File size: 9,579 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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 | #include "../../include/gateway/itch_ouch_simulator.hpp"
#include <cstring>
#include <iostream>
namespace quant::gateway {
ITCHOUCHExchangeSimulator::ITCHOUCHExchangeSimulator(core::Symbol symbol, ITCHBroadcastCallback on_itch)
: symbol_(symbol), on_itch_(std::move(on_itch)), matching_engine_(symbol) {}
void ITCHOUCHExchangeSimulator::broadcast_itch(const void* data, size_t len) {
const auto* byte_ptr = static_cast<const uint8_t*>(data);
std::vector<uint8_t> frame(byte_ptr, byte_ptr + len);
emitted_itch_feed_.push_back(frame);
if (on_itch_) {
on_itch_(std::span<const uint8_t>(frame.data(), frame.size()));
}
}
std::vector<uint8_t> ITCHOUCHExchangeSimulator::process_enter_order(const EnterOrderMsg& enter_msg) {
++total_orders_;
uint64_t now_ns = core::TimeUtils::now_ns();
std::string token(OUCHCodec::token_view(enter_msg.order_token));
// Reject checks
if (enter_msg.shares == 0 || enter_msg.price == 0) {
OrderRejectedMsg rej;
rej.timestamp_ns = now_ns;
std::memcpy(rej.order_token, enter_msg.order_token, 14);
rej.reason = (enter_msg.shares == 0) ? 'S' : 'P';
std::vector<uint8_t> out(sizeof(rej));
std::memcpy(out.data(), &rej, sizeof(rej));
return out;
}
uint64_t ref_num = next_order_ref_num_++;
uint64_t engine_order_id = ref_num;
token_to_meta_[token] = TokenMeta{
engine_order_id,
ref_num,
enter_msg.buy_sell,
enter_msg.shares,
enter_msg.price
};
ref_to_token_[ref_num] = token;
// 1. Emit OUCH Order Accepted ('A')
OrderAcceptedMsg accepted;
accepted.timestamp_ns = now_ns;
std::memcpy(accepted.order_token, enter_msg.order_token, 14);
accepted.buy_sell = enter_msg.buy_sell;
accepted.shares = enter_msg.shares;
std::memcpy(accepted.stock, enter_msg.stock, 8);
accepted.price = enter_msg.price;
accepted.time_in_force = enter_msg.time_in_force;
std::memcpy(accepted.firm, enter_msg.firm, 4);
accepted.display = enter_msg.display;
accepted.order_ref_num = ref_num;
std::vector<uint8_t> ouch_response(sizeof(accepted));
std::memcpy(ouch_response.data(), &accepted, sizeof(accepted));
// 2. Broadcast ITCH Add Order ('A')
AddOrderMsg itch_add;
itch_add.msg_type = 'A';
itch_add.stock_locate = be16_to_cpu(1);
itch_add.tracking_num = be16_to_cpu(1);
cpu_to_be48(now_ns, itch_add.timestamp);
itch_add.order_ref_num = be64_to_cpu(ref_num);
itch_add.buy_sell_indicator = enter_msg.buy_sell;
itch_add.shares = be32_to_cpu(enter_msg.shares);
std::memcpy(itch_add.stock, enter_msg.stock, 8);
itch_add.price = be32_to_cpu(enter_msg.price);
broadcast_itch(&itch_add, sizeof(itch_add));
// 3. Process matching
core::Side side = (enter_msg.buy_sell == 'B') ? core::Side::BUY : core::Side::SELL;
core::OrderType otype = (enter_msg.time_in_force == 0) ? core::OrderType::IOC : core::OrderType::LIMIT;
core::Price price = core::Price::from_raw(enter_msg.price);
matching_engine_.set_execution_callback([&](const protocol::ExecutionReportPayload& rep) {
if (rep.exec_type == static_cast<uint8_t>(core::ExecType::FILL) ||
rep.exec_type == static_cast<uint8_t>(core::ExecType::PARTIAL_FILL)) {
// Broadcast ITCH Order Executed ('E')
protocol::itch50::OrderExecutedMsg itch_exec;
itch_exec.msg_type = 'E';
itch_exec.stock_locate = be16_to_cpu(1);
itch_exec.tracking_num = be16_to_cpu(1);
cpu_to_be48(core::TimeUtils::now_ns(), itch_exec.timestamp);
itch_exec.order_ref_num = be64_to_cpu(ref_num);
itch_exec.executed_shares = be32_to_cpu(rep.fill_qty);
itch_exec.match_number = be64_to_cpu(next_match_num_++);
broadcast_itch(&itch_exec, sizeof(itch_exec));
}
});
matching_engine_.process_new_order(1, ref_num, side, otype, price, enter_msg.shares, now_ns);
return ouch_response;
}
std::vector<uint8_t> ITCHOUCHExchangeSimulator::process_cancel_order(const CancelOrderMsg& cancel_msg) {
uint64_t now_ns = core::TimeUtils::now_ns();
std::string token(OUCHCodec::token_view(cancel_msg.order_token));
auto it = token_to_meta_.find(token);
if (it == token_to_meta_.end()) {
OrderRejectedMsg rej;
rej.timestamp_ns = now_ns;
std::memcpy(rej.order_token, cancel_msg.order_token, 14);
rej.reason = 'C';
std::vector<uint8_t> out(sizeof(rej));
std::memcpy(out.data(), &rej, sizeof(rej));
return out;
}
uint32_t cancel_shares = (cancel_msg.shares > 0 && cancel_msg.shares <= it->second.leaves_qty)
? cancel_msg.shares : it->second.leaves_qty;
