work in progress

src/client/spark_api/Co2/Co2NativeMethods.cs

@@ -35,7 +35,6 @@ namespace mbts.co2
          public readonly IntPtr hot;
          public readonly IntPtr cold_data;
          public readonly IntPtr cold_header;
-         private readonly IntPtr unused_mbo;
       }
 
       [DllImport("libspark")]

src/client/spark_test/System/LimitsTests.cs

@@ -78,7 +78,7 @@ namespace bts.tests
          return securities;
       }
 
-      [Test(Timeout = 30)]
+   [Test(Timeout = 30)]
       public async Task test_position_limits() {
          string test_symbol = "CL";
 

src/client/sparkcmd/Cmd/OrderStress.cs

@@ -1,157 +0,0 @@
-using bts.api;
-using bts.api.core;
-using bts.api.orderman;
-using bts.co2;
-using bts.test;
-using CommandLine;
-using mbts.co2;
-using mbts.config;
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Threading.Tasks;
-
-namespace bts {
-
-   [Verb("orderstress", HelpText = "Create a bunch of orders")]
-   public class OrderStressOptions {
-      // Maybe options to create fewer orders or sleep
-
-      [Option('s', "sleep", HelpText = "Sleep ms between order submission", Default = 100)]
-      public int sleep { get; set; }
-
-      [Option('d', "depth", HelpText = "How many orders per side", Default = 10u)]
-      public uint depth { get; set; }
-
-      [Option('q', "quanityt", HelpText = "Order quantity", Default = 1u)]
-      public uint quantity { get; set; }
-   };
-
-   public struct Market {
-      public SecurityImmutable security;
-      public IntPrice? bid;
-      public IntPrice? ask;
-   }
-
-   public static class OrderStress {
-      static IEnumerable<Market> all_markets(ServiceContext ctx) {
-         var channels =
-            UserSymbol.get_all()
-            .Select(u =>
-               new SecurityChannel() {
-                  Time = 0,
-                  Flags = (int)(MDRequest.Types.Flags.Direct | MDRequest.Types.Flags.Implied),
-                  Type = u.type,
-                  Symbol = u.symbol,
-                  Exchange = u.exchange
-               }
-            );
-         var request = new MDRequest() { Host = "system_test" };
-         request.Channels.AddRange(channels);
-
-         var relay = ctx.locate<MarketDataRelay>();
-         System.Threading.Thread.Sleep(100);
-         var result = relay.requestmd(request);
-
-         foreach (var ch in result.Channels) {
-            foreach (var update in ch.Updates) {
-               if (update.Security != null) {
-                  var m = new Market() {
-                     security = new SecurityImmutable(update.Security),
-                     bid = best(
-                        (a,b) => a > b ? a : b,
-                        update.Direct?.Bids?.FirstOrDefault(), update.Implied?.Bids?.FirstOrDefault()),
-                     ask = best(
-                        (a,b) => a < b ? a : b,
-                        update.Direct?.Asks?.FirstOrDefault(), update.Implied?.Asks?.FirstOrDefault())
-                  };
-                  if (m.bid.HasValue || m.ask.HasValue) {
-                     yield return m;
-                  }
-               }
-            }
-         }
-      }
-
-      private static IntPrice? best(Func<IntPrice, IntPrice,IntPrice> comp, params PriceSizeMessage[] ps) {
-         IntPrice? result = null;
-         foreach (var p in ps) {
-            if (p != null) {
-               var ip = new IntPrice(p.Mantissa, (sbyte)p.Exponent);
-               if (result == null) {
-                  result = ip;
-               }
-               else {
-                  result = comp(result.Value, ip);
-               }
-            }
-         }
-         return result;
-      }
-
-      static Create mkorder(uint security, double price, uint size, Side side) {
-         return new Create {
-            Price = price,
-            Quantity = size,
-            NewOrder = new OrderDefinition {
-               SecurityKey = security,
-               Side = side,
-               TimeInForce = TimeInForce.Day,
-               ManualOrderIndicator = ManualOrderIndicator.Yes,
-               CtiCode = CTICode.CtiCode1,
-               CustomerOrFirm = CustomerOrFirm.Firm,
-               AccountId = 1,
-               UserId = 1,
-               CustomDef = new CustomOrderDefinition {
-                  Limit = new LimitOrderDefinition()
-               }
-            }
-         };
-      }
-
-      public static int Run(OrderStressOptions o) {
-
-         var ctx = new ServiceContext();
-         ConsoleEx.WriteLine("Please log in to Spark", ConsoleColor.Yellow);
-         ConsoleEx.Write("Username: ", ConsoleColor.Yellow);
-         var name = Console.ReadLine();
-         ConsoleEx.Write("Password: ", ConsoleColor.Yellow);
-         var pw = Console.ReadLine();
-
-         var login_result = ctx.login(name, pw);
-         if (!login_result.Result.success) {
-            ConsoleEx.WriteLine("Invalid Credentials", ConsoleColor.Red);
-         }
-
-         if (Configuration.get<config.DeploymentType>().type.ToUpper() == "PROD") {
-            ConsoleEx.WriteLine("Refusing to run on production system", ConsoleColor.Red);
-            return -1;
-         }
-
-         var orders = ctx.locate<OrderService>();
-         foreach (var m in all_markets(ctx)) {
-            ConsoleEx.WriteLine(m.security.security_desc(), ConsoleColor.White);
-            var tick = m.security.ContractSpec.LowTick;
-            if (m.bid.HasValue) {
-               // start at bid and place 1 order at 10 levels
-               for (var x=0; x < o.depth; ++x) {
-                  var price = m.bid.Value.price() - (tick * x);
-                  ConsoleEx.WriteLine($"Buy {o.quantity} at {price}", ConsoleColor.Blue);
-                  orders.create_order_async(mkorder(m.security.Id, price, o.quantity, Side.Buy));
-                  System.Threading.Thread.Sleep(o.sleep);
-               }
-            }
-            if (m.ask.HasValue) {
-               for (var x = 0; x < o.depth; ++x) {
-                  var price = m.ask.Value.price() + (tick * x);
-                  ConsoleEx.WriteLine($"Sell {o.quantity} at {price}", ConsoleColor.Red);
-                  orders.create_order_async(mkorder(m.security.Id, price, o.quantity, Side.Sell));
-                  System.Threading.Thread.Sleep(o.sleep);
-               }
-            }
-         }
-         return 3;
-      }
-   }
-
-}

