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publisher_main()
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@iamtheschmitzer
iamtheschmitzer committed May 21, 2013
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Expand Up @@ -2325,24 +2325,20 @@ <h3>Handling Liquibook Events</h3>
} } // End namespace
</pre>

<h3>Initialization</h3>
<p>
At this point the publisher has all the necessary parts to publish a trade
feed and an incremental depth feed for the exchange. The only things that
remains are to create, initialize, and associate the various parts, and to
generate the random orders.
</p>

<h3>Initialization</h3>
publisher_main.cpp

<h3>Setting up the Exchange</h3>

<p>
The exchange is initialized in the file <code>publisher_main.cpp</code>.
The <code>main()</code> function starts by establishing the securities to
"trade" in our exchange - in this case the NASDAQ 100 - taken from a snapshot
in April 2013. <code>main()</code> records the symbol and a base price in
a structure:
"trade" in our exchange - in this case the NASDAQ 100 - taken from a
snapshot in April 2013. <code>main()</code> records the symbol and a base
price in a structure:
</p>

<div class="listing">publisher_main.cpp: SecurityInfo structure</div>
Expand All @@ -2364,17 +2360,14 @@ <h3>Setting up the Exchange</h3>
<p>
The base price serves as a basis for generating random prices for the
example exchange. <code>main()</code> keeps this security information in a
<code>SecurityVector</code> and populates it the
<code>SecurityVector</code> and populates it in the
<code>create_securities()</code> method, later in <code>main()</code>.
</p>

<h3>Listening for Client Connections</h3>

<p>
An exchange must accept connections from feed clients in order to
disseminate market data to them. The publisher does this through a class
called <code>DepthFeedConnection</code>, which is created in
<code>main()</code>:
The <code>main()</code> function begins by creating the
<code>DepthFeedConnection</code>, and having it accept connections in a
background thread, using Boost's thread library:
</p>

<div class="listing">publisher_main.cpp: main() function</div>
Expand All @@ -2392,109 +2385,136 @@ <h3>Listening for Client Connections</h3>
</pre>

<p>
The example exchange creates an instance of <code>DepthFeedConnection</code>,
passing in the command-line arguments to configure it. The publisher then
calls <code>DepthFeedConnection::accept()</code> creates a background thread
to execute <code>DepthFeedConnection::run()</code>, using Boost's thread
library.
Next, the <code>DepthFeedPublisher</code> and the <code>Exchange</code> are
created, and the<code>DepthFeedPublisher</code> is made aware of the
<code>DepthFeedConnection</code>:
</p>

<div class="listing">publisher_main.cpp: main() function, continued</div>
<pre class="code">
// Create feed publisher
examples::DepthFeedPublisher feed;
feed.set_connection(&amp;connection);

// Create exchange
examples::Exchange exchange(&amp;feed, &amp;feed);
</pre>

<p>
Note that the exchange constructor requires a <code>TradeListrner</code> and
a <code>DepthListener</code>, both of which the
<code>DepthFeedPublisher</code> implements.
</p>

<h3>Populating the Exhange with Securities</h3>
<p>
The body of <code>create_securities()</code> is not shown here, but it adds
each of the one hundred constituents of the NASDAQ-100 to the vector. These
are later added to the exchange, and also referenced while generating random
orders.
Finally, the securities are created and used to populate the exchange, and
orders are generated.
</p>

<h3>Establishing the Publisher</h3>
<div class="listing">publisher_main.cpp: main() function, continued</div>
<pre class="code">
// Create securities
SecurityVector securities;
create_securities(securities);

<h3>Populating the Exchange</h3>
// Populate exchange with securities
populate_exchange(exchange, securities);

// Generate random orders
generate_orders(exchange, securities);

<h3>Generating Random Orders</h3>
return 0;
}
</pre>

<h2>Subscriber Application</h2>
<p>
There is also one or more subscribers, who are responsible for decoding the
FAST messages and displaying the results in the console. The publisher
listens for connections, and the subscribers connect to the publisher.
The final function call, to <code>generate_orders()</code> is an infinite
loop, so there is no need to worry about the <code>main()</code> method
returning.
</p>

