What is the best data structure to store FIX messages? - c++

What's the best way to store the following message into a data structure for easy access?
"A=abc,B=156,F=3,G=1,H=10,G=2,H=20,G=3,H=30,X=23.50,Y=xyz"
The above consists of key/value pairs of the following:
A=abc
B=156
F=3
G=1
H=10
G=2
H=20
G=3
H=30
X=23.50
Y=xyz
The tricky part is the keys F, G and H. F indicates the number of items in a group whose item consists of G and H.
For example if F=3, there are three items in this group:
Item 1: G=1, H=10
Item 2: G=2, H=20
Item 3: G=3, H=30
In the above example, each item consists of two key/pair values: G and H. I would like the data structure to be flexible such that it can handle if the item increases its key/pair values. As much as possible, I would like to maintain the order it appears in the string.
UPDATE: I would like to store the key/value pairs as strings even though the value often appears as float or other data type, like a map.

May not be what you're looking for, but I'd simply recommend using QuickFIX (quickfixengine.org), which is a very high quality C++ FIX library. It has the type "FIX::Message" which does everything you're looking for, I believe.

I work with FIX a lot in Python an Perl, and I tend to use a dictionary or hash. Your keys should be unique within the message. For C++, you could look at std::map or STL extension std::hash_map.

If you have a subset of FIX messages you have to support (most exchanges usually use 10-20 types), you can roll your own classes to parse messages into. If you're trying to be more generic, I would suggest creating something like a FIXChunk class. The entirety of the message could be stored in this class, organized into keys and their values, as well as lists of repeating groups. Each of the repeating groups would itself be a FIXChunk.

A simple solution, but you could use a std::multimap<std::string,std::string> to store the data. That allows you to have multiple keys with the same value.

In my experience, fix messages are usually stored either in their original form (as a stream of bytes) or as a complex data structure providing a full APIs that can handle their intricacies. After all, a fix message can sometimes represent a tree of data.
The problem with the latter solution is that the transition is expensive in terms of computation cost in high-speed trading systems. If you are building a trading system, you may prefer to lazily calculate the parts of the fix message than you need, which is admittedly easier said than done.
I am not familiar with efficient open-source implementations; companies like the one I work for usually have proprietary implementations.

Related

When to use an Erlang record instead of a tuple?

When should I use an Erlang record instead of a tuple? Or, visa-versa, when is a Erlang record unnecessary? I am relatively new to Erlang and I am not sure if I am using records and tuples properly. I understand from what I have read that records are essentially stored as tuples behind the scenes.
I typically use records for pieces of data that are going to be passed around the application or persisted somewhere. I use tuples things like the return value of a function, params of a function, and for things that are specific to the body of a function.
Am I using records and tuples correctly? Is there documentation outlining when one type should be used over another?
It is a style question. But do note:
Tuples of large arity are hard to get correct and you will easily swap values. A record names each field making swaps less likely.
You can easily match on a record for a subset of all fields.
A record always needs the same arity. As such they are bad for emulating sum types.
Records are not shared over modules which leads to lots of .hrl files with include statements if they are used between modules. This breaks the abstraction.
Records can be kept module-local to make it harder for others to use the record. This improves modularity.

C++ - Map-like data structure with structural sharing/immutability

Functional programming languages often work on immutable data structures but stay efficient by structural sharing. E.g. you work on some map of information, if you insert an element, you will not modify the existing map but create a new updated version. To avoid massive copying and memory usage, the map will share (as good as possible) the unchanged data between both instances.
I would be interested if there exists some template library providing such a map like data structure for C++. I searched a bit and found nothing, beside internal classes in LLVM.
A Copy On Write b+tree sounds like what your looking for. It basically creates a new snapshot of itself every time it gets modified but it shares unmodified leaf nodes between versions. Most of the implementations I've seen tend to be baked into append only database log files. CouchDB has a very nice write up on them. They are however "relatively easy", as far as map data structures go, to implement.
You can use an ordinary map, but marking every element with a timestamp or "map version number". If you want to remove elements too, use two marks. If you might reinsert removed elements, then you need a list of values and pairs of marks per element.
For example, you search for the key "foo", and you find that it had the value 5 in versions 0 to 3 (included), then it was "removed", and then it had the value -8 in versions 9 to current.
This eats a lot of memory and time, though.

