Merged in spread_leg_last_px (pull request #58)

Implemented Jake's note on spread leg last px.

Approved-by: Jake Norbut <jake.norbut@bluetradesys.com>

src/client/spark/view/Extensions/RandomExtensions.cs

@@ -14,6 +14,9 @@ namespace mbts.ui
       {
          return random.NextDouble() * (maxValue - minValue) + minValue;
       }
+      public static bool NextBool(this Random random, int truePercentage = 50) {
+         return random.NextDouble() < (truePercentage / 100.0);
+      }
 
    }
 

src/client/spark_api/api/Update.cs

@@ -1,5 +1,6 @@
 using System;
 using System.Collections.Generic;
+using System.Collections.Immutable;
 using System.Linq;
 using System.Reactive.Linq;
 
@@ -43,9 +44,9 @@ namespace bts.api.core {
 
    public class TableUpdate<T, TKey> where TKey : IEquatable<TKey> {
 
-      readonly Dictionary<TKey, T> _state;
+      ImmutableDictionary<TKey, T> _state;
 
-      internal TableUpdate(Dictionary<TKey, T> init, IReadOnlyList<T> added, IReadOnlyList<T> removed) {
+      internal TableUpdate(ImmutableDictionary<TKey, T> init, IReadOnlyList<T> added, IReadOnlyList<T> removed) {
          _state = init;
          this.added = added;
          this.removed = removed;
@@ -59,14 +60,10 @@ namespace bts.api.core {
          this.update(update.removed, update.added, update.key);
 
       internal TableUpdate<T, TKey> update(IReadOnlyList<T> removed, IReadOnlyList<T> added, Func<T, TKey> key) {
-         var table = new TableUpdate<T, TKey>(new Dictionary<TKey, T>(_state), added, removed);
-         foreach (var i in removed) {
-            table._state.Remove(key(i));
-         }
-         foreach (var item in added) {
-            table._state.Add(key(item), item);
-         }
-         return table;
+         var builder = _state.ToBuilder();
+         builder.RemoveRange(removed.Select(i => key(i)));
+         builder.AddRange(added.Select(i => new KeyValuePair<TKey, T>(key(i), i)));
+         return new TableUpdate<T, TKey>(builder.ToImmutableDictionary(), added, removed);
       }
 
       internal TableUpdate<T, TKey> as_snapshot() {
@@ -102,7 +99,7 @@ namespace bts.api.core {
 
       public static IObservable<TableUpdate<T,TKey>> Table<T,TKey>(this IObservable<Update<T,TKey>> source) where TKey : IEquatable<TKey> =>
          source.Scan(
-            new TableUpdate<T,TKey>(new Dictionary<TKey, T>(), new List<T>(), new List<T>()),
+            new TableUpdate<T,TKey>(ImmutableDictionary<TKey,T>.Empty, new List<T>(), new List<T>()),
             (table, update) => table.update(update));
 
       public static IObservable<TableUpdate<T,TKey>> Cache<T, TKey>(this IObservable<TableUpdate<T, TKey>> source) where TKey : IEquatable<TKey> {

