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22 Commits
Author SHA1 Message Date
Kevin Darby 0d24062f03 Merge branch 'dotnet' of bitbucket.org:bluetradesys/spark into windows_docker 2020-01-08 17:25:30 -05:00
Kevin Darby 44e0eae281 Merge branch 'master' of bitbucket.org:bluetradesys/spark into dotnet 2020-01-08 17:24:55 -05:00
Kevin Darby 152ab05b4e remove externals sharing 2020-01-08 17:08:49 -05:00
Kevin Darby 4257a172c1 fixed shared obj dir on linux build 2019-12-31 12:39:54 -05:00
Kevin Darby 721a08c4b4 remove these CMakeDeps so gitignore can ignore 2019-12-31 10:44:32 -05:00
Kevin Darby 41a3535e84 made some minor changes to support running a dev environment in our api docker on windows 2019-12-31 10:07:55 -05:00
Kevin Darby 626629bf06 added spark_vm_shell for windows 2019-12-31 10:06:54 -05:00
Eric Harding 487aaef02f update cmake 2019-12-16 13:12:50 -05:00
Eric Harding f22fc03e56 merge master 2019-12-16 12:54:19 -05:00
Kevin Darby 5f45ddf210 wack vs backwack 2019-11-28 02:46:27 +00:00
Kevin Darby d6a533ca5c PR feedback 2019-11-27 17:21:24 -05:00
Kevin Darby 20e58dc80b address PR concerns 2019-11-13 16:46:36 -05:00
Kevin Darby 5773945791 add data dir for .net in linux
make sparkcmd build in the right place on windows again
2019-11-11 17:12:55 -05:00
Kevin Darby 721c889235 release mode uses published sparkcmd 2019-11-06 18:22:06 -05:00
Kevin Darby 9957af655f hooked sparkcmd linux build to the main server build stuff 2019-11-06 17:47:21 -05:00
Kevin Darby eab92fb486 damn windows casing 2019-11-06 13:55:29 -05:00
Kevin Darby 9f1cd47cfa hooking build to cmake 2019-11-06 13:55:07 -05:00
Kevin Darby 90c3edbbe7 adding core 2 back to docker per eric 2019-11-06 13:24:57 -05:00
Kevin Darby adee8b584c capitalized first letter of proto to work around a protoc bug 2019-11-06 12:43:27 -05:00
Kevin Darby 329ad323e0 delete protos to change case on windows 2019-11-06 12:41:37 -05:00
Kevin Darby c713b97441 cleanup csproj 2019-11-05 18:23:09 -05:00
Kevin Darby eb79264b9b netcore builds on linux through dotnet build 2019-11-05 18:19:17 -05:00
90 changed files with 306 additions and 577 deletions

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+1
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@@ -34,3 +34,4 @@ trace_data/
/doc/user/public/*
.ionide/*
/.ignore
CMakeDeps.cmake
+5 -6
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@@ -46,7 +46,7 @@
"sourceFileMap": {
"/home/bts/spark/": "${workspaceRoot}"
}
},
},
{
"name": "(gdb) Launch",
"type": "cppdbg",
@@ -345,12 +345,11 @@
"name": ".NET Core Remote Launch",
"type": "coreclr",
"request": "launch",
"program": "/usr/bin/dotnet",
"program": "sparkcmd",
"args": [
"sparkcmd.dll",
"test",
"test_join_create_and_takeout_market"
],
"env": {"LD_LIBRARY_PATH" : "."},
"stopAtEntry": false,
"cwd": "/home/bts/spark/build/ninja_debug/server",
"pipeTransport": {
@@ -361,11 +360,11 @@
"debuggerPath": "/home/bts/vsdbg/vsdbg",
"pipeCwd": "${workspaceRoot}",
"quoteArgs": true
},
},
"sourceFileMap": {
"/home/bts/spark/": "${workspaceRoot}"
},
"justMyCode": false
},
},
]
}
+11
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@@ -48,6 +48,7 @@ else ()
add_subdirectory(doc/user)
add_subdirectory(src/sdk)
add_subdirectory(src/data_files)
add_subdirectory(src/client)
add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/server
COMMAND mkdir -p ${CMAKE_BINARY_DIR}/server
@@ -59,7 +60,17 @@ else ()
COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
COMMENT "Creating server runtime layout"
DEPENDS sparkd data_files_dir spark_client_dir
DEPENDS sparkd data_files_dir)
add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
if(${CMAKE_BUILD_TYPE} STREQUAL "Debug")
add_custom_command(TARGET server_layout POST_BUILD
COMMAND ln -fs ${CMAKE_BINARY_DIR}/../${CMAKE_BUILD_TYPE}/bin/netcoreapp3.0/linux-x64/sparkcmd ${CMAKE_BINARY_DIR}/server/ )
else()
add_custom_command(TARGET server_layout POST_BUILD
COMMAND ln -fs ${CMAKE_BINARY_DIR}/../${CMAKE_BUILD_TYPE}/bin/netcoreapp3.0/linux-x64/publish/sparkcmd ${CMAKE_BINARY_DIR}/server/ )
endif()
endif()
@@ -71,12 +71,12 @@ The first step is to start the spark_sdk Docker container with the examples dire
Windows Command Prompt:
{% clipable() %}
docker run --rm -it -v %CD%:/examples -u bts -w /examples --shm-size 2048m --name spark_sdk -h spark_sdk --cap-add=SYS_PTRACE --security-opt seccomp=unconfined -p 9000:9000 -p 9001:9001 spark_sdk bash
docker run --rm -it -v %CD%:/examples -u bts -w /examples --shm-size 1024m --name spark_sdk -h spark_sdk --cap-add=SYS_PTRACE --security-opt seccomp=unconfined -p 9000:9000 -p 9001:9001 spark_sdk bash
{% end %}
**Powershell** / Linux / Mac:
{% clipable() %}
docker run --rm -it -v ${PWD}:/examples -u bts -w /examples --shm-size 2048m --name spark_sdk -h spark_sdk --cap-add=SYS_PTRACE --security-opt seccomp=unconfined -p 9000:9000 -p 9001:9001 spark_sdk bash
docker run --rm -it -v ${PWD}:/examples -u bts -w /examples --shm-size 1024m --name spark_sdk -h spark_sdk --cap-add=SYS_PTRACE --security-opt seccomp=unconfined -p 9000:9000 -p 9001:9001 spark_sdk bash
{% end %}
### Attach
+1 -1
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@@ -1 +1 @@
set(sources /home/ppinto/Dropbox/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
set(sources /home/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
-9
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@@ -4,15 +4,6 @@ weight = 3
sort_by = "weight"
insert_anchor_links = "right"
+++
## 2.15.3
### Bug Fixes
- Fixed a bug where some CME currency spreads exhibited incorrect tick values
## 2.15.2
### User Visible Changes
- Excel RTD plugin can now receive ICE market data
## 2.15.1
### Bug Fixes
- Fixed a FIX log parsing issue that resulted in exchange gateway logon problems
## 2.15.0
### User Visible Changes
- Added ability to hide Ladder status messages via Ladder Settings -> Left Panel tab -> Show/Hide groupbox -> Status Message
+19
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@@ -0,0 +1,19 @@
cmake_minimum_required(VERSION 3.5)
project(spark_client)
include(${CMAKE_SOURCE_DIR}/tools/safe_dep_glob.cmake)
file(GLOB_RECURSE spark_client_sources RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} *.cs)
file(GLOB_RECURSE spark_client_csproj RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} *.csproj)
file(GLOB_RECURSE spark_ui_sources RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} spark/*.cs)
file(GLOB_RECURSE spark_ui_csproj RELATIVE ${CMAKE_CURRENT_SOURCE_DIR} spark/*.csproj)
list(REMOVE_ITEM spark_ui_sources ${spark_client_sources} )
list(REMOVE_ITEM spark_ui_csproj ${spark_client_csproj} )
add_custom_command(OUTPUT ${CMAKE_BINARY_DIR}/../
COMMAND /bin/bash ${CMAKE_CURRENT_SOURCE_DIR}/build_spark_dotnetcore.sh
ARGS ${CMAKE_BUILD_TYPE} ${CMAKE_BINARY_DIR}
COMMENT "Building sparkcmd in netcore3"
DEPENDS libspark ${spark_client_sources} ${spark_client_csproj} ${CMAKE_CURRENT_SOURCE_DIR}/build_spark_dotnetcore.sh)
add_custom_target(spark_client_dir ALL DEPENDS ${CMAKE_BINARY_DIR}/../)
@@ -5,6 +5,7 @@
<SparkRoot>$([System.IO.Path]::GetFullPath($(MSBuildThisFileDirectory)\..\..))</SparkRoot>
