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Data Cleanup
Added DataMapper, removed Doubles from code and replaced with Long for Price and Quantity (decimal offset to be determined)
1 parent ac784e0 commit 8dc936b

24 files changed

+315
-146
lines changed

‎exchange/src/main/java/com/alignmentsystems/matching/DataMapper.java‎

Lines changed: 43 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,43 @@
1+
package com.alignmentsystems.matching;
2+
/******************************************************************************
3+
*
4+
* Author : John Greenan
5+
* Contact : sales@alignment-systems.com
6+
* Date : 13th September 2023
7+
* Copyright : Alignment Systems Ltd 2023
8+
* Project : Alignment Matching Toy
9+
* Artefact : DataMapper
10+
* Description :
11+
*****************************************************************************/
12+
import java.util.HashMap;
13+
14+
/**
15+
* @author <a href="mailto:sales@alignment-systems.com">John Greenan</a>
16+
*
17+
*/
18+
public class DataMapper {
19+
private HashMap<String, Long> memberFIXSenderCompIdToExchangeIdMap = new HashMap<String, Long>();
20+
private HashMap<String, Long> memberInstrumentIdToExchangeInstrumentIdMap = new HashMap<String, Long>();
21+
22+
protected HashMap<String, Long> getMemberFIXSenderCompIdToExchangeIdMap() {
23+
return memberFIXSenderCompIdToExchangeIdMap;
24+
}
25+
26+
protected HashMap<String, Long> getMemberInstrumentIdToExchangeInstrumentIdMap() {
27+
return memberInstrumentIdToExchangeInstrumentIdMap;
28+
}
29+
30+
public DataMapper() {
31+
Long added = Long.MIN_VALUE;
32+
memberFIXSenderCompIdToExchangeIdMap.put("MEMBER_A", added);
33+
added++;
34+
memberFIXSenderCompIdToExchangeIdMap.put("MEMBER_B", added);
35+
added++;
36+
memberFIXSenderCompIdToExchangeIdMap.put("EXCHANGE", added);
37+
38+
39+
memberInstrumentIdToExchangeInstrumentIdMap.put("Badger.W", Long.MAX_VALUE);
40+
41+
}
42+
43+
}

‎exchange/src/main/java/com/alignmentsystems/matching/FIXEngineExchange.java‎

Lines changed: 1 addition & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -238,8 +238,7 @@ public void onMessage(com.alignmentsystems.fix44.NewOrderSingle message, Session
238238

239239
AlignmentOrder ao = new AlignmentOrder();
240240

241-
ao.setNewOrderSingle(message, sessionID, MessageDirection.RECEIVED, UUID.randomUUID().toString(),
242-
orderBookSide);
241+
ao.setNewOrderSingle(message, sessionID, UUID.randomUUID(), orderBookSide);
243242

244243
StringBuilder sb = new StringBuilder().append(" OrderID=(").append(ao.getOrderId()).append(" ClOrdID=(")
245244
.append(ao.getClOrdID()).append(" Side=(").append(ao.getOrderBookSide().sideValue)

‎exchange/src/main/java/com/alignmentsystems/matching/FIXToBinaryProcessor.java‎

Lines changed: 70 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -14,6 +14,7 @@
1414
*****************************************************************************/
1515

1616
import java.nio.ByteBuffer;
17+
import java.util.HashMap;
1718
import java.util.Properties;
1819
import java.util.concurrent.ConcurrentLinkedQueue;
1920
import java.util.concurrent.atomic.AtomicBoolean;
@@ -24,6 +25,7 @@
2425
import com.alignmentsystems.library.LibraryFunctions;
2526
import com.alignmentsystems.library.LogEncapsulation;
2627
import com.alignmentsystems.library.constants.Constants;
28+
import com.alignmentsystems.library.enumerations.Encodings;
2729
import com.alignmentsystems.library.enumerations.InstanceType;
2830
import com.alignmentsystems.library.interfaces.InterfaceFIXToBinaryProcessor;
2931
import com.alignmentsystems.library.interfaces.InterfaceOrder;
@@ -35,7 +37,13 @@ public class FIXToBinaryProcessor implements Runnable, InterfaceFIXToBinaryProce
3537
private KafkaProducer<String, byte[]> kafkaProducerB = null;
3638
private AtomicBoolean running = new AtomicBoolean(false);
3739
private final static int MILLISLEEP = 200;
40+
private DataMapper dataMapper = null;
41+
private HashMap<String, Long> memberFIXSenderCompIdToExchangeIdMap;
42+
private HashMap<String, Long> memberInstrumentIdToExchangeInstrumentIdMap;
3843