src/client/spark_api/spark_api.csproj

@@ -1,34 +1,35 @@
-<Project Sdk="Microsoft.NET.Sdk">
-  <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
-    <Authors>Blue Trading Systems</Authors>
-    <Company>Blue Trading Systems</Company>
-    <Product>Spark</Product>
-    <Description />
-    <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
-    <Platforms>x64</Platforms>
-    <PlatformTarget>AnyCPU</PlatformTarget>
-    <TreatWarningsAsErrors>true</TreatWarningsAsErrors>
-    <WarningsAsErrors />
-    <Version>1.0.0</Version>
-    <LangVersion>7.2</LangVersion>
-  </PropertyGroup>
-  
-  <ItemGroup>
-    <PackageReference Include="Google.Protobuf" Version="3.4.0" />
-    <PackageReference Include="System.Reactive" Version="3.1.1" />
-  </ItemGroup>
-
-  <ItemGroup>
-    <Proto3 Include="**/*.proto" />
-    <Proto3 Include="../../lib/api/*.proto" />
-    <Proto3 Include="../../lib/api/services/*.proto" />
-    <!--Proto3 Remove="../../lib/api/services/MarketDataRelay.proto" /-->
-    <Proto3 Include="../../lib/md/protos/co2.proto" />
-    <Proto3 Include="../../lib/domain_model/Security.proto" />
-    <Proto3 Include="../../lib/sparkproto/SparkProtos.proto" />
-    <Proto3 Update="../../lib/api/services/OutOfProcessURLListener.proto">
-      <!-- <CompileOptions>internal_access:</CompileOptions> -->
-    </Proto3>
-  </ItemGroup>
-</Project>
+<Project Sdk="Microsoft.NET.Sdk">
+  <PropertyGroup>
+    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+    <Authors>Blue Trading Systems</Authors>
+    <Company>Blue Trading Systems</Company>
+    <Product>Spark</Product>
+    <Description />
+    <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
+    <Platforms>x64</Platforms>
+    <PlatformTarget>AnyCPU</PlatformTarget>
+    <TreatWarningsAsErrors>true</TreatWarningsAsErrors>
+    <WarningsAsErrors />
+    <Version>1.0.0</Version>
+    <LangVersion>7.2</LangVersion>
+  </PropertyGroup>
+  
+  <ItemGroup>
+    <PackageReference Include="Google.Protobuf" Version="3.4.0" />
+    <PackageReference Include="System.Collections.Immutable" Version="1.5.0" />
+    <PackageReference Include="System.Reactive" Version="3.1.1" />
+  </ItemGroup>
+
+  <ItemGroup>
+    <Proto3 Include="**/*.proto" />
+    <Proto3 Include="../../lib/api/*.proto" />
+    <Proto3 Include="../../lib/api/services/*.proto" />
+    <!--Proto3 Remove="../../lib/api/services/MarketDataRelay.proto" /-->
+    <Proto3 Include="../../lib/md/protos/co2.proto" />
+    <Proto3 Include="../../lib/domain_model/Security.proto" />
+    <Proto3 Include="../../lib/sparkproto/SparkProtos.proto" />
+    <Proto3 Update="../../lib/api/services/OutOfProcessURLListener.proto">
+      <!-- <CompileOptions>internal_access:</CompileOptions> -->
+    </Proto3>
+  </ItemGroup>
+</Project>

src/lib/md/test/Co2TestInstrument.cpp

@@ -1,4 +1,4 @@
-#ifndef NO_CPP0X
+#define _DISABLE_EXTENDED_ALIGNED_STORAGE
 #include "Co2TestInstrument.h"
 #include "lib/md/MemorySegmentUtils.h"
 
@@ -50,4 +50,3 @@ MDConsumerHandle Co2TestInstrument::consumer() {
 Co2TestInstrument::~Co2TestInstrument() { }
 
 }}//namespace
-#endif

src/server/sparkd/http/WebServer.cpp

@@ -77,6 +77,7 @@ namespace http {
          _server.set_http_handler(bind(&ServerState::on_http, this, ::_1));
          // Turn off logging
          _server.clear_access_channels(websocketpp::log::alevel::all);
+         _server.clear_error_channels(websocketpp::log::alevel::all);
          run();
       }
 

src/server/sparkd/orderman/actors/ExecutionGateway.cpp

@@ -203,11 +203,10 @@ void ExecutionGateway::on_exe_report(
       data->side = api::Side(msg.get<fix::Side>());
       if (msg.has<fix::TimeInForce>())
          data->time_in_force =
-            api::orderman::TimeInForce(msg.get<fix::TimeInForce>());
+             api::orderman::TimeInForce(msg.get<fix::TimeInForce>());
       else
          data->time_in_force = api::orderman::TIME_IN_FORCE_UNDEFINED;
-         
-         
+
       data->order_type =
           api::orderman::NativeOrderType(msg.get<fix::OrdType>());
       data->order_status =
@@ -218,14 +217,9 @@ void ExecutionGateway::on_exe_report(
               : api::orderman::MANUAL_ORDER_INDICATOR_YES;
       str_to(msg.get<fix::OrderID>(), &data->exchange_order_id);
 
