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marketdata-shootout
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Add run analysis code, and clean up most warnings 

Cap'n Proto has a bug in deserialization; both in packed and unpacked, it gets to 43116 of 62253 messages.
master
Bradlee Speice 2019-09-06 22:23:46 -04:00
parent f151d86604
commit 369613843d
12 changed files with 2160 additions and 1653 deletions
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132
Cargo.lock generated
View File

@ -1,5 +1,10 @@
# This file is automatically @generated by Cargo. # This file is automatically @generated by Cargo.
# It is not intended for manual editing. # It is not intended for manual editing.
[[package]]
name = "adler32"
version = "1.0.3"
source = "registry+https://github.com/rust-lang/crates.io-index"
[[package]] [[package]]
name = "alloc_counter" name = "alloc_counter"
version = "0.0.2" version = "0.0.2"
@ -35,11 +40,29 @@ dependencies = [
"winapi 0.3.7 (registry+https://github.com/rust-lang/crates.io-index)", "winapi 0.3.7 (registry+https://github.com/rust-lang/crates.io-index)",
] ]
[[package]]
name = "autocfg"
version = "0.1.6"
source = "registry+https://github.com/rust-lang/crates.io-index"
[[package]]
name = "base64"
version = "0.10.1"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"byteorder 1.3.2 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]] [[package]]
name = "bitflags" name = "bitflags"
version = "1.1.0" version = "1.1.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
[[package]]
name = "byteorder"
version = "1.3.2"
source = "registry+https://github.com/rust-lang/crates.io-index"
[[package]] [[package]]
name = "capnp" name = "capnp"
version = "0.10.1" version = "0.10.1"
@ -53,6 +76,11 @@ dependencies = [
"capnp 0.10.1 (registry+https://github.com/rust-lang/crates.io-index)", "capnp 0.10.1 (registry+https://github.com/rust-lang/crates.io-index)",
] ]
[[package]]
name = "cc"
version = "1.0.42"
source = "registry+https://github.com/rust-lang/crates.io-index"
[[package]] [[package]]
name = "cfg-if" name = "cfg-if"
version = "0.1.9" version = "0.1.9"
@ -72,6 +100,31 @@ dependencies = [
"vec_map 0.8.1 (registry+https://github.com/rust-lang/crates.io-index)", "vec_map 0.8.1 (registry+https://github.com/rust-lang/crates.io-index)",
] ]
[[package]]
name = "crc32fast"
version = "1.2.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"cfg-if 0.1.9 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]]
name = "crossbeam-channel"
version = "0.3.9"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"crossbeam-utils 0.6.6 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]]
name = "crossbeam-utils"
version = "0.6.6"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"cfg-if 0.1.9 (registry+https://github.com/rust-lang/crates.io-index)",
"lazy_static 1.4.0 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]] [[package]]
name = "flatbuffers" name = "flatbuffers"
version = "0.6.0" version = "0.6.0"
@ -88,6 +141,35 @@ dependencies = [
"log 0.4.8 (registry+https://github.com/rust-lang/crates.io-index)", "log 0.4.8 (registry+https://github.com/rust-lang/crates.io-index)",
] ]
[[package]]
name = "flate2"
version = "1.0.11"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"crc32fast 1.2.0 (registry+https://github.com/rust-lang/crates.io-index)",
"libc 0.2.62 (registry+https://github.com/rust-lang/crates.io-index)",
"miniz-sys 0.1.12 (registry+https://github.com/rust-lang/crates.io-index)",
"miniz_oxide 0.3.2 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]]
name = "hdrhistogram"
version = "6.3.4"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"base64 0.10.1 (registry+https://github.com/rust-lang/crates.io-index)",
"byteorder 1.3.2 (registry+https://github.com/rust-lang/crates.io-index)",
"crossbeam-channel 0.3.9 (registry+https://github.com/rust-lang/crates.io-index)",
"flate2 1.0.11 (registry+https://github.com/rust-lang/crates.io-index)",
"nom 4.2.3 (registry+https://github.com/rust-lang/crates.io-index)",
"num-traits 0.2.8 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]]
name = "lazy_static"
version = "1.4.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
[[package]] [[package]]
name = "lexical-core" name = "lexical-core"
version = "0.4.3" version = "0.4.3"
@ -123,6 +205,7 @@ dependencies = [
"clap 2.33.0 (registry+https://github.com/rust-lang/crates.io-index)", "clap 2.33.0 (registry+https://github.com/rust-lang/crates.io-index)",
"flatbuffers 0.6.0 (registry+https://github.com/rust-lang/crates.io-index)", "flatbuffers 0.6.0 (registry+https://github.com/rust-lang/crates.io-index)",
"flatc-rust 0.1.2 (registry+https://github.com/rust-lang/crates.io-index)", "flatc-rust 0.1.2 (registry+https://github.com/rust-lang/crates.io-index)",
"hdrhistogram 6.3.4 (registry+https://github.com/rust-lang/crates.io-index)",
"nom 5.0.0 (registry+https://github.com/rust-lang/crates.io-index)", "nom 5.0.0 (registry+https://github.com/rust-lang/crates.io-index)",
"smallvec 0.6.10 (registry+https://github.com/rust-lang/crates.io-index)", "smallvec 0.6.10 (registry+https://github.com/rust-lang/crates.io-index)",
] ]
@ -132,6 +215,32 @@ name = "memchr"
version = "2.2.1" version = "2.2.1"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
[[package]]
name = "miniz-sys"
version = "0.1.12"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"cc 1.0.42 (registry+https://github.com/rust-lang/crates.io-index)",
"libc 0.2.62 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]]
name = "miniz_oxide"
version = "0.3.2"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"adler32 1.0.3 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]]
name = "nom"
version = "4.2.3"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"memchr 2.2.1 (registry+https://github.com/rust-lang/crates.io-index)",
"version_check 0.1.5 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]] [[package]]
name = "nom" name = "nom"
version = "5.0.0" version = "5.0.0"
@ -142,6 +251,14 @@ dependencies = [
"version_check 0.1.5 (registry+https://github.com/rust-lang/crates.io-index)", "version_check 0.1.5 (registry+https://github.com/rust-lang/crates.io-index)",
] ]
[[package]]
name = "num-traits"
version = "0.2.8"
source = "registry+https://github.com/rust-lang/crates.io-index"
dependencies = [
"autocfg 0.1.6 (registry+https://github.com/rust-lang/crates.io-index)",
]
[[package]] [[package]]
name = "proc-macro2" name = "proc-macro2"
version = "0.4.30" version = "0.4.30"
@ -279,22 +396,37 @@ version = "0.4.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
[metadata] [metadata]
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1
Cargo.toml
View File

@ -8,6 +8,7 @@ edition = "2018"
capnp = "0.10.1" capnp = "0.10.1"
clap = "2.33.0" clap = "2.33.0"
flatbuffers = "0.6.0" flatbuffers = "0.6.0"
hdrhistogram = "6.3.4"
nom = "5.0.0" nom = "5.0.0"
smallvec = "0.6.10" smallvec = "0.6.10"

6
build.rs
View File

@ -15,7 +15,8 @@ fn main() {
inputs: &[Path::new("marketdata.fbs")], inputs: &[Path::new("marketdata.fbs")],
out_dir: Path::new("src/"), out_dir: Path::new("src/"),
..Default::default() ..Default::default()
}).expect("Unable to compile flatc"); })
.expect("Unable to compile flatc");
// There's no Rust-style builder crate for SBE, // There's no Rust-style builder crate for SBE,
// so we need to run the command by hand. // so we need to run the command by hand.
@ -25,7 +26,8 @@ fn main() {
.arg("-Dsbe.xinclude.aware=true") .arg("-Dsbe.xinclude.aware=true")
.arg("-Dsbe.target.language=uk.co.real_logic.sbe.generation.rust.Rust") .arg("-Dsbe.target.language=uk.co.real_logic.sbe.generation.rust.Rust")
.arg("-Dsbe.target.namespace=marketdata_sbe") .arg("-Dsbe.target.namespace=marketdata_sbe")
.arg("-jar").arg("sbe-all-1.13.2-all.jar") .arg("-jar")
.arg("sbe-all-1.13.2-all.jar")
.arg("marketdata.xml") .arg("marketdata.xml")
.output() .output()
.expect("Unable to execute SBE compiler"); .expect("Unable to execute SBE compiler");

