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
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
/// File format for Dense Tick Format (DTF)
/// 
/// 
/// File Spec:
/// Offset 00: ([u8; 5]) magic value 0x4454469001
/// Offset 05: ([u8; 20]) Symbol
/// Offset 25: (u64) number of records
/// Offset 33: (u32) max ts
/// Offset 80: -- records - see below --
/// 
/// 
/// Record Spec:
/// Offset 81: bool for is_snapshot
/// 1. if is true
///        4 bytes (u32): reference ts
///        2 bytes (u32): reference seq
///        2 bytes (u16): how many records between this snapshot and the next snapshot
/// 2. record
///        dts (u16): $ts - reference ts$, 2^16 = 65536 - ~65 seconds
///        dseq (u8) $seq - reference seq$ , 2^8 = 256
///        is_trade & is_bid: (u8): bitwise and to store two bools in one byte
///        price: (f32)
///        size: (f32)


extern crate byteorder;

#[macro_use]
extern crate bitflags;

use std::str;
use std::fs;
use std::cmp::Ordering;
use byteorder::{BigEndian, WriteBytesExt, ReadBytesExt};
use std::fs::File;
use std::io::{
    Write,
    Read,
    Seek,
    BufWriter,
    BufReader,
    SeekFrom
};

static MAGIC_VALUE : &[u8] = &[0x44, 0x54, 0x46, 0x90, 0x01]; // DTF9001
const SYMBOL_LEN : usize = 9;
static SYMBOL_OFFSET : u64 = 5;
static LEN_OFFSET : u64 = 25;
static MAX_TS_OFFSET : u64 = 33;
static MAIN_OFFSET : u64 = 80; // main section start at 80
// static ITEM_OFFSET : u64 = 13; // each item has 13 bytes

#[derive(Debug, Clone, PartialEq)]
pub struct Update {
    pub ts: u64,
    pub seq: u32,
    pub is_trade: bool,
    pub is_bid: bool,
    pub price: f32,
    pub size: f32,
}

bitflags! {
    struct Flags: u8 {
        const FLAG_EMPTY   = 0b00000000;
        const FLAG_is_bid   = 0b00000001;
        const FLAG_is_trade = 0b00000010;
    }
}

impl Flags {
    fn to_bool(&self) -> bool {
        (self.bits == 0b00000001) || (self.bits == 0b00000010)
    }
}


impl Update {

    fn serialize(&self, ref_ts : u64, ref_seq : u32) -> Vec<u8> {
        if self.seq < ref_seq {
            println!("{:?}", ref_seq);
            println!("{:?}", self);
            /* TODO */
        }
        let mut buf : Vec<u8> = Vec::new();
        let _ = buf.write_u16::<BigEndian>((self.ts- ref_ts) as u16);
        let _ = buf.write_u8((self.seq - ref_seq) as u8);

        let mut flags = Flags::FLAG_EMPTY;
        if self.is_bid { flags = flags | Flags::FLAG_is_bid; }
        if self.is_trade { flags = flags | Flags::FLAG_is_trade; }
        let _ = buf.write_u8(flags.bits());

        let _ = buf.write_f32::<BigEndian>(self.price);
        let _ = buf.write_f32::<BigEndian>(self.size);
        buf
    }

    pub fn to_json(&self) -> String {
        format!(r#"{{"ts":{},"seq":{},"is_trade":{},"is_bid":{},"price":{},"size":{}}}"#,
                  (self.ts as f64) / 1000_f64, self.seq, self.is_trade, self.is_bid, self.price, self.size)
    }
}

impl Ord for Update {
    fn cmp(&self, other: &Update) -> Ordering {
        return self.partial_cmp(other).unwrap();
    }
}

impl Eq for Update {}

impl PartialOrd for Update {
    fn partial_cmp(&self, other : &Update) -> Option<Ordering> {
        if self.ts > other.ts {
            return Some(Ordering::Greater);
        } else if self.ts == other.ts {
            return Some(Ordering::Equal);
        } else {
            return Some(Ordering::Less);
        }
    }
}

pub fn get_max_ts(updates : &[Update]) -> u64 {
    let mut max = 0;
    for update in updates.iter() {
        let current = update.ts;
        if current > max {
            max = current;
        }
    }
    max
}

fn file_writer(fname : &str, create : bool) -> BufWriter<File> {
    let new_file = if create {
        File::create(fname).unwrap()
    } else {
        fs::OpenOptions::new().write(true).open(fname).unwrap()
    };

