itch_handler.cpp

NASDAQ ITCH handler example

 
#include "trader/providers/nasdaq/itch_handler.h"
 
#include "system/stream.h"
 
#include <iostream>
 
using namespace CppTrader::ITCH;
 
class MyITCHHandler : public ITCHHandler
{
protected:
    bool onMessage(const SystemEventMessage& message) override { return OutputMessage(message); }
    bool onMessage(const StockDirectoryMessage& message) override { return OutputMessage(message); }
    bool onMessage(const StockTradingActionMessage& message) override { return OutputMessage(message); }
    bool onMessage(const RegSHOMessage& message) override { return OutputMessage(message); }
    bool onMessage(const MarketParticipantPositionMessage& message) override { return OutputMessage(message); }
    bool onMessage(const MWCBDeclineMessage& message) override { return OutputMessage(message); }
    bool onMessage(const MWCBStatusMessage& message) override { return OutputMessage(message); }
    bool onMessage(const IPOQuotingMessage& message) override { return OutputMessage(message); }
    bool onMessage(const AddOrderMessage& message) override { return OutputMessage(message); }
    bool onMessage(const AddOrderMPIDMessage& message) override { return OutputMessage(message); }
    bool onMessage(const OrderExecutedMessage& message) override { return OutputMessage(message); }
    bool onMessage(const OrderExecutedWithPriceMessage& message) override { return OutputMessage(message); }
    bool onMessage(const OrderCancelMessage& message) override { return OutputMessage(message); }
    bool onMessage(const OrderDeleteMessage& message) override { return OutputMessage(message); }
    bool onMessage(const OrderReplaceMessage& message) override { return OutputMessage(message); }
    bool onMessage(const TradeMessage& message) override { return OutputMessage(message); }
    bool onMessage(const CrossTradeMessage& message) override { return OutputMessage(message); }
    bool onMessage(const BrokenTradeMessage& message) override { return OutputMessage(message); }
    bool onMessage(const NOIIMessage& message) override { return OutputMessage(message); }
    bool onMessage(const RPIIMessage& message) override { return OutputMessage(message); }
    bool onMessage(const LULDAuctionCollarMessage& message) override { return OutputMessage(message); }
    bool onMessage(const UnknownMessage& message) override { return OutputMessage(message); }
 
private:
    template <class TMessage>
    static bool OutputMessage(const TMessage& message)
    {
        std::cout << message << std::endl;
        return true;
    }
};
 
int main(int argc, char** argv)
{
    MyITCHHandler itch_handler;
 
    // Perform input
    size_t size;
    uint8_t buffer[8192];
    CppCommon::StdInput input;
    while ((size = input.Read(buffer, sizeof(buffer))) > 0)
    {
        // Process the buffer
        itch_handler.Process(buffer, size);
    }
 
    return 0;
}