mirror of
https://github.com/speice-io/marketdata-shootout
synced 2025-11-03 18:10:38 -05:00
Add all the IEX parsers
This commit is contained in:
1
Cargo.lock
generated
1
Cargo.lock
generated
@ -105,6 +105,7 @@ dependencies = [
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"flatbuffers 0.6.0 (registry+https://github.com/rust-lang/crates.io-index)",
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"flatc-rust 0.1.2 (registry+https://github.com/rust-lang/crates.io-index)",
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"nom 5.0.0 (registry+https://github.com/rust-lang/crates.io-index)",
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"smallvec 0.6.10 (registry+https://github.com/rust-lang/crates.io-index)",
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]
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[[package]]
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@ -9,6 +9,7 @@ capnp = "0.10.1"
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clap = "2.33.0"
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flatbuffers = "0.6.0"
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nom = "5.0.0"
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smallvec = "0.6.10"
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[build-dependencies]
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capnpc = "0.10"
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6
build.rs
6
build.rs
@ -7,11 +7,13 @@ fn main() {
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.src_prefix("")
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.file("marketdata.capnp")
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.output_path("src/")
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.run().expect("Unable to compile capnpc");
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.run()
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.expect("Unable to compile capnpc");
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flatc_rust::run(flatc_rust::Args {
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inputs: &[Path::new("marketdata.fbs")],
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out_dir: Path::new("src/"),
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..Default::default()
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}).expect("Unable to compile flatc");
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})
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.expect("Unable to compile flatc");
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}
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418
src/iex.rs
Normal file
418
src/iex.rs
Normal file
@ -0,0 +1,418 @@
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use std::convert::TryInto;
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use nom::{bytes::complete::take, IResult, number::complete::*, sequence::tuple};
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#[derive(Debug)]
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struct IexPayload {
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version: u8,
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_reserved: u8,
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proto_id: u16,
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channel_id: u32,
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session_id: u32,
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payload_len: u16,
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msg_count: u16,
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stream_offset: u64,
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first_seq_no: u64,
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send_time: i64,
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messages: smallvec::SmallVec<[IexMessage; 8]>,
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}
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#[derive(Debug)]
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enum IexMessage {
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SystemEvent(SystemEvent),
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SecurityDirectory(SecurityDirectory),
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TradingStatus(TradingStatus),
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OperationalHaltStatus(OperationalHaltStatus),
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ShortSalePriceTest(ShortSalePriceTest),
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SecurityEvent(SecurityEvent),
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PriceLevelUpdate(PriceLevelUpdate),
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TradeReport(TradeReport),
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OfficialPrice(OfficialPrice),
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TradeBreak(TradeBreak),
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AuctionInformation(AuctionInformation),
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}
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macro_rules! parse_msg {
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($input:ident, $msg_type:ident) => {{
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let (rem, msg) = $msg_type::parse($input)?;
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Ok((rem, IexMessage::$msg_type(msg)))
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}};
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}
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impl IexMessage {
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// TODO: Benchmark a version where we cast a packed struct instead of parsing
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fn parse(input: &[u8]) -> IResult<&[u8], IexMessage> {
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let msg_type = input[0];
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match msg_type {
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0x53 => parse_msg!(input, SystemEvent),
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0x44 => parse_msg!(input, SecurityDirectory),
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0x48 => parse_msg!(input, TradingStatus),
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0x4f => parse_msg!(input, OperationalHaltStatus),
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0x50 => parse_msg!(input, ShortSalePriceTest),
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0x45 => parse_msg!(input, SecurityEvent),
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// Why the "match multiple" looks like bitwise-OR is beyond me.