src/client/sparkcmd/Program.cs

@@ -13,29 +13,47 @@ using System.Reflection;
 namespace sparkcmd {
    class Program {
 
-      // static object option<T>(Func<T,int> run) {return run;}
-      // static Type argType(object arg) {
-      //    return arg.GetType().GetGenericArguments().First();
-      // }
-      // static int Run(Func<IEnumerable<Error>,int> on_error, params object[] args) {
-      //    var types = args.Select(argType).ToArray();
-      //    var parse = CommandLine.Parser.Default.GetType().GetMethod("ParseArguments", BindingFlags.Public).MakeGenericMethod(types);
-      //    return 3;
-      // }
+      static object option<T>(Func<T, int> run) { return run; }
+      static Type argType(object arg) {
+         return arg.GetType().GetGenericArguments().First();
+      }
+      static int Run(Func<IEnumerable<Error>, int> on_error, params Type[] runners) {
+         var run_methods =
+            runners
+            .Select(r => r.GetMethod("Run", BindingFlags.Static | BindingFlags.Public))
+            .ToList();
+         var args =
+            run_methods
+            .Select(m => m.GetParameters().First().GetType());
+
+         var parser = Parser.Default.GetType().GetMethod("ParseArguments", new[] { typeof(IEnumerable<string>) });
+
+         //var types = args.Select(argType).ToArray();
+         //var parse = CommandLine.Parser.Default.GetType().GetMethod("ParseArguments", BindingFlags.Public).MakeGenericMethod(types);
+         return 3;
+      }
       static int Main(string[] args) {
          mbts.utils.BTSNativeMethods.provide_command_line(args, args.Length);
-         // note: this can be made to infer the options type list from the list of delegates
-         return Parser.Default
-         .ParseArguments<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions,OrderStressOptions >(args)
-         .MapResult<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions,OrderStressOptions,int>(
-            Configcheck.Run,
-            ScriptClientCommand.Run,
-            TailService.Run,
-            ServiceTest.Run,
-            SettingsManagerCommand.Run,
-            TestCommand.Run,
-            OrderStress.Run,
-            errors => 1);
+
+         //return Parser.Default
+         //.ParseArguments<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions>(args)
+         //.MapResult<ConfigcheckOptions,ScriptClientOptions,TailServiceOptions,ServiceTestOptions,SettingsManagerOptions,TestCommandOptions,int>(
+         //   Configcheck.Run,
+         //   ScriptClientCommand.Run,
+         //   TailService.Run,
+         //   ServiceTest.Run,
+         //   SettingsManagerCommand.Run,
+         //   TestCommand.Run,
+         //   errors => 1);
+
+         return Run(
+            errors => 1,
+            typeof(Configcheck),
+            typeof(ScriptClientCommand),
+            typeof(TailService),
+            typeof(ServiceTest),
+            typeof(SettingsManagerCommand),
+            typeof(TestCommand));
       }
    }
 }

