1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
use crate::{orderflow::*, utils::messaging::MaybeRequest, OrderId, Str, UserId};
use anyhow::Result;
use arcstr::ArcStr;
use chrono::{DateTime, Utc};
use derive::FromValue;
use netidx_derive::Pack;
use serde::{Deserialize, Serialize};
use std::sync::Arc;
use uuid::Uuid;

pub mod generic_container;
pub mod mm;
pub mod pov;
pub mod smart_order_router;
pub mod twap;

#[derive(Debug, Clone, Pack, FromValue, Serialize, Deserialize)]
pub enum AlgoMessage {
    /// Generally convertible from a specific algo's Order, but not vice versa;
    /// the former conversion is given for AlgoManager to understand the existence
    /// of algo orders.
    AlgoOrder(AlgoOrder),
    AlgoControl(AlgoControl),
    AlgoAck(AlgoAck),
    AlgoReject(AlgoReject),
    AlgoStatus(AlgoStatus),
    ChildAck(ChildAck),
    ChildReject(ChildReject),
    ChildFill(ChildFill),
    ChildOut(ChildOut),
    PreviewAlgo(Uuid, AlgoOrder),
    PreviewAlgoResponse(Uuid, Option<AlgoPreview>),
    GetAlgoOrder(Uuid, OrderId),
    GetAlgoOrderResponse(Uuid, Option<AlgoOrder>),
    GetAlgoStatus(Uuid, Option<OrderId>),
    GetAlgoStatusResponse(Uuid, Arc<Vec<AlgoStatus>>),
    GetAlgoLog(Uuid, OrderId),
    GetAlgoLogResponse(Uuid, Option<AlgoLog>),
}

#[derive(Debug, Clone, Copy, Pack, FromValue, Serialize, Deserialize)]
#[cfg_attr(feature = "juniper", derive(juniper::GraphQLObject))]
pub struct AlgoOrder {
    pub order_id: OrderId,
    pub trader: UserId,
    pub algo: Str,
}

// CR-someday alee: use something more akin to the validator crate
pub trait Validate {
    fn validate(&self) -> Result<()> {
        Ok(())
    }
}

#[derive(Debug, Clone, Copy, Pack, FromValue, Serialize, Deserialize)]
pub struct AlgoControl {
    pub order_id: OrderId,
    pub command: AlgoControlCommand,
}

impl AlgoControl {
    pub fn start(order_id: OrderId) -> Self {
        Self { order_id, command: AlgoControlCommand::Start }
    }

    pub fn pause(order_id: OrderId) -> Self {
        Self { order_id, command: AlgoControlCommand::Pause }
    }

    pub fn stop(order_id: OrderId) -> Self {
        Self { order_id, command: AlgoControlCommand::Stop }
    }
}

#[derive(Debug, Clone, Copy, PartialEq, Eq, Pack, FromValue, Serialize, Deserialize)]
#[cfg_attr(feature = "juniper", derive(juniper::GraphQLEnum))]
pub enum AlgoControlCommand {
    Start,
    Pause,
    Stop,
}

#[derive(Debug, Clone, Copy, Pack, FromValue, Serialize, Deserialize)]
pub struct AlgoAck {
    pub order_id: OrderId,
}

#[derive(Debug, Clone, Pack, FromValue, Serialize, Deserialize)]
pub struct AlgoReject {
    pub order_id: OrderId,
    pub reason: ArcStr,
}

#[derive(
    Debug,
    Clone,
    Copy,
    Pack,
    FromValue,
    Serialize,
    Deserialize,
    PartialEq,
    Eq,
    PartialOrd,
    Ord,
)]
#[cfg_attr(feature = "juniper", derive(juniper::GraphQLEnum))]
pub enum AlgoRunningStatus {
    Running,
    Paused,
    Done,
}

#[derive(Debug, Clone, Copy, Pack, FromValue, Serialize, Deserialize)]
pub struct AlgoStatus {
    pub order_id: OrderId,
    pub creation_time: DateTime<Utc>,
    pub status: (DateTime<Utc>, AlgoRunningStatus),
    pub fraction_complete: Option<f64>,
}

#[derive(Debug, Clone, Pack, FromValue, Serialize, Deserialize)]
pub struct AlgoLog {
    pub order_id: OrderId,
    pub fills: Arc<Vec<Result<Fill, AberrantFill>>>,
    pub rejects: Arc<Vec<Reject>>,
}

#[derive(Debug, Clone, Copy, Pack, FromValue, Serialize, Deserialize)]
pub struct ChildAck {
    pub algo_order_id: OrderId,
    pub ack: Ack,
}

#[derive(Debug, Clone, Copy, Pack, FromValue, Serialize, Deserialize)]
pub struct ChildOut {
    pub algo_order_id: OrderId,
    pub out: Out,
}

#[derive(Debug, Clone, Pack, FromValue, Serialize, Deserialize)]
pub struct ChildReject {
    pub algo_order_id: OrderId,
    pub reject: Reject,
}

#[derive(Debug, Clone, Copy, Pack, FromValue, Serialize, Deserialize)]
pub struct ChildFill {
    pub algo_order_id: OrderId,
    pub fill: Result<Fill, AberrantFill>,
}

#[derive(Debug, Clone, Pack, FromValue, Serialize, Deserialize)]
pub struct AlgoPreview {
    pub orders: Arc<Vec<(DateTime<Utc>, Order)>>,
}

// support trivial casing for AlgoContainerMessage: TryInto<AlgoMessage>

impl Into<AlgoOrder> for &AlgoOrder {
    fn into(self) -> AlgoOrder {
        *self
    }
}

impl Into<AlgoPreview> for &AlgoPreview {
    fn into(self) -> AlgoPreview {
        self.clone()
    }
}

impl Into<AlgoStatus> for &AlgoStatus {
    fn into(self) -> AlgoStatus {
        *self
    }
}

impl Into<AlgoLog> for &AlgoLog {
    fn into(self) -> AlgoLog {
        self.clone()
    }
}

impl MaybeRequest for AlgoMessage {
    fn request_id(&self) -> Option<Uuid> {
        match self {
            AlgoMessage::PreviewAlgo(uuid, _)
            | AlgoMessage::GetAlgoStatus(uuid, _)
            | AlgoMessage::GetAlgoLog(uuid, _) => Some(*uuid),
            _ => None,
        }
    }

    fn response_id(&self) -> Option<Uuid> {
        match self {
            AlgoMessage::PreviewAlgoResponse(uuid, _)
            | AlgoMessage::GetAlgoStatusResponse(uuid, _)
            | AlgoMessage::GetAlgoLogResponse(uuid, _) => Some(*uuid),
            _ => None,
        }
    }
}