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Author SHA1 Message Date
Mohammad Arham be9c61f435 temp stuff working 2024-07-16 12:29:23 +00:00
Mohammad Arham 1f7bacdf3b Added Onix Libraries 2024-06-25 22:37:42 +00:00
29 changed files with 1028 additions and 13075 deletions

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+1 -1
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@@ -6,7 +6,7 @@
"memory": "4gb",
"storage": "6gb"
},
"postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
// "postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
"containerUser": "bts",
"workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
"workspaceFolder": "/home/bts/spark",
-1
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@@ -1,3 +1,2 @@
*.cmd eol=crlf
*.cs eol=crlf
*.sh eol=lf
+13
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@@ -1,6 +1,19 @@
{
"version": "0.2.0",
"configurations": [
{
"name": "(gdb) Launch",
"type": "cppdbg",
"request": "launch",
"program": "${workspaceFolder}/build/sparkd-debug-gcc/server/sparkd",
"args": ["run"],
"stopAtEntry": false,
"cwd": "${workspaceFolder}/build/sparkd-debug-gcc/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
},
{
"name": "DataStreamPublisher",
"type": "coreclr",
+19
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@@ -189,6 +189,25 @@
"color": "terminal.ansiCyan"
},
},
{
"label": "Build Sparkd -j8",
"group": "build",
"type": "shell",
"command": "",
"linux": {
"command": "tools/build_sparkd.sh",
"args": [
"--preset",
"${input:sparkdCmakePreset}",
"-j",
"8"
],
},
"icon": {
"id": "terminal",
"color": "terminal.ansiCyan"
},
},
{
"label": "Build Sparkd (Debug)",
"group": "build",
+1 -13016
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@@ -161,6 +161,14 @@ AdminServiceUtils::resolve_connection(
if (rv == nullptr &&
(deployment_type == "dev" || deployment_type == "demo"))
rv = resolve_sim_connection(data, account, sec);
if (account.has_connections())
for (const std::string &conn_name :
account.connections().exchange_connection_names()) {
const bts::api::admin::ExchangeConnection *conn =
find_connection(data, conn_name);
if (conn != nullptr && conn->has_general_connection())
return conn;
}
break;
}
case api::Venue::VENUE_ICE: {
@@ -226,13 +234,15 @@ void AdminServiceUtils::fill_connections_from_config(
switch (c.venue()) {
case bts::api::VENUE_GLBX:
if (c.cme_market_segment_id() == 0)
connection.mutable_cme_connection()->mutable_cgw_connection();
else
connection.mutable_cme_connection()
->mutable_msgw_connection()
->set_market_segment_id(c.cme_market_segment_id());
connection.mutable_general_connection()->set_exchange(c.venue());
add_connection(admin_data, connection);
// if (c.cme_market_segment_id() == 0)
// connection.mutable_cme_connection()->mutable_cgw_connection();
// else
// connection.mutable_cme_connection()
// ->mutable_msgw_connection()
// ->set_market_segment_id(c.cme_market_segment_id());
// add_connection(admin_data, connection);
break;
case bts::api::VENUE_CBOE:
break;
+2
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@@ -409,6 +409,7 @@ message RoutingRecord {
message NativeOrderState {
string exchange_order_id = 1;
string external_order_id = 11; //"string : orderkey"
uint64 last_msg_seq_num = 4;
enum SubError {
SUB_ERROR_NONE = 0;
@@ -752,6 +753,7 @@ message RetrievedExchangeOpenOrder{
string exchange_sec_desc = 10;
string exchange_account = 20;
string exchange_order_id = 30;
string external_order_id = 11; //"string : orderkey"
uint32 security_key = 40;
bool security_resolved = 50;
string account_name = 60;
@@ -24,6 +24,7 @@ function(get_link_libraries dest)
Pcap++
Packet++
Common++
onixs-fix-engine
ssh2
-lrt
-ldl
+17 -4
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@@ -4019,14 +4019,27 @@ JetFIX {
}
}
#If no canned cert specified we fallback to just sim
CannedCertSession { value { name: "" }}
# If no canned cert specified we fallback to just sim
# CannedCertSession { value { name: "" }}
# JetFIX {
# value {
# connection: @JetFIXSimConnection.sim
# connection {
# name: "deribit_1"
# venue: VENUE_DERIBIT
# }
# }
# }
# CannedCertSession { value { name: "" }}
JetFIX {
value {
connection: @JetFIXSimConnection.sim
connection {
name: "deribit_1"
venue: VENUE_DERIBIT
}
connection {
name: "onixs_sim"
venue: VENUE_GLBX
}
}
}
}
@@ -0,0 +1,11 @@
OnixFixCfg {
value{
msg_type: "Order_Single",
protocol_version: "FIX_42",
handl_inst: 2,
sender_sub_id: "BTS",
target_sub_id: "TRFXMRX",
client_id: "BTS",
rule80a: 1
}
}
+26
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@@ -0,0 +1,26 @@
syntax = "proto3";
package config;
message OnixFixCfg {
enum HandlInst {
UNDEFINED = 0;
DMA = 1;
ALGO = 2;
CARE = 3;
}
enum Rule80A {
UNUSED = 0;
AGENCY = 1;
PRINCIPAL = 2;
}
string msg_type = 1;
string protocol_version = 2;
HandlInst handl_inst = 3;
string sender_sub_id = 4;
string target_sub_id = 5;
string client_id = 6;
Rule80A rule80a = 7;
}
+1 -1
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@@ -220,7 +220,7 @@ void ServiceBridge::on(mercury::Update<OrderOpResultEvent> const &update) {
void ServiceBridge::create_order(uint32_t rid, api::orderman::Create const &c) {
LOG(OrderMan, Info, "Received new order from client: {}",
LOG(OrderMan, Info, "ServiceBridge::create_order Received new order from client: {}",
utils::pb::to_string(c));
me->service_call_marshaller.schedule_action([this, c, rid]() {
@@ -60,7 +60,7 @@ class OrderStateUpdateEvent : public mercury::Event<OrderStateUpdateEvent> {
} else {
auto native_state = get_native_state(state);
if (native_state) {
exchange_order_id = native_state->exchange_order_id();
