ADD: Add Imbalance support to C++ client

Author: threecgreen

CHANGELOG.md

@@ -1,6 +1,7 @@
 # Changelog
 
 ## 0.6.0 - TBD
+- Added support for imbalance schema
 - Changed `Historical::BatchDownload` to return the paths of the downloaded files
 
 ## 0.5.0 - 2023-03-13

include/databento/enums.hpp

@@ -31,6 +31,7 @@ enum class Schema : std::uint16_t {
   Definition = 9,
   Statistics = 10,
   Status = 11,
+  Imbalance = 12,
 };
 
 // Represents a data output encoding.
@@ -105,6 +106,7 @@ enum RType : std::uint8_t {
   Ohlcv1H = 0x22,
   Ohlcv1D = 0x23,
   InstrumentDef = 0x13,
+  Imbalance = 0x14,
   Error = 0x15,
   SymbolMapping = 0x16,
   Mbo = 0xA0,

include/databento/record.hpp

@@ -13,6 +13,8 @@
 namespace databento {
 // Common data for all Databento Records.
 struct RecordHeader {
+  static constexpr std::size_t kLengthMultiplier = 4;
+
   // The length of the message in 32-bit words.
   std::uint8_t length;
   // The record type.
@@ -232,6 +234,37 @@ struct InstrumentDefMsg {
 static_assert(sizeof(InstrumentDefMsg) == 360,
               "InstrumentDefMsg size must match C");
 
+// An order imbalance message.
+struct ImbalanceMsg {
+  static bool HasRType(RType rtype) { return rtype == RType::Imbalance; }
+
+  RecordHeader hd;
+  UnixNanos ts_recv;
+  std::int64_t ref_price;
+  UnixNanos auction_time;
+  std::int64_t cont_book_clr_price;
+  std::int64_t auct_interest_clr_price;
+  std::int64_t ssr_filling_price;
+  std::int64_t ind_match_price;
+  std::int64_t upper_collar;
+  std::int64_t lower_collar;
+  std::uint32_t paired_qty;
+  std::uint32_t total_imbalance_qty;
+  std::uint32_t market_imbalance_qty;
+  std::uint32_t unpaired_qty;
+  char auction_type;
+  Side side;
+  std::uint8_t auction_status;
+  std::uint8_t freeze_status;
+  std::uint8_t num_extensions;
+  Side unpaired_side;
+  char significant_imbalance;
+  // padding for alignment
+  std::array<char, 1> dummy[1];
+};
+
+static_assert(sizeof(ImbalanceMsg) == 112, "ImbalanceMsg size must match C");
+
 // An error message from the Live Subscription Gateway (LSG). This will never
 // be present in historical data.
 struct ErrorMsg {
@@ -335,6 +368,11 @@ inline bool operator!=(const InstrumentDefMsg& lhs,
   return !(lhs == rhs);
 }
 
+bool operator==(const ImbalanceMsg& lhs, const ImbalanceMsg& rhs);
+inline bool operator!=(const ImbalanceMsg& lhs, const ImbalanceMsg& rhs) {
+  return !(lhs == rhs);
+}
+
 inline bool operator==(const ErrorMsg& lhs, const ErrorMsg& rhs) {
   return lhs.hd == rhs.hd && lhs.err == rhs.err;
 }
@@ -366,6 +404,9 @@ std::ostream& operator<<(std::ostream& stream, const OhlcvMsg& ohlcv_msg);
 std::string ToString(const InstrumentDefMsg& instr_def_msg);
 std::ostream& operator<<(std::ostream& stream,
                          const InstrumentDefMsg& instr_def_msg);
+std::string ToString(const ImbalanceMsg& imbalance_msg);
+std::ostream& operator<<(std::ostream& stream,
+                         const ImbalanceMsg& imbalance_msg);
 std::string ToString(const ErrorMsg& err_msg);
 std::ostream& operator<<(std::ostream& stream, const ErrorMsg& err_msg);
 std::string ToString(const SymbolMappingMsg& symbol_mapping_msg);

