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WIP Migrating orderbook to variable message size #3

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34 changes: 23 additions & 11 deletions pom.xml
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Original file line number Diff line number Diff line change
Expand Up @@ -62,6 +62,8 @@
<mockito.version>3.3.3</mockito.version>
<hamcrest.version>1.3</hamcrest.version>

<openhft.chronicle.wire.version>2.19.1</openhft.chronicle.wire.version>

</properties>

<dependencyManagement>
Expand All @@ -72,7 +74,6 @@
<groupId>org.agrona</groupId>
<artifactId>agrona</artifactId>
<version>${agrona.version}</version>
<scope>test</scope>
</dependency>


Expand All @@ -84,18 +85,26 @@
<scope>test</scope>
</dependency>


<!--
<dependency>
<groupId>net.openhft</groupId>
<artifactId>chronicle-wire</artifactId>
<version>${openhft.chronicle.wire.version}</version>
</dependency>
-->


<!-- Eclipse (Goldman Sachs) collections -->
<dependency>
<groupId>org.eclipse.collections</groupId>
<artifactId>eclipse-collections-api</artifactId>
<version>${eclipse.collections.version}</version>
<scope>test</scope>
</dependency>
<dependency>
<groupId>org.eclipse.collections</groupId>
<artifactId>eclipse-collections</artifactId>
<version>${eclipse.collections.version}</version>
<scope>test</scope>
</dependency>

<!-- Google Guava -->
Expand Down Expand Up @@ -192,28 +201,31 @@

<dependencies>

<dependency>
<groupId>org.slf4j</groupId>
<artifactId>slf4j-api</artifactId>
<scope>provided</scope>
</dependency>

<!-- <dependency>
<groupId>net.openhft</groupId>
<artifactId>chronicle-wire</artifactId>
</dependency>-->

<dependency>
<groupId>org.agrona</groupId>
<artifactId>agrona</artifactId>
<scope>test</scope>
</dependency>

<dependency>
<groupId>org.eclipse.collections</groupId>
<artifactId>eclipse-collections-api</artifactId>
<scope>test</scope>
</dependency>

<dependency>
<groupId>org.eclipse.collections</groupId>
<artifactId>eclipse-collections</artifactId>
<scope>test</scope>
</dependency>

<dependency>
<groupId>org.slf4j</groupId>
<artifactId>slf4j-api</artifactId>
<scope>provided</scope>
</dependency>

<dependency>
Expand Down
2 changes: 1 addition & 1 deletion src/main/java/exchange/core2/collections/orderbook/IOrder.java
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Expand Up @@ -13,7 +13,7 @@
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package exchange.core2.core.common;
package exchange.core2.collections.orderbook;

public interface IOrder extends StateHash {

Expand Down
198 changes: 100 additions & 98 deletions src/main/java/exchange/core2/collections/orderbook/IOrderBook.java
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Expand Up @@ -13,24 +13,17 @@
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package exchange.core2.core.orderbook;

import exchange.core2.collections.objpool.ObjectsPool;
import exchange.core2.core.common.*;
import exchange.core2.core.common.cmd.CommandResultCode;
import exchange.core2.core.common.cmd.OrderCommand;
import exchange.core2.core.common.cmd.OrderCommandType;
import exchange.core2.core.common.config.LoggingConfiguration;
import exchange.core2.core.utils.HashingUtils;
import lombok.Getter;
import net.openhft.chronicle.bytes.BytesIn;
import net.openhft.chronicle.bytes.WriteBytesMarshallable;
package exchange.core2.collections.orderbook;

import org.agrona.BitUtil;
import org.agrona.DirectBuffer;

import java.util.Iterator;
import java.util.List;
import java.util.Objects;
import java.util.stream.Stream;

public interface IOrderBook extends WriteBytesMarshallable, StateHash {
public interface IOrderBook<S extends ISymbolSpecification> extends StateHash {

/**
* Process new order.
Expand All @@ -41,41 +34,41 @@ public interface IOrderBook extends WriteBytesMarshallable, StateHash {
* GTC - place as a new limit order into th order book.
* <p>
* Rejection chain attached in case of error (to simplify risk handling)
*
* @param cmd - order to match/place
* <p>
* |---byte orderCommandType---|---long uid---|---long orderId---|---long price---|
* |---long size---|---byte orderAction---|---byte orderType---|---int productCode---|
*/
void newOrder(OrderCommand cmd);
void newOrder(DirectBuffer buffer, int offset);

/**
* Cancel order completely.
* <p>
* fills cmd.action with original original order action
*
* @param cmd - order command
* @return MATCHING_UNKNOWN_ORDER_ID if order was not found, otherwise SUCCESS
* <p>
* |---byte orderCommandType---|---long uid---|---long orderId---|---int productCode---|
*/
CommandResultCode cancelOrder(OrderCommand cmd);
void cancelOrder(DirectBuffer buffer, int offset);