exchange_order_id = native_state->exchange_order_id(); //use this
exchange_order_id_u64 = native_state->exchange_order_id_u64();
last_msg_seq_num = native_state->last_msg_seq_num();
sub_error_code = native_state->sub_error_code();
@@ -0,0 +1,92 @@
#include "ExecutionGateway.h"
#include "lib/logging/logging.h"
#include "lib/orderman/CreateOrderMsg.h"
#include "lib/orderman/OrderMsg.h"
#include "lib/orderman/gateways/IExecutionGateway.h"
#include "lib/orderman/gateways/OnixFIXAdapter.h"
#include "lib/orderman/gateways/IFIXGenericAdapter.h"
#include "lib/orderman/orderman_utils/CancelReject.h"
#include <memory>
#include <type_traits>
namespace bts::orderman {
struct ExecutionGateway::PImpl {
PImpl(){
_adapter = std::make_unique<OnixFIXAdapter>();
}
std::unique_ptr<IFIXGenericAdapter> _adapter;
OnExeReport on_exe_report;
OnGwStatusChange on_gw_status_change;
OnCancelReject on_cancel_reject;
OnExchangePositionState on_exchange_position_state;
OnExchangeOpenOrdersState on_exchange_open_orders;
};
OnGwStatusChange &ExecutionGateway::on_gw_status_change() {
return me->on_gw_status_change;
}
ExecutionGateway::ExecutionGateway():IExecutionGateway(), me(new PImpl()){
LOG(OrderMan,Info,"ExecutionGateway::ExecutionGateway constructor" );
}
ExecutionGateway::~ExecutionGateway() {}
void ExecutionGateway::start() {
me->on_gw_status_change(true);
me->_adapter->start();
me->_adapter->register_callback(me->on_exe_report);
LOG(OrderMan,Info,"ExecutionGateway::start started" );
}
void ExecutionGateway::send_msgs(
std::vector<OrderMsg> const &msgs, trace::CorID) {
LOG(OrderMan,Info,"ExecutionGateway::send_msgs" );
for (const auto &msg : msgs) {
std::visit(
[this](auto &&order) {
using T = std::decay_t<decltype(order)>;
if constexpr (std::is_same_v<T, CreateOrderMsg>) {
LOG(OrderMan,Warn,"ExecutionGateway::CreateOrderMsg" );
me->_adapter->launch_new_order(order);
} else if constexpr (std::is_same_v<T, CancelOrderMsg>) {
LOG(OrderMan,Warn,"ExecutionGateway::CancelOrderMsg" );
me->_adapter->cancel_order(order);
} else if constexpr (std::is_same_v<T, CancelReplaceOrderMsg>) {
LOG(OrderMan,Warn,"ExecutionGateway::CancelReplaceOrderMsg" );
me->_adapter->modify_order(order);
} else if constexpr (std::is_same_v<T, RFQMsg>) {
// Handle RFQMsg if necessary
// adapter->handle_rfq(order); // Example placeholder
}
},
msg);
}
}
void ExecutionGateway::dispatch_incoming_fix_messages() {}
void ExecutionGateway::on_securities(
const mercury::Update<NewSecuritiesEvent> &) {}
void ExecutionGateway::on_admin_data(
const mercury::Update<NewAdminDataEvent> &) {}
void ExecutionGateway::send_fix(const jetfix::OutFIXPtr &, trace::CorID) {}
OnExeReport &ExecutionGateway::on_exe_report() { return me->on_exe_report; }
OnCancelReject &ExecutionGateway::on_cancel_reject() {
static OnCancelReject default_cancel_reject;
return default_cancel_reject;
}
OnExchangePositionState &ExecutionGateway::on_exchange_position_state() {
static OnExchangePositionState default_exchange_position_state;
return default_exchange_position_state;
}
OnExchangeOpenOrdersState &ExecutionGateway::on_exchange_open_orders() {
static OnExchangeOpenOrdersState default_exchange_open_orders;
return default_exchange_open_orders;
}
} //namespace bts::orderman
@@ -0,0 +1,32 @@
#pragma once
#include "lib/orderman/gateways/IExecutionGateway.h"
namespace bts {
namespace orderman {
class ExecutionGateway : public IExecutionGateway {
public:
ExecutionGateway();
virtual ~ExecutionGateway();
void start() override;
void send_msgs(std::vector<OrderMsg> const & msgs, trace::CorID) override;
void dispatch_incoming_fix_messages() override;
void on_securities(const mercury::Update<NewSecuritiesEvent> &) override;
void on_admin_data(const mercury::Update<NewAdminDataEvent> &) override;
void send_fix(const jetfix::OutFIXPtr &, trace::CorID) override;
OnExeReport &on_exe_report() override;
OnGwStatusChange &on_gw_status_change() override;
OnCancelReject &on_cancel_reject() override;
OnExchangePositionState &on_exchange_position_state() override;
OnExchangeOpenOrdersState &on_exchange_open_orders() override;
private:
struct PImpl;
std::unique_ptr<PImpl> me;
};
} //namespace bts
} //namespace orderman
@@ -3,6 +3,7 @@
#include "lib/md/SecurityOracle.h"
#include "lib/orderman/gateways/CCAPIExecutionGateway.h"
// #include "lib/orderman/gateways/EMExecutionGateway.h"
#include "lib/orderman/gateways/ExecutionGateway.h"
#include "lib/orderman/gateways/FakeExecutionGateway.h"
#include "lib/orderman/gateways/GLBXExecutionGateway.h"
#include "lib/orderman/gateways/GLBXiLink3ExecutionGateway.h"
@@ -12,6 +13,7 @@
#include "lib/tracing/PerfLog.h"
#include "lib/utils/PBUtils.h"
#include "lib/utils/ValueWrapper.h"
#include "lib/utils/bts_assert.h"
#include <memory>
#include <variant>
@@ -21,19 +23,17 @@ std::unique_ptr<IExecutionGateway> ExecutionGatewayFactory::create_gateway(
const config::JetFIX::Connection &conn,
trace::PerfLog &pl,
md::SecurityOracle o) {
LOG(OrderMan, Info, "ExecutionGatewayFactory::create_gateway conn: {}",
utils::pb::to_string(conn));
if (SimExecutionGatewayFactory::is_sim_execution_on(conn.venue())) {
return std::make_unique<SimExecutionGatewayUniqueWrapper>(conn.venue());
}
LOG(OrderMan, Info, "ExecutionGatewayFactory::create_gateway conn: {}",
utils::pb::to_string(conn));
if (conn.venue() == bts::api::VENUE_ICE ||
conn.venue() == bts::api::VENUE_SIMICE)
return std::make_unique<ICEExecutionGateway>(conn, pl, o);
else if (conn.venue() == bts::api::VENUE_GLBX) {
if (conn.use_ilink3())
return std::make_unique<ilink3::GLBXiLink3ExecutionGateway>(
conn, pl, o);
return std::make_unique<GLBXExecutionGateway>(conn, pl, o);
