common

package
v0.0.0-...-78cbaba Latest Latest
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 Go to latest Published: May 30, 2021 License: GPL-3.0 Imports: 13 Imported by: 0

Documentation

Index

Constants

View Source 
const (
	Call optionType = "call"
	Put  optionType = "put"
)

Variables

View Source 
var AlreadyConnected = errors.New("already connected")
View Source 
var ConnectionFailed = errors.New("connection failed")
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var DownloadFailed = errors.New("download failed")
View Source 
var IMap instrumentMap

global instrument map which is fully synchronized

View Source 
var InvalidConnector = errors.New("invalid connector")
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var NotConnected = errors.New("not connected")
View Source 
var OrderNotFound = errors.New("order not found")
View Source 
var UnknownInstrument = errors.New("unknown instrument")
View Source 
var UnsupportedOrderType = errors.New("unsupported order type")

Functions

func CmpTime 

func CmpTime(t1 time.Time, t2 time.Time) int

func DecodeDecimal 

func DecodeDecimal(r ByteReader) Fixed

func DecodeString 

func DecodeString(r ByteReader) string

func DecodeTime 

func DecodeTime(r ByteReader) time.Time

func EncodeDecimal 

func EncodeDecimal(w ByteWriter, d Fixed)

func EncodeString 

func EncodeString(w ByteWriter, s string)

func EncodeTime 

func EncodeTime(w ByteWriter, time time.Time)

func MapToFixOrdStatus 

func MapToFixOrdStatus(state OrderState) enum.OrdStatus

func MapToFixSide 

func MapToFixSide(side Side) enum.Side

func MinDecimal 

func MinDecimal(d0 Fixed, d1 Fixed) Fixed

func NewDecimal 

func NewDecimal(s string) Fixed

func NewDecimalF 

func NewDecimalF(f float64) Fixed

func ParseInt 

func ParseInt(s string) int

func PutUvarint 

func PutUvarint(w ByteWriter, x uint64) int

PutUvarint encodes a uint64 into buf and returns the number of bytes written.

func PutVarint 

func PutVarint(w ByteWriter, x int64) int

PutVarint encodes an int64 into buf and returns the number of bytes written.

func ReadUvarint 

func ReadUvarint(r ByteReader) (uint64, error)

ReadUvarint reads an encoded unsigned integer from r and returns it as a uint64.

func ReadVarint 

func ReadVarint(r ByteReader) (int64, error)

ReadVarint reads an encoded signed integer from r and returns it as an int64.

func ToDecimal 

func ToDecimal(f Fixed) decimal.Decimal

func ToFixed 

func ToFixed(d decimal.Decimal) Fixed

func ToFloat 

func ToFloat(d Fixed) float64

Types

type Book 

type Book struct {
	Instrument Instrument
	Bids       []BookLevel
	Asks       []BookLevel
	Sequence   uint64
}

func (*Book) Equals 

func (book *Book) Equals(other Book) bool

func (*Book) HasAsks 

func (book *Book) HasAsks() bool

func (*Book) HasBids 

func (book *Book) HasBids() bool

func (*Book) IsEmpty 

func (book *Book) IsEmpty() bool

func (*Book) String 

func (book *Book) String() string

type BookLevel 

type BookLevel struct {
	Price    Fixed
	Quantity Fixed
}

type ByteReader 

type ByteReader interface {
	io.Reader
	io.ByteReader
}

type ByteWriter 

type ByteWriter interface {
	io.Writer
	io.ByteWriter
}

type ConnectorCallback 

type ConnectorCallback interface {
	OnBook(*Book)
	// the following is for intra-day instrument addition, or initial startup
	OnInstrument(Instrument)
	// the callback will have the order locked, and will unlock when the callback returns
	OnOrderStatus(*Order)
	OnFill(*Fill)
	OnTrade(*Trade)
}

type Equity 

type Equity struct {
	Instrument
}

type ExchangeConnector 

type ExchangeConnector interface {
	IsConnected() bool
	Connect() error
	Disconnect() error

	CreateOrder(order *Order) (OrderID, error)
	ModifyOrder(order OrderID, price Fixed, quantity Fixed) error
	CancelOrder(order OrderID) error