src/enums.cpp

@@ -53,6 +53,9 @@ const char* ToString(Schema schema) {
     case Schema::Definition: {
       return "definition";
     }
+    case Schema::Imbalance: {
+      return "imbalance";
+    }
     case Schema::Statistics: {
       return "statistics";
     }
@@ -250,6 +253,9 @@ const char* ToString(RType rtype) {
     case RType::InstrumentDef: {
       return "InstrumentDef";
     }
+    case RType::Imbalance: {
+      return "Imbalance";
+    }
     case RType::Mbo: {
       return "Mbo";
     }
@@ -396,6 +402,9 @@ Schema FromString(const std::string& str) {
   if (str == "definition") {
     return Schema::Definition;
   }
+  if (str == "imbalance") {
+    return Schema::Imbalance;
+  }
   if (str == "statistics") {
     return Schema::Statistics;
   }

src/record.cpp

@@ -11,7 +11,7 @@ using databento::RecordHeader;
 using databento::RType;
 
 std::size_t RecordHeader::Size() const {
-  return static_cast<size_t>(length) * 4;
+  return static_cast<size_t>(length) * kLengthMultiplier;
 }
 
 std::size_t Record::Size() const { return record_->Size(); }
@@ -151,6 +151,30 @@ bool databento::operator==(const InstrumentDefMsg& lhs,
          lhs.tick_rule == rhs.tick_rule;
 }
 
+using databento::ImbalanceMsg;
+
+bool operator==(const ImbalanceMsg& lhs, const ImbalanceMsg& rhs) {
+  return lhs.hd == rhs.hd && lhs.ts_recv == rhs.ts_recv &&
+         lhs.ref_price == rhs.ref_price &&
+         lhs.auction_time == rhs.auction_time &&
+         lhs.cont_book_clr_price == rhs.cont_book_clr_price &&
+         lhs.auct_interest_clr_price == rhs.auct_interest_clr_price &&
+         lhs.ssr_filling_price == rhs.ssr_filling_price &&
+         lhs.ind_match_price == rhs.ind_match_price &&
+         lhs.upper_collar == rhs.upper_collar &&
+         lhs.lower_collar == rhs.lower_collar &&
+         lhs.paired_qty == rhs.paired_qty &&
+         lhs.total_imbalance_qty == rhs.total_imbalance_qty &&
+         lhs.market_imbalance_qty == rhs.market_imbalance_qty &&
+         lhs.unpaired_qty == rhs.unpaired_qty &&
+         lhs.auction_type == rhs.auction_type && lhs.side == rhs.side &&
+         lhs.auction_status == rhs.auction_status &&
+         lhs.freeze_status == rhs.freeze_status &&
+         lhs.num_extensions == rhs.num_extensions &&
+         lhs.unpaired_side == rhs.unpaired_side &&
+         lhs.significant_imbalance == rhs.significant_imbalance;
+}
+
 namespace databento {
 namespace detail {
 template <>
@@ -368,6 +392,40 @@ std::ostream& operator<<(std::ostream& stream,
       .Finish();
 }
 
+std::string ToString(const ImbalanceMsg& imbalance_msg) {
+  return MakeString(imbalance_msg);
+}
+std::ostream& operator<<(std::ostream& stream,
+                         const ImbalanceMsg& imbalance_msg) {
+  return StreamOpBuilder{stream}
+      .SetSpacer("\n    ")
+      .SetTypeName("ImbalanceMsg")
+      .Build()
+      .AddField("hd", imbalance_msg.hd)
+      .AddField("ts_recv", imbalance_msg.ts_recv)
+      .AddField("ref_price", imbalance_msg.ref_price)
+      .AddField("auction_time", imbalance_msg.auction_time)
+      .AddField("cont_book_clr_price", imbalance_msg.cont_book_clr_price)
+      .AddField("auct_interest_clr_price",
+                imbalance_msg.auct_interest_clr_price)
+      .AddField("ssr_filling_price", imbalance_msg.ssr_filling_price)
+      .AddField("ind_match_price", imbalance_msg.ind_match_price)
+      .AddField("upper_collar", imbalance_msg.upper_collar)
+      .AddField("lower_collar", imbalance_msg.lower_collar)
+      .AddField("paired_qty", imbalance_msg.paired_qty)
+      .AddField("total_imbalance_qty", imbalance_msg.total_imbalance_qty)
+      .AddField("market_imbalance_qty", imbalance_msg.market_imbalance_qty)
+      .AddField("unpaired_qty", imbalance_msg.unpaired_qty)
+      .AddField("auction_type", imbalance_msg.auction_type)
+      .AddField("side", imbalance_msg.side)
+      .AddField("auction_status", imbalance_msg.auction_status)
+      .AddField("freeze_status", imbalance_msg.freeze_status)
+      .AddField("num_extensions", imbalance_msg.num_extensions)
+      .AddField("unpaired_side", imbalance_msg.unpaired_side)
+      .AddField("significant_imbalance", imbalance_msg.significant_imbalance)
+      .Finish();
+}
+
 std::string ToString(const ErrorMsg& err_msg) { return MakeString(err_msg); }
 std::ostream& operator<<(std::ostream& stream, const ErrorMsg& err_msg) {
   return StreamOpBuilder{stream}