<SourceRoot>$([System.IO.Path]::GetFullPath($(SparkRoot)\src))</SourceRoot>
<Externals>$(SparkRoot)\externals\windows</Externals>
<Externals Condition=" '$(OS)' != 'Windows_NT' ">$(SparkRoot)/externals/linux</Externals>
<DepotName>$([System.IO.Path]::GetFileName($([System.IO.Path]::GetFullPath($(SparkRoot)))))</DepotName>
<ErrorReport>None</ErrorReport>
<Prefer32Bit>False</Prefer32Bit>
@@ -19,20 +20,25 @@
<OutputPath>$(BaseOutputPath)\bin</OutputPath>
<BaseIntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
<IntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</IntermediateOutputPath>
<BaseIntermediateOutputPath Condition=" '$(OS)' != 'Windows_NT' ">$(BaseOutputPath)\linuxobj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
<IntermediateOutputPath Condition=" '$(OS)' != 'Windows_NT' ">$(BaseOutputPath)\linuxobj\$(MSBuildProjectName)</IntermediateOutputPath>
<GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
</PropertyGroup>
<Import Project="$(ComputerSpecificConfig)" Condition="Exists($(ComputerSpecificConfig))" />
<ItemGroup>
<AvailableItemName Include="Proto2">
<Targets>CompileProto3</Targets>
<Targets Condition=" '$(OS)' == 'Windows_NT' " >CompileProto2</Targets>
<Targets Condition=" '$(OS)' != 'Windows_NT' " >CompileProto2Linux</Targets>
</AvailableItemName>
<AvailableItemName Include="Proto3">
<Targets>CompileProto3</Targets>
<Targets Condition=" '$(OS)' == 'Windows_NT' " >CompileProto3</Targets>
<Targets Condition=" '$(OS)' != 'Windows_NT' " >CompileProto3Linux</Targets>
</AvailableItemName>
<AvailableItemName Include="Proto3Excel">
<Targets>CompileProto3Excel</Targets>
<Targets Condition=" '$(OS)' == 'Windows_NT' ">CompileProto3Excel</Targets>
</AvailableItemName>
</ItemGroup>
@@ -43,6 +49,14 @@
<protogen>$(Externals)\bin\protogen.exe</protogen>
</PropertyGroup>
<PropertyGroup Label="ProtoBuf" Condition=" '$(OS)' != 'Windows_NT' ">
<ProtocPluginBase>$(SparkRoot)/src/lib/api/service_compiler</ProtocPluginBase>
<ProtoInclude>$(Externals)/include</ProtoInclude>
<protoc>$(Externals)/bin/protoc</protoc>
<protoc_rename>$(Externals)/bin/lowercase_files.sh</protoc_rename>
<protogen>$(Externals)/bin/protogen</protogen>
</PropertyGroup>
<ItemDefinitionGroup>
<Proto2>
</Proto2>
@@ -3,7 +3,7 @@
<Target Name="CompileProto2"
Condition="'@(Proto2)'!=''"
Condition="'@(Proto2)'!='' AND '$(OS)' == 'Windows_NT' "
Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)"
Outputs="$(GenDir)\proto2\%(Proto2.filename).cs"
AfterTargets="PreBuildEvent">
@@ -28,7 +28,7 @@
passes wipes out the additional compile includes that we add.
-->
<Target Name="CompileProto3" AfterTargets="GetAssemblyVersion"
Condition="'@(Proto3)'!=''"
Condition="'@(Proto3)'!='' AND '$(OS)' == 'Windows_NT' "
Inputs="$(protoc);
%(Proto3.Identity);$(ProtocPluginBase)\plugin.py;
$(ProtocPluginBase)\templates\c#\client.pb.cs;
@@ -58,7 +58,7 @@
</Target>
<Target Name="CompileProto3Excel" AfterTargets="GetAssemblyVersion"
Condition="'@(Proto3Excel)'!=''"
Condition="'@(Proto3Excel)'!='' AND '$(OS)' == 'Windows_NT' "
Inputs="$(protoc);
%(Proto3Excel.Identity);$(ProtocPluginBase)\plugin.py;
$(ProtocPluginBase)\templates\excel\excel.pb.cs;"
@@ -82,12 +82,74 @@
</ItemGroup>
</Target>
<Target Name="CompileProto2Linux"
Condition="'@(Proto2)'!='' AND '$(OS)' != 'Windows_NT' "
Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)"
Outputs="$(GenDir)/proto2/%(Proto2.filename).cs"
AfterTargets="PreBuildEvent">
<PropertyGroup>
<SourceRelativeFile>$([System.String]::Copy('%(proto2.fullpath)').Replace($(SourceRoot), ''))</SourceRelativeFile>
<SourceRelativeDir>$([System.IO.Path]::GetDirectoryName($(SourceRelativeFile)))</SourceRelativeDir>
<WorkingDirectory>$(GenDir)/proto2</WorkingDirectory>
</PropertyGroup>
<MakeDir Directories="$(WorkingDirectory)" />
<Copy SourceFiles="%(Proto2.FullPath)" DestinationFolder="$(WorkingDirectory)" SkipUnchangedFiles="True" UseHardLinksIfPossible="True" />
<Error Text="protogen.exe does not exist. If you forgot to clone with externals try: git submodule update --init --recursive" Condition="!Exists($(protogen))" />
<Message Importance="High" Text="Doing Proto2 %(proto2.filename)" />
<Exec Command="$(Protogen) %(Proto2.filename)%(proto2.extension) --csharp_out=. -I. -I$(SourceRoot) -I$(Externals)/include"
WorkingDirectory="$(WorkingDirectory)" />
<ItemGroup>
<Compile Include="$(WorkingDirectory)/%(Proto2.filename).cs" />
</ItemGroup>
</Target>
<Target Name="CompileProto3Linux" AfterTargets="GetAssemblyVersion"
Condition="'@(Proto3)'!='' AND '$(OS)' != 'Windows_NT' "
Inputs="$(protoc);
%(Proto3.Identity);$(ProtocPluginBase)/plugin.py;
$(ProtocPluginBase)/templates/c#/client.pb.cs;
$(ProtocPluginBase)/templates/c#/server.pb.cs;
$(ProtocPluginBase)/templates/c#/immutable.pb.cs;"
Outputs="%(Proto3.OutCS);%(Proto3.OutCSServer);%(Proto3.OutCSClient);%(Proto3.OutCSImmutable)">
<MakeDir Directories="%(Proto3.OutBase)" />
<MakeDir Directories="$(IntermediateOutputPath)/gen" />
<Message Importance="High" Text="Generating service %(Proto3.FileName)" />
<Exec Command="
PYTHONPATH=$(Externals)/python $(protoc) \
%(Proto3.FullPath) \
--error_format=gcc \
--proto_path=$(protoinc):$(SourceRoot) \
--plugin=&apos;protoc-gen-service=$(ProtocPluginBase)/plugin.py&apos; \
--service_out=lang=c#,strip_out_path=1:%(Proto3.OutBase) \
--csharp_out=%(CompileOptions)%(Proto3.OutBase)"
WorkingDirectory="%(relativedir)" />
<!-- <Exec Command="$(protoc_rename) %(Proto3.OutBase)" /> -->
<ItemGroup>
<Compile Include="%(Proto3.OutCS)" />
<Compile Include="%(Proto3.OutCSClient)" />
<Compile Include="%(Proto3.OutCSServer)" />
<Compile Include="%(Proto3.OutCSImmutable)" />
</ItemGroup>
</Target>
<!-- <Target Name="RenameProto3Linux" AfterTargets="CompileProto3Linux"
Condition="'@(Proto3)'!='' AND '$(OS)' != 'Windows_NT' ">
<Move SourceFiles="$(OutBase)\Apicore.cs" DestinationFiles="$(OutBase)\apicore.cs" />
<Move SourceFiles="$(OutBase)\Apioptions.cs" DestinationFiles="$(OutBase)\apioptions.cs" />
<Move SourceFiles="$(OutBase)\Co2.cs" DestinationFiles="$(OutBase)\co2.cs" />
</Target> -->
<Target Name="AfterClean" AfterTargets="Clean">
<Delete Files="%(Proto3.OutCS)" />
<Delete Files="%(Proto3.OutCSClient)" />
<Delete Files="%(Proto3.OutCSServer)" />
<Delete Files="%(Proto3.OutCSImmutable)" />
<Delete Files="$(GenDir)\proto2\*" />
<Delete Files="$(GenDir)/proto2/*" />
<Delete Files="%(Proto3Excel.OutCSExcel)" />
</Target>
+14
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@@ -0,0 +1,14 @@
#!/bin/bash
#$1 = Debug / Release (CMAKE_BUILD_TYPE), $2 = CMAKE_BINARY_DIR
cd "$(dirname "$0")"
echo $PWD dotnet build -c $1 ./sparkcmd/
dotnet build -c $1 -o $2/../$1/bin/netcoreapp3.0/linux-x64 ./sparkcmd/
if [ "$1" == "Release" ]
then
dotnet publish -c $1 -o $2/../$1/bin/netcoreapp3.0/linux-x64 ./sparkcmd/
ln -fs $2/src/lib/libspark.so $2/../$1/bin/netcoreapp3.0/linux-x64/publish
fi
ln -fs $2/src/lib/libspark.so $2/../$1/bin/netcoreapp3.0/linux-x64
@@ -292,9 +292,7 @@ namespace mbts.spark {
int count = 0;
double factored_base = log10_diff > 0 ? reduced_target_base * Math.Pow(10, Math.Ceiling(log10_diff)) : reduced_target_base;
do {
// Note that the modulus operator is not used here due to rounding errors.
