├── .gitignore
├── iextrading4j-book-api
    ├── src
    │   ├── main
    │   │   └── java
    │   │   │   └── pl
    │   │   │       └── zankowski
    │   │   │           └── iextrading4j
    │   │   │               └── book
    │   │   │                   └── api
    │   │   │                       ├── OrderBook.java
    │   │   │                       └── PriceLevel.java
    │   └── test
    │   │   └── java
    │   │       └── pl
    │   │           └── zankowski
    │   │               └── iextrading4j
    │   │                   └── book
    │   │                       └── api
    │   │                           ├── PriceLevelDataBuilder.java
    │   │                           └── PriceLevelTest.java
    └── pom.xml
├── .github
    ├── ISSUE_TEMPLATE
    │   ├── bug_report.md
    │   └── feature_request.md
    └── workflows
    │   └── main.yml
├── iextrading4j-book-sample
    ├── src
    │   └── main
    │   │   └── java
    │   │       └── pl
    │   │           └── zankowski
    │   │               └── iextrading4j
    │   │                   └── book
    │   │                       └── sample
    │   │                           ├── OrderBookStore.java
    │   │                           └── OrderBookSample.java
    └── pom.xml
├── PULL_REQUEST_TEMPLATE.md
├── iextrading4j-book-core
    ├── src
    │   ├── main
    │   │   └── java
    │   │   │   └── pl
    │   │   │       └── zankowski
    │   │   │           └── iextrading4j
    │   │   │               └── book
    │   │   │                   ├── IEXOrderBook.java
    │   │   │                   ├── BookSide.java
    │   │   │                   └── OrderBookPrinter.java
    │   └── test
    │   │   └── java
    │   │       └── pl
    │   │           └── zankowski
    │   │               └── iextrading4j
    │   │                   └── book
    │   │                       ├── builder
    │   │                           └── IEXPriceLevelUpdateMessageDataBuilder.java
    │   │                       ├── IEXOrderBookTestCase.java
    │   │                       └── IEXOrderBookTest.java
    └── pom.xml
├── CONTRIBUTING.md
├── CODE_OF_CONDUCT.md
├── README.md
├── pom.xml
└── LICENSE


/.gitignore:
--------------------------------------------------------------------------------
1 | /*.iml
2 | /*.ipr
3 | /*.iws
4 | /.idea
5 | /.classpath
6 | /.project
7 | /.settings
8 | */*.iml


--------------------------------------------------------------------------------
/iextrading4j-book-api/src/main/java/pl/zankowski/iextrading4j/book/api/OrderBook.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book.api;
 2 | 
 3 | import java.util.List;
 4 | 
 5 | public interface OrderBook {
 6 | 
 7 |     String getSymbol();
 8 | 
 9 |     List<PriceLevel> getBidLevels();
10 | 
11 |     List<PriceLevel> getAskLevels();
12 | 
13 |     PriceLevel getBestAskOffer();
14 | 
15 |     PriceLevel getBestBidOffer();
16 | 
17 | }
18 | 


--------------------------------------------------------------------------------
/.github/ISSUE_TEMPLATE/bug_report.md:
--------------------------------------------------------------------------------
 1 | ---
 2 | name: Bug report
 3 | about: Create a report to help us improve
 4 | 
 5 | ---
 6 | 
 7 | **Describe the bug**
 8 | A clear and concise description of what the bug is.
 9 | 
10 | **To Reproduce**
11 | Steps to reproduce the behavior:
12 | 1. Go to '...'
13 | 2. Click on '....'
14 | 3. Scroll down to '....'
15 | 4. See error
16 | 
17 | **Expected behavior**
18 | A clear and concise description of what you expected to happen.
19 | 
20 | **Screenshots**
21 | If applicable, add screenshots to help explain your problem.
22 | 
23 | **Additional context**
24 | Add any other context about the problem here.
25 | 


--------------------------------------------------------------------------------
/.github/ISSUE_TEMPLATE/feature_request.md:
--------------------------------------------------------------------------------
 1 | ---
 2 | name: Feature request
 3 | about: Suggest an idea for this project
 4 | 
 5 | ---
 6 | 
 7 | **Is your feature request related to a problem? Please describe.**
 8 | A clear and concise description of what the problem is. Ex. I'm always frustrated when [...]
 9 | 
10 | **Describe the solution you'd like**
11 | A clear and concise description of what you want to happen.
12 | 
13 | **Describe alternatives you've considered**
14 | A clear and concise description of any alternative solutions or features you've considered.
15 | 
16 | **Additional context**
17 | Add any other context or screenshots about the feature request here.
18 | 


--------------------------------------------------------------------------------
/iextrading4j-book-sample/src/main/java/pl/zankowski/iextrading4j/book/sample/OrderBookStore.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book.sample;
 2 | 
 3 | import pl.zankowski.iextrading4j.book.IEXOrderBook;
 4 | 
 5 | import java.util.HashMap;
 6 | import java.util.Map;
 7 | import java.util.Optional;
 8 | 
 9 | public class OrderBookStore {
10 | 
11 |     private final Map<String, IEXOrderBook> orderBookMap = new HashMap<>();
12 | 
13 |     public Optional<IEXOrderBook> getOrderBook(String symbol) {
14 |         return Optional.ofNullable(orderBookMap.get(symbol));
15 |     }
16 | 
17 |     public void updateOrderBook(IEXOrderBook iexOrderBook) {
18 |         orderBookMap.put(iexOrderBook.getSymbol(), iexOrderBook);
19 |     }
20 | 
21 | }
22 | 


--------------------------------------------------------------------------------
/.github/workflows/main.yml:
--------------------------------------------------------------------------------
 1 | # This workflow will build a Java project with Maven
 2 | 
 3 | name: Main workflow
 4 | on:
 5 |   push:
 6 |     branches: [ master ]
 7 |   pull_request:
 8 |     branches: [ master ]
 9 |   schedule:
10 |     - cron: 0 0 * * *
11 | 
12 | jobs:
13 |   build:
14 | 
15 |     runs-on: ubuntu-latest
16 | 
17 |     steps:
18 |       - uses: actions/checkout@v2
19 |       - name: Set up JDK 11
20 |         uses: actions/setup-java@v1
21 |         with:
22 |           java-version: 11
23 |       - name: Build with Maven
24 |         run: mvn clean org.jacoco:jacoco-maven-plugin:prepare-agent package --file pom.xml
25 |       - name: Analyze with SonarCloud
26 |         run: mvn -B verify sonar:sonar -Dsonar.projectKey=pl.zankowski:iextrading4j-book -Dsonar.organization=wojciechzankowski-github -Dsonar.host.url=https://sonarcloud.io -Dsonar.login=$SONAR_TOKEN
27 |         env:
28 |           GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
29 |           SONAR_TOKEN: ${{ secrets.SONAR_TOKEN }}
30 |       - name: Code coverage
31 |         run: source <(sudo curl -s https://codecov.io/bash)
32 | 


--------------------------------------------------------------------------------
/PULL_REQUEST_TEMPLATE.md:
--------------------------------------------------------------------------------
 1 | # Description
 2 | 
 3 | Please include a summary of the change and which issue is fixed. Please also include relevant motivation and context. List any dependencies that are required for this change.
 4 | 
 5 | Fixes # (issue)
 6 | 
 7 | ## Type of change
 8 | 
 9 | Please delete options that are not relevant.
10 | 
11 | - [ ] Bug fix (non-breaking change which fixes an issue)
12 | - [ ] New feature (non-breaking change which adds functionality)
13 | - [ ] Breaking change (fix or feature that would cause existing functionality to not work as expected)
14 | - [ ] This change requires a documentation update
15 | 
16 | # Checklist:
17 | 
18 | - [ ] My code follows the style guidelines of this project
19 | - [ ] I have performed a self-review of my own code
20 | - [ ] I have commented my code, particularly in hard-to-understand areas
21 | - [ ] I have made corresponding changes to the documentation
22 | - [ ] My changes generate no new warnings
23 | - [ ] I have added tests that prove my fix is effective or that my feature works
24 | - [ ] New and existing unit tests pass locally with my changes
25 | - [ ] Any dependent changes have been merged and published in downstream modules
26 | 


--------------------------------------------------------------------------------
/iextrading4j-book-api/src/test/java/pl/zankowski/iextrading4j/book/api/PriceLevelDataBuilder.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book.api;
 2 | 
 3 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
 4 | 
 5 | public class PriceLevelDataBuilder {
 6 | 
 7 |     private String symbol = "IBM";
 8 |     private long timestamp = 123456789L;
 9 |     private IEXPrice price = new IEXPrice(12345);
10 |     private int size = 100;
11 | 
12 |     public static PriceLevel defaultPriceLevel() {
13 |         return aPriceLevel().build();
14 |     }
15 | 
16 |     public static PriceLevelDataBuilder aPriceLevel() {
17 |         return new PriceLevelDataBuilder();
18 |     }
19 | 
20 |     public PriceLevelDataBuilder withSymbol(String symbol) {
21 |         this.symbol = symbol;
22 |         return this;
23 |     }
24 | 
25 |     public PriceLevelDataBuilder withPrice(IEXPrice iexPrice) {
26 |         this.price = iexPrice;
27 |         return this;
28 |     }
29 | 
30 |     public PriceLevelDataBuilder withTimestamp(long timestamp) {
31 |         this.timestamp = timestamp;
32 |         return this;
33 |     }
34 | 
35 |     public PriceLevelDataBuilder withSize(int size) {
36 |         this.size = size;
37 |         return this;
38 |     }
39 | 
40 |     public PriceLevel build() {
41 |         return new PriceLevel(symbol, timestamp, price, size);
42 |     }
43 | 
44 | }
45 | 


--------------------------------------------------------------------------------
/iextrading4j-book-api/src/test/java/pl/zankowski/iextrading4j/book/api/PriceLevelTest.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book.api;
 2 | 
 3 | import org.junit.Test;
 4 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
 5 | 
 6 | import static org.assertj.core.api.Assertions.assertThat;
 7 | import static pl.zankowski.iextrading4j.book.api.PriceLevelDataBuilder.defaultPriceLevel;
 8 | 
 9 | public class PriceLevelTest {
10 | 
11 |     @Test
12 |     public void shouldSuccessfullyCreatePriceLevelInstance() {
13 |         final String symbol = "IBM";
14 |         final long timestamp = 123456789L;
15 |         final IEXPrice price = new IEXPrice(12345);
16 |         final int size = 100;
17 | 
18 |         PriceLevel priceLevel = new PriceLevel(symbol, timestamp, price, size);
19 | 
20 |         assertThat(priceLevel.getPrice()).isEqualTo(price);
21 |         assertThat(priceLevel.getSize()).isEqualTo(size);
22 |         assertThat(priceLevel.getSymbol()).isEqualTo(symbol);
23 |         assertThat(priceLevel.getTimestamp()).isEqualTo(timestamp);
24 |     }
25 | 
26 |     @Test
27 |     public void shouldTwoInstancesWithSameValuesBeEqual() {
28 |         PriceLevel priceLevel_1 = defaultPriceLevel();
29 |         PriceLevel priceLevel_2 = defaultPriceLevel();
30 | 
31 |         assertThat(priceLevel_1).isEqualTo(priceLevel_2);
32 |         assertThat(priceLevel_1.hashCode()).isEqualTo(priceLevel_2.hashCode());
33 |     }
34 | 
35 | }
36 | 


