From f99dcdf422310400fe9f20f61697328e87485a34 Mon Sep 17 00:00:00 2001
From: Joel Grunbaum <joelgrun@gmail.com>
Date: Wed, 19 Jan 2022 09:57:14 +0000
Subject: [PATCH] Insertion sort sides instead of hashmap
---
json.hpp | 225 ++++++++++++++++++++++++++++++--------------------------
1 files changed, 121 insertions(+), 104 deletions(-)
diff --git a/json.hpp b/json.hpp
index 19a4b68..bfe2c50 100644
--- a/json.hpp
+++ b/json.hpp
@@ -11,157 +11,174 @@
namespace json
{
enum MessageTypes {
- FUTURE_TYPE,
- SPREAD_TYPE,
- CALL_TYPE,
- PUT_TYPE,
- SETTLEMENT,
- ADD,
- ADDED,
- DELETE,
- DELETED,
- REJECT,
- TRADE,
- BROKER_REQUEST,
- BROKER_ACK,
- BROKER_CONFIRM,
- NONE
+ FUTURE_TYPE,
+ SPREAD_TYPE,
+ CALL_TYPE,
+ PUT_TYPE,
+ SETTLEMENT,
+ ADD,
+ ADDED,
+ DELETE,
+ DELETED,
+ REJECT,
+ TRADE,
+ BROKER_REQUEST,
+ BROKER_ACK,
+ BROKER_CONFIRM,
+ ERROR,
+ NONE
};
-enum TradeTypeEnum { BUY_AGGRESSOR, SELL_AGGRESSOR };
+enum TradeTypeEnum { BUY_AGGRESSOR, SELL_AGGRESSOR, BROKER_TRADE };
struct Message {
- MessageTypes type;
- std::string product;
- Message(MessageTypes type, std::string product);
- Message();
- virtual ~Message() = default;
+ MessageTypes type;
+ std::string product;
+ Message(MessageTypes type, std::string product);
+ Message();
+ virtual ~Message() = default;
+};
+
+struct ErrorMessage : public Message {
+ std::string message;
+ ErrorMessage(std::string message);
+ std::string as_string();
};
struct FromExchange : public Message {
- uint64_t sequence;
- double timestamp;
- FromExchange(MessageTypes type, std::string product, uint64_t sequence,
- double timestamp);
- virtual ~FromExchange() = default;
+ uint64_t sequence;
+ double timestamp;
+ FromExchange(MessageTypes type, std::string product, uint64_t sequence,
+ double timestamp);
+ virtual ~FromExchange() = default;
};
struct ToExchange : public Message {
- ToExchange(MessageTypes type, std::string product);
- virtual ~ToExchange() = default;
+ ToExchange(MessageTypes type, std::string product);
+ virtual ~ToExchange() = default;
};
struct Broker : public Message {
- double price;
- book::OrderSideEnum side;
- uint64_t volume;
- std::string counterparty;
- Broker(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume, std::string counterparty);
- virtual ~Broker() = default;
+ double price;
+ book::OrderSideEnum side;
+ uint64_t volume;
+ std::string counterparty;
+ Broker(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume, std::string counterparty);
+ virtual ~Broker() = default;
};
struct AnnounceMessage : public FromExchange {
- int stationId;
- std::string stationName;
- std::string unit;
- std::chrono::nanoseconds expiry;
- double aggFee;
- double pasFee;
- double broFee;
+ int stationId;
+ std::string stationName;
+ std::string unit;
+ std::chrono::nanoseconds expiry;
+ double aggFee;
+ double pasFee;
+ double broFee;
- AnnounceMessage(MessageTypes type, std::string product,
- int stationId, std::string stationName,
- std::string unit, std::chrono::nanoseconds expiry,
- double aggFee, double pasFee, double broFee,
- uint64_t sequence, double timestamp);
+ AnnounceMessage(MessageTypes type, std::string product, int stationId,
+ std::string stationName, std::string unit,
+ std::chrono::nanoseconds expiry, double aggFee,
+ double pasFee, double broFee, uint64_t sequence,
+ double timestamp);
+ std::string as_string();
};
struct SettleMessage : public FromExchange {
- std::string stationName;
- std::chrono::nanoseconds expiry;
- double price;
- SettleMessage(MessageTypes type, std::string product,
- std::string stationName, std::chrono::nanoseconds expiry,
- double price, uint64_t sequence, double timestamp);
+ std::string stationName;
+ std::chrono::nanoseconds expiry;
+ double price;
+ SettleMessage(MessageTypes type, std::string product,
+ std::string stationName, std::chrono::nanoseconds expiry,
+ double price, uint64_t sequence, double timestamp);
+ std::string as_string();
};
struct AddMessage : public ToExchange {
- double price;
- book::OrderSideEnum side;
- uint64_t volume;
- AddMessage(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume);
