),
- bs[message->product].bidSide.end(),
- std::less<book::Level>());
- }
- }
+ bs[message->product].bidSide.erase(message->id);
} else {
- for (std::size_t i = 0; i < bs[message->product].askSide.size(); i++) {
- if (bs[message->product].askSide[i].id == message->id) {
- bs[message->product].askSide[i] =
- bs[message->product].askSide.back();
- bs[message->product].askSide.pop_back();
- std::make_heap(bs[message->product].askSide.begin(),
- bs[message->product].askSide.end(),
- std::greater<book::Level>());
- }
- }
+ bs[message->product].askSide.erase(message->id);
}
}
void tradeOrder(std::unordered_map<std::string, book::Book>& bs,
json::TradeMessage* message)
{
- if (message->tradeType == json::BUY_AGGRESSOR) {
- book::Order t(message->price, book::Buy, message->volume,
- message->timestamp, message->passiveOrder);
- bs[message->product].bid(t);
- } else {
- book::Order t(message->price, book::Sell, message->volume,
- message->timestamp, message->passiveOrder);
- bs[message->product].ask(t);
+ if (bs.find(message->passiveOrder) != bs.end()) {
+ if (message->tradeType == json::BUY_AGGRESSOR) {
+ if (message->passiveOrderRemaining > 0) {
+ bs[message->product].askSide.at(message->passiveOrder).volume =
+ message->passiveOrderRemaining;
+ } else {
+ bs[message->product].askSide.erase(message->passiveOrder);
+ }
+ } else if (message->tradeType == json::SELL_AGGRESSOR) {
+ if (message->passiveOrderRemaining > 0) {
+ bs[message->product].bidSide.at(message->passiveOrder).volume =
+ message->passiveOrderRemaining;
+ } else {
+ bs[message->product].bidSide.erase(message->passiveOrder);
+ }
+ }
}
}
+
void broker(std::unordered_map<std::string, book::Book>& bs,
json::Broker* message)
{
@@ -164,9 +196,9 @@
json::Message* send(std::string& message)
{
- httplib::MultipartFormDataItems a = {{"message", message, "", ""},
- {"username", USER, "", ""},
- {"password", PASS, "", ""}};
+ httplib::MultipartFormDataItems a = {{"message", message, "", ""},
+ {"username", USER, "", ""},
+ {"password", PASS, "", ""}};
auto res = cli.Post("/execution", a);
std::string b = res->body;
std::queue<json::Message*> c = json::parse(b);
--
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