ADD: TWSE to WebApp

src/Spark.Admin.WebApp/src/Accounts/Types.fs

@@ -17,7 +17,7 @@ type Tab =
   | PositionManagementTab
   | MarginTab
 
-let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.SIM; |]
+let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.TWSE; Venue.SIM; |]
 
 let securityTypes = [| SecurityType.SPOT; SecurityType.FUTURE; SecurityType.OPTION; SecurityType.SPREAD; |]
 
@@ -74,6 +74,11 @@ type TaifexExchangeField =
   | Origin of CustomerOrFirm
   | ClearingAccount of string
 
+type TwseExchangeField =
+  | CTI of CTICode
+  | Origin of CustomerOrFirm
+  | ClearingAccount of string
+
 type SIMExchangeField =
   | CTI of CTICode
   | Origin of CustomerOrFirm

src/Spark.Admin.WebApp/src/Accounts/View.fs

@@ -800,6 +800,7 @@ let venueToString (venue:bts.api.Venue) =
     | bts.api.Venue.FTX -> "FTX"
     | bts.api.Venue.OKX -> "OKX"
     | bts.api.Venue.TAIFEX -> "TAIFEX"
+    | bts.api.Venue.TWSE -> "TWSE"
 
 let exchange_display expirationNameList =
   let s = sprintf "%O" expirationNameList.product.exchange

src/client/spark_api/security/SecurityExtensions.cs

@@ -111,6 +111,7 @@ namespace bts.api {
             Security.ExchangeDataOneofCase.Okx => security.Okx.SecurityDesc,
             Security.ExchangeDataOneofCase.Cboe => security.Cboe.SecurityDesc,
             Security.ExchangeDataOneofCase.Taifex => security.Taifex.SecurityDesc,
+            Security.ExchangeDataOneofCase.Twse => security.Twse.SecurityDesc,
             _ => throw new NotImplementedException("security_desc not implemented for exchange")
          };
 
@@ -158,6 +159,7 @@ namespace bts.api {
             domain.Venue.Okx => Venue.Okx,
                         domain.Venue.Cboe => Venue.Cboe,
             domain.Venue.Taifex => Venue.Taifex,
+            domain.Venue.Twse => Venue.Twse,
 
 
             domain.Venue.Unspecified => Venue.Unset,
@@ -178,6 +180,7 @@ namespace bts.api {
             Venue.Okx => domain.Venue.Okx,
             Venue.Cboe => domain.Venue.Cboe,
             Venue.Taifex => domain.Venue.Taifex,
+            Venue.Twse => domain.Venue.Twse,
 
             Venue.Unset => domain.Venue.Unspecified,
             _ => throw new NotImplementedException(),

src/lib/api/domain/Venue.proto

@@ -27,4 +27,5 @@ enum Venue {
   VENUE_OKX = 15;
   VENUE_TAIFEX = 16;
   VENUE_CBOE = 17;
+  VENUE_TWSE = 18;
 }

src/lib/api/md/MarketDataConfig.proto

@@ -12,6 +12,7 @@ import "lib/api/md/EmumbaDeribitMarketDataConfig.proto";
 import "lib/api/md/OkxMarketDataConfig.proto";
 import "lib/api/md/GlbxMarketDataConfig.proto";
 import "lib/api/md/TaifexMarketDataConfig.proto";
+import "lib/api/md/TwseMarketDataConfig.proto";
 import "lib/api/md/CboeMarketDataConfig.proto";
 
 option csharp_namespace = "bts.api.md";
@@ -29,6 +30,7 @@ message MarketDataConfig {
   repeated GlbxMarketDataConfig glbx = 8;
   repeated CboeMarketDataConfig cboe = 9;
   repeated TaifexMarketDataConfig taifex =10;
+  repeated TwseMarketDataConfig twse =11;
   // Add an entry here for all the exchanges that need their market data to be recorded
 
   repeated EmumbaDeribitMarketDataConfig emumba_deribit = 100;

src/lib/api/md/MarketDataConfigUtils.cpp

@@ -23,6 +23,8 @@ std::set<bts::api::Venue> MarketDataConfigUtils::get_live_exchanges(
       rv.insert(bts::api::VENUE_GLBX);
    if (cfg.taifex_size()>0)
       rv.insert(bts::api::VENUE_TAIFEX);
+   if (cfg.twse_size()>0)
+      rv.insert(bts::api::VENUE_TWSE);
    if (cfg.cboe_size()>0)
       rv.insert(bts::api::VENUE_CBOE);
    return rv;

src/lib/api/md/TwseMarketDataConfig.proto

@@ -0,0 +1,19 @@
+syntax = "proto3";
+
+import "lib/api/domain/SecurityCriteria.proto";
+
+package bts.api.md;
+
+option csharp_namespace = "bts.api.md";
+message TwseConnectionDetails{
+  string live_data_ip = 30;
+}
+
+message TwseMarketDataConfig {
+  uint32 unique_check_value = 1;
+  bool read_from_file = 20;
+  string realtime_data_file_name = 22;
+  TwseConnectionDetails connection_details = 30;
+  bts.api.domain.SecurityCriteria security_criteria = 3;
+  
+}