// Such a rounding errror was the cause of the bug https://bluetradesys.atlassian.net/browse/SP-283.
if (MathUtils.is_int(factored_base / raw_base))
if (factored_base % raw_base == 0)
return new TickFactors(factored_base, factored_base / raw_base);
factored_base *= 10;
} while (++count < 10);
-2
View File
@@ -1,2 +0,0 @@
dotnet pack
dotnet nuget push
+1 -1
View File
@@ -25,7 +25,7 @@
<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/md/protos/Co2.proto" />
<Proto3 Include="../../lib/domain_model/Security.proto" />
<Proto3 Include="../../lib/sparkproto/SparkProtos.proto" />
<Proto3 Update="../../lib/api/services/OutOfProcessURLListener.proto">
@@ -28,5 +28,8 @@ namespace bts.utils
[DllImport("libspark")]
public static extern bool initialize_nothrow(StringBuilder buffer, int length);
//public static string bts_data_path()
//use mbts.config.Configuration.get<bts.config.System>().data_path;
}
}
@@ -70,10 +70,13 @@ namespace bts.test {
psi.RedirectStandardOutput = true;
psi.RedirectStandardError = true;
psi.UseShellExecute = false;
try{
var p = Process.Start(psi);
p.WaitForExit((int)time_out.TotalMilliseconds);
var errorlevel = p.ExitCode;
string stdout = p.StandardOutput.ReadToEnd();
string stderr = p.StandardError.ReadToEnd();
if (p.HasExited) {
return 0;
}
+1 -1
View File
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>netstandard2.0</TargetFramework>
<TargetFrameworks>netstandard2.0</TargetFrameworks>
<AllowUnsafeBlocks>true</AllowUnsafeBlocks>
<Platforms>x64</Platforms>
<PlatformTarget>AnyCPU</PlatformTarget>
@@ -66,23 +66,9 @@ namespace bts.excel.rtd
if (string.IsNullOrEmpty(contract))
return Observable.Return(new []{"Can't Parse Contract: " + contract ?? string.Empty});
Func<SecurityImmutable, bool> desc = null;
switch(ven)
{
case Venue.Sim:
case Venue.Glbx:
desc = (x=> x.Glbx.SecurityDesc == contract);
break;
case Venue.Ice:
desc = (x=> x.Ice.SecurityDesc == contract);
break;
default:
desc = (x => true);
break;
}
Func<SecurityImmutable, bool> where = (x => x.Exchange == ven && x.Symbol == symbol && x.security_type() == sectype &&
x.Glbx.SecurityDesc == contract);
Func<SecurityImmutable, bool> where = (x => x.Exchange == ven && x.Symbol == symbol && x.security_type() == sectype && desc(x) );
var stream = market_data(ven).subscribe_combined(where);
return stream;
}
Binary file not shown.
+8 -1
View File
@@ -1,6 +1,13 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFrameworks>netcoreapp2.1;net471</TargetFrameworks>
<TargetFrameworks>net471</TargetFrameworks>
<RuntimeIdentifiers>win7-x64</RuntimeIdentifiers>
<TargetFrameworks Condition = " '$(OS)' != 'Windows_NT' ">netcoreapp3.0</TargetFrameworks>
<RuntimeIdentifier Condition = " '$(OS)' != 'Windows_NT' ">linux-x64</RuntimeIdentifier>
<PublishTrimmed>true</PublishTrimmed>
<PublishSingleFile>true</PublishSingleFile>
<OutputType>Exe</OutputType>
<GeneratePackageOnBuild Condition="$(Configuration) == 'Release' or $(Configuration) == 'Release'">true</GeneratePackageOnBuild>
<PackageOutputPath>$(OutputPath)\net471</PackageOutputPath>
+1 -1
View File
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>netstandard2.0</TargetFramework>
<TargetFrameworks>netstandard2.0</TargetFrameworks>
<Platform>x64</Platform>
<PlatformTarget>x64</PlatformTarget>
</PropertyGroup>
+7 -2
View File
@@ -2,8 +2,13 @@
<PropertyGroup>
<OutputType>Exe</OutputType>
<TargetFrameworks>net471;netcoreapp2.1</TargetFrameworks>
<RuntimeIdentifiers>win7-x64;ubuntu.16.04-x64</RuntimeIdentifiers>
<TargetFramework>net471</TargetFramework>
<TargetFramework Condition = " '$(OS)' != 'Windows_NT' ">netcoreapp3.0</TargetFramework>
<RuntimeIdentifier Condition = " '$(OS)' != 'Windows_NT' ">linux-x64</RuntimeIdentifier>
<PublishTrimmed>true</PublishTrimmed>
<PublishSingleFile>true</PublishSingleFile>
<Authors>Blue Trading Systems</Authors>
<Company>Blue Trading Systems</Company>
<Product>Spark</Product>
-1
View File
@@ -1 +0,0 @@
set(sources files/cert_secure_logon.txt;files/futures.coconut.xz;files/onixs_ice/ConnectivityConfiguration.APITest.xml;files/onixs_ice/ConnectivityConfiguration.PerfTest.xml;files/onixs_ice/ConnectivityConfiguration.Production.xml;files/perf_trace/compiled.css;files/perf_trace/index.html;files/perf_trace/jquery-3.3.1.min.js;files/perf_trace/main.js;files/perf_trace/perf_log.sql;files/perf_trace/perf_trace_analysis.sql;files/perf_trace/plotly-latest.min.js)
-1
View File
@@ -1 +0,0 @@
set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;jetfix/codec/FIXArray.cpp;jetfix/common/OutFIX.cpp;jetfix/connection/AsyncReader.cpp;jetfix/connection/IConnection.cpp;jetfix/connection/SocketConnection.cpp;jetfix/gateway/CoreGateway.cpp;jetfix/gateway/JetFIXGateway.cpp;jetfix/gateway/Session.cpp;jetfix/store/FIXFileStore.cpp;jetfix/store/session_name.cpp;jetfix/tests/async_reader_tests.cpp;jetfix/tests/decoding_tests.cpp;jetfix/tests/fix_encoding_stream_tests.cpp;jetfix/tests/fix_fragment_tests.cpp;jetfix/tests/jetfix_performance_tests.cpp;jetfix/tests/sample_fix.cpp;jetfix/tests/store_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityMapper.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;md/vendor/OnixsUtils.cpp;mercury/actors/IPollableActor.cpp;mercury/broker/Broker.cpp;mercury/broker/BrokerProxy.cpp;mercury/broker/ILocalBroker.cpp;mercury/broker/IRemoteBroker.cpp;mercury/common/mercury_common.cpp;mercury/events/TimerEvent.cpp;mercury/executor/Executor.cpp;mercury/topics/Topic.cpp;metrics/metrics.cpp;metrics/system_metrics.cpp;orderman/actors/AsyncFactory.cpp;orderman/actors/FillStore.cpp;ordermanLine truncated
+1 -1
View File
@@ -1 +1 @@
set(sources api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityMapper.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;md/vendor/OnixsUtils.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessionManager.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;Line truncated
set(sources api/Apicore.proto;api/Apigateway.proto;api/Apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/ExchangeSimCfg.proto;config/protos/MarketData.proto;config/protos/Ports.proto;config/protos/Symbols.proto;config/protos/UI.proto;config/protos/cme_reference_data.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MemorySegmentUtils.cpp;md/PlatformLoader.cpp;md/PriceSize.cpp;md/SecurityCache.cpp;md/SecurityDB.cpp;md/SecurityIDRecorder.cpp;md/SecurityMapper.cpp;md/SecurityOracle.cpp;md/SettlementRecorder.cpp;md/Shm/FixedSecurity.cpp;md/SyntheticSecurityService.cpp;md/cme/MDP3Utils.cpp;md/common.cpp;md/ice/ICEUtils.cpp;md/protos/Co2.proto;md/relay/QueryServer.cpp;md/relay/RelayClient.cpp;md/relay/RelayRecorder.cpp;md/test/Co2ManagedTestHelper.cpp;md/test/Co2TestInstrument.cpp;md/test/mbo_tests.cpp;md/test/md2_tests.cpp;md/test/md_test_utils.cpp;md/test/synthetic_book_merge_tests.cpp;md/vendor/OnixsUtils.cpp;os/os.cpp;os/tests/os_tests.cpp;quickbus/core/LocalNode.cpp;quickbus/core/Quickbus.cpp;quickbus/core/SubscriptionID.cpp;quickbus/core/TableID.cpp;quickbus/message_model/Update.cpp;quickbus/message_model/merge_updates.cpp;quickbus/network/QBConnection.cpp;quickbus/network/QBConnectionManager.cpp;quickbus/network/endpoint_description.cpp;quickbus/network/quickbus_msgs.proto;quickbus/pubsub/TablePublisher.cpp;quickbus/pubsub/TableSubscriber.cpp;quickbus/pubsub/tests/qb_pubsub_tests.cpp;quickbus/routing/INode.cpp;quickbus/routing/NodeID.cpp;quickbus/routing/Router.cpp;quickbus/rpc/RPCClient.cpp;quickbus/rpc/RPCServer.cpp;quickbus/rpc/RPCSessionID.cpp;quickbus/rpc/rpc_utils.cpp;quickbus/rpc/tests/qb_rpc_tests.cpp;quickbus/tests/quickbus_tests.cpp;sparkproto/SparkProtos.proto;testing/catch_test_runner.cpp;utils/AuthSessionManager.cpp;utils/AuthToken.cpp;utils/Dispatcher.cpp;utils/GrowableSPSCQueue.cpp;utils/HTTPStream.cpp;utils/PBUtils.cpp;Line truncated
@@ -1,5 +1,5 @@
syntax="proto3";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
package bts.api;
option csharp_namespace="bts.api";
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.api.gateway;
option csharp_namespace="bts.api.gateway";
