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Implement order book checksum in kraken #538

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16 changes: 8 additions & 8 deletions include/ccapi_cpp/ccapi_util_private.h
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Original file line number Diff line number Diff line change
Expand Up @@ -958,7 +958,7 @@ class Decimal {
}
}

explicit Decimal(std::string_view originalValue) {
explicit Decimal(std::string_view originalValue, bool checksumEnabled=false) {
if (originalValue.empty()) {
throw std::invalid_argument("Decimal constructor input value cannot be empty");
}
Expand All @@ -972,7 +972,7 @@ class Decimal {
}
std::string fixedPointValue = std::string(originalValue.substr(this->sign ? 0 : 1, this->sign ? foundE : foundE - 1));
auto foundDot = fixedPointValue.find('.');
if (foundDot != std::string::npos) {
if (foundDot != std::string::npos and not checksumEnabled) {
fixedPointValue.erase(fixedPointValue.find_last_not_of('0') + 1);
fixedPointValue.erase(fixedPointValue.find_last_not_of('.') + 1);
}
Expand Down Expand Up @@ -1017,9 +1017,9 @@ class Decimal {
}
if (foundDot != std::string::npos) {
this->frac = fixedPointValue.substr(foundDot + 1);
// if (!keepTrailingZero) {
this->frac.erase(this->frac.find_last_not_of('0') + 1);
// }
if (!checksumEnabled) {
this->frac.erase(this->frac.find_last_not_of('0') + 1);
}
}
} else {
auto found = originalValue.find('.');
Expand All @@ -1033,9 +1033,9 @@ class Decimal {
}
if (found != std::string::npos) {
this->frac = originalValue.substr(found + 1);
// if (!keepTrailingZero) {
this->frac.erase(this->frac.find_last_not_of('0') + 1);
// }
if (not checksumEnabled) {
this->frac.erase(this->frac.find_last_not_of('0') + 1);
}
}
}

Expand Down
23 changes: 12 additions & 11 deletions include/ccapi_cpp/service/ccapi_market_data_service.h
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Original file line number Diff line number Diff line change
Expand Up @@ -804,15 +804,15 @@ class MarketDataService : public Service {
for (auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, this->sessionOptions.enableCheckOrderBookChecksum);
snapshotBid.emplace(decimalPrice, std::string(size));
}
CCAPI_LOGGER_TRACE("lastNToString(snapshotBid, " + toString(maxMarketDepth) + ") = " + lastNToString(snapshotBid, maxMarketDepth));
} else if (type == MarketDataMessage::DataType::ASK) {
for (auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, this->sessionOptions.enableCheckOrderBookChecksum);
snapshotAsk.emplace(decimalPrice, std::string(size));
}
CCAPI_LOGGER_TRACE("firstNToString(snapshotAsk, " + toString(maxMarketDepth) + ") = " + firstNToString(snapshotAsk, maxMarketDepth));
Expand Down Expand Up @@ -894,14 +894,14 @@ class MarketDataService : public Service {
for (auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, this->sessionOptions.enableCheckOrderBookChecksum);
this->updateOrderBook(snapshotBid, decimalPrice, size, this->sessionOptions.enableCheckOrderBookChecksum);
}
} else if (type == MarketDataMessage::DataType::ASK) {
for (auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, this->sessionOptions.enableCheckOrderBookChecksum);
this->updateOrderBook(snapshotAsk, decimalPrice, size, this->sessionOptions.enableCheckOrderBookChecksum);
}
} else {
Expand Down Expand Up @@ -1098,7 +1098,7 @@ class MarketDataService : public Service {
this->highByConnectionIdChannelIdSymbolIdMap[wsConnectionPtr->id][channelId][symbolId] = Decimal(price);
this->lowByConnectionIdChannelIdSymbolIdMap[wsConnectionPtr->id][channelId][symbolId] = Decimal(price);
} else {
Decimal decimalPrice(price);
Decimal decimalPrice(price, this->sessionOptions.enableCheckOrderBookChecksum);
if (decimalPrice > this->highByConnectionIdChannelIdSymbolIdMap[wsConnectionPtr->id][channelId][symbolId]) {
this->highByConnectionIdChannelIdSymbolIdMap[wsConnectionPtr->id][channelId][symbolId] = decimalPrice;
}
Expand Down Expand Up @@ -1372,15 +1372,15 @@ class MarketDataService : public Service {
for (auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, this->sessionOptions.enableCheckOrderBookChecksum);
snapshotBid.emplace(decimalPrice, std::string(size));
}
CCAPI_LOGGER_TRACE("lastNToString(snapshotBid, " + toString(maxMarketDepth) + ") = " + lastNToString(snapshotBid, maxMarketDepth));
} else if (type == MarketDataMessage::DataType::ASK) {
for (auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, this->sessionOptions.enableCheckOrderBookChecksum);
snapshotAsk.emplace(decimalPrice, std::string(size));
}
CCAPI_LOGGER_TRACE("firstNToString(snapshotAsk, " + toString(maxMarketDepth) + ") = " + firstNToString(snapshotAsk, maxMarketDepth));
Expand Down Expand Up @@ -1520,14 +1520,14 @@ class MarketDataService : public Service {
for (const auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, that->sessionOptions.enableCheckOrderBookChecksum);
snapshotBid.emplace(decimalPrice, std::string(size));
}
} else if (type == MarketDataMessage::DataType::ASK) {
for (const auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, that->sessionOptions.enableCheckOrderBookChecksum);
snapshotAsk.emplace(decimalPrice, std::string(size));
}
}
Expand All @@ -1548,14 +1548,14 @@ class MarketDataService : public Service {
for (const auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, that->sessionOptions.enableCheckOrderBookChecksum);
that->updateOrderBook(snapshotBid, decimalPrice, size, that->sessionOptions.enableCheckOrderBookChecksum);
}
} else if (type == MarketDataMessage::DataType::ASK) {
for (const auto& y : detail) {
const auto& price = y.at(MarketDataMessage::DataFieldType::PRICE);
const auto& size = y.at(MarketDataMessage::DataFieldType::SIZE);
Decimal decimalPrice(price);
Decimal decimalPrice(price, that->sessionOptions.enableCheckOrderBookChecksum);
that->updateOrderBook(snapshotAsk, decimalPrice, size, that->sessionOptions.enableCheckOrderBookChecksum);
}
}
Expand Down Expand Up @@ -1671,6 +1671,7 @@ class MarketDataService : public Service {
Event& event, std::vector<MarketDataMessage>& marketDataMessageList) {}

virtual std::string calculateOrderBookChecksum(const std::map<Decimal, std::string>& snapshotBid, const std::map<Decimal, std::string>& snapshotAsk) {
CCAPI_LOGGER_DEBUG("calculateOrderBookChecksum is not implemented for this exchange");
return {};
}

Expand Down
72 changes: 60 additions & 12 deletions include/ccapi_cpp/service/ccapi_market_data_service_kraken.h
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Original file line number Diff line number Diff line change
Expand Up @@ -50,6 +50,47 @@ class MarketDataServiceKraken : public MarketDataService {
}
}

static void processForChecksum(std::string& str) {
str.erase(std::remove(str.begin(), str.end(), '.'), str.end());
UtilString::ltrimInPlace(str, "0");
}

std::vector<std::string> extractTop(const std::map<Decimal, std::string>& snapshot, bool reverse = false) {
std::vector<std::string> result;
int count = 0;

auto process_item = [&](auto it) {
std::string price = toString(it->first);
processForChecksum(price);
result.push_back(std::move(price));

std::string volume = it->second;
processForChecksum(volume);
result.push_back(std::move(volume));
};

if (reverse) {
for (auto it = snapshot.rbegin(); it != snapshot.rend() && count < 10; ++it, ++count) {
process_item(it);
}
} else {
for (auto it = snapshot.begin(); it != snapshot.end() && count < 10; ++it, ++count) {
process_item(it);
}
}
return result;
};

std::string calculateOrderBookChecksum(const std::map<Decimal, std::string>& snapshotBid, const std::map<Decimal, std::string>& snapshotAsk) override {
auto csAskData = extractTop(snapshotAsk);
auto csBidData = extractTop(snapshotBid, true);

std::string csStr = UtilString::join(csAskData, "") + UtilString::join(csBidData, "");
uint_fast32_t csCalc = UtilAlgorithm::crc(csStr.begin(), csStr.end());
CCAPI_LOGGER_DEBUG("csStr: " + csStr + ", csCalc: " + intToHex(csCalc));
return intToHex(csCalc);
}