// 1. Cancel in matching engine
matching_engine_.cancel_order(1, it->second.order_ref_num, it->second.engine_order_id, now_ns);
// 2. Broadcast ITCH Order Cancel ('X')
OrderCancelMsg itch_cancel;
itch_cancel.msg_type = 'X';
itch_cancel.stock_locate = be16_to_cpu(1);
itch_cancel.tracking_num = be16_to_cpu(1);
cpu_to_be48(now_ns, itch_cancel.timestamp);
itch_cancel.order_ref_num = be64_to_cpu(it->second.order_ref_num);
itch_cancel.canceled_shares = be32_to_cpu(cancel_shares);
broadcast_itch(&itch_cancel, sizeof(itch_cancel));
// 3. Emit OUCH Order Canceled ('C')
OrderCanceledMsg ouch_canceled;
ouch_canceled.timestamp_ns = now_ns;
std::memcpy(ouch_canceled.order_token, cancel_msg.order_token, 14);
ouch_canceled.decrement_shares = cancel_shares;
ouch_canceled.reason = 'U';
std::vector<uint8_t> out(sizeof(ouch_canceled));
std::memcpy(out.data(), &ouch_canceled, sizeof(ouch_canceled));
it->second.leaves_qty -= cancel_shares;
if (it->second.leaves_qty == 0) {
token_to_meta_.erase(it);
}
return out;
}
std::vector<uint8_t> ITCHOUCHExchangeSimulator::process_replace_order(const ReplaceOrderMsg& replace_msg) {
uint64_t now_ns = core::TimeUtils::now_ns();
std::string token(OUCHCodec::token_view(replace_msg.existing_order_token));
auto it = token_to_meta_.find(token);
if (it == token_to_meta_.end()) {
OrderRejectedMsg rej;
rej.timestamp_ns = now_ns;
std::memcpy(rej.order_token, replace_msg.existing_order_token, 14);
rej.reason = 'C';
std::vector<uint8_t> out(sizeof(rej));
std::memcpy(out.data(), &rej, sizeof(rej));
return out;
}
uint64_t orig_ref = it->second.order_ref_num;
uint64_t new_ref = next_order_ref_num_++;
// Cancel old order
matching_engine_.cancel_order(1, orig_ref, it->second.engine_order_id, now_ns);
// Broadcast ITCH Order Replace ('U')
OrderReplaceMsg itch_replace;
itch_replace.msg_type = 'U';
itch_replace.stock_locate = be16_to_cpu(1);
itch_replace.tracking_num = be16_to_cpu(1);
cpu_to_be48(now_ns, itch_replace.timestamp);
itch_replace.orig_order_ref_num = be64_to_cpu(orig_ref);
itch_replace.new_order_ref_num = be64_to_cpu(new_ref);
itch_replace.shares = be32_to_cpu(replace_msg.shares);
itch_replace.price = be32_to_cpu(replace_msg.price);
broadcast_itch(&itch_replace, sizeof(itch_replace));
// Submit new limit order
core::Side side = (it->second.buy_sell == 'B') ? core::Side::BUY : core::Side::SELL;
matching_engine_.process_new_order(1, new_ref, side, core::OrderType::LIMIT,
core::Price::from_raw(replace_msg.price), replace_msg.shares, now_ns);
it->second.order_ref_num = new_ref;
it->second.leaves_qty = replace_msg.shares;
it->second.price = replace_msg.price;
OrderAcceptedMsg accepted;
accepted.timestamp_ns = now_ns;
std::memcpy(accepted.order_token, replace_msg.existing_order_token, 14);
accepted.buy_sell = it->second.buy_sell;
accepted.shares = replace_msg.shares;
std::memcpy(accepted.stock, symbol_.data.data(), 8);
accepted.price = replace_msg.price;
accepted.time_in_force = 99999;
std::memset(accepted.firm, ' ', 4);
accepted.display = 'Y';
accepted.order_ref_num = new_ref;
std::vector<uint8_t> out(sizeof(accepted));
std::memcpy(out.data(), &accepted, sizeof(accepted));
return out;
}
std::vector<uint8_t> ITCHOUCHExchangeSimulator::generate_snapshot_packet() {
order_book::L2Snapshot snap;
matching_engine_.book().get_l2_snapshot(snap);
SnapshotHeaderMsg hdr;
hdr.msg_type = 'Z';
hdr.stock_locate = be16_to_cpu(1);
hdr.sequence_num = be64_to_cpu(next_order_ref_num_);
std::memcpy(hdr.stock, symbol_.data.data(), 8);
hdr.bid_levels_count = be32_to_cpu(static_cast<uint32_t>(snap.bid_count));
hdr.ask_levels_count = be32_to_cpu(static_cast<uint32_t>(snap.ask_count));
size_t total_size = sizeof(SnapshotHeaderMsg) + (snap.bid_count + snap.ask_count) * sizeof(order_book::L2Level);
std::vector<uint8_t> packet(total_size);
std::memcpy(packet.data(), &hdr, sizeof(SnapshotHeaderMsg));
size_t offset = sizeof(SnapshotHeaderMsg);
for (size_t i = 0; i < snap.bid_count; ++i) {
std::memcpy(packet.data() + offset, &snap.bids[i], sizeof(order_book::L2Level));
offset += sizeof(order_book::L2Level);
}
for (size_t i = 0; i < snap.ask_count; ++i) {
std::memcpy(packet.data() + offset, &snap.asks[i], sizeof(order_book::L2Level));
offset += sizeof(order_book::L2Level);
}
return packet;
}
} // namespace quant::gateway
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