fix: replacing heap with copies, replacing polymorphism + dynamic casts with variants + visit, housekeeping

Author: milsanore

Makefile

@@ -59,7 +59,8 @@ build-release:
 test:
 	cmake --preset debug
 	cmake --build --preset=debug
-	ctest -j$(shell nproc) --preset=debug
+	ctest -j$(shell nproc) --preset=debug -LE BENCHMARK
+# 	coverage
 	lcov --gcov-tool gcov --capture --directory . --output-file lcov.info
 	source .venv/bin/activate && \
 		gcovr -r . --exclude 'tests/*' --sonarqube -o sonar-coverage.xml
@@ -74,7 +75,6 @@ bench:
   	--benchmark_out_format=json \
 	--benchmark_report_aggregates_only=false
 
-
 ## tidy: 🧹 tidy things up before committing code
 .PHONY: tidy
 tidy:

benchmarks/CMakeLists.txt

@@ -16,3 +16,5 @@ target_link_libraries(benchmarks PRIVATE
 )
 
 add_test(NAME benchmarks COMMAND benchmarks)
+
+set_tests_properties(benchmarks PROPERTIES LABELS "BENCHMARK")

benchmarks/core/book_side_benchmark.cpp

@@ -1,13 +1,10 @@
 #include <benchmark/benchmark.h>
 #include <fmt/ranges.h>
 
-#include <random>
-
-#include "core/bid_ask.h"
 #include "core/order_book.h"
 #include "spdlog/spdlog.h"
 
-/// @brief the order book is composed of two asymetrically-sorted collections,
+/// @brief the order book is composed of two asymmetrically-sorted collections,
 /// this test is for one of those collections,
 /// (the bid side in this case, because of the additional complexity of a DESC sort)
 class BookSideFixture : public benchmark::Fixture {
@@ -21,7 +18,7 @@ class BookSideFixture : public benchmark::Fixture {
   }
 
   void TearDown([[maybe_unused]] const benchmark::State& state) override {
-    spdlog::info("Levels: [{}]", bids_);
+    // spdlog::info("Levels: [{}]", bids_);
   }
 
   absl::btree_map<uint64_t, uint64_t, std::greater<>> bids_;
@@ -30,7 +27,7 @@ class BookSideFixture : public benchmark::Fixture {
 };
 
 /// @brief deterministically populate the order book
-BENCHMARK_DEFINE_F(BookSideFixture, BM_BookUpdate)(benchmark::State& state) {
+BENCHMARK_DEFINE_F(BookSideFixture, BENCH_BookUpdate)(benchmark::State& state) {
   int i = 0;
   for (auto _ : state) {
     bids_[i] = MID_PRICE - i;
@@ -44,4 +41,4 @@ BENCHMARK_DEFINE_F(BookSideFixture, BM_BookUpdate)(benchmark::State& state) {
       benchmark::Counter(state.iterations(), benchmark::Counter::kIsRate);
 }
 
-BENCHMARK_REGISTER_F(BookSideFixture, BM_BookUpdate)->Iterations(500'000);
+BENCHMARK_REGISTER_F(BookSideFixture, BENCH_BookUpdate)->Iterations(500'000);

benchmarks/core/price_update_benchmark.cpp

@@ -1,9 +1,5 @@
 #include <benchmark/benchmark.h>
-#include <fmt/ranges.h>
 
-#include <random>
-
-#include "core/bid_ask.h"
 #include "core/order_book.h"
 #include "spdlog/spdlog.h"
 
@@ -98,10 +94,10 @@ class PriceUpdateFixture : public benchmark::Fixture {
 };
 
 /// @brief deterministically populate the order book
-BENCHMARK_DEFINE_F(PriceUpdateFixture, BM_PriceUpdate)(benchmark::State& state) {
+BENCHMARK_DEFINE_F(PriceUpdateFixture, BENCH_PriceUpdate)(benchmark::State& state) {
   int i = 0;
   for (auto _ : state) {
-    book_->apply_increment(test_messages_[i], false);
+    book_->apply_increment(test_messages_[i++], false);
     if (i == MSG_COUNT - 1) {
       i = 0;
     }
@@ -111,4 +107,4 @@ BENCHMARK_DEFINE_F(PriceUpdateFixture, BM_PriceUpdate)(benchmark::State& state)
       benchmark::Counter(state.iterations(), benchmark::Counter::kIsRate);
 }
 
