Merge pull request #4 from paritytrading/features/hotspot-itch

Add Hotspot ITCH Protocol 1.59 support

README.md

@@ -14,6 +14,7 @@ Features
 
 Juncture implements connectivity to the following trading venues:
 
+  - [**Hotspot**](juncture-hotspot)
   - [**NASDAQ**](juncture-nasdaq)
 
 

juncture-hotspot/README.md

@@ -0,0 +1,34 @@
+Juncture Hotspot
+================
+
+Juncture Hotspot implements connectivity to Hotspot on the JVM.
+
+
+Features
+--------
+
+Juncture Hotspot implements the following protocols:
+
+  - **Hotspot ITCH Protocol 1.59**
+
+See the [Wiki][] for links to the protocol specifications.
+
+  [Wiki]: https://github.com/paritytrading/juncture/wiki/
+
+
+Download
+--------
+
+Add a Maven dependency to Juncture Hotspot:
+
+    <dependency>
+      <groupId>com.paritytrading.juncture</groupId>
+      <artifactId>juncture-hotspot</artifactId>
+      <version><!-- latest version --></version>
+    </dependency>
+
+
+License
+-------
+
+Juncture Hotspot is released under the Apache License, Version 2.0.

juncture-hotspot/pom.xml

@@ -0,0 +1,33 @@
+<?xml version="1.0"?>
+<project xmlns="http://maven.apache.org/POM/4.0.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/maven-v4_0_0.xsd">
+
+  <modelVersion>4.0.0</modelVersion>
+
+  <parent>
+    <groupId>com.paritytrading.juncture</groupId>
+    <artifactId>juncture-parent</artifactId>
+    <version>0.2.1-SNAPSHOT</version>
+  </parent>
+
+  <artifactId>juncture-hotspot</artifactId>
+
+  <name>Juncture Hotspot</name>
+
+  <dependencies>
+    <dependency>
+      <groupId>com.paritytrading.foundation</groupId>
+      <artifactId>foundation</artifactId>
+    </dependency>
+    <dependency>
+      <groupId>junit</groupId>
+      <artifactId>junit</artifactId>
+      <scope>test</scope>
+    </dependency>
+    <dependency>
+      <groupId>org.jvirtanen.value</groupId>
+      <artifactId>value</artifactId>
+      <scope>test</scope>
+    </dependency>
+  </dependencies>
+
+</project>

juncture-hotspot/src/main/java/com/paritytrading/juncture/hotspot/itch/Clock.java

@@ -0,0 +1,7 @@
+package com.paritytrading.juncture.hotspot.itch;
+
+interface Clock {
+
+    long currentTimeMillis();
+
+}

juncture-hotspot/src/main/java/com/paritytrading/juncture/hotspot/itch/HotspotBook.java