118
src/capnp_runner.rs
View File

@ -1,26 +1,25 @@
use std::convert::TryInto; use std::convert::TryInto;
use std::io::{BufRead, Read}; use std::io::{BufRead, Read};
use std::mem::size_of; use std::mem::size_of;
use std::str::from_utf8_unchecked;
use capnp::Error; use capnp::message::{ReaderOptions, ScratchSpace, ScratchSpaceHeapAllocator};
use capnp::message::{Builder, ReaderOptions, ScratchSpace, ScratchSpaceHeapAllocator};
use capnp::serialize::write_message; use capnp::serialize::write_message;
use capnp::serialize_packed::{read_message as read_message_packed, write_message as write_message_packed}; use capnp::serialize_packed::{
use nom::bytes::complete::take_until; read_message as read_message_packed, write_message as write_message_packed,
use nom::IResult; };
use capnp::Error;
use crate::{RunnerDeserialize, RunnerSerialize, StreamVec, Summarizer};
use crate::iex::{IexMessage, IexPayload}; use crate::iex::{IexMessage, IexPayload};
use crate::marketdata_capnp::{multi_message, Side};
use crate::marketdata_capnp::message; use crate::marketdata_capnp::message;
use crate::marketdata_capnp::{multi_message, Side};
use crate::{RunnerDeserialize, RunnerSerialize, StreamVec, Summarizer};
pub struct CapnpWriter<'a> { pub struct CapnpWriter<'a> {
// We have to be very careful with how messages are built, as running // We have to be very careful with how messages are built, as running
// `init_root` and rebuilding will still accumulate garbage if using // `init_root` and rebuilding will still accumulate garbage if using
// the standard HeapAllocator. // the standard HeapAllocator.
// https://github.com/capnproto/capnproto-rust/issues/111 // https://github.com/capnproto/capnproto-rust/issues/111
words: Vec<capnp::Word>, _words: Vec<capnp::Word>,
scratch: ScratchSpace<'a>, scratch: ScratchSpace<'a>,
packed: bool, packed: bool,
} }
@ -31,14 +30,12 @@ impl<'a> CapnpWriter<'a> {
// In practice, let's just make sure everything fits. // In practice, let's just make sure everything fits.
let mut words = capnp::Word::allocate_zeroed_vec(1024); let mut words = capnp::Word::allocate_zeroed_vec(1024);
let mut scratch = ScratchSpace::new(unsafe { let scratch = ScratchSpace::new(unsafe { std::mem::transmute(&mut words[..]) });
std::mem::transmute(&mut words[..])
});
CapnpWriter { CapnpWriter {
words, _words: words,
scratch, scratch,
packed packed,
} }
} }
@ -56,12 +53,14 @@ impl<'a> CapnpWriter<'a> {
impl<'a> RunnerSerialize for CapnpWriter<'a> { impl<'a> RunnerSerialize for CapnpWriter<'a> {
fn serialize(&mut self, payload: &IexPayload, mut output: &mut Vec<u8>) { fn serialize(&mut self, payload: &IexPayload, mut output: &mut Vec<u8>) {
// First, count the messages we actually care about. // First, count the messages we actually care about.
let num_msgs = payload.messages.iter().map(|m| { let num_msgs = payload
match m { .messages
.iter()
.map(|m| match m {
IexMessage::TradeReport(_) | IexMessage::PriceLevelUpdate(_) => 1, IexMessage::TradeReport(_) | IexMessage::PriceLevelUpdate(_) => 1,
_ => 0 _ => 0,
} })
}).fold(0, |sum, i| sum + i); .fold(0, |sum, i| sum + i);
if num_msgs == 0 { if num_msgs == 0 {
return; return;
@ -109,13 +108,21 @@ impl<'a> RunnerSerialize for CapnpWriter<'a> {
msg_plu.set_price(plu.price); msg_plu.set_price(plu.price);
msg_plu.set_size(plu.size); msg_plu.set_size(plu.size);
msg_plu.set_flags(plu.event_flags); msg_plu.set_flags(plu.event_flags);
msg_plu.set_side(if plu.msg_type == 0x38 { Side::Buy } else { Side::Sell }); msg_plu.set_side(if plu.msg_type == 0x38 {
Side::Buy
} else {
Side::Sell
});
} }
_ => () _ => (),
} }
} }
let write_fn = if self.packed { write_message_packed } else { write_message }; let write_fn = if self.packed {
write_message_packed
} else {
write_message
};
write_fn(&mut output, &builder).unwrap(); write_fn(&mut output, &builder).unwrap();
} }
@ -123,25 +130,28 @@ impl<'a> RunnerSerialize for CapnpWriter<'a> {
pub struct CapnpReader { pub struct CapnpReader {
read_opts: ReaderOptions, read_opts: ReaderOptions,
packed: bool packed: bool,
} }
impl CapnpReader { impl CapnpReader {
pub fn new(packed: bool) -> CapnpReader { pub fn new(packed: bool) -> CapnpReader {
CapnpReader { CapnpReader {
read_opts: ReaderOptions::new(), read_opts: ReaderOptions::new(),
packed packed,
} }
} }
} }
impl CapnpReader { impl CapnpReader {
fn deserialize_packed<'a>(&self, buf: &'a mut StreamVec, stats: &mut Summarizer) -> Result<(), ()> { fn deserialize_packed<'a>(
&self,
buf: &'a mut StreamVec,
stats: &mut Summarizer,
) -> Result<(), ()> {
// Because `capnp::serialize_packed::PackedRead` is hidden from us, packed reads // Because `capnp::serialize_packed::PackedRead` is hidden from us, packed reads
// *have* to both allocate new segments every read, and copy the buffer into // *have* to both allocate new segments every read, and copy the buffer into
// those same segments, no ability to re-use allocated memory. // those same segments, no ability to re-use allocated memory.
let reader = read_message_packed(buf, self.read_opts) let reader = read_message_packed(buf, self.read_opts).map_err(|_| ())?;
.map_err(|_| ())?;
let multimsg = reader.get_root::<multi_message::Reader>().unwrap(); let multimsg = reader.get_root::<multi_message::Reader>().unwrap();
for msg in multimsg.get_messages().unwrap().iter() { for msg in multimsg.get_messages().unwrap().iter() {
@ -149,18 +159,18 @@ impl CapnpReader {
Ok(message::Trade(tr)) => { Ok(message::Trade(tr)) => {
let tr = tr.unwrap(); let tr = tr.unwrap();
stats.append_trade_volume(msg.get_symbol().unwrap(), tr.get_size() as u64); stats.append_trade_volume(msg.get_symbol().unwrap(), tr.get_size() as u64);
}, }
Ok(message::Quote(q)) => { Ok(message::Quote(q)) => {
let q = q.unwrap(); let q = q.unwrap();
let is_bid = match q.get_side().unwrap() { let is_bid = match q.get_side().unwrap() {
Side::Buy => true, Side::Buy => true,
_ => false _ => false,
}; };
stats.update_quote_prices(msg.get_symbol().unwrap(), q.get_price(), is_bid); stats.update_quote_prices(msg.get_symbol().unwrap(), q.get_price(), is_bid);
}, }
_ => panic!("Unrecognized message type!") _ => panic!("Unrecognized message type!"),
} }
}; }
Ok(()) Ok(())
} }
@ -192,8 +202,7 @@ impl CapnpReader {
There is no documentation on how to calculate `bytes_consumed` when parsing by hand There is no documentation on how to calculate `bytes_consumed` when parsing by hand
that I could find, you just have to guess and check until you figure this one out. that I could find, you just have to guess and check until you figure this one out.
*/ */
let (num_words, offsets) = read_segment_table(&mut data, reader_opts) let (num_words, offsets) = read_segment_table(&mut data, reader_opts).map_err(|_| ())?;
.map_err(|_| ())?;
let words = unsafe { capnp::Word::bytes_to_words(data) }; let words = unsafe { capnp::Word::bytes_to_words(data) };
let reader = capnp::message::Reader::new( let reader = capnp::message::Reader::new(
SliceSegments { SliceSegments {
@ -206,8 +215,7 @@ impl CapnpReader {
let msg_bytes = num_words * size_of::<capnp::Word>(); let msg_bytes = num_words * size_of::<capnp::Word>();
let bytes_consumed = segment_table_bytes + msg_bytes; let bytes_consumed = segment_table_bytes + msg_bytes;
let multimsg = reader.get_root::<multi_message::Reader>() let multimsg = reader.get_root::<multi_message::Reader>().map_err(|_| ())?;
.map_err(|_| ())?;
for msg in multimsg.get_messages().map_err(|_| ())?.iter() { for msg in multimsg.get_messages().map_err(|_| ())?.iter() {
let sym = msg.get_symbol().map_err(|_| ())?; let sym = msg.get_symbol().map_err(|_| ())?;
@ -215,15 +223,15 @@ impl CapnpReader {
message::Trade(trade) => { message::Trade(trade) => {
let trade = trade.unwrap(); let trade = trade.unwrap();
stats.append_trade_volume(sym, trade.get_size().into()); stats.append_trade_volume(sym, trade.get_size().into());
}, }
message::Quote(quote) => { message::Quote(quote) => {
let quote = quote.unwrap(); let quote = quote.unwrap();
let is_buy = match quote.get_side().unwrap() { let is_buy = match quote.get_side().unwrap() {
Side::Buy => true, Side::Buy => true,
_ => false _ => false,
}; };
stats.update_quote_prices(sym, quote.get_price(), is_buy); stats.update_quote_prices(sym, quote.get_price(), is_buy);
}, }
} }
} }
@ -244,7 +252,6 @@ impl RunnerDeserialize for CapnpReader {
} }
} }
pub struct SliceSegments<'a> { pub struct SliceSegments<'a> {
words: &'a [capnp::Word], words: &'a [capnp::Word],
segment_slices: Vec<(usize, usize)>, segment_slices: Vec<(usize, usize)>,
@ -265,10 +272,12 @@ impl<'a> capnp::message::ReaderSegments for SliceSegments<'a> {
} }
} }
fn read_segment_table<R>(read: &mut R, fn read_segment_table<R>(
options: capnp::message::ReaderOptions) read: &mut R,
-> capnp::Result<(usize, Vec<(usize, usize)>)> options: capnp::message::ReaderOptions,
where R: Read ) -> capnp::Result<(usize, Vec<(usize, usize)>)>
where
R: Read,
{ {
let mut buf: [u8; 8] = [0; 8]; let mut buf: [u8; 8] = [0; 8];
@ -277,9 +286,15 @@ fn read_segment_table<R>(read: &mut R,
let segment_count = u32::from_le_bytes(buf[0..4].try_into().unwrap()).wrapping_add(1) as usize; let segment_count = u32::from_le_bytes(buf[0..4].try_into().unwrap()).wrapping_add(1) as usize;
if segment_count >= 512 { if segment_count >= 512 {
return Err(Error::failed(format!("Too many segments: {}", segment_count))) return Err(Error::failed(format!(
"Too many segments: {}",
segment_count
)));
} else if segment_count == 0 { } else if segment_count == 0 {
return Err(Error::failed(format!("Too few segments: {}", segment_count))) return Err(Error::failed(format!(
"Too few segments: {}",
segment_count
)));
} }
let mut segment_slices = Vec::with_capacity(segment_count); let mut segment_slices = Vec::with_capacity(segment_count);
@ -301,7 +316,8 @@ fn read_segment_table<R>(read: &mut R,
read.read_exact(&mut segment_sizes[..])?; read.read_exact(&mut segment_sizes[..])?;
for idx in 0..(segment_count - 1) { for idx in 0..(segment_count - 1) {
let segment_len = let segment_len =
u32::from_le_bytes(segment_sizes[(idx * 4)..(idx + 1) * 4].try_into().unwrap()) as usize; u32::from_le_bytes(segment_sizes[(idx * 4)..(idx + 1) * 4].try_into().unwrap())
as usize;
segment_slices.push((total_words, total_words + segment_len)); segment_slices.push((total_words, total_words + segment_len));
total_words += segment_len; total_words += segment_len;
@ -313,9 +329,11 @@ fn read_segment_table<R>(read: &mut R,
// traversal limit. Without this check, a malicious client could transmit a very large segment // traversal limit. Without this check, a malicious client could transmit a very large segment
// size to make the receiver allocate excessive space and possibly crash. // size to make the receiver allocate excessive space and possibly crash.
if total_words as u64 > options.traversal_limit_in_words { if total_words as u64 > options.traversal_limit_in_words {
return Err(Error::failed( return Err(Error::failed(format!(
format!("Message has {} words, which is too large. To increase the limit on the \ "Message has {} words, which is too large. To increase the limit on the \
receiving end, see capnp::message::ReaderOptions.", total_words))) receiving end, see capnp::message::ReaderOptions.",
total_words
)));
} }
Ok((total_words, segment_slices)) Ok((total_words, segment_slices))

