arrival shaping up

.vscode/launch.json

@@ -44,7 +44,8 @@
                 "debuggerPath": "/usr/bin/gdb"
             },
             "sourceFileMap": {
-                "/home/bts/spark/": "${workspaceRoot}"
+                "/home/bts/spark/": "${workspaceRoot}",
+                "/home/bts/spark_host/": "${workspaceRoot}",
             }
         },     
         {

src/lib/orderman/orders/algo/AlgoWrapperOrder.cpp

@@ -1,10 +1,10 @@
 #include "lib/orderman/orders/algo/AlgoWrapperOrder.h"
 
+#include "lib/api/public/ServiceContext.h"
 #include "lib/orderman/orders/algo/ChildTemplate.h"
 #include "lib/orderman/actors/order_manager/ChildOrder.h"
 #include "lib/orderman/actors/order_manager/OrderBuilder.h"
 #include "lib/orderman/actors/order_manager/OrderServices.h"
-#include "lib/api/public/ServiceContext.h"
 #include "lib/orderman/orderman_utils/orderman_utils.h"
 #include "lib/orderman/orders/PreActivationOrderServices.h"
 #include "lib/orderman/orders/algo/IAlgoOrder.h"
@@ -355,7 +355,7 @@ orderman::OrderOpResult AlgoWrapperOrder::on_cancel() {
    return {};
 }
 
-const bts::api::ServiceContext& AlgoWrapperOrder::get_shared_service_context() const {
+bts::api::ServiceContext& AlgoWrapperOrder::get_shared_service_context() {
    static bts::api::ServiceContext context;
    return context;
 }

src/lib/orderman/orders/algo/AlgoWrapperOrder.h

@@ -65,7 +65,7 @@ class AlgoWrapperOrder : public Order,
    void complete() override;
    void update_fill_state(Quantity total_fills, Price last_price) override;
    void set_ladder_visibility (bool is_visibile) override;
-   const bts::api::ServiceContext& get_shared_service_context() const override;
+   bts::api::ServiceContext& get_shared_service_context() override;
    
    // Private
    struct ReportStateGuard;

src/lib/orderman/orders/algo/IAlgoServices.h

@@ -3,7 +3,6 @@
 #include "lib/orderman/orders/algo/IBeforeLaunchAlgoServices.h"
 
 namespace bts {
-namespace api { class ServiceContext; }   
 namespace orderman {
 
 class IAlgoServices : public IBeforeLaunchAlgoServices {
@@ -105,7 +104,6 @@ class IAlgoServices : public IBeforeLaunchAlgoServices {
 
    // Update this algos's filled quantity and last price
    virtual void update_fill_state(Quantity total_fills, Price last_price) = 0;
-   virtual const api::ServiceContext& get_shared_service_context() const = 0;
 };
 
 } // namespace orderman

src/lib/orderman/orders/algo/IBeforeLaunchAlgoServices.h

@@ -6,6 +6,7 @@
 #include "lib/utils/bts_chrono.h"
 
 namespace bts {
+namespace api { class ServiceContext; }
 namespace orderman {
 
 class ChildTemplate;
@@ -47,6 +48,8 @@ class IBeforeLaunchAlgoServices {
    
    // Get the current time
    virtual TimeStamp get_time() const;
+   
+   virtual api::ServiceContext& get_shared_service_context() = 0;
 };
 
 } // namespace orderman

src/lib/orderman/orders/algo/algo_orders/bluex/ArrivalPriceAlgo.cpp

@@ -37,16 +37,6 @@ void ArrivalPriceAlgo::on_book(SecurityKey k, const Book& b)
 ArrivalPriceAlgo::ArrivalPriceAlgo() : me(new PImpl()) {}
 ArrivalPriceAlgo::~ArrivalPriceAlgo() {}
 
