/fin-proto-rs

A Rust implementation of financial protocol codecs for various exchanges including SSE (Shanghai Stock Exchange), SZSE (Shenzhen Stock Exchange), and BSE (Beijing Stock Exchange)

Primary LanguageRustMIT LicenseMIT

fin-proto-rs

A Rust-based financial protocol code generation and binary codec framework for high-performance trading systems.

Overview

This repository provides a comprehensive system for generating Rust code from financial protocol definitions and implementing efficient binary serialization/deserialization for trading messages. 1 The system supports multiple exchange protocols including SZSE (Shenzhen Stock Exchange), SSE (Shanghai Stock Exchange), and sample implementations. 2

Architecture

graph TB
    subgraph "Protocol Definitions"
        PDSL["Protocol Definition Files<br/>(.pdsl)"]
        SZSE_PROTO["szse_bin_v1.29.pdsl"]
        SSE_PROTO["sse_bin_v0.57.pdsl"]
        SAMPLE_PROTO["sample.pdsl"]
        RISK_PROTO["risk_v0.1.0.pdsl"]
    end

    subgraph "Code Generation"
        FIN_PROTOC["fin-protoc<br/>Code Generator"]
        MAKEFILES["Build System<br/>(Makefiles)"]
    end

    subgraph "Binary Codec Framework"
        BINARY_CODEC["binary-codec crate"]
        TRAITS["BinaryCodec trait"]
        HELPERS["Encoding/Decoding helpers"]
    end

    subgraph "Generated Implementations"
        SZSE_IMPL["szse-binary"]
        SSE_IMPL["sse-binary"]
        SAMPLE_IMPL["sample-binary"]
        RISK_IMPL["risk-binary"]
    end

    PDSL --> FIN_PROTOC
    SZSE_PROTO --> FIN_PROTOC
    SSE_PROTO --> FIN_PROTOC
    SAMPLE_PROTO --> FIN_PROTOC
    RISK_PROTO --> FIN_PROTOC

    FIN_PROTOC --> SZSE_IMPL
    FIN_PROTOC --> SSE_IMPL
    FIN_PROTOC --> SAMPLE_IMPL
    FIN_PROTOC --> RISK_IMPL

    MAKEFILES --> FIN_PROTOC

    BINARY_CODEC --> SZSE_IMPL
    BINARY_CODEC --> SSE_IMPL
    BINARY_CODEC --> SAMPLE_IMPL
    BINARY_CODEC --> RISK_IMPL

    TRAITS --> BINARY_CODEC
    HELPERS --> BINARY_CODEC
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Core Components

Binary Codec Framework

The foundation of the system is the BinaryCodec trait that provides efficient binary serialization: 3

Key features:

  • Zero-copy deserialization using Bytes
  • Efficient encoding to BytesMut buffers
  • Support for complex data structures and lists 4

Code Generation System

The fin-protoc tool transforms protocol definitions into Rust implementations: 5

sequenceDiagram
    participant DSL as "Protocol DSL"
    participant PROTOC as "fin-protoc"
    participant RUST as "Generated Rust"
    participant CARGO as "Cargo Tools"

    DSL->>PROTOC: "Parse .pdsl/.pdsl files"
    PROTOC->>RUST: "Generate structs & impls"
    RUST->>CARGO: "cargo fix --allow-dirty"
    CARGO->>CARGO: "cargo fmt"
    CARGO->>CARGO: "cargo nextest run"
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Exchange Implementations

SZSE Binary Protocol

Implements Shenzhen Stock Exchange binary messaging with sophisticated message routing: 6

Key message types:

  • Session management (Logon, Logout, Heartbeat)
  • Trading messages (NewOrder, ExecutionConfirm, ExecutionReport)
  • System messages (BusinessReject, ReportSynchronization)

SSE Binary Protocol

Shanghai Stock Exchange implementation with similar structure: 7

Sample Implementation

Provides examples and testing infrastructure: 8

Message Structure

All generated messages follow a consistent pattern:

classDiagram
    class BinaryCodec {
        <<trait>>
        +encode(buf: &mut BytesMut)
        +decode(buf: &mut Bytes) Option~Self~
    }

    class SzseBinary {
        +msg_type: u32
        +body_length: u32
        +body: SzseBinaryBodyEnum
        +checksum: i32
    }

    class MessageBody {
        +core_fields: Various
        +extensions: ExtensionEnum
    }

    BinaryCodec <|.. SzseBinary
    BinaryCodec <|.. MessageBody
    SzseBinary --> MessageBody
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Build System

Each implementation uses standardized Makefiles with common targets: 9

  • make compile: Generate code from protocol definitions
  • make fmt: Format generated code
  • make fix: Apply automatic fixes
  • make test: Run comprehensive tests

Getting Started

  1. Prerequisites: Install fin-protoc binary in ~/workspace/fin-protoc/bin/
  2. Build: Run make all in any implementation directory
  3. Test: Generated code includes comprehensive unit tests 10

Protocol Extensions

The system supports ApplID-based extensions for market-specific functionality: 11

This allows the same message type to have different field structures based on market segment requirements while maintaining protocol consistency.

Related Repositories

  • fin-proto

    • A comprehensive financial protocol library
    • Supports SSE, SZSE, and risk protocols
    • Includes Lua dissectors for Wireshark

  • fin-proto-go

    • Native Go implementation of the protocols
    • Standardized codec interface
    • Modular, exchange-specific architecture
    • This repository has been integrated into the gt-auto repository, an automated testing tool for financial systems(gateway,engine and so on)

  • fin-proto-cpp

    • Efficient C++ implementation
    • Protocol support for SSE, SZSE, risk
    • Optimized serialization logic

  • fin-proto-java

    • Binary protocol codec for Java
    • Netty ByteBuf integration
    • Gradle build system
    • Java 17+ compatible

  • fin-proto-py

    • Python implementation for financial protocols
    • SSE, SZSE, and risk protocol support
    • Easy-to-use parsing and serialization API

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