-BENCHMARK_REGISTER_F(PriceUpdateFixture, BM_PriceUpdate)->Iterations(500'000);
+BENCHMARK_REGISTER_F(PriceUpdateFixture, BENCH_PriceUpdate)->Iterations(500'000);

src/binance/auth.h

@@ -1,7 +1,6 @@
 #pragma once
 
 #include <mutex>
-#include <new>
 #include <string>
 #include <vector>
 

src/binance/config.h

@@ -1,12 +1,9 @@
 #pragma once
 
-#include <charconv>
-#include <cmath>
 #include <cstdint>
 #include <format>
 #include <stdexcept>
 #include <string>
-#include <string_view>
 #include <vector>
 
 #include "../utils/double.h"

src/binance/fix_app.cpp

@@ -10,7 +10,6 @@
 
 #include <algorithm>
 #include <cassert>
-#include <cstdint>
 #include <format>
 #include <memory>
 #include <string>
@@ -215,17 +214,17 @@ void FixApp::fromApp(const FIX::Message& msg,
 
 void FixApp::onMessage(const FIX44::MarketDataSnapshotFullRefresh& m,
                        [[maybe_unused]] const FIX::SessionID& sessionID) {
-  order_queue_.enqueue(std::make_shared<const FIX44::MarketDataSnapshotFullRefresh>(m));
+  order_queue_.enqueue(MarketMessageVariant{m});
 }
 void FixApp::onMessage(const FIX44::MarketDataIncrementalRefresh& m,
                        const FIX::SessionID& sessionID) {
   if (sessionID.getSessionQualifier() == PX_SESSION_QUALIFIER_) {
-    order_queue_.enqueue(std::make_shared<const FIX44::MarketDataIncrementalRefresh>(m));
+    order_queue_.enqueue(MarketMessageVariant{m});
   } else if (sessionID.getSessionQualifier() == TX_SESSION_QUALIFIER_) {
-    trade_queue_.enqueue(std::make_shared<const FIX44::MarketDataIncrementalRefresh>(m));
+    trade_queue_.enqueue(m);
   } else {
     spdlog::error(
-        "ivalid session for market data incremental refresh, qualifier [{}], id [{}]",
+        "invalid session for market data incremental refresh, qualifier [{}], id [{}]",
         sessionID.getSessionQualifier(), sessionID.toString());
   }
 }

src/binance/fix_app.h

@@ -2,16 +2,18 @@
 
 #include <quickfix/Application.h>
 #include <quickfix/SessionID.h>
+#include <quickfix/fix44/MarketDataIncrementalRefresh.h>
+#include <quickfix/fix44/MarketDataSnapshotFullRefresh.h>
 #include <quickfix/fix44/Message.h>
 #include <quickfix/fix44/MessageCracker.h>
 
-#include <cstdint>
 #include <memory>
 #include <string>
 #include <vector>
 
 #include "concurrentqueue.h"
 #include "iauth.h"
+#include "market_message_variant.h"
 
 namespace binance {
 
@@ -35,9 +37,9 @@ class FixApp final : public FIX::Application, public FIX44::MessageCracker {
   void subscribe_to_trades(const FIX::SessionID& session_id) const;
 
   /// @brief queue of market messages from Binance
-  moodycamel::ConcurrentQueue<std::shared_ptr<const FIX44::Message>> order_queue_;
+  moodycamel::ConcurrentQueue<MarketMessageVariant> order_queue_;
   /// @brief queue of trade messages from Binance
-  moodycamel::ConcurrentQueue<std::shared_ptr<const FIX44::Message>> trade_queue_;
+  moodycamel::ConcurrentQueue<FIX44::MarketDataIncrementalRefresh> trade_queue_;
 
   // TODO: performance implication of a polymorphic queue
   // TODO: perhaps better to run two queues, or something else

src/binance/market_message_variant.h

@@ -0,0 +1,16 @@
+#pragma once
+
+#include <quickfix/fix44/MarketDataIncrementalRefresh.h>
+#include <quickfix/fix44/MarketDataSnapshotFullRefresh.h>
+
+#include <variant>
+
+namespace binance {
+
+/// @brief a union type for price-update messages,
+/// so that they can be placed on the same queue,
+/// so that order can be maintained
+using MarketMessageVariant = std::variant<FIX44::MarketDataSnapshotFullRefresh,
+                                          FIX44::MarketDataIncrementalRefresh>;
+
+}  // namespace binance

src/binance/message_handling_mode.h

@@ -1,6 +1,5 @@
 #pragma once
 
-#include <cstdint>
 #include <string>
 
 namespace binance {