    let wtr = BufWriter::new(new_file);
    wtr
}

fn write_magic_value(wtr: &mut Write) {
    let _ = wtr.write(MAGIC_VALUE);
}

fn write_symbol(wtr: &mut Write, symbol : &str) {
    assert!(symbol.len() <= SYMBOL_LEN);
    let padded_symbol = format!("{:width$}", symbol, width = SYMBOL_LEN); // right pad w/ space
    assert_eq!(padded_symbol.len(), SYMBOL_LEN);
    let _ = wtr.write(padded_symbol.as_bytes());
}

fn write_len(wtr: &mut BufWriter<File>, len : u64) {
    let _ = wtr.seek(SeekFrom::Start(LEN_OFFSET));
    wtr.write_u64::<BigEndian>(len).expect("length of records");
}

fn write_max_ts(wtr: &mut BufWriter<File>, max_ts : u64) {
    let _ = wtr.seek(SeekFrom::Start(MAX_TS_OFFSET));
    wtr.write_u64::<BigEndian>(max_ts).expect("maximum timestamp");
}

fn write_metadata(wtr: &mut BufWriter<File>, ups : &[Update]) {
    write_len(wtr, ups.len() as u64);
    write_max_ts(wtr, get_max_ts(ups));
}

fn write_reference(wtr: &mut Write, ref_ts: u64, ref_seq: u32, len: u16) {
    let _ = wtr.write_u8(true as u8);
    let _ = wtr.write_u64::<BigEndian>(ref_ts);
    let _ = wtr.write_u32::<BigEndian>(ref_seq);
    let _ = wtr.write_u16::<BigEndian>(len);
}

pub fn write_batches(mut wtr: &mut Write, ups : &[Update]) {
    let mut buf : Vec<u8> = Vec::new();
    let mut ref_ts = ups[0].ts;
    let mut ref_seq = ups[0].seq;
    let mut count = 0;

    for elem in ups.iter() {
        if count != 0 && (elem.ts >= ref_ts + 65535 || elem.seq >= ref_seq + 255 || elem.seq < ref_seq) {
            write_reference(&mut wtr, ref_ts, ref_seq, count);
            let _ = wtr.write(buf.as_slice());
            buf.clear();

            ref_ts = elem.ts;
            ref_seq = elem.seq;
            count = 0;
        }

        let serialized = elem.serialize(ref_ts, ref_seq);
        let _ = buf.write(serialized.as_slice());

        count += 1;
    }

    write_reference(&mut wtr, ref_ts, ref_seq, count);
    wtr.write(buf.as_slice()).unwrap();
}

fn write_main(wtr: &mut BufWriter<File>, ups : &[Update]) {
    let _ = wtr.seek(SeekFrom::Start(MAIN_OFFSET));
    if ups.len() > 0 {
        write_batches(wtr, ups);
    }
}

pub fn encode(fname : &str, symbol : &str, ups : &[Update]) {
    let mut wtr = file_writer(fname, true);

    write_magic_value(&mut wtr);
    write_symbol(&mut wtr, symbol);
    write_metadata(&mut wtr, ups);
    write_main(&mut wtr, ups);

    wtr.flush().expect("FAILURE TO FLUSH");
}

fn file_reader(fname: &str) -> BufReader<File> {

    let file = File::open(fname).expect("OPENING FILE");
    let mut rdr = BufReader::new(file);

    // magic value
    let _ = rdr.seek(SeekFrom::Start(0));
    let mut buf = vec![0u8; 5];
    let _ = rdr.read_exact(&mut buf);

    if buf != MAGIC_VALUE {
        panic!("MAGIC VALUE INCORRECT");
    }

    rdr 
}

fn read_symbol(rdr : &mut BufReader<File>) -> String {
    rdr.seek(SeekFrom::Start(SYMBOL_OFFSET)).unwrap();

    let mut buffer = [0; SYMBOL_LEN];
    let _ = rdr.read_exact(&mut buffer);
    let symbol = str::from_utf8(&buffer).unwrap().to_owned();

    symbol
}

fn read_len(rdr : &mut BufReader<File>) -> u64 {
    rdr.seek(SeekFrom::Start(LEN_OFFSET)).unwrap();
    rdr.read_u64::<BigEndian>().expect("length of records")
}

fn read_min_ts(mut rdr: &mut BufReader<File>) -> u64 {
    read_first(&mut rdr).ts
}

fn read_max_ts(rdr : &mut BufReader<File>) -> u64 {
    let _ = rdr.seek(SeekFrom::Start(MAX_TS_OFFSET));
    rdr.read_u64::<BigEndian>().expect("maximum timestamp")
}

pub fn read_one_batch(rdr: &mut Read) -> Vec<Update> {
    let is_ref = rdr.read_u8().expect("is_ref") == 0x00000001;
    let mut ref_ts = 0;
    let mut ref_seq = 0;
    let mut how_many = 0;
    let mut v : Vec<Update> = Vec::new();