What's the correct way to generate random strings without duplicates

I'm thinking about generating random strings, without making any duplication.
First thought was to use a binary tree create and locate for duplicate in tree, if any.
But this may not be very effective.
Second thought was using MD5 like hash method which create messages based only on time, but this may introduce another problem, different machines has different accuracy of time.
And in a modern processor, more than one string could be created in a single timestamp.
Is there any better way to do this?
Generate N sequential strings, then do a random shuffle to pull them out in random order. If they need to be unique across separate generators, mix a unique generator ID into the string.
Beware of MD5, there's no guarantee that two different Strings won't generate the same hash.
As for your problem, it depends on a number of constraints: are the strings short or long? Do they have to be meaningful? Etc... Two solutions from the top of my head:
1 Generate UUIDs then turn them into String with a binary representation or base 64 algorithm.
2 Simply generate random Strings and put them in a searchable structure (HashMap) so that you can find very quickly (O(1)-O(log n)) if a generated String already has a duplicate, in which case it is discarded.
A tree probably won't be the most efficient, especially for insertions - as it will have to constantly re-balance itself (somewhat of an "expensive" operation).
I'd recommend using a HashSet type data structure. The hashing algorithm should already be quite efficient (much more so than something like MD5), and all operations are constant-time. Insert all your Strings into the Set. If you create a new String, check to see if it already exists in the Set.
It sounds like you want to generate a uuid? See http://docs.python.org/library/uuid.html
>>> import uuid
>>> uuid.uuid4()
UUID('dafd3cb8-3163-4734-906b-a33671ce52fe')
You should specify in what programming language you're coding. For instance, in Java this will work nicely: UUID.randomUUID().toString() . UUID identifiers are unique in practice, as is stated in wikipedia:
The intent of UUIDs is to enable distributed systems to uniquely identify information without significant central coordination. In this context the word unique should be taken to mean "practically unique" rather than "guaranteed unique". Since the identifiers have a finite size it is possible for two differing items to share the same identifier. The identifier size and generation process need to be selected so as to make this sufficiently improbable in practice.
A binary tree is probably better than usual here - no rebalancing necessary, because your strings are random, and it's on random data that binary trees work their best. However, it's still O(log(n)) for lookup and addition.
But maybe more efficient, if you know in advance how many random strings you'll need and don't mind a little probability in the mix, is to use a bloom filter.
Bloom filters give an efficient, probabilistic set membership test with memory requirements as low as one bit per element saved in the set. Basically, a bloom filter can say with 100% certainty that a member does not belong to a set, but with a high but not quite 100% certainty that a member is in a set. In your case, throwing out an extra candidate or two shouldn't hurt at all, so the probabilistic nature shouldn't hurt a bit.
Bloom filters are also relatively unique in that they can test for set membership in constant time.
For a while, I listed treaps here, but that's silly - they do a lot of operations in O(log(n)) again, and would only be relevant if your data isn't truly random.
If you don't need your strings to be saved in order for some reason (and it sounds like you probably don't), a traditional hash table is a good way to go. They like to know how big your final dataset will be in advance (to avoid slow hash table resizes), but they too are constant time for insertion and lookup.
http://stromberg.dnsalias.org/svn/bloom-filter/trunk/