src/lib/api/service_helpers/AdminServiceUtils.cpp

@@ -72,6 +72,7 @@ bool AdminServiceUtils::has_exchange(
    case api::Venue::VENUE_OKX:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
+   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
@@ -187,6 +188,7 @@ AdminServiceUtils::resolve_connection(
    case api::Venue::VENUE_BINANCE:
    case api::Venue::VENUE_BINANCE_US:
    case api::Venue::VENUE_COINBASE:
+   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOE:
    case api::Venue::VENUE_BINANCE_USDS_FUTURES: {
@@ -460,6 +462,7 @@ std::string AdminServiceUtils::find_account_exchange_account(
    case api::Venue::VENUE_OKX:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
+   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
@@ -757,6 +760,7 @@ bts::api::orderman::RoutingRecord AdminServiceUtils::get_routing_record(
    case api::VENUE_OKX:
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
+   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
    case api::Venue::Venue_INT_MAX_SENTINEL_DO_NOT_USE_:
@@ -1152,6 +1156,7 @@ std::string AdminServiceUtils::find_user_exchange_id(
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
+   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
    case api::Venue::VENUE_CBOECFE:
    case api::Venue::Venue_INT_MIN_SENTINEL_DO_NOT_USE_:
@@ -1190,6 +1195,7 @@ std::string AdminServiceUtils::find_user_company_id(
    case api::Venue::VENUE_UNSET:
    case api::Venue::VENUE_BTS:
    case api::Venue::VENUE_CBOE:
+   case api::Venue::VENUE_TWSE:
    case api::Venue::VENUE_TAIFEX:
 
    case api::Venue::VENUE_CBOECFE:

src/lib/config/profiles/default/symbols.conf

@@ -19,6 +19,14 @@ SymbolLists {
       symbol: "BTC"
       symbol: "ETH"
     }
+    list {
+      key: "TWSE"
+      symbol: "2330"
+      symbol: "2317"
+      symbol: "2454"
+      symbol: "2603"
+      symbol: "2615"
+    }
     list {
       key: "TAIFEX"
       symbol: "QFFH"
@@ -59,6 +67,11 @@ Symbols {
       future: @SymbolLists.list[GLBX].symbol
       spread: @SymbolLists.list[GLBX].symbol
     }
+    venues{
+      name: "VENUE_TWSE"
+      future: @SymbolLists[TWSE].symbol
+      option: @SymbolLists[TWSE].symbol
+    }
     venues{
       name: "VENUE_TAIFEX"
       future: @SymbolLists[TAIFEX].symbol
@@ -91,6 +104,11 @@ Symbols {
       future: @SymbolLists.list[ICE].symbol
       spread: @SymbolLists.list[ICE].symbol
     }
+    venues{
+      name: "VENUE_TWSE"
+      future: @SymbolLists[TWSE].symbol
+      option: @SymbolLists[TWSE].symbol
+    }
     venues{
       name: "VENUE_TAIFEX"
       future: @SymbolLists[TAIFEX].symbol
@@ -125,6 +143,11 @@ Symbols {
       option: @SymbolLists.list[DERIBIT].symbol
       spread: @SymbolLists.list[DERIBIT].symbol
     }
+    venues{
+      name: "VENUE_TWSE"
+      future: @SymbolLists.list[TWSE].symbol
+      option: @SymbolLists.list[TWSE].symbol
+    }
     venues{
       name: "VENUE_TAIFEX"
       future: @SymbolLists.list[TAIFEX].symbol

src/lib/domain/DomainSecurityUtils.cpp

@@ -25,6 +25,8 @@ api::domain::Venue DomainSecurityUtils::convert(bts::api::Venue venue) {
       return DOMAIN_VENUE(DERIBIT);
    case bts::api::Venue::VENUE_CBOE:
       return DOMAIN_VENUE(CBOE);
+   case bts::api::Venue::VENUE_TWSE:
+      return DOMAIN_VENUE(TWSE);
    case bts::api::Venue::VENUE_TAIFEX:
       return DOMAIN_VENUE(TAIFEX);
    case bts::api::Venue::VENUE_BTS:
@@ -59,6 +61,8 @@ bts::api::Venue DomainSecurityUtils::convert(api::domain::Venue venue) {
       return api::Venue::VENUE_DERIBIT;
    case DOMAIN_VENUE(CBOE):
       return api::Venue::VENUE_CBOE;
+   case DOMAIN_VENUE(TWSE):
+      return api::Venue::VENUE_TWSE;
    case DOMAIN_VENUE(TAIFEX):
       return api::Venue::VENUE_TAIFEX;      
    case DOMAIN_VENUE(FTX):
@@ -171,6 +175,9 @@ bool DomainSecurityUtils::get_security_desc(
    case bts::api::Security::ExchangeDataCase::kCboe:
       desc = security.cboe().security_desc();
       break;
+   case bts::api::Security::ExchangeDataCase::kTwse:
+      desc = security.twse().security_desc();
+      break;
    case bts::api::Security::ExchangeDataCase::kTaifex:
       desc = security.taifex().security_desc();
       break;

