use crate::prelude::*;
use byteserde::prelude::*;
use byteserde_derive::{ByteDeserializeSlice, ByteSerializeStack, ByteSerializedLenOf};
use serde::{Deserialize, Serialize};
// page 12 from https://nasdaqtrader.com/content/technicalsupport/specifications/TradingProducts/Ouch5.0.pdf
// Firm
// MinQty
// MaxFloor
// PriceType
// PostOnly
// ExpireTime
// TradeNow
// HandleInst
// BBO Weight Indicator
#[derive(ByteSerializeStack, ByteDeserializeSlice, ByteSerializedLenOf, Serialize, Deserialize, PartialEq, Clone, Copy, Debug, Default)]
#[byteserde(peek(1, 1))] // peek(start, len) -> peek one byte after skipping one
pub struct OrderReplacedAppendage {
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(Firm::tag_as_slice()))]
pub firm: Option<TagValueElement<Firm>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(MinQty::tag_as_slice()))]
pub min_qty: Option<TagValueElement<MinQty>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(MaxFloor::tag_as_slice()))]
pub max_floor: Option<TagValueElement<MaxFloor>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(PriceType::tag_as_slice()))]
pub price_type: Option<TagValueElement<PriceType>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(PostOnly::tag_as_slice()))]
pub post_only: Option<TagValueElement<PostOnly>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(ExpireTime::tag_as_slice()))]
pub expire_time: Option<TagValueElement<ExpireTime>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(TradeNow::tag_as_slice()))]
pub trade_now: Option<TagValueElement<TradeNow>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(HandleInst::tag_as_slice()))]
pub handle_inst: Option<TagValueElement<HandleInst>>,
#[serde(skip_serializing_if = "Option::is_none")]
#[byteserde(eq(BBOWeightIndicator::tag_as_slice()))]
pub bbo_weight_indicator: Option<TagValueElement<BBOWeightIndicator>>,
}
impl From<(&EnterOrderAppendage, &ReplaceOrderAppendage)> for OrderReplacedAppendage {
#[inline(always)]
fn from(value: (&EnterOrderAppendage, &ReplaceOrderAppendage)) -> Self {
let enter_order_appendage = value.0;
let replace_order_appendage = value.1;
Self {
firm: enter_order_appendage.firm,
min_qty: replace_order_appendage.min_qty,
max_floor: replace_order_appendage.max_floor,
price_type: replace_order_appendage.price_type,
post_only: replace_order_appendage.post_only,
expire_time: replace_order_appendage.expire_time,
trade_now: replace_order_appendage.trade_now,
handle_inst: replace_order_appendage.handle_inst,
bbo_weight_indicator: None,
}
}
}
#[derive(ByteSerializeStack, ByteDeserializeSlice, ByteSerializedLenOf, Serialize, Deserialize, PartialEq, Clone, Debug)]
#[byteserde(endian = "be")]
#[serde(from = "OrderReplacedJsonDes")]
pub struct OrderReplaced {
#[serde(default, skip_serializing)]
packet_type: PacketTypeOrderReplaced,
pub timestamp: Timestamp, // Venue assigned
pub orig_user_ref_number: UserRefNumber,
pub user_ref_number: UserRefNumber,
pub side: Side, // from original order chain
pub quantity: Quantity,
pub symbol: Symbol, // from original order chain
pub price: Price,
pub time_in_force: TimeInForce,
pub display: Display,
pub order_reference_number: OrderReferenceNumber, // Venue assigned
pub capacity: Capacity, // from original order chain
pub int_mkt_sweep_eligibility: IntMktSweepEligibility,
pub cross_type: CrossType, // from original order chain
pub order_state: OrderState, // Venue assigned
pub clt_order_id: CltOrderId,
#[serde(skip)]
#[byteserde(replace( appendages.byte_len() ))]
appendage_length: u16,
#[byteserde(deplete(appendage_length))]
pub appendages: OrderReplacedAppendage,
}
impl From<(&EnterOrder, &ReplaceOrder)> for OrderReplaced {
#[inline(always)]
fn from(value: (&EnterOrder, &ReplaceOrder)) -> Self {
let (enter_order, replace_order) = value;
let appendages: OrderReplacedAppendage = (&enter_order.appendages, &replace_order.appendages).into();
OrderReplaced {
packet_type: PacketTypeOrderReplaced::default(),
timestamp: Timestamp::default(), // Venue assigned
order_reference_number: OrderReferenceNumber::default(), // default placeholder must be replaced