44+
45+
46+
3947
public FIXToBinaryProcessor() {
4048
// TODO Auto-generated constructor stub
4149
}
@@ -45,12 +53,19 @@ public boolean initialise(ConcurrentLinkedQueue<InterfaceOrder> inQueue, LogEnca
4553
this.inQueue = inQueue;
4654
this.log = log;
4755

56+
dataMapper = new DataMapper();
57+
58+
memberFIXSenderCompIdToExchangeIdMap = dataMapper.getMemberFIXSenderCompIdToExchangeIdMap();
59+
memberInstrumentIdToExchangeInstrumentIdMap = dataMapper.getMemberInstrumentIdToExchangeInstrumentIdMap();
60+
61+
62+
4863
if (this.kafkaProducerB == null) {
4964
Properties props;
5065
try {
5166
props = LibraryFunctions.getProperties(FIXToBinaryProcessor.class.getClassLoader(), InstanceType.KAFKA.getProperties());
5267
} catch (FileNotFoundException | NullPointerException e) {
53-
log.error(e.getMessage() , e);
68+
this.log.error(e.getMessage() , e);
5469
throw e;
5570
}
5671
this.kafkaProducerB = new KafkaProducer<>(props);
@@ -60,21 +75,68 @@ public boolean initialise(ConcurrentLinkedQueue<InterfaceOrder> inQueue, LogEnca
6075

6176
}
6277

78+
private Sender getBufferFromOrder(InterfaceOrder inSeq) {
79+
80+
String symbol = inSeq.getSymbol();
81+
String orderId = inSeq.getOrderId().toString();
82+
83+
Long exchangeIdMappedFromSenderCompID = memberFIXSenderCompIdToExchangeIdMap.get(inSeq.getSender());
84+
Long exchangeIdMappedFromTargetCompID = memberFIXSenderCompIdToExchangeIdMap.get(inSeq.getTarget());
85+
Long exchangeInstrumentIdMappedFromSymbol = memberInstrumentIdToExchangeInstrumentIdMap.get(inSeq.getSymbol());
86+
87+
88+
final Encodings encoding = Encodings.FIXSBELITTLEENDIAN;
89+
// TODO Auto-generated method stub
90+
int bufferLength =
91+
Long.BYTES * 2 //ClOrdId
92+
+
93+
Long.BYTES * 2 //OrderId
94+
+
95+
Long.BYTES //exchangeIdMappedFromSenderCompID.BYTES
96+
+
97+
Long.BYTES //exchangeIdMappedFromTargetCompID.BYTES
98+
+
99+
Long.BYTES //this.orderQty
100+
+
101+
Long.BYTES //this.limitPrice
102+
+
103+
Long.BYTES //exchangeInstrumentIdMappedFromSymbol.BYTES
104+
+
105+
Double.BYTES //this.ts
106+
;
107+
108+
ByteBuffer buf = ByteBuffer.allocate(bufferLength).order(encoding.getByteOrder());
109+
buf.putLong(inSeq.getClOrdID().getLeastSignificantBits());
110+
buf.putLong(inSeq.getClOrdID().getMostSignificantBits());
111+
buf.putLong(inSeq.getOrderId().getLeastSignificantBits());
112+
buf.putLong(inSeq.getOrderId().getMostSignificantBits());
113+
buf.putLong(exchangeIdMappedFromSenderCompID);
114+
buf.putLong(exchangeIdMappedFromTargetCompID);
115+
buf.putLong(inSeq.getOrderQty());
116+
buf.putLong(inSeq.getLimitPrice());
117+
buf.putLong(exchangeInstrumentIdMappedFromSymbol);
118+
buf.putLong(Double.doubleToLongBits(inSeq.getTimestamp().toInstant().toEpochMilli()));
119+
120+
Sender sender = new Sender(buf, symbol, orderId);
121+
122+
123+
return sender;
124+
}
125+
126+
127+
128+
63129
@Override
64130
public void run() {
65131
running.set(true);
66-
ByteBuffer bb = null;
67-
String symbol = null;
68-
String orderId = null;
132+
69133
while (running.get()) {
70134