--------------------------------------------------------------------------------
/iextrading4j-book-api/src/main/java/pl/zankowski/iextrading4j/book/api/PriceLevel.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book.api;
 2 | 
 3 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
 4 | 
 5 | import java.util.Objects;
 6 | 
 7 | public class PriceLevel {
 8 | 
 9 |     private final String symbol;
10 |     private final long timestamp;
11 |     private final IEXPrice price;
12 |     private final int size;
13 | 
14 |     public PriceLevel(
15 |             final String symbol,
16 |             final long timestamp,
17 |             final IEXPrice price,
18 |             final int size) {
19 |         this.symbol = symbol;
20 |         this.timestamp = timestamp;
21 |         this.price = price;
22 |         this.size = size;
23 |     }
24 | 
25 |     public String getSymbol() {
26 |         return symbol;
27 |     }
28 | 
29 |     public long getTimestamp() {
30 |         return timestamp;
31 |     }
32 | 
33 |     public IEXPrice getPrice() {
34 |         return price;
35 |     }
36 | 
37 |     public int getSize() {
38 |         return size;
39 |     }
40 | 
41 |     @Override
42 |     public boolean equals(Object o) {
43 |         if (this == o) return true;
44 |         if (o == null || getClass() != o.getClass()) return false;
45 |         PriceLevel that = (PriceLevel) o;
46 |         return timestamp == that.timestamp &&
47 |                 size == that.size &&
48 |                 Objects.equals(symbol, that.symbol) &&
49 |                 Objects.equals(price, that.price);
50 |     }
51 | 
52 |     @Override
53 |     public int hashCode() {
54 |         return Objects.hash(symbol, timestamp, price, size);
55 |     }
56 | 
57 |     @Override
58 |     public String toString() {
59 |         return "PriceLevel{" +
60 |                 "symbol='" + symbol + '\'' +
61 |                 ", timestamp=" + timestamp +
62 |                 ", price=" + price +
63 |                 ", size=" + size +
64 |                 '}';
65 |     }
66 | }
67 | 


--------------------------------------------------------------------------------
/iextrading4j-book-core/src/main/java/pl/zankowski/iextrading4j/book/IEXOrderBook.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book;
 2 | 
 3 | import pl.zankowski.iextrading4j.book.api.OrderBook;
 4 | import pl.zankowski.iextrading4j.book.api.PriceLevel;
 5 | import pl.zankowski.iextrading4j.hist.deep.trading.message.IEXPriceLevelUpdateMessage;
 6 | 
 7 | import java.util.Comparator;
 8 | import java.util.List;
 9 | 
10 | public class IEXOrderBook implements OrderBook {
11 | 
12 |     private final String symbol;
13 | 
14 |     private final BookSide bidSide;
15 |     private final BookSide askSide;
16 | 
17 |     public IEXOrderBook(final String symbol) {
18 |         this.symbol = symbol;
19 |         this.bidSide = new BookSide(Comparator.reverseOrder());
20 |         this.askSide = new BookSide(Comparator.naturalOrder());
21 |     }
22 | 
23 |     public void priceLevelUpdate(final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage) {
24 |         switch (iexPriceLevelUpdateMessage.getIexMessageType()) {
25 |             case PRICE_LEVEL_UPDATE_SELL:
26 |                 askSide.priceLevelUpdate(iexPriceLevelUpdateMessage);
27 |                 break;
28 |             case PRICE_LEVEL_UPDATE_BUY:
29 |                 bidSide.priceLevelUpdate(iexPriceLevelUpdateMessage);
30 |                 break;
31 |             default:
32 |                 throw new IllegalArgumentException("Unknown Price Level Update type. Cannot process.");
33 |         }
34 |     }
35 | 
36 |     @Override
37 |     public String getSymbol() {
38 |         return symbol;
39 |     }
40 | 
41 |     @Override
42 |     public List<PriceLevel> getBidLevels() {
43 |         return bidSide.getLevels();
44 |     }
45 | 
46 |     @Override
47 |     public List<PriceLevel> getAskLevels() {
48 |         return askSide.getLevels();
49 |     }
50 | 
51 |     @Override
52 |     public PriceLevel getBestAskOffer() {
53 |         return askSide.getBestOffer();
54 |     }
55 | 
56 |     @Override
57 |     public PriceLevel getBestBidOffer() {
58 |         return bidSide.getBestOffer();
59 |     }
60 | 
61 |     @Override
62 |     public String toString() {
63 |         return OrderBookPrinter.printBook(this);
64 |     }
65 | }
66 | 


--------------------------------------------------------------------------------
/iextrading4j-book-core/src/test/java/pl/zankowski/iextrading4j/book/builder/IEXPriceLevelUpdateMessageDataBuilder.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book.builder;
 2 | 
 3 | import pl.zankowski.iextrading4j.hist.api.IEXMessageType;
 4 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
 5 | import pl.zankowski.iextrading4j.hist.deep.trading.field.IEXEventFlag;
 6 | import pl.zankowski.iextrading4j.hist.deep.trading.message.IEXPriceLevelUpdateMessage;
 7 | 
 8 | public class IEXPriceLevelUpdateMessageDataBuilder {
 9 | 
10 |     private IEXMessageType iexMessageType = IEXMessageType.PRICE_LEVEL_UPDATE_BUY;
11 |     private IEXEventFlag iexEventFlag = IEXEventFlag.EVENT_PROCESSING_COMPLETE;
12 |     private long timestamp = 14875433212L;
13 |     private String symbol = "AAPL";
14 |     private int size = 100;
15 |     private IEXPrice iexPrice = new IEXPrice(17532L);
16 | 
17 |     public static IEXPriceLevelUpdateMessage defaultIEXPriceLevelUpdateMessage() {
18 |         return anIEXPriceLevelUpdateMessage().build();
19 |     }
20 | 
21 |     public static IEXPriceLevelUpdateMessageDataBuilder anIEXPriceLevelUpdateMessage() {
22 |         return new IEXPriceLevelUpdateMessageDataBuilder();
23 |     }
24 | 
25 |     public IEXPriceLevelUpdateMessageDataBuilder withIEXMessageType(final IEXMessageType iexMessageType) {
26 |         this.iexMessageType = iexMessageType;
27 |         return this;
28 |     }
29 | 
30 |     public IEXPriceLevelUpdateMessageDataBuilder withIEXEventFlag(final IEXEventFlag iexEventFlag) {
31 |         this.iexEventFlag = iexEventFlag;
32 |         return this;
33 |     }
34 | 
35 |     public IEXPriceLevelUpdateMessageDataBuilder withTimestamp(final long timestamp) {
36 |         this.timestamp = timestamp;
37 |         return this;
38 |     }
39 | 
40 |     public IEXPriceLevelUpdateMessageDataBuilder withSize(final int size) {
41 |         this.size = size;
42 |         return this;
43 |     }
44 | 
45 |     public IEXPriceLevelUpdateMessageDataBuilder withSymbol(final String symbol) {
46 |         this.symbol = symbol;
47 |         return this;
48 |     }
49 | 
50 |     public IEXPriceLevelUpdateMessageDataBuilder withIEXPrice(final IEXPrice iexPrice) {
51 |         this.iexPrice = iexPrice;
52 |         return this;
53 |     }
54 | 
55 |     public IEXPriceLevelUpdateMessage build() {
56 |         return new IEXPriceLevelUpdateMessage(iexMessageType, iexEventFlag, timestamp, symbol, size, iexPrice);
57 |     }
58 | 
59 | }
60 | 


--------------------------------------------------------------------------------
/iextrading4j-book-sample/src/main/java/pl/zankowski/iextrading4j/book/sample/OrderBookSample.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book.sample;
 2 | 
 3 | import org.pcap4j.core.NotOpenException;
 4 | import org.pcap4j.core.PacketListener;
 5 | import org.pcap4j.core.PcapHandle;
 6 | import org.pcap4j.core.PcapNativeException;
 7 | import org.pcap4j.core.Pcaps;
 8 | import org.pcap4j.packet.Packet;
 9 | import pl.zankowski.iextrading4j.book.IEXOrderBook;
10 | import pl.zankowski.iextrading4j.hist.api.message.IEXMessage;
11 | import pl.zankowski.iextrading4j.hist.api.message.IEXSegment;
12 | import pl.zankowski.iextrading4j.hist.deep.IEXDEEPMessageBlock;
13 | import pl.zankowski.iextrading4j.hist.deep.trading.message.IEXPriceLevelUpdateMessage;
14 | 
15 | import java.io.IOException;
16 | 
17 | public class OrderBookSample {
18 | 
19 |     private final OrderBookStore orderBookStore = new OrderBookStore();
20 | 
21 |     public static void main(String[] args) throws IOException, PcapNativeException, InterruptedException, NotOpenException {
22 |         final OrderBookSample orderBookSample = new OrderBookSample();
23 |         orderBookSample.readDEEPSample();
24 |     }
25 | 
26 |     private void readDEEPSample() throws PcapNativeException, NotOpenException, InterruptedException {
27 |         final PcapHandle handle = Pcaps.openOffline("path_to_pcap", PcapHandle.TimestampPrecision.NANO);
28 | 
29 |         handle.loop(-1, new PacketListener() {
30 |             @Override
31 |             public void gotPacket(Packet packet) {
32 |                 final byte[] data = packet.getPayload().getPayload().getPayload().getRawData();
33 |                 final IEXSegment block = IEXDEEPMessageBlock.createIEXSegment(data);
34 | 
35 |                 for (final IEXMessage iexMessage : block.getMessages()) {
36 |                     if (iexMessage instanceof IEXPriceLevelUpdateMessage) {
37 |                         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage = (IEXPriceLevelUpdateMessage) iexMessage;
38 |                         final IEXOrderBook iexOrderBook = orderBookStore.getOrderBook(iexPriceLevelUpdateMessage.getSymbol())
39 |                                 .orElseGet(() -> new IEXOrderBook(iexPriceLevelUpdateMessage.getSymbol()));
40 |                         iexOrderBook.priceLevelUpdate(iexPriceLevelUpdateMessage);
41 |                         orderBookStore.updateOrderBook(iexOrderBook);
42 | 
43 |                         if (iexOrderBook.getSymbol().equals("AAPL")) {
44 |                             System.out.println(iexOrderBook);
45 |                         }
46 |                     }
47 |                 }
48 |             }
49 |         });
50 | 
51 | 
52 |         handle.close();
53 |     }
54 | 
55 | }
56 | 


