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ccapi_market_data_service.h
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ccapi_market_data_service.h
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#ifndef INCLUDE_CCAPI_CPP_SERVICE_CCAPI_MARKET_DATA_SERVICE_H_
#define INCLUDE_CCAPI_CPP_SERVICE_CCAPI_MARKET_DATA_SERVICE_H_
#ifdef CCAPI_ENABLE_SERVICE_MARKET_DATA
#ifndef RAPIDJSON_ASSERT
#define RAPIDJSON_ASSERT(x) if (!(x)) { throw std::runtime_error("rapidjson internal assertion failure"); }
#endif
#include <string>
#include <map>
#include <vector>
#include <functional>
#include "websocketpp/common/connection_hdl.hpp"
#include "ccapi_cpp/ccapi_event.h"
#include "ccapi_cpp/ccapi_macro.h"
#include "ccapi_cpp/ccapi_market_data_message.h"
#include "rapidjson/document.h"
#include "rapidjson/writer.h"
#include "rapidjson/stringbuffer.h"
#include "websocketpp/config/asio_client.hpp"
#include "websocketpp/client.hpp"
#include "ccapi_cpp/ccapi_logger.h"
#include "ccapi_cpp/ccapi_util_private.h"
#include "ccapi_cpp/ccapi_decimal.h"
#include "ccapi_cpp/ccapi_session_options.h"
#include "ccapi_cpp/ccapi_session_configs.h"
#include "ccapi_cpp/ccapi_ws_connection.h"
#include "ccapi_cpp/service/ccapi_service_context.h"
#include "ccapi_cpp/service/ccapi_service.h"
#if defined(CCAPI_ENABLE_EXCHANGE_HUOBI) || defined(CCAPI_ENABLE_EXCHANGE_OKEX)
#include <sstream>
#include <iomanip>
#include "ccapi_cpp/websocketpp_decompress_workaround.h"
#endif
namespace wspp = websocketpp;
namespace rj = rapidjson;
namespace ccapi {
class MarketDataService : public Service, public std::enable_shared_from_this<MarketDataService> {
public:
MarketDataService(std::function<void(Event& event)> eventHandler,
SessionOptions sessionOptions, SessionConfigs sessionConfigs, std::shared_ptr<ServiceContext> serviceContextPtr)
: Service(eventHandler, sessionOptions, sessionConfigs, serviceContextPtr),
eventHandler(eventHandler),
sessionOptions(sessionOptions),
sessionConfigs(sessionConfigs),
serviceContextPtr(serviceContextPtr) {
CCAPI_LOGGER_FUNCTION_ENTER;
this->pingIntervalMilliSeconds = sessionOptions.pingIntervalMilliSeconds;
CCAPI_LOGGER_INFO("this->pingIntervalMilliSeconds = "+toString(this->pingIntervalMilliSeconds));
this->pongTimeoutMilliSeconds = sessionOptions.pongTimeoutMilliSeconds;
CCAPI_LOGGER_INFO("this->pongTimeoutMilliSeconds = "+toString(this->pongTimeoutMilliSeconds));
CCAPI_LOGGER_FUNCTION_EXIT;
}
virtual ~MarketDataService() {
}
void stop() override {
this->shouldContinue = false;
for (const auto & x : this->wsConnectionMap) {
auto wsConnection = x.second;
ErrorCode ec;
this->close(wsConnection, wsConnection.hdl, websocketpp::close::status::normal, "stop", ec);
if (ec) {
this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, ec, "shutdown");
}
this->shouldProcessRemainingMessageOnClosingByConnectionIdMap[wsConnection.id] = false;
}
}
void subscribe(const std::vector<Subscription>& subscriptionList) override {
CCAPI_LOGGER_FUNCTION_ENTER;
CCAPI_LOGGER_DEBUG("this->baseUrl = "+this->baseUrl);
if (this->shouldContinue.load()) {
for (const auto & x : this->groupSubscriptionListByInstrumentGroup(subscriptionList)) {
auto instrumentGroup = x.first;
auto subscriptionListGivenInstrumentGroup = x.second;
wspp::lib::asio::post(
this->serviceContextPtr->tlsClientPtr->get_io_service(),
[that = shared_from_this(), instrumentGroup, subscriptionListGivenInstrumentGroup](){
std::map<std::string, std::vector<std::string> > wsConnectionIdListByInstrumentGroupMap = invertMapMulti(that->instrumentGroupByWsConnectionIdMap);
if (wsConnectionIdListByInstrumentGroupMap.find(instrumentGroup) != wsConnectionIdListByInstrumentGroupMap.end()
&& that->subscriptionStatusByInstrumentGroupInstrumentMap.find(instrumentGroup) != that->subscriptionStatusByInstrumentGroupInstrumentMap.end()
) {
auto wsConnectionId = wsConnectionIdListByInstrumentGroupMap.at(instrumentGroup).at(0);
auto wsConnection = that->wsConnectionMap.at(wsConnectionId);
for (const auto & subscription : subscriptionListGivenInstrumentGroup) {
auto instrument = subscription.getInstrument();
if (that->subscriptionStatusByInstrumentGroupInstrumentMap[instrumentGroup].find(instrument) != that->subscriptionStatusByInstrumentGroupInstrumentMap[instrumentGroup].end()) {
that->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::SUBSCRIPTION_FAILURE, "already subscribed: " + toString(subscription));
return;
}
wsConnection.subscriptionList.push_back(subscription);
that->subscriptionStatusByInstrumentGroupInstrumentMap[instrumentGroup][instrument] = Subscription::Status::SUBSCRIBING;
that->prepareSubscription(wsConnection, subscription);
}
that->subscribeToExchange(wsConnection);
} else {
auto url = UtilString::split(instrumentGroup, "|").at(0);
WsConnection wsConnection(url, subscriptionListGivenInstrumentGroup);
that->connect(wsConnection);
that->wsConnectionMap.insert(std::pair<std::string, WsConnection>(wsConnection.id, wsConnection));
that->instrumentGroupByWsConnectionIdMap.insert(std::pair<std::string, std::string>(wsConnection.id, instrumentGroup));
wsConnection.instrumentGroup = instrumentGroup;
for (const auto & subscription : subscriptionListGivenInstrumentGroup) {
auto instrument = subscription.getInstrument();
that->subscriptionStatusByInstrumentGroupInstrumentMap[instrumentGroup][instrument] = Subscription::Status::SUBSCRIBING;
}
wsConnectionIdListByInstrumentGroupMap[instrumentGroup].push_back(wsConnection.id);
}
});
}
CCAPI_LOGGER_INFO("actual connection map is "+toString(this->wsConnectionMap));
}
CCAPI_LOGGER_FUNCTION_EXIT;
}
protected:
typedef ServiceContext::SslContextPtr SslContextPtr;
typedef ServiceContext::TlsClient TlsClient;
typedef wspp::lib::error_code ErrorCode;