Design for customizable string filter

Suppose I've tons of filenames in my_dir/my_subdir, formatted in a some way:
data11_7TeV.00179691.physics_Egamma.merge.NTUP_PHOTON.f360_m796_p541_tid319627_00
data11_7TeV.00180400.physics_Egamma.merge.NTUP_PHOTON.f369_m812_p541_tid334757_00
data11_7TeV.00178109.physics_Egamma.merge.D2AOD_DIPHO.f351_m765_p539_p540_tid312017_00
For example data11_7TeV is the data_type, 00179691 the run number, NTUP_PHOTON the data format.
I want to write an interface to do something like this:
dataset = DataManager("my_dir/my_subdir").filter_type("data11_7TeV").filter_run("> 00179691").filter_tag("m = 796");
// don't to the filtering, be lazy
cout << dataset.count(); // count is an action, do the filtering
vector<string> dataset_list = dataset.get_list(); // don't repeat the filtering
dataset.save_filter("file.txt", "ALIAS"); // save the filter (not the filenames), for example save the regex
dataset2 = DataManagerAlias("file.txt", "ALIAS"); // get the saved filter
cout << dataset2.filter_tag("p = 123").count();
I want lazy behaviour, for example no real filtering has to be done before any action like count or get_list. I don't want to redo the filtering if it is already done.
I'm just learning something about design pattern, and I think I can use:
an abstract base class AbstractFilter that implement filter* methods
factory to decide from the called method which decorator use
every time I call a filter* method I return a decorated class, for example:
AbstractFilter::filter_run(string arg) {
decorator = factory.get_decorator_run(arg); // if arg is "> 00179691" returns FilterRunGreater(00179691)
return decorator(this);
}
proxy that build a regex to filter the filenames, but don't do the filtering
I'm also learning jQuery and I'm using a similar chaining mechanism.
Can someone give me some hints? Is there some place where a design like this is explained? The design must be very flexible, in particular to handle new format in the filenames.
I believe you're over-complicating the design-pattern aspect and glossing over the underlying matching/indexing issues. Getting the full directory listing from disk can be expected to be orders of magnitude more expensive than the in-RAM filtering of filenames it returns, and the former needs to have completed before you can do a count() or get_list() on any dataset (though you could come up with some lazier iterator operations over the dataset).
As presented, the real functional challenge could be in indexing the filenames so you can repeatedly find the matches quickly. But, even that's unlikely as you presumably proceed from getting the dataset of filenames to actually opening those files, which is again orders of magnitude slower. So, optimisation of the indexing may not make any appreciable impact to your overall program's performance.
But, lets say you read all the matching directory entries into an array A.
Now, for filtering, it seems your requirements can generally be met using std::multimap find(), lower_bound() and upper_bound(). The most general way to approach it is to have separate multimaps for data type, run number, data format, p value, m value, tid etc. that map to a list of indices in A. You can then use existing STL algorithms to find the indices that are common to the results of your individual filters.
There are a lot of optimisations possible if you happen to have unstated insights / restrictions re your data and filtering needs (which is very likely). For example:
if you know a particular filter will always be used, and immediately cuts the potential matches down to a manageable number (e.g. < ~100), then you could use it first and resort to brute force searches for subsequent filtering.
Another possibility is to extract properties of individual filenames into a structure: std::string data_type; std::vector<int> p; etc., then write an expression evaluator supporting predicates like "p includes 924 and data_type == 'XYZ'", though by itself that lends itself to brute-force comparisons rather than faster index-based matching.
I know you said you don't want to use external libraries, but an in-memory database and SQL-like query ability may save you a lot of grief if your needs really are at the more elaborate end of the spectrum.
I would use a strategy pattern. Your DataManager is constructing a DataSet type, and the DataSet has a FilteringPolicy assigned. The default can be a NullFilteringPolicy which means no filters. If the DataSet member function filter_type(string t) is called, it swaps out the filter policy class with a new one. The new one can be factory constructed via the filter_type param. Methods like filter_run() can be used to add filtering conditions onto the FilterPolicy. In the NullFilterPolicy case it's just no-ops. This seems straghtforward to me, I hope this helps.
EDIT:
To address the method chaining you simply need to return *this; e.g. return a reference to the DataSet class. This means you can chain DataSet methods together. It's what the c++ iostream libraries do when you implement operator>> or operator<<.
First of all, I think that your design is pretty smart and lends itself well to the kind of behavior you are trying to model.
Anyway, my understanding is that you are trying and building a sort of "Domain Specific Language", whereby you can chain "verbs" (the various filtering methods) representing actions on, or connecting "entities" (where the variability is represented by different naming formats that could exist, although you do not say anything about this).
In this respect, a very interesting discussion is found in Martin Flowler's book "Domain Specific Languages". Just to give you a taste of what it is about, here you can find an interesting discussion about the "Method Chaining" pattern, defined as:
“Make modifier methods return the host object so that multiple modifiers can be invoked in a single expression.”
As you can see, this pattern describes the very chaining mechanism you are positing in your design.
Here you have a list of all the patterns that were found interesting in defining such DSLs. Again, you will be easily find there several specialized patterns that you are also implying in your design or describing as way of more generic patterns (like the decorator). A few of them are: Regex Table Lexer, Method Chaining, Expression Builder, etc. And many more that could help you further specify your design.
All in all, I could add my grain of salt by saying that I see a place for a "command processor" pattern in your specificaiton, but I am pretty confident that by deploying the powerful abstractions that Fowler proposes you will be able to come up with a much more specific and precise design, covering aspect of the problem that right now are simply hidden by the "generality" of the GoF pattern set.
It is true that this could be "overkill" for a problem like the one you are describing, but as an exercise in pattern oriented design it can be very insightful.
I'd suggest starting with the boost iterator library - eg the filter iterator.
(And, of course, boost includes a very nice regex library.)

compressed string storage

Lets say I have many objects containing strings of non-trivial length (around ~3-4kb). The strings are all different from each other yet at the same time contain lots of common parts/subsequences. On average maybe 80-90% of any individual string is contained withing the others as well. Is there an easy way to automatically exploit this huge redundancy for compressing the data?
Ideally the solution would be C++ and transparent for the user (i.e. I can use it as if I was accessing a regular read only const std::string but instead reading from compressed storage).
Algorithmically, Lempel–Ziv–Welch with one dictionary for all objects/strings might be a good start.
You can use huffman coding implementation is not hard, Also there are zip algorithms in languages (like C# and java) and you can use them.
Also If you sure 80-90% are repeated in all, create a dictionary of all words, then for each string store the position of dictionary word, means have a bit array of big size (10000 i.e) and mark the related position bits[i] to 1 if a words[i] exists in the current string. think each word length is 5 character then the abbreviation takes around 1/5 size.
If the common parts of the strings are common because they are composed from other strings, then you might get some traction by using the stlport rope class, which looks for all the world like a std::string, but uses substring tree representation with copy on write that makes them both very space efficient (common substrings are shared) and very good at inserts and deletes (log(n))
When to use rope:
you are making a template engine. document instances are made from a template by substituting varying data in the template, and then cached for future uses. Parts that are common to templates and instances are stored only once and shared across instances, inserts and deletes are cheap.
When not to use rope:
you are loading many documents from outside the domain of your application (from disk, or over a network) and using them without modification. rope doesn't share strings if they are not copied from one rope to another. If you can afford to do the work to find the common substrings, rope can still be used to improve your final representations.
Like #Saeed mentioned, a simple Huffman coding will perform well here.
There is no need in dictionary, if the common words are known apriori (you've mentioned that it's a HTML). Just precompute a huffman table using statistical data from many HTML files (Note that you can encode whole tag by a single symbol, and you can have as many symbols as you want).