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Denis Tereshkin 4 years ago
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3 changed files with 100 additions and 72 deletions
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  1. 141
      src/ATrade/Broker/Protocol.hs
  2. 8
      test/ArbitraryInstances.hs
  3. 23
      test/MockBroker.hs

141
src/ATrade/Broker/Protocol.hs
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@ -1,9 +1,14 @@ @@ -1,9 +1,14 @@
{-# LANGUAGE OverloadedStrings, MultiWayIf, RecordWildCards #-}
{-# LANGUAGE MultiWayIf #-}
{-# LANGUAGE OverloadedStrings #-}
{-# LANGUAGE QuasiQuotes #-}
{-# LANGUAGE RecordWildCards #-}
module ATrade.Broker.Protocol (
BrokerServerRequest(..),
BrokerServerResponse(..),
Notification(..),
NotificationSqnum(..),
nextSqnum,
notificationOrderId,
RequestSqnum(..),
requestSqnum,
@ -12,22 +17,65 @@ module ATrade.Broker.Protocol ( @@ -12,22 +17,65 @@ module ATrade.Broker.Protocol (
ClientIdentity(..)
) where
import Control.Error.Util
import qualified Data.HashMap.Strict as HM
import qualified Data.Text as T
import Data.Text.Format
import Data.Text.Encoding
import Data.Aeson
import Data.Aeson.Types hiding (parse)
import Data.Int
import Data.Time.Clock
import Data.Time.Calendar
import ATrade.Types
import Text.Parsec
import ATrade.Types
import Control.Applicative
import Control.Error.Util
import Data.Aeson
import Data.Aeson.Types hiding (parse)
import qualified Data.HashMap.Strict as HM
import Data.Int
import qualified Data.Text as T
import Data.Text.Encoding
import Data.Time.Calendar
import Data.Time.Clock
import Language.Haskell.Printf
import Text.Parsec hiding ((<|>))
type ClientIdentity = T.Text
type RequestSqnum = Int64
newtype NotificationSqnum = NotificationSqnum { unNotificationSqnum :: Int64 }
deriving (Eq, Show)
nextSqnum :: NotificationSqnum -> NotificationSqnum
nextSqnum (NotificationSqnum n) = NotificationSqnum (n + 1)
data Notification = OrderNotification NotificationSqnum OrderId OrderState | TradeNotification NotificationSqnum Trade
deriving (Eq, Show)
notificationSqnum :: Notification -> NotificationSqnum
notificationSqnum (OrderNotification sqnum _ _) = sqnum
notificationSqnum (TradeNotification sqnum _) = sqnum
notificationOrderId :: Notification -> OrderId
notificationOrderId (OrderNotification _ oid _) = oid
notificationOrderId (TradeNotification _ trade) = tradeOrderId trade
instance FromJSON Notification where
parseJSON = withObject "notification" $ \obj -> parseNotification obj
where
parseNotification obj =
case HM.lookup "notification-sqnum" obj of
Just (Number sqnum) -> parseTrade (NotificationSqnum $ truncate sqnum) obj <|>
parseOrder (NotificationSqnum $ truncate sqnum) obj <|>
fail "Can't parse notification"
Just _ -> fail "Invalid sqnum"
Nothing -> fail "Unable to lookup notification sqnum"
parseTrade sqnum obj = case HM.lookup "trade" obj of
Just val -> TradeNotification sqnum <$> (parseJSON val)
Nothing -> fail "Can't parse trade"
parseOrder sqnum obj = case HM.lookup "order-state" obj of
Just v -> withObject "object" (\os -> do
oid <- os .: "order-id"
ns <- os .: "new-state"
return $ OrderNotification sqnum oid ns) v
Nothing -> fail "Should be order-state"
instance ToJSON Notification where
