Types encode/decode

libatrade.cabal

@@ -1,5 +1,5 @@
 name:                libatrade
-version:             0.2.0.0
+version:             0.3.0.0
 synopsis:            ATrade infrastructure core library
 description:         Please see README.md
 homepage:            https://github.com/asakul/libatrade.git
@@ -27,7 +27,6 @@ library
                      , ATrade.Broker.TradeSinks.ZMQTradeSink
                      , ATrade.Util
   build-depends:       base >= 4.7 && < 5
-                     , Decimal
                      , time
                      , datetime
                      , bytestring
@@ -52,6 +51,7 @@ library
                      , http-client
                      , http-client-tls
                      , utf8-string
+                     , scientific
   default-language:    Haskell2010
 
 executable libatrade-exe
@@ -77,7 +77,6 @@ test-suite libatrade-test
                      , tasty-hspec
                      , quickcheck-text
                      , quickcheck-instances
-                     , Decimal
                      , scientific
                      , tuple
                      , time

src/ATrade/Price.hs

@@ -5,10 +5,16 @@ module ATrade.Price (
   fromDouble,
   toDouble,
   decompose,
-  compose
+  compose,
+  fromScientific,
+  toScientific
 ) where
 
 import Data.Int
+import Data.Ratio
+
+import Data.Aeson
+import Data.Scientific
 
 data Price = Price {
   priceQuants :: !Int64
@@ -41,9 +47,30 @@ toDouble p = fromIntegral (priceQuants p) / fromIntegral mega
 fromDouble :: Double -> Price
 fromDouble d = Price { priceQuants = truncate (d * fromIntegral mega) }
 
+toScientific :: Price -> Scientific
+toScientific p = normalize $ scientific (toInteger $ priceQuants p) (-6)
+
+fromScientific :: Scientific -> Price
+fromScientific d = Price { priceQuants = if base10Exponent nd >= -6 then fromInteger $ coefficient nd * (10 ^ (base10Exponent nd + 6)) else 0 }
+  where
+    nd = normalize d
+
 decompose :: Price -> (Int64, Int32)
 decompose Price{priceQuants = p} = (p `div` mega, (fromInteger . toInteger) $ p `mod` mega)
 
 compose :: (Int64, Int32) -> Price
 compose (int, frac) = Price { priceQuants = int * mega + (fromInteger . toInteger) frac }
 
+instance FromJSON Price where
+  parseJSON = withScientific "number" (\x -> let nx = normalize x in
+    return Price { priceQuants = if base10Exponent nx >= -6 then fromInteger $ coefficient nx * (10 ^ (base10Exponent nx + 6)) else 0 })
+
+instance ToJSON Price where
+  toJSON x = Number (normalize $ scientific (toInteger $ priceQuants x) (-6))
+
+instance Real Price where
+  toRational a = (toInteger . priceQuants $ a) % toInteger mega
+
+instance Fractional Price where
+  fromRational a = fromInteger (numerator a) / fromInteger (denominator a)
+  a / b = fromDouble $ toDouble a / toDouble b

src/ATrade/Types.hs

@@ -36,7 +36,6 @@ import Data.Binary.Builder
 import Data.Binary.Get
 import Data.ByteString.Lazy as B
 import Data.DateTime
-import Data.Decimal
 import Data.Int
 import Data.List as L
 import Data.Maybe
@@ -138,14 +137,6 @@ parseTick = do
     makeTimestamp :: Word64 -> Word32 -> UTCTime
     makeTimestamp sec usec = addUTCTime (fromRational $ toInteger usec % 1000000) (fromSeconds . toInteger $ sec)
 
-    makeValue :: Int64 -> Int32 -> Decimal
-    makeValue intpart nanopart = case eitherFromRational r of
-      Right v -> v + convertedIntPart
-      Left _ -> convertedIntPart
-      where
-        convertedIntPart = realFracToDecimal 10 (fromIntegral intpart) 
-        r = toInteger nanopart % 1000000000
-
 deserializeTick :: [ByteString] -> Maybe Tick
 deserializeTick (header:rawData:_) = case runGetOrFail parseTick rawData of
   Left (_, _, _) -> Nothing
@@ -161,10 +152,10 @@ deserializeTickBody bs = case runGetOrFail parseTick bs of
 data Bar = Bar {
   barSecurity :: !TickerId,
   barTimestamp :: !UTCTime,
-  barOpen :: !Decimal,
+  barOpen :: !Price,
-  barHigh :: !Decimal,
+  barHigh :: !Price,
-  barLow :: !Decimal,
+  barLow :: !Price,
-  barClose :: !Decimal,
+  barClose :: !Price,
   barVolume :: !Integer
 } deriving (Show, Eq, Generic)
 