return std::make_unique<ExecutionGateway>();
} else if (conn.venue() == bts::api::VENUE_DERIBIT)
// return std::make_unique<EMExecutionGateway>(o);
return std::make_unique<CCAPIExecutionGateway>(conn.venue(), o);
@@ -1,3 +1,6 @@
#include "IFIXGenericAdapter.h"
namespace bts::orderman {}
namespace bts::orderman {
IFIXGenericAdapter::~IFIXGenericAdapter(){}
}
+19 -19
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@@ -15,8 +15,8 @@
#include "lib/utils/bts_no_copy.h"
#include <functional>
#include <memory>
#include <variant>
namespace bts::orderman {
@@ -29,33 +29,33 @@ class NewAdminDataEvent;
class ExecutionReport;
class CancelReject;
struct OrderStateWithFills {
api::orderman::OrderState ordr_state;
std::vector<api::orderman::Fill> fills = {};
};
// struct OrderStateWithFills {
// api::orderman::OrderState ordr_state;
// std::vector<api::orderman::Fill> fills = {};
// };
using OnOrderUpdate = std::function<void(OrderStateWithFills const &)>;
using OnExecutionReport = std::function<void(ExecutionReport const &, const trace::CorID &)>;
// fix execution gateway for a single FIX session
class IFIXGenericAdapter {
public:
IFIXGenericAdapter() = default;
virtual ~IFIXGenericAdapter() {}
virtual ~IFIXGenericAdapter();
virtual void start() = 0;
// this callback should be added in a list, and on receving an update from the other side, it should be passed here
virtual void register_callback(const OnOrderUpdate &);
virtual void launch_new_order(const CreateOrderMsg &);
virtual void modify_order(const CancelReplaceOrderMsg &);
virtual void cancel_order(const CancelOrderMsg &);
// // this callback should be added in a list, and on receving an update from the other side, it should be passed here
virtual void register_callback(const OnExecutionReport &) =0 ;
virtual void launch_new_order(const CreateOrderMsg &) =0;
virtual void modify_order(const CancelReplaceOrderMsg &) = 0;
virtual void cancel_order(const CancelOrderMsg &) =0;
// as new securities are added
virtual void update_securities(
const mercury::Update<NewSecuritiesEvent> &) = 0;
virtual void update_admin_data(
const mercury::Update<NewAdminDataEvent> &) = 0;
// virtual void update_securities(
// const mercury::Update<NewSecuritiesEvent> &) = 0;
// virtual void update_admin_data(
// const mercury::Update<NewAdminDataEvent> &) = 0;
private:
BTS_NO_COPY(IFIXGenericAdapter);
// private:
// BTS_NO_COPY(IFIXGenericAdapter);
};
} // namespace bts::orderman
@@ -0,0 +1,52 @@
#include "MarexFIXHandler.h"
#include "lib/domain_model/Security.pb.h"
#include "lib/orderman/CreateOrderMsg.h"
#include "lib/orderman/order_factory/IOrderFactory.h"
#include "lib/orderman/orderman_utils/orderman_common.h"
#include <string>
#include <unordered_map>
namespace bts::orderman {
// the orderkey is a unique id
struct MarexFIXHandler::OrderInfo {
OrderInfo(const CreateOrderMsg &msg) : update_count(0), security(msg.security), routing_record(msg.routing_record) {}
uint update_count;
const api::Security* security;
const api::orderman::RoutingRecord* routing_record;
std::string update_id(bts::orderman::OrderKey key) {
return std::to_string(update_count++) + ":" + std::to_string(key.value());
}
};
struct MarexFIXHandler::PImpl {
PImpl() = default;
std::unordered_map<bts::orderman::OrderKey, OrderInfo> orders;
};
void MarexFIXHandler::launch_order(const CreateOrderMsg &msg) {
me->orders.emplace(msg.key, OrderInfo(msg));
}
bts::orderman::OrderKey MarexFIXHandler::modify_order(const std::string& key) {
auto order_key = get_order_key(key);
auto it = me->orders.find(order_key);
if (it != me->orders.end()) {
// Modify the order here
}
}
bts::orderman::OrderKey MarexFIXHandler::get_order_key(const std::string& id) {
std::size_t pos = id.find(':');
if (pos == std::string::npos) {
return null_order_key();
}
int key_value = std::stoi(id.substr(pos + 1));
return bts::orderman::OrderKey(key_value);
}
}
@@ -0,0 +1,27 @@
#pragma once
#include "IFIXGenericAdapter.h"
#include "lib/orderman/gateways/OnixFIXListener.h"
#include "lib/orderman/orderman_utils/orderman_common.h"
namespace bts::orderman {
class MarexFIXHandler {
public:
MarexFIXHandler();
~MarexFIXHandler() ;
OnExeReport cb;
bts::orderman::OrderKey launch_order(const CreateOrderMsg &msg);
bts::orderman::OrderKey modify_order(const std::string &key);
bts::orderman::OrderKey cancel_order(const std::string &key);
std::string get_marex_id(const bts::orderman::OrderKey& key);
static bts::orderman::OrderKey get_order_key(const std::string& id);
private:
struct OrderInfo;
struct PImpl;
std::unique_ptr<PImpl> me;
};
} // namespace bts::orderman
@@ -0,0 +1,393 @@
#include "OnixFIXAdapter.h"
#include "OnixS/FIXEngine/FIX/Engine.h"
#include "lib/config/config.h"
#include "lib/config/protos/system_config.pb.h"
#include "lib/logging/logging.h"
#include "lib/orderman/CancelReplaceOrderMsg.h"
#include "lib/orderman/gateways/OnixFIXListener.h"
#include "lib/utils/bts_assert.h"
#include <OnixS/FIXEngine/FIX/Exception.h>
#include <OnixS/FIXEngine/FIX/FIX42.h>
#include <OnixS/FIXEngine/FIX/Message.h>
#include <OnixS/FIXEngine/FIX/ProtocolVersion.h>
#include <cassert>
#include <quickfix/FixFields.h>
#include <string>
namespace bts::orderman {
OnixFIXAdapter::OnixFIXAdapter()
: listener(), // Initialize listener
session(nullptr) // Initialize session pointer to nullptr
{
try {
// Initialization phase.
LOG(OrderMan, Warn, "OnixFIXAdapter::OnixFIXAdapter constructor");
OnixS::FIX::Engine::init();
session = std::make_unique<Session>(
"BTS", "TRFXMRX", OnixS::FIX::ProtocolVersion::FIX_42, &listener);
// Session-related logic goes here.