toJSON (OrderNotification sqnum oid newState) = object [ "notification-sqnum" .= toJSON (unNotificationSqnum sqnum), "order-state" .= object [ "order-id" .= oid, "new-state" .= newState ] ]
toJSON (TradeNotification sqnum trade) = object [ "notification-sqnum" .= toJSON (unNotificationSqnum sqnum), "trade" .= toJSON trade ]
data BrokerServerRequest = RequestSubmitOrder RequestSqnum ClientIdentity Order
| RequestCancelOrder RequestSqnum ClientIdentity OrderId
| RequestNotifications RequestSqnum ClientIdentity
@ -75,17 +123,18 @@ data BrokerServerResponse = ResponseOrderSubmitted OrderId @@ -75,17 +123,18 @@ data BrokerServerResponse = ResponseOrderSubmitted OrderId
instance FromJSON BrokerServerResponse where
parseJSON = withObject "object" (\obj ->
if | HM.member "order-id" obj -> do
oid <- obj .: "order-id"
return $ ResponseOrderSubmitted oid
oid <- obj .: "order-id"
return $ ResponseOrderSubmitted oid
| HM.member "order-cancelled" obj -> do
oid <- obj .: "order-cancelled"
return $ ResponseOrderCancelled oid
oid <- obj .: "order-cancelled"
return $ ResponseOrderCancelled oid
| HM.member "notifications" obj -> do
notifications <- obj .: "notifications"
ResponseNotifications <$> parseJSON notifications
notifications <- obj .: "notifications"
ResponseNotifications <$> parseJSON notifications
| HM.member "error" obj -> do
error <- obj .: "error"
ResponseError <$> parseJSON error)
error <- obj .: "error"
ResponseError <$> parseJSON error
| otherwise -> fail "Unable to parse BrokerServerResponse")
instance ToJSON BrokerServerResponse where
toJSON (ResponseOrderSubmitted oid) = object [ "order-id" .= oid ]
@ -93,43 +142,17 @@ instance ToJSON BrokerServerResponse where @@ -93,43 +142,17 @@ instance ToJSON BrokerServerResponse where
toJSON (ResponseNotifications notifications) = object [ "notifications" .= notifications ]
toJSON (ResponseError errorMessage) = object [ "error" .= errorMessage ]
data Notification = OrderNotification OrderId OrderState | TradeNotification Trade
deriving (Eq, Show)
notificationOrderId :: Notification -> OrderId
notificationOrderId (OrderNotification oid _) = oid
notificationOrderId (TradeNotification trade) = tradeOrderId trade
instance FromJSON Notification where
parseJSON n = withObject "notification" (\obj ->
case HM.lookup "trade" obj of
Just v -> parseTrade v
Nothing -> parseOrder n) n
where
parseTrade v = TradeNotification <$> parseJSON v
parseOrder (Object o) = case HM.lookup "order-state" o of
Just v -> withObject "object" (\os -> do
oid <- os .: "order-id"
ns <- os .: "new-state"
return $ OrderNotification oid ns) v
Nothing -> fail "Should be order-state"
parseOrder _ = fail "Unable to parse order state"
instance ToJSON Notification where
toJSON (OrderNotification oid newState) = object ["order-state" .= object [ "order-id" .= oid, "new-state" .= newState] ]
toJSON (TradeNotification trade) = object ["trade" .= toJSON trade]
data TradeSinkMessage = TradeSinkHeartBeat | TradeSinkTrade {
tsAccountId :: T.Text,
tsSecurity :: T.Text,
tsPrice :: Double,
tsQuantity :: Int,
tsVolume :: Double,
tsCurrency :: T.Text,
tsOperation :: Operation,
tsAccountId :: T.Text,
tsSecurity :: T.Text,
tsPrice :: Double,
tsQuantity :: Int,
tsVolume :: Double,
tsCurrency :: T.Text,
tsOperation :: Operation,
tsExecutionTime :: UTCTime,
tsCommission :: Double,
tsSignalId :: SignalId
tsCommission :: Double,
tsSignalId :: SignalId
} deriving (Show, Eq)