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0x38 | 0x35 => parse_msg!(input, PriceLevelUpdate),
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0x54 => parse_msg!(input, TradeReport),
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0x58 => parse_msg!(input, OfficialPrice),
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0x42 => parse_msg!(input, TradeBreak),
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_ => panic!("Unrecognized message type"),
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}
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}
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}
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#[derive(Debug)]
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struct SystemEvent {
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msg_type: u8,
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system_event: u8,
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timestamp: i64,
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}
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impl SystemEvent {
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fn parse(input: &[u8]) -> IResult<&[u8], SystemEvent> {
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let (rem, (msg_type, system_event, timestamp)) = tuple((le_u8, le_u8, le_i64))(input)?;
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Ok((
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rem,
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SystemEvent {
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msg_type,
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system_event,
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timestamp,
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},
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))
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}
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}
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#[derive(Debug)]
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struct SecurityDirectory {
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msg_type: u8,
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flags: u8,
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timestamp: i64,
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symbol: [u8; 8],
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lot_size: u32,
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previous_closing: u64,
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luld_tier: u8,
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}
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impl SecurityDirectory {
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fn parse(input: &[u8]) -> IResult<&[u8], SecurityDirectory> {
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let (rem, (msg_type, flags, timestamp, symbol, lot_size, previous_closing, luld_tier)) =
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tuple((le_u8, le_u8, le_i64, take(8usize), le_u32, le_u64, le_u8))(input)?;
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Ok((
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rem,
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SecurityDirectory {
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msg_type,
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flags,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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lot_size,
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previous_closing,
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luld_tier,
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},
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))
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}
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}
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#[derive(Debug)]
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struct TradingStatus {
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msg_type: u8,
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trading_status: u8,
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timestamp: i64,
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symbol: [u8; 8],
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reason: [u8; 4],
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}
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impl TradingStatus {
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fn parse(input: &[u8]) -> IResult<&[u8], TradingStatus> {
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let (rem, (msg_type, trading_status, timestamp, symbol, reason)) =
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tuple((le_u8, le_u8, le_i64, take(8usize), take(4usize)))(input)?;
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Ok((
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rem,
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TradingStatus {
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msg_type,
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trading_status,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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reason: reason.try_into().unwrap(),
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},
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))
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}
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}
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#[derive(Debug)]
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struct OperationalHaltStatus {
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msg_type: u8,
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halt_status: u8,
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timestamp: i64,
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symbol: [u8; 8],
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}
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impl OperationalHaltStatus {
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fn parse(input: &[u8]) -> IResult<&[u8], OperationalHaltStatus> {
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let (rem, (msg_type, halt_status, timestamp, symbol)) =
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tuple((le_u8, le_u8, le_i64, take(8usize)))(input)?;
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Ok((
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rem,
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OperationalHaltStatus {
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msg_type,
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halt_status,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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},
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))
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}
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}
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#[derive(Debug)]
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struct ShortSalePriceTest {
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msg_type: u8,
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sspt_status: u8,
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timestamp: i64,
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symbol: [u8; 8],
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detail: u8,
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}
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impl ShortSalePriceTest {
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fn parse(input: &[u8]) -> IResult<&[u8], ShortSalePriceTest> {
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let (rem, (msg_type, sspt_status, timestamp, symbol, detail)) =
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tuple((le_u8, le_u8, le_i64, take(8usize), le_u8))(input)?;
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Ok((
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rem,
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ShortSalePriceTest {
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msg_type,
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sspt_status,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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detail,
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},
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))
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}
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}
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#[derive(Debug)]
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struct SecurityEvent {
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msg_type: u8,
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security_event: u8,
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timestamp: i64,
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symbol: [u8; 8],
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}
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impl SecurityEvent {
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fn parse(input: &[u8]) -> IResult<&[u8], SecurityEvent> {
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let (rem, (msg_type, security_event, timestamp, symbol)) =
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tuple((le_u8, le_u8, le_i64, take(8usize)))(input)?;
