Checkpoint

northwesternfintech · Oct 14, 2024 · f8fbceb · f8fbceb
1 parent 9539713
commit f8fbceb
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Showing 35 changed files with 294 additions and 213 deletions.
diff --git a/exchange/src/common/messages_exchange_to_wrapper.hpp b/exchange/src/common/messages_exchange_to_wrapper.hpp
@@ -2,12 +2,12 @@
 
 #include "common/types/decimal.hpp"
 #include "common/types/position.hpp"
-#include "common/types/ticker.hpp"
-#include "util.hpp"
 
 #include <fmt/format.h>
 #include <glaze/glaze.hpp>
 
+#include <chrono>
+
 namespace nutc::common {
 
 /**
@@ -16,52 +16,28 @@ namespace nutc::common {
  */
 
 struct start_time {
-    int64_t start_time_ns;
+    std::int64_t start_time_ns;
 
     start_time() = default;
 
-    explicit start_time(int64_t stns) : start_time_ns(stns) {}
-};
-
-/*f
- * @brief Sent by exchange to a client to indicate a match has occurred
- */
-struct match {
-    common::position position;
-    std::string buyer_id;
-    std::string seller_id;
-    common::decimal_price buyer_capital;
-    common::decimal_price seller_capital;
-    std::string match_type{};
-
-    match() = default;
-
-    match(
-        common::Ticker ticker, common::Side side, decimal_quantity quantity,
-        common::decimal_price price, std::string bid, std::string sid,
-        common::decimal_price bcap, common::decimal_price scap
-    ) :
-        position{ticker, side, quantity, price}, buyer_id(std::move(bid)),
-        seller_id(std::move(sid)), buyer_capital(bcap), seller_capital(scap)
+    explicit start_time(std::chrono::high_resolution_clock::time_point stns) :
+        start_time_ns(stns.time_since_epoch().count())
     {}
+};
 
-    match(
-        const common::position& position, std::string bid, std::string sid,
-        common::decimal_price bcap, common::decimal_price scap
-    ) :
-        position(position), buyer_id(std::move(bid)), seller_id(std::move(sid)),
-        buyer_capital(bcap), seller_capital(scap)
-    {}
+struct account_update {
+    common::position trade;
+    common::decimal_price available_capital;
 };
 
 struct tick_update {
     std::vector<common::position> ob_updates;
-    std::vector<match> matches;
+    std::vector<common::position> matches;
 
     tick_update() = default;
 
     explicit tick_update(
-        std::vector<common::position> ob_updates, std::vector<match> matches
+        std::vector<common::position> ob_updates, std::vector<common::position> matches
     ) : ob_updates(std::move(ob_updates)), matches(std::move(matches))
     {}
 };
@@ -71,7 +47,8 @@ struct algorithm_content {
 
     algorithm_content() = default;
 
-    explicit algorithm_content(std::string algorithm) : algorithm_content_str(algorithm)
+    explicit algorithm_content(std::string algorithm) :
+        algorithm_content_str(std::move(algorithm))
     {}
 };
 
@@ -86,12 +63,10 @@ struct glz::meta<nutc::common::tick_update> {
 
 /// \cond
 template <>
-struct glz::meta<nutc::common::match> {
-    using t = nutc::common::match;
-    static constexpr auto value = object(
-        "match", &t::position, &t::buyer_id, &t::seller_id, &t::buyer_capital,
-        &t::seller_capital
-    );
+struct glz::meta<nutc::common::account_update> {
+    using t = nutc::common::account_update;
+    static constexpr auto value =
+        object("account_update", &t::trade, &t::available_capital);
 };
 
 /// \cond

diff --git a/exchange/src/common/messages_wrapper_to_exchange.hpp b/exchange/src/common/messages_wrapper_to_exchange.hpp
@@ -20,6 +20,12 @@ struct cancel_order {
     order_id_t order_id;
     std::uint64_t timestamp = get_time();
 
+    cancel_order(Ticker ticker, order_id_t order_id) :
+        ticker{ticker}, order_id{order_id}
+    {}
+
+    cancel_order() = default;
+
     bool
     operator==(const cancel_order& other) const
     {

diff --git a/exchange/src/exchange/algos/dev_mode/dev_mode.cpp b/exchange/src/exchange/algos/dev_mode/dev_mode.cpp
@@ -18,10 +18,11 @@ DevModeAlgoInitializer::initialize_trader_container(
         traders.add_trader<AlgoTrader>(algo, start_capital);
     }
 
