Taha Afzal
d622c57446
Python
2021-08-30 12:38:25 -05:00
Taha Afzal
a2be29b06b
Added initial observation edge/qty columns
2021-05-24 09:50:45 -04:00
Taha Afzal
a2332ea54e
one row per opp in a usable state now
2021-05-23 18:13:59 -04:00
taha afzal
bd8d842a65
Adding dates to summary rows
2021-05-23 01:06:46 -05:00
Taha Afzal
eee526735b
smallc hanges
2021-05-22 20:41:00 -04:00
Taha Afzal
fbaba5cf76
Book evolution functions and notebook
2021-05-03 10:19:22 -04:00
Taha Afzal
56ce270d2f
Python/Pandas cleanup
2021-04-27 23:31:18 -04:00
Taha Afzal
1c4ba7d09b
Last spark check in
2021-03-29 12:21:38 -04:00
Taha Afzal
3709157744
Perf logs, inconsistent market logs
2021-03-01 14:07:32 -06:00
Taha Afzal
ffd8eca92f
enrich_poly_vals
2021-02-27 23:40:19 -06:00
Taha Afzal
875c297e6b
python function to compute the nearest rows
2021-02-26 21:22:48 -06:00
Taha Afzal
c799f05580
organizing python some more
2021-02-26 16:57:43 -06:00
Taha Afzal
f6c23d4a39
Merge branch 'spark_sniper' of bitbucket.org:bluetradesys/spark into spark_sniper
2021-02-25 16:08:46 -05:00
Taha Afzal
f1510fee89
Partial python clean up (lining books)
2021-02-25 14:49:52 -06:00
Taha Afzal
8411b92af1
Adding implied cols to top_of_books
2021-02-23 21:23:22 -06:00
Taha
829a2fc0c6
Speeding up generation of polygon values
2021-02-17 15:34:42 -06:00
Taha
3c744e9678
Adding sec/spread (optional) parameter and better logs
2021-02-15 13:42:18 -06:00
Taha
f435203794
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-08 14:57:20 -06:00
Taha
b4c013f4da
Logging mode, log shots in addition to logging all active polygon states
2021-02-08 14:54:21 -06:00
Pedro Pinto
37ecb69379
Towards an algo manager.
2021-02-08 15:19:17 -05:00
Pedro Pinto
d1643e9a09
More refactoring.
2021-02-08 15:13:37 -05:00
Pedro Pinto
0456d837d8
Continued to refactor feed handler.
2021-02-08 11:29:23 -05:00
Pedro Pinto
b493b17602
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-08 09:24:25 -05:00
Pedro Pinto
206386b263
Separated pure MD interface (IFeedObserver) from analysis obs.
2021-02-08 09:23:16 -05:00
Pedro Pinto
51d336405a
More refactoring.
2021-02-08 09:07:40 -05:00
taha
e068a3807a
Added logs for when file is not found
2021-02-07 00:05:32 -06:00
taha
f585f54016
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-06 22:54:31 -06:00
taha
cf3b87d3aa
Fixed the logs (and got rid of prev value, we were not using it and it was adding extra unneeded complexity)
2021-02-06 22:54:24 -06:00
Pedro Pinto
3164c0fd56
Refactor.
2021-02-05 21:58:44 -05:00
Pedro Pinto
bdfed43b01
Refactor.
2021-02-05 21:09:37 -05:00
Pedro Pinto
1e794aaa12
Refactored.
2021-02-05 20:30:16 -05:00
Pedro Pinto
1297b97b2d
Fixed build.
2021-02-05 20:06:18 -05:00
Pedro Pinto
ca80857607
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-05 18:41:02 -05:00
Pedro Pinto
417e331e8e
Cleaned up mdp3.
2021-02-05 18:37:12 -05:00
taha
8602da1753
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-05 00:25:21 -06:00
taha
0c9af3ffee
Added order key to 2 log messages
2021-02-05 00:25:15 -06:00
John Colvin
12ba2a2724
fix (cli): Add md->channels subcmd
2021-02-04 13:08:39 -06:00
Pedro Pinto
e892b8b3e5
Towards il3 new
2021-02-04 13:49:17 -05:00
John Colvin
8d91d597fe
fix: Repair 'sparkd run' cmd (so client/ui can connect)
...
This was broken in the cli11 revamp.
2021-02-03 23:59:54 -06:00
Pedro Pinto
b8f146364b
Windows continues to suck ass.
2021-02-03 16:17:28 -05:00
Pedro Pinto
3866f8709f
Fucking windows include order bullshit.
2021-02-03 16:17:14 -05:00
Pedro Pinto
0eeffd1984
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-03 14:54:24 -05:00
Pedro Pinto
b15973b00c
Adding market segment id.
2021-02-03 14:54:08 -05:00
Pedro Pinto
ddf65972c0
Trying to fix windows build.
2021-02-03 14:52:05 -05:00
Taha Afzal
c10bf44bfc
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-03 14:46:35 -05:00
Taha Afzal
4bf9be860b
comments added for sniper
2021-02-03 14:46:29 -05:00
Pedro Pinto
e0313958b3
Merged
2021-02-03 11:15:57 -05:00
Pedro Pinto
cda4c522fd
Some refactoring in il3 store.
2021-02-03 11:12:44 -05:00
Taha Afzal
38bd2ac74c
Removing sim switch for security names
2021-02-02 20:31:42 -06:00
Pedro Pinto
36da47f66e
MDP3 refactoring.
2021-02-02 14:11:04 -05:00
Taha Afzal
805efc912e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-02 13:37:59 -05:00
Taha Afzal
3642dbcd86
more guard rails
2021-02-02 13:37:37 -05:00
Pedro Pinto
d3cfe1f6e1
Refactor.
2021-02-02 09:43:09 -05:00
John Colvin
88acbdd8b9
refactor: Replace std::maps with boost flat_maps in Trace
2021-02-01 23:44:21 -06:00
John Colvin
214f2667f2
vscode: Reference clang symbols/include paths in c_cpp_properties
2021-02-01 23:44:21 -06:00
John Colvin
7b16cc9d7b
fix: Clear used_order_keys in Matcher::clear
2021-02-01 23:44:21 -06:00
John Colvin
9035ed453f
vscode: Add spartan dir to include/browse paths
2021-02-01 23:44:21 -06:00
John Colvin
b0affc8611
Add BookLevel != operator
...
Define both == and != operators in BookLevel.cc
2021-02-01 23:44:21 -06:00
John Colvin
09fb35c80b
refactor: Move Quantity method/op defs to Quantity.cc
...
Also restyle code in a manner similar to that of the Price operator
code (it's a little cleaner, and brings about consistency).
2021-02-01 23:44:21 -06:00
John Colvin
6badc8099f
refactor: Make ValueWrapper constructors constexpr
2021-02-01 23:44:21 -06:00
John Colvin
8520add970
Replace includes with fwd declarations in FifoMatcherContext
2021-02-01 23:44:21 -06:00
John Colvin
058b4d0020
refactor: Move MatcherOrder struct into its own file
2021-02-01 23:44:21 -06:00
John Colvin
68db9e1254
refactor: Make FifoMatcherContext a class instead of struct
2021-02-01 23:44:21 -06:00
John Colvin
0cddda43f2
Replace includes with fwd declarations in FifoMergedSecurityMatcher
2021-02-01 23:44:21 -06:00
John Colvin
077ce786cb
refactor: Rename 'fill_depot' files 'FillDepot'
2021-02-01 23:44:21 -06:00
John Colvin
46de6b8d8b
Optimize FifoMergedSecurityMatcher logging
...
* Reduce string copying by using fmt::format
* Shorten log header prefix (messages that fit on one line are easier to
read)
2021-02-01 23:44:21 -06:00
John Colvin
1aea4beffe
refactor: Matcher conveys updates with OrderModification struct
...
The OrderModification explicitly indicates which order properties have
changed, so the FifoSecurityMatcher does not need to infer this
information from arbitrary signals in the OrderUpdate.
2021-02-01 23:44:21 -06:00
John Colvin
38a5341d08
fix: Don't automatically reset show qty on passive updates
2021-02-01 23:44:21 -06:00
John Colvin
17752dcce1
refactor: FifoImpliedSecurityMatcher uses new LegDefinition type
2021-02-01 23:44:21 -06:00
John Colvin
1aedac39fd
fix: FifoSecurityMatcher::book_side only includes visible qty
2021-02-01 23:44:21 -06:00
John Colvin
1cfb7ee6a4
refactor: Re-implement implied market logic in 'ImpliedMarketModel'
2021-02-01 23:44:21 -06:00
John Colvin
290b5d9da2
refactor: Clean up FifoImpliedSecurityMatcher
...
* Remove dependency on symbol (was only there to make logs prettier, but
sec id alone provides sufficient information)
* Remove several includes from the header to reduce compilation overhead
2021-02-01 23:44:21 -06:00
John Colvin
b66241b006
Remove unused method in FifoMergedSecurityMatcher
2021-02-01 23:44:21 -06:00
John Colvin
cf615efcd0
refactor: Move LegDef into its own file
...
The struct is renamed 'LegDefinition' to use a naming scheme consistent
with 'SecurityDefinition.' However, an alias for 'LegDef' is
declared for convenience, and to avoid replacing 'LegDef' with
'LegDefinition' in existing references.
2021-02-01 23:44:21 -06:00
John Colvin
c57b832305
fix: Only flip implied_candidates_dirty when they've actually changed
2021-02-01 23:44:21 -06:00
John Colvin
e5c3ae1f9f
Add permutation 'of length' method, and permutation unit tests
2021-02-01 23:44:21 -06:00
John Colvin
e9232e3bae
Add math utils 'factorial' and 'choose'
2021-02-01 23:44:21 -06:00
John Colvin
f4bb9544d4
fix: Fill same-priced passive icebergs evenly
...
When an agressor order crosses multiple [direct/implied] passive markets
at the same price, the aggressor is filled against the visible quantity
in each passive market, before passive icebergs (if any) are reloaded.
This simple iterative step is repeated until the aggressor is filled, or
no longer crosses the market.
2021-02-01 23:44:21 -06:00
John Colvin
28aaf22ea8
refactor: Change Matcher structs to be classes instead
2021-02-01 23:44:20 -06:00
John Colvin
de49920af7
fix: Don't change show qty when order is filled (matcher)
2021-02-01 23:44:20 -06:00
John Colvin
e05c01fc77
Clean up set_total_qty method
...
* remove unused vars
* replace if/else with ternary operator
2021-02-01 23:44:20 -06:00
John Colvin
9f6dc5da11
Pipe event id through the matcher for better tracing
2021-02-01 23:44:20 -06:00
John Colvin
84c9eb87e6
refactor: Replace size_ts with EventID alias
2021-02-01 23:44:20 -06:00
John Colvin
9f290b550b
Pass effects vector to FifoSecurityMatcher calls
2021-02-01 23:44:20 -06:00
John Colvin
6e4950ec1c
clang-format: PenaltyReturnTypeOnItsOwnLine
...
Discourage clang from putting the return type on its own line.
2021-02-01 23:44:20 -06:00
John Colvin
c727389f53
refactor: Replace map with unordered_map in Matcher
2021-02-01 23:44:20 -06:00
John Colvin
20e8ac2910
fix: FifoMergedSecurityMatcher handling of icebergs
...
The iceberg quantity is expected to be null in all updates (i.e., only
non-null when the order is added). Once added, the iceberg quantity is
redundant, as show qty changes are interpretted through visible qty
changes (the qty actually visible in the book), and the total qty is
immutable.
This patch fixes a bug where the iceberg quantity was not being assigned
back to an updated order before it was passed to the 'fill' method,
which in turn, misled the matcher to think the order was completed when
its visible qty alone was filled.
2021-02-01 23:44:20 -06:00
John Colvin
7e59145102
add TestObserver (IAlgoModel)
...
This is an empty implementation of IAlgoModel, so new algo ideas may be
tested without the overhead of creating new classes/files.
2021-02-01 23:44:20 -06:00
John Colvin
5e01a37b6e
feat (cli): Add cmd to record matcher event proc times
2021-02-01 23:44:20 -06:00
John Colvin
95d2363435
feat (cli): Add cmd to record matcher fills
...
This works in a similar fasion to the cmd that records matcher books.
Both generate a csv file designed to be imported into a sqlite database,
so the matcher's output may be joined/compared with actual data from the
exchange.
2021-02-01 23:44:20 -06:00
John Colvin
82332bf92f
refactor: Replace SimBooks cmd with Matcher->BooksCmd
...
This is in anticipation of adding a similar subcommand to record fills,
and proc times. Basic functionality expected to be shared by these
three commands is abstracted out of the former SimBooks command into
common classes.
2021-02-01 23:44:20 -06:00
John Colvin
042c451bd6
refactor: Move classes from sim_common.h into their own files
...
* Move MatchEffect into 'back_testing/common/MatchEffect.h'
* Move MBPUpdate into 'back_testing/common/MBPUpdate.h/cc'
* Move OrderUpdate into 'back_testing/common/OrderUpdate.h/cc'
2021-02-01 23:44:20 -06:00
John Colvin
3e66c3e5db
refactor: Move Fill into domain/fill
2021-02-01 23:44:20 -06:00
John Colvin
a6f3852846
refactor: Improve Stopwatch impl
2021-02-01 23:41:23 -06:00
John Colvin
1f622b0c1e
Optimize logging in IcebergFileCache
...
