82 lines
4.3 KiB
XML
82 lines
4.3 KiB
XML
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<?xml version="1.0" encoding="UTF-8"?>
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<sbe:messageSchema xmlns:sbe="http://fixprotocol.io/2016/sbe"
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package="marketdata_sbe"
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id="1"
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version="0"
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semanticVersion="5.2"
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description="Trivial market data schema">
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<types>
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<!-- "common types" used by SBE -->
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<composite name="messageHeader" description="Message identifiers and length of message root.">
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<type name="blockLength" primitiveType="uint16"/>
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<type name="templateId" primitiveType="uint16"/>
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<type name="schemaId" primitiveType="uint16"/>
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<type name="version" primitiveType="uint16"/>
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</composite>
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<composite name="groupSizeEncoding" description="Repeating group dimensions.">
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<type name="blockLength" primitiveType="uint16"/>
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<type name="numInGroup" primitiveType="uint16"/>
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</composite>
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<composite name="varStringEncoding" description="Variable length UTF-8 String.">
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<type name="length" primitiveType="uint32" maxValue="1073741824"/>
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<type name="varData" primitiveType="uint8" length="0" characterEncoding="UTF-8"/>
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</composite>
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<composite name="varAsciiEncoding" description="Variable length ASCII String.">
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<type name="length" primitiveType="uint32" maxValue="1073741824"/>
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<type name="varData" primitiveType="uint8" length="0" characterEncoding="ASCII"/>
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</composite>
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<composite name="varDataEncoding" description="Variable length binary blob.">
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<type name="length" primitiveType="uint32" maxValue="1073741824"/>
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<type name="varData" primitiveType="uint8" length="0"/>
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</composite>
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<!-- types we're actually interested in implementing -->
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<composite name="Trade">
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<type name="price" primitiveType="uint64"/>
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<type name="size" primitiveType="uint32"/>
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</composite>
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<composite name="Quote">
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<type name="price" primitiveType="uint64"/>
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<type name="size" primitiveType="uint32"/>
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<type name="flags" primitiveType="uint8"/>
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<ref name="side" type="Side"/>
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</composite>
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<enum name="Side" encodingType="uint8">
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<validValue name="Buy">0</validValue>
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<validValue name="Sell">1</validValue>
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</enum>
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<enum name="MsgType" encodingType="uint8">
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<validValue name="Trade">0</validValue>
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<validValue name="Quote">1</validValue>
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</enum>
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</types>
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<sbe:message name="MultiMessage" id="1" description="Wrapper for sending multiple message chunks at a time">
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<field name="sequence_number" id="1" type="uint64"/>
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<group name="messages" id="2">
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<!--
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Can't embed messages within each other, so the "MultiMessage" block
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actually includes each `message` via a group
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-->
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<field name="timestamp" id="3" type="int64"/>
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<!--
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SBE specifically doesn't have "union" types, so we include both a `trade` and `quote`
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here and the tag to identify.
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https://github.com/real-logic/simple-binary-encoding/issues/232
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In the future, there are a couple options:
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1. Create a "payload header" type and promote "trade" and "quote" to <sbe:message>,
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since the SBE message header is already able to distinguish between message types
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2. Create a "group" for each message type, and just include no elements of that type.
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Uses a `u16` for each message type, instead of padding bytes for the message size.
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3. Split up the message components and use "session types" to chain things together,
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as in https://polysync.io/blog/session-types-for-hearty-codecs
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For now, this message format was chosen to approximate the schemas of Cap'n Proto and Flatbuffers
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-->
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<field name="msg_type" id="4" type="MsgType"/>
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<field name="trade" id="5" type="Trade"/>
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<field name="quote" id="6" type="Quote"/>
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<data name="symbol" id="100" type="varAsciiEncoding"/>
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</group>
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</sbe:message>
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</sbe:messageSchema>
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