-    int64_t start_time = get_start_time(WAIT_SECS);
+    auto start_time = get_start_time(WAIT_SECS);
     std::for_each(traders.begin(), traders.end(), [start_time](auto& trader) {
         send_start_time(trader, start_time);
     });
+    std::this_thread::sleep_until(start_time);
 }
 
 void

diff --git a/exchange/src/exchange/algos/normal_mode/normal_mode.cpp b/exchange/src/exchange/algos/normal_mode/normal_mode.cpp
@@ -1,8 +1,8 @@
 #include "normal_mode.hpp"
 
+#include "common/logging/logging.hpp"
 #include "common/util.hpp"
 #include "exchange/curl/curl.hpp"
-#include "common/logging/logging.hpp"
 #include "exchange/traders/trader_types/algo_trader.hpp"
 #include "exchange/wrappers/creation/rmq_wrapper_init.hpp"
 
@@ -40,18 +40,19 @@ NormalModeAlgoInitializer::initialize_trader_container(
         std::string algo_id = user["latestAlgoId"].get<std::string>();
 
         try {
-			// TODO: add back
+            // TODO: add back
             // traders.add_trader<AlgoTrader>(common::RemoteAlgorithm{}, start_capital);
             log_i(main, "Created user");
         } catch (const std::runtime_error& err) {
             log_w(main, "Failed to create user {}", user_id);
         }
     }
 
-    int64_t start_time = get_start_time(WAIT_SECS);
+    auto start_time = get_start_time(WAIT_SECS);
     std::for_each(traders.begin(), traders.end(), [start_time](auto& trader) {
         send_start_time(trader, start_time);
     });
+    std::this_thread::sleep_until(start_time);
 }
 
 glz::json_t::object_t

diff --git a/exchange/src/exchange/matching/engine.cpp b/exchange/src/exchange/matching/engine.cpp
@@ -1,6 +1,5 @@
 #include "engine.hpp"
 
-#include "common/messages_exchange_to_wrapper.hpp"
 #include "common/types/decimal.hpp"
 #include "common/util.hpp"
 #include "exchange/orders/orderbook/limit_orderbook.hpp"
@@ -9,10 +8,9 @@
 namespace nutc::exchange {
 
 enum class MatchFailure { buyer_failure, seller_failure, done_matching };
-using match = nutc::common::match;
 
 template <common::Side AggressiveSide, typename OrderPairT>
-glz::expected<match, bool>
+glz::expected<tagged_match, bool>
 match_orders_(
     OrderPairT& orders, CompositeOrderBook& orderbook, common::decimal_price order_fee
 )
@@ -38,7 +36,7 @@ match_orders_(
 }
 
 template <common::Side AggressiveSide, TaggedOrder OrderT>
-glz::expected<match, bool>
+glz::expected<tagged_match, bool>
 match_incoming_order_(
     OrderT& aggressive_order, LimitOrderBook::stored_limit_order passive_order,
     CompositeOrderBook& orderbook, common::decimal_price order_fee
@@ -73,7 +71,7 @@ total_order_cost_(
 }
 
 template <common::Side AggressiveSide, typename OrderPairT>
-glz::expected<match, MatchFailure>
+glz::expected<tagged_match, MatchFailure>
 attempt_match_(OrderPairT& orders, common::decimal_price order_fee)
 {
     auto price_opt = orders.potential_match_price();
@@ -92,10 +90,12 @@ attempt_match_(OrderPairT& orders, common::decimal_price order_fee)
     GenericTrader* buyer = buy_order.trader;
     GenericTrader* seller = sell_order.trader;
 
-    if (!buyer->can_leverage() && buyer->get_portfolio().get_capital() < total_price) [[unlikely]]
+    if (!buyer->can_leverage() && buyer->get_portfolio().get_capital() < total_price)
+        [[unlikely]]
         return glz::unexpected(MatchFailure::buyer_failure);
     if (!seller->can_leverage()
-        && seller->get_portfolio().get_holdings(buy_order.ticker) < match_quantity) [[unlikely]]
+        && seller->get_portfolio().get_holdings(buy_order.ticker) < match_quantity)
+        [[unlikely]]
         return glz::unexpected(MatchFailure::seller_failure);
     if (buyer == seller) [[unlikely]] {
         return glz::unexpected(MatchFailure::buyer_failure);
@@ -104,7 +104,7 @@ attempt_match_(OrderPairT& orders, common::decimal_price order_fee)
 }
 
