#include "protocol.hpp" #include "book.hpp" #include "cpp-httplib/httplib.h" #include "json.hpp" #include "secrets.hpp" #include #include #include #include #include #include namespace protocol { static std::unordered_map mapAnnounce; std::string server = std::string(HOST) + ":" + std::string(PORT); httplib::Client cli("http://" + server); void initialise() { mapAnnounce = {{json::FUTURE_TYPE, book::FUTURE}, {json::SPREAD_TYPE, book::SPREAD}, {json::CALL_TYPE, book::CALL}, {json::PUT_TYPE, book::PUT}}; } std::unordered_map recoverBook() { std::unordered_map bs; std::ifstream sampleFile("../data.test"); std::stringstream ss; ss << sampleFile.rdbuf(); // httplib::Client cli("http://" + server); // auto res = cli.Get("/recover"); std::string l; l = ss.str(); std::queue a(json::parseMany(l)); while (!a.empty()) { protocol::handleMessage(bs, a.front()); delete a.front(); a.pop(); } return bs; } json::Message* addOrder(json::AddMessage& order) { std::string message = "{\"message\": " + order.as_string() + ", " + "\"username\": \"" + std::string(USER) + "\", \"password\": \"" + std::string(PASS) + "\"}"; return send(message); } json::Message* deleteOrder(json::DeleteMessage& order) { std::string message = "{\"message\": " + order.as_string() + ", \"username\": \"" + std::string(USER) + "\", \"password\": \"" + std::string(PASS) + "\"}"; return send(message); } void handleMessage(std::unordered_map& bs, json::Message* message) { if (mapAnnounce.empty()) initialise(); switch (message->type) { case json::FUTURE_TYPE: case json::SPREAD_TYPE: case json::CALL_TYPE: case json::PUT_TYPE: announce(bs, dynamic_cast(message)); break; case json::SETTLEMENT: settle(bs, dynamic_cast(message)); break; case json::ADDED: addedOrder(bs, dynamic_cast(message)); break; case json::DELETED: deletedOrder(bs, dynamic_cast(message)); break; case json::TRADE: tradeOrder(bs, dynamic_cast(message)); break; case json::BROKER_REQUEST: case json::BROKER_ACK: case json::BROKER_CONFIRM: broker(bs, dynamic_cast(message)); break; default:; } } void announce(std::unordered_map& bs, json::AnnounceMessage* message) { bs[message->product] = book::Book(mapAnnounce[message->type], message->product, message->stationId, message->unit, message->expiry, message->aggFee, message->pasFee, message->broFee); } void settle(std::unordered_map& bs, json::SettleMessage* message) { bs.erase(message->product); } void addedOrder(std::unordered_map& bs, json::AddedMessage* message) { if (message->side == book::Buy) { book::Order t(message->price, book::Buy, message->resting, message->timestamp, message->id); bs[message->product].bid(t); } else { book::Order t(message->price, book::Sell, message->resting, message->timestamp, message->id); bs[message->product].ask(t); } } void deletedOrder(std::unordered_map& bs, 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.erase(bs[message->product].bidSide.end()); std::make_heap(bs[message->product].bidSide.begin(), bs[message->product].bidSide.end(), std::less()); } } } 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.erase(bs[message->product].askSide.end()); std::make_heap(bs[message->product].askSide.begin(), bs[message->product].askSide.end(), std::greater()); } } } } void tradeOrder(std::unordered_map& 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); } } void broker(std::unordered_map& bs, json::Broker* message) { } json::Message* send(std::string& message) { auto res = cli.Post("/execution", message, "text/plain"); return json::parseSingle(res->body); } } // namespace protocol