* Replace std::cout call with 'Info' log
* Use const char * templates to reduce string copying
2021-02-01 23:41:23 -06:00
John Colvin
48aaf9de6c
refactor: Move iceberg_file_cache to matcher/common/IcebergFileCache
...
Also change static 'iceberg_file_cache' namespace methods to static
'IcebergFileCache' class methods
2021-02-01 23:41:23 -06:00
John Colvin
8b5e86c1ba
refactor: Make Iceberg related structs classes instead
...
* IcebergInput
* IcebergInputBuilder
* IcebergFinder
2021-02-01 23:41:23 -06:00
John Colvin
2a975c95b2
Account for nan in Price::to_double
2021-02-01 23:41:23 -06:00
John Colvin
b89555a2e2
Account for nan in price comparison methods
2021-02-01 23:41:23 -06:00
John Colvin
166ab7d299
refactor: Make ValueWrapper binary ops constexpr
2021-02-01 23:41:23 -06:00
John Colvin
d2bf8f1b53
Add security_groups field to SecurityCriteria
2021-02-01 23:41:23 -06:00
John Colvin
e363840937
refactor: Rename SecurityCriteriaClause -> SecurityCriteria::Clause
2021-02-01 23:41:23 -06:00
John Colvin
d8fb275b20
fix: PCapOrderChangeBootstrapper
...
Bootstrap observers with resting orders on the first event in which the
security's status transitions to 'ReadyToTrade.' This simplifies the
previous implementation, which did not bootstrap observers until the
security's second consecutive event with 'ReadyToTrade' status.
2021-02-01 23:41:23 -06:00
John Colvin
13719170c9
refactor: Move OrderKey.h into domain/order
2021-02-01 23:41:23 -06:00
John Colvin
2c4db5bf02
refactor: Move Order types into domain/order
2021-02-01 23:41:23 -06:00
John Colvin
7e957527ac
Add Price::nan method
2021-02-01 23:07:01 -06:00
John Colvin
b94a1d943f
refactor: Clean up Price
...
* Move impl from Price.h to Price.cc
* Make ctrs, methods, ops constexpr (where possible)
* Overload all binary ops to accept Price, or int64 param
2021-02-01 23:07:01 -06:00
John Colvin
3efb4da14b
diag: Add Trace parameter to matcher constructor
...
This makes it easy for matcher-validation commands to bind trace
parameters, such as order/event ids, to cli options.
2021-02-01 22:56:21 -06:00
John Colvin
9c53f4b949
refactor: Move Trace into its own file
2021-02-01 22:56:21 -06:00
John Colvin
35d395fc35
refactor: Hide private matcher members behind PImpl
2021-02-01 22:56:21 -06:00
John Colvin
cf19a63aac
Delete superfluous move constructor/operator in Matcher
2021-02-01 22:56:21 -06:00
John Colvin
6456060a6c
refactor: Define AlgoEventID struct, and EventID alias
...
A few advantages the struct offers (over an alias for a pair of size_ts):
* A custom output operator
* Eliminates potential conflict with pairs of size_ts that don't
represent an algo id
* The ability to (eventually) choose precise member names for both
components of the event, rather than 'first' and 'second'
2021-02-01 22:56:21 -06:00
John Colvin
702547a88b
refactor: Revamp 'md' command with CLI11 App
...
The files 'run_md.h/cpp' are removed, as their functionality is
distributed among the subcommands: md, run, and web.
2021-02-01 22:56:21 -06:00
John Colvin
2447da3c08
refactor: Rename 'map_utils.h' -> 'MapUtils.h/cc'
...
Also refactor the relevant namespace 'bts::utils' methods to be static
methods in the newly created class 'MapUtils.' This is part of the
effort to favor static class methods over namespaced functions.
2021-02-01 22:56:21 -06:00
John Colvin
8df420c37c
refactor: Rename 'table_display.h' -> 'TableDisplay.h/cc'
...
Also refactor the namespace 'table_display' methods to be static methods
in the newly created class 'TableDisplay.' This is part of the effort
to favor static class methods over namespaced functions.
2021-02-01 22:56:21 -06:00
John Colvin
d18a345b5b
refactor: Rename 'permutation.h' -> 'Permutation.h/cc'
...
Also refactor the namespace 'all_permutations' methods to be static
methods in the newly created class 'Permutation.' This is part of
the effort to favor static class methods over namespaced functions.
2021-02-01 22:56:21 -06:00
John Colvin
1770274dd0
refactor: Rename 'action_summarizer' -> 'ActionSummarizer'
2021-02-01 22:56:21 -06:00
John Colvin
746dd506f8
refactor: Rename 'file_stream_utils.h' -> 'FileUtils.h/cc'
...
Also refactor the namespace 'file_stream_utils' methods to be static
methods in the newly created class 'FileUtils'. This is part of
the effort to favor static class methods over namespaced functions.
2021-02-01 22:56:21 -06:00
John Colvin
78be0004af
refactor: Rename 'reverse_comp.h' -> 'ReverseComp.h'
2021-02-01 22:56:21 -06:00
John Colvin
333a378230
refactor: Rename 'string_splitter.h' -> 'StringUtils.h/cpp'
...
Also refactor the namespace 'string_splitter' methods to be static
methods in the newly created class 'StringUtils'. This is part of
the effort to favor static class methods over namespaced functions.
2021-02-01 22:56:21 -06:00
John Colvin
5e8f776334
refactor: Rename dir 'spartan/util' -> 'spartan/utils'
2021-02-01 22:56:21 -06:00
Pedro Pinto
5470a82b94
Real time ilink3 handler code complete.
2021-02-01 20:28:44 -05:00
Pedro Pinto
7959c96bcd
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-02-01 13:57:37 -05:00
Pedro Pinto
aeb4bec02d
Refactored sim types to have a sim prefix.
2021-02-01 13:57:16 -05:00
Taha Afzal
b92df15594
Reducing logging
2021-01-30 23:37:29 -06:00
Taha Afzal
86089ec3b4
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-30 20:04:14 -05:00
Pedro Pinto
2cffaa9d73
Refactored include path for spartan.
2021-01-30 15:11:46 -05:00
Taha Afzal
94da28c5cc
Better log messages
2021-01-29 22:41:58 -05:00
Pedro Pinto
86b7f30e0e
Towards realtime il3 handler.
2021-01-29 15:22:32 -05:00
Taha Afzal
e5b01ad92f
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-29 11:28:41 -05:00
Taha Afzal
9d381c2848
Sniper code complete
2021-01-29 11:28:35 -05:00
Pedro Pinto
f81c0280e4
Initial cert tests pass.
2021-01-28 22:35:16 -05:00
Pedro Pinto
b13ffff044
Tests work for il3 connection setup.
2021-01-27 20:56:37 -05:00
Pedro Pinto
d068ac40ec
Am able to set party details.
2021-01-27 14:27:23 -05:00
Pedro Pinto
db5e428709
Starting to test il3.
2021-01-25 16:42:32 -05:00
Pedro Pinto
77396111aa
Can build.
2021-01-25 12:57:22 -05:00
Taha Afzal
7af05e3f4a
Cleaned up, tested a fair bit, few (safety related) features to come
2021-01-24 21:56:34 -05:00
Pedro Pinto
8665ad24c1
Refactored.
2021-01-22 14:59:35 -05:00
Pedro Pinto
72e6e11238
Towards il3 gateway.
2021-01-20 16:49:07 -05:00
Taha Afzal
3468201f32
Moving sniper data and initialization to SniperAlgoCommon
2021-01-18 20:43:31 -05:00
Pedro Pinto
fb7496aaf2
Added commission model to sim.
2021-01-18 15:21:03 -05:00
Pedro Pinto
9193653773
Added new spartan 'test' subcommand.
2021-01-18 15:20:47 -05:00
Pedro Pinto
a80641f8f4
Added testing note to docs.
2021-01-16 16:04:27 -05:00
Pedro Pinto
eb7f1ba9ee
Disabled IB cross test.
2021-01-16 12:38:19 -05:00
Pedro Pinto
39820205ce
Market matcher tests as part of spartan.
2021-01-16 12:33:38 -05:00
Pedro Pinto
2cffcb4e25
Merged
2021-01-16 12:32:34 -05:00
Pedro Pinto
2d2c664ce9
More il3 gateway work.
2021-01-16 11:53:04 -05:00
John Colvin
ca4e477f56
fix: CLI11 integration
...
* Run 'sparkd tests' outside of the CLI::App framework
(delegate to 'catch', which has a solid cli). This
fixes a bug which prevented callers from specifying
test tags (in the form of '[<tag>]'), as the CLI::App's
parse method removes square brackets from cli options.
* Bind cli options to instance members of their subcommand's
CLI::App derived class. This seems to fix a bug which caused
the [static instance] binding source to be destructed twice.
* Add help text for several subcommands
2021-01-16 00:01:15 -06:00
Pedro Pinto
3ec36c4db1
Refactoring IReactorConnection and friends.
2021-01-15 09:41:11 -05:00
Pedro Pinto
d593696df2
Tagged spartan tests.
2021-01-15 08:49:28 -05:00
John Colvin
45de55a552
Remove unused files 'args_parser.h/cpp'
2021-01-15 00:32:55 -06:00
John Colvin
17d20bac8b
Remove unused file 'ImpliedFifoSecurityMatcher.h'
...
This was an old version of the implied fifo matcher,
now defined in 'FifoImpliedSecurityMatcher.h'.
2021-01-15 00:32:55 -06:00
John Colvin
f42137d86c
Don't assert that an iceberg order's vis qty <= show qty
...
There isn't a compelling reason to enforce this
constraint. The show qty is the 'reload' qty, and
is orthogonal to the current [visible] qty.
2021-01-15 00:32:55 -06:00
John Colvin
456177af30
typo: Flip ternary op clauses, and delete superfluous 'return'
2021-01-15 00:32:55 -06:00
John Colvin
41374d62ea
spartan cli: Add SimBooks command
...
This command is a diagnostic tool that produces a
csv file of matcher-generated books for a
particular pcap, which can then be imported to
sql, and joined with the actual books table for
comparison.
2021-01-15 00:32:55 -06:00
John Colvin
25395fcac3
refactor: Replace api::Side w/ spartan::Side
2021-01-15 00:32:55 -06:00
John Colvin
9b49c66136
fix: Require valid side param in 'has_min_qty' method
...
Although the side can be inferred by comparing the
first two price levels, the book may not have two
price levels to compare.
2021-01-15 00:32:55 -06:00
John Colvin
36bfc9e770
Add SecurityCriteria struct to filter instrument sets
...
Inspired by the c# 'SecurityCriteria' class from
spark's front end. This may come in handy as a cli
option for spartan subcommands, among other things.
2021-01-15 00:32:55 -06:00
John Colvin
2a04341b3b
Allow for non-null, or non-empty effects vector in 'match' method
2021-01-15 00:07:02 -06:00
John Colvin
c0a7f1b3fe
refactor: Use c++ 'char_traits::length' instead of c 'strlen'
2021-01-15 00:07:02 -06:00
John Colvin
66e1b94d1b
refactor: Revamp cli with CLI11 App
2021-01-15 00:07:02 -06:00
John Colvin
25e07d0a60
refactor: Move BookStatRecorder into 'feed_observers' dir
2021-01-14 21:25:14 -06:00
Pedro Pinto
2731f2b287
Fixed weird duplicate symbol issue.
2021-01-14 13:53:31 -05:00
Pedro Pinto
5140cb1c2c
Towards an order gateway.
2021-01-14 13:09:39 -05:00
Pedro Pinto
e11566537c
More refactoring.
2021-01-13 14:50:29 -05:00
Pedro Pinto
b884dc910e
Refactor MDP3 feed handler types.
2021-01-13 14:48:13 -05:00
Pedro Pinto
35cefe3b89
Added IL3 Parser.
2021-01-13 12:04:34 -05:00
Pedro Pinto
96af106a9d
Refactored MDP3Parser
2021-01-13 11:16:23 -05:00
Pedro Pinto
ac5d961a70
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-13 09:47:34 -05:00
Pedro Pinto
8f4e529766
Refactoring SBE parsing.
2021-01-13 09:47:23 -05:00
Taha Afzal
19a7e2898e
normalizing ticks/price/cash in the report
2021-01-12 18:12:45 -05:00
Pedro Pinto
0ef29c181a
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-12 15:48:10 -05:00
Pedro Pinto
81d3d5f11d
Adding ilink3 notes
2021-01-12 15:47:54 -05:00
Pedro Pinto
c4e0518228
Whitespace.
2021-01-12 11:57:45 -05:00
Taha Afzal
121b7df59e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-12 11:28:21 -05:00
Taha Afzal
6740f6b1fb
Adding status col to polygon_values
2021-01-12 11:27:52 -05:00
Pedro Pinto
5a7a267daf
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-12 11:10:59 -05:00
Pedro Pinto
fb1040fb2c
Cleaned up generation of mdp3 files.
2021-01-12 11:10:39 -05:00
Taha Afzal
ecad5518eb
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-12 11:10:37 -05:00
Taha Afzal
4361e2277a
vid constraint on polygon values
2021-01-12 11:10:24 -05:00
Pedro Pinto
7d7e25fd25
More refactoring.