--------------------------------------------------------------------------------
/CONTRIBUTING.md:
--------------------------------------------------------------------------------
 1 | # How to contribute
 2 | 
 3 | I like to encourage you to contribute to the repository.
 4 | This should be as easy as possible for you but there are a few things to consider when contributing.
 5 | The following guidelines for contribution should be followed if you want to submit a pull request.
 6 | 
 7 | ## How to prepare
 8 | 
 9 | * You need a [GitHub account](https://github.com/signup/free)
10 | * Submit an [issue ticket](https://github.com/WojciechZankowski/iextrading4j/issues) for your issue if there is no one yet.
11 | 	* Describe the issue and include steps to reproduce if it's a bug.
12 | 	* Ensure to mention the earliest version that you know is affected.
13 | * If you are able and want to fix this, fork the repository on GitHub
14 | 
15 | ## Make Changes
16 | 
17 | * In your forked repository, create a topic branch for your upcoming patch. (e.g. `feature--autoplay` or `bugfix--ios-crash`)
18 | 	* Usually this is based on the master branch.
19 | 	* Create a branch based on master; `git branch
20 | 	fix/master/my_contribution master` then checkout the new branch with `git
21 | 	checkout fix/master/my_contribution`.  Please avoid working directly on the `master` branch.
22 | * Make sure you stick to the coding style that is used already.
23 | * Make use of the `.editorconfig`-file if provided with the repository.
24 | * Make commits of logical units and describe them properly.
25 | * Check for unnecessary whitespace with `git diff --check` before committing.
26 | 
27 | * If possible, submit tests to your patch / new feature so it can be tested easily.
28 | * Assure nothing is broken by running all the tests.
29 | 
30 | ## Submit Changes
31 | 
32 | * Push your changes to a topic branch in your fork of the repository.
33 | * Open a pull request to the original repository and choose the right original branch you want to patch.
34 | 	_Advanced users may install the `hub` gem and use the [`hub pull-request` command](https://hub.github.com/hub.1.html)._
35 | * If not done in commit messages (which you really should do) please reference and update your issue with the code changes. But _please do not close the issue yourself_.
36 | _Notice: You can [turn your previously filed issues into a pull-request here](http://issue2pr.herokuapp.com/)._
37 | * Even if you have write access to the repository, do not directly push or merge pull-requests. Let another team member review your pull request and approve.
38 | 
39 | # Additional Resources
40 | 
41 | * [General GitHub documentation](http://help.github.com/)
42 | * [GitHub pull request documentation](https://help.github.com/articles/about-pull-requests/)
43 | * [Read the Issue Guidelines by @necolas](https://github.com/necolas/issue-guidelines/blob/master/CONTRIBUTING.md) for more details
44 | 


--------------------------------------------------------------------------------
/iextrading4j-book-core/src/main/java/pl/zankowski/iextrading4j/book/BookSide.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book;
 2 | 
 3 | import pl.zankowski.iextrading4j.book.api.PriceLevel;
 4 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
 5 | import pl.zankowski.iextrading4j.hist.deep.trading.field.IEXEventFlag;
 6 | import pl.zankowski.iextrading4j.hist.deep.trading.message.IEXPriceLevelUpdateMessage;
 7 | 
 8 | import java.util.ArrayList;
 9 | import java.util.Comparator;
10 | import java.util.LinkedList;
11 | import java.util.List;
12 | import java.util.Queue;
13 | import java.util.TreeMap;
14 | 
15 | class BookSide {
16 | 
17 |     private final TreeMap<IEXPrice, PriceLevel> offers;
18 |     private final Queue<PriceLevel> queue = new LinkedList<>();
19 | 
20 |     BookSide(final Comparator<IEXPrice> comparator) {
21 |         this.offers = new TreeMap<>(comparator);
22 |     }
23 | 
24 |     void priceLevelUpdate(final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage) {
25 |         if (iexPriceLevelUpdateMessage.getIexEventFlag() == IEXEventFlag.EVENT_PROCESSING_COMPLETE) {
26 |             drainPriceLevelQueue();
27 |             processPriceLevelToOffers(toPriceLevel(iexPriceLevelUpdateMessage));
28 |         } else if (iexPriceLevelUpdateMessage.getIexEventFlag() == IEXEventFlag.ORDER_BOOK_IS_PROCESSING_EVENT) {
29 |             addEventToQueue(iexPriceLevelUpdateMessage);
30 |         } else {
31 |             throw new IllegalArgumentException("Unknown Event Flag. Cannot process price level update");
32 |         }
33 |     }
34 | 
35 |     List<PriceLevel> getLevels() {
36 |         return new ArrayList<>(offers.values());
37 |     }
38 | 
39 |     PriceLevel getBestOffer() {
40 |         return offers.firstEntry().getValue();
41 |     }
42 | 
43 | 
44 |     private void drainPriceLevelQueue() {
45 |         while (!queue.isEmpty()) {
46 |             final PriceLevel priceLevel = queue.poll();
47 |             processPriceLevelToOffers(priceLevel);
48 |         }
49 |     }
50 | 
51 |     private void processPriceLevelToOffers(final PriceLevel priceLevel) {
52 |         if (priceLevel.getSize() == 0) {
53 |             offers.remove(priceLevel.getPrice());
54 |         } else {
55 |             offers.put(priceLevel.getPrice(), priceLevel);
56 |         }
57 |     }
58 | 
59 |     private void addEventToQueue(final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage) {
60 |         queue.add(toPriceLevel(iexPriceLevelUpdateMessage));
61 |     }
62 | 
63 |     private PriceLevel toPriceLevel(final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage) {
64 |         return new PriceLevel(
65 |                 iexPriceLevelUpdateMessage.getSymbol(),
66 |                 iexPriceLevelUpdateMessage.getTimestamp(),
67 |                 iexPriceLevelUpdateMessage.getIexPrice(),
68 |                 iexPriceLevelUpdateMessage.getSize());
69 |     }
70 | 
71 | }
72 | 


--------------------------------------------------------------------------------
/CODE_OF_CONDUCT.md:
--------------------------------------------------------------------------------
 1 | # Contributor Covenant Code of Conduct
 2 | 
 3 | ## Our Pledge
 4 | 
 5 | In the interest of fostering an open and welcoming environment, we as contributors and maintainers pledge to making participation in our project and our community a harassment-free experience for everyone, regardless of age, body size, disability, ethnicity, gender identity and expression, level of experience, nationality, personal appearance, race, religion, or sexual identity and orientation.
 6 | 
 7 | ## Our Standards
 8 | 
 9 | Examples of behavior that contributes to creating a positive environment include:
10 | 
11 | * Using welcoming and inclusive language
12 | * Being respectful of differing viewpoints and experiences
13 | * Gracefully accepting constructive criticism
14 | * Focusing on what is best for the community
15 | * Showing empathy towards other community members
16 | 
17 | Examples of unacceptable behavior by participants include:
18 | 
19 | * The use of sexualized language or imagery and unwelcome sexual attention or advances
20 | * Trolling, insulting/derogatory comments, and personal or political attacks
21 | * Public or private harassment
22 | * Publishing others' private information, such as a physical or electronic address, without explicit permission
23 | * Other conduct which could reasonably be considered inappropriate in a professional setting
24 | 
25 | ## Our Responsibilities
26 | 
27 | Project maintainers are responsible for clarifying the standards of acceptable behavior and are expected to take appropriate and fair corrective action in response to any instances of unacceptable behavior.
28 | 
29 | Project maintainers have the right and responsibility to remove, edit, or reject comments, commits, code, wiki edits, issues, and other contributions that are not aligned to this Code of Conduct, or to ban temporarily or permanently any contributor for other behaviors that they deem inappropriate, threatening, offensive, or harmful.
30 | 
31 | ## Scope
32 | 
33 | This Code of Conduct applies both within project spaces and in public spaces when an individual is representing the project or its community. Examples of representing a project or community include using an official project e-mail address, posting via an official social media account, or acting as an appointed representative at an online or offline event. Representation of a project may be further defined and clarified by project maintainers.
34 | 
35 | ## Enforcement
36 | 
37 | Instances of abusive, harassing, or otherwise unacceptable behavior may be reported by contacting the project team at info@zankowski.pl. The project team will review and investigate all complaints, and will respond in a way that it deems appropriate to the circumstances. The project team is obligated to maintain confidentiality with regard to the reporter of an incident. Further details of specific enforcement policies may be posted separately.
38 | 
39 | Project maintainers who do not follow or enforce the Code of Conduct in good faith may face temporary or permanent repercussions as determined by other members of the project's leadership.
40 | 
41 | ## Attribution
42 | 
43 | This Code of Conduct is adapted from the [Contributor Covenant][homepage], version 1.4, available at [http://contributor-covenant.org/version/1/4][version]
44 | 
45 | [homepage]: http://contributor-covenant.org
46 | [version]: http://contributor-covenant.org/version/1/4/
47 | 


