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market_manager.cpp
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market_manager.cpp
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//
// Created by Ivan Shynkarenka on 05.08.2017
//
#include "trader/matching/market_manager.h"
#include "trader/providers/nasdaq/itch_handler.h"
#include "benchmark/reporter_console.h"
#include "filesystem/file.h"
#include "system/stream.h"
#include "time/timestamp.h"
#include <OptionParser.h>
using namespace CppCommon;
using namespace CppTrader::ITCH;
using namespace CppTrader::Matching;
class MyMarketHandler : public MarketHandler
{
public:
MyMarketHandler()
: _updates(0),
_symbols(0),
_max_symbols(0),
_order_books(0),
_max_order_books(0),
_max_order_book_levels(0),
_max_order_book_orders(0),
_orders(0),
_max_orders(0),
_add_orders(0),
_update_orders(0),
_delete_orders(0),
_execute_orders(0)
{}
size_t updates() const { return _updates; }
size_t max_symbols() const { return _max_symbols; }
size_t max_order_books() const { return _max_order_books; }
size_t max_order_book_levels() const { return _max_order_book_levels; }
size_t max_order_book_orders() const { return _max_order_book_orders; }
size_t max_orders() const { return _max_orders; }
size_t add_orders() const { return _add_orders; }
size_t update_orders() const { return _update_orders; }
size_t delete_orders() const { return _delete_orders; }
size_t execute_orders() const { return _execute_orders; }
protected:
void onAddSymbol(const Symbol& symbol) override { ++_updates; ++_symbols; _max_symbols = std::max(_symbols, _max_symbols); }
void onDeleteSymbol(const Symbol& symbol) override { ++_updates; --_symbols; }
void onAddOrderBook(const OrderBook& order_book) override { ++_updates; ++_order_books; _max_order_books = std::max(_order_books, _max_order_books); }
void onUpdateOrderBook(const OrderBook& order_book, bool top) override { _max_order_book_levels = std::max(std::max(order_book.bids().size(), order_book.asks().size()), _max_order_book_levels); }
void onDeleteOrderBook(const OrderBook& order_book) override { ++_updates; --_order_books; }
void onAddLevel(const OrderBook& order_book, const Level& level, bool top) override { ++_updates; }
void onUpdateLevel(const OrderBook& order_book, const Level& level, bool top) override { ++_updates; _max_order_book_orders = std::max(level.Orders, _max_order_book_orders); }
void onDeleteLevel(const OrderBook& order_book, const Level& level, bool top) override { ++_updates; }
void onAddOrder(const Order& order) override { ++_updates; ++_orders; _max_orders = std::max(_orders, _max_orders); ++_add_orders; }
void onUpdateOrder(const Order& order) override { ++_updates; ++_update_orders; }
void onDeleteOrder(const Order& order) override { ++_updates; --_orders; ++_delete_orders; }
void onExecuteOrder(const Order& order, uint64_t price, uint64_t quantity) override { ++_updates; ++_execute_orders; }
private:
size_t _updates;
size_t _symbols;
size_t _max_symbols;
size_t _order_books;
size_t _max_order_books;
size_t _max_order_book_levels;
size_t _max_order_book_orders;
size_t _orders;
size_t _max_orders;
size_t _add_orders;
size_t _update_orders;
size_t _delete_orders;
size_t _execute_orders;
};
class MyITCHHandler : public ITCHHandler
{
public:
MyITCHHandler(MarketManager& market)
: _market(market),
_messages(0),
_errors(0)
{}
size_t messages() const { return _messages; }
size_t errors() const { return _errors; }
protected:
bool onMessage(const SystemEventMessage& message) override { ++_messages; return true; }
bool onMessage(const StockDirectoryMessage& message) override { ++_messages; Symbol symbol(message.StockLocate, message.Stock); _market.AddSymbol(symbol); _market.AddOrderBook(symbol); return true; }
bool onMessage(const StockTradingActionMessage& message) override { ++_messages; return true; }
bool onMessage(const RegSHOMessage& message) override { ++_messages; return true; }
bool onMessage(const MarketParticipantPositionMessage& message) override { ++_messages; return true; }
bool onMessage(const MWCBDeclineMessage& message) override { ++_messages; return true; }
bool onMessage(const MWCBStatusMessage& message) override { ++_messages; return true; }
bool onMessage(const IPOQuotingMessage& message) override { ++_messages; return true; }
bool onMessage(const AddOrderMessage& message) override { ++_messages; _market.AddOrder(Order::Limit(message.OrderReferenceNumber, message.StockLocate, (message.BuySellIndicator == 'B') ? OrderSide::BUY : OrderSide::SELL, message.Price, message.Shares)); return true; }