2021-01-12 10:38:59 -05:00
Pedro Pinto
8f0cfe2c2a
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-12 10:32:10 -05:00
Pedro Pinto
c470c5f161
Cleaned up iLink3 code generation.
2021-01-12 10:31:36 -05:00
Taha Afzal
2302e5f37e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-12 09:40:19 -05:00
Pedro Pinto
fc1b84f966
Refactor of directory names.
2021-01-12 09:02:50 -05:00
Pedro Pinto
25ad869030
Adding iLink3 generation code
2021-01-12 08:57:16 -05:00
Taha Afzal
a35559da30
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-11 22:35:18 -05:00
Taha Afzal
0103abbec3
merging
2021-01-11 22:34:57 -05:00
Pedro Pinto
ee725747ad
Added trade summary signal
2021-01-11 13:23:28 -05:00
Taha Afzal
ef0f044e8d
Adding more data to polygon_values
2021-01-11 12:58:23 -05:00
Pedro Pinto
d42b72ea79
Added Trade summary signal to spartan.
2021-01-11 11:56:52 -05:00
Pedro Pinto
f177441d07
Refactored.
2021-01-11 10:14:38 -05:00
Pedro Pinto
939c6442be
Added book signa to realtime handler.
2021-01-11 10:10:35 -05:00
Pedro Pinto
33dad3db73
More book tweaks.
2021-01-10 18:02:25 -05:00
Pedro Pinto
ef296d4b1c
More clean up.
2021-01-10 17:21:15 -05:00
Pedro Pinto
58fbb8e04f
Cleaning up book merging.
2021-01-10 17:17:45 -05:00
Pedro Pinto
0200b53c3e
Refactored Book class.
2021-01-10 14:16:48 -05:00
Pedro Pinto
cdaef11761
Refactored Book class. More to follow.
2021-01-10 14:16:27 -05:00
Pedro Pinto
853d9f8ddd
Refactor Book.
2021-01-08 20:29:30 -05:00
Pedro Pinto
61aac1f1b2
Refactoring book.
2021-01-08 19:37:45 -05:00
Pedro Pinto
48f33e7e4c
Added some comments.
2021-01-08 18:20:57 -05:00
Pedro Pinto
216ebb2454
Moved security snapshot to domain.
2021-01-08 18:17:54 -05:00
Pedro Pinto
5c36f21f06
Refactored.
2021-01-08 18:13:04 -05:00
Pedro Pinto
66360844b2
Refactor.
2021-01-08 14:58:10 -05:00
Pedro Pinto
8eae549af3
Refactor
2021-01-08 14:49:58 -05:00
Pedro Pinto
721bc6d68f
Refactor.
2021-01-08 14:43:53 -05:00
Pedro Pinto
b7d7b3dceb
Refactored.
2021-01-08 14:27:36 -05:00
Pedro Pinto
d3ad5ee823
Refactor.
2021-01-08 14:06:00 -05:00
Pedro Pinto
c119b4b6ef
Refactor.
2021-01-08 13:52:37 -05:00
Pedro Pinto
9aa5e6435d
Cleaned up quicktest.
2021-01-08 10:57:29 -05:00
Pedro Pinto
b4eced0cd3
Set buffer size and non blocking option on reactor.
2021-01-08 10:57:03 -05:00
Pedro Pinto
1f159aacf0
Getting market data from the wire.
2021-01-08 10:37:07 -05:00
Pedro Pinto
d2ed70b6dd
Added a few comments.
2021-01-08 10:36:24 -05:00
Pedro Pinto
76be885a60
Algoman.
2021-01-07 17:56:50 -05:00
Pedro Pinto
f7173cd477
Towards algoman
2021-01-06 16:11:46 -05:00
Pedro Pinto
b448db51f4
More refactor.
2021-01-06 09:15:25 -05:00
Pedro Pinto
a413b2401b
Refactor.
2021-01-06 09:11:33 -05:00
Pedro Pinto
37a673d336
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-05 11:35:39 -05:00
Pedro Pinto
37cb60a777
Refactor.
2021-01-05 11:35:24 -05:00
Pedro Pinto
18fc857b78
Towards algoman.
2021-01-05 11:34:27 -05:00
Taha Afzal
aa4912bba9
Opp summary
2021-01-05 10:17:15 -05:00
Pedro Pinto
7eff7f89d1
Towards an algo framework.
2021-01-04 14:58:24 -05:00
Taha Afzal
9010003a0d
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-04 10:07:10 -05:00
Taha Afzal
9a0bc05b8b
Added edge filter for static analysis
2021-01-04 10:06:51 -05:00
Pedro Pinto
0e4327c3f9
Merged
2021-01-04 09:36:24 -05:00
Pedro Pinto
cc9b4b874c
Renamed MDP3Price to Price.
2021-01-04 09:04:35 -05:00
Pedro Pinto
333609d23a
Renamed MDP3Price::price() to MDP3Price::to_double()
2021-01-04 08:56:48 -05:00
Pedro Pinto
1f7e682900
Fixed some tests that were using MDP3Price.
2021-01-04 08:53:00 -05:00
John Colvin
635d4196f1
build: Resolve QuantityTag template parameter conflict
...
The linker was mixing up the QuantityTag template
parameter structs declared in the aliases
'bts::Quantity,' and 'bts::spartan::mdp3::Quantity.'
2021-01-03 22:46:02 -06:00
John Colvin
3f7ce90cef
spartan cli: Add 'book_stats' command
...
Generates a csv file consisting of basic stats
about each book update (one row per per update).
2021-01-03 22:46:02 -06:00
John Colvin
1c8859ced6
Inline 'event_flags_name' method
2021-01-03 22:35:50 -06:00
John Colvin
04257535e1
clang-format: Add 'AlwaysBreakTemplateDeclarations: true'
2021-01-03 22:34:37 -06:00
John Colvin
ae71fb9c33
Overload Formatter::join to accept ostream&
...
* Existing join methods all create and return a
string, while the overload passes values directly
to the ostream&, and avoids creating/copying a string.
* This will come in handy when creating csv rows.
2021-01-03 22:34:31 -06:00
Pedro Pinto
8f68e5afaf
Dowgraded default filter message in polygons to Info.
2021-01-03 17:10:50 -05:00
Pedro Pinto
23160f7843
Fixed bug in algo effect sort order.
2021-01-03 17:10:17 -05:00
Taha Afzal
2788e39cd6
Refining the pandas code for sniper analysis
2021-01-01 20:15:28 -05:00
Pedro Pinto
e536cae63a
Droppped md::IntPrice in favour od MDP3Price.
2021-01-01 16:32:22 -05:00
Taha Afzal
e6b96b3fc3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2021-01-01 12:56:52 -05:00
Taha Afzal
6d357c8d22
One place to look at static analysis of sniper opportunuities
2021-01-01 12:56:44 -05:00
Pedro Pinto
02dcd57817
IntPrice
2020-12-31 17:17:54 -05:00
Pedro Pinto
7a2c5425a1
Towards replacing md::IntPrice
2020-12-31 17:13:31 -05:00
Pedro Pinto
8b667e056c
Removed security db class.
2020-12-31 17:01:29 -05:00
Pedro Pinto
125fe90aaf
Refactored instrument definition.
2020-12-31 16:56:47 -05:00
Pedro Pinto
c7a4d08372
Working on instrument definition.
2020-12-31 16:01:38 -05:00
Pedro Pinto
d2bae92e92
Refactored.
2020-12-31 13:07:21 -05:00
Pedro Pinto
9ff4c81a11
More refactor.
2020-12-31 12:15:24 -05:00
Pedro Pinto
bda105c550
Merged
2020-12-31 12:08:17 -05:00
Pedro Pinto
df36b6d24f
Refactored iceberg quantity.
2020-12-31 12:06:33 -05:00
Pedro Pinto
b34ef9283d
Refactored quantity.
2020-12-31 11:57:22 -05:00
Pedro Pinto
7e13e8cb67
More refactoring.
2020-12-31 11:48:21 -05:00
Taha Afzal
a51f96cc6f
Added product to polygon values
2020-12-31 01:43:07 -05:00
Taha Afzal
99ea103944
merging
2020-12-31 00:34:55 -05:00
Taha Afzal
3b2e5e5d95
Spartan run with sql option, can optionally (based on config) not write the books to the database
2020-12-30 23:24:46 -05:00
Pedro Pinto
e06ce66513
Refactor MDP3TimeStamp to TimeStamp.
2020-12-30 21:11:00 -05:00
Pedro Pinto
738862cb22
Tweaked header layout.
2020-12-30 17:32:41 -05:00
Pedro Pinto
de063e51f0
Another clang-format run, changed how parameters are binned
2020-12-30 17:30:10 -05:00
Pedro Pinto
8f21a77150
Ran clang-format across all files
2020-12-30 17:11:18 -05:00
Pedro Pinto
a27321df2e
Apparently you need a newline at the end of afile
2020-12-30 16:50:01 -05:00
Pedro Pinto
0fb7ba5987
Ran clang-format on spartan, changed format defaults.
2020-12-30 16:30:37 -05:00
Pedro Pinto
a0a508e64f
More documentation.
2020-12-30 16:16:46 -05:00
Pedro Pinto
d8a80419eb
Added some documentatio, run clang-format on iLink3 code.
2020-12-30 14:22:56 -05:00
Pedro Pinto
862df2efb6
Made MDP3 compression tolerant of data loss.
2020-12-30 14:02:08 -05:00
Pedro Pinto
9dcbab9628
Refactor.
2020-12-29 20:02:04 -05:00
Pedro Pinto
ae7b25e120
Refactor.
2020-12-29 20:01:48 -05:00
Pedro Pinto
bb1e7df7a9
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-29 17:15:38 -05:00
John Colvin
b620d33f98
fix build: correct typo 'view' -> 'views'
...
Both 'view' and 'views' are namespaces within
the 'ranges' namespace. They contain some methods
with identitical signatures, although those in
the former are deprecated.
2020-12-29 16:10:18 -06:00
Pedro Pinto
19b5004920
Merged
2020-12-29 16:46:49 -05:00
John Colvin
337fb2ae45
Restore (uncomment) iceberg impl in Sim
...
The bug that was the reason it was originally commented out
has been fixed.
2020-12-29 12:58:24 -06:00
John Colvin
e87d4a796a
fix: IcebergFinder bootstraps with 'orders' instead of 'order_changes'
2020-12-29 12:58:24 -06:00
John Colvin
a419ee9ed1
cli: Make icebergs_csv cmd's columns match those in sql
2020-12-29 12:58:24 -06:00
John Colvin
2fe6e3dcab
cli: Make icebergs_csv command always generate new csv
...
Change the command so it does not attempt to retrieve the
icebergs from a bin file before observing the pcap, nor does it
write the icebergs to a bin file after observation. This behavior
was originally intended as a way to avoid wasting time regenerating
the same set of icebergs when pcap observation was significantly slower.
2020-12-29 12:58:24 -06:00
John Colvin
262b6352a6
test: Add unit tests for synth book computation
2020-12-29 12:58:24 -06:00
John Colvin
a18d29b66a
Add several MDP3Quantity int binary operators
2020-12-29 12:58:24 -06:00
John Colvin
b464b9ab88
Overload SidePriceComp '()' operator for SmallBookLevel
2020-12-29 12:58:24 -06:00
John Colvin
8bf8b6b36e
Clean up, and optimize compute_synthetic_book method
...
* Improve code-readability
* Add documentation
* Avoid copying leg books
2020-12-29 12:58:24 -06:00
John Colvin
cbd10c7a7c
Refactor book_utils::fmt_ladder
...
* use md::IntPrice/MDP3Quantity rather than double/uint32_t
* overload fmt_ladder to accept a single book-side, and an
optional 'side' argument. If 'side' isn't specified, deduce
the side by comparing 2 price levels.
2020-12-29 12:54:47 -06:00
John Colvin
a6bfa8f976
fix: compute_synthetic_book sometimes only populates 1st price level
...
Incorrect 'limiting factor' logic was causing the method to exit
when the qty in the first price level of the first leg was used.
2020-12-29 12:54:47 -06:00
John Colvin
8850d7d188
fix: running_cost accumulation in 'change_unit_qty' method
2020-12-29 12:54:47 -06:00
Taha Afzal
9b62a70c8f
PolygonFinder can be parameterized for symbols(assets), expirations
2020-12-29 12:54:47 -06:00
Taha Afzal
950887851a
Added a product list config for polygon generation
2020-12-29 12:54:47 -06:00
Pedro Pinto
6f5c41ca14
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-29 08:06:54 -05:00
Pedro Pinto
5223529af1
Sorted match effects so that price updates are delivered before order updates.
2020-12-29 08:06:27 -05:00
Taha Afzal
2632d7ea9f
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-28 23:17:28 -05:00
Taha Afzal
de60a0abd1
PolygonFinder can be parameterized for symbols(assets), expirations
2020-12-28 23:17:23 -05:00
Pedro Pinto
c4e4ff57d8
Multiple changes to sniper including use of quantity in shot selection.
2020-12-28 20:06:43 -05:00
Pedro Pinto
b6f108f7ea
More precise alignment of sim time and pcap time.