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Ok((
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rem,
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SecurityEvent {
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msg_type,
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security_event,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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},
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))
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}
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}
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#[derive(Debug)]
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struct PriceLevelUpdate {
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msg_type: u8,
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event_flags: u8,
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timestamp: i64,
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symbol: [u8; 8],
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size: u32,
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price: u64,
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}
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impl PriceLevelUpdate {
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fn parse(input: &[u8]) -> IResult<&[u8], PriceLevelUpdate> {
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let (rem, (msg_type, event_flags, timestamp, symbol, size, price)) =
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tuple((le_u8, le_u8, le_i64, take(8usize), le_u32, le_u64))(input)?;
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Ok((
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rem,
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PriceLevelUpdate {
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msg_type,
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event_flags,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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size,
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price,
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},
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))
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}
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}
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#[derive(Debug)]
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struct TradeReport {
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msg_type: u8,
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sale_condition: u8,
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timestamp: i64,
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symbol: [u8; 8],
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size: u32,
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price: u64,
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trade_id: u64,
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}
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impl TradeReport {
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fn parse(input: &[u8]) -> IResult<&[u8], TradeReport> {
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let (rem, (msg_type, sale_condition, timestamp, symbol, size, price, trade_id)) =
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tuple((le_u8, le_u8, le_i64, take(8usize), le_u32, le_u64, le_u64))(input)?;
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Ok((
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rem,
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TradeReport {
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msg_type,
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sale_condition,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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size,
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price,
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trade_id,
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},
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))
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}
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}
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#[derive(Debug)]
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struct OfficialPrice {
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msg_type: u8,
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price_type: u8,
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timestamp: i64,
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symbol: [u8; 8],
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official_price: u64,
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}
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impl OfficialPrice {
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fn parse(input: &[u8]) -> IResult<&[u8], OfficialPrice> {
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let (rem, (msg_type, price_type, timestamp, symbol, official_price)) =
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tuple((le_u8, le_u8, le_i64, take(8usize), le_u64))(input)?;
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Ok((
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rem,
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OfficialPrice {
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msg_type,
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price_type,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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official_price,
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},
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))
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}
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}
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#[derive(Debug)]
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struct TradeBreak {
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msg_type: u8,
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sale_condition: u8,
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timestamp: i64,
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symbol: [u8; 8],
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size: u32,
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price: u64,
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trade_id: u64,
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}
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impl TradeBreak {
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fn parse(input: &[u8]) -> IResult<&[u8], TradeBreak> {
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let (rem, (msg_type, sale_condition, timestamp, symbol, size, price, trade_id)) =
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tuple((le_u8, le_u8, le_i64, take(8usize), le_u32, le_u64, le_u64))(input)?;
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Ok((
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rem,
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TradeBreak {
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msg_type,
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sale_condition,
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timestamp,
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symbol: symbol.try_into().unwrap(),
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size,
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price,
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trade_id,
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},
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))
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}
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}
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|
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#[derive(Debug)]
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struct AuctionInformation {
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msg_type: u8,
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auction_type: u8,
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timestamp: i64,
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symbol: [u8; 8],
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paired_shares: u32,
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reference_price: u64,
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indicative_clearing_price: u64,
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imbalance_shares: u32,
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imbalance_side: u8,
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extension_number: u8,
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scheduled_auction: u32,
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auction_book_clearing_price: u64,
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collar_reference_price: u64,
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lower_auction_collar: u64,
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upper_auction_collar: u64,
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}
|
||||
|
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impl AuctionInformation {
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fn parse(input: &[u8]) -> IResult<&[u8], AuctionInformation> {
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// Dear Lord, why?
