static int md_snapshot(struct fast_book *book, struct fast_message *msg)
{
struct price_level *levels;
struct fast_decimal price;
struct fast_field *field;
struct price_level level;
char type;
i64 size;
u32 ind;
field = fast_get_field(msg, "MDEntryType");
if (!field || field_state_empty(field))
goto fail;
type = field->string_value[0];
if (type == '0') {
levels = book->ob.bids;
} else if (type == '1') {
levels = book->ob.asks;
} else if (type == 'J') {
book_add_flags(book, FAST_BOOK_EMPTY);
goto exit;
} else {
goto fail;
}
field = fast_get_field(msg, "MDPriceLevel");
if (!field || field_state_empty(field))
goto fail;
ind = field->uint_value - 1;
field = fast_get_field(msg, "MDEntrySize");
if (!field || field_state_empty(field))
goto fail;
size = field->int_value;
field = fast_get_field(msg, "MDEntryPx");
if (!field || field_state_empty(field))
goto fail;
price = field->decimal_value;
if (price_align(&price, &book->tick))
goto fail;
level.price = price.mnt;
level.size = size;
if (set_price_level(levels, book->ob.depth, &level, ind))
goto fail;
exit:
return 0;
fail:
return -1;
}
static int apply_snapshot(struct fast_book_set *set, struct fast_book *dst, struct fast_message *msg)
{
struct fast_sequence *seq;
struct fast_field *field;
struct fast_message *md;
struct fast_book *book;
int i;
field = fast_get_field(msg, "SecurityID");
if (!field || field_state_empty(field))
goto fail;
book = fast_book_find(set, field->uint_value);
if (!book || book_has_flags(book, FAST_BOOK_ACTIVE))
goto done;
if (dst && dst->secid != book->secid)
goto done;
field = fast_get_field(msg, "MDEntries");
if (!field || field_state_empty(field))
goto fail;
seq = field->ptr_value;
if (field_state_empty(&seq->length))
goto fail;
field = fast_get_field(msg, "RptSeq");
if (!field || field_state_empty(field))
goto fail;
book->rptseq = field->uint_value;
book_clear_flags(book, FAST_BOOK_EMPTY);
book_add_mask(set, book);
for (i = 1; i <= seq->length.uint_value; i++) {
md = seq->elements + i;
if (md_snapshot(book, md))
goto fail;
}
if (!fast_book_is_valid(book)) {
if (!book_has_flags(book, FAST_BOOK_EMPTY))
goto fail;
} else {
book_add_flags(book, FAST_BOOK_ACTIVE);
}
done:
return 0;
fail:
return -1;
}
int snprintmsg(char *buf, size_t size, struct fast_message *msg)
{
struct fast_field *field;
char delim = '|';
int len = 0;
int i;
if (!msg)
goto exit;
if (len < size)
len += snprintf(buf + len, size - len, "%c", delim);
for (i = 0; i < msg->nr_fields && len < size; i++) {
field = msg->fields + i;
if (field_state_empty(field)) {
len += snprintf(buf + len, size - len, "none%c", delim);
continue;
}
switch (field->type) {
case FAST_TYPE_INT:
len += snprintf(buf + len, size - len, "%" PRId64 "%c", field->int_value, delim);
break;
case FAST_TYPE_UINT:
len += snprintf(buf + len, size - len, "%" PRIu64 "%c", field->uint_value, delim);
break;
case FAST_TYPE_STRING:
len += snprintf(buf + len, size - len, "%s%c", field->string_value, delim);
break;
case FAST_TYPE_DECIMAL:
len += snprintf(buf + len, size - len, "%" PRId64 "%c", field->decimal_value.exp, delim);
len += snprintf(buf + len, size - len, "%" PRId64 "%c", field->decimal_value.mnt, delim);
break;
case FAST_TYPE_SEQUENCE:
len += snprintseq(buf + len, size - len, field);
break;
default:
break;
}
}
exit:
return len;
}
static int recv_snapshot(struct fast_book_set *set, struct fast_feed *feed, struct fast_message **next)
{
struct fast_message *msg;
struct fast_field *field;
enum fix_msg_type type;
*next = NULL;
msg = fast_feed_recv(feed, 0);