2020-12-28 20:05:33 -05:00
Pedro Pinto
96c39e68ee
More deterministic names for polygons.
2020-12-28 20:03:49 -05:00
Pedro Pinto
a3d5e63fb6
DB Fixes.
2020-12-28 20:03:35 -05:00
Pedro Pinto
c1be834e54
Changed logging.
2020-12-28 20:02:48 -05:00
Pedro Pinto
caf0914b4d
Better names for sim time.
2020-12-28 20:02:24 -05:00
Pedro Pinto
0fc522f8c2
Removed commented out code.
2020-12-25 13:41:46 -05:00
Pedro Pinto
a247f7e396
Re-enabling all polygons.
2020-12-25 13:36:45 -05:00
John Colvin
03d5047798
fix: compute_synthetic_book sometimes only populates 1st price level
...
Incorrect 'limiting factor' logic was causing the method to exit
when the qty in the first price level of the first leg was used.
2020-12-24 14:22:58 -06:00
John Colvin
391b8ece7a
fix: running_cost accumulation in 'change_unit_qty' method
2020-12-24 14:22:42 -06:00
Taha Afzal
7d75654cf0
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-24 12:53:31 -05:00
Taha Afzal
6a46ad2b0e
Added a product list config for polygon generation
2020-12-24 12:53:27 -05:00
Pedro Pinto
e413ad216e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-24 10:44:43 -05:00
Pedro Pinto
d582005d64
Added assert to make sure books are correct.
2020-12-24 10:44:29 -05:00
Pedro Pinto
02fa07552b
Added expiration to instrument definition.
2020-12-24 10:44:08 -05:00
Taha Afzal
b032926581
hooking polygon book calc to polygon_values
2020-12-23 18:05:03 -05:00
Pedro Pinto
189cb66daf
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-23 14:24:47 -05:00
Pedro Pinto
36f1df58f0
Intermediate commit.
2020-12-23 14:24:23 -05:00
Taha Afzal
8489eda3a6
Merging
2020-12-23 12:42:37 -05:00
Taha Afzal
3e189a751d
Allow negative payups
2020-12-23 12:32:45 -05:00
Pedro Pinto
b2f6be6d10
Added back all polygons, had a temp break to debug synth book.
2020-12-23 12:22:48 -05:00
John Colvin
b656632e86
fix: synthetic book computation
...
* the fix was technically in the 'change_unit_qty' method,
which is called from 'compute_synthetic_books.'
* Although the 'change_unit_qty' method was correctly dividing
quantity by 'unit_qty', it was not scaling the prices.
2020-12-23 10:28:59 -06:00
John Colvin
22cf50282c
.vscode: change python interpreter path setting
2020-12-23 10:28:59 -06:00
Taha Afzal
7650e15a52
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-23 10:55:20 -05:00
Taha Afzal
235d6ecd2f
Polygon values have legs books (as text columns), and synthetic books. There is a also new view that joins polygon values with events
2020-12-23 10:55:10 -05:00
Pedro Pinto
c9a0d4489b
Added max loss, added start/stop times for simulation, added price only order changes.
2020-12-22 10:58:05 -05:00
Pedro Pinto
c6697b82fe
Added code to convert ptime to mdp3 time.
2020-12-22 10:56:16 -05:00
Pedro Pinto
e0231c7dd5
Fixed PCapReader destructor.
2020-12-22 10:55:42 -05:00
Pedro Pinto
f3bcbf85dd
Reduced console logging.
2020-12-21 10:16:41 -05:00
Pedro Pinto
7e04f9a5b3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-21 10:00:13 -05:00
Pedro Pinto
1835d490a3
Added the ida of parameter sets in the simulator.
2020-12-21 09:59:38 -05:00
Taha Afzal
36bf94aad9
placeholder orders are not fired in file mode
2020-12-18 09:17:28 -05:00
Taha Afzal
468df062c3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-17 12:15:27 -05:00
Taha Afzal
544a9212cf
Sniper launched placeholder orders that are then used to snipe
2020-12-17 12:15:19 -05:00
Pedro Pinto
822f43c5a1
Better logging of shot sequence number.
2020-12-17 10:22:53 -05:00
Pedro Pinto
85106cb293
Better logging of clean/saved/forced shots.
2020-12-17 10:22:33 -05:00
Pedro Pinto
ebd0fa4809
Added utility to parse performance logs.
2020-12-17 09:40:04 -05:00
Pedro Pinto
43f4fe2011
Better logging for sniper model.
2020-12-17 09:39:41 -05:00
Taha Afzal
ffcebdf94a
Perf logs in the sniper
2020-12-16 00:05:31 -05:00
Pedro Pinto
0e7b104c76
Added more performance logging.
2020-12-15 18:04:10 -05:00
Pedro Pinto
f0b76f244c
Added packet structure to sql DB.
2020-12-15 17:01:27 -05:00
Pedro Pinto
e4dc9103e1
Fixed typo in md.sql
2020-12-15 14:17:42 -05:00
Pedro Pinto
afb88122ad
Added performance logging.
2020-12-15 13:40:08 -05:00
Pedro Pinto
18a0fa7fb9
Tweak to md sql DB.
2020-12-15 13:34:55 -05:00
Pedro Pinto
b491b2b4cd
Added seq numbers to top of the book and opportunity views.
2020-12-15 09:45:53 -05:00
Pedro Pinto
4b1e9afe28
Corrected corid for trade summary signal.
2020-12-15 09:45:35 -05:00
Pedro Pinto
abb9a56761
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-14 11:56:52 -05:00
Pedro Pinto
09505b2005
Added pause between shots, added clean flag to shot outcome.
2020-12-14 11:56:37 -05:00
Pedro Pinto
e3a9adbf3f
Fixed clean up of sim db.
2020-12-14 11:55:47 -05:00
Taha Afzal
9aafed66c0
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-14 10:50:15 -05:00
Taha Afzal
a259aa8419
Lookeahd book top guessed aggressively
2020-12-14 10:50:06 -05:00
Pedro Pinto
4daf6e127e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-14 10:32:52 -05:00
Pedro Pinto
1ac36e932e
Fixed unbuscription from trade signal on algo termination.
2020-12-14 10:32:26 -05:00
Pedro Pinto
23b038a6a7
Optionall automatically clear previous runs from sim_db.
2020-12-14 10:17:54 -05:00
Pedro Pinto
e2069c8584
Fixed key remapping in sim.
2020-12-14 10:17:25 -05:00
Pedro Pinto
525cf4652e
Removed old proto from include.
2020-12-14 10:17:07 -05:00
Pedro Pinto
6eb3595294
Added sniper_run view to sim_db.
2020-12-14 10:16:14 -05:00
Taha Afzal
8c421d0726
Slight log change
2020-12-14 10:15:12 -05:00
Pedro Pinto
870c69b834
Removed incorrect assertions.
2020-12-13 18:08:09 -05:00
Pedro Pinto
4f39307b9b
Disabled icebergs because of show quantity set to 0.
2020-12-13 18:07:37 -05:00
Pedro Pinto
b687e339a4
Improved logging during sniper run.
2020-12-13 18:07:11 -05:00
Pedro Pinto
8623f2369f
Fixed a bug in sniper model.
2020-12-13 18:06:56 -05:00
Taha Afzal
7eade56042
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-13 16:29:08 -05:00
Taha Afzal
1091c983f9
More logs
2020-12-13 16:29:02 -05:00
Pedro Pinto
533ca3e601
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-13 10:33:21 -05:00
Pedro Pinto
e4b8594d44
Ran clang format.
2020-12-13 10:33:07 -05:00
Taha Afzal
22e5a53e32
FillType flag
2020-12-12 21:48:22 -05:00
Pedro Pinto
6c5f5116b4
Tweaked 'shots' view in sim db.
2020-12-12 20:03:51 -05:00
Pedro Pinto
b5e455ff75
Adjusted polygon filter to include dec/march.
2020-12-12 19:20:18 -05:00
Pedro Pinto
03cd5c164f
Improved caching of pcap data during simulations.
2020-12-12 19:19:26 -05:00
Pedro Pinto
c4aa99636e
Added pay up to sniper model.
2020-12-11 19:45:16 -05:00
Pedro Pinto
ed0eb9be19
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-11 14:13:32 -05:00
Pedro Pinto
d155f8ed12
Tweaked python analysis tools.
2020-12-11 14:12:32 -05:00
Pedro Pinto
ffcfe3cf9c
Added more parameters to sim db.
2020-12-11 14:11:59 -05:00
Taha Afzal
d848a15217
lookahead diagnostics log
2020-12-11 11:03:55 -05:00
Taha Afzal
951f8e9442
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-11 10:00:58 -05:00
Taha Afzal
f10f46b811
corid and use_lookahead logged
2020-12-11 10:00:50 -05:00
Pedro Pinto
d7e80a1303
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-10 22:24:09 -05:00
Pedro Pinto
de0d6c5891
Cleaned up sniper model
2020-12-10 22:21:52 -05:00
Pedro Pinto
4e7c0122d7
Cache preload of sim.
2020-12-10 22:21:07 -05:00
Pedro Pinto
cb75e46161
Better DBs.
2020-12-10 22:20:11 -05:00
Taha Afzal
6954f5842f
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-10 12:36:16 -05:00
Taha Afzal
cbc1cc6b5b
using trade summs of atleast 2 messages, more logs
2020-12-10 12:35:57 -05:00
Pedro Pinto
3cc2cf0783
Hard coded filtering of polygon opportunities to just the one polygon.
2020-12-10 12:22:46 -05:00
Pedro Pinto
b3e7bcf2e1
Fixed iceberg table in sql command.
2020-12-10 12:22:00 -05:00
Pedro Pinto
dd3c33387d
Forgot to add the number of levels to the actual interface.
2020-12-10 11:02:21 -05:00
Pedro Pinto
84a8f11846
Added number of levels to trade signal.
2020-12-10 10:50:33 -05:00
Pedro Pinto
4d2ba5fc41
Fixed initialization bug in sniper.
2020-12-10 09:10:10 -05:00
Pedro Pinto
b980e39ebb
Merged
2020-12-10 09:03:14 -05:00
Pedro Pinto
0dc97dd2d9
Refactor part 8.
2020-12-10 08:56:14 -05:00
Pedro Pinto
cef6815e5c
Refactor, part 8.
2020-12-10 08:47:07 -05:00
Pedro Pinto
4e84b7d789
Refactor, part 7
2020-12-10 08:44:25 -05:00
Pedro Pinto
f632fa2e50
Refactor, part 6
2020-12-10 08:42:09 -05:00
Pedro Pinto
1919440a83
Refactor, part 5.
2020-12-10 08:25:26 -05:00
Taha Afzal
1a43dafb2e
Evaluating in response to trade summary,improved logs
2020-12-09 18:52:57 -05:00
Taha Afzal
bd54f19bdb
More logging
2020-12-09 17:13:22 -05:00
Pedro Pinto
5f2e98beed
More clean up.
2020-12-09 14:58:55 -05:00
Pedro Pinto
f7ea0cd254
Removing old sim code part 3.
2020-12-09 14:51:58 -05:00
Taha Afzal
af1ab49219
added sweep test for the sell side
2020-12-09 14:49:57 -05:00
Taha Afzal
2ac74c5e29
Clang build fix, sweep book calc test
2020-12-09 14:35:32 -05:00
Pedro Pinto
fb42df3117
Removing old sim, part2
2020-12-09 14:34:31 -05:00
Pedro Pinto
443dacaefb
Removing old simulator, part 1.
2020-12-09 14:26:10 -05:00
Taha Afzal
0d5b3d9018
detaching all children before completing the sniper after each shot
2020-12-09 13:15:51 -05:00
Taha Afzal
cc75c46b1a
sniper turns itself off after shooting
2020-12-09 12:54:35 -05:00
Taha Afzal
1ee60f743e
added the cumm price/qty constraint, everything hooked up
2020-12-09 12:11:24 -05:00
Taha Afzal
dc8fd8baef
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-09 09:55:39 -05:00
Taha Afzal
67b6884200
cumm edge/qty parameter to sniper
2020-12-09 09:55:30 -05:00
Pedro Pinto
03a81280f4
Merged
2020-12-09 08:49:27 -05:00
Pedro Pinto
34675696f3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-09 08:38:44 -05:00
Pedro Pinto
0e1687c853
Changed trade summary signal to include last qty.
2020-12-09 08:38:00 -05:00
John Colvin
ccf8a8e492
fix iceberg integration with new simulator
...
* Sim uses MergedMatcher::reset to inject a particular exchange state
into the matcher (the matcher does not reset the visible quantity to the
show quantity in a reset op).
* iceberg_helper::add_iceberg_annotation does not set the visible
quantity to the show quantity if the order change type is 'added'.
2020-12-09 00:12:31 -06:00
John Colvin
a0d0a30ad3
refactor 'is_exhausted' -> 'is_empty' in compute_synthetic_books
2020-12-09 00:11:51 -06:00
John Colvin
ff02801000
compute_synthetic_book doesn't copy leg market tuples as it iterates through them
2020-12-09 00:11:51 -06:00
John Colvin
590ca3892d
compute_synthetic_book was multiplying leg prices by their qty twice
...
This is a pre-emptive bug fix, as the method has only been fed synths
with leg quantities +/-1.
