85 lines
4.6 KiB
XML
85 lines
4.6 KiB
XML
<?xml version="1.0" encoding="UTF-8"?>
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<sbe:messageSchema xmlns:sbe="http://fixprotocol.io/2016/sbe"
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package="marketdata_sbe"
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id="1"
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version="0"
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semanticVersion="5.2"
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description="Trivial market data schema">
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<types>
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<!-- "common types" used by SBE -->
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<composite name="messageHeader" description="Message identifiers and length of message root.">
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<type name="blockLength" primitiveType="uint16"/>
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<type name="templateId" primitiveType="uint16"/>
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<type name="schemaId" primitiveType="uint16"/>
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<type name="version" primitiveType="uint16"/>
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</composite>
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<composite name="groupSizeEncoding" description="Repeating group dimensions.">
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<type name="blockLength" primitiveType="uint16"/>
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<type name="numInGroup" primitiveType="uint16"/>
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</composite>
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<composite name="varStringEncoding" description="Variable length UTF-8 String.">
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<type name="length" primitiveType="uint32" maxValue="1073741824"/>
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<type name="varData" primitiveType="uint8" length="0" characterEncoding="UTF-8"/>
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</composite>
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<composite name="varAsciiEncoding" description="Variable length ASCII String.">
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<type name="length" primitiveType="uint32" maxValue="1073741824"/>
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<type name="varData" primitiveType="uint8" length="0" characterEncoding="ASCII"/>
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</composite>
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<composite name="varDataEncoding" description="Variable length binary blob.">
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<type name="length" primitiveType="uint32" maxValue="1073741824"/>
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<type name="varData" primitiveType="uint8" length="0"/>
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</composite>
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<!-- types we're actually interested in implementing -->
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<composite name="Trade">
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<type name="price" primitiveType="uint64"/>
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<type name="size" primitiveType="uint32"/>
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</composite>
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<composite name="Quote">
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<type name="price" primitiveType="uint64"/>
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<type name="size" primitiveType="uint32"/>
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<type name="flags" primitiveType="uint8"/>
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<ref name="side" type="Side"/>
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</composite>
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<enum name="Side" encodingType="uint8">
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<validValue name="Buy">0</validValue>
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<validValue name="Sell">1</validValue>
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</enum>
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<enum name="MsgType" encodingType="uint8">
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<validValue name="Trade">0</validValue>
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<validValue name="Quote">1</validValue>
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</enum>
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</types>
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<sbe:message name="MultiMessage" id="1" description="Wrapper for sending multiple message chunks at a time">
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<field name="sequence_number" id="1" type="uint64"/>
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<group name="messages" id="2">
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<!--
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Can't embed messages within each other, so the "MultiMessage" block
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actually includes each `message` via a group
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-->
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<field name="timestamp" id="3" type="int64"/>
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<!--
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SBE specifically doesn't have "union" types, so we include a type tag, and both
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`trade` and `quote` as "optional". This style was chosen to approximate how
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Cap'n Proto and Flatbuffers do it:
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https://github.com/real-logic/simple-binary-encoding/issues/232
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However, space is actually reserved for *both* `trade` and `quote` in the message;
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that is, the payload size is the same if neither, one, or both are filled.
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Other ways you can try to emulate unions:
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1. Use a "payload header" composite type and promote "trade" and "quote" to <sbe:message>;
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SBE can distinguish message types based on the SBE header.
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2. Create a "group" for each message type; adds an extra `u16` per type, but overall payload
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size goes down because we no longer reserve space that is potentially unused.
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3. Split up the message components into individual <composite/> blocks, and write
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a state machine (by hand) to chain the blocks. For a better explanation,
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see "session types" in:
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https://polysync.io/blog/session-types-for-hearty-codecs
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-->
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<field name="msg_type" id="4" type="MsgType"/>
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<field name="trade" id="5" type="Trade" presence="optional"/>
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<field name="quote" id="6" type="Quote" presence="optional"/>
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<data name="symbol" id="100" type="varAsciiEncoding"/>
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</group>
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</sbe:message>
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</sbe:messageSchema> |