mkTradeMessage trade = TradeSinkTrade {
@ -153,10 +176,10 @@ getHMS (UTCTime _ diff) = (intsec `div` 3600, (intsec `mod` 3600) `div` 60, ints @@ -153,10 +176,10 @@ getHMS (UTCTime _ diff) = (intsec `div` 3600, (intsec `mod` 3600) `div` 60, ints
intsec = floor diff
msec = floor $ (diff - fromIntegral intsec) * 1000
formatTimestamp dt = format "{}-{}-{} {}:{}:{}.{}" (left 4 '0' y, left 2 '0' m, left 2 '0' d, left 2 '0' hour, left 2 '0' min, left 2 '0' sec, left 3 '0' msec)
formatTimestamp dt = [t|%04d-%02d-%02d %02d:%02d:%02d.%03d|] y m d hour min sec msec
where
(y, m, d) = toGregorian $ utctDay dt
(hour, min, sec, msec) = getHMS dt
(hour, min, sec, msec) = getHMS dt
parseTimestamp (String t) = case hush $ parse p "" t of
Just ts -> return ts
@ -199,7 +222,7 @@ instance ToJSON TradeSinkMessage where @@ -199,7 +222,7 @@ instance ToJSON TradeSinkMessage where
instance FromJSON TradeSinkMessage where
parseJSON = withObject "object" (\obj ->
case HM.lookup "command" obj of
Nothing -> parseTrade obj
Nothing -> parseTrade obj
Just cmd -> return TradeSinkHeartBeat)
where
parseTrade obj = case HM.lookup "trade" obj of

8
test/ArbitraryInstances.hs
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@ -21,6 +21,9 @@ notTooBig x = abs x < 100000000 @@ -21,6 +21,9 @@ notTooBig x = abs x < 100000000
arbitraryTickerId = arbitrary `suchThat` (T.all (/= ':'))
instance Arbitrary NotificationSqnum where
arbitrary = NotificationSqnum <$> arbitrary
instance Arbitrary Tick where
arbitrary = Tick <$>
arbitraryTickerId <*>
@ -96,10 +99,11 @@ instance Arbitrary Notification where @@ -96,10 +99,11 @@ instance Arbitrary Notification where
t <- choose (1, 2) :: Gen Int
if t == 1
then do
sqnum <- arbitrary
oid <- arbitrary
state <- arbitrary
return $ OrderNotification oid state
else TradeNotification <$> arbitrary
return $ OrderNotification sqnum oid state
else TradeNotification <$> arbitrary <*> arbitrary
instance Arbitrary BrokerServerRequest where
arbitrary = do

23
test/MockBroker.hs
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@ -7,25 +7,26 @@ module MockBroker ( @@ -7,25 +7,26 @@ module MockBroker (
mkMockBroker
) where
import ATrade.Types
import ATrade.Broker.Protocol
import ATrade.Broker.Server
import ATrade.Util
import Data.IORef
import qualified Data.List as L
import ATrade.Broker.Protocol
import ATrade.Broker.Server
import ATrade.Types
import ATrade.Util
import Data.IORef
import qualified Data.List as L
data MockBrokerState = MockBrokerState {
orders :: [Order],
cancelledOrders :: [Order],
notificationCallback :: Maybe (Notification -> IO ())
orders :: [Order],
cancelledOrders :: [Order],
notificationCallback :: Maybe (Notification -> IO ()),
sqnum :: NotificationSqnum
}
mockSubmitOrder :: IORef MockBrokerState -> Order -> IO ()
mockSubmitOrder state order = do
atomicMapIORef state (\s -> s { orders = submittedOrder : orders s })
sqnum <- atomicModifyIORef' state (\s -> (s { orders = submittedOrder : orders s, sqnum = nextSqnum (sqnum s) }, sqnum s))
maybeCb <- notificationCallback <$> readIORef state
case maybeCb of
Just cb -> cb $ OrderNotification (orderId order) Submitted
Just cb -> cb $ OrderNotification sqnum (orderId order) Submitted
Nothing -> return ()
where
submittedOrder = order { orderState = Submitted }

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