2020-12-09 00:11:51 -06:00
John Colvin
1674486dc0
vscode (build): change linux build task to run in docker
...
* prompts user for configuration (debug or release)
* looks for docker instance named "${USER}s_docker"
2020-12-09 00:11:51 -06:00
John Colvin
dc5301f8b0
vscode (intellisense): add build/ninja_debug/src to browse path
2020-12-09 00:11:51 -06:00
Taha Afzal
436f7eefe9
Added logic for book calculation based on sweep
2020-12-09 00:57:34 -05:00
Taha Afzal
fd8bd63f55
Added payup ticks to sniper and logic to alternate bw main book and lookahead book
2020-12-08 21:47:25 -05:00
Pedro Pinto
64b42aef99
Trade summary signal code complete.
2020-12-08 16:01:46 -05:00
Pedro Pinto
1d323ddc37
Fixed bug in parsing a few sim run options.
2020-12-08 11:42:26 -05:00
Pedro Pinto
c1331df2fe
Fixed cumm qty.
2020-12-08 11:03:19 -05:00
Pedro Pinto
cb1946a8d0
Delayed simulation start until first algo order to improve accuracy.
2020-12-08 09:14:54 -05:00
Pedro Pinto
09c043b11f
Added some validation for the sniper synth book.
2020-12-08 08:47:16 -05:00
Pedro Pinto
6df3dce95d
Commented out the IB annotation until we get it sorted out.
2020-12-07 19:51:00 -05:00
John Colvin
9787f2ed8e
Merged in spartan_tas.sim_icebergs (pull request #415 )
...
integrate new IcebergInput logic into sim runs
Approved-by: Pedro Pinto
2020-12-08 00:37:00 +00:00
John Colvin
654f79b42d
integrate new IcebergInput logic into sim runs
2020-12-07 17:55:26 -06:00
Taha Afzal
1840120af8
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-07 14:31:30 -05:00
Taha Afzal
b90ac3d629
Adding jupyter notebooks for ES sniper analysis
2020-12-07 14:31:21 -05:00
Pedro Pinto
e846420f9d
Fixed bug in valuation
2020-12-07 14:29:49 -05:00
John Colvin
87a7fca75c
overload compute_synthetic_book with standard Book type params
2020-12-07 11:22:05 -06:00
Pedro Pinto
a9c07ec770
Merged
2020-12-07 11:43:52 -05:00
Pedro Pinto
fc2bd8230a
Merge branch 'spartan_tas' into sim2
2020-12-07 11:42:38 -05:00
Pedro Pinto
36c2b7b952
Added skelleton for min_cumm_qty and min_cumm_price params.
2020-12-07 11:39:58 -05:00
John Colvin
fb3f843309
(vscode) setting: don't configure cmake on open
2020-12-06 20:24:56 -06:00
John Colvin
12eef87fb0
fix typos to remove clang build warnings
2020-12-06 20:24:56 -06:00
Taha Afzal
4c066859c4
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-12-06 20:31:01 -05:00
Taha Afzal
b4716db99d
Adding synthetic test runner to jason
2020-12-06 20:30:56 -05:00
John Colvin
07f13de58e
Merge remote-tracking branch 'origin/sim2' into spartan_tas
2020-12-06 18:09:05 -06:00
Pedro Pinto
92bdb06ceb
Integrated commission model..
2020-12-06 12:41:07 -05:00
John Colvin
256b1aeb59
implement MergedMatcher::clear
2020-12-06 11:30:23 -06:00
John Colvin
9b20c2a230
remove CheckedMatcher struct, replace usage with matcher (was only using the matcher member anyways)
2020-12-06 11:30:23 -06:00
John Colvin
78c3617749
add missing comma to settings.json
2020-12-06 11:30:23 -06:00
John Colvin
9a041af544
MergedMatcher uses new '_asset_matcher' method to remove redundant code
2020-12-06 11:28:35 -06:00
Pedro Pinto
8687de6fa2
Added better logging of param values.
2020-12-06 11:45:59 -05:00
Pedro Pinto
c7a4bb461a
Sim2 working.
2020-12-05 21:54:34 -05:00
Pedro Pinto
c96f142709
Towards simple sim.
2020-12-04 20:57:54 -05:00
John Colvin
6367375ac6
add clear, reset methods to Direct/MergedMatcher (for state injections during sim runs)
2020-12-03 23:51:25 -06:00
John Colvin
0530e50a04
fix documentation of iceberg_helper::add_iceberg_annotation
2020-12-03 18:29:21 -06:00
John Colvin
afd05f3c7c
add missing comma to generated books csv
2020-12-03 17:11:34 -06:00
John Colvin
fff7faab90
added some diagnostic spartan cmds to track down sim_books mismatches
2020-12-03 17:11:34 -06:00
John Colvin
e4c36c8470
improve iceberg deduction
2020-12-03 17:11:34 -06:00
Pedro Pinto
11527282c8
Added some matcher validatio helpers.
2020-12-03 08:39:40 -05:00
John Colvin
085764b9a4
add src/.clang-format to .gitignore
2020-12-01 13:44:44 -06:00
Pedro Pinto
96e3c3b9ac
Added updated_price only change to possible order changes.
...
This is needed to facilitate iceberg management.
2020-12-01 13:43:41 -06:00
Pedro Pinto
2c9893c524
Accelerated CSV generation.
2020-12-01 13:42:47 -06:00
John Colvin
cbf444d5ed
added IcebergStateMapper to determine exact sequence of iceberg state per event id
2020-12-01 13:41:14 -06:00
John Colvin
25e52df136
add create_polygon_books.sql
2020-12-01 12:44:25 -06:00
John Colvin
85afd6966c
add some docker scripts (start_docker.sh, docker_bash.sh)
2020-12-01 12:44:25 -06:00
John Colvin
724df36bdc
refactor vector<tuple<price,qty>> to SmallBook (vector alias), and SmallBookLevel (actual struct instead of tuple)
2020-12-01 12:44:25 -06:00
John Colvin
afb0cdfbaf
added SyntheticBookRecorder and polygon_books spartan command
2020-12-01 12:44:22 -06:00
Pedro Pinto
2de4ec6ebe
Sim2 and polyobserver agree.
2020-12-01 07:44:59 -05:00
John Colvin
70ca670955
overload 'Formatter::fmt_values' for any Iter type
2020-11-30 22:00:02 -06:00
John Colvin
acea32f618
add 'analysis/data' to .gitignore (I symlink this to pcap/sqlite data for jupyter-notebooks)
2020-11-30 22:00:02 -06:00
John Colvin
be11f93de7
add src/.clang-format to .gitignore
2020-11-30 22:00:02 -06:00
John Colvin
067ec9b2b9
extracted member functions from FifoImpliedSecurityMatcher into book_utils namespace
2020-11-30 11:33:11 -06:00
Pedro Pinto
398397ca7f
Towards self-correcting simulator.
2020-11-29 17:05:45 -05:00
Pedro Pinto
3599fa2b0c
Added reference code.
2020-11-21 18:24:17 -05:00
Pedro Pinto
f650177758
Towards better pcap DB generation and use.
2020-11-21 18:23:43 -05:00
Pedro Pinto
56227b77d2
Updated .gitignore
2020-11-20 12:18:41 -05:00
Pedro Pinto
9deaf6bc6d
More analysis tools
2020-11-20 12:16:50 -05:00
Pedro Pinto
0f4d5a7047
Updated jupyter notebooks
2020-11-19 08:08:02 -05:00
Pedro Pinto
b82004cf26
Improved analysis.
2020-11-18 17:09:11 -05:00
Taha Afzal
59a0eba902
Fixing the aggressive order's qty adjustment for icebergs
2020-11-16 12:12:12 -05:00
Taha Afzal
e979fc86b2
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-16 11:09:55 -05:00
Taha Afzal
b28ba12146
Added some comments to the matcher test and traced back the failing test to crossing order (that bnecomes a resting order) bug
2020-11-16 11:09:48 -05:00
Pedro Pinto
4cfd4bec24
Fixed lost fills on aggressor
2020-11-15 15:06:32 -05:00
Pedro Pinto
d9aa4eea38
Minor refactor
2020-11-14 17:52:15 -05:00
Pedro Pinto
fefe716d2f
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-14 12:42:51 -05:00
Pedro Pinto
c6c0dc21e2
Added better logging to simulator
2020-11-14 12:42:44 -05:00
Taha Afzal
cd6bdb1576
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-11 10:22:11 -05:00
Taha Afzal
9266e919b6
Bridge is untested but completed
2020-11-11 10:21:58 -05:00
Pedro Pinto
116131f0a8
Cleaned up and sped up sim log.
2020-11-10 20:06:46 -05:00
Pedro Pinto
7fb644ee3e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-10 12:01:10 -05:00
Pedro Pinto
321550d418
More updates to sim db.
2020-11-10 11:59:59 -05:00
Taha Afzal
4234087c34
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-10 11:35:57 -05:00
Taha Afzal
bdac6bc3fa
Callbacks in the AlgoBridge are routed back
2020-11-10 11:35:45 -05:00
Pedro Pinto
524e83c595
Streamlined sim db schema for easier querying.
2020-11-10 10:49:14 -05:00
Pedro Pinto
f9b2f413d7
Accoutend for algo transaction latency in simulation.
2020-11-10 10:48:50 -05:00
Pedro Pinto
d2f21c4b36
Deterministic names for polygons.
2020-11-10 10:47:46 -05:00
Pedro Pinto
95d8d8a42d
Better logging for sniper.
2020-11-10 10:47:34 -05:00
Pedro Pinto
63a2ba032d
Cleaned up some queries in md.sql.
2020-11-10 10:46:52 -05:00
Taha Afzal
e8ccd265ca
More bridge work
2020-11-10 08:48:56 -05:00
Taha Afzal
2c2968fe1a
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-08 23:44:59 -05:00
Taha Afzal
2df07f446b
Bridge filling in
2020-11-08 23:44:53 -05:00
Pedro Pinto
a906eb951e
Mapped order ids to be unique
2020-11-08 11:57:08 -05:00
John Colvin
50f3e39b2f
Matcher asserts against duplicate/recycled keys
2020-11-06 19:52:30 -06:00
Pedro Pinto
7c730f7b96
Multiple changes.
2020-11-06 19:17:02 -05:00
Pedro Pinto
7bb19d446d
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-06 13:10:45 -05:00
Pedro Pinto
8887962d6f
Towards a patient sniper
2020-11-06 13:10:41 -05:00
Taha Afzal
2f032def09
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-06 11:50:13 -05:00
Taha Afzal
426781a839
Security translation in the bridge
2020-11-06 11:50:01 -05:00
John Colvin
65b3addfdb
FifoMergedSecurityMatcher passes order changes directly to FifoSecurityMatcher when implied_matching is off
2020-11-05 16:48:12 -06:00
Taha Afzal
b104326036
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-05 16:31:28 -05:00
Taha Afzal
74267bbba9
Filling in the bridge 1
2020-11-05 16:31:22 -05:00
Pedro Pinto
5f454bcd6e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-05 15:52:11 -05:00
Pedro Pinto
c300bdcac9
Fixed up md.sql.
2020-11-05 15:51:44 -05:00
John Colvin
b85604097d
fix matcher partial-fills bug (part 2, fill at actual order price if implied matching is off)
2020-11-05 11:57:58 -06:00
Taha Afzal
89d9585ad8
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-05 11:53:30 -05:00
Taha Afzal
8e992a6979
IAlgoServices adapter
2020-11-05 11:53:24 -05:00
Pedro Pinto
51a4aabc09
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-04 16:37:49 -05:00
Pedro Pinto
b423872e66
More DB work.
2020-11-04 16:37:28 -05:00
John Colvin
a5ef9fd3cb
fix matcher partial-fills bug
2020-11-04 16:15:56 -05:00
Taha Afzal
a48686ce11
Adding corid to logs
2020-11-04 10:55:31 -05:00
Pedro Pinto
440a68cb9b
Added correlation id to IAlgoServices.
2020-11-04 08:51:35 -05:00
Pedro Pinto
480fd57ea4
Merged
2020-11-04 08:45:40 -05:00
Pedro Pinto
f07e018fbd
Many changes.
2020-11-04 08:42:43 -05:00
Taha Afzal
95a2093dc3
SniperPolygon was not getting the pid assigned
2020-11-03 17:34:35 -05:00
Taha Afzal
e3ec53c3f3
better logs
2020-11-03 11:16:30 -05:00
Taha Afzal
6d679f302b
Adding cancel in no side affect orders
2020-11-02 23:24:01 -05:00
Taha Afzal
85fa61768f
Commenting out shooting orders till code review
2020-11-02 23:14:31 -05:00
Taha Afzal
447d1a3997
Bridge work start
2020-11-02 23:07:35 -05:00
Taha Afzal
a5520204f5
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-01 23:13:28 -05:00
Taha Afzal
9b8ebe32d4
Sniper 1.0 completed
2020-11-01 23:13:22 -05:00
Taha Afzal
7914ed4147
Shooting real order
2020-11-01 10:19:04 -05:00
Pedro Pinto
a851dc6bb5
Rigged sniper to terminate simulation early so that we iterate quicker
2020-11-01 09:47:06 -05:00
Pedro Pinto
c9d9ab9a20
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-11-01 08:55:32 -05:00
Pedro Pinto
84e75c28e5
More tweaks to DB.
