This is a sample application which shows one way to use the disruptor to keep an in memory position based on trade and rate events. I have tried to keep the domain as separated as possible from the technical infrastructure (Netty, Disruptor).
This was all built over a weekend, so comments and feedback is welcome. It is unlikely I got everything right (the Domain, Disruptor, Netty, etc.).
There is one HUGE caveat with this code, it doesn't persist anything so if the original event stream is lost, everything is LOST. The intent of the example was to understand the disruptor sequencing and not create a persistent application.
The second is it only handles currency pairs quoted against dollar. Namely EURUSD, GBPUSD, etc. This is due to how the positions are calculated in the domain.
Trade and rate events are sent into the disruptor via a line based protocol. The project contains a Netty server that listens on 0.0.0.0:7000. The state of the domain is modified by sending messages to the Netty server.
The server supports the following messages
- Trade - prefixed with 'T|'
- Rate - prefixed with 'R|'
- Stop - prefixed with 'C|'
The trade messages are formatted as follows, using '|' as a delimiter.
(T)rade|(B)uy/(S)ell|(Double Amount)(Multiplier)|(Rate)
For example
T|B|5.1t|R|EURUSD|1.3124 -> Buy 5.1 thousand EUR at @ 1.3124 EURUSD.
See: whitewerx.com.trapos.translators.TradeTranslator
The rate messages are formatted as follows, using '|' as a delimiter.
(R)rate|(CCY1)(CCY2)|(Double Rate)
For example
R|EURUSD|1.3124 -> a EURUSD rate @ 1.3124
See: whitewerx.com.trapos.translators.RateTranslator
The server can be shutdown by sending a stop message. This would not be done this way in the real world, as it would allow the sender to shutdown the server process.
The stop message is formatted as:
C|STOP
Start the server
mvn clean package
mvn exec:java -Dexec.mainClass="whitewerx.com.trapos.App"
To load some message from the command line.
cat SAMPLE-DATA.txt | nc 127.0.0.1 7000
You should then see some console output like:
173 [pool-1-thread-1] INFO w.c.t.gateway.TextMessageGateway - Started the gateway. 0.0.0.0:7000
4063 [New I/O sw #1-1] INFO w.c.t.disruptor.MarketEventPublisher - publishEvent: seq:0 event:MarketEvent [delimitedMessage=T|B|5.1t|R|EURUSD|1.3124, trade=null, rate=null]
4063 [New I/O sw #1-1] INFO w.c.t.disruptor.MarketEventPublisher - publishEvent: seq:1 event:MarketEvent [delimitedMessage=T|S|6.1t|R|EURUSD|1.3125, trade=null, rate=null]
4063 [New I/O sw #1-1] INFO w.c.t.disruptor.MarketEventPublisher - publishEvent: seq:2 event:MarketEvent [delimitedMessage=R|EURUSD|1.3126, trade=null, rate=null]
4068 [pool-1-thread-3] INFO w.c.t.MarketRateEventHandler - onEvent: seq:2/true event: MarketEvent [delimitedMessage=R|EURUSD|1.3126, trade=null, rate=Rate [EUR/USD@1.3126]]
4076 [pool-1-thread-2] INFO w.c.t.disruptor.MarketTradeEventHandler - onEvent: seq:0/true event: MarketEvent [delimitedMessage=T|B|5.1t|R|EURUSD|1.3124, trade=Trade [BUY Amount [5100.0 EUR] at Rate [EUR/USD@1.3124]], rate=null]
4076 [pool-1-thread-4] INFO w.c.t.disruptor.PortfolioPositionEventHandler - onEvent: seq:0/true event: MarketEvent [delimitedMessage=T|B|5.1t|R|EURUSD|1.3124, trade=Trade [BUY Amount [5100.0 EUR] at Rate [EUR/USD@1.3124]], rate=null]
4076 [pool-1-thread-2] INFO w.c.t.disruptor.MarketTradeEventHandler - onEvent: seq:1/false event: MarketEvent [delimitedMessage=T|S|6.1t|R|EURUSD|1.3125, trade=Trade [SELL Amount [6100.0 EUR] at Rate [EUR/USD@1.3125]], rate=null]
With aggregated position updates
4080 [pool-1-thread-4] INFO w.c.t.disruptor.PortfolioPositionEventHandler - Position change. seq:0 pos:Position [ccy1Amount=Amount [5100.0 EUR], ccy2Amount=Amount [-6693.24 USD], ccy1EquivalentInPNLCurrency=Amount [6693.24 USD], ccy2EquivalentInPNLCurrency=Amount [-6693.24 USD], currencyPair=EUR/USD, pnlCurrency=USD]
4080 [pool-1-thread-4] INFO w.c.t.disruptor.PortfolioPositionEventHandler - onEvent: seq:1/false event: MarketEvent [delimitedMessage=T|S|6.1t|R|EURUSD|1.3125, trade=Trade [SELL Amount [6100.0 EUR] at Rate [EUR/USD@1.3125]], rate=null]
4080 [pool-1-thread-4] INFO w.c.t.disruptor.PortfolioPositionEventHandler - Position change. seq:1 pos:Position [ccy1Amount=Amount [-1000.0 EUR], ccy2Amount=Amount [1313.0100000000002 USD], ccy1EquivalentInPNLCurrency=Amount [-1313.0100000000002 USD], ccy2EquivalentInPNLCurrency=Amount [1313.0100000000002 USD], currencyPair=EUR/USD, pnlCurrency=USD]
4080 [pool-1-thread-4] INFO w.c.t.disruptor.PortfolioPositionEventHandler - onEvent: seq:2/true event: MarketEvent [delimitedMessage=R|EURUSD|1.3126, trade=null, rate=Rate [EUR/USD@1.3126]]
To stop the server
echo 'C|STOP' | nc 127.0.0.1 7000
The following diagram illustrates the key parts of the system, including two sequence barriers.
tB| +----+ |pB
+---+-->| TT |---+-----+
| | +----+ | |
| | | v
N +----+ | | +----+
---->| G* | | | | PP |----> Console Log Position Update
+----+ | | +----+
| | | ^
| | +----+ | |
+---+-->| RT |---+-----+
| +----+ |
(N)etty listening on 0.0.0.0:7000
The (G)ateway could be multithreaded(*), as the Netty server can accept more than one connection and process incoming messages on multiple threads. But it is currently configured for 1 thread.
See: whitewerx.com.trapos.gateway.TextMessageHandler
whitewerx.com.trapos.disruptor.MarketEventPublisher
The (TT)radeTranslator is a single threaded disruptor BatchProcessor.
See: whitewerx.com.trapos.disruptor.MarketTradeEventHandler
The (RT)rateTranslator is a single threaded disruptor BatchProcessor.
See: whitewerx.com.trapos.disruptor.MarketRateEventHandler
The (PP)ortfolio Position is a single threaded disruptor BatchProcessor.
See: whitewerx.com.trapos.disruptor.PortfolioPositionEventHandler
The (tB) is a sequence barrier for the two translators, both translators can execute as soon as a new event is available in the RingBuffer.
The (tP) is a sequence barrier for the position server this is configured to not execute until the event is processed by both the MarketTradeEventHandler, and the MarketRateEventHandler.
- JDK 6
- Maven (tested with 3.0.4)
- Internet connection to download the dependent jars/plugins
Standard maven commands
mvn clean
mvn test
mvn install
mvn site
Run mvn site in the top level directory.
mvn site open target/site/cobertura/index.html
The code is styled using the Eclipse formatting conventions contained within:
trapos-java-formatting.xml