-      if (msg.has<fix::Price>()) {
-         if (data->leg_security)
-            data->price = securities::decode_exchange_price(
-               *data->leg_security, Price(msg.get<fix::Price>()));
-         else
-            data->price = securities::decode_exchange_price(
-               *sec, Price(msg.get<fix::Price>()));
-      }
+      if (msg.has<fix::Price>())
+         data->price = securities::decode_exchange_price(
+             *sec, Price(msg.get<fix::Price>()));
       else
          data->price = Price(os::nan());
 
@@ -239,18 +233,19 @@ void ExecutionGateway::on_exe_report(
          data->quantity = Quantity(msg.get<fix::OrderQty>());
       else
          data->quantity = Quantity(0);
-         
+
       data->filled_quantity = Quantity(msg.get<fix::CumQty>());
       data->last_shares = msg.has<fix::LastShares>()
                               ? Quantity(msg.get<fix::LastShares>())
                               : Quantity(0);
+      auto last_px_sec = data->leg_security? data->leg_security:sec;
       data->last_price = msg.has<fix::LastPx>()
                              ? securities::decode_exchange_price(
-                                   *sec, Price(msg.get<fix::LastPx>()))
+                                   *last_px_sec, Price(msg.get<fix::LastPx>()))
                              : Price(0);
       data->avg_price = msg.has<fix::AvgPx>()
                             ? securities::decode_exchange_price(
-                                  *sec, Price(msg.get<fix::AvgPx>()))
+                               *last_px_sec, Price(msg.get<fix::AvgPx>()))
                             : Price(0);
       if (msg.has<fix::ExecID>())
          str_to(msg.get<fix::ExecID>(), &data->exchange_fill_id);

src/server/sparkd/orderman/orders/spreader_orders/SpreaderOrder.cpp

@@ -110,8 +110,8 @@ void SpreaderOrder::_on_child_order_update(const OrderStateUpdateEvent& ord_ev){
 #endif
    
    Quantity filled_qty = Quantity (ord_ev.state.filled_quantity());
-   Price last_price = Price(ord_ev.state.last_price());
-   LOG(OrderMan, Diag, "SpreaderOrder::_on_child_order_update key: {} sec_key: {} order_key: {} status: {} filled_qty: {} last_price: {} msg: {}", key(), sec_key, order_key, status, filled_qty, last_price, ord_ev.state.last_msg ());
+   Price last_price = Price(ord_ev.state.last_price()),
+         order_price=Price(ord_ev.state.price());
    if (!SpreaderUtils::order_acknowledged(status)){
       LOG(OrderMan, Diag, "SpreaderOrder::_on_child_order_update, unack'ed callback for key: {} sec_key: {} order_key: {} status: {} ignoring", key(), sec_key, order_key, status);
       bts_assert(filled_qty.value() == 0);
@@ -121,8 +121,14 @@ void SpreaderOrder::_on_child_order_update(const OrderStateUpdateEvent& ord_ev){
    if (leg_data_ptr != nullptr){
       SpreaderLegData& leg_data = *leg_data_ptr;
       ChildOrderError order_error = _get_order_error (ord_ev, leg_data.quoter().expecting_cancel_update());
-      LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update quoter order key: {} sec_key: {} order_key: {} status: {} filled_qty: {} last_price: {} msg: {} child_order_error: {}",
-          key(), sec_key, order_key, status, filled_qty, last_price, ord_ev.state.last_msg (), static_cast<int>(order_error));
+      LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update quoter order "
+          "key:{} sec_key:{} state:{} order_key:{} status:{} "
+          "filled_qty:{} price:{} last_price:{} "
+          "msg:{} child_order_error:{}",
+          key(), sec_key,
+          static_cast<int>(_state_worker->state()), order_key, status,
+          filled_qty, order_price, last_price,
+          ord_ev.state.last_msg(), static_cast<int>(order_error));
       leg_data.order_update_message().on_order_update(ord_ev);
       if (order_error == ChildOrderError::NONE){
          if (leg_data.order_update_message().last_update_filled_quantity().value() > 0)
@@ -138,8 +144,14 @@ void SpreaderOrder::_on_child_order_update(const OrderStateUpdateEvent& ord_ev){
       SingleFillHedger* hedger = _bookkeeping_data().find_hedger_from_orderkey(order_key);
       if (hedger != nullptr){
          ChildOrderError order_error = _get_order_error (ord_ev, hedger->expecting_cancel_update());
-         LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update hedger order: key: {} sec_key: {} order_key: {} status: {} filled_qty: {} last_price: {} msg: {} child_order_error: {}",
-             key(), sec_key, order_key, status, filled_qty, last_price, ord_ev.state.last_msg (), static_cast<int>(order_error));
+         LOG(OrderMan, Info, "SpreaderOrder::_on_child_order_update hedger "
+             "key:{} sec_key:{} state:{} order_key:{} status:{} "
+             "filled_qty:{} price:{} last_price:{} " 
+             "msg:{} child_order_error:{}",
+             key(), sec_key, 
+             static_cast<int>(_state_worker->state()), order_key, status,
+             filled_qty, order_price, last_price,
+             ord_ev.state.last_msg (), static_cast<int>(order_error));
          hedger->order_state().on_order_update(ord_ev);
          if (order_error == ChildOrderError::NONE)
             _state_worker->on_hedger_order_update (*hedger);
@@ -273,6 +285,7 @@ void SpreaderOrder::_send_hedge(size_t hedge_leg_index,
 void SpreaderOrder::_compute_hedge_price_quantity(size_t filled_leg_index,
                                                   Price fill_price,
                                                   double fill_quantity,
+                                                  Price quote_order_price,
                                                   size_t hedge_leg_index,
                                                   Price& hedge_price,
                                                   double& hedge_quantity){
@@ -288,7 +301,7 @@ void SpreaderOrder::_compute_hedge_price_quantity(size_t filled_leg_index,
                                                       computed_hedge_price,
                                                       hedge_quantity);
    else{
-      const QuoteLegDriver& driver_data = filled_leg_data.quoter().driver_data(fill_price, hedge_leg_index);
+      const QuoteLegDriver& driver_data = filled_leg_data.quoter().driver_data(quote_order_price, hedge_leg_index);
       SpreaderUtils::compute_hedge_price_size_n_legs (filled_leg_data.leg_property_data(),
                                                       fill_price,
                                                       fill_quantity,