} catch (const OnixS::FIX::Exception &ex) {
std::string errorMessage = ex.what();
LOG(OrderMan, Error, "Exception: {}", errorMessage);
Engine::shutdown();
bts_assert_msg(false, "OnixFIXAdapter constructor failed");
}
}
OnixFIXAdapter::~OnixFIXAdapter() {
try {
session->logout();
Engine::instance()->unregisterListener();
Engine::shutdown();
LOG(OrderMan, Warn, "Object removed");
} catch (const OnixS::FIX::Exception &ex) {
std::string s = ex.what();
LOG(OrderMan, Error, "Exception {}", s);
bts_assert_msg(false, "OnixFIXAdapter deconstructor failed");
}
}
void OnixFIXAdapter::start() {
try {
LOG(OrderMan, Warn, "OnixFIXAdapter::start logging on");
const std::string counterpartyHost = "74.217.55.230";
const int heartBtInt = 30;
const int counterpartyPort = 22754;
session->logonAsInitiator(counterpartyHost, counterpartyPort, heartBtInt);
LOG(OrderMan, Warn, "OnixFIXAdapter::start logging on done");
} catch (const OnixS::FIX::Exception &ex) {
std::string errorMessage = ex.what();
LOG(OrderMan, Error, "OnixFIXAdapter::start Exception: {}", errorMessage);
session->logout();
Engine::shutdown();
bts_assert_msg(false, "OnixFIXAdapter session failed");
}
}
template <typename T>
uint translateEnum(T enum_value, const std::map<int, int> &translationMap) {
auto it = translationMap.find(enum_value);
assert(it != translationMap.end()); // Using assert instead of bts_assert
return it->second;
}
uint translateTimeInForce(api::orderman::TimeInForce time_in_force) {
//0 = Day 1 = GTC 2 = At the Open 3 = IOC 4 = FOK 5 = GTX
static const std::map<int, int> tifMap = {
{api::orderman::TimeInForce::TIME_IN_FORCE_DAY, 0},
{api::orderman::TimeInForce::TIME_IN_FORCE_GTC, 1},
{api::orderman::TimeInForce::TIME_IN_FORCE_IOC, 3}};
return translateEnum(time_in_force, tifMap);
}
uint translateOrderType(api::orderman::NativeOrderType order_type) {
//1 = Market 2 = Limit 3 = Stop 4 = Stop Limit 5 = Market on close A = On Close B = Limit on Close
static const std::map<int, int> orderTypeMap = {
{api::orderman::NativeOrderType::NATIVE_ORDER_TYPE_MARKET, 1},
{api::orderman::NativeOrderType::NATIVE_ORDER_TYPE_LIMIT, 2},
{api::orderman::NativeOrderType::NATIVE_ORDER_TYPE_STOP, 3},
{api::orderman::NativeOrderType::NATIVE_ORDER_TYPE_STOP_LIMIT, 4}};
return translateEnum(order_type, orderTypeMap);
}
uint translateSide(api::Side side) {
//1 = Buy 2 = Sell 5 = Sell short 6 = Sell short Exempt
static const std::map<int, int> sideMap = {
{api::Side::SIDE_BUY, 1}, {api::Side::SIDE_SELL, 2}};
return translateEnum(side, sideMap);
}
void waitUntilEnterKey(const std::string &waitText = std::string()) {
OnixS::Threading::ThisThread::sleep(1000);
if (!waitText.empty())
std::clog << std::endl << waitText << std::endl;
#ifdef _WIN32
_getch();
#else
getchar();
#endif
}
static std::string get_value_from_file(const std::string &fallback, const std::string &name) {
std::string filename =
config::get<config::SystemConfig>().data_path() + name;
std::ifstream infile(filename);
if (infile.is_open()) {
std::string file_value;
infile >> file_value;
infile.close();
return file_value;
} else {
std::ofstream outfile(filename);
if (!outfile) {
throw std::runtime_error("Could not create the file.");
}
outfile << fallback;
outfile.close();
return fallback;
}
}
static std::string get_symbol_from_file(const std::string &symbol) {
return get_value_from_file(symbol, "symbol.txt");
}
static std::string get_exp_day_from_file(const std::string &exp_day) {
return get_value_from_file(exp_day, "exp_day.txt");
}
static std::string get_exp_month_from_file(const std::string &exp_month) {
return get_value_from_file(exp_month, "exp_month.txt");
}
static std::string get_exp_year_from_file(const std::string &exp_year) {
return get_value_from_file(exp_year, "exp_year.txt");
}
static std::string get_put_from_file(const std::string &put) {
return get_value_from_file(put, "put.txt");
}
static std::string get_strike_from_file(const std::string &strike) {
return get_value_from_file(strike, "strike.txt");
}
// std::string pad_string(const std::string& str, size_t length, char padding = ' ') {
// if (str.size() > length) {
// return str.substr(0, length);
// }
// return str + std::string(length - str.size(), padding);
// }
// Function to create the OSI Symbol
// static std::string create_osi_symbol(const std::string &symbol, const uint32_t &year, const uint32_t &month,const uint32_t &day,const char &call_put_indicator,const double &strike_price) {
// if (symbol.size() > 6) {
// throw std::invalid_argument("Symbol length cannot exceed 6 characters.");
// }
// std::ostringstream osi_stream;
// // Symbol: 6 bytes, padded with spaces
// osi_stream << pad_string(symbol, 6);
// // Year: last 2 digits of the year
// osi_stream << std::setw(2) << std::setfill('0') << (year % 100);
// // Month: 2 digits
// osi_stream << std::setw(2) << std::setfill('0') << month;
// // Day: 2 digits
// osi_stream << std::setw(2) << std::setfill('0') << day;
// // Call/Put Indicator: 1 byte
// osi_stream << call_put_indicator;
// // Strike Price: 5 bytes for dollars, 3 bytes for decimal part
// int strike_dollars = static_cast<int>(strike_price);
// int strike_decimals = static_cast<int>((strike_price - strike_dollars) * 1000);
// osi_stream << std::setw(5) << std::setfill('0') << strike_dollars;
// osi_stream << std::setw(3) << std::setfill('0') << strike_decimals;
// return osi_stream.str();
// }
void parse_option(Message &order, const api::Security &sec) {
std::string put_call = get_put_from_file(sec.option().call_put() == bts::api::PutOrCall::PUTORCALL_CALL ? "1" : "0");
std::string exp_day = get_exp_day_from_file(std::to_string(sec.option().expiration_day()));