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let (
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rem,
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(
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msg_type,
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||||
auction_type,
|
||||
timestamp,
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||||
symbol,
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||||
paired_shares,
|
||||
reference_price,
|
||||
indicative_clearing_price,
|
||||
imbalance_shares,
|
||||
imbalance_side,
|
||||
extension_number,
|
||||
scheduled_auction,
|
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auction_book_clearing_price,
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||||
collar_reference_price,
|
||||
lower_auction_collar,
|
||||
upper_auction_collar,
|
||||
),
|
||||
) = tuple((
|
||||
le_u8,
|
||||
le_u8,
|
||||
le_i64,
|
||||
take(8usize),
|
||||
le_u32,
|
||||
le_u64,
|
||||
le_u64,
|
||||
le_u32,
|
||||
le_u8,
|
||||
le_u8,
|
||||
le_u32,
|
||||
le_u64,
|
||||
le_u64,
|
||||
le_u64,
|
||||
le_u64,
|
||||
))(input)?;
|
||||
|
||||
Ok((
|
||||
rem,
|
||||
AuctionInformation {
|
||||
msg_type,
|
||||
auction_type,
|
||||
timestamp,
|
||||
symbol: symbol.try_into().unwrap(),
|
||||
paired_shares,
|
||||
reference_price,
|
||||
indicative_clearing_price,
|
||||
imbalance_shares,
|
||||
imbalance_side,
|
||||
extension_number,
|
||||
scheduled_auction,
|
||||
auction_book_clearing_price,
|
||||
collar_reference_price,
|
||||
lower_auction_collar,
|
||||
upper_auction_collar,
|
||||
},
|
||||
))
|
||||
}
|
||||
}
|
||||
@ -3,8 +3,9 @@ use std::io::Read;
|
||||
use std::path::Path;
|
||||
|
||||
use clap::{App, Arg};
|
||||
use nom::sequence::tuple;
|
||||
|
||||
use pcap_ng::Block;
|
||||
use parsers::Block;
|
||||
|
||||
// Cap'n'Proto and Flatbuffers typically ask that you generate code on the fly to match
|
||||
// the schemas. For purposes of auto-complete and easy browsing in the repository,
|
||||
@ -13,7 +14,8 @@ pub mod marketdata_capnp;
|
||||
#[allow(unused_imports)]
|
||||
pub mod marketdata_generated; // Flatbuffers
|
||||
|
||||
mod pcap_ng;
|
||||
mod iex;
|
||||
mod parsers;
|
||||
|
||||
fn main() {
|
||||
let matches = App::new("Marketdata Shootout")
|
||||
@ -34,7 +36,7 @@ fn main() {
|
||||
file.read_to_end(&mut buf).expect(&format!("Unable to read file={}", path.display()));
|
||||
|
||||
let mut rem = &buf[..];
|
||||
while let Ok((unparsed, block)) = pcap_ng::read_block(rem) {
|
||||
while let Ok((unparsed, block)) = parsers::read_block(rem) {
|
||||
let offset = (unparsed.as_ptr() as usize) - (buf.as_ptr() as usize);
|
||||
rem = unparsed;
|
||||
match block {
|
||||
|
||||
@ -1,16 +1,11 @@
|
||||
use std::convert::TryInto;
|
||||
use std::mem::size_of;
|
||||
|
||||
use nom::{
|
||||
branch::alt,
|
||||
bytes::complete::tag,
|
||||
bytes::complete::take,
|
||||
IResult,
|
||||
number::complete::*,
|
||||
branch::alt, bytes::complete::tag, bytes::complete::take, IResult, number::complete::*,
|
||||
sequence::tuple,
|
||||
};
|
||||
|
||||
use crate::pcap_ng::Block::EnhancedPacket;
|
||||
|
||||
pub enum Block<'a> {
|
||||
SectionHeader(SectionHeaderBlock),
|
||||
InterfaceDescription(InterfaceDescriptionBlock),
|
||||
@ -21,49 +16,43 @@ pub fn read_block(input: &[u8]) -> IResult<&[u8], Block> {
|
||||
alt((
|
||||
section_header_block,
|
||||
interface_description_block,