src/server/sparkd/orderman/orders/spreader_orders/SpreaderOrder.h

@@ -173,6 +173,7 @@ private:
    void _compute_hedge_price_quantity(size_t filled_leg_index,
                                       Price filled_price,
                                       double filled_quantity,
+                                      Price order_price,
                                       size_t hedged_leg_index,
                                       Price& hedge_price,
                                       double& hedge_quantity);

src/server/sparkd/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.cpp

@@ -19,6 +19,7 @@ _status(src._status),
 _filled_price(src._filled_price),
 _filled_quantity(src._filled_quantity),
 _last_filled_price(src._last_filled_price),
+_last_reported_order_price(src._last_reported_order_price),
 _last_filled_quantity(src._last_filled_quantity)
 { }
 SpreaderChildOrderState::SpreaderChildOrderState (bts::orderman::ChildOrder& child_order,
@@ -45,6 +46,7 @@ void SpreaderChildOrderState::_init_running_values(){
    _filled_price = Price(0);
    _filled_quantity = Quantity (0);
    _last_filled_price = Price(0);
+   _last_reported_order_price=Price(0);
    _last_filled_quantity = Quantity(0);
    _out_price = Price(0);
    _out_quantity = Quantity(0);

src/server/sparkd/orderman/orders/spreader_orders/spreader/SpreaderChildOrderState.h

@@ -29,6 +29,7 @@ private:
    Price _filled_price;
    Quantity _filled_quantity;
    Price _last_filled_price;
+   Price _last_reported_order_price;
    Quantity _last_filled_quantity;
    Price _out_price;
    Quantity _out_quantity;
@@ -54,9 +55,12 @@ public:
    }
    // if the last fill was a status change
    // this will be zero
-   Price last_update_filled_price () const {
+   Price last_update_filled_price() const {
       return _last_filled_price;
    }
+   Price last_reported_order_price() const{
+      return _last_reported_order_price;
+   }
    // if the last fill was a status change
    // this will be zero
    Quantity last_update_filled_quantity () const {
@@ -109,6 +113,7 @@ public:
       _status = e.state.status();
       _last_filled_quantity = Quantity(e.state.filled_quantity() - _filled_quantity.value());
       _last_filled_price = Price(e.state.last_price());
+      _last_reported_order_price=Price(e.state.price());
       SpreaderUtils::compute_average_price(_filled_price,
                                            _filled_quantity,
                                            _last_filled_price,

src/server/sparkd/orderman/orders/spreader_orders/spreader/quoter/QuoteDriverSetHistory.cpp