	Quote(instrument Instrument, bidPrice Fixed, bidQuantity Fixed, askPrice Fixed, askQuantity Fixed) error

	GetExchangeCode() string

	// ask exchange to create the instrument if it does not already exist, and assign a numeric instrument id
	// the instruments are not persisted across exchange restarts
	CreateInstrument(symbol string)
	// ask exchange for configured instruments, will be emitted via onInstrument() on the callback. this call
	// blocks until all instruments are received
	DownloadInstruments() error
}

type Expiration 

type Expiration time.Time

type Fill 

type Fill struct {
	Instrument Instrument
	IsQuote    bool
	// Order will be nil on quote trade, the order is unlocked
	Order      *Order
	ExchangeID string
	Quantity   Fixed
	Price      Fixed
	Side       Side
	IsLegTrade bool
}

a fill on an order or quote

type Generic 

type Generic struct {
	Instrument
}

type Index 

type Index struct {
	Instrument
}

type Instrument 

type Instrument interface {
	ID() int64
	Symbol() string
	Group() string
}

func NewInstrument 

func NewInstrument(id int64, symbol string) Instrument

type Maturity 

type Maturity string

type Option 

type Option struct {
	Instrument
	Underlying   Instrument
	Expires      Expiration
	Strike       decimal.Decimal
	OptionType   optionType
	MaturityDate Maturity
}

type OptionLeg 

type OptionLeg struct {
	Option *Option
	Ratio  int
}

type OptionStrategy 

type OptionStrategy struct {
	Instrument
	Expires  Expiration
	Maturity Maturity
	Legs     []OptionLeg
}

type Order 

type Order struct {
	sync.RWMutex
	Instrument
	Id         OrderID
	ExchangeId string
	Price      Fixed
	Side
	Quantity  Fixed
	Remaining Fixed
	OrderType
	OrderState
	RejectReason string
}

func LimitOrder 

func LimitOrder(instrument Instrument, side Side, price Fixed, quantity Fixed) *Order

func MarketOrder 

func MarketOrder(instrument Instrument, side Side, quantity Fixed) *Order

func (*Order) IsActive 

func (order *Order) IsActive() bool

func (*Order) String 

func (order *Order) String() string

type OrderID 

type OrderID int32

func NewOrderID 

func NewOrderID(id string) OrderID

func (OrderID) String 

func (id OrderID) String() string

type OrderState 

type OrderState string
const (
	New         OrderState = "new"
	Booked      OrderState = "booked"
	PartialFill OrderState = "partial"
	Filled      OrderState = "filled"
	Cancelled   OrderState = "cancelled"
	Rejected    OrderState = "rejected"
)

func MapFromFixOrdStatus 

func MapFromFixOrdStatus(ordStatus enum.OrdStatus) OrderState

type OrderType 

type OrderType string
const (
	Market OrderType = "market"
	Limit  OrderType = "limit"
)

type Properties 

type Properties interface {
	GetString(key string, def string) string
	SetString(key string, value string)
}

func NewProperties 

func NewProperties(file string) (Properties, error)

func NewPropertiesFromReader 

func NewPropertiesFromReader(r io.Reader) (Properties, error)

type Side 

type Side string
const (
	Buy  Side = "buy"
	Sell Side = "sell"
)

func MapFromFixSide 

func MapFromFixSide(side enum.Side) Side

type StatusBool 

type StatusBool struct {
	// contains filtered or unexported fields
}

func (*StatusBool) IsTrue 

func (sb *StatusBool) IsTrue() bool

func (*StatusBool) SetFalse 

func (sb *StatusBool) SetFalse()

func (*StatusBool) SetTrue 

func (sb *StatusBool) SetTrue()

func (*StatusBool) WaitForFalse 

func (sb *StatusBool) WaitForFalse(timeoutMS int64) bool

func (*StatusBool) WaitForTrue 

func (sb *StatusBool) WaitForTrue(timeoutMS int64) bool

type Trade 

type Trade struct {
	Instrument Instrument
	Quantity   Fixed
	Price      Fixed
	ExchangeID string
	TradeTime  time.Time
}

an exchange trade, not necessarily initiated by the current client

Source Files

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