    if is_ref {
        ref_ts = rdr.read_u64::<BigEndian>().unwrap();
        ref_seq = rdr.read_u32::<BigEndian>().unwrap();
        how_many = rdr.read_u16::<BigEndian>().unwrap();
    }

    for _i in 0..how_many {
        let ts = rdr.read_u16::<BigEndian>().expect("ts") as u64 + ref_ts;
        let seq = rdr.read_u8().expect("seq") as u32 + ref_seq;
        let flags = rdr.read_u8().expect("is_trade and is_bid");
        let is_trade = (Flags::from_bits(flags).unwrap() & Flags::FLAG_is_trade).to_bool();
        let is_bid = (Flags::from_bits(flags).unwrap() & Flags::FLAG_is_bid).to_bool();
        let price = rdr.read_f32::<BigEndian>().expect("price");
        let size = rdr.read_f32::<BigEndian>().expect("size");
        let current_update = Update {
            ts, seq, is_trade, is_bid, price, size
        };
        v.push(current_update);
    }

    v
}

fn read_first_batch(mut rdr: &mut BufReader<File>) -> Vec<Update> {
    rdr.seek(SeekFrom::Start(MAIN_OFFSET)).expect("SEEKING");
    read_one_batch(&mut rdr)
}

fn read_first(mut rdr: &mut BufReader<File>) -> Update {
    let batch = read_first_batch(&mut rdr);
    batch[0].clone()
}

pub fn get_size(fname: &str) -> u64 {
    let mut rdr = file_reader(fname);
    let nums = read_len(&mut rdr);
    nums
}

pub fn decode(fname: &str) -> Vec<Update> {
    let mut v : Vec<Update> = Vec::new();
    let mut rdr = file_reader(fname);
    let _symbol = read_symbol(&mut rdr); 
    let _nums = read_len(&mut rdr);
    let _max_ts = read_max_ts(&mut rdr);

    rdr.seek(SeekFrom::Start(MAIN_OFFSET)).expect("SEEKING");

    while let Ok(is_ref) = rdr.read_u8() {
        if is_ref == 0x00000001 {
            rdr.seek(SeekFrom::Current(-1)).expect("ROLLBACK ONE BYTE");
            v.extend(read_one_batch(&mut rdr));
        }
    }

    v
}

//TODO:
pub fn append(fname: &str, ups : &Vec<Update>) {

    let (ups, new_max_ts, cur_len) = {
        let mut rdr = file_reader(fname);
        let _symbol = read_symbol(&mut rdr);

        let old_max_ts = read_max_ts(&mut rdr);

        let ups : Vec<Update> = ups.clone().into_iter()
                                    .filter(|up| up.ts > old_max_ts)
                                    .collect();
        if ups.len() == 0 {
            return;
        }

        let new_min_ts = ups[0].ts;
        let new_max_ts = ups[ups.len()-1].ts;

        if new_min_ts <= old_max_ts {
            panic!("Cannot append data!(not implemented)");
        }

        let cur_len = read_len(&mut rdr);
        (ups, new_max_ts, cur_len)
    };

    let new_len = cur_len + ups.len() as u64;

    let mut wtr = file_writer(fname, false);
    write_len(&mut wtr, new_len);
    write_max_ts(&mut wtr, new_max_ts);

    if cur_len == 0 {
        wtr.seek(SeekFrom::Start(MAIN_OFFSET)).unwrap();
    } else {
        wtr.seek(SeekFrom::End(0)).unwrap();
    }
    write_batches(&mut wtr, &ups);
    wtr.flush().unwrap();
}

#[cfg(test)]
fn sample_data() -> Vec<Update> {
    let mut ts : Vec<Update> = vec![];
    let t = Update {
        ts: 100,
        seq: 113,
        is_trade: false,
        is_bid: false,
        price: 5100.01,
        size: 1.14564564645,
    };
    let t1 = Update {
        ts: 101,
        seq: 113,
        is_trade: false,
        is_bid: false,
        price: 5100.01,
        size: 2.14564564645,
    };
    let t2 = Update {
        ts: 1000000,
        seq: 113,
        is_trade: true,
        is_bid: false,
        price: 5100.01,
        size: 1.123465,
    };
    ts.push(t);
    ts.push(t1);
    ts.push(t2);

    ts.sort();
    ts
}

#[cfg(test)]
fn sample_data_one_item() -> Vec<Update> {
    let mut ts : Vec<Update> = vec![];
    let t = Update {
        ts: 100,
        seq: 113,
        is_trade: false,
        is_bid: false,
        price: 5100.01,
        size: 1.14564564645,
    };
    ts.push(t);