71135
InterfaceOrder inSeq = inQueue.poll();
72136

73137
if (inSeq != null) {
74-
bb = inSeq.getBinaryOrderData();
75-
symbol = inSeq.getSymbol();
76-
orderId = inSeq.getOrderId();
77-
this.send(symbol, orderId, bb);
138+
Sender sender = getBufferFromOrder(inSeq);
139+
this.send(sender.getSymbol(), sender.getOrderId(), sender.getBb());
78140
}
79141
try {
80142
Thread.currentThread();

‎exchange/src/main/java/com/alignmentsystems/matching/InstanceWrapper.java‎

Lines changed: 15 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -47,6 +47,8 @@ public boolean initialise(InstanceType instanceType) {
4747
sb.append(CLASSNAME).append(" Started instance=").append(this.instanceType.type).append(" Started version=")
4848
.append(LibraryFunctions.getVersion(this.getClass()));
4949

50+
51+
Boolean returnValue = Boolean.FALSE;
5052
log.info(sb.toString());
5153

5254
// What do we do here?
@@ -58,12 +60,22 @@ public boolean initialise(InstanceType instanceType) {
5860
switch (instanceType) {
5961

6062
case FIXMESSAGINGINFRA:
61-
return initialiseFIXMessagingInfrastructure(instanceType);
63+
returnValue = initialiseFIXMessagingInfrastructure(instanceType);
6264
case ORDERBOOK:
63-
return initialiseOrderBook(instanceType) ;
65+
returnValue = initialiseOrderBook(instanceType) ;
6466
default:
65-
return false;
67+
returnValue = false;
6668
}
69+
while (returnValue) {
70+
try {
71+
this.wait(2000);
72+
} catch (InterruptedException e) {
73+
log.error(e.getMessage() , e );
74+
}
75+
}
76+
return returnValue;
77+
78+
6779
}
6880

6981
private Boolean initialiseOrderBook(InstanceType instanceType) {

‎exchange/src/main/java/com/alignmentsystems/matching/KafkaAbstractSimple.java‎

Lines changed: 2 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -11,7 +11,8 @@
1111
*****************************************************************************/
1212

1313
/**
14-
* The type Abstract class SimpleKafka
14+
* @author <a href="mailto:sales@alignment-systems.com">John Greenan</a>
15+
*
1516
*/
1617
public abstract class KafkaAbstractSimple {
1718
/**

‎exchange/src/main/java/com/alignmentsystems/matching/KafkaLibrary.java‎

Lines changed: 5 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -18,6 +18,11 @@
1818
import com.alignmentsystems.library.enumerations.ConfigurationProperties;
1919
import com.alignmentsystems.library.enumerations.InstanceType;
2020

21+
22+
/**
23+
* @author <a href="mailto:sales@alignment-systems.com">John Greenan</a>
24+
*
25+
*/
2126
public class KafkaLibrary {
2227

2328
public static JsonObject getMessageLogEntryJSON(String source, String topic, String key, String message)

‎exchange/src/main/java/com/alignmentsystems/matching/KafkaMessageHandler.java‎

Lines changed: 1 addition & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -14,6 +14,7 @@
1414
import org.apache.kafka.clients.consumer.ConsumerRecord;
1515

1616
/**
17+
* @author <a href="mailto:sales@alignment-systems.com">John Greenan</a>
1718
* The interface KafkaMessageHandler.
1819
*
1920
* This interface is the template callback functions that can be passed to an

‎exchange/src/main/java/com/alignmentsystems/matching/OrderBook.java‎

Lines changed: 12 additions & 11 deletions
Original file line numberDiff line numberDiff line change
@@ -15,6 +15,7 @@
1515
import java.util.ArrayList;
1616
import java.util.List;
1717
import java.util.PriorityQueue;
18+
import java.util.UUID;
1819
import java.util.concurrent.atomic.AtomicBoolean;
1920

2021
import org.apache.kafka.clients.consumer.ConsumerRecord;
@@ -147,10 +148,10 @@ private void runMatch() {
147148
return;
148149
}
149150