typedef wspp::lib::shared_ptr<wspp::lib::asio::steady_timer> TimerPtr;
typedef wspp::lib::function<void(ErrorCode const &)> TimerHandler;
std::map<std::string, std::vector<Subscription> > groupSubscriptionListByInstrumentGroup(const std::vector<Subscription>& subscriptionList) {
std::map<std::string, std::vector<Subscription> > groups;
for (const auto & subscription : subscriptionList) {
std::string instrumentGroup = this->getInstrumentGroup(subscription);
groups[instrumentGroup].push_back(subscription);
}
return groups;
}
virtual std::string getInstrumentGroup(const Subscription& subscription) {
return this->baseUrl + "|" + subscription.getField() + "|" + subscription.getSerializedOptions();
}
SslContextPtr onTlsInit(wspp::connection_hdl hdl) {
return this->serviceContextPtr->sslContextPtr;
}
virtual void onOpen(wspp::connection_hdl hdl) {
CCAPI_LOGGER_FUNCTION_ENTER;
auto now = std::chrono::system_clock::now();
WsConnection& wsConnection = this->getWsConnectionFromConnectionPtr(
this->serviceContextPtr->tlsClientPtr->get_con_from_hdl(hdl));
wsConnection.status = WsConnection::Status::OPEN;
wsConnection.hdl = hdl;
CCAPI_LOGGER_INFO("connection " +toString(wsConnection) + " established");
this->connectNumRetryOnFailByConnectionUrlMap[wsConnection.url] = 0;
Event event;
event.setType(Event::Type::SESSION_STATUS);
Message message;
message.setTimeReceived(now);
message.setType(Message::Type::SESSION_CONNECTION_UP);
Element element;
element.insert(CCAPI_CONNECTION, toString(wsConnection));
message.setElementList({ element });
event.setMessageList({ message });
this->eventHandler(event);
if (this->sessionOptions.enableCheckPingPong) {
this->setPingPongTimer(wsConnection, hdl);
}
auto instrumentGroup = wsConnection.instrumentGroup;
for (const auto& subscription : wsConnection.subscriptionList) {
auto instrument = subscription.getInstrument();
this->subscriptionStatusByInstrumentGroupInstrumentMap[instrumentGroup][instrument] = Subscription::Status::SUBSCRIBING;
this->prepareSubscription(wsConnection, subscription);
}
this->subscribeToExchange(wsConnection);
}
std::string convertInstrumentToWebsocketSymbolId(std::string instrument) {
std::string symbolId = instrument;
if (!instrument.empty()) {
if (this->sessionConfigs.getExchangeInstrumentSymbolMap().find(this->name) != this->sessionConfigs.getExchangeInstrumentSymbolMap().end() &&
this->sessionConfigs.getExchangeInstrumentSymbolMap().at(this->name).find(instrument) != this->sessionConfigs.getExchangeInstrumentSymbolMap().at(this->name).end()) {
symbolId = this->sessionConfigs.getExchangeInstrumentSymbolMap().at(this->name).at(instrument);
}
}
return symbolId;
}
void prepareSubscription(const WsConnection& wsConnection, const Subscription& subscription) {
auto instrument = subscription.getInstrument();
auto symbolId = this->convertInstrumentToWebsocketSymbolId(instrument);
auto field = subscription.getField();
auto optionMap = subscription.getOptionMap();
std::string channelId = this->sessionConfigs.getExchangeFieldWebsocketChannelMap().at(this->name).at(field);
if (field == CCAPI_MARKET_DEPTH) {
if (this->name == CCAPI_EXCHANGE_NAME_KRAKEN || this->name == CCAPI_EXCHANGE_NAME_BITFINEX
|| this->name == CCAPI_EXCHANGE_NAME_BINANCE_US || this->name == CCAPI_EXCHANGE_NAME_BINANCE || this->name == CCAPI_EXCHANGE_NAME_BINANCE_FUTURES || this->name == CCAPI_EXCHANGE_NAME_HUOBI || this->name == CCAPI_EXCHANGE_NAME_OKEX) {
int marketDepthSubscribedToExchange = 1;
marketDepthSubscribedToExchange = this->calculateMarketDepthSubscribedToExchange(
std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX)),
this->sessionConfigs.getWebsocketAvailableMarketDepth().at(this->name));
channelId += std::string("?") + CCAPI_MARKET_DEPTH_SUBSCRIBED_TO_EXCHANGE + "="
+ std::to_string(marketDepthSubscribedToExchange);
this->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId] =
marketDepthSubscribedToExchange;
} else if (this->name == CCAPI_EXCHANGE_NAME_GEMINI) {
if (optionMap.at(CCAPI_MARKET_DEPTH_MAX) == "1") {
int marketDepthSubscribedToExchange = 1;
channelId += std::string("?") + CCAPI_MARKET_DEPTH_SUBSCRIBED_TO_EXCHANGE + "="
+ std::to_string(marketDepthSubscribedToExchange);
this->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId] =
marketDepthSubscribedToExchange;
}
} else if (this->name == CCAPI_EXCHANGE_NAME_BITMEX) {
if (std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX)) == 1) {
channelId = CCAPI_WEBSOCKET_BITMEX_CHANNEL_QUOTE;
} else if (std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX)) == 10) {
channelId =
CCAPI_WEBSOCKET_BITMEX_CHANNEL_ORDER_BOOK_10;
} else if (std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX)) == 25) {
channelId =
CCAPI_WEBSOCKET_BITMEX_CHANNEL_ORDER_BOOK_L2_25;
}
}
}
this->correlationIdListByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId].push_back(
subscription.getCorrelationId());
this->subscriptionListByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId].push_back(
subscription);
this->fieldByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId] = field;
this->optionMapByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId].insert(
optionMap.begin(), optionMap.end());
CCAPI_LOGGER_TRACE("this->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap = "+toString(this->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap));
CCAPI_LOGGER_TRACE("this->correlationIdListByConnectionIdChannelSymbolIdMap = "+toString(this->correlationIdListByConnectionIdChannelIdSymbolIdMap));
CCAPI_LOGGER_FUNCTION_EXIT;
}
virtual void onFail(wspp::connection_hdl hdl) {
CCAPI_LOGGER_FUNCTION_ENTER;
WsConnection& wsConnection = this->getWsConnectionFromConnectionPtr(
this->serviceContextPtr->tlsClientPtr->get_con_from_hdl(hdl));
wsConnection.status = WsConnection::Status::FAILED;