/**
* Decrease the size of the order by specific number of lots
* <p>
* fills cmd.action with original order action
*
* @param cmd - order command
* @return MATCHING_UNKNOWN_ORDER_ID if order was not found, otherwise SUCCESS
* <p>
* |---byte orderCommandType---|---long uid---|---long orderId---|---long reduceSize---|
* |---int productCode---|
*/
CommandResultCode reduceOrder(OrderCommand cmd);
void reduceOrder(DirectBuffer buffer, int offset);

/**
* Move order
* <p>
* newPrice - new price (if 0 or same - order will not moved)
* fills cmd.action with original original order action
*
* @param cmd - order command
* @return MATCHING_UNKNOWN_ORDER_ID if order was not found, otherwise SUCCESS
* <p>
* |---byte orderCommandType---|---long uid---|---long orderId---|---long newPrice---|
* |---int productCode---|
*/
CommandResultCode moveOrder(OrderCommand cmd);
void moveOrder(DirectBuffer buffer, int offset);

// testing only ?
int getOrdersNum(OrderAction action);
Expand All @@ -89,11 +82,6 @@ public interface IOrderBook extends WriteBytesMarshallable, StateHash {
// testing only - validateInternalState without changing state
void validateInternalState();

/**
* @return actual implementation
*/
OrderBookImplType getImplementationType();

/**
* Search for all orders for specified user.<p>
* Slow, because order book do not maintain uid-to-order index.<p>
Expand All @@ -103,9 +91,9 @@ public interface IOrderBook extends WriteBytesMarshallable, StateHash {
* @param uid user id
* @return list of orders
*/
List<Order> findUserOrders(long uid);
List<IOrder> findUserOrders(long uid);

CoreSymbolSpecification getSymbolSpec();
S getSymbolSpec();

Stream<? extends IOrder> askOrdersStream(boolean sorted);

Expand All @@ -129,11 +117,20 @@ default int stateHash() {
// log.debug(" getSymbolSpec hash: {}", orderBook.getSymbolSpec().stateHash());

return Objects.hash(
HashingUtils.stateHashStream(askOrdersStream(true)),
HashingUtils.stateHashStream(bidOrdersStream(true)),
stateHashStream(askOrdersStream(true)),
stateHashStream(bidOrdersStream(true)),
getSymbolSpec().stateHash());
}

static int stateHashStream(final Stream<? extends StateHash> stream) {
int h = 0;
final Iterator<? extends StateHash> iterator = stream.iterator();
while (iterator.hasNext()) {
h = h * 31 + iterator.next().stateHash();
}
return h;
}

/**
* Obtain current L2 Market Data snapshot
*
Expand Down Expand Up @@ -173,81 +170,86 @@ default void publishL2MarketDataSnapshot(L2MarketData data) {
int getTotalBidBuckets(int limit);


static CommandResultCode processCommand(final IOrderBook orderBook, final OrderCommand cmd) {

final OrderCommandType commandType = cmd.command;

if (commandType == OrderCommandType.MOVE_ORDER) {

return orderBook.moveOrder(cmd);
/*
* Error code
*/

} else if (commandType == OrderCommandType.CANCEL_ORDER) {
short MATCHING_SUCCESS = 0;

return orderBook.cancelOrder(cmd);
short MATCHING_UNKNOWN_ORDER_ID = -3002;
short MATCHING_UNSUPPORTED_COMMAND = -3004;
short MATCHING_INVALID_ORDER_BOOK_ID = -3005;
short MATCHING_MOVE_FAILED_PRICE_OVER_RISK_LIMIT = -3041;
short MATCHING_REDUCE_FAILED_WRONG_SIZE = -3051;

} else if (commandType == OrderCommandType.REDUCE_ORDER) {
/*
* Incoming message offsets
*
*/
int PLACE_OFFSET_UID = 0;
int PLACE_OFFSET_ORDER_ID = PLACE_OFFSET_UID + BitUtil.SIZE_OF_LONG;
int PLACE_OFFSET_PRICE = PLACE_OFFSET_ORDER_ID + BitUtil.SIZE_OF_LONG;
int PLACE_OFFSET_RESERVED_BID_PRICE = PLACE_OFFSET_PRICE + BitUtil.SIZE_OF_LONG;
int PLACE_OFFSET_SIZE = PLACE_OFFSET_PRICE + BitUtil.SIZE_OF_LONG;
int PLACE_OFFSET_ACTION = PLACE_OFFSET_SIZE + BitUtil.SIZE_OF_LONG;
int PLACE_OFFSET_TYPE = PLACE_OFFSET_ACTION + BitUtil.SIZE_OF_BYTE;
int PLACE_OFFSET_END = PLACE_OFFSET_TYPE + BitUtil.SIZE_OF_BYTE;

int CANCEL_OFFSET_UID = 0;
int CANCEL_OFFSET_ORDER_ID = CANCEL_OFFSET_UID + BitUtil.SIZE_OF_LONG;
int CANCEL_OFFSET_END = CANCEL_OFFSET_ORDER_ID + BitUtil.SIZE_OF_LONG;