<p>
The example exchange's order class inherits from <code>book::Order</code>
and implements its 3 pure virtual functions. Inheriting from the
<code>book::Order</code> class is not strictly necessary as the rest of
Liquibook uses templates to bind to a specific order class. The trivial
implementation of this class is omitted from this paper.
The helper function <code>create_securities()</code> adds 100 securities to
the <code>SecurityVector</code>:
</p>

<h3>Handling Trade Events</h3>

<p>
</p>
<div class="listing">publisher_main.cpp: main() helper functions</div>
<pre class="code">
void
create_securities(SecurityVector&amp; securities) {
securities.push_back(SecurityInfo("AAPL", 436.36));
securities.push_back(SecurityInfo("ADBE", 45.06));
securities.push_back(SecurityInfo("ADI", 43.93));

<h3>Handling Order Book Events</h3>
// Repeated for 100 securities...
}
</pre>

<p>
</p>

<h3></h3>
<h3></h3>

<h3>The Feed Protocol</h3>

Due to the mercy of the author, the other 97 securities were omitted from
this paper. The next helper function, <code>populate_exchange()</code> adds
these securities to the exchange:
<p>
</p>

<p>
Here is an example of using some code in a sentence. When using the
<code>String</code> class, be sure to use <code>equals()</code>
instead of <code>=</code> when comparing two strings.
</p>
<div class="listing">publisher_main.cpp: main() helper functions, continued</div>
<pre class="code">
void
populate_exchange(examples::Exchange&amp; exchange, const SecurityVector&amp; securities) {
SecurityVector::const_iterator sec;
for (sec = securities.begin(); sec != securities.end(); ++sec) {
exchange.add_order_book(sec-&gt;symbol);
}
}
</pre>

<p>
See <a href="http://sett.ociweb.com/sett/settOct2012.html">October 2012 SETT article</a> for
an example of displaying code. This method displays line numbers and handles multiple languages.
</p>

The final helper function, <code>generate_orders()</code> creates random
orders and adds them to the exchange:
<p>
Make sure to put all referenced files used by the article in a folder called settMmmYyyy_files where Mmm is the
article month and Yyyy is the article year. For example, settOct2012_files.
</p>

<p>
Also, make sure your article contains standard ascii characters. Use ", ', - instead of
forward/backward quotes or ticks. Microsoft word replaces these characters by default. Please
ensure your article encode these characters properly.
</p>
<table border="2" cellpadding="2" cellspacing="5">
<tr>
<th>Bad Example</th>
<th>Good Example</th>
</tr>
<tr>
<td>“example quotes”</td>
<td>&#8220;example quotes&#8221;</td>
</tr>
<tr>
<td>‘another example’</td>
<td>&#8216;another example&#8217;</td>
</tr>
<tr>
<td>hyphens – anyone?</td>
<td>hyphens &#8212; anyone?</td>
</tr>
<tr>
<td>dot dot dot</td>
<td>dot dot dot &#8230;</td>
</tr>
</table>
<div class="listing">publisher_main.cpp: main() helper functions, continued</div>
<pre class="code">

void
generate_orders(examples::Exchange&amp; exchange, const SecurityVector&amp; securities) {
time_t now;
time(&amp;now);
std::srand(now);

size_t num_securities = securities.size();
while (true) {
// which security
size_t index = std::rand() % num_securities;
const SecurityInfo&amp; sec = securities[index];
// side
bool is_buy = std::rand() % 2;
// price
uint32_t price_base = sec.ref_price * 100;
uint32_t delta_range = price_base / 50; // +/- 2% of base
int32_t delta = std::rand() % delta_range;
delta -= (delta_range / 2);
double price = double (price_base + delta) / 100;

// qty
book::Quantity qty = (std::rand() % 10 + 1) * 100;

// order
examples::OrderPtr order(new examples::Order(is_buy, price, qty));

// add order
exchange.add_order(sec.symbol, order);

// Wait for eyes to read
sleep(1);
}
}
</pre>

<p>
If you need to use these, be sure to use the appropriate unicode escape sequence.
The implementation of <code>generate_orders()</code> is somewhat complex, but
not relevant. There is a call to <code>sleep()</code> inside the loop, so
that the data stream is produced at a somewhat readable pace. At this
point, the publisher is complete.
</p>

<h2>Final Big Topic</h2>
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