this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::SUBSCRIPTION_FAILURE, "connection " + toString(wsConnection) + " has failed before opening");
WsConnection thisWsConnection = wsConnection;
this->wsConnectionMap.erase(thisWsConnection.id);
this->instrumentGroupByWsConnectionIdMap.erase(thisWsConnection.id);
long seconds = std::round(
UtilAlgorithm::exponentialBackoff(
1, 1, 2, std::min(this->connectNumRetryOnFailByConnectionUrlMap[thisWsConnection.url], 6)));
CCAPI_LOGGER_INFO("about to set timer for "+toString(seconds)+" seconds");
if (this->connectRetryOnFailTimerByConnectionIdMap.find(thisWsConnection.id)
!= this->connectRetryOnFailTimerByConnectionIdMap.end()) {
this->connectRetryOnFailTimerByConnectionIdMap.at(thisWsConnection.id)->cancel();
}
this->connectRetryOnFailTimerByConnectionIdMap[thisWsConnection.id] =
this->serviceContextPtr->tlsClientPtr->set_timer(
seconds * 1000,
[thisWsConnection, that = shared_from_this()](ErrorCode const& ec) {
if (that->wsConnectionMap.find(thisWsConnection.id) == that->wsConnectionMap.end()) {
if (ec) {
CCAPI_LOGGER_ERROR("wsConnection = " + toString(thisWsConnection) + ", connect retry on fail timer error: " + ec.message());
that->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, ec, "timer");
} else {
CCAPI_LOGGER_INFO("about to retry");
auto thatWsConnection = thisWsConnection;
thatWsConnection.assignDummyId();
that->connect(thatWsConnection);
that->wsConnectionMap.insert(std::pair<std::string, WsConnection>(thatWsConnection.id, thatWsConnection));
that->instrumentGroupByWsConnectionIdMap.insert(std::pair<std::string, std::string>(thatWsConnection.id, thatWsConnection.instrumentGroup));
that->connectNumRetryOnFailByConnectionUrlMap[thatWsConnection.url] += 1;
}
}
});
CCAPI_LOGGER_FUNCTION_EXIT;
}
virtual void onClose(wspp::connection_hdl hdl) {
CCAPI_LOGGER_FUNCTION_ENTER;
auto now = std::chrono::system_clock::now();
TlsClient::connection_ptr con = this->serviceContextPtr->tlsClientPtr->get_con_from_hdl(hdl);
WsConnection& wsConnection = this->getWsConnectionFromConnectionPtr(con);
wsConnection.status = WsConnection::Status::CLOSED;
CCAPI_LOGGER_INFO("connection " +toString(wsConnection) + " is closed");
std::stringstream s;
s << "close code: " << con->get_remote_close_code() << " ("
<< websocketpp::close::status::get_string(con->get_remote_close_code()) << "), close reason: "
<< con->get_remote_close_reason();
std::string reason = s.str();
CCAPI_LOGGER_INFO("reason is " +reason);
Event event;
event.setType(Event::Type::SESSION_STATUS);
Message message;
message.setTimeReceived(now);
message.setType(Message::Type::SESSION_CONNECTION_DOWN);
Element element;
element.insert(CCAPI_CONNECTION, toString(wsConnection));
element.insert(CCAPI_REASON, reason);
message.setElementList({ element });
event.setMessageList({ message });
this->eventHandler(event);
CCAPI_LOGGER_INFO("connection " +toString(wsConnection) + " is closed");
CCAPI_LOGGER_INFO("clear states for wsConnection "+toString(wsConnection));
this->fieldByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->optionMapByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->subscriptionListByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->correlationIdListByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap.erase(wsConnection.id);
this->snapshotBidByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->snapshotAskByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->processedInitialSnapshotByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->l2UpdateIsReplaceByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->shouldProcessRemainingMessageOnClosingByConnectionIdMap.erase(wsConnection.id);
this->lastPongTpByConnectionIdMap.erase(wsConnection.id);
this->previousConflateTimeMapByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
this->conflateTimerMapByConnectionIdChannelIdSymbolIdMap.erase(wsConnection.id);
if (this->pingTimerByConnectionIdMap.find(wsConnection.id) != this->pingTimerByConnectionIdMap.end()) {
this->pingTimerByConnectionIdMap.at(wsConnection.id)->cancel();
this->pingTimerByConnectionIdMap.erase(wsConnection.id);
}
if (this->pongTimeOutTimerByConnectionIdMap.find(wsConnection.id)
!= this->pongTimeOutTimerByConnectionIdMap.end()) {
this->pongTimeOutTimerByConnectionIdMap.at(wsConnection.id)->cancel();
this->pongTimeOutTimerByConnectionIdMap.erase(wsConnection.id);
}
this->connectNumRetryOnFailByConnectionUrlMap.erase(wsConnection.url);
if (this->connectRetryOnFailTimerByConnectionIdMap.find(wsConnection.id)
!= this->connectRetryOnFailTimerByConnectionIdMap.end()) {
this->connectRetryOnFailTimerByConnectionIdMap.at(wsConnection.id)->cancel();
this->connectRetryOnFailTimerByConnectionIdMap.erase(wsConnection.id);
}
this->orderBookChecksumByConnectionIdSymbolIdMap.erase(wsConnection.id);
WsConnection thisWsConnection = wsConnection;
this->wsConnectionMap.erase(thisWsConnection.id);
this->instrumentGroupByWsConnectionIdMap.erase(thisWsConnection.id);
if (this->shouldContinue.load()) {
thisWsConnection.assignDummyId();
this->connect(thisWsConnection);
this->wsConnectionMap.insert(std::pair<std::string, WsConnection>(thisWsConnection.id, thisWsConnection));
this->instrumentGroupByWsConnectionIdMap.insert(std::pair<std::string, std::string>(thisWsConnection.id, thisWsConnection.instrumentGroup));
}
CCAPI_LOGGER_FUNCTION_EXIT;
}
void onMessage(wspp::connection_hdl hdl, TlsClient::message_ptr msg) {
auto now = std::chrono::system_clock::now();
WsConnection& wsConnection = this->getWsConnectionFromConnectionPtr(
this->serviceContextPtr->tlsClientPtr->get_con_from_hdl(hdl));
CCAPI_LOGGER_DEBUG("received a message from connection "+toString(wsConnection));
if (wsConnection.status == WsConnection::Status::CLOSING