2020-11-01 08:55:21 -05:00
John Colvin
1e6829afc7
fix affect-free matching (actually add hypothetical fills to effects vector)
2020-10-31 12:47:01 -04:00
Pedro Pinto
1d23955868
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-30 18:42:30 -04:00
Pedro Pinto
aebe59a69f
Added early termination of simulation.
2020-10-30 18:41:53 -04:00
John Colvin
0b125e3299
fix ERROR logging macro in FifoMergedSecurityMatcher
2020-10-30 18:20:01 -04:00
John Colvin
46b4fab4ed
FifoMergedSecurityMatcher affect-free matching impl (assumes no implied markets)
2020-10-30 18:18:10 -04:00
John Colvin
2d6ca5a347
FifoMergedSecurityMatcher should subtract fill qty from working before the post-fill order state is logged
2020-10-30 16:30:20 -04:00
Taha Afzal
145cf2b482
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-29 13:36:57 -04:00
Taha Afzal
0a94c729e5
-ve edge allowed, can also be modified on the fly
2020-10-29 13:36:47 -04:00
Pedro Pinto
a31331be0c
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-29 12:26:12 -04:00
Pedro Pinto
67ab58a99b
Added exporting of matcher/sim generated books.
2020-10-29 12:25:03 -04:00
Taha Afzal
3835824d36
Key type is a parameter in the UI
2020-10-29 12:22:02 -04:00
Taha Afzal
02f98accd3
Polygon files can have bts keys or exchange keys (optionally)
2020-10-29 11:19:08 -04:00
Taha Afzal
d84119ca6a
Merge
2020-10-28 23:32:56 -04:00
Taha Afzal
c39fb79fda
Fixed the algo string params (SniperAlgo uses it now)
2020-10-28 23:13:20 -04:00
Pedro Pinto
d6a5a4023b
Fixed sim input bootstraped orders priority
2020-10-28 17:39:21 -04:00
Taha Afzal
8b0a0269ec
Better logging and some cleanup
2020-10-28 17:02:28 -04:00
Pedro Pinto
334493c1be
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-27 19:21:47 -04:00
Pedro Pinto
71bae99c38
Added more data to the polygon valuation.
2020-10-27 19:21:18 -04:00
John Colvin
3d1ab364dc
change bts_assert to log error instead
2020-10-27 18:02:26 -04:00
John Colvin
46820eecff
FifoSecurityMatcher::has_same_orders returns the error msg (shouldn't return an empty error msg on failure, as that indicates success)
2020-10-27 17:49:26 -04:00
John Colvin
4bc5f07815
add version header to .icebergs file
2020-10-27 17:46:15 -04:00
John Colvin
c78731e033
IcebergFinder subtracts qty changes from estimated qty (the matcher should adjust the total qty incrementally)
2020-10-27 17:40:58 -04:00
John Colvin
f063d7ecbd
tone down console output in MatcherValidationObserver; change hardcoded GC to ES (temp measure until the cmd accepts symbol args)
2020-10-27 17:40:58 -04:00
John Colvin
f67071708d
fix iceberg handling in MatcherValidationObserver
2020-10-27 17:40:58 -04:00
John Colvin
09d7d996cd
iceberg_helper::subtract_iceberg_fills protects against overfills
2020-10-27 17:40:58 -04:00
John Colvin
a143d851f2
add != operators for IcebergQuantity and optional<IcebergQuantity>
2020-10-27 17:40:58 -04:00
John Colvin
a25f089810
fix iceberg_file_cache (matcher validation observer saves ibs in file to speed up repeated runs on same pcap)
2020-10-27 17:40:58 -04:00
John Colvin
862d2a7ee8
remove unnecessary field '_side' from FifoSecurityMatcher::BookKeeper
2020-10-27 17:40:58 -04:00
Taha Afzal
408ae423c6
Modifications to the book affecting bit
2020-10-27 16:15:48 -04:00
Taha Afzal
0e1da96e52
Added test for sim order with no book effects
2020-10-27 14:38:03 -04:00
Taha Afzal
d0aa686693
FifoMatcher can match without affecting the existing markets
2020-10-27 11:54:07 -04:00
Pedro Pinto
317da795ec
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-27 08:52:10 -04:00
Taha Afzal
07887e60c5
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-26 18:47:12 -04:00
Taha Afzal
a2a7859a04
SniperAlgo
2020-10-26 18:47:04 -04:00
Pedro Pinto
d69aee25f9
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-26 17:53:17 -04:00
John Colvin
87e855086d
FifoSecurityMatcher recomputes book lazily to improve performance
2020-10-26 17:27:38 -04:00
Pedro Pinto
e918521266
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-26 15:26:42 -04:00
Pedro Pinto
969a3fd843
Intermediate commit
2020-10-26 15:25:57 -04:00
John Colvin
4adfe5708a
enable implied matching again (GatewayAgent uses MergedMatcher)
2020-10-26 14:59:24 -04:00
John Colvin
d270f60c2c
speed up FifoPriceLevelMatcher::populated() method (return as soon as 1 qty is detected)
2020-10-26 14:59:24 -04:00
Pedro Pinto
192f6ef390
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-26 13:38:17 -04:00
Pedro Pinto
df552e27d6
More views in sim_db.
2020-10-26 13:37:51 -04:00
Pedro Pinto
4850d279f6
CMAke
2020-10-26 13:37:35 -04:00
Pedro Pinto
29896b5ca4
Better logging.
2020-10-26 13:37:27 -04:00
John Colvin
710e05b029
migrate recent iceberg improvements over to DirectMatcher, and disable implied matching (need to resolve slowness in the MergedMatcher)
2020-10-26 12:40:52 -04:00
Pedro Pinto
f627bf9238
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-26 10:21:32 -04:00
Pedro Pinto
8a59948fe5
Made sniper check available depth before shooting, added a sniper mode
...
to just log.
2020-10-26 10:20:53 -04:00
Pedro Pinto
5de34a52bd
Added some new DB functionality, added utilities to manipulate book.
2020-10-26 10:18:44 -04:00
John Colvin
511b9551e3
delete old test code, clean up logging/console output in FifoMergedSecurityMatcher
2020-10-23 18:20:02 -04:00
John Colvin
8ddaaac244
define mdp3quantity operators with macro
2020-10-23 17:26:43 -04:00
John Colvin
ff0d0a2592
add implied_book method to Matcher, make book/implied_book methods const
2020-10-23 16:33:20 -04:00
John Colvin
919d5eb880
uncommented macro to enable implied matching in simulator (enables new iceberg code by side effect)
2020-10-23 16:32:21 -04:00
John Colvin
2e65f52802
Matcher gets iceberg qty directly from MDP3Order (since they are now generated w/ sim_input)
2020-10-23 16:12:19 -04:00
John Colvin
048f170727
fix build
2020-10-23 14:03:43 -04:00
John Colvin
bef915fd56
better iceberg deduction; integrate deduced icebergs into matcher
2020-10-23 13:29:37 -04:00
John Colvin
4f493aaf29
add pragma once to security_comp.h
2020-10-23 13:28:26 -04:00
Pedro Pinto
6b91e28d40
added icebergs to simulator input.
2020-10-23 11:28:56 -04:00
Pedro Pinto
895e3eebdd
Fixed clang build.
2020-10-23 08:29:57 -04:00
Pedro Pinto
2fed9da9fa
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-23 08:28:52 -04:00
Pedro Pinto
f6641e2ed1
Added observer algo to help validate the simulator.
2020-10-23 08:28:29 -04:00
Pedro Pinto
e5579871b5
Adjusted logging levels as per console/file discussion.
2020-10-23 08:28:08 -04:00
Pedro Pinto
e7a68a2ab3
Added top of the book view.
2020-10-23 08:27:32 -04:00
Pedro Pinto
0a58d69083
Faster combination generation.
2020-10-22 11:27:45 -04:00
Pedro Pinto
ed1915582c
Added view to summarize opportunity.
2020-10-22 11:27:30 -04:00
Pedro Pinto
5ea147efec
Trying to speed up polygon valuations.
2020-10-21 10:34:17 -04:00
Pedro Pinto
f1c5ba93d3
Fixed bugs in handling of CME fixed sized strings.
2020-10-21 10:31:37 -04:00
Pedro Pinto
e741b33810
Added command to list securities.
2020-10-21 10:30:24 -04:00
Pedro Pinto
044b331d27
Fixed build.
2020-10-19 10:18:13 -04:00
John Colvin
9f3124793a
implied matching seems slow, added macro in GatewayAgent.cpp to toggle it on or off while i investigate
2020-10-19 00:17:02 -04:00
John Colvin
f7c33b5eee
tone down logging/console output in matcher
2020-10-19 00:16:12 -04:00
John Colvin
d1fc809553
integrate implied matching into simulator
2020-10-18 23:06:25 -04:00
Pedro Pinto
e305ad124e
Toned down logging
2020-10-17 21:41:26 -04:00
Pedro Pinto
f68458a0f8
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-17 21:34:44 -04:00
Pedro Pinto
b33251fc64
Better opportunity static analysis.
2020-10-17 21:34:14 -04:00
John Colvin
695e484fd7
update externals (added ranges-v3 lib)
2020-10-17 20:28:42 -04:00
John Colvin
281c1d1919
add fifo implied matching facilities
2020-10-17 19:55:56 -04:00
John Colvin
62ad17011e
IntPrice * operator for regular ints
2020-10-17 19:34:44 -04:00
Pedro Pinto
52420a1256
build.
2020-10-16 20:19:21 -04:00
Pedro Pinto
9a2ff85669
Logged missing CPP's rather than crashing.
2020-10-16 20:14:54 -04:00
Pedro Pinto
76e0bced60
More realistic limits for polygon search space.
2020-10-16 20:14:37 -04:00
Pedro Pinto
e9cdb26d46
Better logging.
2020-10-16 20:13:39 -04:00
Pedro Pinto
e780ba5867
Merged
2020-10-15 14:25:39 -04:00
Pedro Pinto
e5d77593d1
Changed logging
2020-10-15 14:24:02 -04:00
Pedro Pinto
6580f3883b
Added logging of cancel/replace
2020-10-15 14:18:57 -04:00
Pedro Pinto
5e825b70d2
Added logging of cancel/replace
2020-10-15 14:18:28 -04:00
Pedro Pinto
2e13820e28
Dropped polygon opportunities with quantity 0
2020-10-15 10:56:56 -04:00
Pedro Pinto
24c06c5492
Fixed query.
2020-10-15 09:57:28 -04:00
Pedro Pinto
ad8ac601ce
Added commonly needed indexes to md DB, fixed duration calculation in
...
polygon opportunity calculation.
2020-10-15 09:53:49 -04:00
Pedro Pinto
fc21544cf2
Better polygon opportunity analysis.
2020-10-15 09:17:26 -04:00
Pete Fisher
a66eae66bb
fixing for python3
2020-10-14 21:56:49 -04:00
Pedro Pinto
af6636b44b
Added polygon opportunity analysis to SQL.
2020-10-14 21:17:36 -04:00
Pedro Pinto
7ab55a2fe6
Generating merged books.
2020-10-14 16:54:17 -04:00
Pedro Pinto
973cc1195a
Added implied book merging.
2020-10-14 12:30:47 -04:00
Pedro Pinto
ef849f04a4
Fixed reporting of event id in shout outcome in sniper.
2020-10-14 10:07:04 -04:00
Pedro Pinto
f1b91625e2
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-14 10:05:21 -04:00
Pedro Pinto
1100d8e1cd
Added event it so sniper shots.
2020-10-14 10:00:46 -04:00
Taha Afzal
18bcd7e911
fixing the merge 2
2020-10-13 14:10:03 -04:00
Taha Afzal
5a4e3f5acc
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-13 13:25:58 -04:00
Taha Afzal
efacf2986f
fixing merge conflict
2020-10-13 13:25:52 -04:00
Pedro Pinto
1f6255f751
Another broken build, I hope no one is watching
2020-10-13 13:16:01 -04:00
Taha Afzal
79d03c73d7
Added some more n_contracts, symbol, ticks to sniper output
2020-10-13 12:56:09 -04:00
Pedro Pinto
2905a80138
Massively improved memory usage for simulations.
2020-10-13 11:56:56 -04:00
Pedro Pinto
5cbab11310
Fixed the build, sorry.
2020-10-13 11:06:10 -04:00
Pedro Pinto
51edfb5d61
Improved performance, reduced memory usage in simulation.
2020-10-13 10:44:43 -04:00
Pedro Pinto
7324c160f8
Reduced logging.
2020-10-13 10:44:23 -04:00
Pedro Pinto
cb6f67f689
Avoided copying events.
2020-10-13 08:52:37 -04:00
Pedro Pinto
6cfd1cd070
Added better logging of polygon opportunities.
2020-10-13 08:24:32 -04:00
Pedro Pinto
d732b7d691
Added better dimenionsing of shot to Sniper.
2020-10-13 08:23:55 -04:00
Pedro Pinto
588319478e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-12 21:26:47 -04:00
Pedro Pinto
814b9f810b
Added polygon opportunities logging to sql command.