std::string exp_month = get_exp_month_from_file(std::to_string(sec.option().expiration_month()));
std::string exp_year = get_exp_year_from_file(std::to_string(sec.option().expiration_year()));
std::string maturity_month_year = exp_year + exp_month;
std::string strike_price = get_strike_from_file(std::to_string(sec.option().strike()));
// auto osi = create_osi_symbol(sec.symbol(),sec.option().expiration_year(),sec.option().expiration_month(), sec.option().expiration_day(), sec.option().call_put()== bts::api::PutOrCall::PUTORCALL_CALL?'c':'p', sec.option().strike());
// std::string osi_symbol = get_value_from_file(osi, "osi_symbol.txt");
order
.set(OnixS::FIX::FIX42::Tags::PutOrCall, put_call)
.set(OnixS::FIX::FIX42::Tags::StrikePrice, strike_price)
.set(OnixS::FIX::FIX42::Tags::MaturityMonthYear, maturity_month_year)
.set(OnixS::FIX::FIX42::Tags::MaturityDay, exp_day)
.set(OnixS::FIX::FIX42::Tags::SecurityType,"OPT")
// .set(OnixS::FIX::FIX42::Tags::Symbol, osi_symbol)
.set(OnixS::FIX::FIX42::Tags::SecurityExchange, "SMART"); // Example value, adjust accordingly
}
void OnixFIXAdapter::modify_order(const CancelReplaceOrderMsg &msg) {
try {
//use this file:///C:/Users/arham/Downloads/OnixS.FixEngineCpp-Ubuntu2204-gcc1210-c++17-x64-4.10.1/OnixS.FixEngineCpp-Ubuntu2204-gcc1210-c++17-x64-4.10.1/doc/html/group__double-decimal-conversion.html
LOG(OrderMan, Warn, "OnixFIXAdapter::modify_order modifying order");
// auto order_cfg = config::get<config::OnixFixCfg>();
//message logic
//create message
// Get the symbol from the file or write it if the file doesn't exist
std::string symbol =
get_symbol_from_file(msg.create_fields.security->symbol());
Message order(
OnixS::FIX::FIX42::Values::MsgType::Order_Cancel_Replace_Request,
OnixS::FIX::ProtocolVersion::FIX_42);
order
.set(OnixS::FIX::FIX42::Tags::HandlInst, 2) // 1: DMA 2: ALGO 3:CARE
.set(
OnixS::FIX::FIX42::Tags::OrigClOrdID,
std::to_string(msg.create_fields.key.value()))
.set(
OnixS::FIX::FIX42::Tags::ClOrdID,
"upd:"+std::to_string(msg.create_fields.key.value())) // ID for order
.set(
OnixS::FIX::FIX42::Tags::Account,
msg.create_fields.routing_record->account())
.set(
OnixS::FIX::FIX42::Tags::TimeInForce,
translateTimeInForce(msg.create_fields.time_in_force))
.set(
OnixS::FIX::FIX42::Tags::OrdType,
translateOrderType(msg.create_fields.order_type))
.set(OnixS::FIX::FIX42::Tags::Price, msg.create_fields.price.value())
.set(OnixS::FIX::FIX42::Tags::Rule80A, "A") //A = AGENCY P = PRINCIPAL
.set(OnixS::FIX::FIX42::Tags::SenderSubID, "BTC")
.set(OnixS::FIX::FIX42::Tags::TargetSubID, "TRFXMRX")
.set(OnixS::FIX::FIX42::Tags::ClientID, "BTC")
.set(OnixS::FIX::FIX42::Tags::SecurityType,"OPT")
// .set(
// OnixS::FIX::FIX42::Tags::Symbol,
// msg.create_fields.security->symbol())
.set(OnixS::FIX::FIX42::Tags::CustomerOrFirm,0)
.set(OnixS::FIX::FIX42::Tags::OpenClose,"O")
.set(
OnixS::FIX::FIX42::Tags::Side,
translateSide(msg.create_fields.side))
.set(
OnixS::FIX::FIX42::Tags::OrderQty,
msg.create_fields.quantity.value())
.set(
OnixS::FIX::FIX42::Tags::TransactTime,
OnixS::FIX::Timestamp::utc(),
OnixS::FIX::TimestampFormat::YYYYMMDDHHMMSSMsec);
if (msg.create_fields.security->has_option()) {
parse_option(order, *msg.create_fields.security);}
// else{
order.set(OnixS::FIX::FIX42::Tags::Symbol, symbol);
// }
order.validate();
LOG(OrderMan, Warn, "order Validated");
order.set(847, "SMART");
std::string order_string = order.toString('|');
updated = true;
session->send(&order);
LOG(OrderMan, Warn, "Order update sent :{}", order_string);
}
// Shut down all reactors if they exist.
catch (const OnixS::FIX::Exception &ex) {
std::cout << "Exception: " << ex.what() << std::endl;
}
}
void OnixFIXAdapter::launch_new_order(const CreateOrderMsg &msg) {
LOG(OrderMan, Warn, "launch order {}", msg);
try {
// Listener listener2;
LOG(OrderMan, Warn, "OnixFIXAdapter::launch_new_order creating order");
// auto order_cfg = config::get<config::OnixFixCfg>()
//message logic
//create message
// LOG(OrderMan,Info,"creating order");
// Get the symbol from the file or write it if the file doesn't exist
std::string symbol =
get_symbol_from_file(msg.security->symbol());
Message order(
OnixS::FIX::FIX42::Values::MsgType::Order_Single,
OnixS::FIX::ProtocolVersion::FIX_42);
order
.set(OnixS::FIX::FIX42::Tags::HandlInst, 2) // 1: DMA 2: ALGO 3:CARE
.set(
OnixS::FIX::FIX42::Tags::ClOrdID,
std::to_string(msg.key.value())) // ID for order
.set(OnixS::FIX::FIX42::Tags::Account, msg.routing_record->account())
.set(
OnixS::FIX::FIX42::Tags::TimeInForce,
translateTimeInForce(msg.time_in_force))
.set(
OnixS::FIX::FIX42::Tags::OrdType,
translateOrderType(msg.order_type))
.set(OnixS::FIX::FIX42::Tags::Price, msg.price.value())
.set(OnixS::FIX::FIX42::Tags::Rule80A, "A") //A = AGENCY P = PRINCIPAL
.set(OnixS::FIX::FIX42::Tags::SenderSubID, "BTC")
.set(OnixS::FIX::FIX42::Tags::TargetSubID, "TRFXMRX")
.set(OnixS::FIX::FIX42::Tags::ClientID, "BTC")
.set(OnixS::FIX::FIX42::Tags::CustomerOrFirm,0)
.set(OnixS::FIX::FIX42::Tags::OpenClose,"O")
// .set(
// OnixS::FIX::FIX42::Tags::Symbol,
// msg.security->symbol())
.set(OnixS::FIX::FIX42::Tags::Side, translateSide(msg.side))
.set(OnixS::FIX::FIX42::Tags::OrderQty, msg.quantity.value())
.set(
OnixS::FIX::FIX42::Tags::TransactTime,
OnixS::FIX::Timestamp::utc(),
OnixS::FIX::TimestampFormat::YYYYMMDDHHMMSSMsec);
if (msg.security->has_option()) {
parse_option(order, *msg.security);}
// else{
order.set(OnixS::FIX::FIX42::Tags::Symbol, symbol);
// }
std::string order_string = order.toString('|');
order.validate();
LOG(OrderMan, Warn, "order Validated");
order.set(847, "SMART");
session->send(&order);
LOG(OrderMan, Warn, "Order sent :{}", order_string);
updated =false;
}
// Shut down all reactors if they exist.