test/src/record_tests.cpp

@@ -9,17 +9,19 @@
 namespace databento {
 namespace test {
 TEST(RecordTests, TestMbp10MsgToString) {
-  Mbp10Msg target{RecordHeader{50, RType::Mbp10, 1, 1, UnixNanos{}},
-                  100000000,
-                  10,
-                  Action::Add,
-                  Side::Bid,
-                  {},
-                  0,
-                  UnixNanos{},
-                  TimeDeltaNanos{100},
-                  50,
-                  {}};
+  Mbp10Msg target{
+      RecordHeader{sizeof(Mbp10Msg) / RecordHeader::kLengthMultiplier,
+                   RType::Mbp10, 1, 1, UnixNanos{}},
+      100000000,
+      10,
+      Action::Add,
+      Side::Bid,
+      {},
+      0,
+      UnixNanos{},
+      TimeDeltaNanos{100},
+      50,
+      {}};
   for (std::uint32_t i = 0; i < 10; ++i) {
     target.booklevel[i].ask_ct = i;
     target.booklevel[i].bid_ct = i * 2;
@@ -30,7 +32,7 @@ TEST(RecordTests, TestMbp10MsgToString) {
   }
   const auto res = ToString(target);
   ASSERT_EQ(res, R"(Mbp10Msg {
-    hd = RecordHeader { length = 50, rtype = Mbp10, publisher_id = 1, product_id = 1, ts_event = 0 },
+    hd = RecordHeader { length = 92, rtype = Mbp10, publisher_id = 1, product_id = 1, ts_event = 0 },
     price = 100000000,
     size = 10,
     action = Add,
@@ -57,8 +59,8 @@ TEST(RecordTests, TestMbp10MsgToString) {
 
 TEST(RecordTests, TestInstrumentDefMsgToString) {
   const InstrumentDefMsg target{
-      RecordHeader{sizeof(InstrumentDefMsg) / 4, RType::InstrumentDef, 1, 1,
-                   UnixNanos{}},
+      RecordHeader{sizeof(InstrumentDefMsg) / RecordHeader::kLengthMultiplier,
+                   RType::InstrumentDef, 1, 1, UnixNanos{}},
       UnixNanos{},
       1,
       2,
@@ -185,5 +187,56 @@ TEST(RecordTests, TestInstrumentDefMsgToString) {
     tick_rule = 44
 })");
 }
+
+TEST(RecordTests, TestImbalanceMsgToString) {
+  const ImbalanceMsg target{
+      RecordHeader{sizeof(ImbalanceMsg) / RecordHeader::kLengthMultiplier,
+                   RType::Imbalance, 1, 1, UnixNanos{}},
+      UnixNanos{},
+      1,
+      UnixNanos{},
+      3,
+      4,
+      5,
+      6,
+      7,
+      8,
+      9,
+      10,
+      11,
+      12,
+      'A',
+      Side::Ask,
+      15,
+      16,
+      17,
+      Side::None,
+      'N',
+      {}};
+  const auto res = ToString(target);
+  ASSERT_EQ(res, R"(ImbalanceMsg {
+    hd = RecordHeader { length = 28, rtype = Imbalance, publisher_id = 1, product_id = 1, ts_event = 0 },
+    ts_recv = 0,
+    ref_price = 1,
+    auction_time = 0,
+    cont_book_clr_price = 3,
+    auct_interest_clr_price = 4,
+    ssr_filling_price = 5,
+    ind_match_price = 6,
+    upper_collar = 7,
+    lower_collar = 8,
+    paired_qty = 9,
+    total_imbalance_qty = 10,
+    market_imbalance_qty = 11,
+    unpaired_qty = 12,
+    auction_type = 'A',
+    side = Ask,
+    auction_status = 15,
+    freeze_status = 16,
+    num_extensions = 17,
+    unpaired_side = None,
+    significant_imbalance = 'N'
+})");
+}
 }  // namespace test
 }  // namespace databento