bool onMessage(const AddOrderMPIDMessage& message) override { ++_messages; _market.AddOrder(Order::Limit(message.OrderReferenceNumber, message.StockLocate, (message.BuySellIndicator == 'B') ? OrderSide::BUY : OrderSide::SELL, message.Price, message.Shares)); return true; }
bool onMessage(const OrderExecutedMessage& message) override { ++_messages; _market.ExecuteOrder(message.OrderReferenceNumber, message.ExecutedShares); return true; }
bool onMessage(const OrderExecutedWithPriceMessage& message) override { ++_messages; _market.ExecuteOrder(message.OrderReferenceNumber, message.ExecutionPrice, message.ExecutedShares); return true; }
bool onMessage(const OrderCancelMessage& message) override { ++_messages; _market.ReduceOrder(message.OrderReferenceNumber, message.CanceledShares); return true; }
bool onMessage(const OrderDeleteMessage& message) override { ++_messages; _market.DeleteOrder(message.OrderReferenceNumber); return true; }
bool onMessage(const OrderReplaceMessage& message) override { ++_messages; _market.ReplaceOrder(message.OriginalOrderReferenceNumber, message.NewOrderReferenceNumber, message.Price, message.Shares); return true; }
bool onMessage(const TradeMessage& message) override { ++_messages; return true; }
bool onMessage(const CrossTradeMessage& message) override { ++_messages; return true; }
bool onMessage(const BrokenTradeMessage& message) override { ++_messages; return true; }
bool onMessage(const NOIIMessage& message) override { ++_messages; return true; }
bool onMessage(const RPIIMessage& message) override { ++_messages; return true; }
bool onMessage(const LULDAuctionCollarMessage& message) override { ++_messages; return true; }
bool onMessage(const UnknownMessage& message) override { ++_errors; return true; }
private:
MarketManager& _market;
size_t _messages;
size_t _errors;
};
int main(int argc, char** argv)
{
auto parser = optparse::OptionParser().version("1.0.0.0");
parser.add_option("-i", "--input").dest("input").help("Input file name");
optparse::Values options = parser.parse_args(argc, argv);
// Print help
if (options.get("help"))
{
parser.print_help();
return 0;
}
MyMarketHandler market_handler;
MarketManager market(market_handler);
MyITCHHandler itch_handler(market);
// Open the input file or stdin
std::unique_ptr<Reader> input(new StdInput());
if (options.is_set("input"))
{
File* file = new File(Path(options.get("input")));
file->Open(true, false);
input.reset(file);
}
// Perform input
size_t size;
uint8_t buffer[8192];
std::cout << "ITCH processing...";
uint64_t timestamp_start = Timestamp::nano();
while ((size = input->Read(buffer, sizeof(buffer))) > 0)
{
// Process the buffer
itch_handler.Process(buffer, size);
}
uint64_t timestamp_stop = Timestamp::nano();
std::cout << "Done!" << std::endl;
std::cout << std::endl;
std::cout << "Errors: " << itch_handler.errors() << std::endl;
std::cout << std::endl;
size_t total_messages = itch_handler.messages();
size_t total_updates = market_handler.updates();
std::cout << "Processing time: " << CppBenchmark::ReporterConsole::GenerateTimePeriod(timestamp_stop - timestamp_start) << std::endl;
std::cout << "Total ITCH messages: " << total_messages << std::endl;
std::cout << "ITCH message latency: " << CppBenchmark::ReporterConsole::GenerateTimePeriod((timestamp_stop - timestamp_start) / total_messages) << std::endl;
std::cout << "ITCH message throughput: " << total_messages * 1000000000 / (timestamp_stop - timestamp_start) << " msg/s" << std::endl;
std::cout << "Total market updates: " << total_updates << std::endl;
std::cout << "Market update latency: " << CppBenchmark::ReporterConsole::GenerateTimePeriod((timestamp_stop - timestamp_start) / total_updates) << std::endl;
std::cout << "Market update throughput: " << total_updates * 1000000000 / (timestamp_stop - timestamp_start) << " upd/s" << std::endl;
std::cout << std::endl;
std::cout << "Market statistics: " << std::endl;
std::cout << "Max symbols: " << market_handler.max_symbols() << std::endl;
std::cout << "Max order books: " << market_handler.max_order_books() << std::endl;
std::cout << "Max order book levels: " << market_handler.max_order_book_levels() << std::endl;
std::cout << "Max order book orders: " << market_handler.max_order_book_orders() << std::endl;
std::cout << "Max orders: " << market_handler.max_orders() << std::endl;
std::cout << std::endl;
std::cout << "Order statistics: " << std::endl;
std::cout << "Add order operations: " << market_handler.add_orders() << std::endl;
std::cout << "Update order operations: " << market_handler.update_orders() << std::endl;
std::cout << "Delete order operations: " << market_handler.delete_orders() << std::endl;
std::cout << "Execute order operations: " << market_handler.execute_orders() << std::endl;
return 0;
}