order_state: OrderState::live(), // Venue assigned
orig_user_ref_number: replace_order.orig_user_ref_number,
user_ref_number: enter_order.user_ref_number, // enter_order
side: enter_order.side, // enter_order
symbol: enter_order.symbol, // enter_order
capacity: enter_order.capacity, // enter_order
cross_type: enter_order.cross_type, // enter_order
quantity: replace_order.quantity,
price: replace_order.price,
time_in_force: replace_order.time_in_force,
display: replace_order.display,
int_mkt_sweep_eligibility: replace_order.int_mkt_sweep_eligibility,
clt_order_id: replace_order.clt_order_id,
appendage_length: appendages.byte_len() as u16,
appendages,
}
}
}
#[derive(Deserialize)]
struct OrderReplacedJsonDes {
timestamp: Timestamp, // Venue assigned
orig_user_ref_number: UserRefNumber,
user_ref_number: UserRefNumber,
side: Side, // from original order chain
quantity: Quantity,
symbol: Symbol, // from original order chain
price: Price,
time_in_force: TimeInForce,
display: Display,
order_reference_number: OrderReferenceNumber, // Venue assigned
capacity: Capacity, // from original order chain
int_mkt_sweep_eligibility: IntMktSweepEligibility,
cross_type: CrossType, // from original order chain
order_state: OrderState, // Venue assigned
clt_order_id: CltOrderId,
appendages: OrderReplacedAppendage,
}
impl From<OrderReplacedJsonDes> for OrderReplaced {
fn from(value: OrderReplacedJsonDes) -> Self {
Self {
packet_type: PacketTypeOrderReplaced::default(),
timestamp: value.timestamp,
orig_user_ref_number: value.orig_user_ref_number,
user_ref_number: value.user_ref_number,
side: value.side,
quantity: value.quantity,
symbol: value.symbol,
price: value.price,
time_in_force: value.time_in_force,
display: value.display,
order_reference_number: value.order_reference_number,
capacity: value.capacity,
int_mkt_sweep_eligibility: value.int_mkt_sweep_eligibility,
cross_type: value.cross_type,
order_state: value.order_state,
clt_order_id: value.clt_order_id,
appendage_length: value.appendages.byte_len() as u16,
appendages: value.appendages,
}
}
}
#[cfg(test)]
mod test {
use super::*;
use links_core::unittest::setup;
use log::info;
use serde_json::{from_str, to_string};
use text_diff::{diff, print_diff};
#[test]
fn test_msg_byteserde() {
setup::log::configure_compact(log::LevelFilter::Info);
let enter_order = EnterOrder::default();
let mut replace_order = ReplaceOrder::from(&enter_order);
replace_order.quantity = Quantity::new(50);
let msg_inp = OrderReplaced::from((&enter_order, &replace_order));
let ser: ByteSerializerStack<128> = to_serializer_stack(&msg_inp).unwrap();
info!("ser: {:#x}", ser);
let msg_out: OrderReplaced = from_serializer_stack(&ser).unwrap();
info!("msg_inp: {:?}", msg_inp);
info!("msg_out: {:?}", msg_out);
assert_eq!(msg_out, msg_inp);
}
#[test]
fn test_msg_serde() {
setup::log::configure_compact(log::LevelFilter::Info);
let enter_order = EnterOrder::default();
let mut replace_order = ReplaceOrder::from(&enter_order);
replace_order.quantity = Quantity::new(50);
let mut msg_inp = OrderReplaced::from((&enter_order, &replace_order));
msg_inp.timestamp = Timestamp::from(1);
let json_out = to_string(&msg_inp).unwrap();
let json_exp = r#"{"timestamp":1,"orig_user_ref_number":1,"user_ref_number":1,"side":"BUY","quantity":50,"symbol":"DUMMY","price":1.2345,"time_in_force":"MARKET_HOURS","display":"VISIBLE","order_reference_number":0,"capacity":"AGENCY","int_mkt_sweep_eligibility":"ELIGIBLE","cross_type":"CONTINUOUS_MARKET","order_state":"LIVE","clt_order_id":"REPLACE_ME____","appendages":{"firm":"????","min_qty":0,"max_floor":0,"price_type":"LIMIT","post_only":"NO","expire_time":0,"trade_now":"PORT_DEFAULT","handle_inst":"NO_INSTRUCTIONS"}}"#;
info!("json_out: {}", json_out);
if matches!(diff(&json_out, json_exp, ","), (dist, _) if dist != 0) {
print_diff(&json_out, json_exp, ",");
assert_eq!(json_out, json_exp);
}
let msg_out: OrderReplaced = from_str(&json_out).unwrap();
// info!("msg_out: {:?}", msg_out);
assert_eq!(msg_out, msg_inp);
}
}