&& !this->shouldProcessRemainingMessageOnClosingByConnectionIdMap[wsConnection.id]) {
CCAPI_LOGGER_WARN("should not process remaining message on closing");
return;
}
auto opcode = msg->get_opcode();
CCAPI_LOGGER_DEBUG("opcode = "+toString(opcode));
if (msg->get_opcode() == websocketpp::frame::opcode::text) {
std::string textMessage = msg->get_payload();
CCAPI_LOGGER_DEBUG("received a text message: "+textMessage);
try {
this->onTextMessage(hdl, textMessage, now);
} catch (const std::exception& e) {
CCAPI_LOGGER_ERROR("textMessage = " + textMessage);
this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, e);
}
} else if (opcode == websocketpp::frame::opcode::binary) {
#if defined(CCAPI_ENABLE_EXCHANGE_HUOBI) || defined(CCAPI_ENABLE_EXCHANGE_OKEX)
if (this->name == CCAPI_EXCHANGE_NAME_HUOBI || this->name == CCAPI_EXCHANGE_NAME_OKEX) {
std::string decompressed;
std::string payload = msg->get_payload();
try {
ErrorCode ec = this->inflater.decompress(reinterpret_cast<const uint8_t*>(&payload[0]), payload.size(), decompressed);
if (ec) {
CCAPI_LOGGER_FATAL(ec.message());
}
CCAPI_LOGGER_DEBUG("decompressed = " + decompressed);
this->onTextMessage(hdl, decompressed, now);
} catch (const std::exception& e) {
std::stringstream ss;
ss << std::hex << std::setfill('0');
for (int i = 0; i < payload.size(); ++i) {
ss << std::setw(2) << static_cast<unsigned>(reinterpret_cast<const uint8_t*>(&payload[0])[i]);
}
CCAPI_LOGGER_ERROR("binaryMessage = " + ss.str());
this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, e);
}
ErrorCode ec = this->inflater.inflate_reset();
if (ec) {
this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, ec, "decompress");
}
}
#endif
}
}
void onPong(wspp::connection_hdl hdl, std::string payload) {
CCAPI_LOGGER_FUNCTION_ENTER;
auto now = std::chrono::system_clock::now();
WsConnection& wsConnection = this->getWsConnectionFromConnectionPtr(
this->serviceContextPtr->tlsClientPtr->get_con_from_hdl(hdl));
this->lastPongTpByConnectionIdMap[wsConnection.id] = now;
CCAPI_LOGGER_FUNCTION_EXIT;
}
bool onPing(wspp::connection_hdl hdl, std::string payload) {
WsConnection& wsConnection = this->getWsConnectionFromConnectionPtr(
this->serviceContextPtr->tlsClientPtr->get_con_from_hdl(hdl));
CCAPI_LOGGER_TRACE("received a ping from " + toString(wsConnection));
return true;
}
virtual void onTextMessage(wspp::connection_hdl hdl, const std::string& textMessage, const TimePoint& timeReceived) {
CCAPI_LOGGER_FUNCTION_ENTER;
WsConnection& wsConnection = this->getWsConnectionFromConnectionPtr(
this->serviceContextPtr->tlsClientPtr->get_con_from_hdl(hdl));
auto wsMessageList = this->processTextMessage(hdl, textMessage, timeReceived);
CCAPI_LOGGER_TRACE("websocketMessageList = "+toString(wsMessageList));
if (!wsMessageList.empty()) {
for (auto const & wsMessage : wsMessageList) {
Event event;
bool shouldEmitEvent = true;
if (wsMessage.type == MarketDataMessage::Type::MARKET_DATA_EVENTS) {
if (wsMessage.recapType == MarketDataMessage::RecapType::NONE
&& this->sessionOptions.warnLateEventMaxMilliSeconds > 0
&& std::chrono::duration_cast<std::chrono::milliseconds>(timeReceived - wsMessage.tp).count()
> this->sessionOptions.warnLateEventMaxMilliSeconds) {
CCAPI_LOGGER_WARN("late websocket message: timeReceived = "+toString(timeReceived)+", wsMessage.tp = "+toString(wsMessage.tp)+", wsConnection = "+toString(wsConnection));
}
event.setType(Event::Type::SUBSCRIPTION_DATA);
std::string exchangeSubscriptionId = wsMessage.exchangeSubscriptionId;
std::string channelId =
this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap.at(wsConnection.id).at(exchangeSubscriptionId).at(CCAPI_CHANNEL_ID);
std::string symbolId =
this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap.at(wsConnection.id).at(exchangeSubscriptionId).at(CCAPI_SYMBOL_ID);
auto field = this->fieldByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId);
CCAPI_LOGGER_TRACE("this->optionMapByConnectionIdChannelIdSymbolIdMap = "+toString(this->optionMapByConnectionIdChannelIdSymbolIdMap));
CCAPI_LOGGER_TRACE("wsConnection = "+toString(wsConnection));
CCAPI_LOGGER_TRACE("channelId = "+toString(channelId));
CCAPI_LOGGER_TRACE("symbolId = "+toString(symbolId));
auto optionMap = this->optionMapByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId);
CCAPI_LOGGER_TRACE("optionMap = "+toString(optionMap));
auto correlationIdList =
this->correlationIdListByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId);
CCAPI_LOGGER_TRACE("correlationIdList = "+toString(correlationIdList));
if (wsMessage.data.find(MarketDataMessage::DataType::BID) != wsMessage.data.end()
|| wsMessage.data.find(MarketDataMessage::DataType::ASK) != wsMessage.data.end()) {
std::map<Decimal, std::string>& snapshotBid =
this->snapshotBidByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId];
std::map<Decimal, std::string>& snapshotAsk =
this->snapshotAskByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId];
if (this->processedInitialSnapshotByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId]
&& wsMessage.recapType == MarketDataMessage::RecapType::NONE) {
this->processUpdateSnapshot(wsConnection, channelId, symbolId, event, shouldEmitEvent, wsMessage.tp,
timeReceived, wsMessage.data, field, optionMap, correlationIdList,
snapshotBid, snapshotAsk);
if (this->sessionOptions.enableCheckOrderBookChecksum) {
bool shouldProcessRemainingMessage = true;
std::string receivedOrderBookChecksumStr =
this->orderBookChecksumByConnectionIdSymbolIdMap[wsConnection.id][symbolId];
if (!this->checkOrderBookChecksum(snapshotBid, snapshotAsk, receivedOrderBookChecksumStr,
shouldProcessRemainingMessage)) {
CCAPI_LOGGER_ERROR("snapshotBid = "+toString(snapshotBid));
CCAPI_LOGGER_ERROR("snapshotAsk = "+toString(snapshotAsk));