--------------------------------------------------------------------------------
/iextrading4j-book-api/pom.xml:
--------------------------------------------------------------------------------
  1 | <?xml version="1.0" encoding="UTF-8"?>
  2 | <project xmlns="http://maven.apache.org/POM/4.0.0"
  3 |          xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
  4 |          xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
  5 |     <parent>
  6 |         <artifactId>iextrading4j-book</artifactId>
  7 |         <groupId>pl.zankowski</groupId>
  8 |         <version>1.1.0-SNAPSHOT</version>
  9 |     </parent>
 10 |     <modelVersion>4.0.0</modelVersion>
 11 | 
 12 |     <artifactId>iextrading4j-book-api</artifactId>
 13 | 
 14 |     <dependencies>
 15 | 
 16 |         <!-- Internal -->
 17 | 
 18 |         <dependency>
 19 |             <groupId>pl.zankowski</groupId>
 20 |             <artifactId>iextrading4j-hist-api</artifactId>
 21 |         </dependency>
 22 | 
 23 |         <!-- Tests -->
 24 | 
 25 |         <dependency>
 26 |             <groupId>junit</groupId>
 27 |             <artifactId>junit</artifactId>
 28 |             <scope>test</scope>
 29 |         </dependency>
 30 | 
 31 |         <dependency>
 32 |             <groupId>org.mockito</groupId>
 33 |             <artifactId>mockito-core</artifactId>
 34 |             <scope>test</scope>
 35 |         </dependency>
 36 | 
 37 |         <dependency>
 38 |             <groupId>org.assertj</groupId>
 39 |             <artifactId>assertj-core</artifactId>
 40 |             <scope>test</scope>
 41 |         </dependency>
 42 | 
 43 |     </dependencies>
 44 | 
 45 |     <build>
 46 |         <plugins>
 47 |             <plugin>
 48 |                 <groupId>org.apache.maven.plugins</groupId>
 49 |                 <artifactId>maven-clean-plugin</artifactId>
 50 |             </plugin>
 51 | 
 52 |             <plugin>
 53 |                 <groupId>org.apache.maven.plugins</groupId>
 54 |                 <artifactId>maven-jar-plugin</artifactId>
 55 |                 <executions>
 56 |                     <execution>
 57 |                         <goals>
 58 |                             <goal>test-jar</goal>
 59 |                         </goals>
 60 |                     </execution>
 61 |                 </executions>
 62 |             </plugin>
 63 | 
 64 |             <plugin>
 65 |                 <groupId>org.jacoco</groupId>
 66 |                 <artifactId>jacoco-maven-plugin</artifactId>
 67 |                 <version>${jacoco.maven.plugin}</version>
 68 |             </plugin>
 69 |         </plugins>
 70 |     </build>
 71 | 
 72 |     <profiles>
 73 |         <profile>
 74 |             <id>release</id>
 75 |             <activation>
 76 |                 <activeByDefault>false</activeByDefault>
 77 |             </activation>
 78 |             <build>
 79 |                 <plugins>
 80 |                     <plugin>
 81 |                         <groupId>org.apache.maven.plugins</groupId>
 82 |                         <artifactId>maven-source-plugin</artifactId>
 83 |                     </plugin>
 84 | 
 85 |                     <plugin>
 86 |                         <groupId>org.apache.maven.plugins</groupId>
 87 |                         <artifactId>maven-javadoc-plugin</artifactId>
 88 |                     </plugin>
 89 | 
 90 |                     <plugin>
 91 |                         <groupId>org.apache.maven.plugins</groupId>
 92 |                         <artifactId>maven-gpg-plugin</artifactId>
 93 |                     </plugin>
 94 | 
 95 |                     <plugin>
 96 |                         <groupId>org.sonatype.plugins</groupId>
 97 |                         <artifactId>nexus-staging-maven-plugin</artifactId>
 98 |                     </plugin>
 99 |                 </plugins>
100 |             </build>
101 |         </profile>
102 |     </profiles>
103 | 
104 | </project>


--------------------------------------------------------------------------------
/iextrading4j-book-core/src/main/java/pl/zankowski/iextrading4j/book/OrderBookPrinter.java:
--------------------------------------------------------------------------------
 1 | package pl.zankowski.iextrading4j.book;
 2 | 
 3 | import pl.zankowski.iextrading4j.book.api.OrderBook;
 4 | import pl.zankowski.iextrading4j.book.api.PriceLevel;
 5 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
 6 | 
 7 | import java.util.ArrayList;
 8 | import java.util.Iterator;
 9 | import java.util.List;
10 | 
11 | class OrderBookPrinter {
12 | 
13 |     private static final String BID_HEADER = "Bid";
14 |     private static final String ASK_HEADER = "Ask";
15 | 
16 |     static String printBook(final OrderBook orderBook) {
17 |         final Iterator<PriceLevel> bidPriceLevels = orderBook.getBidLevels().iterator();
18 |         final Iterator<PriceLevel> askPriceLevels = orderBook.getAskLevels().iterator();
19 |         final List<String> bids = new ArrayList<>();
20 |         final List<String> asks = new ArrayList<>();
21 | 
22 |         int maxSize = 10;
23 | 
24 |         while (bidPriceLevels.hasNext() || askPriceLevels.hasNext()) {
25 |             if (bidPriceLevels.hasNext()) {
26 |                 final String line = formatBidLevel(bidPriceLevels.next());
27 |                 maxSize = Math.max(maxSize, line.length());
28 |                 bids.add(line);
29 |             }
30 |             if (askPriceLevels.hasNext()) {
31 |                 final String line = formatAskLevel(askPriceLevels.next());
32 |                 maxSize = Math.max(maxSize, line.length());
33 |                 asks.add(line);
34 |             }
35 |         }
36 |         return prepareBook(maxSize, orderBook.getSymbol(), bids.iterator(), asks.iterator());
37 |     }
38 | 
39 |     private static String prepareBook(final int maxSize, final String symbol, final Iterator<String> bidStringIterator,
40 |             final Iterator<String> askStringIterator) {
41 |         final StringBuilder finalBook = new StringBuilder()
42 |                 .append("Order Book: " + symbol + " \n")
43 |                 .append(BID_HEADER)
44 |                 .append(fillWith("", maxSize - BID_HEADER.length(), ' '))
45 |                 .append("| ").append(ASK_HEADER).append("\n")
46 |                 .append(fillWith("", maxSize, '-'))
47 |                 .append("+")
48 |                 .append(fillWith("", maxSize, '-'))
49 |                 .append("\n");
50 | 
51 |         while (bidStringIterator.hasNext() || askStringIterator.hasNext()) {
52 |             if (bidStringIterator.hasNext()) {
53 |                 finalBook.append(fillWith(bidStringIterator.next(), maxSize, ' '));
54 |             } else {
55 |                 finalBook.append(fillWith("", maxSize, ' '));
56 |             }
57 |             finalBook.append("|");
58 |             if (askStringIterator.hasNext()) {
59 |                 finalBook.append(" ").append(askStringIterator.next());
60 |             }
61 |             finalBook.append("\n");
62 |         }
63 |         return finalBook.toString();
64 |     }
65 | 
66 |     private static String formatBidLevel(final PriceLevel priceLevel) {
67 |         return priceLevel.getSize() + " " + printPrice(priceLevel.getPrice()) + " ";
68 |     }
69 | 
70 |     private static String formatAskLevel(final PriceLevel priceLevel) {
71 |         return printPrice(priceLevel.getPrice()) + " " + priceLevel.getSize();
72 |     }
73 | 
74 |     private static String fillWith(final String stringToFill, final int size, final char fillChar) {
75 |         final StringBuilder output = new StringBuilder(stringToFill);
76 | 
77 |         for (int i = output.length(); i < size; i++) {
78 |             output.append(fillChar);
79 |         }
80 | 
81 |         return output.toString();
82 |     }
83 | 
84 |     private static String printPrice(final IEXPrice iexPrice) {
85 |         return iexPrice.toString();
86 |     }
87 | 
88 | }
89 | 


--------------------------------------------------------------------------------
/iextrading4j-book-sample/pom.xml:
--------------------------------------------------------------------------------
  1 | <?xml version="1.0" encoding="UTF-8"?>
  2 | <project xmlns="http://maven.apache.org/POM/4.0.0"
  3 |          xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
  4 |          xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
  5 |     <parent>
  6 |         <artifactId>iextrading4j-book</artifactId>
  7 |         <groupId>pl.zankowski</groupId>
  8 |         <version>1.1.0-SNAPSHOT</version>
  9 |     </parent>
 10 |     <modelVersion>4.0.0</modelVersion>
 11 | 
 12 |     <artifactId>iextrading4j-book-sample</artifactId>
 13 | 
 14 |     <dependencies>
 15 |         <dependency>
 16 |             <groupId>pl.zankowski</groupId>
 17 |             <artifactId>iextrading4j-book-core</artifactId>
 18 |         </dependency>
 19 | 
 20 |         <dependency>
 21 |             <groupId>org.pcap4j</groupId>
 22 |             <artifactId>pcap4j-core</artifactId>
 23 |             <version>1.7.1</version>
 24 |         </dependency>
 25 | 
 26 |         <dependency>
 27 |             <groupId>org.pcap4j</groupId>
 28 |             <artifactId>pcap4j-packetfactory-static</artifactId>
 29 |             <version>1.7.1</version>
 30 |         </dependency>
 31 | 
 32 |         <dependency>
 33 |             <groupId>ch.qos.logback</groupId>
 34 |             <artifactId>logback-classic</artifactId>
 35 |             <version>1.2.3</version>
 36 |         </dependency>
 37 |     </dependencies>
 38 | 
 39 |     <build>
 40 |         <plugins>
 41 |             <plugin>
 42 |                 <groupId>org.apache.maven.plugins</groupId>
 43 |                 <artifactId>maven-clean-plugin</artifactId>
 44 |             </plugin>
 45 | 
 46 |             <plugin>
 47 |                 <groupId>org.apache.maven.plugins</groupId>
 48 |                 <artifactId>maven-jar-plugin</artifactId>
 49 |                 <executions>
 50 |                     <execution>
 51 |                         <goals>
 52 |                             <goal>test-jar</goal>
 53 |                         </goals>
 54 |                     </execution>
 55 |                 </executions>
 56 |             </plugin>
 57 | 
 58 |             <plugin>
 59 |                 <groupId>org.jacoco</groupId>
 60 |                 <artifactId>jacoco-maven-plugin</artifactId>
 61 |                 <version>${jacoco.maven.plugin}</version>
 62 |             </plugin>
 63 |         </plugins>
 64 |     </build>
 65 | 
 66 |     <profiles>
 67 |         <profile>
 68 |             <id>release</id>
 69 |             <activation>
 70 |                 <activeByDefault>false</activeByDefault>
 71 |             </activation>
 72 |             <build>
 73 |                 <plugins>
 74 |                     <plugin>
 75 |                         <groupId>org.apache.maven.plugins</groupId>
 76 |                         <artifactId>maven-source-plugin</artifactId>
 77 |                     </plugin>
 78 | 
 79 |                     <plugin>
 80 |                         <groupId>org.apache.maven.plugins</groupId>
 81 |                         <artifactId>maven-javadoc-plugin</artifactId>
 82 |                     </plugin>
 83 | 
 84 |                     <plugin>
 85 |                         <groupId>org.apache.maven.plugins</groupId>
 86 |                         <artifactId>maven-gpg-plugin</artifactId>
 87 |                     </plugin>
 88 | 
 89 |                     <plugin>
 90 |                         <groupId>org.sonatype.plugins</groupId>
 91 |                         <artifactId>nexus-staging-maven-plugin</artifactId>
 92 |                     </plugin>
 93 |                 </plugins>
 94 |             </build>
 95 |         </profile>
 96 |     </profiles>
 97 | 
 98 |     <repositories>
 99 |         <repository>
100 |             <id>clojars</id>
101 |             <url>http://clojars.org/repo/</url>
102 |         </repository>
103 |     </repositories>
104 | 
105 | </project>