@@ -43,7 +43,12 @@ const QuoteDriverSet* QuoteDriverSetHistory::_find_driver_set(Price quote_price)
                                                _tick_size))
          if (rv==nullptr||d.quote_seq_no()>rv->quote_seq_no())
             rv=&d;
-   return rv!=nullptr ? rv:_latest();
+   if (rv==nullptr){
+      LOG(OrderMan, Warn, "QuoteDriverSetHistory::_find_driver_set "
+                          "could not find driver:{}",quote_price);
+      rv=_latest();
+   }
+   return rv;
 }
 const QuoteLegDriver* QuoteDriverSetHistory::find_driver(Price quote_price,
                                                           size_t leg_index) const{

src/server/sparkd/orderman/orders/spreader_orders/spreader_states/SpreaderWorkingStateWorker.cpp

@@ -92,11 +92,7 @@ void SpreaderWorkingStateWorker::on_quoter_order_fill(SpreaderLegData& leg_data,
    // ii. not send a hedge on leg_2 since its already filled
    // however doing the above would mess up the leg ratio's so we are preffering
    // getting overfilled
-   SpreaderChildOrderState& order_update_message = leg_data.order_update_message();
-   LOG(OrderMan, Info, "SpreaderWorkingStateWorker::on_quoter_order_fill order: key: {} order_key: {} status: {} filled_qty: {} last_price: {}",
-       _spreader->key(), order_update_message.order_key(), order_update_message.status(),
-       order_update_message.last_update_filled_quantity(),
-       order_update_message.last_update_filled_price());
+   SpreaderChildOrderState& order_update_message = leg_data.order_update_message();   
    bts_assert (order_update_message.last_update_filled_quantity().value() > 0);
    for (size_t q_idx = 0; q_idx < _spreader->_bookkeeping_data().n_legs(); q_idx++){      
       if (q_idx != leg_data.leg_property_data().leg_index()){
@@ -106,6 +102,7 @@ void SpreaderWorkingStateWorker::on_quoter_order_fill(SpreaderLegData& leg_data,
          _spreader->_compute_hedge_price_quantity(leg_data.leg_property_data().leg_index(),
                                                   order_update_message.last_update_filled_price(),
                                                   order_update_message.last_update_filled_quantity().value(),
+                                                  order_update_message.last_reported_order_price(),
                                                   q_idx,
                                                   hedge_price,
                                                   hedge_qty);

src/web/ui/src/Accounts/View.fs

@@ -74,7 +74,7 @@ let GetFilteredSymbolArray (model:Model) (remove:string []) =
           |> Array.distinct)
   match a.Length with
   | 0 -> a
-  | _ -> [ a; [|model.AllValueDisplay|] ] |> Array.concat
+  | _ -> [ [|model.AllValueDisplay|]; a ] |> Array.concat
 
 let limitFilter (positionLimit:AccountSecurityPositionLimitUnit option) (clipLimit:AccountSecurityClipLimitUnit option) allValueDisplay (array:'a []) =
   match positionLimit, clipLimit with
@@ -441,7 +441,7 @@ let productLimits model dispatch =
       div [ ClassName "columns" ][
             h1 [ ClassName "is-size-3 column is-narrow" ][str "Position Limits" ]
             div [ ClassName "column is-size-7 has-text-grey-mid is-help-text" ]
-              [str "This limits the net position for a product (i.e. accumulated position over all securities belonging to a product). This can be set for one product, or for all products within a security type by selecting \"All\" for symbol"]
+              [str "This limits the net position for a product (i.e. accumulated position over all securities belonging to a product). This can be set for one product, or for all products within a security type by selecting \"All\" for symbol. (Note that \"All\" applies the same limits to each symbol, not the combiled position of all symbols)"]
       ]
       TableControl.createDataTable (Some headerRow) rws (Button.button "Add" "" "plus-circle" Button.Enabled addRow)
       br []