30
src/flatbuffers_runner.rs
View File

@ -1,15 +1,10 @@
use std::convert::TryInto; use std::convert::TryInto;
use std::io::{BufRead, Error, Write}; use std::io::{BufRead, Write};
use std::mem::size_of; use std::mem::size_of;
use std::str::from_utf8_unchecked;
use capnp::data::new_builder;
use flatbuffers::buffer_has_identifier;
use nom::{bytes::complete::take_until, IResult};
use crate::{RunnerDeserialize, RunnerSerialize, StreamVec, Summarizer};
use crate::iex::{IexMessage, IexPayload}; use crate::iex::{IexMessage, IexPayload};
use crate::marketdata_generated::md_shootout; use crate::marketdata_generated::md_shootout;
use crate::{RunnerDeserialize, RunnerSerialize, StreamVec, Summarizer};
pub struct FlatbuffersWriter<'a> { pub struct FlatbuffersWriter<'a> {
builder: flatbuffers::FlatBufferBuilder<'a>, builder: flatbuffers::FlatBufferBuilder<'a>,
@ -27,7 +22,6 @@ impl<'a> FlatbuffersWriter<'a> {
impl<'a> RunnerSerialize for FlatbuffersWriter<'a> { impl<'a> RunnerSerialize for FlatbuffersWriter<'a> {
fn serialize(&mut self, payload: &IexPayload, output: &mut Vec<u8>) { fn serialize(&mut self, payload: &IexPayload, output: &mut Vec<u8>) {
// Because FlatBuffers can't handle nested vectors (specifically, we can't track // Because FlatBuffers can't handle nested vectors (specifically, we can't track
// both the variable-length vector of messages, and the variable-length strings // both the variable-length vector of messages, and the variable-length strings
// within those messages), we have to cache the messages as they get built // within those messages), we have to cache the messages as they get built
@ -61,7 +55,11 @@ impl<'a> RunnerSerialize for FlatbuffersWriter<'a> {
price: plu.price, price: plu.price,
size_: plu.size, size_: plu.size,
flags: plu.event_flags, flags: plu.event_flags,
side: if plu.msg_type == 0x38 { md_shootout::Side::Buy } else { md_shootout::Side::Sell }, side: if plu.msg_type == 0x38 {
md_shootout::Side::Buy
} else {
md_shootout::Side::Sell
},
}, },
); );
@ -73,7 +71,7 @@ impl<'a> RunnerSerialize for FlatbuffersWriter<'a> {
body: Some(level_update.as_union_value()), body: Some(level_update.as_union_value()),
}) })
} }
_ => None _ => None,
}; };
msg_args.map(|a| { msg_args.map(|a| {
@ -118,7 +116,7 @@ impl RunnerDeserialize for FlatbuffersReader {
// a view over the underlying buffer. // a view over the underlying buffer.
let data = buf.fill_buf().unwrap(); let data = buf.fill_buf().unwrap();
if data.len() == 0 { if data.len() == 0 {
return Err(()) return Err(());
} }
let msg_len_buf: [u8; 4] = data[..size_of::<u32>()].try_into().unwrap(); let msg_len_buf: [u8; 4] = data[..size_of::<u32>()].try_into().unwrap();
@ -127,7 +125,7 @@ impl RunnerDeserialize for FlatbuffersReader {
let multimsg = flatbuffers::get_size_prefixed_root::<md_shootout::MultiMessage>(data); let multimsg = flatbuffers::get_size_prefixed_root::<md_shootout::MultiMessage>(data);
let msg_vec = match multimsg.messages() { let msg_vec = match multimsg.messages() {
Some(m) => m, Some(m) => m,
None => panic!("Couldn't find messages") None => panic!("Couldn't find messages"),
}; };
for i in 0..msg_vec.len() { for i in 0..msg_vec.len() {
@ -136,16 +134,16 @@ impl RunnerDeserialize for FlatbuffersReader {
md_shootout::MessageBody::Trade => { md_shootout::MessageBody::Trade => {
let trade = msg.body_as_trade().unwrap(); let trade = msg.body_as_trade().unwrap();
stats.append_trade_volume(msg.symbol().unwrap(), trade.size_().into()); stats.append_trade_volume(msg.symbol().unwrap(), trade.size_().into());
}, }
md_shootout::MessageBody::LevelUpdate => { md_shootout::MessageBody::LevelUpdate => {
let lu = msg.body_as_level_update().unwrap(); let lu = msg.body_as_level_update().unwrap();
let is_bid = match lu.side() { let is_bid = match lu.side() {
md_shootout::Side::Buy => true, md_shootout::Side::Buy => true,
_ => false _ => false,
}; };
stats.update_quote_prices(msg.symbol().unwrap(), lu.price(), is_bid); stats.update_quote_prices(msg.symbol().unwrap(), lu.price(), is_bid);
}, }
md_shootout::MessageBody::NONE => panic!("Unrecognized message type") md_shootout::MessageBody::NONE => panic!("Unrecognized message type"),
} }
} }

4
src/iex.rs
View File

@ -1,8 +1,8 @@
use std::convert::TryInto; use std::convert::TryInto;
use nom::{bytes::complete::take, IResult, number::complete::*, sequence::tuple}; use nom::{bytes::complete::take, number::complete::*, sequence::tuple, IResult};
use crate::parsers::{Block, extract_iex_data, read_block}; use crate::parsers::{extract_iex_data, read_block, Block};
pub struct IexParser<'a> { pub struct IexParser<'a> {
pcap_buffer: &'a [u8], pcap_buffer: &'a [u8],