this->onIncorrectStatesFound(wsConnection, hdl, textMessage, timeReceived, exchangeSubscriptionId,
"order book incorrect checksum found");
}
if (!shouldProcessRemainingMessage) {
return;
}
}
if (this->sessionOptions.enableCheckOrderBookCrossed) {
bool shouldProcessRemainingMessage = true;
if (!this->checkOrderBookCrossed(snapshotBid, snapshotAsk, shouldProcessRemainingMessage)) {
CCAPI_LOGGER_ERROR("lastNToString(snapshotBid, 1) = "+lastNToString(snapshotBid, 1));
CCAPI_LOGGER_ERROR("firstNToString(snapshotAsk, 1) = "+firstNToString(snapshotAsk, 1));
this->onIncorrectStatesFound(wsConnection, hdl, textMessage, timeReceived, exchangeSubscriptionId,
"order book crossed market found");
}
if (!shouldProcessRemainingMessage) {
return;
}
}
} else if (wsMessage.recapType == MarketDataMessage::RecapType::SOLICITED) {
this->processInitialSnapshot(wsConnection, channelId, symbolId, event, shouldEmitEvent, wsMessage.tp,
timeReceived, wsMessage.data, field, optionMap, correlationIdList,
snapshotBid, snapshotAsk);
}
CCAPI_LOGGER_TRACE("snapshotBid.size() = "+toString(snapshotBid.size()));
CCAPI_LOGGER_TRACE("snapshotAsk.size() = "+toString(snapshotAsk.size()));
}
if (wsMessage.data.find(MarketDataMessage::DataType::TRADE) != wsMessage.data.end()) {
this->processTrade(wsConnection, channelId, symbolId, event, shouldEmitEvent, wsMessage.tp,
timeReceived, wsMessage.data, field, optionMap, correlationIdList);
}
} else {
CCAPI_LOGGER_WARN("websocket event type is unknown!");
}
CCAPI_LOGGER_TRACE("event type is "+event.typeToString(event.getType()));
if (event.getType() == Event::Type::UNKNOWN) {
CCAPI_LOGGER_WARN("event type is unknown!");
} else {
if (event.getMessageList().empty()) {
CCAPI_LOGGER_DEBUG("event has no messages!");
shouldEmitEvent = false;
}
if (shouldEmitEvent) {
this->eventHandler(event);
}
}
}
}
CCAPI_LOGGER_FUNCTION_EXIT;
}
void updateOrderBook(std::map<Decimal, std::string>& snapshot, const Decimal& price, const std::string& size) {
Decimal sizeDecimal(size);
if (snapshot.find(price) == snapshot.end()) {
if (sizeDecimal > Decimal("0")) {
snapshot.insert(std::pair<Decimal, std::string>(price, size));
}
} else {
if (sizeDecimal > Decimal("0")) {
snapshot[price] = size;
} else {
snapshot.erase(price);
}
}
}
void updateElementListWithInitialMarketDepth(const std::string& field,
const std::map<std::string, std::string>& optionMap,
const std::map<Decimal, std::string>& snapshotBid,
const std::map<Decimal, std::string>& snapshotAsk,
std::vector<Element>& elementList) {
CCAPI_LOGGER_FUNCTION_ENTER;
if (field == CCAPI_MARKET_DEPTH) {
int maxMarketDepth = std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX));
int bidIndex = 0;
for (auto iter = snapshotBid.rbegin(); iter != snapshotBid.rend(); iter++) {
if (bidIndex < maxMarketDepth) {
Element element;
element.insert(CCAPI_BEST_BID_N_PRICE, iter->first.toString());
element.insert(CCAPI_BEST_BID_N_SIZE, iter->second);
elementList.push_back(std::move(element));
}
++bidIndex;
}
if (snapshotBid.empty()) {
Element element;
element.insert(CCAPI_BEST_BID_N_PRICE,
CCAPI_BEST_BID_N_PRICE_EMPTY);
element.insert(CCAPI_BEST_BID_N_SIZE,
CCAPI_BEST_BID_N_SIZE_EMPTY);
elementList.push_back(std::move(element));
}
int askIndex = 0;
for (auto iter = snapshotAsk.begin(); iter != snapshotAsk.end(); iter++) {
if (askIndex < maxMarketDepth) {
Element element;
element.insert(CCAPI_BEST_ASK_N_PRICE, iter->first.toString());
element.insert(CCAPI_BEST_ASK_N_SIZE, iter->second);
elementList.push_back(std::move(element));
}
++askIndex;
}
if (snapshotAsk.empty()) {
Element element;
element.insert(CCAPI_BEST_ASK_N_PRICE,
CCAPI_BEST_ASK_N_PRICE_EMPTY);
element.insert(CCAPI_BEST_ASK_N_SIZE,
CCAPI_BEST_ASK_N_SIZE_EMPTY);
elementList.push_back(std::move(element));
}
}
CCAPI_LOGGER_FUNCTION_EXIT;
}
void updateElementListWithUpdateMarketDepth(const std::string& field,
const std::map<std::string, std::string>& optionMap,
const std::map<Decimal, std::string>& snapshotBid,
const std::map<Decimal, std::string>& snapshotBidPrevious,
const std::map<Decimal, std::string>& snapshotAsk,
const std::map<Decimal, std::string>& snapshotAskPrevious,
std::vector<Element>& elementList,
bool alwaysUpdate) {
CCAPI_LOGGER_FUNCTION_ENTER;
if (field == CCAPI_MARKET_DEPTH) {
int maxMarketDepth = std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX));
CCAPI_LOGGER_TRACE("lastNSame = "+toString(lastNSame(snapshotBid, snapshotBidPrevious, maxMarketDepth)));
CCAPI_LOGGER_TRACE("firstNSame = "+toString(firstNSame(snapshotAsk, snapshotAskPrevious, maxMarketDepth)));
if (alwaysUpdate || !lastNSame(snapshotBid, snapshotBidPrevious, maxMarketDepth)
|| !firstNSame(snapshotAsk, snapshotAskPrevious, maxMarketDepth)) {
int bidIndex = 0;
for (auto iter = snapshotBid.rbegin(); iter != snapshotBid.rend(); ++iter) {
if (bidIndex >= maxMarketDepth) {
break;
}
Element element;
element.insert(CCAPI_BEST_BID_N_PRICE, iter->first.toString());
element.insert(CCAPI_BEST_BID_N_SIZE, iter->second);
elementList.push_back(std::move(element));
++bidIndex;
}
if (snapshotBid.empty()) {
Element element;
element.insert(CCAPI_BEST_BID_N_PRICE,
CCAPI_BEST_BID_N_PRICE_EMPTY);
element.insert(CCAPI_BEST_BID_N_SIZE,
CCAPI_BEST_BID_N_SIZE_EMPTY);
elementList.push_back(std::move(element));
}
int askIndex = 0;
for (auto iter = snapshotAsk.begin(); iter != snapshotAsk.end(); ++iter) {
if (askIndex >= maxMarketDepth) {
break;
}
Element element;
element.insert(CCAPI_BEST_ASK_N_PRICE, iter->first.toString());
element.insert(CCAPI_BEST_ASK_N_SIZE, iter->second);
elementList.push_back(std::move(element));
++askIndex;
}
if (snapshotAsk.empty()) {
Element element;
element.insert(CCAPI_BEST_ASK_N_PRICE,
CCAPI_BEST_ASK_N_PRICE_EMPTY);
element.insert(CCAPI_BEST_ASK_N_SIZE,