2020-10-12 21:26:02 -04:00
John Colvin
f41f2e5d55
add 'on_order_completed' and 'reset' method placeholders to FifoSecurityMatcher
2020-10-12 15:31:59 -05:00
John Colvin
4d592b1c3b
fix FifoSecurityMatcher::book_level (skip empty levels)
2020-10-12 13:52:53 -05:00
Pedro Pinto
1a1de31457
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-12 10:15:12 -04:00
Pedro Pinto
38b800981b
Tweaks to queries.
2020-10-12 10:14:36 -04:00
Pedro Pinto
89ef56f131
Naming polygons in the SQL DB.
2020-10-12 10:13:45 -04:00
Taha Afzal
2400f5b91c
Function for John to be used for implied matching
2020-10-11 18:31:27 -04:00
Taha Afzal
85c3ba0fa3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-11 10:34:53 -04:00
John Colvin
c6822be685
add 'fill' method placeholder to FifoSecurityMatcher
2020-10-10 23:09:57 -04:00
Pedro Pinto
cb81b0e53e
Cleaned up DB.
2020-10-10 18:32:27 -04:00
Taha Afzal
180d776929
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-10 15:45:12 -04:00
Pedro Pinto
332f98b3a7
Fixed non deterministic order for events.
2020-10-10 12:44:23 -04:00
Taha Afzal
08a65a290d
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-10 11:59:02 -04:00
Pedro Pinto
8bb5301fbb
Not sure how I messed this up.
2020-10-10 11:58:06 -04:00
Taha Afzal
51d402fbd5
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-10 10:29:11 -04:00
Taha Afzal
6e5f2f1a49
Added better logging in Matcher
2020-10-10 10:29:05 -04:00
Pedro Pinto
3a73b6cb9e
Changed sniper, md
2020-10-10 10:15:09 -04:00
Pedro Pinto
64f35f869e
Re-enabled sniper.
2020-10-09 14:50:04 -04:00
Pedro Pinto
67d9758ad2
Sped up matching.
2020-10-09 14:15:28 -04:00
Pedro Pinto
bcf4a04409
Disabled sniper, added logging to report sim progress.
2020-10-09 11:43:03 -04:00
Pedro Pinto
3be5afc08b
Fixed some sniper bugs.
2020-10-09 10:31:47 -04:00
Pedro Pinto
637a8f1efc
Added progress logging to simulation.
2020-10-09 10:31:31 -04:00
Pedro Pinto
00f9c9ec2e
Fixed utility.
2020-10-09 10:31:11 -04:00
Pedro Pinto
722750faeb
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-09 08:12:57 -04:00
Taha Afzal
74d10749b7
Bug where orders changing levels and getting completely filled were not marked as inactive
2020-10-08 23:38:05 -04:00
Pedro Pinto
9dd96b05e2
Better logging.
2020-10-08 17:10:25 -04:00
Taha Afzal
e927b35586
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-08 14:31:26 -04:00
Taha Afzal
e1fb9319a0
better error checking and validation in the matcher
2020-10-08 14:31:19 -04:00
Pedro Pinto
684b7d54b6
Fixed incorrect qty parameterization
2020-10-08 14:25:42 -04:00
Pedro Pinto
925997947f
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-08 14:09:10 -04:00
Pedro Pinto
dcbd86c1f5
Updated cpp reference data, improved polygon discovery
2020-10-08 14:08:58 -04:00
Taha Afzal
2f45ee3fe3
validation of incoming OrderChange
2020-10-08 13:26:18 -04:00
Pedro Pinto
0d4888111d
Merged
2020-10-08 11:50:19 -04:00
Pedro Pinto
a062dbe321
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-08 11:48:12 -04:00
Pedro Pinto
6ab0824532
Added polygon descriptors
2020-10-08 11:23:21 -04:00
Taha Afzal
385de5108e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-08 11:08:05 -04:00
Taha Afzal
c25310c491
assert for correct OrderUpdate state
2020-10-08 11:07:58 -04:00
Pedro Pinto
0fb6bc72a4
Merge remote-tracking branch 'refs/remotes/origin/spartan_tas' into spartan_tas
2020-10-08 10:43:39 -04:00
Pedro Pinto
88039a4c83
Refactored PandL facilties.
2020-10-08 10:43:24 -04:00
Taha Afzal
fd1ac28302
clean up period changed
2020-10-08 09:25:38 -04:00
Pedro Pinto
e8c6a2ad1c
Re-enabled run_sim command.
2020-10-07 18:08:30 -04:00
Pedro Pinto
1ee21c8d3e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-07 18:07:08 -04:00
Pedro Pinto
c5388b07f9
code complete for sim logging.
2020-10-07 18:06:46 -04:00
Taha Afzal
a165d6d193
Moved MatcherOrder in common
2020-10-07 14:16:58 -04:00
Taha Afzal
77f02d81d5
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-07 12:46:34 -04:00
Taha Afzal
fc8620939f
speed up
2020-10-07 12:46:13 -04:00
Pedro Pinto
d319c7ddb8
Fixed build.
2020-10-06 16:10:30 -04:00
Pedro Pinto
24df444584
Driving the simulator across days and parameter variations.
2020-10-06 16:08:33 -04:00
Pedro Pinto
6984676e7f
Towards orchestration of simulator runs.
2020-10-06 10:56:40 -04:00
Pedro Pinto
6356cf68f8
Added a field to instrumentdefinition.
2020-10-05 13:13:53 -04:00
Pedro Pinto
8ef76590a1
Many changes related to sniper simulation.
2020-10-05 11:57:20 -04:00
Taha Afzal
724eea5403
Added cancel perf test
2020-10-03 22:18:31 -04:00
Pedro Pinto
96cf8dcfac
Added better pnl
2020-10-02 11:27:11 -04:00
Pedro Pinto
5add27a107
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-02 11:12:09 -04:00
Pedro Pinto
2683bb6c34
Re-enabled P&L
2020-10-02 11:12:00 -04:00
Taha Afzal
8bdce09aec
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-02 11:01:56 -04:00
Taha Afzal
a732e926a9
Speed improvements, plus missing sec in execution report filled
2020-10-02 11:01:49 -04:00
Pedro Pinto
2fdec04336
Fixed build.
2020-10-02 10:19:25 -04:00
Pedro Pinto
3199689772
Temporarily disabled display factor adjustment until we have secs in fills.
2020-10-02 10:15:47 -04:00
Pedro Pinto
69efd022bd
Fixed P&L calculation for algos.
2020-10-02 10:14:31 -04:00
Pedro Pinto
1604beb3f8
More refactoring. More to come.
2020-10-02 07:25:34 -04:00
Pedro Pinto
0ad57ef290
Fixed build.
2020-10-02 07:08:47 -04:00
Pedro Pinto
376c250802
Refactored.
2020-10-02 07:06:32 -04:00
Pedro Pinto
cf1191bf0a
Refactoring
2020-10-02 06:46:42 -04:00
Pedro Pinto
e1a8870dda
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-01 10:33:42 -04:00
Pedro Pinto
7991b8e8bd
Improved output
2020-10-01 10:33:20 -04:00
Taha Afzal
198d52eca1
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-10-01 10:24:19 -04:00
Taha Afzal
707c8fbd41
Fixed the side in the matcher execution report
2020-10-01 10:24:13 -04:00
Pedro Pinto
299bf7b4da
Sniper is sniping. We are going to be simulated millionaires.
2020-10-01 09:38:00 -04:00
Pedro Pinto
1fb1af7132
First run of the simulator.
2020-09-30 17:17:57 -04:00
Pedro Pinto
ce2a6d3b2f
Sped up sim runs by caching simulator inputs.
2020-09-30 14:41:22 -04:00
Pedro Pinto
271e14ae5b
Cleaned up polygon generation.
2020-09-30 09:51:40 -04:00
Pedro Pinto
110af7795e
Cleaned up simulator input generation.
2020-09-30 08:25:33 -04:00
Pedro Pinto
617b4e2bba
Added polygons to SQL DB.
2020-09-29 14:35:06 -04:00
Pedro Pinto
5f9705cbdb
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-29 13:50:23 -04:00
Pedro Pinto
54333ccb7b
Improved polygon detection speed and correctness.
2020-09-29 13:39:02 -04:00
Taha Afzal
5049212af5
FifoMatcher can optionally ignore internally matched orders
2020-09-29 12:53:21 -04:00
Taha Afzal
a5a1f87528
Moved the matcher tests into its own file
2020-09-29 11:09:42 -04:00
Taha Afzal
f83d57fc0c
Spreader tests pass while sending orders to sim
2020-09-28 21:32:19 -04:00
Pedro Pinto
e2f4fc83a2
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-28 15:03:12 -04:00
Pedro Pinto
2bb246262c
Refactored to modularize pcap queries. Added pcap polygon generation cmd.
2020-09-28 15:02:12 -04:00
Taha Afzal
ed3cc43e59
Fixed the first ack issue
2020-09-28 14:04:36 -04:00
Taha Afzal
4c505f58c5
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-27 22:27:25 -04:00
Taha Afzal
47ac6c5dd3
tests for the spreader bridge
2020-09-27 22:26:48 -04:00
Pedro Pinto
e889d0835f
Added views to md.sql, documented better.
2020-09-26 12:08:36 -04:00
Pedro Pinto
01ce2211f3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-26 11:53:16 -04:00
Pedro Pinto
ffc39be466
Added polygon generation.
2020-09-26 11:52:55 -04:00
Taha Afzal
dcfada0b81
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-24 14:26:16 -04:00
Taha Afzal
ee03de52b7
Events were not getting passed back to the spreader
2020-09-24 14:26:03 -04:00
Pedro Pinto
2fc3a797eb
Fixed bug in import.
2020-09-24 12:06:32 -04:00
Pedro Pinto
419dc355e3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-24 08:37:26 -04:00
Pedro Pinto
ec994a93e7
Fixed bug in CSV generation.
2020-09-24 08:36:58 -04:00
Taha Afzal
679330ba53
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-24 00:21:53 -04:00
Taha Afzal
87d0f93043
spreader ready to go with sim
2020-09-24 00:21:43 -04:00
Pedro Pinto
7e85f390b3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-23 18:02:52 -04:00
Pedro Pinto
ef18b37fd3
Added additional security info to sqlite.
2020-09-23 18:02:24 -04:00
Taha Afzal
ef016bfafc
SpreaderChildOrderUpdate takes a side arg to work better with IAlternateOrderGateway
2020-09-23 17:48:50 -04:00
Taha Afzal
9824ef7686
Added order indirection interface
2020-09-23 12:37:27 -04:00
Taha Afzal
2f21e73d8d
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-22 11:24:01 -04:00
Taha Afzal
22f4a7a324
order bridge bw spark and spartan has one link remaining
2020-09-22 11:23:50 -04:00
Pedro Pinto
6bf4966fb3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-22 11:17:08 -04:00
Pedro Pinto
0e552bbcad
Improved order deduction. Improved iceberg deduction.
2020-09-22 11:15:08 -04:00
Taha Afzal
4a6b14caa4
Merging
2020-09-21 14:40:31 -04:00
Taha Afzal
519d08cb78
Interfacing sim with spreader 60-70% done
2020-09-21 14:31:32 -04:00
Pedro Pinto
e89b4206f9
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-21 14:05:21 -04:00
Pedro Pinto
4adbe82e1e
Simulator is code complete.
2020-09-21 11:24:21 -04:00
Pedro Pinto
18b7f71020
More simulator framework.
2020-09-21 09:27:13 -04:00
Taha Afzal
86e631ae3e
Calling spreader's initialization functions from SimSpreader
2020-09-19 17:22:20 -04:00
Taha Afzal
87bc9b2d25
SimSpreader and some cleanup
2020-09-18 23:49:32 -04:00
Pedro Pinto
c7b65ac062
Added simulator framework.
2020-09-18 14:22:14 -04:00
Taha Afzal
cb07fc1cb7
Cleaning up FIFO
2020-09-17 11:37:18 -04:00
Taha Afzal
5f489a33f7
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-16 14:49:56 -04:00
Taha Afzal
a22e3efb64
Filling in matcher
2020-09-16 14:49:51 -04:00
Pedro Pinto
fc51a03a70
Fixed estimation of iceberg order to take into account fill status.
2020-09-14 17:16:13 -04:00
Pedro Pinto
090a9dfb17
Added iLink3 documentation.
2020-09-14 12:02:37 -04:00
Taha Afzal
ad5000d835
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-14 10:11:21 -04:00
Taha Afzal
abd1651034
Events causing IB issues added list of traced events
2020-09-14 10:11:15 -04:00
Pedro Pinto
8d94794cdb
Added the hability to run the simulator across multiple channels.
2020-09-13 15:53:58 -04:00
Pedro Pinto
ab6ffebe20
Simulator is code complete.
2020-09-11 18:59:00 -04:00
Pedro Pinto
0698aa90b3
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-11 08:19:17 -04:00
Pedro Pinto
00deda50ec
Fixed fifo validation, more refactoring of sim
2020-09-11 08:18:59 -04:00
Taha Afzal
c914d97376
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-10 12:46:37 -04:00
Taha Afzal
b574de32ae
facility for fifo to ignore events, plus log a mismatch istead of asserting
2020-09-10 12:46:31 -04:00
Pedro Pinto
ab6be7624e
Added allowance for self match prevention when deducing orders
2020-09-10 10:56:52 -04:00
Pedro Pinto
300ba5a16e
Skipped bad events.