206
src/main.rs
View File

@ -2,13 +2,14 @@ use std::cmp::{max, min};
use std::collections::hash_map::{DefaultHasher, HashMap}; use std::collections::hash_map::{DefaultHasher, HashMap};
use std::fs::File; use std::fs::File;
use std::hash::Hasher; use std::hash::Hasher;
use std::io::{BufRead, Read};
use std::io::Error; use std::io::Error;
use std::io::{BufRead, Read};
use std::path::Path; use std::path::Path;
use std::str::from_utf8_unchecked; use std::str::from_utf8_unchecked;
use std::time::{Instant, SystemTime}; use std::time::Instant;
use clap::{App, Arg}; use clap::{App, Arg};
use hdrhistogram::Histogram;
use nom::{bytes::complete::take_until, IResult}; use nom::{bytes::complete::take_until, IResult};
use crate::iex::{IexParser, IexPayload}; use crate::iex::{IexParser, IexPayload};
@ -19,13 +20,14 @@ use crate::iex::{IexParser, IexPayload};
pub mod marketdata_capnp; pub mod marketdata_capnp;
#[allow(unused_imports)] #[allow(unused_imports)]
pub mod marketdata_generated; // Flatbuffers pub mod marketdata_generated; // Flatbuffers
#[allow(dead_code)]
pub mod marketdata_sbe; pub mod marketdata_sbe;
mod capnp_runner; mod capnp_runner;
mod flatbuffers_runner; mod flatbuffers_runner;
mod sbe_runner;
mod iex; mod iex;
mod parsers; mod parsers;
mod sbe_runner;
fn main() { fn main() {
let matches = App::new("Marketdata Shootout") let matches = App::new("Marketdata Shootout")
@ -48,84 +50,32 @@ fn main() {
file.read_to_end(&mut buf) file.read_to_end(&mut buf)
.expect(&format!("Unable to read file={}", path.display())); .expect(&format!("Unable to read file={}", path.display()));
let _start = SystemTime::now(); let _capnp_unpacked = run_analysis(
let mut summarizer = Summarizer::default(); &buf,
let mut parser = IexParser::new(&buf[..]); &mut capnp_runner::CapnpWriter::new(false),
&mut capnp_runner::CapnpReader::new(false),
);
// Pre-allocate the same size as the backing file. Will be way more than let _capnp_packed = run_analysis(
// necessary, but makes sure there's no re-allocation not related to &buf,
// actual parsing/serialization code &mut capnp_runner::CapnpWriter::new(true),
let mut output_buf: Vec<u8> = Vec::with_capacity(buf.capacity()); &mut capnp_runner::CapnpReader::new(true),
);
/* let _flatbuffers = run_analysis(
let mut capnp_writer = capnp_runner::CapnpWriter::new(); &buf,
for iex_payload in parser { &mut flatbuffers_runner::FlatbuffersWriter::new(),
//let iex_payload = parser.next().unwrap(); &mut flatbuffers_runner::FlatbuffersReader::new(),
capnp_writer.serialize(&iex_payload, &mut output_buf, true); );
}
let capnp_reader = capnp_runner::CapnpReader::new(); let _sbe = run_analysis(
let mut read_buf = StreamVec::new(output_buf); &buf,
let mut parsed_msgs: u64 = 0; &mut sbe_runner::SBEWriter::new(),
while let Ok(_) = capnp_reader.deserialize_packed(&mut read_buf, &mut summarizer) { &mut sbe_runner::SBEReader::new(),
parsed_msgs += 1; );
}
*/
let mut fb_writer = flatbuffers_runner::FlatbuffersWriter::new();
for iex_payload in parser {
let now = Instant::now();
fb_writer.serialize(&iex_payload, &mut output_buf);
let serialize_nanos = Instant::now().duration_since(now).as_nanos();
dbg!(serialize_nanos);
}
let mut read_buf = StreamVec::new(output_buf);
let fb_reader = flatbuffers_runner::FlatbuffersReader::new();
let mut parsed_msgs = 0;
while let Ok(_) = fb_reader.deserialize(&mut read_buf, &mut summarizer) {
parsed_msgs += 1;
}
/*
let mut capnp_writer = capnp_runner::CapnpWriter::new();
for iex_payload in parser {
//let iex_payload = parser.next().unwrap();
let now = Instant::now();
capnp_writer.serialize(&iex_payload, &mut output_buf, false);
let serialize_nanos = Instant::now().duration_since(now).as_nanos();
dbg!(serialize_nanos);
}
let capnp_reader = capnp_runner::CapnpReader::new();
let mut read_buf = StreamVec::new(output_buf);
let mut parsed_msgs: u64 = 0;
while let Ok(_) = capnp_reader.deserialize_unpacked(&mut read_buf, &mut summarizer) {
parsed_msgs += 1;
}
*/
/*
let mut sbe_writer = sbe_runner::SBEWriter::new();
for iex_payload in parser {
//let iex_payload = parser.next().unwrap();
sbe_writer.serialize(&iex_payload, &mut output_buf);
}
let sbe_reader = sbe_runner::SBEReader::new();
let mut read_buf = StreamVec::new(output_buf);
let mut parsed_msgs: u64 = 0;
while let Ok(_) = sbe_reader.deserialize(&mut read_buf, &mut summarizer) {
parsed_msgs += 1;
}
*/
dbg!(parsed_msgs);
dbg!(summarizer);
} }
#[derive(Debug)] #[derive(Debug, PartialEq)]
pub struct SummaryStats { pub struct SummaryStats {
symbol: String, symbol: String,
trade_volume: u64, trade_volume: u64,
@ -135,24 +85,23 @@ pub struct SummaryStats {
ask_low: u64, ask_low: u64,
} }
#[derive(Default, Debug)] #[derive(Default, Debug, PartialEq)]
pub struct Summarizer { pub struct Summarizer {
data: HashMap<u64, SummaryStats> data: HashMap<u64, SummaryStats>,
} }
impl Summarizer { impl Summarizer {
fn entry(&mut self, sym: &str) -> &mut SummaryStats { fn entry(&mut self, sym: &str) -> &mut SummaryStats {
let mut hasher = DefaultHasher::new(); let mut hasher = DefaultHasher::new();
hasher.write(sym.as_bytes()); hasher.write(sym.as_bytes());
self.data.entry(hasher.finish()) self.data.entry(hasher.finish()).or_insert(SummaryStats {
.or_insert(SummaryStats { symbol: sym.to_string(),
symbol: sym.to_string(), trade_volume: 0,
trade_volume: 0, bid_high: 0,
bid_high: 0, bid_low: u64::max_value(),
bid_low: u64::max_value(), ask_high: 0,
ask_high: 0, ask_low: u64::max_value(),
ask_low: u64::max_value(), })
})
} }
pub fn append_trade_volume(&mut self, sym: &str, volume: u64) { pub fn append_trade_volume(&mut self, sym: &str, volume: u64) {
@ -178,10 +127,7 @@ pub struct StreamVec {
impl StreamVec { impl StreamVec {
pub fn new(buf: Vec<u8>) -> StreamVec { pub fn new(buf: Vec<u8>) -> StreamVec {
StreamVec { StreamVec { pos: 0, inner: buf }
pos: 0,
inner: buf,
}
} }
} }
@ -189,7 +135,11 @@ impl Read for StreamVec {
fn read(&mut self, buf: &mut [u8]) -> Result<usize, Error> { fn read(&mut self, buf: &mut [u8]) -> Result<usize, Error> {
// TODO: There's *got* to be a better way to handle this // TODO: There's *got* to be a better way to handle this
let end = self.pos + buf.len(); let end = self.pos + buf.len();
let end = if end > self.inner.len() { self.inner.len() } else { end }; let end = if end > self.inner.len() {
self.inner.len()
} else {
end
};
let read_size = end - self.pos; let read_size = end - self.pos;
buf[..read_size].copy_from_slice(&self.inner[self.pos..end]); buf[..read_size].copy_from_slice(&self.inner[self.pos..end]);
self.pos = end; self.pos = end;
@ -226,3 +176,75 @@ fn parse_symbol(sym: &[u8; 8]) -> &str {
let (_, sym_bytes) = __take_until(" ", &sym[..]).unwrap(); let (_, sym_bytes) = __take_until(" ", &sym[..]).unwrap();
unsafe { from_utf8_unchecked(sym_bytes) } unsafe { from_utf8_unchecked(sym_bytes) }
} }
struct RunAnalysis {
serialize_hist: Histogram<u64>,
deserialize_hist: Histogram<u64>,
summary_stats: Summarizer,
serialize_total_nanos: u128,
deserialize_total_nanos: u128,
buf_len: usize,
}
fn run_analysis<S, D>(iex_data: &Vec<u8>, serializer: &mut S, deserializer: &mut D) -> RunAnalysis
where
S: RunnerSerialize,
D: RunnerDeserialize,
{
let upper = if cfg!(debug_assertions) {
1_000_000
} else {
100_000
};
let iex_parser = IexParser::new(iex_data);
let mut output_buf = Vec::with_capacity(iex_data.len());
let mut serialize_hist = Histogram::<u64>::new_with_bounds(1, upper, 2).unwrap();
let mut serialize_nanos_total = 0u128;
let mut serialize_msgs = 0;
for iex_payload in iex_parser {
let serialize_start = Instant::now();
serializer.serialize(&iex_payload, &mut output_buf);
let serialize_end = Instant::now().duration_since(serialize_start).as_nanos();
serialize_hist.record(serialize_end as u64).unwrap();
serialize_nanos_total += serialize_end;
serialize_msgs += 1;
}
let output_len = output_buf.len();
let mut read_buf = StreamVec::new(output_buf);
let mut summarizer = Summarizer::default();
let mut deserialize_hist = Histogram::<u64>::new_with_bounds(1, upper, 2).unwrap();
let mut parsed_msgs: u64 = 0;
let mut deserialize_nanos_total = 0u128;
loop {
let deserialize_start = Instant::now();
let res = deserializer.deserialize(&mut read_buf, &mut summarizer);
let deserialize_end = Instant::now().duration_since(deserialize_start).as_nanos();
if res.is_ok() {
deserialize_hist.record(deserialize_end as u64).unwrap();
deserialize_nanos_total += deserialize_end;
parsed_msgs += 1;
} else {
break;
}
}
dbg!(serialize_msgs, parsed_msgs);
RunAnalysis {
serialize_hist,
deserialize_hist,
summary_stats: summarizer,
serialize_total_nanos: serialize_nanos_total,
deserialize_total_nanos: deserialize_nanos_total,
buf_len: output_len,
}
}

1502
src/marketdata_capnp.rs
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File diff suppressed because it is too large Load Diff

1013
src/marketdata_generated.rs
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File diff suppressed because it is too large Load Diff