CCAPI_BEST_ASK_N_SIZE_EMPTY);
elementList.push_back(std::move(element));
}
}
}
CCAPI_LOGGER_FUNCTION_EXIT;
}
void updateElementListWithTrade(const std::string& field,
const std::map<std::string, std::string>& optionMap,
const MarketDataMessage::TypeForData& input,
std::vector<Element>& elementList) {
if (field == CCAPI_TRADE) {
for (const auto & x : input) {
auto type = x.first;
auto detail = x.second;
if (type == MarketDataMessage::DataType::TRADE) {
for (const auto & y : detail) {
auto price = y.at(MarketDataMessage::DataFieldType::PRICE);
auto size = y.at(MarketDataMessage::DataFieldType::SIZE);
Element element;
element.insert(CCAPI_LAST_PRICE, y.at(MarketDataMessage::DataFieldType::PRICE));
element.insert(CCAPI_LAST_SIZE, y.at(MarketDataMessage::DataFieldType::SIZE));
element.insert(CCAPI_TRADE_ID, y.at(MarketDataMessage::DataFieldType::TRADE_ID));
element.insert(CCAPI_IS_BUYER_MAKER, y.at(MarketDataMessage::DataFieldType::IS_BUYER_MAKER));
elementList.push_back(std::move(element));
}
} else {
CCAPI_LOGGER_WARN(
"extra type " + MarketDataMessage::dataTypeToString(type));
}
}
}
}
void connect(WsConnection& wsConnection) {
wsConnection.status = WsConnection::Status::CONNECTING;
CCAPI_LOGGER_DEBUG("connection initialization on dummy id "+wsConnection.id);
std::string url = wsConnection.url;
this->serviceContextPtr->tlsClientPtr->set_tls_init_handler(std::bind(&MarketDataService::onTlsInit, shared_from_this(), std::placeholders::_1));
CCAPI_LOGGER_DEBUG("endpoint tls init handler set");
ErrorCode ec;
TlsClient::connection_ptr con = this->serviceContextPtr->tlsClientPtr->get_connection(url, ec);
wsConnection.id = this->connectionAddressToString(con);
CCAPI_LOGGER_DEBUG("connection initialization on actual id "+wsConnection.id);
if (ec) {
CCAPI_LOGGER_FATAL("connection initialization error: " + ec.message());
}
con->set_open_handler(std::bind(&MarketDataService::onOpen, shared_from_this(), std::placeholders::_1));
con->set_fail_handler(std::bind(&MarketDataService::onFail, shared_from_this(), std::placeholders::_1));
con->set_close_handler(std::bind(&MarketDataService::onClose, shared_from_this(), std::placeholders::_1));
con->set_message_handler(
std::bind(&MarketDataService::onMessage, shared_from_this(), std::placeholders::_1, std::placeholders::_2));
if (this->sessionOptions.enableCheckPingPong) {
con->set_pong_handler(std::bind(&MarketDataService::onPong, shared_from_this(), std::placeholders::_1, std::placeholders::_2));
}
con->set_ping_handler(std::bind(&MarketDataService::onPing, shared_from_this(), std::placeholders::_1, std::placeholders::_2));
this->serviceContextPtr->tlsClientPtr->connect(con);
}
void close(WsConnection& wsConnection, wspp::connection_hdl hdl, wspp::close::status::value const code,
std::string const & reason, ErrorCode & ec) {
if (wsConnection.status == WsConnection::Status::CLOSING) {
CCAPI_LOGGER_WARN("websocket connection is already in the state of closing");
return;
}
wsConnection.status = WsConnection::Status::CLOSING;
this->serviceContextPtr->tlsClientPtr->close(hdl, code, reason, ec);
}
void send(wspp::connection_hdl hdl, std::string const & payload, wspp::frame::opcode::value op, ErrorCode & ec) {
this->serviceContextPtr->tlsClientPtr->send(hdl, payload, op, ec);
}
void ping(wspp::connection_hdl hdl, std::string const & payload, ErrorCode & ec) {
this->serviceContextPtr->tlsClientPtr->ping(hdl, payload, ec);
}
void copySnapshot(bool isBid, const std::map<Decimal, std::string>& original, std::map<Decimal, std::string>& copy,
const int maxMarketDepth) {
size_t nToCopy = std::min(original.size(), static_cast<size_t>(maxMarketDepth));
if (isBid) {
std::copy_n(original.rbegin(), nToCopy, std::inserter(copy, copy.end()));
} else {
std::copy_n(original.begin(), nToCopy, std::inserter(copy, copy.end()));
}
}
void processInitialSnapshot(const WsConnection& wsConnection, const std::string& channelId,
const std::string& symbolId, Event& event, bool& shouldEmitEvent, const TimePoint& tp,
const TimePoint& timeReceived, const MarketDataMessage::TypeForData & input,
const std::string& field,
const std::map<std::string, std::string>& optionMap,
const std::vector<std::string>& correlationIdList,
std::map<Decimal, std::string>& snapshotBid,
std::map<Decimal, std::string>& snapshotAsk) {
snapshotBid.clear();
snapshotAsk.clear();
int maxMarketDepth = std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX));
for (const auto & x : input) {
auto type = x.first;
auto detail = x.second;
if (type == MarketDataMessage::DataType::BID) {
for (const auto & y : detail) {
auto price = y.at(MarketDataMessage::DataFieldType::PRICE);
auto size = y.at(MarketDataMessage::DataFieldType::SIZE);
snapshotBid.insert(std::pair<Decimal, std::string>(Decimal(price), size));
}
CCAPI_LOGGER_TRACE("lastNToString(snapshotBid, "+toString(maxMarketDepth)+") = "+lastNToString(snapshotBid, maxMarketDepth));
} else if (type == MarketDataMessage::DataType::ASK) {
for (const auto & y : detail) {
auto price = y.at(MarketDataMessage::DataFieldType::PRICE);
auto size = y.at(MarketDataMessage::DataFieldType::SIZE);
snapshotAsk.insert(std::pair<Decimal, std::string>(Decimal(price), size));
}
CCAPI_LOGGER_TRACE("firstNToString(snapshotAsk, "+toString(maxMarketDepth)+") = "+firstNToString(snapshotAsk, maxMarketDepth));
} else {
CCAPI_LOGGER_WARN("extra type "+MarketDataMessage::dataTypeToString(type));
}
}
std::vector<Element> elementList;
this->updateElementListWithInitialMarketDepth(field, optionMap, snapshotBid, snapshotAsk, elementList);
if (!elementList.empty()) {
Message message;
message.setTimeReceived(timeReceived);
message.setType(Message::Type::MARKET_DATA_EVENTS);
message.setRecapType(Message::RecapType::SOLICITED);
message.setTime(tp);
message.setElementList(elementList);