src/lib/api/public/Update.h

@@ -81,6 +81,11 @@ namespace api {
                for (size_t x = 0; x < raw.added_keys.size(); ++x) {
                   (*state)[raw.added_keys[x]] = raw.added_items[x];
                }
+               std::vector<T> all;
+               all.reserve(state->size());
+               for (const auto& item : *state) {
+                  all.push_back(item.second);
+               }
                //
                // Change
                std::vector<Change<T>> changed;
@@ -89,13 +94,6 @@ namespace api {
                   changed.push_back(Change<T>{(*state)[raw.changed_keys[x]], raw.changed_items[x]});
                   (*state)[raw.changed_keys[x]] = raw.changed_items[x];
                }
-               //
-               // All
-               std::vector<T> all;
-               all.reserve(state->size());
-               for (const auto& item : *state) {
-                  all.push_back(item.second);
-               }
                
                return Update<T, TKey, ServiceType>(all, raw.added_items, changed, removed);
             }

src/lib/md/MBOServiceServer.cpp

@@ -148,14 +148,14 @@ std::optional<uint32_t> search_orders(const ExchangeOrderKey oid, const std::vec
       const auto& oo = orders[x];
       if (oo.id == oid) {
          if (oo.price == price) return { position };
-         else return 0;
+         else return 0 ;
       }
       else if (price == oo.price) {
-         position += oo.size;
+         position += 1;
       }
       else {
          price = oo.price;
-         position = oo.size;
+         position = 1;
       }
    }
    return std::nullopt;

src/lib/md/MBOServiceServer.h

@@ -2,7 +2,6 @@
 #include "lib/api/public/ServiceContext.h"
 #include "lib/api/services/MBOService.server.pb.h"
 #include <memory>
-#include <optional>
 
 namespace bts { 
 namespace utils { class Dispatcher; }
@@ -25,5 +24,4 @@ class MBOServiceServer : public MBOServiceBase {
 
 };
 
-
 }} //namespace 

src/lib/md/test/mbo_tests.cpp

@@ -9,10 +9,6 @@
 
 namespace bts {
 namespace md {
-
-// fwd declare from MBOServiceServer.cpp
-std::optional<uint32_t> search_orders(const ExchangeOrderKey oid, const std::vector<SnapshotOrder>& orders);
-
 namespace test {
 int mbo_tests = 0;
 
@@ -206,7 +202,6 @@ TEST_CASE("MBO sort order", "[md][mbo]") {
    }
 }
 
-
 TEST_CASE("MBO change price and size", "[md][mbo]") {
    // When an order's size goes up it gets a new priority
    Co2TestInstrument instr { "MBO", api::SECURITYTYPE_FUTURE };
@@ -293,27 +288,7 @@ TEST_CASE("MBO change price and size", "[md][mbo]") {
       }
    }
    }
-
-   // Do some tests on the snapshot
-   MBOSnapshot result;
-   copy_to_snapshot(state, &result);
-
-   auto ask30 = search_orders(ExchangeOrderKey(701267928346), result.asks); 
-   REQUIRE(ask30);
-   REQUIRE(*ask30 == 0);
-
-   auto bid2875 = search_orders(ExchangeOrderKey(701267993135), result.bids);
-   REQUIRE(bid2875);
-   REQUIRE(*bid2875 == 20);
    
-   bid2875 = search_orders(ExchangeOrderKey(701267299079), result.bids);
-   REQUIRE(bid2875);
-   REQUIRE(*bid2875 == 6);
-
-   auto not_bid = search_orders(ExchangeOrderKey(701967299879), result.bids);
-   auto not_ask = search_orders(ExchangeOrderKey(701967299879), result.asks);
-   REQUIRE(!not_bid);
-   REQUIRE(!not_ask);
 }
 
 }}}