--------------------------------------------------------------------------------
/iextrading4j-book-core/pom.xml:
--------------------------------------------------------------------------------
  1 | <?xml version="1.0" encoding="UTF-8"?>
  2 | <project xmlns="http://maven.apache.org/POM/4.0.0"
  3 |          xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
  4 |          xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
  5 |     <parent>
  6 |         <artifactId>iextrading4j-book</artifactId>
  7 |         <groupId>pl.zankowski</groupId>
  8 |         <version>1.1.0-SNAPSHOT</version>
  9 |     </parent>
 10 |     <modelVersion>4.0.0</modelVersion>
 11 | 
 12 |     <artifactId>iextrading4j-book-core</artifactId>
 13 | 
 14 |     <dependencies>
 15 | 
 16 |         <!-- Internal -->
 17 | 
 18 |         <dependency>
 19 |             <groupId>pl.zankowski</groupId>
 20 |             <artifactId>iextrading4j-book-api</artifactId>
 21 |         </dependency>
 22 | 
 23 |         <dependency>
 24 |             <groupId>pl.zankowski</groupId>
 25 |             <artifactId>iextrading4j-hist-deep</artifactId>
 26 |         </dependency>
 27 | 
 28 |         <!-- Tests -->
 29 | 
 30 |         <dependency>
 31 |             <groupId>junit</groupId>
 32 |             <artifactId>junit</artifactId>
 33 |             <scope>test</scope>
 34 |         </dependency>
 35 | 
 36 |         <dependency>
 37 |             <groupId>org.mockito</groupId>
 38 |             <artifactId>mockito-core</artifactId>
 39 |             <scope>test</scope>
 40 |         </dependency>
 41 | 
 42 |         <dependency>
 43 |             <groupId>org.assertj</groupId>
 44 |             <artifactId>assertj-core</artifactId>
 45 |             <scope>test</scope>
 46 |         </dependency>
 47 |     </dependencies>
 48 | 
 49 |     <build>
 50 |         <plugins>
 51 |             <plugin>
 52 |                 <groupId>org.apache.maven.plugins</groupId>
 53 |                 <artifactId>maven-clean-plugin</artifactId>
 54 |             </plugin>
 55 | 
 56 |             <plugin>
 57 |                 <groupId>org.apache.maven.plugins</groupId>
 58 |                 <artifactId>maven-jar-plugin</artifactId>
 59 |                 <executions>
 60 |                     <execution>
 61 |                         <goals>
 62 |                             <goal>test-jar</goal>
 63 |                         </goals>
 64 |                     </execution>
 65 |                 </executions>
 66 |             </plugin>
 67 | 
 68 |             <plugin>
 69 |                 <groupId>org.jacoco</groupId>
 70 |                 <artifactId>jacoco-maven-plugin</artifactId>
 71 |                 <version>${jacoco.maven.plugin}</version>
 72 |             </plugin>
 73 |         </plugins>
 74 |     </build>
 75 | 
 76 |     <profiles>
 77 |         <profile>
 78 |             <id>release</id>
 79 |             <activation>
 80 |                 <activeByDefault>false</activeByDefault>
 81 |             </activation>
 82 |             <build>
 83 |                 <plugins>
 84 |                     <plugin>
 85 |                         <groupId>org.apache.maven.plugins</groupId>
 86 |                         <artifactId>maven-source-plugin</artifactId>
 87 |                     </plugin>
 88 | 
 89 |                     <plugin>
 90 |                         <groupId>org.apache.maven.plugins</groupId>
 91 |                         <artifactId>maven-javadoc-plugin</artifactId>
 92 |                     </plugin>
 93 | 
 94 |                     <plugin>
 95 |                         <groupId>org.apache.maven.plugins</groupId>
 96 |                         <artifactId>maven-gpg-plugin</artifactId>
 97 |                     </plugin>
 98 | 
 99 |                     <plugin>
100 |                         <groupId>org.sonatype.plugins</groupId>
101 |                         <artifactId>nexus-staging-maven-plugin</artifactId>
102 |                     </plugin>
103 |                 </plugins>
104 |             </build>
105 |         </profile>
106 |     </profiles>
107 | 
108 | </project>


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/README.md:
--------------------------------------------------------------------------------
  1 | # IEXTrading4j Book
  2 | 
  3 | [![Build Status](https://github.com/WojciechZankowski/iextrading4j-book/actions/workflows/main.yml/badge.svg?branch=master)](https://github.com/WojciechZankowski/iextrading4j-book/actions/workflows/main.yml?query=branch%3Amaster)
  4 | [![Maven Central](https://maven-badges.herokuapp.com/maven-central/pl.zankowski/iextrading4j-book-core/badge.svg)](https://search.maven.org/#search%7Cga%7C1%7Cg%3A%22pl.zankowski%22%20AND%20a%3A%22iextrading4j-book-core%22)
  5 | [![codecov](https://codecov.io/gh/WojciechZankowski/iextrading4j-book/branch/master/graph/badge.svg)](https://codecov.io/gh/WojciechZankowski/iextrading4j-book)
  6 | [![Quality Gate](https://sonarcloud.io/api/project_badges/measure?project=pl.zankowski%3Aiextrading4j-book&metric=alert_status)](https://sonarcloud.io/dashboard/index/pl.zankowski:iextrading4j-book)
  7 | 
  8 | IEX Trading open source incremental Order Book implementation
  9 | 
 10 | * [Quick Start](#quick-start)
 11 | * [Description](#description)  
 12 | * [IEX Trading](#iex-trading)
 13 | * [Roadmap](#roadmap)
 14 | * [License](#license)
 15 | 
 16 | ## Quick Start
 17 | 
 18 | Java SE 8 is required to use IEXTrading4j Book library.
 19 | 
 20 | ```
 21 | <dependency>
 22 | 	<groupId>pl.zankowski</groupId>
 23 | 	<artifactId>iextrading4j-book-core</artifactId>
 24 | 	<version>1.0.0</version>
 25 | </dependency>
 26 | ```
 27 | 
 28 | Library is up to:
 29 | 
 30 | * DEEP version 1.04 - August 1, 2017
 31 | 
 32 | ## Description
 33 | 
 34 | IEXTrading4j Book library allows to build incremental Order Book based on PriceLevelUpdateMessages from DEEP market data stream. OrderBook implementation follows description from specification. Description down bellow:
 35 | 
 36 | Each symbol should be considered to have an independent Order Book. The following bullet-point statements are to be
 37 | read as "within a given symbol," unless otherwise specified. Therefore, when an Order Book is said to be "transitioning"
 38 | it is the Order Book of a particular symbol and not all Order Books across all symbols.
 39 | * Given a singular update to an Order Book (i.e., an event) (e.g., an aggressively priced order entering the Order
 40 | Book), the System may need to affect multiple price levels atomically (i.e., at once). The Order Book, along with
 41 | the IEX BBO in such symbol, should be considered to have atomically transitioned from the state immediately
 42 | prior to the Order Book transaction ("atomic update") to the state immediately subsequent to the transaction,
 43 | but not to every state in between.
 44 | * Atomic updates to a given symbol s Order Book are described in DEEP by a series of zero or more Price Level
 45 | Update Messages with the Event Flags OFF (i.e., 0x0), followed by a Price Level Update Message ( PLU ) with
 46 | the Event Flags ON (i.e., 0x1) (e.g., PLU 0x0, PLU 0x0, . . ., PLU 0x1).
 47 | * When there are updates to multiple price levels that must occur as part of a single transaction to a given
 48 | symbol's Order Book (e.g., multiple price levels' shares being exhausted via a single active order's execution),
 49 | each PLU transmitted, except for the last one, will have Event Flags OFF, and Event Flags will be ON in the final
 50 | PLU of the transaction.
 51 | * For each update to an Order Book, there will be exactly one final PLU with the Event Flags ON, but there is no
 52 | guarantee to have received preceding PLUs with an Event Flags OFF. In the case, where only a single price level
 53 | is being updated atomically, there will be a single PLU transmitted with Event Flags ON, without any preceding
 54 | PLUs transmitted with Event Flags OFF (i.e., PLUs with an Event Flags OFF are only transmitted when multiple
 55 | price levels must be affected atomically).
 56 | * A PLU with Event Flags OFF begins an atomic event (note that one or more Trade Report Message may
 57 | proceed a PLU that is part of the same atomic event). A PLU with Event Flags ON ends a transaction. If no
 58 | transaction was ongoing when the PLU with Event Flags ON arrived, then such PLU both begins and ends a
 59 | transaction.
 60 | * The Order Book should be considered to retain its BBO from prior to the transaction during the processing of
 61 | the transaction. Once the transaction is complete, then the IEX BBO should be derived. This ensures that the
 62 | transactional update has taken place atomically (i.e., that an in-transition IEX BBO, which never truly existed, is
 63 | not seen/acted upon).
 64 | Example
 65 | 
 66 | 1. Order Book for symbol ZIEXT
 67 | * Sell 100 @ 25.30
 68 | * Sell 100 @ 25.20
 69 | * Sell 100 @ 25.10
 70 | * Buy 100 @ 25.00
 71 | * Buy 100 @ 24.90
 72 | 
 73 | IEX BBO: Buy 100 @ 25.00 x Sell 100 @ 25.10
 74 | 
 75 | 2. Price Level Update on the Sell Side received: Event Flags: 0x0, Price: 25.10, Shares: 0
 76 | * Sell 100 @ 25.30
 77 | * Sell 100 @ 25.20
 78 | * Buy 100 @ 25.00
 79 | * Buy 100 @ 24.90
 80 | 
 81 | IEX BBO: Buy 100 @ 25.00 x Sell 100 @ 25.10 (Reason: ZIEXT Order Book is in transition)
 82 | 
 83 | 3. Price Level Update on the Sell Side received: Event Flags: 0x1, Price: 25.20, Shares: 0
 84 | * Sell 100 @ 25.30
 85 | * Buy 100 @ 25.00
 86 | * Buy 100 @ 24.90
 87 | 
 88 | IEX BBO: Buy 100 @ 25.00 x Sell 100 @ 25.30 (Reason: ZIEXT Order Book transition complete)
 89 | 
 90 | ## IEX Trading
 91 | 
 92 | IEX A Fair, Simple, Transparent Exchange.
 93 | 
 94 | IEX is a stock exchange based in the United States. Started by Brad Katsuyama, it opened for trading on October 25, 2013. The company’s offices are located at 4 World Trade Center in New York City. The matching engine is located across the Hudson River in Weehawken, New Jersey, and the initial point of presence is located in a data center in Secaucus, New Jersey. IEX's main innovation is a 38-mile coil of optical fiber placed in front of its trading engine. This 350 microsecond delay adds a round-trip delay of 0.0007 seconds and is designed to negate the certain speed advantages utilized by some high-frequency traders.
 95 | 
 96 | IEX was created in response to questionable trading practices that had become widely used across traditional public Wall Street exchanges as well as dark pools and other alternative trading systems. The IEX exchange aims to attract investors by promising to "play fair" by operating in a transparent and straightforward manner, while also helping to level the playing field for traders. Strategies to achieve those goals include:
 97 | 
 98 | * Publishing the matching rules used in the exchanges's computerized order matching engine.
 99 | * Offering a limited number of simple and familiar order types.
100 | * Charging fixed fees on most orders (or a flat percentage rate on small orders).
101 | * Ensuring market pricing data arrives at external points of presence simultaneously.
102 | * Slightly delaying market pricing data to all customers (no colocation).
103 | * Refusing to pay for order flow.
104 | 
105 | Check out their beautiful site: [IEX Trading](https://iextrading.com/)
106 | 
107 | ## Roadmap
108 | 
109 | * Improve performance and implementation
110 | 
111 | ## License
112 | 
113 | Code and documentation released under the Apache License, Version 2.0
114 | 
115 | Data provided for free by [IEX](https://iextrading.com/developer).
116 | 
117 | IEX Trading API Exhibit A: [Exhibit A](https://iextrading.com/api-exhibit-a)
118 | 
119 | ## Donations
120 | 
121 | To support this repository: bc1qv6cz6t302qvamxlhyr3m7mdwrnc7anqc35wp3t
122 | 


