BrokerServer: initial implementation

libatrade.cabal

@@ -18,6 +18,7 @@ library
   exposed-modules:     ATrade.Types
                      , ATrade.QuoteSource.Server
                      , ATrade.Broker.Protocol
+                     , ATrade.Broker.Server
   build-depends:       base >= 4.7 && < 5
                      , Decimal
                      , time
@@ -30,6 +31,7 @@ library
                      , hslogger
                      , zeromq4-haskell
                      , unordered-containers
+                     , containers
   default-language:    Haskell2010
 
 executable libatrade-exe
@@ -66,10 +68,12 @@ test-suite libatrade-test
                      , zeromq4-haskell
                      , bytestring
                      , monad-loops
+                     , uuid
   ghc-options:         -threaded -rtsopts -with-rtsopts=-N
   default-language:    Haskell2010
   other-modules:       ArbitraryInstances
                      , TestBrokerProtocol
+                     , TestBrokerServer
                      , TestQuoteSourceServer
                      , TestTypes
 

src/ATrade/Broker/Protocol.hs

@@ -3,7 +3,8 @@
 module ATrade.Broker.Protocol (
   BrokerServerRequest(..),
   BrokerServerResponse(..),
-  Notification(..)
+  Notification(..),
+  RequestSqnum(..)
 ) where
 
 import qualified Data.HashMap.Strict as HM

src/ATrade/Broker/Server.hs

@@ -0,0 +1,90 @@
+
+module ATrade.Broker.Server (
+  startBrokerServer,
+  stopBrokerServer,
+  BrokerInterface(..)
+) where
+
+import ATrade.Types
+import ATrade.Broker.Protocol
+import System.ZMQ4
+import qualified Data.Map as M
+import qualified Data.ByteString as B
+import qualified Data.ByteString.Lazy as BL
+import qualified Data.Text as T
+import qualified Data.List as L
+import Data.Aeson
+import Data.Time.Clock
+import Data.IORef
+import Control.Concurrent
+import Control.Exception
+import Control.Monad
+import System.Log.Logger
+
+newtype OrderIdGenerator = IO OrderId
+
+data BrokerInterface = BrokerInterface {
+  accounts :: [T.Text],
+  setNotificationCallback :: Maybe (Notification -> IO()) -> IO (),
+  submitOrder :: Order -> IO (),
+  cancelOrder :: OrderId -> IO (),
+  stopBroker :: IO ()
+}
+
+data BrokerServerState = BrokerServerState {
+  bsSocket :: Socket Router,
+  orderMap :: M.Map OrderId B.ByteString, -- Matches 0mq client identities with corresponding orders
+  lastPacket :: M.Map B.ByteString (RequestSqnum, B.ByteString),
+  pendingNotifications :: [(Notification, UTCTime)], -- List of tuples (Order with new state, Time when notification enqueued)
+  brokers :: [BrokerInterface],
+  completionMvar :: MVar ()
+}
+
+data BrokerServerHandle = BrokerServerHandle ThreadId (MVar ())
+
+startBrokerServer :: [BrokerInterface] -> Context -> T.Text -> IO BrokerServerHandle
+startBrokerServer brokers c ep = do
+  sock <- socket c Router
+  bind sock (T.unpack ep)
+  tid <- myThreadId
+  compMv <- newEmptyMVar
+  state <- newIORef BrokerServerState {
+    bsSocket = sock,
+    orderMap = M.empty,
+    lastPacket = M.empty,
+    pendingNotifications = [],
+    brokers = brokers,
+    completionMvar = compMv
+  }
+
+  BrokerServerHandle <$> forkIO (brokerServerThread state) <*> pure compMv
+
+brokerServerThread state = finally brokerServerThread' cleanup
+  where
+    brokerServerThread' = forever $ do
+      sock <- bsSocket <$> readIORef state
+      receiveMulti sock >>= handleMessage
+
+    cleanup = do
+      sock <- bsSocket <$> readIORef state
+      close sock
+      mv <- completionMvar <$> readIORef state
+      putMVar mv ()
+
+    handleMessage :: [B.ByteString] -> IO ()
+    handleMessage [peerId, _, payload] = do
+      bros <- brokers <$> readIORef state
+      case decode . BL.fromStrict $ payload of
+        Just (RequestSubmitOrder sqnum order) ->
+          case findBroker (orderAccountId order) bros of
+            Just bro -> submitOrder bro order
+            Nothing -> return ()
+        Nothing -> return ()
+        
+    handleMessage x = warningM "Broker.Server" ("Invalid packet received: " ++ show x)
+    findBroker account = L.find (L.elem account . accounts)
+      
+
+stopBrokerServer :: BrokerServerHandle -> IO ()
+stopBrokerServer (BrokerServerHandle tid compMv) = yield >> killThread tid >> readMVar compMv
+