catch (const OnixS::FIX::Exception &ex) {
std::cout << "Exception: " << ex.what() << std::endl;
}
}
void OnixFIXAdapter::register_callback(const OnExecutionReport &cb) {
LOG(OrderMan, Warn, "OnixFIXAdapter::register_callback callback registered");
listener.setCallback(cb);
}
void OnixFIXAdapter::cancel_order(const CancelOrderMsg &msg) {
LOG(OrderMan, Warn, "cancel order {}", msg.key);
std::string symbol =
get_symbol_from_file(msg.security->symbol());
try {
Message order_cancel(
OnixS::FIX::FIX42::Values::MsgType::Order_Cancel_Request,
OnixS::FIX::ProtocolVersion::FIX_42);
order_cancel.set(OnixS::FIX::FIX42::Tags::HandlInst, 2);
order_cancel.set(
OnixS::FIX::FIX42::Tags::ClOrdID, "cancel:"+std::to_string(msg.key.value()));
// .set(OnixS::FIX::FIX42::Tags::OrderQty, msg.manual_order_indicator)
std::string prefix = updated?"upd:":"";
order_cancel
.set(
OnixS::FIX::FIX42::Tags::OrigClOrdID,
prefix+std::to_string(msg.key.value()))
.set(OnixS::FIX::FIX42::Tags::Side, translateSide(msg.side))
.set(OnixS::FIX::FIX42::Tags::Symbol, symbol)
.set(OnixS::FIX::FIX42::Tags::SecurityType,"OPT")
.set(
OnixS::FIX::FIX42::Tags::TransactTime,
OnixS::FIX::Timestamp::utc(),
OnixS::FIX::TimestampFormat::YYYYMMDDHHMMSSMsec);
std::string order_str = order_cancel.toString('|');
LOG(OrderMan, Warn, "order_cancel Created: {}", order_str);
// order_cancel.validate(); fails becasuse of HandlInst
LOG(OrderMan, Warn, "order Validated");
order_cancel.set(847, "SMART");
updated = false;
session->send(&order_cancel);
LOG(OrderMan, Warn, "order cancel sent");
}
// Shut down all reactors if they exist.
catch (const OnixS::FIX::Exception &ex) {
std::cout << "Exception: " << ex.what() << std::endl;
}
}
} // namespace bts::orderman
@@ -0,0 +1,23 @@
#pragma once
#include "IFIXGenericAdapter.h"
#include "lib/orderman/gateways/OnixFIXListener.h"
namespace bts::orderman {
class OnixFIXAdapter : public IFIXGenericAdapter {
public:
OnixFIXAdapter();
~OnixFIXAdapter() override;
void register_callback(const OnExecutionReport &report) override;
void launch_new_order(const CreateOrderMsg &msg) override;
void cancel_order(const CancelOrderMsg &msg) override;
void modify_order(const CancelReplaceOrderMsg &) override;
void start() override;
private:
OnixFixListener listener;
std::unique_ptr<Session> session;
};
} // namespace bts::orderman
@@ -0,0 +1,168 @@
#include "OnixFIXListener.h"
#include "lib/api/services/OrderService.pb.h"
#include "lib/domain_model/Security.pb.h"
#include "lib/logging/logging.h"
#include "lib/orderman/gateways/IFIXGenericAdapter.h"
#include "lib/orderman/orderman_utils/ExecutionReport.h"
#include "lib/orderman/orderman_utils/orderman_common.h"
#include <OnixS/FIXEngine/FIX/FIX42.h>
#include <OnixS/FIXEngine/FIX/Tag.h>
#include <string>
namespace bts::orderman {
std::unique_ptr<ExecutionReport> OnixFixListener::get_dummy_report(CreateOrderMsg msg) {
auto er = std::make_unique<ExecutionReport>();
std::string account_name = "BTSIM";
std::array<char, 12> an_array = {};
size_t i = 0;
for (const char c : account_name) {
an_array[i++] = c;
}
er->account_name = AccountName(an_array);
to_array(msg.routing_record->account(), &er->account_name.value());
to_array(
msg.routing_record->operator_id(), &er->operator_id.value());
er->order_key = msg.key;
er->msg_seq_num = 0;
er->security = msg.security;
er->leg_security = nullptr;
er->side = msg.side;
er->time_in_force = msg.time_in_force;
er->order_type = msg.order_type;
er->exec_type = api::orderman::EXEC_TYPE_NEW;
er->order_status = api::orderman::NATIVE_ORDER_STATUS_NEW;
er->manual_order_indicator = api::orderman::MANUAL_ORDER_INDICATOR_NO;
ExchangeOrderID64 eoid = ExchangeOrderID64(exchange_oid++);
ExchangeOrderIDVar oid = eoid;
er->exchange_order_id = oid;
er->price = msg.price;
er->quantity = msg.quantity;
er->filled_quantity = Quantity(0);
er->last_shares = Quantity(0);
er->msg = "Message Placed";
er->exchange = api::VENUE_GLBX;
// Set transaction time
ExchangeTimeStamp64 now = ExchangeTimeStamp64(datetime::unix_nano_now());
er->transact_time = now;
return er;
}
std::unique_ptr<ExecutionReport> OnixFixListener::get_exe_report(Message msg) {
auto er = std::make_unique<ExecutionReport>();
std::string account_name = "BTSIM";
std::array<char, 12> an_array = {};
size_t i = 0;
for (const char c : account_name) {
an_array[i++] = c;
}
er->account_name = AccountName(an_array);
to_array(
"op_id_bts", &er->operator_id.value());
auto extractUInt = [](const std::string& input) -> uint {
std::string numericPart;
std::copy_if(input.begin(), input.end(), std::back_inserter(numericPart), [](char c) {
return std::isdigit(c);
});
if (numericPart.empty()) {