if (!msg) {
goto done;
} else if (fast_msg_has_flags(msg, FAST_MSG_FLAGS_RESET)) {
fast_session_reset(feed->session);
goto done;
}
field = fast_get_field(msg, "MessageType");
if (!field || field_state_empty(field))
goto fail;
type = fix_msg_type_parse(field->string_value, 0x00);
switch (type) {
case FIX_MSG_TYPE_SESSION_STATUS:
break;
case FIX_MSG_TYPE_SEQUENCE_RESET:
break;
case FIX_MSG_TYPE_HEARTBEAT:
break;
case FIX_MSG_TYPE_SNAPSHOT_REFRESH:
*next = msg;
break;
default:
goto fail;
}
done:
return 0;
fail:
return -1;
}
int fmsgcmp(struct fast_message *expected, struct fast_message *actual)
{
struct fast_field *expected_field;
struct fast_field *actual_field;
int ret = 1;
int i;
if (expected->nr_fields != actual->nr_fields)
goto exit;
for (i = 0; i < expected->nr_fields; i++) {
actual_field = actual->fields + i;
expected_field = expected->fields + i;
if (actual_field->presence != expected_field->presence)
goto exit;
if (actual_field->type != expected_field->type)
goto exit;
if (actual_field->op != expected_field->op)
goto exit;
if (field_state_empty(actual_field)) {
if (field_state_empty(expected_field))
continue;
else
goto exit;
}
switch (expected_field->type) {
case FAST_TYPE_INT:
if (actual_field->int_value != expected_field->int_value)
goto exit;
break;
case FAST_TYPE_UINT:
if (actual_field->uint_value != expected_field->uint_value)
goto exit;
break;
case FAST_TYPE_STRING:
if (strcmp(actual_field->string_value, expected_field->string_value))
goto exit;
break;
case FAST_TYPE_DECIMAL:
if (actual_field->decimal_value.exp != expected_field->decimal_value.exp)
goto exit;
if (actual_field->decimal_value.mnt != expected_field->decimal_value.mnt)
goto exit;
break;
case FAST_TYPE_SEQUENCE:
break;
default:
break;
}
}
ret = 0;
exit:
return ret;
}
static int fast_books_join(struct fast_book_set *set, struct fast_book *book)
{
struct fast_message *inc_buf = NULL;
struct fast_message *tmp_buf;
struct fast_field *field;
struct fast_message *msg;
unsigned long size = 32;
unsigned long pos = 0;
u64 last_msg_seq_num;
u64 msg_seq_num = 0;
unsigned long i;
if (fast_feed_open(set->snp_feeds))
goto fail;
inc_buf = calloc(size, sizeof(struct fast_message));
if (!inc_buf)
goto fail;
book_clear_flags(book, FAST_BOOK_ACTIVE);
while (!book_has_flags(book, FAST_BOOK_ACTIVE)) {
if (next_increment(set, &msg))
goto fail;
if (!msg)
continue;
if (apply_increment(set, NULL, msg))
goto fail;
if (pos >= size) {
size *= 2;
tmp_buf = realloc(inc_buf, size * sizeof(struct fast_message));
if (!tmp_buf)
goto fail;
inc_buf = tmp_buf;
}
if (fast_message_copy(inc_buf + pos, msg)) {
goto fail;
} else
pos++;
if (!msg_seq_num) {
field = fast_get_field(msg, "MsgSeqNum");
if (!field || field_state_empty(field))
goto fail;
msg_seq_num = field->uint_value;
}
if (next_snapshot(set, &msg))
goto fail;
if (!msg)
continue;
field = fast_get_field(msg, "LastMsgSeqNumProcessed");
if (!field || field_state_empty(field))
goto fail;
last_msg_seq_num = field->uint_value;
if (last_msg_seq_num < msg_seq_num)
continue;
if (apply_snapshot(set, book, msg))
goto fail;
}
if (!pos)
goto fail;
for (i = 0; i < pos; i++) {
msg = inc_buf + i;
field = fast_get_field(msg, "MsgSeqNum");
if (!field || field_state_empty(field))
goto fail;
msg_seq_num = field->uint_value;
if (msg_seq_num <= last_msg_seq_num)
continue;
if (apply_increment(set, book, msg))
goto fail;
}
if (fast_feed_close(set->snp_feeds))
goto fail;
fast_message_free(inc_buf, pos);
return 0;
fail:
fast_feed_close(set->snp_feeds);
fast_message_free(inc_buf, pos);