src/ATrade/Types.hs

@@ -236,8 +236,8 @@ type OrderId = Integer
 
 data Order = Order {
   orderId :: OrderId,
-  orderAccountId :: String,
+  orderAccountId :: T.Text,
-  orderSecurity :: String,
+  orderSecurity :: T.Text,
   orderPrice :: OrderPrice,
   orderQuantity :: Integer,
   orderExecutedQuantity :: Integer,
@@ -278,10 +278,10 @@ data Trade = Trade {
   tradePrice :: Decimal,
   tradeQuantity :: Integer,
   tradeVolume :: Decimal,
-  tradeVolumeCurrency :: String,
+  tradeVolumeCurrency :: T.Text,
   tradeOperation :: Operation,
-  tradeAccount :: String,
+  tradeAccount :: T.Text,
-  tradeSecurity :: String,
+  tradeSecurity :: T.Text,
   tradeTimestamp :: UTCTime,
   tradeSignalId :: SignalId }
   deriving (Show, Eq)

test/Spec.hs

@@ -1,6 +1,7 @@
 
 import qualified TestTypes
 import qualified TestBrokerProtocol
+import qualified TestBrokerServer
 import qualified TestQuoteSourceServer
 
 import Test.Tasty
@@ -12,5 +13,5 @@ properties :: TestTree
 properties = testGroup "Properties" [TestTypes.properties, TestBrokerProtocol.properties]
 
 unitTests :: TestTree
-unitTests = testGroup "Unit-tests" [TestQuoteSourceServer.unitTests]
+unitTests = testGroup "Unit-tests" [TestQuoteSourceServer.unitTests, TestBrokerServer.unitTests]
 

test/TestBrokerServer.hs

@@ -0,0 +1,99 @@
+{-# LANGUAGE OverloadedStrings #-}
+
+module TestBrokerServer (
+  unitTests
+) where
+
+import Test.Tasty
+import Test.Tasty.SmallCheck as SC
+import Test.Tasty.QuickCheck as QC
+import Test.Tasty.HUnit
+
+import ATrade.Types
+import qualified Data.ByteString.Lazy as BL
+import ATrade.Broker.Server
+import ATrade.Broker.Protocol
+import qualified Data.Text as T
+import Control.Monad
+import Control.Monad.Loops
+import Control.Concurrent.MVar
+import Control.Concurrent.BoundedChan
+import Control.Concurrent hiding (writeChan)
+import Control.Exception
+import System.ZMQ4
+import Data.Aeson
+import Data.Time.Clock
+import Data.Time.Calendar
+import Data.Maybe
+import Data.IORef
+import Data.UUID as U
+import Data.UUID.V4 as UV4
+
+data MockBrokerState = MockBrokerState {
+  orders :: [Order],
+  notificationCallback :: Maybe (Notification -> IO ())
+}
+
+mockSubmitOrder :: IORef MockBrokerState -> Order -> IO ()
+mockSubmitOrder state order = do
+  atomicModifyIORef' state (\s -> (s { orders = submittedOrder : orders s }, ()))
+  maybeCb <- notificationCallback <$> readIORef state
+  case maybeCb of
+    Just cb -> cb $ OrderNotification (orderId order) Submitted
+    Nothing -> return ()
+  where
+    submittedOrder = order { orderState = Submitted }
+
+mockCancelOrder :: IORef MockBrokerState -> OrderId -> IO ()
+mockCancelOrder state = undefined
+
+mockStopBroker :: IORef MockBrokerState -> IO ()
+mockStopBroker state = return ()
+
+
+mkMockBroker accs = do
+  state <- newIORef MockBrokerState {
+    orders = [],
+    notificationCallback = Nothing
+  }
+
+  return (BrokerInterface {
+    accounts = accs,
+    setNotificationCallback = \cb -> atomicModifyIORef' state (\s -> (s { notificationCallback = cb }, ())),
+    submitOrder = mockSubmitOrder state,
+    cancelOrder = mockCancelOrder state,
+    stopBroker = mockStopBroker state
+  }, state)
+
+
+unitTests = testGroup "Broker.Server" [testBrokerServerStartStop, testBrokerServerSubmitOrder]
+
+testBrokerServerStartStop = testCase "Broker Server starts and stops" $ withContext (\ctx -> do
+  ep <- toText <$> UV4.nextRandom
+  broS <- startBrokerServer [] ctx ("inproc://brokerserver" `T.append` ep)
+  stopBrokerServer broS)
+
+testBrokerServerSubmitOrder = testCase "Broker Server submits order" $ withContext (\ctx -> do
+  uid <- toText <$> UV4.nextRandom
+  (mockBroker, broState) <- mkMockBroker ["demo"]
+  let ep = "inproc://brokerserver" `T.append` uid
+  let order = Order {
+    orderId = 0,
+    orderAccountId = "demo",
+    orderSecurity = "FOO",
+    orderPrice = Market,
+    orderQuantity = 10,
+    orderExecutedQuantity = 0,
+    orderOperation = Buy,
+    orderState = Unsubmitted,
+    orderSignalId = SignalId "" "" ""
+  }
+  bracket (startBrokerServer [mockBroker] ctx ep) stopBrokerServer (\broS -> 
+    withSocket ctx Req (\sock -> do
+      connect sock (T.unpack ep)
+      send sock [] (BL.toStrict . encode $ RequestSubmitOrder 1 order)
+      threadDelay 100000
+      s <- readIORef broState
+      (length . orders) s @?= 1
+      )))
+