@@ -0,0 +1,234 @@
+package com.paritytrading.juncture.hotspot.itch;
+
+import java.nio.BufferOverflowException;
+import java.nio.BufferUnderflowException;
+import java.nio.ByteBuffer;
+import java.nio.ReadOnlyBufferException;
+
+/**
+ * Common definitions for Hotspot Book Protocol.
+ */
+public class HotspotBook {
+
+    private HotspotBook() {
+    }
+
+    public static final byte BUY  = 'B';
+    public static final byte SELL = 'S';
+
+    public static final byte MESSAGE_TYPE_NEW_ORDER       = 'N';
+    public static final byte MESSAGE_TYPE_MODIFY_ORDER    = 'M';
+    public static final byte MESSAGE_TYPE_CANCEL_ORDER    = 'X';
+    public static final byte MESSAGE_TYPE_MARKET_SNAPSHOT = 'S';
+    public static final byte MESSAGE_TYPE_TICKER          = 'T';
+
+    /**
+     * A message.
+     */
+    public interface Message {
+
+        /**
+         * Read this message from the buffer.
+         *
+         * @param buffer a buffer
+         * @throws BufferUnderflowException if there are fewer bytes remaining
+         *   in the buffer than what this message consists of
+         */
+        void get(ByteBuffer buffer);
+
+        /**
+         * Write this message to the buffer.
+         *
+         * @param buffer a buffer
+         * @throws BufferUnderflowException if there are fewer bytes remaining
+         *   in the buffer than what this message consists of
+         * @throws ReadOnlyBufferException if the buffer is read-only
+         */
+        void put(ByteBuffer buffer);
+
+    }
+
+    /**
+     * A New Order message (2.2.1).
+     */
+    public static class NewOrder implements Message {
+        public byte   buyOrSellIndicator;
+        public byte[] currencyPair;
+        public byte[] orderId;
+        public byte[] price;
+        public byte[] amount;
+        public byte[] minqty;
+        public byte[] lotsize;
+
+        /**
+         * Construct an instance.
+         */
+        public NewOrder() {
+            currencyPair = new byte[7];
+            orderId      = new byte[15];
+            price        = new byte[10];
+            amount       = new byte[16];
+            minqty       = new byte[16];
+            lotsize      = new byte[16];
+        }
+
+        @Override
+        public void get(ByteBuffer buffer) {
+            buyOrSellIndicator = buffer.get();
+            buffer.get(currencyPair);
+            buffer.get(orderId);
+            buffer.get(price);
+            buffer.get(amount);
+            buffer.get(minqty);
+            buffer.get(lotsize);
+        }
+
+        @Override
+        public void put(ByteBuffer buffer) {
+            buffer.put(MESSAGE_TYPE_NEW_ORDER);
+            buffer.put(buyOrSellIndicator);
+            buffer.put(currencyPair);
+            buffer.put(orderId);
+            buffer.put(price);
+            buffer.put(amount);
+            buffer.put(minqty);
+            buffer.put(lotsize);
+        }
+    }
+
+    /**
+     * A Modify Order message (2.2.2).
+     */
+    public static class ModifyOrder implements Message {
+        public byte[] currencyPair;
+        public byte[] orderId;
+        public byte[] amount;
+        public byte[] minqty;
+        public byte[] lotsize;
+
+        /**
+         * Construct an instance.
+         */
+        public ModifyOrder() {
+            currencyPair = new byte[7];
+            orderId      = new byte[15];
+            amount       = new byte[16];
+            minqty       = new byte[16];
+            lotsize      = new byte[16];
+        }
+
+        @Override
+        public void get(ByteBuffer buffer) {
+            buffer.get(currencyPair);
+            buffer.get(orderId);
+            buffer.get(amount);
+            buffer.get(minqty);
+            buffer.get(lotsize);
+        }
+
+        @Override
+        public void put(ByteBuffer buffer) {
+            buffer.put(MESSAGE_TYPE_MODIFY_ORDER);
+            buffer.put(currencyPair);
+            buffer.put(orderId);
+            buffer.put(amount);
+            buffer.put(minqty);
+            buffer.put(lotsize);
+        }
+    }
+
+    /**
+     * A Cancel Order message (2.2.3).
+     */
+    public static class CancelOrder implements Message {
+        public byte[] currencyPair;
+        public byte[] orderId;
+
+        /**
+         * Construct an instance.
+         */
+        public CancelOrder() {
+            currencyPair = new byte[7];
+            orderId      = new byte[15];
+        }
+
+        @Override
+        public void get(ByteBuffer buffer) {
+            buffer.get(currencyPair);
+            buffer.get(orderId);
+        }
+
+        @Override
+        public void put(ByteBuffer buffer) {
+            buffer.put(MESSAGE_TYPE_CANCEL_ORDER);
+            buffer.put(currencyPair);
+            buffer.put(orderId);
+        }
+    }
+
+    /**
+     * An entry in a Market Snapshot message (2.2.4).
+     */
+    public static class MarketSnapshotEntry {
+        public byte[] currencyPair;
+        public byte   buyOrSellIndicator;
+        public byte[] price;
+        public byte[] amount;
+        public byte[] minqty;
+        public byte[] lotsize;
+        public byte[] orderId;
+
+        /**
+         * Construct an instance.
+         */
+        public MarketSnapshotEntry() {
+            currencyPair = new byte[7];
+            price        = new byte[10];
+            amount       = new byte[16];
+            minqty       = new byte[16];
+            lotsize      = new byte[16];
+            orderId      = new byte[15];
+        }
+    }
+
+    /**
+     * A Ticker message (2.2.5).
+     */
+    public static class Ticker implements Message {
+        public byte   aggressorBuyOrSellIndicator;
+        public byte[] currencyPair;
+        public byte[] price;
+        public byte[] transactionDate;
+        public byte[] transactionTime;
+
+        /**
+         * Construct an instance.
+         */
+        public Ticker() {
+            currencyPair    = new byte[7];
+            price           = new byte[10];
+            transactionDate = new byte[8];
+            transactionTime = new byte[6];
+        }
+
+        @Override
+        public void get(ByteBuffer buffer) {
+            aggressorBuyOrSellIndicator = buffer.get();
+            buffer.get(currencyPair);
+            buffer.get(price);
+            buffer.get(transactionDate);
+            buffer.get(transactionTime);
+        }
+
+        @Override
+        public void put(ByteBuffer buffer) {
+            buffer.put(MESSAGE_TYPE_TICKER);
+            buffer.put(aggressorBuyOrSellIndicator);
+            buffer.put(currencyPair);
+            buffer.put(price);
+            buffer.put(transactionDate);
+            buffer.put(transactionTime);
+        }
+    }
+
+}

juncture-hotspot/src/main/java/com/paritytrading/juncture/hotspot/itch/HotspotBookException.java

@@ -0,0 +1,19 @@
+package com.paritytrading.juncture.hotspot.itch;
+
+import java.io.IOException;
+
+/**
+ * Indicates a protocol error while handling Hotspot Book Protocol.
+ */
+public class HotspotBookException extends IOException {
+
+    /**
+     * Create an instance with the specified detail message.
+     *
+     * @param message the detail message
+     */
+    public HotspotBookException(String message) {
+        super(message);
+    }
+
+}