return -1;
}
static int recv_increment(struct fast_book_set *set, struct fast_feed *feed, struct fast_message **next)
{
struct fast_message *msg;
struct fast_field *field;
enum fix_msg_type type;
u64 msg_num;
*next = NULL;
if (feed->recv_num > set->inc_msg_num)
goto done;
msg = fast_feed_recv(feed, 0);
if (!msg) {
goto done;
} else if (fast_msg_has_flags(msg, FAST_MSG_FLAGS_RESET)) {
fast_session_reset(feed->session);
goto done;
}
field = fast_get_field(msg, "MsgSeqNum");
if (!field || field_state_empty(field))
goto fail;
msg_num = field->uint_value;
feed->recv_num = msg_num;
if (!set->inc_msg_num) {
set->inc_msg_num = msg_num;
} else if (set->inc_msg_num + 1 == msg_num) {
set->inc_msg_num++;
if (set->inc_gap_mode)
set->inc_gap_mode = false;
} else if (set->inc_msg_num < msg_num) {
set->inc_gap_mode = true;
goto done;
} else
goto done;
field = fast_get_field(msg, "MessageType");
if (!field || field_state_empty(field))
goto fail;
type = fix_msg_type_parse(field->string_value, 0x00);
switch (type) {
case FIX_MSG_TYPE_SESSION_STATUS:
break;
case FIX_MSG_TYPE_SEQUENCE_RESET:
break;
case FIX_MSG_TYPE_HEARTBEAT:
break;
case FIX_MSG_TYPE_INCREMENT_REFRESH:
*next = msg;
break;
default:
goto fail;
}
done:
return 0;
fail:
return -1;
}
static int fast_books_join(struct fast_book_set *set, struct fast_book *book)
{
struct fast_message *inc_msg = NULL;
struct fast_message *snp_msg = NULL;
bool snp_received = false;
struct fast_field *field;
struct fast_book *sbook;
struct ob_level *level;
struct ob_order order;
u64 last_msg_seq_num;
u64 msg_num_init = 0;
u64 msg_num_cur = 0;
GList *list;
if (fast_feed_open(set->snp_feeds))
goto fail;
book_clear_flags(book, FAST_BOOK_ACTIVE);
book_add_flags(book, FAST_BOOK_JOIN);
while (!book_has_flags(book, FAST_BOOK_ACTIVE)) {
if (next_increment(set, &inc_msg))
goto fail;
if (inc_msg) {
if (apply_increment(set, NULL, inc_msg))
goto fail;
field = fast_get_field(inc_msg, "MsgSeqNum");
if (!field || field_state_empty(field))
goto fail;
msg_num_cur = field->uint_value;
if (!msg_num_init)
msg_num_init = msg_num_cur;
}
if (!snp_received) {
if (next_snapshot(set, &snp_msg))
goto fail;
}
if (snp_msg) {
field = fast_get_field(snp_msg, "SecurityID");
if (field) {
if (field_state_empty(field))
goto fail;
sbook = fast_book_by_id(set, field->uint_value);
if (!sbook || book->secid != sbook->secid)
continue;
} else {
field = fast_get_field(snp_msg, "Symbol");
if (!field || field_state_empty(field))
goto fail;
sbook = fast_book_by_symbol(set, field->string_value);
if (!sbook || strcmp(sbook->symbol, book->symbol))
continue;
}
field = fast_get_field(snp_msg, "LastMsgSeqNumProcessed");
if (!field || field_state_empty(field))
goto fail;
last_msg_seq_num = field->uint_value;
if (!msg_num_init)
continue;
if (last_msg_seq_num < msg_num_init)
continue;
snp_received = true;
if (last_msg_seq_num > msg_num_cur)
continue;
if (apply_snapshot(set, book, snp_msg))
goto fail;
if (book_has_flags(book, FAST_BOOK_EMPTY))
snp_received = false;
}
}
order.buy = false;
list = g_list_first(book->ob.glasks);
while (list) {
level = g_list_nth_data(list, 0);
list = g_list_next(list);
if (!level->size) {
order.price = level->price;
if (ob_level_delete(&book->ob, &order))
goto fail;
}
}
order.buy = true;
list = g_list_first(book->ob.glbids);
while (list) {
level = g_list_nth_data(list, 0);
list = g_list_next(list);
if (!level->size) {
order.price = level->price;
if (ob_level_delete(&book->ob, &order))
goto fail;
}
}
book_clear_flags(book, FAST_BOOK_JOIN);
