setup orderbook, a bit on decode

Author: raquentin

pipebomb/rtl/msg_decode.sv

@@ -0,0 +1,37 @@
+import orderbook_pkg::*;
+
+module msg_decode (
+    input logic clk,
+    input logic rst_n,
+
+    input [296:0] parser_data,
+    input logic parser_valid,
+
+    output inst_t inst
+);
+
+  logic [7:0] msg_type;
+  logic [63:0] order_id;
+  logic [63:0] old_order_id;  // replace only
+  logic [15:0] locate;
+  logic buy_side;
+  logic [31:0] price;
+  logic [31:0] num_shares;
+  logic [31:0] seqnum32;
+  logic [47:0] timestamp;
+
+  always_comb begin
+    {
+        msg_type,
+        order_id,
+        old_order_id,
+        locate,
+        buy_size,
+        price,
+        num_shares,
+        seqnum32,
+        timestamp
+    } = parser_data;
+  end
+
+endmodule

pipebomb/rtl/orderbook_pkg.sv

@@ -0,0 +1,229 @@
+package orderbook_pkg;
+
+  // First, these defs are for external ITCH messages. I'm not sure we'll use
+  // these. See https://github.com/mbattyani/sub-25-ns-nasdaq-itch-fpga-parser/blob/main/nasdaq-itch-parser.lisp.
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [7:0]  event_code;
+  } raw_sysevent_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] symbol;
+    logic [7:0]  trading_state;
+  } raw_sta_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] symbol;
+    logic [7:0]  regsho_action;
+  } raw_regsho_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] order_id;
+    logic [7:0]  buy_sell;
+    logic [31:0] num_shares;
+    logic [63:0] symbol;
+    logic [31:0] price;
+  } raw_add_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] order_id;
+    logic [7:0]  buy_sell;
+    logic [31:0] num_shares;
+    logic [63:0] symbol;
+    logic [31:0] price;
+    logic [31:0] attribution;
+  } raw_addwmpid_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] old_order_id;
+    logic [63:0] new_order_id;
+    logic [31:0] num_shares;
+    logic [31:0] price;
+  } raw_replace_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] order_id;
+    logic [31:0] num_shares;
+    logic [63:0] match_number;
+  } raw_exec_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] order_id;
+    logic [31:0] num_shares;
+    logic [63:0] match_number;
+    logic [7:0]  printable;
+    logic [31:0] price;
+  } raw_execwp_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] order_id;
+    logic [31:0] num_shares;
+  } raw_cancel_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] order_id;
+  } raw_delete_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [63:0] order_id;
+    logic [7:0]  buy_sell;
+    logic [31:0] num_shares;
+    logic [63:0] symbol;
+    logic [31:0] price;
+    logic [63:0] match_number;
+  } raw_trade_t;
+
+  typedef struct packed {
+    logic [15:0] locate;
+    logic [15:0] tracking;
+    logic [47:0] timestamp;
+    logic [31:0] num_shares_msb;
+    logic [31:0] num_shares;
+    logic [31:0] price;
+    logic [63:0] match_number;
+    logic [7:0]  cross_type;
+  } raw_crosstrade_t;
+
+  // Params used for internal bit depths thoughout the core.
+  // Ensure these match the values in other parts of the repo.
+  parameter int PRICE_BITS = 32;
+  parameter int QUANTITY_BITS = 32;