738
src/marketdata_sbe.rs
View File

@ -1,6 +1,5 @@
/// Generated code for SBE package marketdata_sbe /// Generated code for SBE package marketdata_sbe
/// Imports core rather than std to broaden usable environments. /// Imports core rather than std to broaden usable environments.
extern crate core; extern crate core;
@ -9,13 +8,13 @@ extern crate core;
/// Errors that may occur during the course of encoding or decoding. /// Errors that may occur during the course of encoding or decoding.
#[derive(Debug)] #[derive(Debug)]
pub enum CodecErr { pub enum CodecErr {
/// Too few bytes in the byte-slice to read or write the data structure relevant /// Too few bytes in the byte-slice to read or write the data structure relevant
/// to the current state of the codec /// to the current state of the codec
NotEnoughBytes, NotEnoughBytes,
/// Groups and vardata are constrained by the numeric type chosen to represent their /// Groups and vardata are constrained by the numeric type chosen to represent their
/// length as well as optional maxima imposed by the schema /// length as well as optional maxima imposed by the schema
SliceIsLongerThanAllowedBySchema, SliceIsLongerThanAllowedBySchema,
} }
pub type CodecResult<T> = core::result::Result<T, CodecErr>; pub type CodecResult<T> = core::result::Result<T, CodecErr>;
@ -23,206 +22,219 @@ pub type CodecResult<T> = core::result::Result<T, CodecErr>;
/// Scratch Decoder Data Wrapper - codec internal use only /// Scratch Decoder Data Wrapper - codec internal use only
#[derive(Debug)] #[derive(Debug)]
pub struct ScratchDecoderData<'d> { pub struct ScratchDecoderData<'d> {
data: &'d [u8], data: &'d [u8],
pos: usize, pos: usize,
} }
impl<'d> ScratchDecoderData<'d> { impl<'d> ScratchDecoderData<'d> {
/// Create a struct reference overlaid atop the data buffer /// Create a struct reference overlaid atop the data buffer
/// such that the struct's contents directly reflect the buffer. /// such that the struct's contents directly reflect the buffer.
/// Advances the `pos` index by the size of the struct in bytes. /// Advances the `pos` index by the size of the struct in bytes.
#[inline] #[inline]
fn read_type<T>(&mut self, num_bytes: usize) -> CodecResult<&'d T> { fn read_type<T>(&mut self, num_bytes: usize) -> CodecResult<&'d T> {
let end = self.pos + num_bytes; let end = self.pos + num_bytes;
if end <= self.data.len() { if end <= self.data.len() {
let s = self.data[self.pos..end].as_ptr() as *mut T; let s = self.data[self.pos..end].as_ptr() as *mut T;
let v: &'d T = unsafe { &*s }; let v: &'d T = unsafe { &*s };
self.pos = end; self.pos = end;
Ok(v) Ok(v)
} else { } else {
Err(CodecErr::NotEnoughBytes) Err(CodecErr::NotEnoughBytes)
}
} }
}
/// Advances the `pos` index by a set number of bytes. /// Advances the `pos` index by a set number of bytes.
#[inline] #[inline]
fn skip_bytes(&mut self, num_bytes: usize) -> CodecResult<()> { fn skip_bytes(&mut self, num_bytes: usize) -> CodecResult<()> {
let end = self.pos + num_bytes; let end = self.pos + num_bytes;
if end <= self.data.len() { if end <= self.data.len() {
self.pos = end; self.pos = end;
Ok(()) Ok(())
} else { } else {
Err(CodecErr::NotEnoughBytes) Err(CodecErr::NotEnoughBytes)
}
} }
}
/// Create a slice reference overlaid atop the data buffer /// Create a slice reference overlaid atop the data buffer
/// such that the slice's members' contents directly reflect the buffer. /// such that the slice's members' contents directly reflect the buffer.
/// Advances the `pos` index by the size of the slice contents in bytes. /// Advances the `pos` index by the size of the slice contents in bytes.
#[inline] #[inline]
fn read_slice<T>(&mut self, count: usize, bytes_per_item: usize) -> CodecResult<&'d [T]> { fn read_slice<T>(&mut self, count: usize, bytes_per_item: usize) -> CodecResult<&'d [T]> {
let num_bytes = bytes_per_item * count; let num_bytes = bytes_per_item * count;
let end = self.pos + num_bytes; let end = self.pos + num_bytes;
if end <= self.data.len() { if end <= self.data.len() {
let v: &'d [T] = unsafe { let v: &'d [T] = unsafe {
core::slice::from_raw_parts(self.data[self.pos..end].as_ptr() as *const T, count) core::slice::from_raw_parts(self.data[self.pos..end].as_ptr() as *const T, count)
}; };
self.pos = end; self.pos = end;
Ok(v) Ok(v)
} else { } else {
Err(CodecErr::NotEnoughBytes) Err(CodecErr::NotEnoughBytes)
}
} }
}
} }
/// Scratch Encoder Data Wrapper - codec internal use only /// Scratch Encoder Data Wrapper - codec internal use only
#[derive(Debug)] #[derive(Debug)]
pub struct ScratchEncoderData<'d> { pub struct ScratchEncoderData<'d> {
data: &'d mut [u8], data: &'d mut [u8],
pos: usize, pos: usize,
} }
impl<'d> ScratchEncoderData<'d> { impl<'d> ScratchEncoderData<'d> {
/// Copy the bytes of a value into the data buffer /// Copy the bytes of a value into the data buffer
/// Advances the `pos` index to after the newly-written bytes. /// Advances the `pos` index to after the newly-written bytes.
#[inline] #[inline]
fn write_type<T>(&mut self, t: &T, num_bytes: usize) -> CodecResult<()> { fn write_type<T>(&mut self, t: &T, num_bytes: usize) -> CodecResult<()> {
let end = self.pos + num_bytes; let end = self.pos + num_bytes;
if end <= self.data.len() { if end <= self.data.len() {
let source_bytes: &[u8] = unsafe { let source_bytes: &[u8] =
core::slice::from_raw_parts(t as *const T as *const u8, num_bytes) unsafe { core::slice::from_raw_parts(t as *const T as *const u8, num_bytes) };
}; (&mut self.data[self.pos..end]).copy_from_slice(source_bytes);
(&mut self.data[self.pos..end]).copy_from_slice(source_bytes); self.pos = end;
self.pos = end; Ok(())
Ok(()) } else {
} else { Err(CodecErr::NotEnoughBytes)
Err(CodecErr::NotEnoughBytes) }
} }
}
/// Advances the `pos` index by a set number of bytes. /// Advances the `pos` index by a set number of bytes.
#[inline] #[inline]
fn skip_bytes(&mut self, num_bytes: usize) -> CodecResult<()> { fn skip_bytes(&mut self, num_bytes: usize) -> CodecResult<()> {
let end = self.pos + num_bytes; let end = self.pos + num_bytes;
if end <= self.data.len() { if end <= self.data.len() {
self.pos = end; self.pos = end;
Ok(()) Ok(())
} else { } else {
Err(CodecErr::NotEnoughBytes) Err(CodecErr::NotEnoughBytes)
}
} }
}
/// Create a struct reference overlaid atop the data buffer /// Create a struct reference overlaid atop the data buffer
/// such that changes to the struct directly edit the buffer. /// such that changes to the struct directly edit the buffer.
/// Note that the initial content of the struct's fields may be garbage. /// Note that the initial content of the struct's fields may be garbage.
/// Advances the `pos` index to after the newly-written bytes. /// Advances the `pos` index to after the newly-written bytes.
#[inline] #[inline]
fn writable_overlay<T>(&mut self, num_bytes: usize) -> CodecResult<&'d mut T> { fn writable_overlay<T>(&mut self, num_bytes: usize) -> CodecResult<&'d mut T> {
let end = self.pos + num_bytes; let end = self.pos + num_bytes;
if end <= self.data.len() { if end <= self.data.len() {
let v: &'d mut T = unsafe { let v: &'d mut T = unsafe {
let s = self.data.as_ptr().offset(self.pos as isize) as *mut T; let s = self.data.as_ptr().offset(self.pos as isize) as *mut T;
&mut *s &mut *s
}; };
self.pos = end; self.pos = end;
Ok(v) Ok(v)
} else { } else {
Err(CodecErr::NotEnoughBytes) Err(CodecErr::NotEnoughBytes)
}
} }
}
/// Copy the bytes of a value into the data buffer at a specific position /// Copy the bytes of a value into the data buffer at a specific position
/// Does **not** alter the `pos` index. /// Does **not** alter the `pos` index.
#[inline] #[inline]
fn write_at_position<T>(&mut self, position: usize, t: &T, num_bytes: usize) -> CodecResult<()> { fn write_at_position<T>(
let end = position + num_bytes; &mut self,
if end <= self.data.len() { position: usize,
let source_bytes: &[u8] = unsafe { t: &T,
core::slice::from_raw_parts(t as *const T as *const u8, num_bytes) num_bytes: usize,
}; ) -> CodecResult<()> {
(&mut self.data[position..end]).copy_from_slice(source_bytes); let end = position + num_bytes;
Ok(()) if end <= self.data.len() {
} else { let source_bytes: &[u8] =
Err(CodecErr::NotEnoughBytes) unsafe { core::slice::from_raw_parts(t as *const T as *const u8, num_bytes) };
(&mut self.data[position..end]).copy_from_slice(source_bytes);
Ok(())
} else {
Err(CodecErr::NotEnoughBytes)
}
} }
} /// Create a mutable slice overlaid atop the data buffer directly
/// Create a mutable slice overlaid atop the data buffer directly /// such that changes to the slice contents directly edit the buffer
/// such that changes to the slice contents directly edit the buffer /// Note that the initial content of the slice's members' fields may be garbage.
/// Note that the initial content of the slice's members' fields may be garbage. /// Advances the `pos` index to after the region representing the slice.
/// Advances the `pos` index to after the region representing the slice. #[inline]
#[inline] fn writable_slice<T>(
fn writable_slice<T>(&mut self, count: usize, bytes_per_item: usize) -> CodecResult<&'d mut [T]> { &mut self,
let end = self.pos + (count * bytes_per_item); count: usize,
if end <= self.data.len() { bytes_per_item: usize,
let v: &'d mut [T] = unsafe { ) -> CodecResult<&'d mut [T]> {
core::slice::from_raw_parts_mut(self.data[self.pos..end].as_mut_ptr() as *mut T, count) let end = self.pos + (count * bytes_per_item);
}; if end <= self.data.len() {
self.pos = end; let v: &'d mut [T] = unsafe {
Ok(v) core::slice::from_raw_parts_mut(
} else { self.data[self.pos..end].as_mut_ptr() as *mut T,
Err(CodecErr::NotEnoughBytes) count,
)
};
self.pos = end;
Ok(v)
} else {
Err(CodecErr::NotEnoughBytes)
}
} }
}
/// Copy the raw bytes of a slice's contents into the data buffer /// Copy the raw bytes of a slice's contents into the data buffer
/// Does **not** encode the length of the slice explicitly into the buffer. /// Does **not** encode the length of the slice explicitly into the buffer.
/// Advances the `pos` index to after the newly-written slice bytes. /// Advances the `pos` index to after the newly-written slice bytes.
#[inline] #[inline]
fn write_slice_without_count<T>(&mut self, t: &[T], bytes_per_item: usize) -> CodecResult<()> { fn write_slice_without_count<T>(&mut self, t: &[T], bytes_per_item: usize) -> CodecResult<()> {
let content_bytes_size = bytes_per_item * t.len(); let content_bytes_size = bytes_per_item * t.len();
let end = self.pos + content_bytes_size; let end = self.pos + content_bytes_size;
if end <= self.data.len() { if end <= self.data.len() {
let source_bytes: &[u8] = unsafe { let source_bytes: &[u8] =
core::slice::from_raw_parts(t.as_ptr() as *const u8, content_bytes_size) unsafe { core::slice::from_raw_parts(t.as_ptr() as *const u8, content_bytes_size) };
}; (&mut self.data[self.pos..end]).copy_from_slice(source_bytes);
(&mut self.data[self.pos..end]).copy_from_slice(source_bytes); self.pos = end;
self.pos = end; Ok(())
Ok(()) } else {
} else { Err(CodecErr::NotEnoughBytes)
Err(CodecErr::NotEnoughBytes) }
} }
}
} }
/// Convenience Either enum /// Convenience Either enum