src/lib/domain_model/Security.h

@@ -276,6 +276,8 @@ inline const std::string &descriptor(
       return sec.coinbase().security_desc();
    case api::Security::kOkx:
       return sec.okx().security_desc();
+   case api::Security::kTwse:
+      return sec.twse().security_desc();
    case api::Security::kTaifex:
       return sec.taifex().security_desc();
    default: {

src/lib/domain_model/Security.proto

@@ -20,6 +20,7 @@ enum Venue {
      VENUE_COINBASE = 450;
      VENUE_OKX = 460;
      VENUE_TAIFEX = 500;
+     VENUE_TWSE = 600;
 }
 
 enum SecurityType {
@@ -87,6 +88,11 @@ message CBOEExchangeData {
     int32 class_key = 30;
     string source = 40;
 }
+message TWSEExchangeData {
+    int64 exchange_id = 10;
+    int32 class_key = 30;
+    string security_desc = 20;
+}
 message TAIFEXExchangeData {
     int64 exchange_id = 10;
     int32 class_key = 30;
@@ -233,6 +239,7 @@ message Security {
        CoinbaseExchangeData coinbase = 290;
        OkxExchangeData okx = 300;
        TAIFEXExchangeData taifex = 400;
+       TWSEExchangeData twse = 500;
    }
 }
 message SecurityList {

src/lib/md/Shm/FixedSecurity.cpp

@@ -146,6 +146,10 @@ void convert_security(const FixedSecurity &source, Security *presult) {
       dest.mutable_okx()->set_security_desc(source.security_desc());
       dest.mutable_okx()->set_exchange_id(source.numeric_id);
       break;
+   case Venue::VENUE_TWSE:
+      dest.mutable_twse()->set_security_desc(source.security_desc());
+      dest.mutable_twse()->set_exchange_id(source.numeric_id);
+      break;
    case Venue::VENUE_TAIFEX:
       dest.mutable_taifex()->set_security_desc(source.security_desc());
       dest.mutable_taifex()->set_exchange_id(source.numeric_id);
@@ -256,6 +260,8 @@ uint64_t exchange_id(const Security &security) {
       return security.binance_usds_futures().exchange_id();
    case Security::ExchangeDataCase::kOkx:
       return security.okx().exchange_id();
+   case Security::ExchangeDataCase::kTwse:
+      return security.twse().exchange_id();
    case Security::ExchangeDataCase::kTaifex:
       return security.taifex().exchange_id();
    // Debatable whether this should be an error or not.
@@ -289,10 +295,15 @@ void convert_security(
       dest.security_desc(src.cboe().security_desc());
       dest.cboe_class_key = src.cboe().class_key();
       break;
+   case Security::ExchangeDataCase::kTwse:
+      dest.numeric_id = src.twse().exchange_id();
+      dest.security_desc(src.twse().security_desc());
+      // dest.cboe_class_key = src.twse().class_key();
+      break;
    case Security::ExchangeDataCase::kTaifex:
-      dest.numeric_id = src.deribit().exchange_id();
-      dest.security_desc(src.deribit().security_desc());
-      dest.cboe_class_key = src.taifex().class_key();
+      dest.numeric_id = src.taifex().exchange_id();
+      dest.security_desc(src.taifex().security_desc());
+      // dest.cboe_class_key = src.taifex().class_key();
       break;
    case Security::ExchangeDataCase::kCfe:
       dest.cboe_class_key = src.cfe().class_key();

src/lib/md/relay/QueryServer.cpp

@@ -194,6 +194,9 @@ struct MDConsumerGroup {
       case api::VENUE_CBOE:
          this->mic = "CBOE";
          break;
+      case api::VENUE_TWSE:
+         this->mic = "TWSE";
+         break;
       case api::VENUE_TAIFEX:
          this->mic = "TAIFEX";
          break;

src/server/sparkd/cmds/md/common/VenueOption.cpp

@@ -20,7 +20,8 @@ EnumOptionNames<api::Venue> VenueOption::names() {
        NAME_PAIR(api::VENUE_COINBASE),
        NAME_PAIR(api::VENUE_BINANCE_USDS_FUTURES),
        NAME_PAIR(api::VENUE_CBOE),
-       NAME_PAIR(api::VENUE_TAIFEX)};
+       NAME_PAIR(api::VENUE_TAIFEX),
+       NAME_PAIR(api::VENUE_TWSE)};
 }
 
 std::string VenueOption::name(api::Venue venue) {
@@ -49,6 +50,8 @@ std::string VenueOption::name(api::Venue venue) {
       return "binance_usds_futures";
    case api::VENUE_CBOE:
       return "cboe";
+   case api::VENUE_TWSE:
+      return "twse";
    case api::VENUE_TAIFEX:
       return "taifex";
    default: