File size: 7,891 Bytes
f86fb3b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 | #include "../../include/engine/trading_engine.hpp"
#include "../../include/core/time_utils.hpp"
#include <iostream>
namespace quant::engine {
TradingEngine::TradingEngine(EngineConfig config)
: config_(config),
tcp_gateway_(reactor_, config.tcp_port),
md_receiver_(config.udp_multicast_ip, config.udp_port),
matching_engine_(config.symbol),
risk_engine_(config.risk_limits) {
if (!config.journal_path.empty()) {
journal_recorder_ = std::make_unique<JournalRecorder>(config.journal_path);
}
// Set up gateway callbacks
tcp_gateway_.set_callbacks(
[this](const protocol::NewOrderSinglePayload& order, uint64_t seq, uint64_t ts) {
EngineInboundEvent ev{};
ev.type = EngineEventType::NEW_ORDER;
ev.seq_num = seq;
ev.timestamp_ns = ts;
ev.new_order = order;
inbound_queue_.push(ev);
if (journal_recorder_) {
journal_recorder_->record_event(
protocol::MessageType::NEW_ORDER_SINGLE, seq, ts, order
);
}
},
[this](const protocol::OrderCancelReqPayload& cancel, uint64_t seq, uint64_t ts) {
EngineInboundEvent ev{};
ev.type = EngineEventType::CANCEL_ORDER;
ev.seq_num = seq;
ev.timestamp_ns = ts;
ev.cancel_order = cancel;
inbound_queue_.push(ev);
if (journal_recorder_) {
journal_recorder_->record_event(
protocol::MessageType::ORDER_CANCEL_REQ, seq, ts, cancel
);
}
}
);
// Set up matching engine execution report callback
matching_engine_.set_execution_callback(
[this](const protocol::ExecutionReportPayload& report) {
outbound_queue_.push(report);
if (report.exec_type == static_cast<uint8_t>(core::ExecType::FILL) ||
report.exec_type == static_cast<uint8_t>(core::ExecType::PARTIAL_FILL)) {
risk_engine_.on_fill(report.client_id, core::Side::BUY, report.fill_qty);
}
}
);
}
TradingEngine::~TradingEngine() {
stop();
}
bool TradingEngine::start() {
if (running_.load(std::memory_order_relaxed)) return true;
if (journal_recorder_) {
journal_recorder_->open();
}
if (!tcp_gateway_.start()) {
// Fallback for isolated unit tests / environments where port is restricted
}
md_receiver_.start();
running_.store(true, std::memory_order_release);
network_thread_ = std::thread([this]() { network_thread_loop(); });
engine_thread_ = std::thread([this]() { engine_thread_loop(); });
return true;
}
void TradingEngine::stop() {
if (!running_.load(std::memory_order_relaxed)) return;
running_.store(false, std::memory_order_release);
if (network_thread_.joinable()) network_thread_.join();
if (engine_thread_.joinable()) engine_thread_.join();
tcp_gateway_.stop();
md_receiver_.stop();
if (journal_recorder_) {
journal_recorder_->close();
}
}
void TradingEngine::network_thread_loop() {
core::ThreadUtils::pin_current_thread(config_.network_core_id);
core::ThreadUtils::set_thread_name("NetThread");
while (running_.load(std::memory_order_relaxed)) {
bool active = false;
// Poll TCP gateway events
int n_events = reactor_.poll_events(0);
if (n_events > 0) active = true;
// Poll UDP multicast packets
size_t n_md = md_receiver_.poll_packets();
if (n_md > 0) active = true;
// Flush outbound execution reports to TCP clients
protocol::ExecutionReportPayload report;
while (outbound_queue_.pop(report)) {
tcp_gateway_.send_execution_report(report, next_seq_num_++);
active = true;
}
if (!active) {
core::ThreadUtils::cpu_pause();
}
}
}
void TradingEngine::engine_thread_loop() {
core::ThreadUtils::pin_current_thread(config_.engine_core_id);
core::ThreadUtils::set_thread_name("EngineCore");
while (running_.load(std::memory_order_relaxed)) {
EngineInboundEvent ev;
if (inbound_queue_.pop(ev)) {
++processed_events_;
switch (ev.type) {
case EngineEventType::NEW_ORDER: {
const auto& ord = ev.new_order;
core::Price p = core::Price::from_raw(ord.price_raw);
double mid = matching_engine_.book().get_mid_price();
// Pre-Trade Risk Check
core::RejectReason reason = risk_engine_.check_order(
ord.client_id,
static_cast<core::Side>(ord.side),
p,
ord.qty,
mid,
ev.timestamp_ns
);
if (reason != core::RejectReason::NONE) {
protocol::ExecutionReportPayload reject;
reject.client_id = ord.client_id;
reject.client_order_id = ord.client_order_id;
reject.engine_order_id = 0;
reject.exec_id = 0;
reject.exec_type = static_cast<uint8_t>(core::ExecType::REJECTED);
reject.fill_price_raw = p.raw();
reject.fill_qty = 0;
reject.leaves_qty = 0;
reject.reject_reason = static_cast<uint8_t>(reason);
outbound_queue_.push(reject);
} else {
matching_engine_.process_new_order(
ord.client_id,
ord.client_order_id,
static_cast<core::Side>(ord.side),
static_cast<core::OrderType>(ord.order_type),
p,
ord.qty,
ev.timestamp_ns
);
}
break;
}
case EngineEventType::CANCEL_ORDER: {
const auto& c = ev.cancel_order;
matching_engine_.cancel_order(
c.client_id,
c.client_order_id,
0,
ev.timestamp_ns
);
break;
}
case EngineEventType::MARKET_DATA_TICK:
break;
}
} else {
core::ThreadUtils::cpu_pause();
}
}
}
void TradingEngine::submit_order_direct(
core::ClientId client_id,
core::ClientOrderId client_order_id,
core::Side side,
core::OrderType type,
core::Price price,
core::Quantity qty
) {
uint64_t now_ns = core::TimeUtils::now_ns();
double mid = matching_engine_.book().get_mid_price();
core::RejectReason reason = risk_engine_.check_order(
client_id, side, price, qty, mid, now_ns
);
if (reason != core::RejectReason::NONE) {
protocol::ExecutionReportPayload reject;
reject.client_id = client_id;
reject.client_order_id = client_order_id;
reject.engine_order_id = 0;
reject.exec_id = 0;
reject.exec_type = static_cast<uint8_t>(core::ExecType::REJECTED);
reject.fill_price_raw = price.raw();
reject.fill_qty = 0;
reject.leaves_qty = 0;
reject.reject_reason = static_cast<uint8_t>(reason);
outbound_queue_.push(reject);
} else {
matching_engine_.process_new_order(
client_id, client_order_id, side, type, price, qty, now_ns
);
}
}
} // namespace quant::engine
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