if (fast_feed_close(set->snp_feeds))
goto fail;
return 0;
fail:
fast_feed_close(set->snp_feeds);
return -1;
}
static int md_increment(struct fast_book *book, struct fast_message *msg)
{
struct fast_decimal price;
struct fast_field *field;
struct ob_order order;
char type;
i64 size;
field = fast_get_field(msg, "MDEntryType");
if (!field || field_state_empty(field))
goto fail;
type = field->string_value[0];
if (type == '0') {
order.buy = true;
} else if (type == '1') {
order.buy = false;
} else if (type == 'J') {
book_add_flags(book, FAST_BOOK_EMPTY);
goto exit;
} else {
goto fail;
}
field = fast_get_field(msg, "MDEntrySize");
if (!field || field_state_empty(field))
goto fail;
switch (field->type) {
case FAST_TYPE_INT:
size = field->int_value;
break;
case FAST_TYPE_DECIMAL:
if (decimal_to_int(&field->decimal_value, &size))
goto fail;
break;
case FAST_TYPE_UINT:
case FAST_TYPE_STRING:
case FAST_TYPE_VECTOR:
case FAST_TYPE_SEQUENCE:
default:
goto fail;
}
field = fast_get_field(msg, "MDEntryPx");
if (!field || field_state_empty(field))
goto fail;
price = field->decimal_value;
if (price_align(&price, &book->tick))
goto fail;
order.seq_num = book->rptseq;
order.price = price.mnt;
order.size = size;
field = fast_get_field(msg, "MDUpdateAction");
if (!field || field_state_empty(field))
goto fail;
if (field->uint_value == 0) {
if (ob_level_modify(&book->ob, &order))
goto fail;
} else if (field->uint_value == 1) {
if (ob_level_modify(&book->ob, &order))
goto fail;
} else if (field->uint_value == 2) {
if (book_has_flags(book, FAST_BOOK_ACTIVE)) {
if (ob_level_delete(&book->ob, &order))
goto fail;
} else {
order.size = 0;
if (ob_level_modify(&book->ob, &order))
goto fail;
}
} else {
goto fail;
}
exit:
return 0;
fail:
return -1;
}
static int apply_snapshot(struct fast_book_set *set, struct fast_book *dst, struct fast_message *msg)
{
struct fast_sequence *seq;
struct fast_field *field;
struct fast_message *md;
struct fast_book *book;
int i;
field = fast_get_field(msg, "SecurityID");
if (field) {
if (field_state_empty(field))
goto fail;
book = fast_book_by_id(set, field->uint_value);
if (!book || book_has_flags(book, FAST_BOOK_ACTIVE))
goto done;
if (!book_has_flags(book, FAST_BOOK_JOIN))
goto done;
if (dst && dst->secid != book->secid)
goto done;
} else {
field = fast_get_field(msg, "Symbol");
if (!field || field_state_empty(field))
goto fail;
book = fast_book_by_symbol(set, field->string_value);
if (!book || book_has_flags(book, FAST_BOOK_ACTIVE))
goto done;
if (!book_has_flags(book, FAST_BOOK_JOIN))
goto done;
if (dst && strncmp(book->symbol, dst->symbol,
strlen(dst->symbol)))
goto done;
}
field = fast_get_field(msg, "MDEntries");
if (!field) {
field = fast_get_field(msg, "GroupMDEntries");
}
if (!field || field_state_empty(field))
goto fail;
seq = field->ptr_value;
if (field_state_empty(&seq->length))
goto fail;
if (!seq->length.uint_value)
goto done;
md = seq->elements;
field = fast_get_field(md, "TradingSessionID");
if (field) {
if (field_state_empty(field))
goto fail;
if (strncmp(book->session, field->string_value,
strlen(book->session)))
goto done;
}
field = fast_get_field(msg, "RptSeq");
if (!field || field_state_empty(field))
goto fail;
book->snpseq = field->uint_value;
book_clear_flags(book, FAST_BOOK_EMPTY);
book_add_mask(set, book);
for (i = 1; i <= seq->length.uint_value; i++) {
md = seq->elements + i;
if (md_snapshot(book, md))
goto fail;
}
if (!book_has_flags(book, FAST_BOOK_EMPTY))
book_add_flags(book, FAST_BOOK_ACTIVE);
done:
return 0;
fail:
return -1;
}