 template <TaggedOrder OrderT>
-glz::expected<match, bool>
+glz::expected<tagged_match, bool>
 match_incoming_order_(
     OrderT& aggressive_order, CompositeOrderBook& orderbook,
     common::decimal_price order_fee
@@ -128,12 +128,12 @@ match_incoming_order_(
 }
 
 template <TaggedOrder OrderT>
-std::vector<match>
+std::vector<tagged_match>
 match_order(
     OrderT order, CompositeOrderBook& orderbook, common::decimal_price order_fee
 )
 {
-    std::vector<match> matches;
+    std::vector<tagged_match> matches;
 
     while (order.quantity != 0.0) {
         auto match_opt = match_incoming_order_(order, orderbook, order_fee);
@@ -152,9 +152,9 @@ match_order(
     return matches;
 }
 
-template std::vector<match>
+template std::vector<tagged_match>
 match_order<>(tagged_limit_order, CompositeOrderBook&, common::decimal_price);
 
-template std::vector<match>
+template std::vector<tagged_match>
 match_order<>(tagged_market_order, CompositeOrderBook&, common::decimal_price);
 } // namespace nutc::exchange
diff --git a/exchange/src/exchange/matching/engine.hpp b/exchange/src/exchange/matching/engine.hpp
@@ -1,6 +1,5 @@
 #pragma once
 
-#include "common/messages_exchange_to_wrapper.hpp"
 #include "exchange/orders/orderbook/composite_orderbook.hpp"
 
 #include <glaze/util/expected.hpp>
@@ -10,7 +9,7 @@
 namespace nutc::exchange {
 
 template <TaggedOrder OrderT>
-std::vector<common::match> match_order(
+std::vector<tagged_match> match_order(
     OrderT order, CompositeOrderBook& orderbook, common::decimal_price order_fee = 0.0
 );
 

diff --git a/exchange/src/exchange/matching/order_pair.hpp b/exchange/src/exchange/matching/order_pair.hpp
@@ -1,6 +1,5 @@
 #pragma once
 
-#include "common/messages_exchange_to_wrapper.hpp"
 #include "common/types/decimal.hpp"
 #include "common/util.hpp"
 #include "exchange/orders/orderbook/composite_orderbook.hpp"
@@ -101,24 +100,13 @@ class OrderPair {
     }
 
     template <common::Side AggressiveSide>
-    common::match
+    tagged_match
     create_match(common::decimal_quantity quantity, common::decimal_price price) const
     {
         auto& buyer = get_underlying_order<side::buy>();
         auto& seller = get_underlying_order<side::sell>();
         common::position position{buyer.ticker, AggressiveSide, quantity, price};
-        // TODO: match_type is pretty bad, we should have a better way of tracking this.
-        // It's only used for metrics
-        std::string match_type =
-            fmt::format("{}->{}", seller.trader->get_type(), buyer.trader->get_type());
-        // TODO: can just use TraderPortfolio instead of entire trader
-        common::match match{
-            position, buyer.trader->get_id(), seller.trader->get_id(),
-            buyer.trader->get_portfolio().get_capital(),
-            seller.trader->get_portfolio().get_capital()
-        };
-        match.match_type = match_type;
-        return match;
+        return {buyer.trader, seller.trader, position};
     }
 
     common::decimal_quantity
@@ -131,21 +119,21 @@ class OrderPair {
 
     void
     handle_match(
-        const common::match& match, common::decimal_price order_fee,
+        const tagged_match& match, common::decimal_price order_fee,
         CompositeOrderBook& orderbook
     )
     {
         get_underlying_order<side::buy>().trader->get_portfolio().notify_match(
-            {match.position.ticker, common::Side::buy, match.position.quantity,
-             match.position.price * (common::decimal_price{1.0} + order_fee)}
+            {match.ticker, common::Side::buy, match.quantity,
+             match.price * (common::decimal_price{1.0} + order_fee)}
         );
         get_underlying_order<side::sell>().trader->get_portfolio().notify_match(
-            {match.position.ticker, common::Side::sell, match.position.quantity,
-             match.position.price * (common::decimal_price{1.0} - order_fee)}
+            {match.ticker, common::Side::sell, match.quantity,
+             match.price * (common::decimal_price{1.0} - order_fee)}
         );
 
-        change_order_quantity(seller, -match.position.quantity, orderbook);
-        change_order_quantity(buyer, -match.position.quantity, orderbook);
+        change_order_quantity(seller, -match.quantity, orderbook);
+        change_order_quantity(buyer, -match.quantity, orderbook);
     }
 
 private: