itch_handler.cpp

//
// Created by Ivan Shynkarenka on 24.07.2017
//

#include "trader/providers/nasdaq/itch_handler.h"

#include "benchmark/reporter_console.h"
#include "filesystem/file.h"
#include "system/stream.h"
#include "time/timestamp.h"

#include <OptionParser.h>

using namespace CppCommon;
using namespace CppTrader::ITCH;

class MyITCHHandler : public ITCHHandler
{
public:
    MyITCHHandler()
        : _messages(0),
          _errors(0)
    {}

    size_t messages() const { return _messages; }
    size_t errors() const { return _errors; }

protected:
    bool onMessage(const SystemEventMessage& message) override { ++_messages; return true; }
    bool onMessage(const StockDirectoryMessage& message) override { ++_messages; return true; }
    bool onMessage(const StockTradingActionMessage& message) override { ++_messages; return true; }
    bool onMessage(const RegSHOMessage& message) override { ++_messages; return true; }
    bool onMessage(const MarketParticipantPositionMessage& message) override { ++_messages; return true; }
    bool onMessage(const MWCBDeclineMessage& message) override { ++_messages; return true; }
    bool onMessage(const MWCBStatusMessage& message) override { ++_messages; return true; }
    bool onMessage(const IPOQuotingMessage& message) override { ++_messages; return true; }
    bool onMessage(const AddOrderMessage& message) override { ++_messages; return true; }
    bool onMessage(const AddOrderMPIDMessage& message) override { ++_messages; return true; }
    bool onMessage(const OrderExecutedMessage& message) override { ++_messages; return true; }
    bool onMessage(const OrderExecutedWithPriceMessage& message) override { ++_messages; return true; }
    bool onMessage(const OrderCancelMessage& message) override { ++_messages; return true; }
    bool onMessage(const OrderDeleteMessage& message) override { ++_messages; return true; }
    bool onMessage(const OrderReplaceMessage& message) override { ++_messages; return true; }
    bool onMessage(const TradeMessage& message) override { ++_messages; return true; }
    bool onMessage(const CrossTradeMessage& message) override { ++_messages; return true; }
    bool onMessage(const BrokenTradeMessage& message) override { ++_messages; return true; }
    bool onMessage(const NOIIMessage& message) override { ++_messages; return true; }
    bool onMessage(const RPIIMessage& message) override { ++_messages; return true; }
    bool onMessage(const LULDAuctionCollarMessage& message) override { ++_messages; return true; }
    bool onMessage(const UnknownMessage& message) override { ++_errors; return true; }

private:
    size_t _messages;
    size_t _errors;
};

int main(int argc, char** argv)
{
    auto parser = optparse::OptionParser().version("1.0.0.0");

    parser.add_option("-i", "--input").dest("input").help("Input file name");

    optparse::Values options = parser.parse_args(argc, argv);

    // Print help
    if (options.get("help"))
    {
        parser.print_help();
        return 0;
    }

    MyITCHHandler itch_handler;

    // Open the input file or stdin
    std::unique_ptr<Reader> input(new StdInput());
    if (options.is_set("input"))
    {
        File* file = new File(Path(options.get("input")));
        file->Open(true, false);
        input.reset(file);
    }

    // Perform input
    size_t size;
    uint8_t buffer[8192];
    std::cout << "ITCH processing...";
    uint64_t timestamp_start = Timestamp::nano();
    while ((size = input->Read(buffer, sizeof(buffer))) > 0)
    {
        // Process the buffer
        itch_handler.Process(buffer, size);
    }
    uint64_t timestamp_stop = Timestamp::nano();
    std::cout << "Done!" << std::endl;

    std::cout << std::endl;

    std::cout << "Errors: " << itch_handler.errors() << std::endl;

    std::cout << std::endl;

    size_t total_messages = itch_handler.messages();

    std::cout << "Processing time: " << CppBenchmark::ReporterConsole::GenerateTimePeriod(timestamp_stop - timestamp_start) << std::endl;
    std::cout << "Total ITCH messages: " << total_messages << std::endl;
    std::cout << "ITCH message latency: " << CppBenchmark::ReporterConsole::GenerateTimePeriod((timestamp_stop - timestamp_start) / total_messages) << std::endl;
    std::cout << "ITCH message throughput: " << total_messages * 1000000000 / (timestamp_stop - timestamp_start) << " msg/s" << std::endl;

    return 0;
}