message.setCorrelationIdList(correlationIdList);
std::vector<Message> newMessageList = { message };
event.addMessages(newMessageList);
CCAPI_LOGGER_TRACE("event.getMessageList() = "+toString(event.getMessageList()));
}
this->processedInitialSnapshotByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId] = true;
bool shouldConflate = optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS) != CCAPI_CONFLATE_INTERVAL_MILLISECONDS_DEFAULT;
if (shouldConflate) {
this->copySnapshot(
true, snapshotBid,
this->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId],
maxMarketDepth);
this->copySnapshot(
false, snapshotAsk,
this->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId],
maxMarketDepth);
CCAPI_LOGGER_TRACE("this->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId) = "+toString(this->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId)));
CCAPI_LOGGER_TRACE("this->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId) = "+toString(this->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId)));
TimePoint previousConflateTp = UtilTime::makeTimePointFromMilliseconds(
std::chrono::duration_cast<std::chrono::milliseconds>(tp.time_since_epoch()).count()
/ std::stoi(optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS)) * std::stoi(optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS)));
this->previousConflateTimeMapByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId] =
previousConflateTp;
if (optionMap.at(
CCAPI_CONFLATE_GRACE_PERIOD_MILLISECONDS) != CCAPI_CONFLATE_GRACE_PERIOD_MILLISECONDS_DEFAULT) {
auto interval = std::chrono::milliseconds(std::stoi(optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS)));
auto gracePeriod = std::chrono::milliseconds(std::stoi(optionMap.at(
CCAPI_CONFLATE_GRACE_PERIOD_MILLISECONDS)));
this->setConflateTimer(previousConflateTp, interval, gracePeriod, wsConnection, channelId, symbolId, field,
optionMap, correlationIdList);
}
}
}
void processUpdateSnapshot(const WsConnection& wsConnection, const std::string& channelId,
const std::string& symbolId, Event& event, bool& shouldEmitEvent, const TimePoint& tp,
const TimePoint& timeReceived, const MarketDataMessage::TypeForData& input,
const std::string& field,
const std::map<std::string, std::string>& optionMap,
const std::vector<std::string>& correlationIdList,
std::map<Decimal, std::string>& snapshotBid,
std::map<Decimal, std::string>& snapshotAsk) {
CCAPI_LOGGER_TRACE("input = " + MarketDataMessage::dataToString(input));
if (this->processedInitialSnapshotByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId]) {
std::vector<Message> messageList;
CCAPI_LOGGER_TRACE("optionMap = " + toString(optionMap));
int maxMarketDepth = std::stoi(optionMap.at(CCAPI_MARKET_DEPTH_MAX));
std::map<Decimal, std::string> snapshotBidPrevious;
this->copySnapshot(true, snapshotBid, snapshotBidPrevious, maxMarketDepth);
std::map<Decimal, std::string> snapshotAskPrevious;
this->copySnapshot(false, snapshotAsk, snapshotAskPrevious, maxMarketDepth);
CCAPI_LOGGER_TRACE("before updating orderbook");
CCAPI_LOGGER_TRACE(
"lastNToString(snapshotBid, "+toString(maxMarketDepth)+") = " + lastNToString(snapshotBid, maxMarketDepth));
CCAPI_LOGGER_TRACE(
"firstNToString(snapshotAsk, "+toString(maxMarketDepth)+") = " + firstNToString(snapshotAsk, maxMarketDepth));
if (this->l2UpdateIsReplaceByConnectionIdChannelIdSymbolIdMap[wsConnection.id][channelId][symbolId]) {
if (input.find(MarketDataMessage::DataType::BID) != input.end()) {
snapshotBid.clear();
}
if (input.find(MarketDataMessage::DataType::ASK) != input.end()) {
snapshotAsk.clear();
}
}
for (const auto & x : input) {
auto type = x.first;
auto detail = x.second;
if (type == MarketDataMessage::DataType::BID) {
for (const auto & y : detail) {
auto price = y.at(MarketDataMessage::DataFieldType::PRICE);
auto size = y.at(MarketDataMessage::DataFieldType::SIZE);
this->updateOrderBook(snapshotBid, Decimal(price), size);
}
} else if (type == MarketDataMessage::DataType::ASK) {
for (const auto & y : detail) {
auto price = y.at(MarketDataMessage::DataFieldType::PRICE);
auto size = y.at(MarketDataMessage::DataFieldType::SIZE);
this->updateOrderBook(snapshotAsk, Decimal(price), size);
}
} else {
CCAPI_LOGGER_WARN(
"extra type " + MarketDataMessage::dataTypeToString(type));
}
}
CCAPI_LOGGER_TRACE(
"this->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap = "
+ toString(
this
->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap));
if (this->shouldAlignSnapshot) {
int marketDepthSubscribedToExchange = this->marketDepthSubscribedToExchangeByConnectionIdChannelIdSymbolIdMap
.at(wsConnection.id).at(channelId).at(symbolId);
this->alignSnapshot(snapshotBid, snapshotAsk, marketDepthSubscribedToExchange);
}
CCAPI_LOGGER_TRACE("afer updating orderbook");
CCAPI_LOGGER_TRACE(
"lastNToString(snapshotBid, "+toString(maxMarketDepth)+") = " + lastNToString(snapshotBid, maxMarketDepth));
CCAPI_LOGGER_TRACE(
"firstNToString(snapshotAsk, "+toString(maxMarketDepth)+") = " + firstNToString(snapshotAsk, maxMarketDepth));
CCAPI_LOGGER_TRACE(
"lastNToString(snapshotBidPrevious, "+toString(maxMarketDepth)+") = "
+ lastNToString(snapshotBidPrevious, maxMarketDepth));
CCAPI_LOGGER_TRACE(
"firstNToString(snapshotAskPrevious, "+toString(maxMarketDepth)+") = "
+ firstNToString(snapshotAskPrevious, maxMarketDepth));
CCAPI_LOGGER_TRACE("field = " + toString(field));
CCAPI_LOGGER_TRACE("maxMarketDepth = " + toString(maxMarketDepth));
CCAPI_LOGGER_TRACE("optionMap = " + toString(optionMap));
bool shouldConflate = optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS) != CCAPI_CONFLATE_INTERVAL_MILLISECONDS_DEFAULT;
CCAPI_LOGGER_TRACE("shouldConflate = " + toString(shouldConflate));
TimePoint conflateTp =
shouldConflate ?