import "lib/api/apicore.proto";
import "lib/api/Apicore.proto";
message GatewayLogin {
string username = 1;
@@ -6,6 +6,9 @@ option csharp_namespace="bts.api";
extend google.protobuf.ServiceOptions {
string service_description = 8501;
}
extend google.protobuf.MessageOptions {
string protofix_message_type = 8505;
}
extend google.protobuf.MethodOptions {
string method_description = 8503;
bool skip_excel_generation = 8504;
+1 -1
View File
@@ -8,7 +8,7 @@
#include "../public/ServiceContext.h"
#include "../public/Result.h"
#include "lib/api/apicore.pb.h"
#include "lib/api/Apicore.pb.h"
#include "lib/config/protos/quickbus_cfg.pb.h"
#include "lib/config/protos/system.pb.h"
#include "lib/config/protos/Ports.pb.h"
+1 -1
View File
@@ -1,7 +1,7 @@
#pragma once
#include "lib/utils/bts_export.h"
#include "lib/api/apicore.pb.h"
#include "lib/api/Apicore.pb.h"
#include <string>
#include <vector>
+1 -1
View File
@@ -5,7 +5,7 @@
#include "ApiUtils.h"
#include "ServerChannel.h"
#include "StatefulPublisher.h"
#include "lib/api/apicore.pb.h"
#include "lib/api/Apicore.pb.h"
#include <google/protobuf/io/zero_copy_stream.h>
#include <functional>
+1 -1
View File
@@ -2,7 +2,7 @@
#include "ApiException.h"
#include "lib/api/apicore.pb.h"
#include "lib/api/Apicore.pb.h"
#include <memory>
#include <assert.h>
+1 -1
View File
@@ -2,7 +2,7 @@
#include "../core/ApiClientInterop.h"
#include "../core/ApiServerInterop.h"
#include "lib/api/apicore.pb.h"
#include "lib/api/Apicore.pb.h"
namespace bts {
namespace api {
+2
View File
@@ -2,6 +2,8 @@
import os, sys
from collections import namedtuple
#open("/home/bts/data2", 'wb').write("a")
DEBUG = 'DEBUG' in sys.argv
# cd to scripts working directory
+2 -2
View File
@@ -1,8 +1,8 @@
syntax="proto3";
package bts.api.admin;
option csharp_namespace="bts.api.admin";
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
//import "google/protobuf/timestamp.proto";
import "lib/domain_model/Security.proto";
import "lib/api/services/OrderService.proto";
@@ -2,8 +2,8 @@ syntax="proto3";
package bts.api.orderman.algo;
option csharp_namespace="bts.api.orderman.algo";
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/api/services/OrderService.proto";
import "google/protobuf/timestamp.proto";
+2 -2
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@@ -2,8 +2,8 @@ syntax="proto3";
package bts.api.orderman;
option csharp_namespace="bts.api.orderman";
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/api/services/OrderService.proto";
import "google/protobuf/timestamp.proto";
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.api.test;
option csharp_namespace="bts.api.test";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
message EmptyRequest {}
message UnitTestResult {
+2 -2
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@@ -1,8 +1,8 @@
syntax="proto3";
package bts.api.user;
option csharp_namespace="bts.api.user";
import "lib/api/apicore.proto";
import "lib/api/apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/api/Apioptions.proto";
message OperatorID { string tag50 = 10; }
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.api.position;
option csharp_namespace="bts.api.position";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
import "lib/api/services/PositionService.proto";
message GMI_ParseResult {
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.support;
option csharp_namespace="bts.support";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
import "google/protobuf/timestamp.proto";
message FileData {
+1 -1
View File
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.api.test;
option csharp_namespace="bts.api.test";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
message HelloRequest {
string name = 1;
+2 -2
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@@ -2,8 +2,8 @@ syntax="proto3";
package bts.md;
option csharp_namespace="bts.md";
option cc_enable_arenas=true;
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
message OrderPIQ {
uint32 order_id = 1 [(bts.api.key)=true];
+2 -2
View File
@@ -1,8 +1,8 @@
syntax="proto3";
package bts.api.position;
option csharp_namespace="bts.api.position";
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/api/services/PositionService.proto";
message MarginResult {
@@ -1,8 +1,8 @@
syntax="proto3";
package bts.api.md.auxiliary;
option csharp_namespace="bts.api.md.auxiliary";
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
message VolumeAtPriceLevel{
int32 record_id = 1 [(bts.api.key)=true];
+3 -3
View File
@@ -2,10 +2,10 @@ syntax="proto3";
package bts.co2;
option csharp_namespace="bts.co2";
option cc_enable_arenas=true;
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/domain_model/Security.proto";
import "lib/md/protos/co2.proto";
import "lib/md/protos/Co2.proto";
message ProductListReply {
repeated bts.api.Product products = 1;
+1 -1
View File
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.api.position;
option csharp_namespace="bts.api.position";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
import "lib/api/services/MarginService.proto";
message Money_ParseResult {
+2 -2
View File
@@ -2,11 +2,11 @@ syntax="proto3";
package bts.api.orderman;
option csharp_namespace="bts.api.orderman";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
import "lib/domain_model/Security.proto";
import "google/protobuf/timestamp.proto";
import "lib/sparkproto/SparkProtos.proto";
import "lib/api/apicore.proto";
import "lib/api/Apicore.proto";
service OrderService {
option (bts.api.service_description)="Implements order management";
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.api.browser;
option csharp_namespace="bts.api.browser";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
message URIRequest {
string uri = 1;
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.api.persistence;
option csharp_namespace="bts.api.persistence";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
message Record {
string key = 1 [(bts.api.key)=true];
+2 -2
View File
@@ -1,8 +1,8 @@
syntax="proto3";
package bts.api.position;
option csharp_namespace="bts.api.position";
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/domain_model/Security.proto";
import "google/protobuf/timestamp.proto";
@@ -1,8 +1,8 @@
syntax="proto3";
package bts.api.diagnostic;
option csharp_namespace="bts.api.diagnostic";
import "lib/api/apicore.proto";
import "lib/api/apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/api/Apioptions.proto";
message ScriptLines {
int32 id = 1;
@@ -1,8 +1,8 @@
syntax="proto3";
package bts.metrics;
option csharp_namespace="bts.metrics";
import "lib/api/apioptions.proto";
import "lib/api/apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/api/Apicore.proto";
message Tick {
int32 key = 1 [(bts.api.key)=true];
@@ -3,8 +3,8 @@ package bts.api.synthetic;
option csharp_namespace="bts.api.synthetic";
import "lib/api/apicore.proto";
import "lib/api/apioptions.proto";
import "lib/api/Apicore.proto";
import "lib/api/Apioptions.proto";
import "lib/domain_model/Security.proto";
//import "google/protobuf/timestamp.proto";
import "lib/sparkproto/SparkProtos.proto";
+1 -1
View File
@@ -2,7 +2,7 @@ syntax="proto3";
package bts.api;
option csharp_namespace="bts.api";
option cc_enable_arenas=true;
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
enum Venue {
VENUE_UNSET = 0;
-1
View File
@@ -49,7 +49,6 @@ enum class MessageTypes : uint32_t
TestRequest = '1',
TradingSessionStatus = 'h',
TradingSessionStatusRequest = 'g',
MDIncrementalUpdate = 'X',
ICETraderLogin = ('U' << 16) + ('C' << 8) + 'G',
ICETraderLoginResponse = ('U' << 16) + ('C' << 8) + 'I',
ICETraderLogout = ('U' << 16) + ('C' << 8) + 'H',
+8 -9
View File
@@ -18,8 +18,8 @@
#include <fmt/format.h>
#include <fstream>
#include <regex>
#include <thread>
#include <regex>
namespace bts {
namespace jetfix {
@@ -114,17 +114,16 @@ std::string store_path(std::string base_path,
return result.string();
}
static std::regex store_line_rx("\\d\\d\\d\\d\\d\\d\\d\\d-"
"\\d\\d:\\d\\d:\\d\\d\\."
