moving ticktype to c++

AsyncAlgoTrading · Jun 7, 2019 · 0b93f86 · 0b93f86
1 parent fd7f96c
commit 0b93f86
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Showing 5 changed files with 36 additions and 47 deletions.
diff --git a/aat/enums.py b/aat/enums.py
@@ -1,5 +1,6 @@
 from functools import lru_cache
 from enum import Enum
+from ._enums import TickType, to_string as TickType_to_string, from_string as TickType_from_string  # noqa: F401
 
 
 class BaseEnum(Enum):
@@ -8,24 +9,6 @@ def members(cls):
         return cls.__members__.keys()
 
 
-class TickType(BaseEnum):
-    # Messages
-    TRADE = 'TRADE'  # Match
-    OPEN = 'OPEN'  # New Order
-    FILL = 'FILL'  # Order completed - filled
-    CANCEL = 'CANCEL'  # Order completed - cancelled
-    CHANGE = 'CHANGE'  # Order modified
-
-    ERROR = 'ERROR'  # Internal error
-    ANALYZE = 'ANALYZE'  # Internal
-
-    HALT = 'HALT'  # Trading halt
-    CONTINUE = 'CONTINUE'  # Trading continue
-    EXIT = 'EXIT'  # System exit
-
-    HEARTBEAT = 'HEARTBEAT'  # Exchange heartbeat
-
-
 class TradingType(BaseEnum):
     NONE = 'NONE'
     SANDBOX = 'SANDBOX'

diff --git a/aat/exchanges/utils/coinbase.py b/aat/exchanges/utils/coinbase.py
@@ -1,5 +1,5 @@
 from datetime import datetime
-from ...enums import OrderType, OrderSubType, PairType, TickType
+from ...enums import OrderType, OrderSubType, PairType, TickType, TickType_from_string
 from ...structs import MarketData, Instrument
 from ...utils import parse_date, str_to_currency_pair_type, str_to_side, str_to_order_type
 
@@ -41,7 +41,7 @@ def strToTradeType(self, s: str, reason: str = '') -> TickType:
                 return TickType.CANCEL
             elif reason == 'filled':
                 return TickType.FILL
-            return TickType(s.upper())
+            return TickType_from_string(s.upper())
         else:
             return TickType.ERROR
 

diff --git a/aat/exchanges/utils/gemini.py b/aat/exchanges/utils/gemini.py
@@ -1,5 +1,5 @@
 from datetime import datetime
-from ...enums import Side, OrderType, OrderSubType, PairType, TickType
+from ...enums import Side, OrderType, OrderSubType, PairType, TickType, TickType_from_string
 from ...structs import MarketData, Instrument
 from ...utils import str_to_currency_pair_type, str_to_side
 
@@ -44,7 +44,7 @@ def strToTradeType(self, s: str) -> TickType:
             return TickType.TRADE
         elif s in ('AUCTION_INDICATIVE', 'AUCTION_OPEN'):
             return TickType.OPEN
-        return TickType(s)
+        return TickType_from_string(s)
 
     def reasonToTradeType(self, s: str) -> TickType:
         s = s.upper()

diff --git a/aat/structs.py b/aat/structs.py
@@ -9,6 +9,7 @@
                    OrderType, \
                    OrderSubType, \
                    TickType, \
+                   TickType_to_string, \
                    TradeResult, \
                    InstrumentType, \
                    RiskReason
@@ -29,6 +30,8 @@ def to_dict(self, serializable=False, str_timestamp=False, **kwargs) -> dict:
                     ret[item] = getattr(self, item).to_dict(serializable, str_timestamp, **kwargs)
                 elif isinstance(ret[item], Enum) or isinstance(getattr(self, item), Enum):
                     ret[item] = str(getattr(self, item))
+                elif isinstance(ret[item], TickType):
+                    ret[item] = TickType_to_string(ret[item])
                 elif isinstance(ret[item], float):
                     if ((ret[item] >= float('inf')) is False) and \
                        ((ret[item] <= float('inf')) is False):

diff --git a/cpp/include/aat/enums.hpp b/cpp/include/aat/enums.hpp
@@ -11,17 +11,17 @@ namespace aat {
 namespace enums {
 
     enum class TickType {
-        TRADE,
-        OPEN,
-        FILL,
-        CANCEL,
-        CHANGE,
-        ERROR,
-        ANALYZE,
-        HALT,
-        CONTINUE,
-        EXIT,
-        HEARTBEAT,
+        TRADE = 0,
+        OPEN = 1,
+        FILL = 2,
+        CANCEL = 3,
+        CHANGE = 4,
+        ERROR = 5,
+        ANALYZE = 6,
+        HALT = 7,
+        CONTINUE = 8,
+        EXIT = 9,
+        HEARTBEAT = 10
     };
 
     static const char *TickTypeNames[] = {
@@ -43,21 +43,24 @@ namespace enums {
       return TickTypeNames[static_cast<int>(type)];
     }
 
-    static std::unordered_map<const char *, TickType> _mapping = {
-            {(const char *)"TRADE", TickType::TRADE},
-            {(const char *)"OPEN", TickType::OPEN},
-            {(const char *)"FILL", TickType::FILL},
-            {(const char *)"CANCEL", TickType::CANCEL},
-            {(const char *)"CHANGE", TickType::CHANGE},
-            {(const char *)"ERROR", TickType::ERROR},
-            {(const char *)"ANALYZE", TickType::ANALYZE},
-            {(const char *)"HALT", TickType::HALT},
-            {(const char *)"CONTINUE", TickType::CONTINUE},
-            {(const char *)"EXIT", TickType::EXIT},
-            {(const char *)"HEARTBEAT", TickType::HEARTBEAT},
+    static std::unordered_map<std::string, TickType> _mapping = {
+            {"TRADE", TickType::TRADE},
+            {"OPEN", TickType::OPEN},
+            {"FILL", TickType::FILL},
+            {"CANCEL", TickType::CANCEL},
+            {"CHANGE", TickType::CHANGE},
+            {"ERROR", TickType::ERROR},
+            {"ANALYZE", TickType::ANALYZE},
+            {"HALT", TickType::HALT},
+            {"CONTINUE", TickType::CONTINUE},
+            {"EXIT", TickType::EXIT},
+            {"HEARTBEAT", TickType::HEARTBEAT},
     };
 
-    TickType from_string(char *s){ return _mapping[s]; }
+    TickType from_string(char *s)
+    { 
+        return _mapping[s];
+    }
 }
 }
 
@@ -77,7 +80,7 @@ PYBIND11_MODULE(_enums, m)
         .value("HALT", TickType::HALT)
         .value("CONTINUE", TickType::CONTINUE)
         .value("EXIT", TickType::EXIT)
-        .value("HEARTBEAT)", TickType::HEARTBEAT);
+        .value("HEARTBEAT", TickType::HEARTBEAT);
 
     m.def("to_string", &to_string, "TickType enum to string");
     m.def("from_string", &from_string, "string to TickType enum");