-void ArrivalPriceAlgo::on_timer()
-{
-   if(this->trading_distribution)
-   {
-      TimeSlicer::on_timer();
-   }   
-   else
-      LOG(OrderMan, Info, "ArrivalPriceAlgo order {} waiting for TradingDistribution: ", algo().order_key().value());
-}
-
 OrderOpResult ArrivalPriceAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv) 
 {
    const auto& def = serv.definition();   
@@ -71,9 +61,11 @@ OrderOpResult ArrivalPriceAlgo::do_before_launch(IBeforeLaunchAlgoServices &serv
    google::protobuf::Timestamp begin;   
    begin.set_seconds(end.seconds() - 86400*days);
    
-   google::protobuf::util::TimeUtil::FromString("11/25/2019", &begin);
-   google::protobuf::util::TimeUtil::FromString("11/29/2019", &end);
-   query_trading_distribution(symbol, sectype, desc, begin, end, algo.duration().interval_in_seconds());
+   //TODO 
+   bool b = google::protobuf::util::TimeUtil::FromString("2019-11-25T00:00:00.00Z", &begin);
+   b = google::protobuf::util::TimeUtil::FromString("2019-11-29T00:00:00.00Z", &end);
+   b = b && b;
+   query_trading_distribution(serv, symbol, sectype, desc, begin, end, algo.duration().interval_in_seconds());
       
    if (!serv.is_attaching()) 
    {

src/lib/orderman/orders/algo/algo_orders/bluex/ArrivalPriceAlgo.h

@@ -14,7 +14,6 @@ public:
    OrderOpResult do_before_launch(IBeforeLaunchAlgoServices&) override;
    void do_update(const api::orderman::Update& update) override;
    void on_book(SecurityKey, const Book&) override;
-   void on_timer() override;
    
 protected:
    void update_params() override;   

src/lib/orderman/orders/algo/algo_orders/bluex/Slicer.cpp

@@ -52,13 +52,15 @@ struct Slicer::PImpl
       
    VolumeEstimator volume_estimator;
    PriceEstimator price_estimator;   
+   
+   TradingDistributionStatus trading_distribution_status = TradingDistributionStatus::NotRequired;
 };
 
-void Slicer::query_trading_distribution(const std::string& symbol, api::SecurityType sectype, const std::string& secdesc,
+void Slicer::query_trading_distribution(IBeforeLaunchAlgoServices& serv, const std::string& symbol, api::SecurityType sectype, const std::string& secdesc,
                                         const google::protobuf::Timestamp& begin, const google::protobuf::Timestamp& end, 
                                         uint dt_seconds)
 {
-   const api::ServiceContext& sc = me->algo->get_shared_service_context();
+   api::ServiceContext sc = serv.get_shared_service_context();
    static HistoricalDataService hist = sc.locate<HistoricalDataService>();
    TradingDistributionQuery query;
    query.set_symbol(symbol);
@@ -67,13 +69,35 @@ void Slicer::query_trading_distribution(const std::string& symbol, api::Security
    query.mutable_begin()->CopyFrom(begin);
    query.mutable_end()->CopyFrom(end);
    query.mutable_d_t()->set_seconds(dt_seconds);
+   me->trading_distribution_status = TradingDistributionStatus::Waiting;
    hist.get_trading_distribution(query, [this, query] (api::Result<TradingDistribution> res)
    {
-      auto copy = new TradingDistribution(*res.value());
-      this->trading_distribution.reset(copy);
+      if(res.success())
+      {
+         auto* copy = new TradingDistribution(*res.value());
+         this->trading_distribution.reset(copy);
+         me->trading_distribution_status = TradingDistributionStatus::Received;
+      }
+      else      
+         me->trading_distribution_status = TradingDistributionStatus::Error;
    });
 }
 