"\\d\\d\\d . 8=FIX\\.4\\.2.*");
bool is_valid_store_line(std::string const &line) {
return std::regex_match(line, store_line_rx);
bool is_valid_store_line(std::string const&line) {
std::regex rx("\\d\\d\\d\\d\\d\\d\\d\\d-"
"\\d\\d:\\d\\d:\\d\\d\\."
"\\d\\d\\d . 8=FIX\\.4\\.2.*");
return std::regex_match(line, rx);
}
std::map<uint32_t, InMsgBuffer>
load_replay(config::JetFIX::Connection const &cfg, std::string const &path,
uint32_t) {
uint32_t ) {
std::map<uint32_t, InMsgBuffer> result;
if (boost::filesystem::exists(path)) {
@@ -138,7 +137,7 @@ load_replay(config::JetFIX::Connection const &cfg, std::string const &path,
if (!f.eof()) {
if (!is_valid_store_line(line_buffer))
continue;
if (line_buffer[22] == '<') {
auto ts =
datetime::parse_FIX_timestamp(line_buffer.substr(0, 21));
+1 -1
View File
@@ -7,7 +7,7 @@
#include "relay/RelayClient.h"
#include "lib/utils/Dispatcher.h"
#include "lib/utils/defer.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include <set>
#include <string>
#include <atomic>
+1 -1
View File
@@ -6,7 +6,7 @@
#include "lib/domain_model/SecurityKey.h"
#include "IntPrice.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "lib/domain_model/Security.pb.h"
#include <string>
File renamed without changes.
+2 -2
View File
@@ -14,9 +14,9 @@
#include "lib/logging/logging.h"
#include "lib/config/protos/system.pb.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "lib/md/SecurityCache.h"
#include "lib/api/apicore.pb.h"
#include "lib/api/Apicore.pb.h"
#include "lib/api/services/MarketDataRelay.server.pb.h"
#include "lib/api/public/ServiceContext.h"
#include "lib/api/services/AdminService.client.pb.h"
+1 -1
View File
@@ -8,7 +8,7 @@
#include <memory>
#include <boost/container/flat_set.hpp>
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
namespace bts {
namespace api { class ServiceContext; }
+1 -1
View File
@@ -12,7 +12,7 @@
#include "lib/config/protos/system.pb.h"
#include "lib/config/protos/MarketData.pb.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "lib/api/services/MarketDataRelay.client.pb.h"
#include "lib/api/public/ServiceContext.h"
#include "lib/utils/base64.hpp"
+1 -1
View File
@@ -8,7 +8,7 @@
#include <set>
#include <memory>
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
namespace bts {
namespace pubsub {
+1 -1
View File
@@ -8,7 +8,7 @@
#include "lib/utils/bts_chrono.h"
#include "lib/md/common.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "lib/md/SecurityIDRecorder.h"
#include "lib/config/protos/system.pb.h"
#include "lib/config/protos/MarketData.pb.h"
+1 -1
View File
@@ -2,7 +2,7 @@
#include "lib/utils/bts_export.h"
#include "../coconut2.h"
#include "lib/config/config.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "lib/utils/TimeStamp.h"
#include <tuple>
#include <vector>
+1 -1
View File
@@ -5,7 +5,7 @@
#include "lib/mercury/events/Event.h"
#include "lib/orderman/orderman_utils/orderman_common.h"
#include "lib/utils/bts_chrono.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "boost/container/small_vector.hpp"
namespace bts {
@@ -6,7 +6,7 @@ namespace bts {
namespace orderman {
class ChildTemplate;
struct LegData;
class LegData;
class PyramidAlgo : public IAlgoOrder {
public:
@@ -6,7 +6,7 @@ namespace bts {
namespace orderman {
class ChildTemplate;
struct LegData;
class LegData;
class TASAlgo : public IAlgoOrder {
public:
+1 -1
View File
@@ -1,7 +1,7 @@
syntax="proto3";
package bts.spark;
option csharp_namespace="bts.spark";
import "lib/api/apioptions.proto";
import "lib/api/Apioptions.proto";
// /***************************************Algo Order Support Data**********************************/
@@ -2,7 +2,7 @@
"name": "Spark sdk container",
"image": "spark_sdk",
"runArgs": [
"--shm-size", "2048m",
"--shm-size", "1024m",
"--cap-add=SYS_PTRACE", "--security-opt", "seccomp=unconfined",
"-u", "bts"
],
@@ -2,7 +2,7 @@
"name": "Spark sdk container",
"image": "spark_sdk",
"runArgs": [
"--shm-size", "2048m",
"--shm-size", "1024m",
"--cap-add=SYS_PTRACE", "--security-opt", "seccomp=unconfined",
"-u", "bts"
],
-1
View File
@@ -1 +0,0 @@
set(sources algo/AlgoDefinitionServiceServer.cpp;cmds/AdminReport.cpp;cmds/AutoCert.cpp;cmds/Benchmark.cpp;cmds/CmdRegistry.cpp;cmds/ConfigCheck.cpp;cmds/FIXSim.cpp;cmds/Help.cpp;cmds/KeyCode.cpp;cmds/Md.cpp;cmds/ParseHistoricalFIX.cpp;cmds/PrintHedgeOrders.cpp;cmds/QuickTest.cpp;cmds/Run.cpp;cmds/RunSim.cpp;cmds/Span.cpp;cmds/Test.cpp;cmds/TestCeloxica.cpp;cmds/Web.cpp;dspark/mirage/quick_queue/quick_queue.cpp;exchange_sim/ExchangeSim.cpp;exchange_sim/ExchangeSimApplication.cpp;exchange_sim/book/Book.cpp;exchange_sim/book/ExchangeSim.proto;exchange_sim/book/Order.cpp;exchange_sim/book/OrderMatcher.cpp;exchange_sim/book/book_transform.cpp;exchange_sim/tests/test_book_transform.cpp;http/ApiGateway.cpp;http/MultipartFormDecoder.cpp;http/WebServer.cpp;http/tests/MultiPartFormTests.cpp;main.cpp;md/ChannelVolume.cpp;md/MarketDataAuxiliaryServiceServer.cpp;md/VolumeAtPriceState.cpp;md/platforms/IMDPlatform.cpp;md/platforms/celoxica/CXListener.cpp;md/platforms/celoxica/CXMain.cpp;md/platforms/celoxica/tests/cx_tests.cpp;md/platforms/ice_onixs/ICEListener.cpp;md/platforms/ice_onixs/ICEMain.cpp;md/platforms/ice_onixs/tests/ice_tests.cpp;md/platforms/mdp3_onixs/MDP3Listener.cpp;md/platforms/mdp3_onixs/MDP3Main.cpp;md/platforms/mdp3_onixs/tests/mdp3_tests.cpp;md/run_md.cpp;position/IPositionObserver.cpp;position/MarginServiceCore.cpp;position/MarginServiceServer.cpp;position/PositionAggregator.cpp;position/PositionMap.cpp;position/PositionServicePNLHelper.cpp;position/PositionServiceServer.cpp;position/import/BasePositionServiceServer.cpp;position/import/DownloadCommonStateMachine.cpp;position/import/DownloadWindow.cpp;position/import/MoneyFileServiceServer.cpp;position/import/parsing/gmi_parser.cpp;position/import/parsing/money_parser.cpp;position/import/parsing/parser_common.cpp;position/tests/PositionTests.cpp;position/tests/position_tests_internal.cpp;subprocess/SubProcessRunner.cpp;support/ErrorReportService.cpp;support/ShellLatencyServer.cpp;user/AdminServiceServer.cpp;user/AuthServiceServer.cpp;user/tests/admin_service_tests.cpp)
+3 -1
View File
@@ -36,4 +36,6 @@ target_link_libraries( sparkd
-pthread)
add_custom_command(TARGET sparkd POST_BUILD
COMMAND ln -fs ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_CURRENT_BINARY_DIR})
COMMAND ln -fs ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_CURRENT_BINARY_DIR} )
@@ -1,416 +0,0 @@
#include "ParseHistoricalFIX.h"
#include "lib/jetfix/codec/FIXMsg.h"
#include "lib/jetfix/codec/FIXParser.h"
#include "lib/jetfix/codec/Fields.h"
#include "lib/jetfix/codec/Group.h"
#include "lib/jetfix/codec/MessageTypes.h"
#include "lib/utils/bts_chrono.h"
#include <fstream>
#include <unordered_map>