int REDUCE_OFFSET_UID = 0;
int REDUCE_OFFSET_ORDER_ID = REDUCE_OFFSET_UID + BitUtil.SIZE_OF_LONG;
int REDUCE_OFFSET_SIZE = REDUCE_OFFSET_ORDER_ID + BitUtil.SIZE_OF_LONG;
int REDUCE_OFFSET_END = REDUCE_OFFSET_SIZE + BitUtil.SIZE_OF_LONG;

int MOVE_OFFSET_UID = 0;
int MOVE_OFFSET_ORDER_ID = MOVE_OFFSET_UID + BitUtil.SIZE_OF_LONG;
int MOVE_OFFSET_PRICE = MOVE_OFFSET_ORDER_ID + BitUtil.SIZE_OF_LONG;
int MOVE_OFFSET_END = MOVE_OFFSET_PRICE + BitUtil.SIZE_OF_LONG;

/*
* Outgoing message offset
*/
int RESPONSE_CODE_SIZE = BitUtil.SIZE_OF_SHORT;
int RESPONSE_FIRST_MSG_OFFSET = RESPONSE_CODE_SIZE + BitUtil.SIZE_OF_INT;

return orderBook.reduceOrder(cmd);

} else if (commandType == OrderCommandType.PLACE_ORDER) {
/*
* Order types
*/

if (cmd.resultCode == CommandResultCode.VALID_FOR_MATCHING_ENGINE) {
orderBook.newOrder(cmd);
return CommandResultCode.SUCCESS;
} else {
return cmd.resultCode; // no change
}
byte ORDER_TYPE_GTC = 0; // Good till Cancel - equivalent to regular limit order

} else if (commandType == OrderCommandType.ORDER_BOOK_REQUEST) {
int size = (int) cmd.size;
cmd.marketData = orderBook.getL2MarketDataSnapshot(size >= 0 ? size : Integer.MAX_VALUE);
return CommandResultCode.SUCCESS;
// Immediate or Cancel - equivalent to strict-risk market order
byte ORDER_TYPE_IOC = 1; // with price cap
byte ORDER_TYPE_IOC_BUDGET = 2; // with total amount cap

} else {
return CommandResultCode.MATCHING_UNSUPPORTED_COMMAND;
}
// Fill or Kill - execute immediately completely or not at all
byte ORDER_TYPE_FOK = 3; // with price cap
byte ORDER_TYPE_FOK_BUDGET = 4; // total amount cap

}

static IOrderBook create(BytesIn bytes, ObjectsPool objectsPool, OrderBookEventsHelper eventsHelper, LoggingConfiguration loggingCfg) {
switch (OrderBookImplType.of(bytes.readByte())) {
case NAIVE:
return new OrderBookNaiveImpl(bytes, loggingCfg);
case DIRECT:
return new OrderBookDirectImpl(bytes, objectsPool, eventsHelper, loggingCfg);
default:
throw new IllegalArgumentException();
}
}

@FunctionalInterface
interface OrderBookFactory {

IOrderBook create(CoreSymbolSpecification spec, ObjectsPool pool, OrderBookEventsHelper eventsHelper, LoggingConfiguration loggingCfg);
}
/*
* Matcher Event types
*/

@Getter
enum OrderBookImplType {
NAIVE(0),
DIRECT(2);
// After cancel/reduce order - risk engine should unlock deposit accordingly
byte MATCHER_EVENT_REDUCE = 0;

private byte code;
// Trade event
// Can be triggered by place ORDER or for MOVE order command.
byte MATCHER_EVENT_TRADE = 1;

OrderBookImplType(int code) {
this.code = (byte) code;
}
// Reject event
// Can happen only when MARKET order has to be rejected by Matcher Engine due lack of liquidity
// That basically means no ASK (or BID) orders left in the order book for any price.
// Before being rejected active order can be partially filled.
byte MATCHER_EVENT_REJECT = 2;

public static OrderBookImplType of(byte code) {
switch (code) {
case 0:
return NAIVE;
case 2:
return DIRECT;
default:
throw new IllegalArgumentException("unknown OrderBookImplType:" + code);
}
}
}
// Custom binary data attached
byte MATCHER_EVENT_BINARY_EVENT = 3;


}
7 changes: 6 additions & 1 deletion src/main/java/exchange/core2/collections/orderbook/IPlaceOrderCommand.java
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@@ -1,4 +1,9 @@
package exchange.core2.collections.orderbook;

public class IPlaceOrder {
public interface IPlaceOrderCommand {

long getOrderId(long offset);
int getSymbolId(long offset);
int get(long offset);

}
6 changes: 5 additions & 1 deletion src/main/java/exchange/core2/collections/orderbook/ISymbolSpecification.java
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@@ -1,4 +1,8 @@
package exchange.core2.collections.orderbook;

public class ISymbolSpecification {
public interface ISymbolSpecification extends StateHash {

boolean isExchangeType();

}

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