#[derive(Copy, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Debug)] #[derive(Copy, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Debug)]
pub enum Either<L, R> { pub enum Either<L, R> {
Left(L), Left(L),
Right(R) Right(R),
} }
/// Enum Side /// Enum Side
#[derive(Clone, Copy, Debug, PartialEq, Eq, PartialOrd, Ord, Hash)] #[derive(Clone, Copy, Debug, PartialEq, Eq, PartialOrd, Ord, Hash)]
#[repr(u8)] #[repr(u8)]
pub enum Side { pub enum Side {
Buy = 0u8, Buy = 0u8,
Sell = 1u8, Sell = 1u8,
NullVal = 255u8, NullVal = 255u8,
} }
impl Default for Side { impl Default for Side {
fn default() -> Self { Side::NullVal } fn default() -> Self {
Side::NullVal
}
} }
/// Enum MsgType /// Enum MsgType
#[derive(Clone, Copy, Debug, PartialEq, Eq, PartialOrd, Ord, Hash)] #[derive(Clone, Copy, Debug, PartialEq, Eq, PartialOrd, Ord, Hash)]
#[repr(u8)] #[repr(u8)]
pub enum MsgType { pub enum MsgType {
Trade = 0u8, Trade = 0u8,
Quote = 1u8, Quote = 1u8,
NullVal = 255u8, NullVal = 255u8,
} }
impl Default for MsgType { impl Default for MsgType {
fn default() -> Self { MsgType::NullVal } fn default() -> Self {
MsgType::NullVal
}
} }
/// Quote /// Quote
#[repr(C, packed)] #[repr(C, packed)]
#[derive(Default)] #[derive(Default)]
pub struct Quote { pub struct Quote {
pub price: u64, pub price: u64,
pub size: u32, pub size: u32,
pub flags: u8, pub flags: u8,
pub side: Side, pub side: Side,
} }
impl Quote {} impl Quote {}
@ -231,8 +243,8 @@ impl Quote {}
#[repr(C, packed)] #[repr(C, packed)]
#[derive(Default)] #[derive(Default)]
pub struct Trade { pub struct Trade {
pub price: u64, pub price: u64,
pub size: u32, pub size: u32,
} }
impl Trade {} impl Trade {}
@ -241,10 +253,10 @@ impl Trade {}
#[repr(C, packed)] #[repr(C, packed)]
#[derive(Default)] #[derive(Default)]
pub struct MessageHeader { pub struct MessageHeader {
pub block_length: u16, pub block_length: u16,
pub template_id: u16, pub template_id: u16,
pub schema_id: u16, pub schema_id: u16,
pub version: u16, pub version: u16,
} }
impl MessageHeader {} impl MessageHeader {}
@ -253,8 +265,8 @@ impl MessageHeader {}
#[repr(C, packed)] #[repr(C, packed)]
#[derive(Default)] #[derive(Default)]
pub struct GroupSizeEncoding { pub struct GroupSizeEncoding {
pub block_length: u16, pub block_length: u16,
pub num_in_group: u16, pub num_in_group: u16,
} }
impl GroupSizeEncoding {} impl GroupSizeEncoding {}
@ -263,308 +275,350 @@ impl GroupSizeEncoding {}
#[repr(C, packed)] #[repr(C, packed)]
#[derive(Default)] #[derive(Default)]
pub struct VarAsciiEncoding { pub struct VarAsciiEncoding {
pub length: u32, pub length: u32,
pub var_data: u8, pub var_data: u8,
} }
impl VarAsciiEncoding {} impl VarAsciiEncoding {}
/// MessageHeader Decoder entry point /// MessageHeader Decoder entry point
pub fn start_decoding_message_header<'d>(data: &'d [u8]) -> CodecResult<(&'d MessageHeader, ScratchDecoderData<'d>)> { pub fn start_decoding_message_header<'d>(
let mut scratch = ScratchDecoderData { data: data, pos: 0 }; data: &'d [u8],
let v = scratch.read_type::<MessageHeader>(8)?; ) -> CodecResult<(&'d MessageHeader, ScratchDecoderData<'d>)> {
Ok((v, scratch)) let mut scratch = ScratchDecoderData { data: data, pos: 0 };
let v = scratch.read_type::<MessageHeader>(8)?;
Ok((v, scratch))
} }
/// MultiMessage Fixed-size Fields (8 bytes) /// MultiMessage Fixed-size Fields (8 bytes)
#[repr(C, packed)] #[repr(C, packed)]
#[derive(Default)] #[derive(Default)]
pub struct MultiMessageFields { pub struct MultiMessageFields {
pub sequence_number: u64, pub sequence_number: u64,
} }
impl MultiMessageFields {} impl MultiMessageFields {}
/// MultiMessage specific Message Header /// MultiMessage specific Message Header
#[repr(C, packed)] #[repr(C, packed)]
pub struct MultiMessageMessageHeader { pub struct MultiMessageMessageHeader {
pub message_header: MessageHeader pub message_header: MessageHeader,
} }
impl MultiMessageMessageHeader { impl MultiMessageMessageHeader {
pub const BLOCK_LENGTH: u16 = 8; pub const BLOCK_LENGTH: u16 = 8;
pub const TEMPLATE_ID: u16 = 1; pub const TEMPLATE_ID: u16 = 1;
pub const SCHEMA_ID: u16 = 1; pub const SCHEMA_ID: u16 = 1;
pub const VERSION: u16 = 0; pub const VERSION: u16 = 0;
} }
impl Default for MultiMessageMessageHeader { impl Default for MultiMessageMessageHeader {
fn default() -> MultiMessageMessageHeader { fn default() -> MultiMessageMessageHeader {
MultiMessageMessageHeader { MultiMessageMessageHeader {
message_header: MessageHeader { message_header: MessageHeader {
block_length: 8u16, block_length: 8u16,
template_id: 1u16, template_id: 1u16,
schema_id: 1u16, schema_id: 1u16,
version: 0u16, version: 0u16,
} },
}
} }
}
} }
/// Group fixed-field member representations /// Group fixed-field member representations
#[repr(C, packed)] #[repr(C, packed)]
#[derive(Default)] #[derive(Default)]
pub struct MultiMessageMessagesMember { pub struct MultiMessageMessagesMember {
pub timestamp: i64, pub timestamp: i64,
pub msg_type: MsgType, pub msg_type: MsgType,
pub trade: Trade, pub trade: Trade,
pub quote: Quote, pub quote: Quote,
} }
impl MultiMessageMessagesMember {} impl MultiMessageMessagesMember {}
/// MultiMessageDecoderDone /// MultiMessageDecoderDone
pub struct MultiMessageDecoderDone<'d> { pub struct MultiMessageDecoderDone<'d> {
scratch: ScratchDecoderData<'d>, scratch: ScratchDecoderData<'d>,
} }
impl<'d> MultiMessageDecoderDone<'d> { impl<'d> MultiMessageDecoderDone<'d> {
/// Returns the number of bytes decoded /// Returns the number of bytes decoded
pub fn unwrap(self) -> usize { pub fn unwrap(self) -> usize {
self.scratch.pos self.scratch.pos
} }
pub fn wrap(scratch: ScratchDecoderData<'d>) -> MultiMessageDecoderDone<'d> { pub fn wrap(scratch: ScratchDecoderData<'d>) -> MultiMessageDecoderDone<'d> {
MultiMessageDecoderDone { scratch: scratch } MultiMessageDecoderDone { scratch: scratch }
} }
} }
/// symbol variable-length data /// symbol variable-length data
pub struct MultiMessageMessagesSymbolDecoder<'d> { pub struct MultiMessageMessagesSymbolDecoder<'d> {
parent: MultiMessageMessagesMemberDecoder<'d>, parent: MultiMessageMessagesMemberDecoder<'d>,
} }
impl<'d> MultiMessageMessagesSymbolDecoder<'d> { impl<'d> MultiMessageMessagesSymbolDecoder<'d> {
fn wrap(parent: MultiMessageMessagesMemberDecoder<'d>) -> Self { fn wrap(parent: MultiMessageMessagesMemberDecoder<'d>) -> Self {
MultiMessageMessagesSymbolDecoder { parent: parent } MultiMessageMessagesSymbolDecoder { parent: parent }
} }
pub fn symbol(mut self) -> CodecResult<(&'d [u8], Either<MultiMessageMessagesMemberDecoder<'d>, MultiMessageDecoderDone<'d>>)> { pub fn symbol(
let count = *self.parent.scratch.read_type::<u32>(4)?; mut self,
Ok((self.parent.scratch.read_slice::<u8>(count as usize, 1)?, self.parent.after_member())) ) -> CodecResult<(
} &'d [u8],
Either<MultiMessageMessagesMemberDecoder<'d>, MultiMessageDecoderDone<'d>>,
)> {
let count = *self.parent.scratch.read_type::<u32>(4)?;
Ok((
self.parent.scratch.read_slice::<u8>(count as usize, 1)?,
self.parent.after_member(),
))
}
} }
/// MultiMessageMessages Decoder for fields and header /// MultiMessageMessages Decoder for fields and header
pub struct MultiMessageMessagesMemberDecoder<'d> { pub struct MultiMessageMessagesMemberDecoder<'d> {
scratch: ScratchDecoderData<'d>, scratch: ScratchDecoderData<'d>,
max_index: u16, max_index: u16,
index: u16, index: u16,
} }
impl<'d> MultiMessageMessagesMemberDecoder<'d> { impl<'d> MultiMessageMessagesMemberDecoder<'d> {
fn new(scratch: ScratchDecoderData<'d>, count: u16) -> Self { fn new(scratch: ScratchDecoderData<'d>, count: u16) -> Self {
assert!(count > 0u16); assert!(count > 0u16);
MultiMessageMessagesMemberDecoder { MultiMessageMessagesMemberDecoder {
scratch: scratch, scratch: scratch,
max_index: count - 1, max_index: count - 1,
index: 0, index: 0,
}
} }
}
pub fn next_messages_member(mut self) -> CodecResult<(&'d MultiMessageMessagesMember, MultiMessageMessagesSymbolDecoder<'d>)> { pub fn next_messages_member(
let v = self.scratch.read_type::<MultiMessageMessagesMember>(35)?; mut self,
self.index += 1; ) -> CodecResult<(
Ok((v, MultiMessageMessagesSymbolDecoder::wrap(self))) &'d MultiMessageMessagesMember,
} MultiMessageMessagesSymbolDecoder<'d>,
#[inline] )> {
fn after_member(self) -> Either<MultiMessageMessagesMemberDecoder<'d>, MultiMessageDecoderDone<'d>> { let v = self.scratch.read_type::<MultiMessageMessagesMember>(35)?;
if self.index <= self.max_index { self.index += 1;
Either::Left(self) Ok((v, MultiMessageMessagesSymbolDecoder::wrap(self)))
} else { }
Either::Right(MultiMessageDecoderDone::wrap(self.scratch)) #[inline]
fn after_member(
self,
) -> Either<MultiMessageMessagesMemberDecoder<'d>, MultiMessageDecoderDone<'d>> {
if self.index <= self.max_index {
Either::Left(self)
} else {
Either::Right(MultiMessageDecoderDone::wrap(self.scratch))
}
} }
}
} }
pub struct MultiMessageMessagesHeaderDecoder<'d> { pub struct MultiMessageMessagesHeaderDecoder<'d> {
scratch: ScratchDecoderData<'d>, scratch: ScratchDecoderData<'d>,
} }
impl<'d> MultiMessageMessagesHeaderDecoder<'d> { impl<'d> MultiMessageMessagesHeaderDecoder<'d> {
fn wrap(scratch: ScratchDecoderData<'d>) -> Self { fn wrap(scratch: ScratchDecoderData<'d>) -> Self {
MultiMessageMessagesHeaderDecoder { scratch: scratch } MultiMessageMessagesHeaderDecoder { scratch: scratch }
} }
pub fn messages_individually(mut self) -> CodecResult<Either<MultiMessageMessagesMemberDecoder<'d>, MultiMessageDecoderDone<'d>>> { pub fn messages_individually(
let dim = self.scratch.read_type::<GroupSizeEncoding>(4)?; mut self,
if dim.num_in_group > 0 { ) -> CodecResult<Either<MultiMessageMessagesMemberDecoder<'d>, MultiMessageDecoderDone<'d>>>
Ok(Either::Left(MultiMessageMessagesMemberDecoder::new(self.scratch, dim.num_in_group))) {
} else { let dim = self.scratch.read_type::<GroupSizeEncoding>(4)?;
Ok(Either::Right(MultiMessageDecoderDone::wrap(self.scratch))) if dim.num_in_group > 0 {
Ok(Either::Left(MultiMessageMessagesMemberDecoder::new(
self.scratch,
dim.num_in_group,
)))
} else {
Ok(Either::Right(MultiMessageDecoderDone::wrap(self.scratch)))
}
} }
}
} }
/// MultiMessage Fixed fields Decoder /// MultiMessage Fixed fields Decoder
pub struct MultiMessageFieldsDecoder<'d> { pub struct MultiMessageFieldsDecoder<'d> {
scratch: ScratchDecoderData<'d>, scratch: ScratchDecoderData<'d>,
} }
impl<'d> MultiMessageFieldsDecoder<'d> { impl<'d> MultiMessageFieldsDecoder<'d> {
pub fn wrap(scratch: ScratchDecoderData<'d>) -> MultiMessageFieldsDecoder<'d> {
pub fn wrap(scratch: ScratchDecoderData<'d>) -> MultiMessageFieldsDecoder<'d> { MultiMessageFieldsDecoder { scratch: scratch }
MultiMessageFieldsDecoder { scratch: scratch } }
} pub fn multi_message_fields(
pub fn multi_message_fields(mut self) -> CodecResult<(&'d MultiMessageFields, MultiMessageMessagesHeaderDecoder<'d>)> { mut self,
let v = self.scratch.read_type::<MultiMessageFields>(8)?; ) -> CodecResult<(
Ok((v, MultiMessageMessagesHeaderDecoder::wrap(self.scratch))) &'d MultiMessageFields,
} MultiMessageMessagesHeaderDecoder<'d>,
)> {
let v = self.scratch.read_type::<MultiMessageFields>(8)?;