@@ -186,30 +177,28 @@ instance ToJSON SignalId where
     "signal-name" .= signalName sid,
     "comment" .= comment sid ]
 
-instance FromJSON Decimal where
+data OrderPrice = Market | Limit Price | Stop Price Price | StopMarket Price
-  parseJSON = withScientific "number" (return . realFracToDecimal 10 . toRational) 
-
-instance ToJSON Decimal where
-  toJSON = Number . fromRational . toRational
-
-data OrderPrice = Market | Limit Decimal | Stop Decimal Decimal | StopMarket Decimal
   deriving (Show, Eq)
 
-decimal :: (RealFrac r) => r -> Decimal
-decimal = realFracToDecimal 10
-
 instance FromJSON OrderPrice where
   parseJSON (String s) = when (s /= "market") (fail "If string, then should be 'market'") >>
     return Market
 
-  parseJSON (Number n) = return $ Limit $ decimal n
+  parseJSON a@(Number n) = do
+    price <- parseJSON a
+    return $ Limit price
   parseJSON (Object v) = do
-    triggerPrice <- v .: "trigger" :: Parser Double
+    triggerPrice <- v .: "trigger"
-    execPrice <- v .: "execution"
+    case triggerPrice of
-    case execPrice of
+      a@(Number trpr) -> do
-      (String s) -> when (s /= "market") (fail "If string, then should be 'market'") >> return $ StopMarket (decimal triggerPrice)
+        trprice <- parseJSON a
-      (Number n) -> return $ Stop (decimal triggerPrice) (decimal n)
+        execPrice <- v .: "execution"
-      _ -> fail "Should be either number or 'market'"
+        case execPrice of
+          (String s) -> if s /= "market"
+              then (fail "If string, then should be 'market'") 
+              else return $ StopMarket trprice
+          (Number n) -> return $ Stop trprice (fromScientific n)
+          _ -> fail "Should be either number or 'market'"
 
   parseJSON _ = fail "OrderPrice"
 
@@ -321,9 +310,9 @@ instance ToJSON Order where
 
 data Trade = Trade {
   tradeOrderId :: OrderId,
-  tradePrice :: Decimal,
+  tradePrice :: Price,
   tradeQuantity :: Integer,
-  tradeVolume :: Decimal,
+  tradeVolume :: Price,
   tradeVolumeCurrency :: T.Text,
   tradeOperation :: Operation,
   tradeAccount :: T.Text,
@@ -384,6 +373,6 @@ data TickerInfo = TickerInfo {
   tiClass :: T.Text,
   tiBase :: Maybe TickerId,
   tiLotSize :: Integer,
-  tiTickSize :: Decimal
+  tiTickSize :: Price
 } deriving (Show, Eq)
 

test/ArbitraryInstances.hs

@@ -15,7 +15,6 @@ import ATrade.Price as P
 import ATrade.Broker.Protocol
 
 import Data.Int
-import Data.Decimal
 import Data.Scientific
 import Data.Time.Clock
 import Data.Time.Calendar
@@ -42,9 +41,6 @@ instance Arbitrary Tick where
 instance Arbitrary DataType where
   arbitrary = toEnum <$> choose (1, 10)
 
-instance Arbitrary Decimal where
-  arbitrary = realFracToDecimal 10 <$> (arbitrary :: Gen Scientific)
-
 instance Arbitrary SignalId where
   arbitrary = SignalId <$> arbitrary <*> arbitrary <*> arbitrary
 

test/TestBrokerProtocol.hs

@@ -15,7 +15,6 @@ import ATrade.Broker.Protocol
 import ArbitraryInstances
 
 import Data.Aeson
-import Data.Decimal
 import Data.Scientific
 
 properties = testGroup "Broker.Protocol" [

test/TestTypes.hs

@@ -16,7 +16,6 @@ import ArbitraryInstances
 
 import Data.Aeson
 import Data.Aeson.Types
-import Data.Decimal
 import Data.Scientific
 import Data.Text
 import Data.Time.Calendar