#include "json.hpp" #include "book.hpp" #include "date/include/date/date.h" #include "protocol.hpp" #include "rapidjson/include/rapidjson/document.h" #include "rapidjson/include/rapidjson/rapidjson.h" #include #include #include #include #include #include #include #include #include #include #include #include #include namespace json { static std::unordered_map mapTypes; static std::unordered_map mapAnnounce; static std::unordered_map mapOrder; static std::unordered_map mapTrade; static std::unordered_map mapOrderSide; 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}}; mapAnnounce = {{FUTURE_TYPE, book::FUTURE}, {SPREAD_TYPE, book::SPREAD}, {CALL_TYPE, book::CALL}, {PUT_TYPE, book::PUT}}; mapOrder = {{"BUY", book::Buy}, {"SELL", book::Sell}}; mapTrade = {{"BUY_AGGRESSOR", BUY_AGGRESSOR}, {"SELL_AGGRESSOR", SELL_AGGRESSOR}}; mapOrderSide = {{book::Buy, "BUY"}, {book::Sell, "SELL"}}; } Message* parseSingle(rapidjson::Value& d); AnnounceMessage* announce(rapidjson::Value& d); SettleMessage* settle(rapidjson::Value& d); AddedMessage* added(rapidjson::Value& d); DeletedMessage* deleted(rapidjson::Value& d); TradeMessage* trade(rapidjson::Value& d); BrokerRequest* brokerReq(rapidjson::Value& d); BrokerAck* brokerAck(rapidjson::Value& d); BrokerConfirm* brokerCon(rapidjson::Value& d); std::queue parse(std::string& str) { std::queue 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)); } 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; } 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()); } 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()); } 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()); } 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()); } 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()); } 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()); } 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()); } 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()); } Message::Message() : type(NONE), product("error") {} Message::Message(MessageTypes types, std::string product) : type(types), product(product) { } FromExchange::FromExchange(MessageTypes type, std::string product, uint64_t sequence, double timestamp) : Message(type, product), sequence(sequence), timestamp(timestamp) { } ToExchange::ToExchange(MessageTypes type, std::string 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) { } AnnounceMessage::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) : FromExchange(type, product, sequence, timestamp), stationId(stationId), stationName(stationName), unit(unit), expiry(expiry), aggFee(aggFee), pasFee(pasFee), broFee(broFee) { } SettleMessage::SettleMessage(MessageTypes type, std::string product, 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) { } AddMessage::AddMessage(MessageTypes type, std::string product, double price, book::OrderSideEnum side, uint64_t 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) + "}"; } 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) { } DeleteMessage::DeleteMessage(MessageTypes type, std::string product, std::string id) : ToExchange(type, product), id(id) { } std::string DeleteMessage::as_string() { 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) { } RejectMessage::RejectMessage(MessageTypes type, std::string product, std::string error, uint64_t sequence, double timestamp) : FromExchange(type, product, sequence, timestamp), error(error) { } TradeMessage::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) : 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) { } BrokerAck::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) : Broker(type, product, price, side, volume, counterparty), id(id), brokerTradeStatus(brokerTradeStatus), owner(owner) { } BrokerConfirm::BrokerConfirm(MessageTypes type, std::string product, double price, book::OrderSideEnum side, uint64_t volume, std::string counterparty, std::string id) : Broker(type, product, price, side, volume, counterparty), id(id) { } } // namespace json