namespace bts {
namespace cmd {
using namespace jetfix;
typedef StringField<75> TradeDate;
typedef IntField<34> SeqNum;
typedef StringField<52> SendingTime;
typedef StringField<60> TransactTime;
typedef StringField<5799> MatchEventIndicator;
typedef IntField<268> NoMDEntries;
typedef StringField<279> MDUpateAction;
typedef StringField<269> MDEntryType;
typedef StringField<48> SecurityID;
typedef StringField<55> Symbol;
typedef StringField<83> ReptSeq;
typedef FloatField<270> MDEntryPx;
typedef IntField<271> MDEntrySize;
typedef IntField<346> NumberOfOrders;
typedef IntField<1023> MDPriceLevel;
typedef StringField<286> OpenCloseSettlFlag;
typedef StringField<731> SettlPriceType;
typedef StringField<5797> AggressorSide;
typedef StringField<37711> MDTradeEntryID;
typedef StringField<5796> TradingReferenceDate;
typedef StringField<1149> HighLimitPrice;
typedef StringField<1148> LowLimitPrice;
typedef StringField<1143> MaxPriceVariation;
typedef StringField<1180> ApplID;
typedef IntField<9633> ReferenceID;
typedef IntField<32> LastQty;
typedef IntField<37705> NoOrderIDEntries;
typedef StringField<37> OrderID;
typedef IntField<37707> MDOrderPriority;
typedef IntField<37706> MDDisplayQty;
typedef StringField<37708> OrderUpdateAction;
typedef Group<NoOrderIDEntries, OrderID, MDDisplayQty, MDOrderPriority,
OrderUpdateAction, ReferenceID, LastQty>
OrderIDEntries;
typedef Group<NoMDEntries, MDUpateAction, MDEntryType, SecurityID, Symbol,
ReptSeq, MDEntryPx, MDEntrySize, NumberOfOrders, MDPriceLevel,
OpenCloseSettlFlag, SettlPriceType, AggressorSide, MDTradeEntryID,
TradingReferenceDate, HighLimitPrice, LowLimitPrice,
MaxPriceVariation, ApplID, ReferenceID, LastQty, OrderID,
MDOrderPriority, MDDisplayQty>
MDEntries;
typedef FIXMsg<MessageTypes::MDIncrementalUpdate, TradeDate, SeqNum,
SendingTime, TransactTime, MatchEventIndicator, MDEntries,
OrderIDEntries>
MDIncrementalUpdate;
std::string to_str(std::string const &s) { return s; }
template <class V> std::string to_str(V const &v) { return std::to_string(v); }
template <class F, class G> std::string get_if_valid(G const &update) {
if (update.template has<F>())
return to_str(update.template get<F>());
else
return "";
}
void print_msg_headers(std::ostream &out) {
out << "MsgID,"
<< "TradeDate,"
<< "SeqNum,"
<< "SendingTime,"
<< "TransactTime,"
<< "MatchEventIndicator,"
<< "NoMDEntries,"
<< "NoOrderIDEntries\n";
}
void print_msgs(size_t msg_idx, MDIncrementalUpdate const &line,
std::ostream &out) {
line.get<SeqNum>();
out << msg_idx << "," << get_if_valid<TradeDate>(line) << ","
<< get_if_valid<SeqNum>(line) << "," << get_if_valid<SendingTime>(line)
<< "," << get_if_valid<TransactTime>(line) << ","
<< get_if_valid<MatchEventIndicator>(line) << ","
<< (line.has<MDEntries>() ? line.get<MDEntries>().size() : 0) << ","
<< (line.has<OrderIDEntries>() ? line.get<OrderIDEntries>().size() : 0)
<< "\n";
}
struct PriceSize {
double price = 0;
int32_t size = 0;
};
struct Book {
Book() {
book[0].resize(10);
book[1].resize(10);
}
std::string symbol;
std::string transact_time;
std::string send_time;
uint32_t seqnum;
std::array<std::vector<PriceSize>, 2> book;
};
size_t n_printed_books = 2;
void print_book_side(std::vector<PriceSize> const &side,
std::ostream &book_stream) {
for (size_t i = 0; i < n_printed_books; i++)
if (i < side.size())
book_stream << "," << side[i].price << "," << side[i].size;
else
book_stream << "," << 0 << "," << 0;
}
void print_book_header(std::ostream &book_stream) {
book_stream << "Symbol,SendingTime,TransactTime, SeqnNum";
for (size_t i = 0; i < n_printed_books; i++)
book_stream << ",bid_p_" << i << ",bid_sz_" << i;
for (size_t i = 0; i < n_printed_books; i++)
book_stream << ",ask_p_" << i << ",ask_sz_" << i;
book_stream << ",\n";
}
void print_book(Book &b, std::ostream &book_stream) {
book_stream << b.symbol << "," << b.send_time << "," << b.transact_time
<< "," << b.seqnum;
print_book_side(b.book[0], book_stream);
print_book_side(b.book[1], book_stream);
book_stream << "\n";
}
void update_and_maybe_print_book(MDIncrementalUpdate const &update,
std::unordered_map<std::string, Book> &books,
std::ostream &book_stream) {
std::set<Book *> to_update;
if (update.has<MDEntries>()) {
auto &md_entries = update.get<MDEntries>();
for (size_t i = 0; i < md_entries.size(); i++) {
auto &entry = md_entries[i];
if (entry.has<MDPriceLevel>()) {
if (entry.get<MDEntryType>() == "0" ||
entry.get<MDEntryType>() == "1") {
auto side = entry.get<MDEntryType>()[0] - '0';
auto &sym = entry.get<Symbol>();
auto &book = books[sym];
to_update.insert(&book);
auto &book_side = book.book[side];
book.symbol = sym;
book.transact_time = update.get<TransactTime>();
book.send_time = update.get<SendingTime>();
book.transact_time = update.get<TransactTime>();
book.seqnum = update.get<SeqNum>();
auto level = entry.get<MDPriceLevel>() - 1;
if (entry.get<MDUpateAction>() == "0") // new
book_side.insert(
book_side.begin() + level,
{entry.get<MDEntryPx>(), entry.get<MDEntrySize>()});
else if (entry.get<MDUpateAction>() == "1")
book_side[level] = {entry.get<MDEntryPx>(),
entry.get<MDEntrySize>()};
else
book_side.erase(book_side.begin() + level);
}
}
}
auto indicator = update.get<MatchEventIndicator>();
if (indicator[5] == '1')
for (auto b : to_update)
print_book(*b, book_stream);
}
}
void print_trades_header(std::ostream &trade_stream) {
trade_stream << "Symbol,SendingTime,TransactTime,MDEntryPx,MDEntrySize,"
"NumberOfOrders,AggressorSide,MDTradeEntryID,AgressorOID,"
"RestingOID,PartialQty";
trade_stream << "\n";
}
struct TradeSummaryItem {
std::string symbol;
std::string sending_time;
std::string transact_time;
double md_entry_px;
uint32_t md_entry_size;
uint32_t n_orders;
std::string agressor_side;
std::string md_trade_entry_id;
};
struct TradeOrder {
std::string order_id;
uint32_t last_qty;
};
struct TradeSummaryEvent {
std::vector<TradeSummaryItem> md_entries;
std::vector<TradeOrder> orderid_entries;
};
void print_trades(TradeSummaryEvent &event, std::ostream &trade_stream) {
size_t current_order = 0;
for (auto &trade : event.md_entries) {
for (auto i = current_order; i < current_order + trade.n_orders; i++) {
trade_stream << trade.symbol << "," << trade.sending_time << ","
<< trade.transact_time << "," << trade.md_entry_px << ","
<< trade.md_entry_size << "," << trade.n_orders << ","
<< trade.agressor_side << "," << trade.md_trade_entry_id
<< "," << event.orderid_entries[current_order].order_id
<< "," << event.orderid_entries[i].order_id << ","
<< event.orderid_entries[i].last_qty << "\n";
}
current_order += trade.n_orders;
}
}
void update_and_maybe_print_trades(MDIncrementalUpdate const &update,
TradeSummaryEvent &event,
std::ostream &trade_stream) {
if (update.has<MDEntries>()) {