Ok((v, MultiMessageMessagesHeaderDecoder::wrap(self.scratch)))
}
} }
/// MultiMessageMessageHeaderDecoder /// MultiMessageMessageHeaderDecoder
pub struct MultiMessageMessageHeaderDecoder<'d> { pub struct MultiMessageMessageHeaderDecoder<'d> {
scratch: ScratchDecoderData<'d>, scratch: ScratchDecoderData<'d>,
} }
impl<'d> MultiMessageMessageHeaderDecoder<'d> { impl<'d> MultiMessageMessageHeaderDecoder<'d> {
pub fn wrap(scratch: ScratchDecoderData<'d>) -> MultiMessageMessageHeaderDecoder<'d> {
pub fn wrap(scratch: ScratchDecoderData<'d>) -> MultiMessageMessageHeaderDecoder<'d> { MultiMessageMessageHeaderDecoder { scratch: scratch }
MultiMessageMessageHeaderDecoder { scratch: scratch } }
} pub fn header(mut self) -> CodecResult<(&'d MessageHeader, MultiMessageFieldsDecoder<'d>)> {
pub fn header(mut self) -> CodecResult<(&'d MessageHeader, MultiMessageFieldsDecoder<'d>)> { let v = self.scratch.read_type::<MessageHeader>(8)?;
let v = self.scratch.read_type::<MessageHeader>(8)?; Ok((v, MultiMessageFieldsDecoder::wrap(self.scratch)))
Ok((v, MultiMessageFieldsDecoder::wrap(self.scratch))) }
}
} }
/// MultiMessage Decoder entry point /// MultiMessage Decoder entry point
pub fn start_decoding_multi_message<'d>(data: &'d [u8]) -> MultiMessageMessageHeaderDecoder<'d> { pub fn start_decoding_multi_message<'d>(data: &'d [u8]) -> MultiMessageMessageHeaderDecoder<'d> {
MultiMessageMessageHeaderDecoder::wrap(ScratchDecoderData { data: data, pos: 0 }) MultiMessageMessageHeaderDecoder::wrap(ScratchDecoderData { data: data, pos: 0 })
} }
/// MultiMessageEncoderDone /// MultiMessageEncoderDone
pub struct MultiMessageEncoderDone<'d> { pub struct MultiMessageEncoderDone<'d> {
scratch: ScratchEncoderData<'d>, scratch: ScratchEncoderData<'d>,
} }
impl<'d> MultiMessageEncoderDone<'d> { impl<'d> MultiMessageEncoderDone<'d> {
/// Returns the number of bytes encoded /// Returns the number of bytes encoded
pub fn unwrap(self) -> usize { pub fn unwrap(self) -> usize {
self.scratch.pos self.scratch.pos
} }
pub fn wrap(scratch: ScratchEncoderData<'d>) -> MultiMessageEncoderDone<'d> { pub fn wrap(scratch: ScratchEncoderData<'d>) -> MultiMessageEncoderDone<'d> {
MultiMessageEncoderDone { scratch: scratch } MultiMessageEncoderDone { scratch: scratch }
} }
} }
/// symbol variable-length data /// symbol variable-length data
pub struct MultiMessageMessagesSymbolEncoder<'d> { pub struct MultiMessageMessagesSymbolEncoder<'d> {
parent: MultiMessageMessagesMemberEncoder<'d>, parent: MultiMessageMessagesMemberEncoder<'d>,
} }
impl<'d> MultiMessageMessagesSymbolEncoder<'d> { impl<'d> MultiMessageMessagesSymbolEncoder<'d> {
fn wrap(parent: MultiMessageMessagesMemberEncoder<'d>) -> Self { fn wrap(parent: MultiMessageMessagesMemberEncoder<'d>) -> Self {
MultiMessageMessagesSymbolEncoder { parent: parent } MultiMessageMessagesSymbolEncoder { parent: parent }
} }
pub fn symbol(mut self, s: &'d [u8]) -> CodecResult<MultiMessageMessagesMemberEncoder> { pub fn symbol(mut self, s: &'d [u8]) -> CodecResult<MultiMessageMessagesMemberEncoder> {
let l = s.len(); let l = s.len();
if l > 4294967294 { if l > 4294967294 {
return Err(CodecErr::SliceIsLongerThanAllowedBySchema) return Err(CodecErr::SliceIsLongerThanAllowedBySchema);
}
// Write data length
self.parent.scratch.write_type::<u32>(&(l as u32), 4)?; // group length
self.parent.scratch.write_slice_without_count::<u8>(s, 1)?;
Ok(self.parent)
} }
// Write data length
self.parent.scratch.write_type::<u32>(&(l as u32), 4)?; // group length
self.parent.scratch.write_slice_without_count::<u8>(s, 1)?;
Ok(self.parent)
}
} }
/// MultiMessageMessages Encoder for fields and header /// MultiMessageMessages Encoder for fields and header
pub struct MultiMessageMessagesMemberEncoder<'d> { pub struct MultiMessageMessagesMemberEncoder<'d> {
scratch: ScratchEncoderData<'d>, scratch: ScratchEncoderData<'d>,
count_write_pos: usize, count_write_pos: usize,
count: u16, count: u16,
} }
impl<'d> MultiMessageMessagesMemberEncoder<'d> { impl<'d> MultiMessageMessagesMemberEncoder<'d> {
#[inline] #[inline]
fn new(scratch: ScratchEncoderData<'d>, count_write_pos: usize) -> Self { fn new(scratch: ScratchEncoderData<'d>, count_write_pos: usize) -> Self {
MultiMessageMessagesMemberEncoder { MultiMessageMessagesMemberEncoder {
scratch: scratch, scratch: scratch,
count_write_pos: count_write_pos, count_write_pos: count_write_pos,
count: 0, count: 0,
}
} }
}
#[inline] #[inline]
pub fn next_messages_member(mut self, fields: &MultiMessageMessagesMember) -> CodecResult<MultiMessageMessagesSymbolEncoder<'d>> { pub fn next_messages_member(
self.scratch.write_type::<MultiMessageMessagesMember>(fields, 35)?; // block length mut self,
self.count += 1; fields: &MultiMessageMessagesMember,
Ok(MultiMessageMessagesSymbolEncoder::wrap(self)) ) -> CodecResult<MultiMessageMessagesSymbolEncoder<'d>> {
} self.scratch
#[inline] .write_type::<MultiMessageMessagesMember>(fields, 35)?; // block length
pub fn done_with_messages(mut self) -> CodecResult<MultiMessageEncoderDone<'d>> { self.count += 1;
self.scratch.write_at_position::<u16>(self.count_write_pos, &self.count, 2)?; Ok(MultiMessageMessagesSymbolEncoder::wrap(self))
Ok(MultiMessageEncoderDone::wrap(self.scratch)) }
} #[inline]
pub fn done_with_messages(mut self) -> CodecResult<MultiMessageEncoderDone<'d>> {
self.scratch
.write_at_position::<u16>(self.count_write_pos, &self.count, 2)?;
Ok(MultiMessageEncoderDone::wrap(self.scratch))
}
} }
pub struct MultiMessageMessagesHeaderEncoder<'d> { pub struct MultiMessageMessagesHeaderEncoder<'d> {
scratch: ScratchEncoderData<'d>, scratch: ScratchEncoderData<'d>,
} }
impl<'d> MultiMessageMessagesHeaderEncoder<'d> { impl<'d> MultiMessageMessagesHeaderEncoder<'d> {
#[inline] #[inline]
fn wrap(scratch: ScratchEncoderData<'d>) -> Self { fn wrap(scratch: ScratchEncoderData<'d>) -> Self {
MultiMessageMessagesHeaderEncoder { scratch: scratch } MultiMessageMessagesHeaderEncoder { scratch: scratch }
} }
#[inline] #[inline]
pub fn messages_individually(mut self) -> CodecResult<MultiMessageMessagesMemberEncoder<'d>> { pub fn messages_individually(mut self) -> CodecResult<MultiMessageMessagesMemberEncoder<'d>> {
self.scratch.write_type::<u16>(&35u16, 2)?; // block length self.scratch.write_type::<u16>(&35u16, 2)?; // block length
let count_pos = self.scratch.pos; let count_pos = self.scratch.pos;
self.scratch.write_type::<u16>(&0, 2)?; // preliminary group member count self.scratch.write_type::<u16>(&0, 2)?; // preliminary group member count
Ok(MultiMessageMessagesMemberEncoder::new(self.scratch, count_pos)) Ok(MultiMessageMessagesMemberEncoder::new(
} self.scratch,
count_pos,
))
}
} }
/// MultiMessage Fixed fields Encoder /// MultiMessage Fixed fields Encoder
pub struct MultiMessageFieldsEncoder<'d> { pub struct MultiMessageFieldsEncoder<'d> {
scratch: ScratchEncoderData<'d>, scratch: ScratchEncoderData<'d>,
} }
impl<'d> MultiMessageFieldsEncoder<'d> { impl<'d> MultiMessageFieldsEncoder<'d> {
pub fn wrap(scratch: ScratchEncoderData<'d>) -> MultiMessageFieldsEncoder<'d> {
MultiMessageFieldsEncoder { scratch: scratch }
}
pub fn wrap(scratch: ScratchEncoderData<'d>) -> MultiMessageFieldsEncoder<'d> { /// Create a mutable struct reference overlaid atop the data buffer
MultiMessageFieldsEncoder { scratch: scratch }
}
/// Create a mutable struct reference overlaid atop the data buffer
/// such that changes to the struct directly edit the buffer. /// such that changes to the struct directly edit the buffer.
/// Note that the initial content of the struct's fields may be garbage. /// Note that the initial content of the struct's fields may be garbage.
pub fn multi_message_fields(mut self) -> CodecResult<(&'d mut MultiMessageFields, MultiMessageMessagesHeaderEncoder<'d>)> { pub fn multi_message_fields(
let v = self.scratch.writable_overlay::<MultiMessageFields>(8 + 0)?; mut self,
Ok((v, MultiMessageMessagesHeaderEncoder::wrap(self.scratch))) ) -> CodecResult<(
} &'d mut MultiMessageFields,
MultiMessageMessagesHeaderEncoder<'d>,
)> {
let v = self.scratch.writable_overlay::<MultiMessageFields>(8 + 0)?;
Ok((v, MultiMessageMessagesHeaderEncoder::wrap(self.scratch)))
}
/// Copy the bytes of a value into the data buffer /// Copy the bytes of a value into the data buffer
pub fn multi_message_fields_copy(mut self, t: &MultiMessageFields) -> CodecResult<MultiMessageMessagesHeaderEncoder<'d>> { pub fn multi_message_fields_copy(
self.scratch.write_type::<MultiMessageFields>(t, 8)?; mut self,
Ok(MultiMessageMessagesHeaderEncoder::wrap(self.scratch)) t: &MultiMessageFields,
} ) -> CodecResult<MultiMessageMessagesHeaderEncoder<'d>> {
self.scratch.write_type::<MultiMessageFields>(t, 8)?;
Ok(MultiMessageMessagesHeaderEncoder::wrap(self.scratch))
}
} }
/// MultiMessageMessageHeaderEncoder /// MultiMessageMessageHeaderEncoder
pub struct MultiMessageMessageHeaderEncoder<'d> { pub struct MultiMessageMessageHeaderEncoder<'d> {
scratch: ScratchEncoderData<'d>, scratch: ScratchEncoderData<'d>,
} }
impl<'d> MultiMessageMessageHeaderEncoder<'d> { impl<'d> MultiMessageMessageHeaderEncoder<'d> {
pub fn wrap(scratch: ScratchEncoderData<'d>) -> MultiMessageMessageHeaderEncoder<'d> { pub fn wrap(scratch: ScratchEncoderData<'d>) -> MultiMessageMessageHeaderEncoder<'d> {
MultiMessageMessageHeaderEncoder { scratch: scratch } MultiMessageMessageHeaderEncoder { scratch: scratch }
} }
/// Create a mutable struct reference overlaid atop the data buffer /// Create a mutable struct reference overlaid atop the data buffer
/// such that changes to the struct directly edit the buffer. /// such that changes to the struct directly edit the buffer.
/// Note that the initial content of the struct's fields may be garbage. /// Note that the initial content of the struct's fields may be garbage.
pub fn header(mut self) -> CodecResult<(&'d mut MessageHeader, MultiMessageFieldsEncoder<'d>)> { pub fn header(mut self) -> CodecResult<(&'d mut MessageHeader, MultiMessageFieldsEncoder<'d>)> {
let v = self.scratch.writable_overlay::<MessageHeader>(8 + 0)?; let v = self.scratch.writable_overlay::<MessageHeader>(8 + 0)?;
Ok((v, MultiMessageFieldsEncoder::wrap(self.scratch))) Ok((v, MultiMessageFieldsEncoder::wrap(self.scratch)))
} }
/// Copy the bytes of a value into the data buffer /// Copy the bytes of a value into the data buffer
pub fn header_copy(mut self, t: &MessageHeader) -> CodecResult<MultiMessageFieldsEncoder<'d>> { pub fn header_copy(mut self, t: &MessageHeader) -> CodecResult<MultiMessageFieldsEncoder<'d>> {
self.scratch.write_type::<MessageHeader>(t, 8)?; self.scratch.write_type::<MessageHeader>(t, 8)?;
Ok(MultiMessageFieldsEncoder::wrap(self.scratch)) Ok(MultiMessageFieldsEncoder::wrap(self.scratch))
} }
} }
/// MultiMessage Encoder entry point /// MultiMessage Encoder entry point
pub fn start_encoding_multi_message<'d>(data: &'d mut [u8]) -> MultiMessageMessageHeaderEncoder<'d> { pub fn start_encoding_multi_message<'d>(
MultiMessageMessageHeaderEncoder::wrap(ScratchEncoderData { data: data, pos: 0 }) data: &'d mut [u8],
) -> MultiMessageMessageHeaderEncoder<'d> {
MultiMessageMessageHeaderEncoder::wrap(ScratchEncoderData { data: data, pos: 0 })
} }

