Implement 'Order Executed' message for PITCH-2.X.

Makefile.am

@@ -84,6 +84,7 @@ jb_pitch2_unit_tests = \
   jb/pitch2/ut_add_order_message \
   jb/pitch2/ut_auction_update_message \
   jb/pitch2/ut_expanded_add_order_message \
+  jb/pitch2/ut_order_executed_message \
   jb/pitch2/ut_short_add_order_message \
   jb/pitch2/ut_time_message \
   jb/pitch2/ut_unit_clear_message
@@ -482,6 +483,7 @@ jb_libjb_pitch2_a_SOURCES = \
   jb/pitch2/add_order_message.cpp \
   jb/pitch2/auction_update_message.cpp \
   jb/pitch2/expanded_add_order_message.cpp \
+  jb/pitch2/order_executed_message.cpp \
   jb/pitch2/short_add_order_message.cpp \
   jb/pitch2/time_message.cpp \
   jb/pitch2/unit_clear_message.cpp
@@ -491,6 +493,7 @@ jb_libjb_pitch2_a_HEADERS = \
   jb/pitch2/base_add_order_message.hpp \
   jb/pitch2/base_add_order_message_streaming.hpp \
   jb/pitch2/expanded_add_order_message.hpp \
+  jb/pitch2/order_executed_message.hpp \
   jb/pitch2/short_add_order_message.hpp \
   jb/pitch2/time_message.hpp \
   jb/pitch2/unit_clear_message.hpp
@@ -1255,6 +1258,11 @@ jb_pitch2_ut_expanded_add_order_message_CPPFLAGS = $(UT_CPPFLAGS) -DBOOST_TEST_M
 jb_pitch2_ut_expanded_add_order_message_LDFLAGS = $(jb_ut_pitch2_ldflags)
 jb_pitch2_ut_expanded_add_order_message_LDADD = $(jb_ut_pitch2_ldadd)
 
+jb_pitch2_ut_order_executed_message_SOURCES = jb/pitch2/ut_order_executed_message.cpp
+jb_pitch2_ut_order_executed_message_CPPFLAGS = $(UT_CPPFLAGS) -DBOOST_TEST_MODULE=jb_pitch2_ut_order_executed_message
+jb_pitch2_ut_order_executed_message_LDFLAGS = $(jb_ut_pitch2_ldflags)
+jb_pitch2_ut_order_executed_message_LDADD = $(jb_ut_pitch2_ldadd)
+
 jb_pitch2_ut_short_add_order_message_SOURCES = jb/pitch2/ut_short_add_order_message.cpp
 jb_pitch2_ut_short_add_order_message_CPPFLAGS = $(UT_CPPFLAGS) -DBOOST_TEST_MODULE=jb_pitch2_ut_short_add_order_message
 jb_pitch2_ut_short_add_order_message_LDFLAGS = $(jb_ut_pitch2_ldflags)

jb/pitch2/order_executed_message.cpp

@@ -0,0 +1,19 @@
+#include <jb/pitch2/order_executed_message.hpp>
+
+#include <boost/io/ios_state.hpp>
+#include <ostream>
+
+namespace jb {
+namespace pitch2 {
+
+std::ostream& operator<<(std::ostream& os, order_executed_message const& x) {
+  return os << "length=" << static_cast<int>(x.length.value())
+            << ",message_type=" << static_cast<int>(x.message_type.value())
+            << ",time_offset=" << x.time_offset.value()
+            << ",order_id=" << x.order_id.value()
+            << ",executed_quantity=" << x.executed_quantity.value()
+            << ",execution_id=" << x.execution_id.value();
+}
+
+} // namespace pitch2
+} // namespace jb

jb/pitch2/order_executed_message.hpp

@@ -0,0 +1,36 @@
+#ifndef jb_pitch2_order_executed_message_hpp
+#define jb_pitch2_order_executed_message_hpp
+
+#include <boost/endian/buffers.hpp>
+
+#include <iosfwd>
+
+namespace jb {
+namespace pitch2 {
+
+/**
+ * Represent the 'Order Executed' message in the PITCH-2.X protocol.
+ *
+ * A full description of the fields can be found in the BATS PITCH-2.X
+ * specification:
+ *   https://www.batstrading.com/resources/membership/BATS_MC_PITCH_Specification.pdf
+ */
+struct order_executed_message {
+  /// Define the messsage type
+  constexpr static int type = 0x23;
+
+  boost::endian::little_uint8_buf_t length;
+  boost::endian::little_uint8_buf_t message_type;
+  boost::endian::little_uint32_buf_t time_offset;
+  boost::endian::little_uint64_buf_t order_id;
+  boost::endian::little_uint32_buf_t executed_quantity;
+  boost::endian::little_uint64_buf_t execution_id;
+};
+
+/// Streaming operator for jb::pitch2::order_executed_message.
+std::ostream& operator<<(std::ostream& os, order_executed_message const& x);
+
+} // namespace pitch2
+} // namespace jb
+
+#endif // jb_pitch2_order_executed_message_hpp

jb/pitch2/ut_order_executed_message.cpp

@@ -0,0 +1,38 @@
+#include <jb/pitch2/order_executed_message.hpp>
+
+#include <boost/test/unit_test.hpp>
+#include <type_traits>
+
+/**
+ * @test Verify that jb::pitch2::order_executed_message works as expected.
+ */
+BOOST_AUTO_TEST_CASE(order_executed_message_basic) {
+  using namespace jb::pitch2;
+  BOOST_CHECK_EQUAL(true, std::is_pod<order_executed_message>::value);
+  BOOST_CHECK_EQUAL(sizeof(order_executed_message), std::size_t(26));
+
+  char const buf[] = u8"\x1A"           // Length (26)
+                     "\x23"             // Message Type (0x23)
+                     "\x18\xD2\x06\x00" // Time Offset (447,000 ns)
+                     "\x05\x40\x5B\x77\x8F\x56\x1D\x0B" // Order Id
+                     "\x64\x00\x00\x00" // Executed Quantity (100)
+                     "\x34\x2B\x46\xE0\xBB\x00\x00\x00" // Execution Id
+      ;
+  order_executed_message msg;
+  BOOST_REQUIRE_EQUAL(sizeof(buf) - 1, sizeof(msg));
+  std::memcpy(&msg, buf, sizeof(msg));
+  BOOST_CHECK_EQUAL(int(msg.length.value()), 26);
+  BOOST_CHECK_EQUAL(int(msg.message_type.value()), 0x23);
+  BOOST_CHECK_EQUAL(msg.time_offset.value(), 447000);
+  BOOST_CHECK_EQUAL(msg.order_id.value(), 0x0B1D568F775B4005ULL);
+  BOOST_CHECK_EQUAL(msg.executed_quantity.value(), 100);
+  BOOST_CHECK_EQUAL(msg.execution_id.value(), 0x000000BBE0462B34ULL);
+
+  std::ostringstream os;
+  os << msg;
+  BOOST_CHECK_EQUAL(
+      os.str(), std::string(
+                    "length=26,message_type=35,time_offset=447000"
+                    ",order_id=800891482924597253,executed_quantity=100"
+                    ",execution_id=806921579316"));
+}