auto &md_entries = update.get<MDEntries>();
bool is_trade_summary = false;
for (size_t i = 0; i < md_entries.size(); i++) {
auto &entry = md_entries[i];
if (entry.get<MDEntryType>() == "2") {
is_trade_summary = true;
TradeSummaryItem item;
item.symbol = entry.get<Symbol>();
item.sending_time = update.get<SendingTime>();
item.transact_time = update.get<TransactTime>();
item.md_entry_px = entry.get<MDEntryPx>();
item.md_entry_size = entry.get<MDEntrySize>();
item.n_orders = entry.get<NumberOfOrders>();
item.agressor_side = entry.get<AggressorSide>();
item.md_trade_entry_id = entry.get<MDTradeEntryID>();
event.md_entries.emplace_back(std::move(item));
}
if (is_trade_summary) {
if (update.has<OrderIDEntries>()) {
auto &oid_entries = update.get<OrderIDEntries>();
for (size_t i = 0; i < oid_entries.size(); i++) {
auto &oid = oid_entries[i];
TradeOrder order_id_entry;
order_id_entry.order_id = oid.get<OrderID>();
order_id_entry.last_qty = oid.get<LastQty>();
event.orderid_entries.emplace_back(std::move(order_id_entry));
}
}
auto indicator = update.get<MatchEventIndicator>();
if (indicator[7] == '1') {
print_trades(event, trade_stream);
event.md_entries.clear();
event.orderid_entries.clear();
}
}
}
}
}
void print_orders_header(std::ostream &orders_stream) {
orders_stream << "Symbol,"
<< "SendingTime,"
<< "TransactTime,"
<< "MDEntryPx,"
<< "OrderID,"
<< "MDDisplayQty,"
<< "MDOrderPriority,"
<< "OrderUpdateAction,"
<< "Side"
<< "\n";
}
struct Order {
std::string sending_time;
std::string transact_time;
std::string side;
std::string order_id;
std::string order_update_action;
uint32_t md_order_priority;
uint32_t display_qty;
std::string symbol;
double md_entry_px;
};
void print_order(Order const& order, std::ostream &orders_stream) {
orders_stream << order.symbol << ","
<< order.sending_time << ","
<< order.transact_time << ","
<< order.md_entry_px << ","
<< order.order_id << ","
<< order.display_qty << ","
<< order.md_order_priority << ","
<< order.order_update_action << ","
<< order.side << "\n";
}
void print_orders(MDIncrementalUpdate const &update,std::ostream &orders_stream) {
if (update.has<MDEntries>()) {
auto &md_entries = update.get<MDEntries>();
auto & first_entry = md_entries[0];
if (first_entry.get<MDEntryType> () == "0" ||
first_entry.get<MDEntryType> () == "1") {
Order order;
order.sending_time = update.get<SendingTime>();
order.transact_time = update.get<TransactTime>();
order.side = first_entry.get<MDEntryType> ();
if (first_entry.has<MDPriceLevel>()) {
// combined template https://www.cmegroup.com/confluence/display/EPICSANDBOX/Incremental+Refresh+SBE+Template+Book+Processing
if (update.has<OrderIDEntries>()) {
auto &oid_entries = update.get<OrderIDEntries>();
for (size_t i = 0; i < oid_entries.size(); i++) {
auto &oid = oid_entries[i];
order.order_id = oid.get<OrderID>();
order.order_update_action = oid.get<OrderUpdateAction>();
order.md_order_priority = oid.get<MDOrderPriority>();
order.display_qty = oid.get<MDDisplayQty>();
auto &md_entry = update.get<MDEntries>()[oid.get<ReferenceID>()-1];
order.symbol = md_entry.get<Symbol>();
order.md_entry_px = md_entry.get<MDEntryPx>();
print_order(order, orders_stream);
}
}
}
else {
// MBO only template
for (size_t i = 0; i < md_entries.size(); i++) {
auto &entry = md_entries[i];
order.order_id = entry.get<OrderID>();
order.order_update_action = entry.get<MDUpateAction>();
order.md_order_priority = entry.get<MDOrderPriority>();
order.display_qty = entry.get<MDDisplayQty>();
order.symbol = entry.get<Symbol>();
order.md_entry_px = entry.get<MDEntryPx>();
print_order(order,orders_stream);
}
}
}
}
}
int ParseHistoricalFIX::execute(std::vector<std::string> const &args) {
std::ifstream input(args[0]);
std::ofstream books_stream(args[0] + "_books.csv");
std::ofstream msgs_stream(args[0] + "_msgs.csv");
std::ofstream trades_stream(args[0] + "_trades.csv");
std::ofstream orders_stream(args[0] + "_orders.csv");
std::unordered_map<std::string, Book> books;
TradeSummaryEvent current_trade_summary;
MDIncrementalUpdate update;
FIXParser<MDIncrementalUpdate> parser;
std::string line;
size_t c = 0;
auto ok = 0;
auto start = Timer::now();
print_book_header(books_stream);
print_msg_headers(msgs_stream);
print_trades_header(trades_stream);
print_orders_header(orders_stream);
while (std::getline(input, line)) {
c++;
auto parsed_ptr = parser.parse(InMsgBuffer(
line.data(), line.size(), std::shared_ptr<std::string>{}));
if (parsed_ptr) {
auto msg =
std::dynamic_pointer_cast<const MDIncrementalUpdate>(parsed_ptr);
update_and_maybe_print_book(*msg, books, books_stream);
print_msgs(c, *msg, msgs_stream);
update_and_maybe_print_trades(*msg, current_trade_summary,
trades_stream);
print_orders(*msg, orders_stream);
}
ok += (bool)(parsed_ptr);
}
auto sec_duration = sec_diff(Timer::now(), start);
std::cout << (int)(c / 1000 / sec_duration) << " Km/sec parsed: " << ok
<< " out of " << c << " time: " << sec_duration << " secs\n";
return 0;
}
std::string ParseHistoricalFIX::help() {
return "ParseHistoricalFIX <input> will produce 2 files, "
"<input>_mdentries.csv and <input>order_entries.csv";
}
} // namespace cmd
} // namespace bts
@@ -1,17 +0,0 @@
#pragma once
#include "ICmd.h"
namespace bts {
namespace cmd {
class ParseHistoricalFIX : public ICmd
{
public:
int execute(std::vector<std::string> const &args);
std::string help ();
};
}}
+1 -1
View File
@@ -1,7 +1,7 @@
#pragma once
#include "lib/api/public/ServiceContext.h"
#include "lib/api/apigateway.pb.h"
#include "lib/api/Apigateway.pb.h"
#include <memory>
#include <functional>
+1 -1
View File
@@ -3,7 +3,7 @@
#include "MultipartFormDecoder.h"
#include "lib/utils/Dispatcher.h"
#include "lib/api/core/ApiClientInterop.h"
#include "lib/api/apigateway.pb.h"
#include "lib/api/Apigateway.pb.h"
#include "lib/logging/logging.h"
#include "lib/os/os.h"
#include "lib/utils/TimeStamp.h"
-2
View File
@@ -12,7 +12,6 @@
#include "server/sparkd/cmds/Help.h"
#include "server/sparkd/cmds/KeyCode.h"
#include "server/sparkd/cmds/Md.h"
#include "server/sparkd/cmds/ParseHistoricalFIX.h"
#include "server/sparkd/cmds/PrintHedgeOrders.h"
#include "server/sparkd/cmds/QuickTest.h"
#include "server/sparkd/cmds/Run.h"
@@ -42,7 +41,6 @@ int main(int argc, char **argv) {
REGISTER(FIXSim);
REGISTER(Span);
REGISTER(Web);
REGISTER(ParseHistoricalFIX);
REGISTER(PrintHedgeOrders);
REGISTER(AdminReport);
END_CMD;
@@ -3,7 +3,7 @@
#include <vector>
#include "lib/utils/helper_macros.h"
#include "lib/config/protos/MarketData.pb.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
using namespace std;
using namespace bts::co2;
@@ -10,7 +10,7 @@
#include "lib/utils/Dispatcher.h"
#include "lib/utils/proto_helper.h"
#include "lib/utils/bts_chrono.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "lib/config/protos/MarketData.pb.h"