+void Slicer::on_timer() 
+{
+   if(me->trading_distribution_status == TradingDistributionStatus::Error)
+   {
+      algo().terminate_error("Can't get Trading Distribution");
+   }
+   else if(me->trading_distribution_status == TradingDistributionStatus::Received)
+   {
+      volume_estimator().update_distribution(*this->trading_distribution);
+      price_estimator().update_distribution(*this->trading_distribution);
+      update_params();
+      me->trading_distribution_status = TradingDistributionStatus::Initialized;
+   }   
+}
+
 OrderAggression& Slicer::aggression()
 {
    return me->aggression;
@@ -311,7 +335,7 @@ OrderKey Slicer::send_child(Price price, Quantity size, Channel chan)
    OrderKey child_key = null_order_key();
    if(validate_price_size(price, size))
    {
-      if(aggression().quantity_variance() > 0)
+      if(aggression().quantity_variance() > 0 && chan != Channel::Market)
       {
          //this isn't really variance, but take a look at std::normal_distribution....it's kinda unusable and probably slow
          uint32_t var = (rand() % 2*aggression().quantity_variance()) - aggression().quantity_variance(); 
@@ -321,7 +345,7 @@ OrderKey Slicer::send_child(Price price, Quantity size, Channel chan)
          if(!validate_price_size(price, size))
             return child_key;
       }
-      if(aggression().max_participation_pct() > 0)
+      if(aggression().max_participation_pct() > 0 && chan != Channel::Market)
       {
          auto side = algo().definition().side();         
          auto sz = me->last_book.side( side )[0].size();
@@ -417,8 +441,6 @@ void Slicer::on_ticker(SecurityKey k, const TradeVector& vec)
    LOG(OrderMan, Diag, "Slicer order {} on ticker.", algo().order_key().value());   
 }
 
-void Slicer::on_timer() {}
-
 void Slicer::first_generation()
 {
    bts_assert_msg(me->generation == 0, "generation 0");

src/lib/orderman/orders/algo/algo_orders/bluex/Slicer.h

@@ -33,6 +33,7 @@ public:
 protected:
    enum class Status { WAITING_FOR_MD, WAITING_FOR_START, WORKING, DONE };
    enum class Channel { Tactical, Aggressive, Market };
+   enum class TradingDistributionStatus { NotRequired, Waiting, Error, Received, Initialized};
 
    IAlgoServices& algo() const;      
    void report_status();     
@@ -61,7 +62,7 @@ protected:
    struct PImpl;
    friend struct OrderDef;   
    std::unique_ptr<PImpl> me;    
-   std::unique_ptr<bts::history::TradingDistribution> trading_distribution;
+   std::unique_ptr<bts::history::TradingDistribution> trading_distribution;   
    
 protected:
    void check_i_would(const Book&);
@@ -82,8 +83,9 @@ protected:
    TradeVector& last_trades();   
    VolumeEstimator& volume_estimator();
    PriceEstimator& price_estimator();
+   bool trading_distribution_error();
    
-   void query_trading_distribution(const std::string& symbol, api::SecurityType sectype, const std::string& secdesc,
+   void query_trading_distribution(IBeforeLaunchAlgoServices&, const std::string& symbol, api::SecurityType sectype, const std::string& secdesc,
                                    const google::protobuf::Timestamp& begin, const google::protobuf::Timestamp& end, 
                                    uint dt_seconds);
    

src/lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.cpp

@@ -505,7 +505,7 @@ void AlgoTestDriverBase::complete() {
    me->state = AlgoState::COMPLETED;
 }
 void AlgoTestDriverBase::set_ladder_visibility(bool) { /* whatever, ok */ }
-const api::ServiceContext& AlgoTestDriverBase::get_shared_service_context() const 
+api::ServiceContext& AlgoTestDriverBase::get_shared_service_context() 
 {
    bts_assert(false);
    static api::ServiceContext context;

src/lib/orderman/orders/algo/algo_orders/tests/AlgoTestDriver.h

@@ -146,7 +146,7 @@ private:
    void complete() override;
    void set_ladder_visibility(bool) override;
    void update_fill_state(Quantity , Price) override;
-   const api::ServiceContext& get_shared_service_context() const override;
+   api::ServiceContext& get_shared_service_context() override;
 
 };