4
src/parsers.rs
View File

@ -1,6 +1,6 @@
use nom::{ use nom::{
branch::alt, bytes::complete::tag, bytes::complete::take, IResult, number::complete::*, branch::alt, bytes::complete::tag, bytes::complete::take, number::complete::*, sequence::tuple,
sequence::tuple, IResult,
}; };
pub enum Block<'a> { pub enum Block<'a> {

59
src/sbe_runner.rs
View File

@ -1,12 +1,13 @@
use std::io::{BufRead, Write}; use std::io::{BufRead, Write};
use std::str::from_utf8_unchecked; use std::str::from_utf8_unchecked;
use nom::bytes::complete::take_until;
use nom::IResult;
use crate::{marketdata_sbe, RunnerDeserialize, RunnerSerialize, StreamVec, Summarizer};
use crate::iex::{IexMessage, IexPayload}; use crate::iex::{IexMessage, IexPayload};
use crate::marketdata_sbe::{Either, MultiMessageFields, MultiMessageMessageHeader, MultiMessageMessagesMember, MultiMessageMessagesMemberEncoder, MultiMessageMessagesSymbolEncoder, Side, start_decoding_multi_message, start_encoding_multi_message}; use crate::marketdata_sbe::{
start_decoding_multi_message, start_encoding_multi_message, Either, MultiMessageMessageHeader,
MultiMessageMessagesMember, MultiMessageMessagesMemberEncoder,
MultiMessageMessagesSymbolEncoder, Side,
};
use crate::{marketdata_sbe, RunnerDeserialize, RunnerSerialize, StreamVec, Summarizer};
pub struct SBEWriter { pub struct SBEWriter {
/// Buffer to construct messages before copying. While SBE benefits /// Buffer to construct messages before copying. While SBE benefits
@ -32,13 +33,15 @@ impl SBEWriter {
impl RunnerSerialize for SBEWriter { impl RunnerSerialize for SBEWriter {
fn serialize(&mut self, payload: &IexPayload, output: &mut Vec<u8>) { fn serialize(&mut self, payload: &IexPayload, output: &mut Vec<u8>) {
let (fields, encoder) = start_encoding_multi_message(&mut self.scratch_buffer[..]) let (fields, encoder) = start_encoding_multi_message(&mut self.scratch_buffer[..])
.header_copy(&self.default_header.message_header).unwrap() .header_copy(&self.default_header.message_header)
.multi_message_fields().unwrap(); .unwrap()
.multi_message_fields()
.unwrap();
fields.sequence_number = payload.first_seq_no; fields.sequence_number = payload.first_seq_no;
let mut encoder = encoder.messages_individually().unwrap(); let encoder = encoder.messages_individually().unwrap();
let mut encoder: MultiMessageMessagesMemberEncoder = payload.messages.iter().fold(encoder, |enc, m| { let encoder: MultiMessageMessagesMemberEncoder =
match m { payload.messages.iter().fold(encoder, |enc, m| match m {
IexMessage::TradeReport(tr) => { IexMessage::TradeReport(tr) => {
let fields = MultiMessageMessagesMember { let fields = MultiMessageMessagesMember {
msg_type: marketdata_sbe::MsgType::Trade, msg_type: marketdata_sbe::MsgType::Trade,
@ -49,8 +52,11 @@ impl RunnerSerialize for SBEWriter {
}, },
..Default::default() ..Default::default()
}; };
let sym_enc: MultiMessageMessagesSymbolEncoder = enc.next_messages_member(&fields).unwrap(); let sym_enc: MultiMessageMessagesSymbolEncoder =
sym_enc.symbol(crate::parse_symbol(&tr.symbol).as_bytes()).unwrap() enc.next_messages_member(&fields).unwrap();
sym_enc
.symbol(crate::parse_symbol(&tr.symbol).as_bytes())
.unwrap()
} }
IexMessage::PriceLevelUpdate(plu) => { IexMessage::PriceLevelUpdate(plu) => {
let fields = MultiMessageMessagesMember { let fields = MultiMessageMessagesMember {
@ -60,16 +66,22 @@ impl RunnerSerialize for SBEWriter {
price: plu.price, price: plu.price,
size: plu.size, size: plu.size,
flags: plu.event_flags, flags: plu.event_flags,
side: if plu.msg_type == 0x38 { Side::Buy } else { Side::Sell }, side: if plu.msg_type == 0x38 {
Side::Buy
} else {
Side::Sell
},
}, },
..Default::default() ..Default::default()
}; };
let sym_enc: MultiMessageMessagesSymbolEncoder = enc.next_messages_member(&fields).unwrap(); let sym_enc: MultiMessageMessagesSymbolEncoder =
sym_enc.symbol(crate::parse_symbol(&plu.symbol).as_bytes()).unwrap() enc.next_messages_member(&fields).unwrap();
sym_enc
.symbol(crate::parse_symbol(&plu.symbol).as_bytes())
.unwrap()
} }
_ => enc _ => enc,
} });
});
let finished = encoder.done_with_messages().unwrap(); let finished = encoder.done_with_messages().unwrap();
let data_len = finished.unwrap(); let data_len = finished.unwrap();
@ -93,10 +105,9 @@ impl RunnerDeserialize for SBEReader {
return Err(()); return Err(());
} }
let (header, decoder) = start_decoding_multi_message(data) let (_header, decoder) = start_decoding_multi_message(data).header().unwrap();
.header().unwrap();
let (fields, decoder) = decoder.multi_message_fields().unwrap(); let (_fields, decoder) = decoder.multi_message_fields().unwrap();
let mut msg_decoder = decoder.messages_individually().unwrap(); let mut msg_decoder = decoder.messages_individually().unwrap();
while let Either::Left(msg) = msg_decoder { while let Either::Left(msg) = msg_decoder {
let (member, sym_dec) = msg.next_messages_member().unwrap(); let (member, sym_dec) = msg.next_messages_member().unwrap();
@ -111,10 +122,10 @@ impl RunnerDeserialize for SBEReader {
member.quote.price, member.quote.price,
match member.quote.side { match member.quote.side {
Side::Buy => true, Side::Buy => true,
_ => false _ => false,
}, },
), ),
_ => () _ => (),
} }
msg_decoder = next_msg_dec; msg_decoder = next_msg_dec;
} }
@ -122,7 +133,7 @@ impl RunnerDeserialize for SBEReader {
// We now have a `Right`, which is a finished messages block // We now have a `Right`, which is a finished messages block
let msg_decoder = match msg_decoder { let msg_decoder = match msg_decoder {
Either::Right(r) => r, Either::Right(r) => r,
_ => panic!("Didn't parse all messages") _ => panic!("Didn't parse all messages"),
}; };
// Interestingly enough, `buf.consume(msg_decoder.unwrap())` isn't OK, // Interestingly enough, `buf.consume(msg_decoder.unwrap())` isn't OK,