#include "lib/config/protos/system.pb.h"
@@ -3,7 +3,7 @@
#include <vector>
#include "lib/utils/helper_macros.h"
#include "lib/config/protos/MarketData.pb.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
using namespace std;
using namespace bts::co2;
@@ -8,7 +8,7 @@
#include "lib/os/os.h"
#include "lib/utils/Dispatcher.h"
#include "lib/utils/proto_helper.h"
#include "lib/md/protos/co2.pb.h"
#include "lib/md/protos/Co2.pb.h"
#include "lib/config/protos/MarketData.pb.h"
#include "lib/config/protos/system.pb.h"
-1
View File
@@ -1 +0,0 @@
set(sources ../../externals/linux/include/google/protobuf/descriptor.proto;../../externals/linux/include/google/protobuf/timestamp.proto;../lib/api/apicore.proto;../lib/api/apigateway.proto;../lib/api/apioptions.proto;../lib/api/services/AdminService.proto;../lib/api/services/AlgoDefinitionService.proto;../lib/api/services/AlgoService.proto;../lib/api/services/ApiUnitTestService.proto;../lib/api/services/AuthService.proto;../lib/api/services/BasePositionService.proto;../lib/api/services/ErrorReportService.proto;../lib/api/services/HelloService.proto;../lib/api/services/MBOService.proto;../lib/api/services/MarginService.proto;../lib/api/services/MarketDataAuxiliaryService.proto;../lib/api/services/MarketDataRelay.proto;../lib/api/services/MoneyFileService.proto;../lib/api/services/OrderService.proto;../lib/api/services/OutOfProcessURLListener.proto;../lib/api/services/PersistenceService.proto;../lib/api/services/PositionService.proto;../lib/api/services/ShellDiagnosticService.proto;../lib/api/services/ShellLatencyService.proto;../lib/api/services/SyntheticSecurityService.proto;../lib/domain_model/Security.proto;../lib/md/protos/co2.proto;../lib/sparkproto/SparkProtos.proto;api/build.sh;api/node_modules/exit/test/fixtures/create-files.sh;api/node_modules/protobufjs/cli/node_modules/acorn-jsx/node_modules/acorn/bin/update_authors.sh;api/node_modules/watch/release.sh;api/quiet_build.sh;api/src/DynamicService.ts;api/src/ServiceContext.ts;api/src/bts_assert.ts;ui/src/Access.fs;ui/src/Accounts/ClipLimits.fs;ui/src/Accounts/ProductLimits.fs;ui/src/Accounts/SecurityLimits.fs;ui/src/Accounts/State.fs;ui/src/Accounts/Types.fs;ui/src/Accounts/View.fs;ui/src/App.fs;ui/src/Cmd.fs;ui/src/Controls/Button.fs;ui/src/Controls/DataGrid.fs;ui/src/Controls/Fields.fs;ui/src/Controls/Modal.fs;ui/src/Controls/ReactGrid.fs;ui/src/Controls/Table.fs;ui/src/Controls/nbsp.fs;ui/src/Global.fs;ui/src/Imports.fs;ui/src/Lens.fs;ui/src/Login/Login.fs;ui/src/Nav.fs;ui/src/State.fs;ui/src/Types.fs;ui/src/Users/State.fs;ui/src/Users/Types.fs;ui/src/Users/View.fs;ui/src/Util/EnumUtils.fs;ui/src/Util/JSMap.fs;ui/src/Util/StreamUtils.fs;ui/src/obj/Debug/netstandard2.0/ui.AssemblyInfo.fs)
+2 -2
View File
@@ -57,7 +57,7 @@ $PROTOC --plugin=protoc-gen-service=../../lib/api/service_compiler/plugin.py \
# run typescript compiler to convert typescript to javascript
echo -e \* ${ORANGE} tsc ${NOCOLOR}
npx --no-install tsc -p tsconfig.$MODE.json
npx --no-install tsc -p tsconfig.$MODE.json --outDir $OUT/api
# cleanup
@@ -71,7 +71,7 @@ ts2fable() {
wait
}
echo -e \* ${ORANGE} ts2fable ${NOCOLOR}
echo -e \* ${ORANGE} ts2fable ${NOCOLOR} $OUT
ts2fable $OUT/api
# ts2fable $OUT/api/gen
+3 -3
View File
@@ -22,8 +22,8 @@
<Compile Include="Util/StreamUtils.fs" />
<Compile Include="Util/EnumUtils.fs" />
<Compile Include="$(API)/fable/timestamp.fable.fs" />
<Compile Include="$(API)/fable/apicore.fable.fs" />
<Compile Include="$(API)/fable/apioptions.fable.fs" />
<Compile Include="$(API)/fable/Apicore.fable.fs" />
<Compile Include="$(API)/fable/Apioptions.fable.fs" />
<Compile Include="$(API)/fable/Security.fable.fs" />
<Compile Include="$(API)/fable/SparkProtos.fable.fs" />
<Compile Include="$(API)/fable/HelloService.fable.fs" />
@@ -32,7 +32,7 @@
<Compile Include="$(API)/fable/PositionService.fable.fs" />
<Compile Include="$(API)/fable/BasePositionService.fable.fs" />
<Compile Include="$(API)/fable/MarginService.fable.fs" />
<Compile Include="$(API)/fable/co2.fable.fs" />
<Compile Include="$(API)/fable/Co2.fable.fs" />
<Compile Include="$(API)/fable/MarketDataRelay.fable.fs" />
<!-- Global to the app -->
<Compile Include="Lens.fs" />
+1 -1
View File
@@ -13,7 +13,7 @@ ignore = Regex .*\.pyc
ignore = Path x64
ignore = Path .vs
ignore = Path .vscode
ignore = Path src/client
ignore = Path src/client/spark
ignore = Path src/web/api/node_modules
ignore = Path src/web/ui/node_modules
ignore = Path src/web/ui/src/obj
+5 -2
View File
@@ -1,7 +1,10 @@
#/bin/bash
DIR="$( cd "$( dirname "${BASH_SOURCE[0]}" )" && pwd )"
mkdir -p $DIR/../build/
cd $DIR/../build/
#mkdir -p $DIR/../build/
#cd $DIR/../build/
cd $DIR/../
mkdir -p ./build/
cd ./build/
rm -rf clang_debug
mkdir clang_debug
+49
View File
@@ -0,0 +1,49 @@
@echo off
REM here I make a docker shell for the instructions listed at api.bluetradesys.com
REM then I do a lot of dumb shit to copy my .ssh dir over
REM then I assume the user pre-clones spark into a spark directory from root
REM ~$ git clone --recurse-submodules git@bitbucket.org:bluetradesys/spark.git
FOR /F "usebackq" %%i IN (`hostname`) DO SET MYHOST=%%i
docker kill spark_sdk
docker rm spark_sdk
docker run ^
--restart=unless-stopped ^
--net host ^
--shm-size=2048m ^
--cap-add=SYS_PTRACE --security-opt seccomp=unconfined ^
-h spark_sdk ^
-w / ^
-v %~dp0/../:/home/bts/spark_host ^
-u bts ^
--name spark_sdk ^
-d ^
-t spark_sdk ^
/bin/bash -c "(sudo /usr/sbin/sshd) & /bin/bash --login"
docker cp %userprofile%/.ssh/. spark_sdk:/home/bts/.ssh
docker exec spark_sdk sudo chown -R bts:bts /home/bts/.ssh
docker exec spark_sdk chmod 700 /home/bts/.ssh
docker exec spark_sdk chmod 644 /home/bts/.ssh/id_rsa.pub
docker exec spark_sdk chmod 600 /home/bts/.ssh/id_rsa
docker exec spark_sdk chmod 600 /home/bts/.ssh/authorized_keys
docker exec spark_sdk mkdir /home/bts/spark
docker exec spark_sdk sudo chown -R bts:bts /home/bts/spark
docker exec spark_sdk ln -s /home/bts/spark_host/CMakeLists.txt /home/bts/spark/CMakeLists.txt
docker exec spark_sdk ln -s /home/bts/spark_host/src /home/bts/spark/src
docker exec spark_sdk ln -s /home/bts/spark_host/doc /home/bts/spark/doc
docker exec spark_sdk ln -s /home/bts/spark_host/tools /home/bts/spark/tools
REM can't share externals because of symlinks
REM docker exec spark_sdk ln -s /home/bts/spark_host/externals /home/bts/spark/externals
echo installing protobuf pybars3 markdown, remove this line if we fixed docker
docker exec spark_sdk pip install protobuf pybars3 markdown
REM ssh-keygen -e -f c:\users\kevin\.ssh\id_rsa > c:\users\kevin\.ssh\id_rsa_com.pub
REM ssh-keygen -i -f c:\users\kevin\.ssh\id_rsa_com.pub > c:\users\kevin\.ssh\id_rsa.pub
REM docker exec -it spark_sdk bash