150-
final Double topOfBuyBookPrice = topOfBuyBook.getLimitPrice().getValue();
151-
final Double topOfSellBookPrice = topOfSellBook.getLimitPrice().getValue();
152-
Double tradedQuantity = 0d;
153-
Double tradedPrice = 0d;
151+
final Long topOfBuyBookPrice = topOfBuyBook.getLimitPrice();
152+
final Long topOfSellBookPrice = topOfSellBook.getLimitPrice();
153+
Long tradedQuantity = null;
154+
Long tradedPrice = null;
154155
// If buy top of book price is greater than or equal to the sell top of book
155156
// then we have got a buyer
156157
// who has crossed the spread. So we have a trade, yay!
@@ -178,25 +179,25 @@ private void runMatch() {
178179
aggressor = new Side(Side.BUY);
179180
}
180181

181-
Double topOfBuyBookQty = topOfBuyBook.getOrderQty().getValue();
182-
Double topOfSellBookQty = topOfBuyBook.getOrderQty().getValue();
182+
Long topOfBuyBookQty = topOfBuyBook.getOrderQty();
183+
Long topOfSellBookQty = topOfBuyBook.getOrderQty();
183184

184185
tradedQuantity = Math.min(topOfBuyBookQty, topOfSellBookQty);
185186

186187
switch (aggressor.getValue()) {
187188
case Side.SELL:
188-
tradedPrice = Math.max(topOfBuyBookPrice, topOfSellBookPrice);
189+
tradedPrice = Math. max(topOfBuyBookPrice, topOfSellBookPrice);
189190
break;
190191
case Side.BUY:
191192
tradedPrice = Math.min(topOfBuyBookPrice, topOfSellBookPrice);
192193
break;
193194
}
194195
OffsetDateTime executionTimestamp = OffsetDateTime.now(Constants.HERE);
195196

196-
String buyClOrdID = topOfBuyBook.getClOrdID();
197-
String sellClOrdID = topOfSellBook.getClOrdID();
198-
String buyOrderID = topOfBuyBook.getOrderId();
199-
String sellOrderID = topOfSellBook.getOrderId();
197+
UUID buyClOrdID = topOfBuyBook.getClOrdID();
198+
UUID sellClOrdID = topOfSellBook.getClOrdID();
199+
UUID buyOrderID = topOfBuyBook.getOrderId();
200+
UUID sellOrderID = topOfSellBook.getOrderId();
200201
final boolean isEligibleForMarketData = true;
201202

202203
Match match = new Match(tradedQuantity, tradedPrice, topOfBuyBook, topOfSellBook, aggressor,

‎exchange/src/main/java/com/alignmentsystems/matching/OrderBookWrapper.java‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -133,7 +133,7 @@ private void sendExecutionReportAcknowledgementForReceivedOrder(InterfaceOrder n
133133
}
134134

135135
private static ExecutionReport getExecutionReportAcknowledgementForOrder(InterfaceOrder nos) throws FieldNotFound {
136-
OrderID orderId = new OrderID(nos.getOrderId());
136+
OrderID orderId = new OrderID(nos.getOrderId().toString());
137137
ExecID execID = new ExecID(UUID.randomUUID().toString());
138138
ExecType execType = new ExecType(ExecType.NEW);
139139
OrdStatus ordStatus = new OrdStatus(OrdStatus.NEW);

‎exchange/src/main/java/com/alignmentsystems/matching/Sender.java‎

Lines changed: 38 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,38 @@
1+
package com.alignmentsystems.matching;
2+
/******************************************************************************
3+
*
4+
* Author : John Greenan
5+
* Contact : sales@alignment-systems.com
6+
* Date : 13th September 2023
7+
* Copyright : Alignment Systems Ltd 2023
8+
* Project : Alignment Matching Toy
9+
* Artefact : Sender
10+
* Description :
11+
*****************************************************************************/
12+
import java.nio.ByteBuffer;
13+
14+
/**
15+
* @author <a href="mailto:sales@alignment-systems.com">John Greenan</a>
16+
*
17+
*/
18+
public class Sender {
19+
public Sender(ByteBuffer bb, String symbol, String orderId) {
20+
super();
21+
this.bb = bb;
22+
this.symbol = symbol;
23+
this.orderId = orderId;
24+
}
25+
ByteBuffer bb = null;
26+
String symbol = null;
27+
String orderId = null;
28+
29+
public ByteBuffer getBb() {
30+
return bb;
31+
}
32+
public String getSymbol() {
33+
return symbol;
34+
}
35+
public String getOrderId() {
36+
return orderId;
37+
}
38+
}

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