    ts.sort();
    ts
}


#[cfg(test)]
fn sample_data_append() -> Vec<Update> {
    let mut ts : Vec<Update> = vec![];
    let t2 = Update {
        ts: 00000002,
        seq: 113,
        is_trade: false,
        is_bid: false,
        price: 5100.01,
        size: 1.14564564645,
    };
    let t1 = Update {
        ts: 20000001,
        seq: 113,
        is_trade: false,
        is_bid: false,
        price: 5100.01,
        size: 1.14564564645,
    };
    let t = Update {
        ts: 20000000,
        seq: 113,
        is_trade: false,
        is_bid: false,
        price: 5100.01,
        size: 1.14564564645,
    };
    ts.push(t);
    ts.push(t1);
    ts.push(t2);
    ts.sort();
    ts
}
#[cfg(test)]
fn init () -> Vec<Update> {
    let ts = sample_data();

    let fname = "test.dtf";
    let symbol = "NEO_BTC";

    encode(fname, symbol, &ts);

    ts
}

#[test]
fn should_encode_decode_one_item() {
    let ts = sample_data_one_item();
    let fname = "test.dtf";
    let symbol = "NEO_BTC";
    encode(fname, symbol, &ts);
    let decoded_updates = decode(fname);
    assert_eq!(decoded_updates, ts);
}

#[test]
fn should_encode_and_decode_file() {
    let ts = init();
    let fname = "test.dtf";
    let decoded_updates = decode(fname);
    assert_eq!(decoded_updates, ts);
}

#[test]
fn should_return_correct_symbol() {
    init();
    let fname = "test.dtf";
    let mut rdr = file_reader(fname);
    let sym = read_symbol(&mut rdr);
    assert_eq!(sym, "NEO_BTC  ");
}

#[test]
fn should_return_first_record() {
    let vs = init();
    let fname = "test.dtf";
    let mut rdr = file_reader(fname);
    let v = read_first(&mut rdr);
    assert_eq!(vs[0], v);
}

#[test]
fn should_return_correct_num_of_items() {
    let vs = init();
    let fname = "test.dtf";
    let mut rdr = file_reader(fname);
    let len = read_len(&mut rdr);
    assert_eq!(vs.len() as u64, len);
}

#[test]
fn should_return_max_ts() {
    let vs = init();
    let fname = "test.dtf";
    let mut rdr = file_reader(fname);
    let max_ts = read_max_ts(&mut rdr);
    assert_eq!(max_ts, get_max_ts(&vs));
}

// #[cfg(test)]
// fn init_real_data() -> Vec<Update> {
//     use conf;
//     use db;
//     let conf = conf::get_config();
//     let cxn_str : &String = conf.get("connection_string").unwrap();
//     let updates : Vec<db::OrderBookUpdate> = db::run(&cxn_str);
//     let mut mapped : Vec<Update> = updates.iter().map(|d| d.to_update()).collect();
//     mapped.sort();
//     mapped
// }

// #[test]
// fn should_work_with_real_data() {
//     let mut vs = init_real_data();
//     let fname = "real.dtf";
//     let symbol = "NEO_BTC";
//     encode(fname, symbol, &mut vs);
//     let decoded_updates = decode(fname);
//     assert_eq!(decoded_updates, vs);
// }

#[test]
fn should_append_filtered_data() {
    should_encode_and_decode_file();

    println!("----DONE----");

    let fname = "test.dtf";
    let old_data = sample_data();
    let old_max_ts = get_max_ts(&old_data);
    let append_data : Vec<Update> = sample_data_append().into_iter().filter(|up| up.ts >= old_max_ts).collect();
    let new_size = append_data.len() + old_data.len();

    append(fname, &append_data);

    println!("----APPENDED----");

    let mut rdr = file_reader(fname);

    // max_ts
    let max_ts = read_max_ts(&mut rdr);
    assert_eq!(max_ts, get_max_ts(&append_data));

    // total len
    let mut rdr = file_reader(fname);
    let len = read_len(&mut rdr);
    assert_eq!(new_size as u64, len);

    let mut all_the_data = sample_data();
    all_the_data.extend(append_data);
    all_the_data.sort();
    let decoded = decode(&fname);
    assert_eq!(all_the_data, decoded);
    
}

#[test]
fn should_speak_json() {
    let t1 = Update {
        ts: 20000001,
        seq: 113,
        is_trade: false,
        is_bid: false,
        price: 5100.01,
        size: 1.14564564645,
    };
    assert_eq!(r#"{"ts":20000.001,"seq":113,"is_trade":false,"is_bid":false,"price":5100.01,"size":1.1456456}"#, t1.to_json());
}