throw std::invalid_argument("Invalid format: no numeric characters found");
}
uint number = std::stoul(numericPart);
return number;
};
er->order_key = OrderKey(extractUInt(msg.get(OnixS::FIX::FIX42::Tags::OrderID).toString()));
er->msg_seq_num = 0;
er->security = nullptr ;
er->leg_security = nullptr;
er->side = msg.get(OnixS::FIX::FIX42::Tags::Side).toString()=="1"?api::Side::SIDE_BUY:api::Side::SIDE_SELL;
er->time_in_force = api::orderman::TIME_IN_FORCE_DAY;
er->order_type = api::orderman::NATIVE_ORDER_TYPE_LIMIT;
er->exec_type = msg.get(OnixS::FIX::FIX42::Tags::ExecType);
er->order_status = api::orderman::NATIVE_ORDER_STATUS_NEW;
er->manual_order_indicator = api::orderman::MANUAL_ORDER_INDICATOR_NO;
ExchangeOrderID64 eoid = ExchangeOrderID64(exchange_oid++);
ExchangeOrderIDVar oid = eoid;
er->exchange_order_id = oid;
er->price = msg.price;
er->quantity = msg.quantity;
er->filled_quantity = Quantity(0);
er->last_shares = Quantity(0);
er->msg = "Message Placed";
er->exchange = api::VENUE_GLBX;
// Set transaction time
ExchangeTimeStamp64 now = ExchangeTimeStamp64(datetime::unix_nano_now());
er->transact_time = now;
return er;
}
void OnixFixListener::onInboundApplicationMsg(Message &msg, Session * /*sn*/) {
std::string msg_str = msg.toString();
std::string msg_json = msg.toJson();
LOG(OrderMan, Warn,
"Incoming application-level message: {} As json {}",
msg_str, msg_json);
FieldValueRef t = msg.type();
char message_type;
if(!t.toChar(message_type)){
LOG(OrderMan, Warn,
"no message type message: {} As json {}",
msg_str, msg_json);
return;
}
switch (message_type) {
case 'D':
{
//exection report
auto er = get_dummy_report(msg);
cb(*er,{});
}
}
// LOG(OrderMan, Warn,
// "onInboundApplicationMsg::inbound firing er: {}",
// er->to_string());
// cb(*er, {});
}
void OnixFixListener::onInboundSessionMsg(Message & msg, Session * /*sn*/)
{
std::string msg_str = msg.toString();
std::string msg_json = msg.toJson();
LOG( OrderMan, Warn,
"Incoming session-level message:\n {} As json {}",
msg_str,
msg_json);
}
void OnixFixListener::onStateChange(SessionState::Enum newState, SessionState::Enum prevState,
Session * /*sn*/)
{
std::string prevst = SessionState::toString(prevState);
std::string newst = SessionState::toString(newState);
LOG(OrderMan, Warn,
"Session's state is changed, prevState = {} , newState= {}",
prevst,
newst);
}
void OnixFixListener::onError(ErrorReason::Enum /*reason*/, const std::string & description, Session * /*sn*/)
{
LOG( OrderMan, Error, "Session-level error: {}", description);
}
void OnixFixListener::onWarning(WarningReason::Enum /*reason*/, const std::string & description,
Session * /*sn*/)
{
LOG( OrderMan, Error, "Session-level warning: {}", description);
}
} // namespace bts::orderman
@@ -0,0 +1,41 @@
#pragma once
#include "lib/orderman/CreateOrderMsg.h"
#include "lib/orderman/gateways/IExecutionGateway.h"
#include "lib/orderman/orderman_utils/ExecutionReport.h"
#include <OnixS/FIXEngine.h>
#include <OnixS/FIXEngine/FIX/Message.h>
namespace bts::orderman {
using namespace OnixS::FIX;
class OnixFixListener : public OnixS::FIX::ISessionListener
{
public:
OnixFixListener(): cb(dummy){
LOG(OrderMan,Info,"OnixFixListener::cb set callback registered");
}
unsigned long exchange_oid = 0;
/// Is called when the application-level message is received from the counterparty.
void onInboundApplicationMsg(Message & msg, Session * sn) ONIXS_FIXENGINE_FINAL;
// Set the real callback function
void setCallback(const OnExeReport &callback) {
LOG(OrderMan,Info,"OnixFixListener::setCallback callback registered");
cb = callback;
}
/// Is called when the session-level message is received from the counterparty.
void onInboundSessionMsg(Message & msg, Session * sn) ONIXS_FIXENGINE_FINAL;
void onStateChange(SessionState::Enum newState, SessionState::Enum prevState, Session * sn) ONIXS_FIXENGINE_FINAL;
OnExeReport cb;
std::unique_ptr<ExecutionReport> get_dummy_report(CreateOrderMsg msg);
std::unique_ptr<ExecutionReport> get_exe_report(Message msg);
static void dummy(const ExecutionReport &, const trace::CorID &) {
LOG(OrderMan, Info,"OnixFixListener::Dummy fired");
}
void onError(ErrorReason::Enum reason, const std::string & description, Session * sn) ONIXS_FIXENGINE_FINAL;
void onWarning(WarningReason::Enum reason, const std::string & description, Session * sn) ONIXS_FIXENGINE_FINAL;
// boost::object_pool<ExecutionReport> exe_report_pool;
};
}// namespace bts::orderman
@@ -62,7 +62,7 @@ SimExecutionGatewayFactory *SimExecutionGatewayFactory::get() {
bool SimExecutionGatewayFactory::is_sim_execution_on(api::Venue venue) {
// TODO: Arham, fix this !
