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Implement the 'Add Order - Short' message in PITCH-2.X.
Refactored common code to both add_order_message and short_add_order_message to a common template.
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,40 @@ | ||
| #ifndef jb_pitch2_base_add_order_message_hpp | ||
| #define jb_pitch2_base_add_order_message_hpp | ||
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| #include <jb/fixed_string.hpp> | ||
| #include <boost/endian/buffers.hpp> | ||
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| #include <iosfwd> | ||
| #include <utility> | ||
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| namespace jb { | ||
| namespace pitch2 { | ||
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| /** | ||
| * Common type for the 'Add Order' messages in the PITCH-2.X protocol. | ||
| * | ||
| * The protocol defines 3 different 'Add Order' messages, which are | ||
| * largely identical except for the width of some of the fields. We | ||
| * use this template class to represent the common structure of these | ||
| * messages. | ||
| */ | ||
| template <typename quantity_type, typename price_type> | ||
| struct base_add_order_message { | ||
| /// The type for the symbol field. | ||
| using symbol_type = jb::fixed_string<6>; | ||
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| boost::endian::little_uint8_buf_t length; | ||
| boost::endian::little_uint8_buf_t message_type; | ||
| boost::endian::little_int32_buf_t time_offset; | ||
| boost::endian::little_uint64_buf_t order_id; | ||
| boost::endian::little_uint8_buf_t side_indicator; | ||
| quantity_type quantity; | ||
| symbol_type symbol; | ||
| price_type price; | ||
| boost::endian::little_uint8_buf_t add_flags; | ||
| }; | ||
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| } // namespace pitch2 | ||
| } // namespace jb | ||
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| #endif // jb_pitch2_base_add_order_message_hpp |
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,20 @@ | ||
| #include <jb/pitch2/short_add_order_message.hpp> | ||
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| #include <ostream> | ||
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| namespace jb { | ||
| namespace pitch2 { | ||
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| std::ostream& operator<<(std::ostream& os, short_add_order_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() | ||
| << ",side_indicator=" << static_cast<char>(x.side_indicator.value()) | ||
| << ",quantity=" << x.quantity.value() << ",symbol=" << x.symbol | ||
| << ",price=" << x.price.value() | ||
| << ",add_flags=" << static_cast<int>(x.add_flags.value()); | ||
| } | ||
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| } // namespace pitch2 | ||
| } // namespace jb |
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,32 @@ | ||
| #ifndef jb_pitch2_short_add_order_message_hpp | ||
| #define jb_pitch2_short_add_order_message_hpp | ||
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| #include <jb/pitch2/base_add_order_message.hpp> | ||
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| namespace jb { | ||
| namespace pitch2 { | ||
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| /** | ||
| * Represent the short version of 'Add Order' message in the PITCH-2.X protocol. | ||
| * | ||
| * Sometimes the specification refers to this message as 'Add Order - | ||
| * short'. | ||
| * | ||
| * 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 short_add_order_message | ||
| : public base_add_order_message<boost::endian::little_uint16_buf_t, | ||
| boost::endian::little_uint16_buf_t> { | ||
| /// Define the messsage type | ||
| constexpr static int type = 0x21; | ||
| }; | ||
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| /// Streaming operator for jb::pitch2::short_add_order_message. | ||
| std::ostream& operator<<(std::ostream& os, short_add_order_message const& x); | ||
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| } // namespace pitch2 | ||
| } // namespace jb | ||
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| #endif // jb_pitch2_short_add_order_message_hpp |
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,44 @@ | ||
| #include <jb/pitch2/short_add_order_message.hpp> | ||
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| #include <boost/test/unit_test.hpp> | ||
| #include <type_traits> | ||
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| /** | ||
| * @test Verify that jb::pitch2::short_add_order_message works as expected. | ||
| */ | ||
| BOOST_AUTO_TEST_CASE(short_add_order_message_basic) { | ||
| using namespace jb::pitch2; | ||
| BOOST_CHECK_EQUAL(true, std::is_pod<short_add_order_message>::value); | ||
| BOOST_CHECK_EQUAL(sizeof(short_add_order_message), std::size_t(26)); | ||
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| char const buf[] = u8"\x1A" // Length (26) | ||
| "\x22" // Message Type (34 '"') | ||
| "\x18\xD2\x06\x00" // Time Offset (447,000) | ||
| "\x05\x40\x5B\x77\x8F\x56\x1D\x0B" // Order Id | ||
| "\x42" // Side Indicator (66 'B' Buy) | ||
| "\x20\x4E" // Quantity (20,000) | ||
| "\x5A\x56\x5A\x5A\x54\x20" // Symbol (ZVZZT) | ||
| "\x0A\x28" // Price ($102.50) | ||
| "\x01" // Add Flags (Bit 0 on -> Displayed) | ||
| ; | ||
| short_add_order_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()), 34); | ||
| BOOST_CHECK_EQUAL(msg.time_offset.value(), 447000); | ||
| BOOST_CHECK_EQUAL(msg.order_id.value(), 0x0B1D568F775B4005ULL); | ||
| BOOST_CHECK_EQUAL(msg.side_indicator.value(), 0x42); | ||
| BOOST_CHECK_EQUAL(msg.quantity.value(), 20000); | ||
| BOOST_CHECK_EQUAL(msg.symbol, jb::fixed_string<6>("ZVZZT")); | ||
| BOOST_CHECK_EQUAL(msg.price.value(), 10250); | ||
| BOOST_CHECK_EQUAL(msg.add_flags.value(), 0x01); | ||
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| std::ostringstream os; | ||
| os << msg; | ||
| BOOST_CHECK_EQUAL( | ||
| os.str(), std::string( | ||
| "length=26,message_type=34,time_offset=447000," | ||
| "order_id=800891482924597253,side_indicator=B," | ||
| "quantity=20000,symbol=ZVZZT ,price=10250,add_flags=1")); | ||
| } |