|
||||
enhanced_packet_block
|
||||
enhanced_packet_block,
|
||||
))(input)
|
||||
}
|
||||
|
||||
#[derive(Debug)]
|
||||
pub struct SectionHeaderBlock {
|
||||
block_len: u32
|
||||
block_len: u32,
|
||||
}
|
||||
|
||||
const SECTION_HEADER: [u8; 4] = [0x0a, 0x0d, 0x0d, 0x0a];
|
||||
|
||||
pub fn section_header_block(input: &[u8]) -> IResult<&[u8], Block> {
|
||||
let header_len = 12;
|
||||
let (rem, (_, block_len, _)) = tuple((
|
||||
tag(SECTION_HEADER),
|
||||
le_u32,
|
||||
tag([0x4d, 0x3c, 0x2b, 0x1a])
|
||||
))(input)?;
|
||||
let (rem, (_, block_len, _)) =
|
||||
tuple((tag(SECTION_HEADER), le_u32, tag([0x4d, 0x3c, 0x2b, 0x1a])))(input)?;
|
||||
|
||||
take(block_len - header_len)(rem)
|
||||
.map(|i| (i.0, Block::SectionHeader(SectionHeaderBlock {
|
||||
block_len
|
||||
})))
|
||||
.map(|i| (i.0, Block::SectionHeader(SectionHeaderBlock { block_len })))
|
||||
}
|
||||
|
||||
#[derive(Debug)]
|
||||
pub struct InterfaceDescriptionBlock {
|
||||
block_len: u32
|
||||
block_len: u32,
|
||||
}
|
||||
|
||||
const INTERFACE_DESCRIPTION: [u8; 4] = [0x01, 0x00, 0x00, 0x00];
|
||||
|
||||
pub fn interface_description_block(input: &[u8]) -> IResult<&[u8], Block> {
|
||||
let header_len = 8;
|
||||
let (rem, (_, block_len)) = tuple((
|
||||
tag(INTERFACE_DESCRIPTION),
|
||||
le_u32
|
||||
))(input)?;
|
||||
let (rem, (_, block_len)) = tuple((tag(INTERFACE_DESCRIPTION), le_u32))(input)?;
|
||||
|
||||
take(block_len - header_len)(rem)
|
||||
.map(|i| (i.0, Block::InterfaceDescription(InterfaceDescriptionBlock {
|
||||
block_len
|
||||
})))
|
||||
take(block_len - header_len)(rem).map(|i| {
|
||||
(
|
||||
i.0,
|
||||
Block::InterfaceDescription(InterfaceDescriptionBlock { block_len }),
|
||||
)
|
||||
})
|
||||
}
|
||||
|
||||
pub struct EnhancedPacketBlock<'a> {
|
||||
@ -82,7 +71,7 @@ pub fn enhanced_packet_block(input: &[u8]) -> IResult<&[u8], Block> {
|
||||
le_u32,
|
||||
le_u32,
|
||||
le_u32,
|
||||
le_u32
|
||||
le_u32,
|
||||
))(input)?;
|
||||
|
||||
let (rem, packet_data) = take(captured_len)(rem)?;
|
||||
@ -91,9 +80,33 @@ pub fn enhanced_packet_block(input: &[u8]) -> IResult<&[u8], Block> {
|
||||
// seem to respect this
|
||||
//let packet_total_len = (captured_len + 3) / 4 * 4;
|
||||
|
||||
take(block_len - header_len - captured_len)(rem)
|
||||
.map(|i| (i.0, Block::EnhancedPacket(EnhancedPacketBlock {
|
||||
take(block_len - header_len - captured_len)(rem).map(|i| {
|
||||
(
|
||||
i.0,
|
||||
Block::EnhancedPacket(EnhancedPacketBlock {
|
||||
block_len,
|
||||
packet_data,
|
||||
})))
|
||||
}),
|
||||
)
|
||||
})
|
||||
}
|
||||
|
||||
pub fn extract_iex_data(input: &[u8]) -> IResult<&[u8], &[u8]> {
|
||||
// Get the IEX payload out of each packet
|
||||
// First step is the ethernet frame
|
||||
let (rem, (_, _, _)) = tuple((take(6usize), take(6usize), tag([0x08, 0x00])))(input)?;
|
||||
|
||||
// Then the IP header
|
||||
let header_words = rem[0] & 0x0F;
|
||||
let header_len = header_words as u32 * 4;
|
||||
let (udp_data, _header_data) = take(header_len)(rem)?;
|
||||
|
||||
// And finally, extract out of UDP
|
||||
let (rem, (_, _, udp_len, _)) = tuple((be_u16, be_u16, be_u16, be_u16))(udp_data)?;
|
||||
|
||||
let udp_header_len = 8;
|
||||
let (rem, iex_data) = take(udp_len - udp_header_len)(rem)?;
|
||||
debug_assert!(rem.len() == 0);
|
||||
|
||||
Ok((rem, iex_data))
|
||||
}
|
||||
Reference in New Issue
Block a user