marketdata-shootout/marketdata.xml

<?xml version="1.0" encoding="UTF-8"?>
<sbe:messageSchema xmlns:sbe="http://fixprotocol.io/2016/sbe"
                   package="marketdata_sbe"
                   id="1"
                   version="0"
                   semanticVersion="5.2"
                   description="Trivial market data schema">
    <types>
        <!-- "common types" used by SBE -->
        <composite name="messageHeader" description="Message identifiers and length of message root.">
            <type name="blockLength" primitiveType="uint16"/>
            <type name="templateId" primitiveType="uint16"/>
            <type name="schemaId" primitiveType="uint16"/>
            <type name="version" primitiveType="uint16"/>
        </composite>
        <composite name="groupSizeEncoding" description="Repeating group dimensions.">
            <type name="blockLength" primitiveType="uint16"/>
            <type name="numInGroup" primitiveType="uint16"/>
        </composite>
        <composite name="varStringEncoding" description="Variable length UTF-8 String.">
            <type name="length" primitiveType="uint32" maxValue="1073741824"/>
            <type name="varData" primitiveType="uint8" length="0" characterEncoding="UTF-8"/>
        </composite>
        <composite name="varAsciiEncoding" description="Variable length ASCII String.">
            <type name="length" primitiveType="uint32" maxValue="1073741824"/>
            <type name="varData" primitiveType="uint8" length="0" characterEncoding="ASCII"/>
        </composite>
        <composite name="varDataEncoding" description="Variable length binary blob.">
            <type name="length" primitiveType="uint32" maxValue="1073741824"/>
            <type name="varData" primitiveType="uint8" length="0"/>
        </composite>

        <!-- types we're actually interested in implementing -->
        <composite name="Trade">
            <type name="price" primitiveType="uint64"/>
            <type name="size" primitiveType="uint32"/>
        </composite>
        <composite name="Quote">
            <type name="price" primitiveType="uint64"/>
            <type name="size" primitiveType="uint32"/>
            <type name="flags" primitiveType="uint8"/>
            <ref name="side" type="Side"/>
        </composite>
        <enum name="Side" encodingType="uint8">
            <validValue name="Buy">0</validValue>
            <validValue name="Sell">1</validValue>
        </enum>
        <enum name="MsgType" encodingType="uint8">
            <validValue name="Trade">0</validValue>
            <validValue name="Quote">1</validValue>
        </enum>
    </types>
    <sbe:message name="MultiMessage" id="1" description="Wrapper for sending multiple message chunks at a time">
        <field name="sequence_number" id="1" type="uint64"/>
        <group name="messages" id="2">
            <!--
            Can't embed messages within each other, so the "MultiMessage" block
            actually includes each `message` via a group
            -->
            <field name="timestamp" id="3" type="int64"/>
            <!--
            SBE specifically doesn't have "union" types, so we include a type tag, and both
            `trade` and `quote` as "optional". This style was chosen to approximate how
            Cap'n Proto and Flatbuffers do it:
            https://github.com/real-logic/simple-binary-encoding/issues/232

            However, space is actually reserved for *both* `trade` and `quote` in the message;
            that is, the payload size is the same if neither, one, or both are filled.
            Other ways you can try to emulate unions:
                1. Use a "payload header" composite type and promote "trade" and "quote" to <sbe:message>;
                   SBE can distinguish message types based on the SBE header.
                2. Create a "group" for each message type; adds an extra `u16` per type, but overall payload
                   size goes down because we no longer reserve space that is potentially unused.
                3. Split up the message components into individual <composite/> blocks, and write
                   a state machine (by hand) to chain the blocks. For a better explanation,
                   see "session types" in:
                   https://polysync.io/blog/session-types-for-hearty-codecs
            -->
            <field name="msg_type" id="4" type="MsgType"/>
            <field name="trade" id="5" type="Trade" presence="optional"/>
            <field name="quote" id="6" type="Quote" presence="optional"/>
            <data name="symbol" id="100" type="varAsciiEncoding"/>
        </group>
    </sbe:message>
</sbe:messageSchema>