- std::string as_string();
+ double price;
+ book::OrderSideEnum side;
+ uint64_t volume;
+ AddMessage(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume);
+ std::string as_string();
};
struct AddedMessage : public FromExchange {
- std::string id;
- book::OrderSideEnum side;
- double price;
- uint64_t filled;
- uint64_t resting;
- 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);
+ std::string id;
+ book::OrderSideEnum side;
+ double price;
+ uint64_t filled;
+ uint64_t resting;
+ std::string owner;
+ AddedMessage(MessageTypes type, std::string product, std::string id,
+ book::OrderSideEnum side, double price, uint64_t filled,
+ uint64_t resting, std::string owner, uint64_t sequence, double timestamp);
+ std::string as_string();
};
struct DeleteMessage : public ToExchange {
- std::string id;
- DeleteMessage(MessageTypes type, std::string product, std::string id);
- std::string as_string();
+ std::string id;
+ DeleteMessage(MessageTypes type, std::string product, std::string id);
+ std::string as_string();
};
struct DeletedMessage : public FromExchange {
- std::string id;
- book::OrderSideEnum side;
- DeletedMessage(MessageTypes type, std::string product, std::string id,
- book::OrderSideEnum side, uint64_t sequence,
- double timestamp);
+ std::string id;
+ book::OrderSideEnum side;
+ DeletedMessage(MessageTypes type, std::string product, std::string id,
+ book::OrderSideEnum side, uint64_t sequence,
+ double timestamp);
+ std::string as_string();
};
struct RejectMessage : public FromExchange {
- std::string error;
- RejectMessage(MessageTypes type, std::string product, std::string error,
- uint64_t sequence, double timestamp);
+ std::string error;
+ RejectMessage(MessageTypes type, std::string product, std::string error,
+ uint64_t sequence, double timestamp);
+ std::string as_string();
};
struct TradeMessage : public FromExchange {
- double price;
- uint64_t volume;
- std::string buyer;
- std::string seller;
- TradeTypeEnum tradeType;
- std::string passiveOrder;
- uint64_t passiveOrderRemaining;
- TradeMessage(MessageTypes type, std::string product, double price,
- uint64_t volume, std::string buyer, std::string seller,
- TradeTypeEnum tradeType, std::string passiveOrder,
- uint64_t passiveOrderRemaining, uint64_t sequence,
- double timestamp);
+ double price;
+ uint64_t volume;
+ std::string buyer;
+ std::string seller;
+ TradeTypeEnum tradeType;
+ std::string passiveOrder;
+ uint64_t passiveOrderRemaining;
+ TradeMessage(MessageTypes type, std::string product, double price,
+ uint64_t volume, std::string buyer, std::string seller,
+ TradeTypeEnum tradeType, std::string passiveOrder,
+ uint64_t passiveOrderRemaining, uint64_t sequence,
+ double timestamp);
+ std::string as_string();
};
struct BrokerRequest : public Broker {
- BrokerRequest(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume,
- std::string counterparty);
+ BrokerRequest(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume,
+ std::string counterparty);
+ std::string as_string();
};
struct BrokerAck : public Broker {
- std::string id;
- std::string brokerTradeStatus;
- std::string owner;
- BrokerAck(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume,
- std::string counterparty, std::string id,
- std::string brokerTradeStatus, std::string owner);
+ std::string id;
+ std::string brokerTradeStatus;
+ std::string owner;
+ BrokerAck(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume,
+ std::string counterparty, std::string id,
+ std::string brokerTradeStatus, std::string owner);
+ std::string as_string();
};
struct BrokerConfirm : public Broker {
- std::string id;
- BrokerConfirm(MessageTypes type, std::string product, double price,
- book::OrderSideEnum side, uint64_t volume,
- std::string counterparty, std::string id);
+ std::string id;
+ BrokerConfirm(MessageTypes type, std::string product, double price,
+ book::OrderSideEnum side, uint64_t volume,
+ std::string counterparty, std::string id);
+ std::string as_string();
};
std::queue<Message*> parse(std::string& str);
--
Gitblit v1.9.3