return true;
return false;
const auto &sim_exec = config::get<bts::config::SimExecution>();
for (const auto &e : sim_exec.entries()) {
if (e.venue() == venue) {
+12 -14
View File
@@ -478,11 +478,11 @@ OrderOpResult GLBXNativeOrder::on_activate(
now.to_uint64(), (now - corid.app_arrival).nanoseconds());
// in sim mode, we dont need this,
me->encoder->send_create(*me->services, *me->session_services);
if (me->in_sim_mode) {
CreateOrderMsg c_msg = {};
_create_create_msg(c_msg);
me->services->queue_order_msg(*me->session_services, c_msg);
}
// if (me->in_sim_mode) {
CreateOrderMsg c_msg = {};
_create_create_msg(c_msg);
me->services->queue_order_msg(*me->session_services, c_msg);
// }
me->services->governor(*me->session_services).record_sent();
me->state.set_status(ORDER_STATUS_PENDING_WORKING);
@@ -579,7 +579,6 @@ OrderOpResult GLBXNativeOrder::on_update(api::orderman::Update const &update) {
auto p = Price(update.price());
auto q = Quantity(update.quantity());
auto send_update_in_sim_mode = [&]() {
if (me->in_sim_mode) {
CancelReplaceOrderMsg cxl_repl_msg = {};
_create_create_msg(cxl_repl_msg.create_fields);
Price new_p = Price(update.price());
@@ -587,7 +586,6 @@ OrderOpResult GLBXNativeOrder::on_update(api::orderman::Update const &update) {
cxl_repl_msg.create_fields.price = new_p;
cxl_repl_msg.create_fields.quantity = new_q;
me->services->queue_order_msg(*me->session_services, cxl_repl_msg);
}
};
LOG(OrderMan, Info, "GLBXNativeOrder::on_update update: {}",
utils::pb::to_string(update));
@@ -799,12 +797,13 @@ OrderOpResult GLBXNativeOrder::on_cancel() {
me->encoder->update_cancel_encoding(*me->services);
me->encoder->send_cancel(*me->services, *me->session_services);
// TODO: check for sim mode here
if (me->in_sim_mode) {
CancelOrderMsg cxl_msg = {};
cxl_msg.key = key();
LOG(OrderMan, Info, "GLBXNativeOrder queue_order_msg for cxl");
me->services->queue_order_msg(*me->session_services, cxl_msg);
}
CancelOrderMsg cxl_msg = {};
cxl_msg.key = key();
cxl_msg.security = me->sec;
cxl_msg.side = me->definition.side();
LOG(OrderMan, Info, "GLBXNativeOrder queue_order_msg for cxl");
me->services->queue_order_msg(*me->session_services, cxl_msg);
break;
}
@@ -1383,7 +1382,6 @@ void GLBXNativeOrder::_create_create_msg(CreateOrderMsg &c) {
c.side = me->definition.side();
c.order_type = get_glbx_native_ord_type(me->definition);
c.time_in_force = me->definition.time_in_force();
c.order_type = api::orderman::NATIVE_ORDER_TYPE_LIMIT;
c.manual_order_indicator = me->definition.manual_order_indicator();
c.routing_record = &me->routing_record;
LOG(OrderMan, Info, "GLBXNativeOrder::_create_create_msg c.qty: {}",
@@ -7,6 +7,7 @@
#include "lib/jetfix/codec/FieldDefinitions.h"
#include "lib/orderman/OrderServices.h"
#include "lib/orderman/orderman_utils/fix_order_codec.h"
#include "lib/utils/helper_macros.h"
namespace bts {
namespace orderman {
@@ -274,9 +275,10 @@ void iLink2OrderEncoder::init(
}
void iLink2OrderEncoder::update_exchange_order_id(ExchangeOrderIDVar const &v) {
auto oid = to_trim_str(std::get<ExchangeOrderID>(v));
me->update_encoding.add<jetfix::fix::OrderID>(oid);
me->cancel_encoding.add<jetfix::fix::OrderID>(oid);
UNUSED(v);
// auto oid = to_trim_str(std::get<ExchangeOrderID>(v));
// me->update_encoding.add<jetfix::fix::OrderID>(oid);
// me->cancel_encoding.add<jetfix::fix::OrderID>(oid);
}
void iLink2OrderEncoder::update_create_order_encoding(
+43
View File
@@ -1,9 +1,12 @@
#include "Run.h"
#include "lib/api/public/ServiceContext.h"
#include "lib/api/services/OrderService.pb.h"
#include "lib/config/config.h"
#include "lib/config/protos/ports.pb.h"
#include "lib/config/protos/quickbus_cfg.pb.h"
#include "lib/config/protos/toggles.pb.h"
#include "lib/domain_model/Security.pb.h"
#include "lib/domain_model/common.h"
#include "lib/logging/logging.h"
#include "lib/md/MBOProcessor.h"
#include "lib/md/MBOServiceServer.h"
@@ -13,9 +16,14 @@
#include "lib/md/service/MarketDataServiceServer.h"
#include "lib/metrics/metrics.h"
#include "lib/metrics/system_metrics.h"
#include "lib/orderman/CancelOrderMsg.h"
#include "lib/orderman/CancelReplaceOrderMsg.h"
#include "lib/orderman/OrderServiceServer.h"
#include "lib/orderman/gateways/OnixFIXAdapter.h"
#include "lib/orderman/gateways/sim/SimExecutionGatewayFactory.h"
#include "lib/orderman/order_factory/DynamicOrderRegistry.h"
#include "lib/orderman/order_factory/IOrderFactory.h"
#include "lib/orderman/orderman_utils/orderman_common.h"
#include "lib/orderman/orders/algo/algo_orders/ProRataAlgo.h"
#include "lib/orderman/orders/algo/algo_orders/ScratchAlgo.h"
#include "lib/os/os.h"
@@ -26,6 +34,7 @@
#include "lib/tracing/PerfLog.h"
#include "lib/utils/Dispatcher.h"
#include "lib/utils/thread_manager.h"
#include "lib/orderman/gateways/ExecutionGateway.h"
#include "md/cmds/Run.h"
#include "server/sparkd/algo/AlgoDefinitionServiceServer.h"
#include "server/sparkd/analytics/AnalyticsServiceServer.h"
@@ -43,6 +52,7 @@
#include "server/sparkd/user/AdminServiceServer.h"
#include "server/sparkd/user/AuthServiceServer.h"
#include <cstddef>
#include <thread>
namespace bts::cmds {
@@ -52,6 +62,39 @@ static void execute() {
LOG(Gen, Warn,
"------------------------------------ Sparkd launched "
"--------------------------------");
// orderman::CreateOrderMsg cm;
// cm.price = Price(165);
// cm.key = orderman::OrderKey(47);
// api::orderman::RoutingRecord rr;
// rr.set_account("BTSIM");
// api::Security sec;
// sec.set_symbol("BTS");
// cm.security = &sec;
// cm.routing_record = &rr;
// cm.side = api::SIDE_BUY;
// cm.quantity = 2;
// cm.time_in_force = api::orderman::TimeInForce::TIME_IN_FORCE_DAY;
// cm.order_type = api::orderman::NativeOrderType::NATIVE_ORDER_TYPE_LIMIT;
// orderman::CancelReplaceOrderMsg cnm;
// cnm.exchange_order_id = orderman::ExchangeOrderID64(47);
// cnm.create_fields.price = Price(164);
// cnm.create_fields.key = orderman::OrderKey(47);
// cnm.create_fields.security = &sec;
// cnm.create_fields.routing_record = &rr;
// cnm.create_fields.side = api::SIDE_BUY;
// cnm.create_fields.quantity = 3;
// cnm.create_fields.time_in_force = api::orderman::TimeInForce::TIME_IN_FORCE_DAY;
// cnm.create_fields.order_type = api::orderman::NativeOrderType::NATIVE_ORDER_TYPE_LIMIT;
// cnm.create_fields.side = api::SIDE_BUY;
// cnm.create_fields.security = &sec;
// std::vector<orderman::OrderMsg> msgs = {cm,cnm};
// orderman::ExecutionGateway gateway;
// gateway.start();
// trace::CorID t;
// gateway.send_msgs(msgs, t);
auto qb_cfg = config::get<config::QuickbusCfg>().node();
auto &ports = config::get<config::Ports>();