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/iextrading4j-book-core/src/test/java/pl/zankowski/iextrading4j/book/IEXOrderBookTestCase.java:
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  1 | package pl.zankowski.iextrading4j.book;
  2 | 
  3 | import org.junit.Before;
  4 | import org.junit.Test;
  5 | import pl.zankowski.iextrading4j.book.api.PriceLevel;
  6 | import pl.zankowski.iextrading4j.book.builder.IEXPriceLevelUpdateMessageDataBuilder;
  7 | import pl.zankowski.iextrading4j.hist.api.IEXMessageType;
  8 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
  9 | import pl.zankowski.iextrading4j.hist.deep.trading.field.IEXEventFlag;
 10 | import pl.zankowski.iextrading4j.hist.deep.trading.message.IEXPriceLevelUpdateMessage;
 11 | 
 12 | import static org.assertj.core.api.Assertions.assertThat;
 13 | 
 14 | /**
 15 |  * <pre>
 16 |  * 1. Order Book for symbol ZIEXT
 17 |  * Sell 100 @ 25.30
 18 |  * Sell 100 @ 25.20
 19 |  * Sell 100 @ 25.10
 20 |  * Buy 100 @ 25.00
 21 |  * Buy 100 @ 24.90
 22 |  * IEX BBO: Buy 100 @ 25.00 x Sell 100 @ 25.10
 23 |  *
 24 |  * 2. Price Level Update on the Sell Side received: Event Flags: 0x0, Price: 25.10, Shares: 0
 25 |  * Sell 100 @ 25.30
 26 |  * Sell 100 @ 25.20
 27 |  * Buy 100 @ 25.00
 28 |  * Buy 100 @ 24.90
 29 |  * IEX BBO: Buy 100 @ 25.00 x Sell 100 @ 25.10 (Reason: ZIEXT Order Book is in transition)
 30 |  *
 31 |  * 3. Price Level Update on the Sell Side received: Event Flags: 0x1, Price: 25.20, Shares: 0
 32 |  * Sell 100 @ 25.30
 33 |  * Buy 100 @ 25.00
 34 |  * Buy 100 @ 24.90
 35 |  * IEX BBO: Buy 100 @ 25.00 x Sell 100 @ 25.30 (Reason: ZIEXT Order Book transition complete)
 36 |  * </pre>
 37 |  */
 38 | public class IEXOrderBookTestCase {
 39 | 
 40 |     private final String SYMBOL = "ZIEXT";
 41 |     private IEXOrderBook orderBook;
 42 | 
 43 |     @Before
 44 |     public void setUp() {
 45 |         orderBook = new IEXOrderBook(SYMBOL);
 46 |     }
 47 | 
 48 |     @Test
 49 |     public void testCase_01() {
 50 |         // 1 Step
 51 |         System.out.println("==FIRST STEP");
 52 |         prepareInitialOrderBook();
 53 |         printOrderBook();
 54 |         assertFirstStep();
 55 | 
 56 |         // 2 Step
 57 |         System.out.println("==SECOND STEP");
 58 |         updateOrderBookWithProcessingEvent();
 59 |         printOrderBook();
 60 |         assertSecondStep();
 61 | 
 62 |         // 3 Step
 63 |         System.out.println("==THIRD STEP");
 64 |         updateOrderBookWithProcessingComplete();
 65 |         printOrderBook();
 66 |         assertThirdStep();
 67 |     }
 68 | 
 69 |     private void prepareInitialOrderBook() {
 70 |         final IEXPriceLevelUpdateMessage firstAsk = new IEXPriceLevelUpdateMessageDataBuilder()
 71 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL)
 72 |                 .withIEXEventFlag(IEXEventFlag.EVENT_PROCESSING_COMPLETE)
 73 |                 .withSymbol(SYMBOL)
 74 |                 .withIEXPrice(new IEXPrice(253000))
 75 |                 .withSize(100)
 76 |                 .build();
 77 |         final IEXPriceLevelUpdateMessage secondAsk = new IEXPriceLevelUpdateMessageDataBuilder()
 78 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL)
 79 |                 .withIEXEventFlag(IEXEventFlag.EVENT_PROCESSING_COMPLETE)
 80 |                 .withSymbol(SYMBOL)
 81 |                 .withIEXPrice(new IEXPrice(252000))
 82 |                 .withSize(100)
 83 |                 .build();
 84 |         final IEXPriceLevelUpdateMessage thirdAsk = new IEXPriceLevelUpdateMessageDataBuilder()
 85 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL)
 86 |                 .withIEXEventFlag(IEXEventFlag.EVENT_PROCESSING_COMPLETE)
 87 |                 .withSymbol(SYMBOL)
 88 |                 .withIEXPrice(new IEXPrice(251000))
 89 |                 .withSize(100)
 90 |                 .build();
 91 |         orderBook.priceLevelUpdate(firstAsk);
 92 |         orderBook.priceLevelUpdate(secondAsk);
 93 |         orderBook.priceLevelUpdate(thirdAsk);
 94 | 
 95 |         final IEXPriceLevelUpdateMessage firstBid = new IEXPriceLevelUpdateMessageDataBuilder()
 96 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_BUY)
 97 |                 .withIEXEventFlag(IEXEventFlag.EVENT_PROCESSING_COMPLETE)
 98 |                 .withSymbol(SYMBOL)
 99 |                 .withIEXPrice(new IEXPrice(250000))
100 |                 .withSize(100)
101 |                 .build();
102 |         final IEXPriceLevelUpdateMessage secondBid = new IEXPriceLevelUpdateMessageDataBuilder()
103 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_BUY)
104 |                 .withIEXEventFlag(IEXEventFlag.EVENT_PROCESSING_COMPLETE)
105 |                 .withSymbol(SYMBOL)
106 |                 .withIEXPrice(new IEXPrice(249000))
107 |                 .withSize(100)
108 |                 .build();
109 |         orderBook.priceLevelUpdate(firstBid);
110 |         orderBook.priceLevelUpdate(secondBid);
111 |     }
112 | 
113 |     private void assertFirstStep() {
114 |         final PriceLevel bestAskOffer = orderBook.getBestAskOffer();
115 |         assertThat(bestAskOffer.getPrice()).isEqualTo(new IEXPrice(251000));
116 |         assertThat(bestAskOffer.getSize()).isEqualTo(100);
117 | 
118 |         final PriceLevel bestBidOffer = orderBook.getBestBidOffer();
119 |         assertThat(bestBidOffer.getPrice()).isEqualTo(new IEXPrice(250000));
120 |         assertThat(bestBidOffer.getSize()).isEqualTo(100);
121 |     }
122 | 
123 |     private void updateOrderBookWithProcessingEvent() {
124 |         final IEXPriceLevelUpdateMessage update = new IEXPriceLevelUpdateMessageDataBuilder()
125 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL)
126 |                 .withIEXEventFlag(IEXEventFlag.ORDER_BOOK_IS_PROCESSING_EVENT)
127 |                 .withSymbol(SYMBOL)
128 |                 .withIEXPrice(new IEXPrice(251000))
129 |                 .withSize(0)
130 |                 .build();
131 |         orderBook.priceLevelUpdate(update);
132 |     }
133 | 
134 |     private void assertSecondStep() {
135 |         final PriceLevel bestAskOffer = orderBook.getBestAskOffer();
136 |         assertThat(bestAskOffer.getPrice()).isEqualTo(new IEXPrice(251000));
137 |         assertThat(bestAskOffer.getSize()).isEqualTo(100);
138 | 
139 |         final PriceLevel bestBidOffer = orderBook.getBestBidOffer();
140 |         assertThat(bestBidOffer.getPrice()).isEqualTo(new IEXPrice(250000));
141 |         assertThat(bestBidOffer.getSize()).isEqualTo(100);
142 |     }
143 | 
144 |     private void updateOrderBookWithProcessingComplete() {
145 |         final IEXPriceLevelUpdateMessage update = new IEXPriceLevelUpdateMessageDataBuilder()
146 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL)
147 |                 .withIEXEventFlag(IEXEventFlag.EVENT_PROCESSING_COMPLETE)
148 |                 .withSymbol(SYMBOL)
149 |                 .withIEXPrice(new IEXPrice(252000))
150 |                 .withSize(0)
151 |                 .build();
152 |         orderBook.priceLevelUpdate(update);
153 |     }
154 | 
155 |     private void assertThirdStep() {
156 |         final PriceLevel bestAskOffer = orderBook.getBestAskOffer();
157 |         assertThat(bestAskOffer.getPrice()).isEqualTo(new IEXPrice(253000));
158 |         assertThat(bestAskOffer.getSize()).isEqualTo(100);
159 | 
160 |         final PriceLevel bestBidOffer = orderBook.getBestBidOffer();
161 |         assertThat(bestBidOffer.getPrice()).isEqualTo(new IEXPrice(250000));
162 |         assertThat(bestBidOffer.getSize()).isEqualTo(100);
163 |     }
164 | 
165 |     private void printOrderBook() {
166 |         System.out.println(orderBook.toString());
167 |     }
168 | 
169 | }
170 | 