UtilTime::makeTimePointFromMilliseconds(
std::chrono::duration_cast<std::chrono::milliseconds>(tp.time_since_epoch()).count()
/ std::stoi(optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS)) * std::stoi(optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS))) :
tp;
CCAPI_LOGGER_TRACE("conflateTp = " + toString(conflateTp));
bool intervalChanged = shouldConflate
&& conflateTp
> this->previousConflateTimeMapByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(
symbolId);
CCAPI_LOGGER_TRACE("intervalChanged = " + toString(intervalChanged));
if (!shouldConflate || intervalChanged) {
std::vector<Element> elementList;
if (shouldConflate && intervalChanged) {
const std::map<Decimal, std::string>& snapshotBidPreviousPrevious = this
->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(
symbolId);
const std::map<Decimal, std::string>& snapshotAskPreviousPrevious = this
->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(
symbolId);
this->updateElementListWithUpdateMarketDepth(field, optionMap, snapshotBidPrevious,
snapshotBidPreviousPrevious, snapshotAskPrevious,
snapshotAskPreviousPrevious, elementList, false);
this->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(
symbolId) = snapshotBidPrevious;
this->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(
symbolId) = snapshotAskPrevious;
CCAPI_LOGGER_TRACE("this->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId) = "+toString(this->previousConflateSnapshotBidByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId)));
CCAPI_LOGGER_TRACE("this->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId) = "+toString(this->previousConflateSnapshotAskByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId)));
} else {
this->updateElementListWithUpdateMarketDepth(field, optionMap, snapshotBid, snapshotBidPrevious,
snapshotAsk, snapshotAskPrevious, elementList, false);
}
CCAPI_LOGGER_TRACE("elementList = " + toString(elementList));
if (!elementList.empty()) {
Message message;
message.setTimeReceived(timeReceived);
message.setType(Message::Type::MARKET_DATA_EVENTS);
message.setRecapType(Message::RecapType::NONE);
TimePoint time = shouldConflate ? this->previousConflateTimeMapByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId) + std::chrono::milliseconds(std::stoll(optionMap.at(
CCAPI_CONFLATE_INTERVAL_MILLISECONDS))) : conflateTp;
message.setTime(time);
message.setElementList(elementList);
message.setCorrelationIdList(correlationIdList);
messageList.push_back(std::move(message));
}
if (!messageList.empty()) {
event.addMessages(messageList);
}
if (shouldConflate) {
this->previousConflateTimeMapByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(
symbolId) = conflateTp;
}
}
}
}
void processTrade(const WsConnection& wsConnection, const std::string& channelId,
const std::string& symbolId, Event& event, bool& shouldEmitEvent, const TimePoint& tp,
const TimePoint& timeReceived, const MarketDataMessage::TypeForData& input,
const std::string& field,
const std::map<std::string, std::string>& optionMap,
const std::vector<std::string>& correlationIdList) {
CCAPI_LOGGER_TRACE("input = " + MarketDataMessage::dataToString(input));
std::vector<Message> messageList;
std::vector<Element> elementList;
this->updateElementListWithTrade(field, optionMap, input, elementList);
CCAPI_LOGGER_TRACE("elementList = " + toString(elementList));
if (!elementList.empty()) {
Message message;
message.setTimeReceived(timeReceived);
message.setType(Message::Type::MARKET_DATA_EVENTS);
message.setRecapType(Message::RecapType::NONE);
message.setTime(tp);
message.setElementList(elementList);
message.setCorrelationIdList(correlationIdList);
messageList.push_back(std::move(message));
}
if (!messageList.empty()) {
event.addMessages(messageList);
}
}
virtual void alignSnapshot(std::map<Decimal, std::string>& snapshotBid, std::map<Decimal, std::string>& snapshotAsk,
int marketDepthSubscribedToExchange) {
CCAPI_LOGGER_TRACE("snapshotBid.size() = "+toString(snapshotBid.size()));
if (snapshotBid.size() > marketDepthSubscribedToExchange) {
keepLastN(snapshotBid, marketDepthSubscribedToExchange);
}
CCAPI_LOGGER_TRACE("snapshotBid.size() = "+toString(snapshotBid.size()));
CCAPI_LOGGER_TRACE("snapshotAsk.size() = "+toString(snapshotAsk.size()));
if (snapshotAsk.size() > marketDepthSubscribedToExchange) {
keepFirstN(snapshotAsk, marketDepthSubscribedToExchange);
}
CCAPI_LOGGER_TRACE("snapshotAsk.size() = "+toString(snapshotAsk.size()));
}
WsConnection& getWsConnectionFromConnectionPtr(TlsClient::connection_ptr connectionPtr) {
return this->wsConnectionMap.at(this->connectionAddressToString(connectionPtr));
}
std::string connectionAddressToString(const TlsClient::connection_ptr con) {
const void * address = static_cast<const void*>(con.get());
std::stringstream ss;
ss << address;
return ss.str();
}
void setPingPongTimer(WsConnection& wsConnection, wspp::connection_hdl hdl) {
CCAPI_LOGGER_FUNCTION_ENTER;
if (wsConnection.status == WsConnection::Status::OPEN) {
if (this->pingTimerByConnectionIdMap.find(wsConnection.id) != this->pingTimerByConnectionIdMap.end()) {
this->pingTimerByConnectionIdMap.at(wsConnection.id)->cancel();
}
this->pingTimerByConnectionIdMap[wsConnection.id] =
this->serviceContextPtr->tlsClientPtr->set_timer(
this->pingIntervalMilliSeconds - this->pongTimeoutMilliSeconds,
[wsConnection, that = shared_from_this(), hdl](ErrorCode const& ec) {
if (that->wsConnectionMap.find(wsConnection.id) != that->wsConnectionMap.end()) {
if (ec) {
CCAPI_LOGGER_ERROR("wsConnection = " + toString(wsConnection) + ", connect retry on fail timer error: " + ec.message());
that->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, ec, "timer");
} else {
if (that->wsConnectionMap.at(wsConnection.id).status == WsConnection::Status::OPEN) {
ErrorCode ec;
that->ping(hdl, "", ec);
if (ec) {
that->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, ec, "ping");
}
if (that->pongTimeOutTimerByConnectionIdMap.find(wsConnection.id) != that->pongTimeOutTimerByConnectionIdMap.end()) {
that->pongTimeOutTimerByConnectionIdMap.at(wsConnection.id)->cancel();
}
that->pongTimeOutTimerByConnectionIdMap[wsConnection.id] = that->serviceContextPtr->tlsClientPtr->set_timer(that->pongTimeoutMilliSeconds, [wsConnection, that, hdl](ErrorCode const& ec) {
if (that->wsConnectionMap.find(wsConnection.id) != that->wsConnectionMap.end()) {
if (ec) {
CCAPI_LOGGER_ERROR("wsConnection = " + toString(wsConnection) + ", pong time out timer error: " + ec.message());
that->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, ec, "timer");
} else {
if (that->wsConnectionMap.at(wsConnection.id).status == WsConnection::Status::OPEN) {
auto now = std::chrono::system_clock::now();
if (that->lastPongTpByConnectionIdMap.find(wsConnection.id) != that->lastPongTpByConnectionIdMap.end() &&
std::chrono::duration_cast<std::chrono::milliseconds>(now - that->lastPongTpByConnectionIdMap.at(wsConnection.id)).count() >= that->pongTimeoutMilliSeconds) {
auto thisWsConnection = wsConnection;
ErrorCode ec;
that->close(thisWsConnection, hdl, websocketpp::close::status::normal, "pong timeout", ec);
if (ec) {
that->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::ERROR, ec, "shutdown");
}
that->shouldProcessRemainingMessageOnClosingByConnectionIdMap[thisWsConnection.id] = true;
} else {
auto thisWsConnection = wsConnection;
that->setPingPongTimer(thisWsConnection, hdl);
}
}
}
}
});
}
}
}
});
}