std::vector<std::string> createSendStringList(std::shared_ptr<WsConnection> wsConnectionPtr) override {
std::vector<std::string> sendStringList;
for (const auto& subscriptionListByChannelIdSymbolId : this->subscriptionListByConnectionIdChannelIdSymbolIdMap.at(wsConnectionPtr->id)) {
Expand Down Expand Up @@ -186,19 +227,26 @@ class MarketDataServiceKraken : public MarketDataService {
marketDataMessage.exchangeSubscriptionId = exchangeSubscriptionId;
marketDataMessage.tp = latestTp;
marketDataMessage.recapType = MarketDataMessage::RecapType::NONE;
if (this->sessionOptions.enableCheckOrderBookChecksum) {
if (anonymous2.HasMember("c")) {
CCAPI_LOGGER_DEBUG("Checksum for " + symbolId + ": " + anonymous2["c"].GetString());
this->orderBookChecksumByConnectionIdSymbolIdMap[wsConnectionPtr->id][symbolId] =
intToHex(static_cast<uint_fast32_t>(static_cast<uint32_t>(std::stoul(anonymous2["c"].GetString()))));
}
}
if (anonymous2.HasMember("b")) {
for (const auto& x : anonymous2["b"].GetArray()) {
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, UtilString::normalizeDecimalStringView(x[0].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, UtilString::normalizeDecimalStringView(x[1].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, x[0].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, x[1].GetString());
marketDataMessage.data[MarketDataMessage::DataType::BID].emplace_back(std::move(dataPoint));
}
}
if (anonymous2.HasMember("a")) {
for (const auto& x : anonymous2["a"].GetArray()) {
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, UtilString::normalizeDecimalStringView(x[0].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, UtilString::normalizeDecimalStringView(x[1].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, x[0].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, x[1].GetString());
marketDataMessage.data[MarketDataMessage::DataType::ASK].emplace_back(std::move(dataPoint));
}
}
Expand All @@ -211,14 +259,14 @@ class MarketDataServiceKraken : public MarketDataService {
marketDataMessage.tp = timeReceived;
for (const auto& x : anonymous["bs"].GetArray()) {
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, UtilString::normalizeDecimalStringView(x[0].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, UtilString::normalizeDecimalStringView(x[1].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, x[0].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, x[1].GetString());
marketDataMessage.data[MarketDataMessage::DataType::BID].emplace_back(std::move(dataPoint));
}
for (const auto& x : anonymous["as"].GetArray()) {
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, UtilString::normalizeDecimalStringView(x[0].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, UtilString::normalizeDecimalStringView(x[1].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, x[0].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, x[1].GetString());
marketDataMessage.data[MarketDataMessage::DataType::ASK].emplace_back(std::move(dataPoint));
}
marketDataMessageList.emplace_back(std::move(marketDataMessage));
Expand All @@ -235,8 +283,8 @@ class MarketDataServiceKraken : public MarketDataService {
tp += std::chrono::nanoseconds(timePair.second);
marketDataMessage.tp = tp;
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, UtilString::normalizeDecimalStringView(x[0].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, UtilString::normalizeDecimalStringView(x[1].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, x[0].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, x[1].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::IS_BUYER_MAKER, std::string_view(x[3].GetString()) == "s" ? "1" : "0");
marketDataMessage.data[MarketDataMessage::DataType::TRADE].emplace_back(std::move(dataPoint));
marketDataMessageList.emplace_back(std::move(marketDataMessage));
Expand Down Expand Up @@ -372,8 +420,8 @@ class MarketDataServiceKraken : public MarketDataService {
tp += std::chrono::nanoseconds(timePair.second);
marketDataMessage.tp = tp;
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, UtilString::normalizeDecimalStringView(x[0].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, UtilString::normalizeDecimalStringView(x[1].GetString()));
dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, x[0].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::SIZE, x[1].GetString());
dataPoint.emplace(MarketDataMessage::DataFieldType::IS_BUYER_MAKER, std::string_view(x[3].GetString()) == "s" ? "1" : "0");
marketDataMessage.data[MarketDataMessage::DataType::TRADE].emplace_back(std::move(dataPoint));
marketDataMessageList.emplace_back(std::move(marketDataMessage));
Expand Down
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