--------------------------------------------------------------------------------
/pom.xml:
--------------------------------------------------------------------------------
  1 | <?xml version="1.0" encoding="UTF-8"?>
  2 | <project xmlns="http://maven.apache.org/POM/4.0.0"
  3 |          xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
  4 |          xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
  5 |     <modelVersion>4.0.0</modelVersion>
  6 | 
  7 |     <groupId>pl.zankowski</groupId>
  8 |     <artifactId>iextrading4j-book</artifactId>
  9 |     <packaging>pom</packaging>
 10 |     <version>1.1.0-SNAPSHOT</version>
 11 | 
 12 |     <name>IEXTrading4j Book</name>
 13 |     <description>IEX Trading open source incremental Order Book implementation</description>
 14 |     <url>https://github.com/WojciechZankowski/iextrading4j-book</url>
 15 | 
 16 |     <licenses>
 17 |         <license>
 18 |             <name>The Apache Software License, Version 2.0</name>
 19 |             <url>http://www.apache.org/licenses/LICENSE-2.0.txt</url>
 20 |         </license>
 21 |     </licenses>
 22 | 
 23 |     <developers>
 24 |         <developer>
 25 |             <id>WojciechZankowski</id>
 26 |             <name>Wojciech Zankowski</name>
 27 |         </developer>
 28 |     </developers>
 29 | 
 30 |     <scm>
 31 |         <connection>scm:git:git://github.com/WojciechZankowski/iextrading4j-book.git</connection>
 32 |         <developerConnection>scm:git:git@github.com:WojciechZankowski/iextrading4j-book.git</developerConnection>
 33 |         <url>https://github.com/WojciechZankowski/iextrading4j-book</url>
 34 |         <tag>master</tag>
 35 |     </scm>
 36 | 
 37 |     <modules>
 38 |         <module>iextrading4j-book-core</module>
 39 |         <module>iextrading4j-book-sample</module>
 40 |         <module>iextrading4j-book-api</module>
 41 |     </modules>
 42 | 
 43 |     <properties>
 44 |         <maven.compiler.source>1.8</maven.compiler.source>
 45 |         <maven.compiler.target>1.8</maven.compiler.target>
 46 | 
 47 |         <maven.compiler.plugin>3.6.1</maven.compiler.plugin>
 48 |         <maven.gpg.plugin>1.6</maven.gpg.plugin>
 49 |         <maven.source.plugin>3.0.1</maven.source.plugin>
 50 |         <maven.jar.plugin>3.0.2</maven.jar.plugin>
 51 |         <maven.javadoc.plugin>2.10.4</maven.javadoc.plugin>
 52 |         <nexus.staging.maven.plugin>1.6.8</nexus.staging.maven.plugin>
 53 |         <maven.clean.plugin>3.0.0</maven.clean.plugin>
 54 |         <jacoco.maven.plugin>0.8.2</jacoco.maven.plugin>
 55 |         <junit.version>4.13.2</junit.version>
 56 |         <assertj.version>3.19.0</assertj.version>
 57 |     </properties>
 58 | 
 59 |     <dependencyManagement>
 60 |         <dependencies>
 61 |             <dependency>
 62 |                 <groupId>pl.zankowski</groupId>
 63 |                 <artifactId>iextrading4j-hist-api</artifactId>
 64 |                 <version>1.0.0</version>
 65 |             </dependency>
 66 | 
 67 |             <dependency>
 68 |                 <groupId>pl.zankowski</groupId>
 69 |                 <artifactId>iextrading4j-hist-deep</artifactId>
 70 |                 <version>1.0.0</version>
 71 |             </dependency>
 72 | 
 73 |             <dependency>
 74 |                 <groupId>pl.zankowski</groupId>
 75 |                 <artifactId>iextrading4j-book-api</artifactId>
 76 |                 <version>1.1.0-SNAPSHOT</version>
 77 |             </dependency>
 78 | 
 79 |             <dependency>
 80 |                 <groupId>pl.zankowski</groupId>
 81 |                 <artifactId>iextrading4j-book-core</artifactId>
 82 |                 <version>1.1.0-SNAPSHOT</version>
 83 |             </dependency>
 84 | 
 85 |             <dependency>
 86 |                 <groupId>junit</groupId>
 87 |                 <artifactId>junit</artifactId>
 88 |                 <version>${junit.version}</version>
 89 |                 <scope>test</scope>
 90 |             </dependency>
 91 | 
 92 |             <dependency>
 93 |                 <groupId>org.mockito</groupId>
 94 |                 <artifactId>mockito-core</artifactId>
 95 |                 <version>2.7.17</version>
 96 |                 <scope>test</scope>
 97 |             </dependency>
 98 | 
 99 |             <dependency>
100 |                 <groupId>org.assertj</groupId>
101 |                 <artifactId>assertj-core</artifactId>
102 |                 <version>${assertj.version}</version>
103 |                 <scope>test</scope>
104 |             </dependency>
105 |         </dependencies>
106 |     </dependencyManagement>
107 | 
108 |     <build>
109 |         <pluginManagement>
110 |             <plugins>
111 |                 <plugin>
112 |                     <groupId>org.apache.maven.plugins</groupId>
113 |                     <artifactId>maven-compiler-plugin</artifactId>
114 |                     <version>${maven.compiler.plugin}</version>
115 |                     <configuration>
116 |                         <source>${maven.compiler.source}</source>
117 |                         <target>${maven.compiler.target}</target>
118 |                     </configuration>
119 |                 </plugin>
120 | 
121 |                 <plugin>
122 |                     <groupId>org.apache.maven.plugins</groupId>
123 |                     <artifactId>maven-jar-plugin</artifactId>
124 |                     <version>${maven.jar.plugin}</version>
125 |                 </plugin>
126 | 
127 |                 <plugin>
128 |                     <groupId>org.apache.maven.plugins</groupId>
129 |                     <artifactId>maven-clean-plugin</artifactId>
130 |                     <version>${maven.clean.plugin}</version>
131 |                 </plugin>
132 | 
133 |                 <plugin>
134 |                     <groupId>org.apache.maven.plugins</groupId>
135 |                     <artifactId>maven-source-plugin</artifactId>
136 |                     <version>${maven.source.plugin}</version>
137 |                     <executions>
138 |                         <execution>
139 |                             <id>attach-sources</id>
140 |                             <goals>
141 |                                 <goal>jar-no-fork</goal>
142 |                             </goals>
143 |                         </execution>
144 |                     </executions>
145 |                 </plugin>
146 | 
147 |                 <plugin>
148 |                     <groupId>org.apache.maven.plugins</groupId>
149 |                     <artifactId>maven-javadoc-plugin</artifactId>
150 |                     <version>${maven.javadoc.plugin}</version>
151 |                     <executions>
152 |                         <execution>
153 |                             <id>attach-javadocs</id>
154 |                             <phase>package</phase>
155 |                             <goals>
156 |                                 <goal>jar</goal>
157 |                             </goals>
158 |                         </execution>
159 |                     </executions>
160 |                 </plugin>
161 | 
162 |                 <plugin>
163 |                     <groupId>org.apache.maven.plugins</groupId>
164 |                     <artifactId>maven-gpg-plugin</artifactId>
165 |                     <executions>
166 |                         <execution>
167 |                             <id>sign-artifacts</id>
168 |                             <phase>verify</phase>
169 |                             <goals>
170 |                                 <goal>sign</goal>
171 |                             </goals>
172 |                         </execution>
173 |                     </executions>
174 |                 </plugin>
175 | 
176 |                 <plugin>
177 |                     <groupId>org.sonatype.plugins</groupId>
178 |                     <artifactId>nexus-staging-maven-plugin</artifactId>
179 |                     <extensions>true</extensions>
180 |                     <configuration>
181 |                         <serverId>ossrh</serverId>
182 |                         <nexusUrl>https://oss.sonatype.org/</nexusUrl>
183 |                         <autoReleaseAfterClose>true</autoReleaseAfterClose>
184 |                     </configuration>
185 |                 </plugin>
186 | 
187 |                 <plugin>
188 |                     <groupId>org.jacoco</groupId>
189 |                     <artifactId>jacoco-maven-plugin</artifactId>
190 |                     <version>${jacoco.maven.plugin}</version>
191 |                     <executions>
192 |                         <execution>
193 |                             <goals>
194 |                                 <goal>prepare-agent</goal>
195 |                             </goals>
196 |                         </execution>
197 |                         <execution>
198 |                             <id>report</id>
199 |                             <phase>test</phase>
200 |                             <goals>
201 |                                 <goal>report</goal>
202 |                             </goals>
203 |                         </execution>
204 |                     </executions>
205 |                 </plugin>
206 |             </plugins>
207 |         </pluginManagement>
208 |     </build>
209 | 
210 |     <profiles>
211 |         <profile>
212 |             <id>release</id>
213 |             <activation>
214 |                 <activeByDefault>false</activeByDefault>
215 |             </activation>
216 |             <build>
217 |                 <plugins>
218 |                     <plugin>
219 |                         <groupId>org.apache.maven.plugins</groupId>
220 |                         <artifactId>maven-source-plugin</artifactId>
221 |                     </plugin>
222 | 
223 |                     <plugin>
224 |                         <groupId>org.apache.maven.plugins</groupId>
225 |                         <artifactId>maven-javadoc-plugin</artifactId>
226 |                     </plugin>
227 | 
228 |                     <plugin>
229 |                         <groupId>org.apache.maven.plugins</groupId>
230 |                         <artifactId>maven-gpg-plugin</artifactId>
231 |                     </plugin>
232 | 
233 |                     <plugin>
234 |                         <groupId>org.sonatype.plugins</groupId>
235 |                         <artifactId>nexus-staging-maven-plugin</artifactId>
236 |                     </plugin>
237 |                 </plugins>
238 |             </build>
239 |         </profile>
240 |     </profiles>
241 | 
242 |     <distributionManagement>
243 |         <snapshotRepository>
244 |             <id>ossrh</id>
245 |             <url>https://oss.sonatype.org/content/repositories/snapshots</url>
246 |         </snapshotRepository>
247 |     </distributionManagement>
248 | 
249 | 
250 | </project>
251 | 