+  parameter int ORDER_ID_BITS = 32;
+  parameter int RING_SIZE = 1024;  // Size of side processor buffers
+  parameter int CACHE_SIZE = 5;  // Size of k-best cache
+  parameter int MAX_ORDERS = 1024;  // Order map size
+
+  // The ITCH instructions that have an effect on the book. These types are
+  // straight from the parser.
+  typedef enum logic [3:0] {
+    OP_SYSEVENT = 4'h0,
+    OP_STA = 4'h1,
+    OP_REGSHO = 4'h2,
+    OP_ADD = 4'h3,
+    OP_ADDWMPID = 4'h4,
+    OP_REPLACE = 4'h5,
+    OP_EXEC = 4'h6,
+    OP_EXECWP = 4'h7,
+    OP_CANCEL = 4'h8,
+    OP_DELETE = 4'h9,
+    OP_TRADE = 4'ha,
+    OP_CROSSTRADE = 4'hb
+  } opcode_t;
+
+  // These structs are now internal.
+  // For instance, price bucketing can allow us to use less area and have
+  // better cache usage. This bucketing isn't a concern of the parser, it's
+  // a concern of the decoder.
+  typedef struct packed {
+    itch_msg_type_t msg_type;
+    logic [ORDER_ID_BITS-1:0] order_id;
+    order_side_t side;
+    logic [PRICE_BITS-1:0] price;
+    logic [QUANTITY_BITS-1:0] quantity;
+  } int_add_t;
+
+  typedef struct packed {
+    itch_msg_type_t msg_type;
+    logic [ORDER_ID_BITS-1:0] order_id;
+    logic [QUANTITY_BITS-1:0] quantity;
+  } int_exec_t;
+
+  typedef struct packed {
+    itch_msg_type_t msg_type;
+    logic [ORDER_ID_BITS-1:0] order_id;
+    logic [QUANTITY_BITS-1:0] quantity;
+    logic [PRICE_BITS-1:0] price;
+  } int_execwp_t;
+
+  typedef struct packed {
+    itch_msg_type_t msg_type;
+    logic [ORDER_ID_BITS-1:0] order_id;
+    logic [QUANTITY_BITS-1:0] quantity;
+  } int_cancel_t;
+
+  typedef struct packed {
+    itch_msg_type_t msg_type;
+    logic [ORDER_ID_BITS-1:0] order_id;
+  } int_delete_t;
+
+  typedef struct packed {
+    itch_msg_type_t msg_type;
+    logic [ORDER_ID_BITS-1:0] old_order_id;
+    logic [ORDER_ID_BITS-1:0] new_order_id;
+    logic [PRICE_BITS-1:0] price;
+    logic [QUANTITY_BITS-1:0] quantity;
+  } int_replace_t;
+
+  // Might need more of these for trade, crosstrade, etc. Idk much about
+  // those rn.
+  typedef union packed {
+    int_add_t add;
+    int_exec_t exec;
+    int_execwp_t execwp;
+    int_cancel_t cancel;
+    int_delete_t delete;
+    int_replace_t replace;
+  } inst_t;
+
+  // The effect of an order on the book.
+  typedef struct packed {
+    logic valid;
+    order_side_t side;
+    logic [PRICE_BITS-1:0] price;
+    logic [QUANTITY_BITS-1:0] quantity;
+  } book_effect_t;
+
+  // An entry in the k-best.
+  typedef struct packed {
+    logic [PRICE_BITS-1:0] price;
+    logic [QUANTITY_BITS-1:0] total;
+  } price_level_t;
+
+  // The output of the order book that drives strategy.
+  typedef struct packed {
+    logic [PRICE_BITS-1:0] best_bid_price;
+    logic [QUANTITY_BITS-1:0] best_bid_quantity;
+    logic [PRICE_BITS-1:0] best_ask_price;
+    logic [QUANTITY_BITS-1:0] best_ask_quantity;
+    price_level_t bid_levels[CACHE_SIZE-1];
+    price_level_t ask_levels[CACHE_SIZE-1];
+    logic [PRICE_BITS-1:0] vwap;
+    logic [PRICE_BITS-1:0] moving_avg_short;
+    logic [PRICE_BITS-1:0] moving_avg_long;
+    logic [PRICE_BITS-1:0] volatility;
+    logic [QUANTITY_BITS-1:0] order_imbalance;
+  } accumulators_t;
+
+endpackage