--------------------------------------------------------------------------------
/iextrading4j-book-core/src/test/java/pl/zankowski/iextrading4j/book/IEXOrderBookTest.java:
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  1 | package pl.zankowski.iextrading4j.book;
  2 | 
  3 | import org.junit.Test;
  4 | import pl.zankowski.iextrading4j.book.api.PriceLevel;
  5 | import pl.zankowski.iextrading4j.hist.api.IEXMessageType;
  6 | import pl.zankowski.iextrading4j.hist.api.field.IEXPrice;
  7 | import pl.zankowski.iextrading4j.hist.deep.trading.field.IEXEventFlag;
  8 | import pl.zankowski.iextrading4j.hist.deep.trading.message.IEXPriceLevelUpdateMessage;
  9 | 
 10 | import java.util.List;
 11 | 
 12 | import static org.assertj.core.api.Assertions.assertThat;
 13 | import static pl.zankowski.iextrading4j.book.builder.IEXPriceLevelUpdateMessageDataBuilder.anIEXPriceLevelUpdateMessage;
 14 | import static pl.zankowski.iextrading4j.book.builder.IEXPriceLevelUpdateMessageDataBuilder.defaultIEXPriceLevelUpdateMessage;
 15 | 
 16 | public class IEXOrderBookTest {
 17 | 
 18 |     private final String TEST_SYMBOL = "AAPL";
 19 | 
 20 |     @Test
 21 |     public void shouldSuccessfullyAddBidQuote() {
 22 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage = defaultIEXPriceLevelUpdateMessage();
 23 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
 24 | 
 25 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage);
 26 | 
 27 |         final List<PriceLevel> bidPriceLevels = orderBook.getBidLevels();
 28 |         assertThat(bidPriceLevels).hasSize(1);
 29 | 
 30 |         final PriceLevel priceLevel = bidPriceLevels.get(0);
 31 |         assertThat(priceLevel.getTimestamp()).isEqualTo(iexPriceLevelUpdateMessage.getTimestamp());
 32 |         assertThat(priceLevel.getSize()).isEqualTo(iexPriceLevelUpdateMessage.getSize());
 33 |         assertThat(priceLevel.getPrice()).isEqualTo(iexPriceLevelUpdateMessage.getIexPrice());
 34 |         assertThat(orderBook.getAskLevels()).isEmpty();
 35 |     }
 36 | 
 37 |     @Test
 38 |     public void shouldSuccessfullyAddAskQuote() {
 39 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage = anIEXPriceLevelUpdateMessage()
 40 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).build();
 41 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
 42 | 
 43 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage);
 44 | 
 45 |         final List<PriceLevel> askPriceLevels = orderBook.getAskLevels();
 46 |         assertThat(askPriceLevels).hasSize(1);
 47 | 
 48 |         final PriceLevel priceLevel = askPriceLevels.get(0);
 49 |         assertThat(priceLevel.getTimestamp()).isEqualTo(iexPriceLevelUpdateMessage.getTimestamp());
 50 |         assertThat(priceLevel.getSize()).isEqualTo(iexPriceLevelUpdateMessage.getSize());
 51 |         assertThat(priceLevel.getPrice()).isEqualTo(iexPriceLevelUpdateMessage.getIexPrice());
 52 |         assertThat(orderBook.getBidLevels()).isEmpty();
 53 |     }
 54 | 
 55 |     @Test
 56 |     public void shouldAddBidPriceLevelToQueueAndProcessItLater() {
 57 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_1 = anIEXPriceLevelUpdateMessage()
 58 |                 .withIEXPrice(new IEXPrice(17534L)).withIEXEventFlag(IEXEventFlag.ORDER_BOOK_IS_PROCESSING_EVENT).build();
 59 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_2 = defaultIEXPriceLevelUpdateMessage();
 60 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
 61 | 
 62 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_1);
 63 |         assertThat(orderBook.getBidLevels()).isEmpty();
 64 | 
 65 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_2);
 66 |         assertThat(orderBook.getBidLevels()).hasSize(2);
 67 | 
 68 |         final List<PriceLevel> bidPriceLevels = orderBook.getBidLevels();
 69 |         assertThat(bidPriceLevels.get(0).getPrice()).isEqualTo(iexPriceLevelUpdateMessage_1.getIexPrice());
 70 |         assertThat(bidPriceLevels.get(1).getPrice()).isEqualTo(iexPriceLevelUpdateMessage_2.getIexPrice());
 71 |     }
 72 | 
 73 |     @Test
 74 |     public void shouldAddAskPriceLevelToQueueAndProcessItLater() {
 75 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_1 = anIEXPriceLevelUpdateMessage()
 76 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).withIEXPrice(new IEXPrice(17534L))
 77 |                 .withIEXEventFlag(IEXEventFlag.ORDER_BOOK_IS_PROCESSING_EVENT).build();
 78 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_2 = anIEXPriceLevelUpdateMessage()
 79 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).build();
 80 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
 81 | 
 82 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_1);
 83 |         assertThat(orderBook.getAskLevels()).isEmpty();
 84 | 
 85 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_2);
 86 |         assertThat(orderBook.getAskLevels()).hasSize(2);
 87 | 
 88 |         final List<PriceLevel> askPriceLevels = orderBook.getAskLevels();
 89 |         assertThat(askPriceLevels.get(0).getPrice()).isEqualTo(iexPriceLevelUpdateMessage_2.getIexPrice());
 90 |         assertThat(askPriceLevels.get(1).getPrice()).isEqualTo(iexPriceLevelUpdateMessage_1.getIexPrice());
 91 |     }
 92 | 
 93 |     @Test
 94 |     public void shouldUpdateBidPriceLevel() {
 95 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_1 = anIEXPriceLevelUpdateMessage().withSize(200).build();
 96 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_2 = defaultIEXPriceLevelUpdateMessage();
 97 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
 98 | 
 99 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_1);
100 |         assertThat(orderBook.getBidLevels().get(0).getSize()).isEqualTo(iexPriceLevelUpdateMessage_1.getSize());
101 | 
102 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_2);
103 |         assertThat(orderBook.getBidLevels().get(0).getSize()).isEqualTo(iexPriceLevelUpdateMessage_2.getSize());
104 |     }
105 | 
106 |     @Test
107 |     public void shouldUpdateAskPriceLevel() {
108 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_1 = anIEXPriceLevelUpdateMessage()
109 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).withSize(200).build();
110 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_2 = anIEXPriceLevelUpdateMessage()
111 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).build();
112 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
113 | 
114 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_1);
115 |         assertThat(orderBook.getAskLevels().get(0).getSize()).isEqualTo(iexPriceLevelUpdateMessage_1.getSize());
116 | 
117 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_2);
118 |         assertThat(orderBook.getAskLevels().get(0).getSize()).isEqualTo(iexPriceLevelUpdateMessage_2.getSize());
119 |     }
120 | 
121 |     @Test
122 |     public void shouldRemoveBidPriceLevel() {
123 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_1 = anIEXPriceLevelUpdateMessage().withSize(200).build();
124 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_2 = anIEXPriceLevelUpdateMessage().withSize(0).build();
125 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
126 | 
127 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_1);
128 |         assertThat(orderBook.getBidLevels().get(0).getSize()).isEqualTo(iexPriceLevelUpdateMessage_1.getSize());
129 | 
130 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_2);
131 |         assertThat(orderBook.getBidLevels()).isEmpty();
132 |     }
133 | 
134 |     @Test
135 |     public void shouldRemoveAskPriceLevel() {
136 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_1 = anIEXPriceLevelUpdateMessage()
137 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).withSize(200).build();
138 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage_2 = anIEXPriceLevelUpdateMessage()
139 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).withSize(0).build();
140 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
141 | 
142 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_1);
143 |         assertThat(orderBook.getAskLevels().get(0).getSize()).isEqualTo(iexPriceLevelUpdateMessage_1.getSize());
144 | 
145 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage_2);
146 |         assertThat(orderBook.getAskLevels()).isEmpty();
147 |     }
148 | 
149 |     @Test
150 |     public void shouldSuccessfullyReturnBestAsk() {
151 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage = anIEXPriceLevelUpdateMessage()
152 |                 .withIEXMessageType(IEXMessageType.PRICE_LEVEL_UPDATE_SELL).build();
153 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
154 | 
155 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage);
156 | 
157 |         final PriceLevel priceLevel = orderBook.getBestAskOffer();
158 |         assertThat(priceLevel.getTimestamp()).isEqualTo(iexPriceLevelUpdateMessage.getTimestamp());
159 |         assertThat(priceLevel.getSize()).isEqualTo(iexPriceLevelUpdateMessage.getSize());
160 |         assertThat(priceLevel.getPrice()).isEqualTo(iexPriceLevelUpdateMessage.getIexPrice());
161 |         assertThat(orderBook.getBidLevels()).isEmpty();
162 |     }
163 | 
164 |     @Test
165 |     public void shouldSuccessfullyReturnBestBid() {
166 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage = defaultIEXPriceLevelUpdateMessage();
167 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
168 | 
169 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage);
170 | 
171 |         final PriceLevel priceLevel = orderBook.getBestBidOffer();
172 |         assertThat(priceLevel.getTimestamp()).isEqualTo(iexPriceLevelUpdateMessage.getTimestamp());
173 |         assertThat(priceLevel.getSize()).isEqualTo(iexPriceLevelUpdateMessage.getSize());
174 |         assertThat(priceLevel.getPrice()).isEqualTo(iexPriceLevelUpdateMessage.getIexPrice());
175 |         assertThat(orderBook.getAskLevels()).isEmpty();
176 |     }
177 | 
178 |     @Test(expected = IllegalArgumentException.class)
179 |     public void shouldThrowExceptionForUnknownMessageType() {
180 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage = anIEXPriceLevelUpdateMessage()
181 |                 .withIEXMessageType(IEXMessageType.OPERATIONAL_HALT_STATUS)
182 |                 .build();
183 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
184 | 
185 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage);
186 |     }
187 | 
188 |     @Test(expected = IllegalArgumentException.class)
189 |     public void shouldThrowAnExceptionForUnknownEventFlag() {
190 |         final IEXPriceLevelUpdateMessage iexPriceLevelUpdateMessage = anIEXPriceLevelUpdateMessage()
191 |                 .withIEXEventFlag(null)
192 |                 .build();
193 |         final IEXOrderBook orderBook = new IEXOrderBook(TEST_SYMBOL);
194 | 
195 |         orderBook.priceLevelUpdate(iexPriceLevelUpdateMessage);
196 |     }
197 | 
198 | }
199 | 


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