2020-09-10 08:53:47 -04:00
Taha Afzal
9da7784b1b
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-09 19:40:50 -04:00
Pedro Pinto
8b2046a4c4
Skiped first 40K events in fifo validation, for speed
2020-09-09 17:45:07 -04:00
Pedro Pinto
a5b9e40b53
Skipped open when testing fifo
2020-09-09 17:40:57 -04:00
Pedro Pinto
6c6dd86c02
More refactoring of sim.
2020-09-09 16:42:55 -04:00
Taha Afzal
109a12412a
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-09 14:06:07 -04:00
Taha Afzal
10edd13593
Log adjustments again
2020-09-09 14:06:01 -04:00
Pedro Pinto
d7014ce172
Better deduced order detection, refactored sim
2020-09-09 13:47:28 -04:00
Pete Fisher
27aa43f44d
fixed time on ilink2 audit
2020-09-09 12:16:57 -04:00
Pedro Pinto
19e087aa69
Fixed time reporting in iLink3.
2020-09-09 10:58:34 -04:00
Taha Afzal
899218ccf6
Moving MatchingCommon to the new matching directory
2020-09-09 10:41:41 -04:00
Taha Afzal
5fbd5b8804
Fixing merge conflict
2020-09-09 10:35:14 -04:00
Taha Afzal
8a564c38e9
More selective logging to catch the offending orders
2020-09-09 10:13:04 -04:00
Pedro Pinto
5758b56296
Improved iceberg detection
2020-09-09 10:00:52 -04:00
Pedro Pinto
da8c8c271a
Merged
2020-09-08 11:59:38 -04:00
Pedro Pinto
26a0508e03
Simulator in progress.
2020-09-08 11:55:45 -04:00
Taha Afzal
80294f9f37
Fixing merge
2020-09-08 10:19:31 -04:00
Taha Afzal
c408825a8d
better logging to trace down specific orders
2020-09-08 10:09:29 -04:00
Pedro Pinto
5cdc4f5a66
Flushing out simulator.
2020-09-07 14:41:23 -04:00
Pedro Pinto
d5bc1a0acb
Tweaked test.
2020-09-07 14:41:08 -04:00
Pedro Pinto
0f8ae1e345
Refactored simulator names, structure.
2020-09-07 09:03:58 -04:00
Pedro Pinto
6bcd13f30c
Added generation of sim input.
2020-09-04 14:14:38 -04:00
Pedro Pinto
a330ecf24d
Skipped icebergs in FIFO validation.
2020-09-04 10:34:19 -04:00
Pedro Pinto
8df3bf38cd
Cleaned up sqlite file generation.
2020-09-04 08:32:00 -04:00
Pedro Pinto
9e1f72df94
Added a SQL command that generates a SQL DB from a pcap.
2020-09-03 21:01:49 -04:00
Pedro Pinto
b615a6105a
Added to md.sql documentation.
2020-09-03 11:50:30 -04:00
Pedro Pinto
5c9595f4a6
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-03 11:46:57 -04:00
Pedro Pinto
efa8aa297d
Working Sim.
2020-09-03 11:46:44 -04:00
Taha Afzal
47b45d2a53
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-09-03 11:39:20 -04:00
Taha Afzal
cf3eae1311
added comments to the columns in the sql script
2020-09-03 11:39:01 -04:00
Pedro Pinto
f197077e78
Ran clang-format on spartan.
2020-09-03 10:33:19 -04:00
Pedro Pinto
0240be755a
Added icebergs
2020-09-02 15:58:09 -04:00
Pedro Pinto
0c69024f7a
Added Icebergs to CVS output.
2020-09-02 15:30:40 -04:00
Pedro Pinto
15be25a382
Added helper in FIFO matcher.
2020-09-02 11:18:45 -04:00
Pedro Pinto
3047cc2570
Included priorIty In deduced order, why not.
2020-09-02 11:18:26 -04:00
Pedro Pinto
4369cb61fe
Cleaned up debug output
2020-09-02 09:29:16 -04:00
Pedro Pinto
04c4674582
Improved diagnostics.
2020-09-02 09:26:44 -04:00
Pedro Pinto
504ef84da3
Better diagnostic
2020-09-01 17:27:26 -04:00
Pedro Pinto
8cc564da96
Merged
2020-09-01 17:13:47 -04:00
Pedro Pinto
2abc69fd7c
Fixed a bug in deducing orders, improved output.
2020-09-01 17:06:44 -04:00
Taha Afzal
87d0498c23
Improved the on_same_orders return message
2020-09-01 16:34:32 -04:00
Taha Afzal
ecb3893370
Fixing merge conflict
2020-09-01 14:21:49 -04:00
Taha Afzal
f974d90eaa
FifoSecurityMatcher::on_same_orders now returns an optional<string>
2020-09-01 13:40:27 -04:00
Pedro Pinto
6a4e06873b
Added diagnostics, fixed order priority insertion
2020-09-01 11:02:17 -04:00
Taha Afzal
3b235efd3f
Changing Info logging to Diag
2020-08-31 16:21:20 -04:00
Taha Afzal
2f8436e131
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-31 16:17:16 -04:00
Taha Afzal
e801951820
More logging
2020-08-31 16:17:11 -04:00
Pedro Pinto
2b61e65bf5
Added seamless XZ decompression on any spartan cmd.
2020-08-31 10:45:31 -04:00
Pedro Pinto
f5fe552cd9
Working on adding seamless decompression.
2020-08-31 08:00:41 -04:00
Taha Afzal
6b529d0f7e
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-29 23:54:58 -04:00
Taha Afzal
4c3ad827c5
fixed bug, more logs, ahdered to new IB in MDP3Quantity
2020-08-29 23:54:47 -04:00
Pedro Pinto
6b09e18948
Referenced iml.
2020-08-28 15:50:43 -04:00
Pedro Pinto
9103a00f20
cleaned up slightly
2020-08-28 13:46:04 -04:00
Pedro Pinto
7a7588f8d9
Changed the fifo matcher harness
2020-08-28 13:44:12 -04:00
Pedro Pinto
7ee0068ff0
Added inital harness to test fifo.
2020-08-28 12:01:06 -04:00
Pedro Pinto
9b586b2ae2
Better documentation.
2020-08-28 10:38:05 -04:00
Pedro Pinto
09f7879c83
Comment in SQL.
2020-08-28 10:35:32 -04:00
Pedro Pinto
d80e27f989
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-27 12:04:17 -04:00
Pedro Pinto
45f9e53f10
Fixed deduced orders, iceber orders.
2020-08-27 12:03:26 -04:00
Taha Afzal
e2d11cb59b
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-27 10:41:20 -04:00
Taha Afzal
d0b923339d
fixed cross IB test (bug was in the test)
2020-08-27 10:41:09 -04:00
Pedro Pinto
9deb6182d0
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-27 08:27:37 -04:00
Pedro Pinto
4c4e870c67
Merge branch 'master' into spartan_tas
2020-08-27 08:24:01 -04:00
Pedro Pinto
167c8c23a0
Fixed batching of orders under iLink3.
2020-08-27 08:19:47 -04:00
Pedro Pinto
3f3b481654
Merged
2020-08-26 11:21:40 -04:00
Pete Fisher
0fa870ea40
added MJF
2020-08-26 11:05:15 -04:00
Pedro Pinto
2b3b551898
Merged
2020-08-26 11:03:15 -04:00
Pedro Pinto
ad4d97c17e
Tweaked IB struct.
2020-08-26 08:29:09 -04:00
Taha Afzal
c941105502
IB cross order
2020-08-25 19:24:16 -04:00
Taha Afzal
174743cdb6
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-25 13:44:48 -04:00
Taha Afzal
a752ad0cbc
fixed bug with iceberg filling
2020-08-25 13:44:43 -04:00
Pedro Pinto
477e33eb81
Merged
2020-08-25 13:39:56 -04:00
Pedro Pinto
052268f052
Better json printing, faster processing on sec status change, progress in iceberg detection.
2020-08-25 13:37:43 -04:00
Taha Afzal
27294f125d
iceberg test
2020-08-25 11:39:19 -04:00
Pete Fisher
d235f4be41
fixed jetfix.conf ports on relay
2020-08-25 10:03:09 -04:00
Pete Fisher
e80c634bd1
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-25 09:01:28 -04:00
Pete Fisher
37f33778e1
fixed jetfix.conf
2020-08-25 09:01:13 -04:00
Taha Afzal
c540fdd11f
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-24 23:17:14 -04:00
Taha Afzal
e7f9e98f0a
Resting IB matching engine completed
2020-08-24 23:17:05 -04:00
Taha Afzal
253586fc79
Iceberg reloading
2020-08-24 20:40:11 -04:00
Pedro Pinto
ec43dbd82d
Maybe fixed the self match prevention problem.
2020-08-24 17:02:58 -04:00
Pedro Pinto
f07998d6a6
Fixed order rounding error in ilink3
2020-08-24 16:17:31 -04:00
Pedro Pinto
9d0c99a17b
Richer console logging
2020-08-24 16:16:11 -04:00
Pedro Pinto
58992eb893
Changed logging subsystem from ilink3 to iLink3
2020-08-24 16:16:11 -04:00
Pete Fisher
a471670a91
added audit log scripts to be run by the docker container
2020-08-24 16:15:27 -04:00
Pete Fisher
96e1d25ca4
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-24 15:22:54 -04:00
Pete Fisher
d4bb88dbfe
added jetfix going to cert relay
2020-08-24 15:21:45 -04:00
Taha Afzal
bbc2277bae
Order's exchange priority need not be kept around
2020-08-24 12:25:14 -04:00
Taha Afzal
d54861a9d0
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-24 12:02:18 -04:00
Taha Afzal
a5d98a32b6
Iceberg related changes
2020-08-24 12:01:59 -04:00
Pedro Pinto
b3dc2cdcd4
Changed logging subsystem from ilink3 to iLink3
2020-08-24 11:06:44 -04:00
Pedro Pinto
a2ea2239da
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-24 08:37:41 -04:00
Pedro Pinto
5e56a66171
Multiple improvements.
2020-08-24 08:37:08 -04:00
Taha Afzal
fa0674a657
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-21 23:23:36 -04:00
Taha Afzal
2eb2b07f8f
fixed bug with sweeps
2020-08-21 23:23:26 -04:00
Taha Afzal
b7f15986ad
tests for order remove/modify and its affects on the book
2020-08-21 18:49:00 -04:00
Pedro Pinto
3e0cdde714
Corrected how we handle security tradus status changes.
2020-08-21 17:49:12 -04:00
Pedro Pinto
3334f1b709
A few more tweaks.
2020-08-21 17:49:12 -04:00
Taha Afzal
29e080da71
remove tests
2020-08-21 16:18:24 -04:00
Taha Afzal
927cd60d41
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-21 12:15:56 -04:00
Pedro Pinto
7c5cb5b7f7
Updated csv generation to include implied matching status.
2020-08-21 12:13:23 -04:00
Taha Afzal
9f84f7215c
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-21 12:09:45 -04:00
Taha Afzal
14fd296aa2
some iceberg adjustments, and more tests
2020-08-21 12:09:32 -04:00
Pedro Pinto
470f94f6e1
Added support for implied matching status.
2020-08-21 11:48:33 -04:00
Pedro Pinto
9bfd33320e
More changes to instrument definition. C++ continues to mistify.
2020-08-21 10:33:48 -04:00
Pedro Pinto
f7a2693952
Cleaned up instrument definition.
2020-08-21 09:28:44 -04:00
Pedro Pinto
d573447d64
Added method to visit security
2020-08-21 09:03:47 -04:00
Pedro Pinto
ccd7d29501
Fixed some bugs in cvs export
2020-08-21 01:00:10 -04:00
Pedro Pinto
291699fb9b
Added books to CSV output.
2020-08-21 00:22:36 -04:00
Pedro Pinto
056e0f8aa7
Removed debug break
2020-08-20 17:25:44 -04:00
Pedro Pinto
45ed583d46
Fixed a few bugs, made it possible to stream through a pcap once only
2020-08-20 17:13:52 -04:00
Pedro Pinto
54a2131b20
Fixed typo.
2020-08-20 12:01:51 -04:00
Taha Afzal
a4bbb6c88b
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-20 10:59:02 -04:00
Taha Afzal
e6c2ceb931
tests for single price level
2020-08-20 10:58:57 -04:00
Pedro Pinto
c43ec4a56d
Added script to easily compress pcaps.
2020-08-20 10:43:58 -04:00
Pedro Pinto
b871cc4e09
Cleaned up code.
2020-08-20 09:25:38 -04:00
Pedro Pinto
6aec729b6a
Added prettier logging when observing spartan pcaps
2020-08-19 21:16:54 -04:00
Pedro Pinto
025625e0b9
Simplified console logging
2020-08-19 21:15:40 -04:00
Pete Fisher
0963aee137
added audit log scripts to be run by the docker container
2020-08-19 17:49:47 -04:00
Pedro Pinto
5c5bc243d2
Added new spartan command to clean up pcaps to just what we need.
2020-08-19 16:29:49 -04:00
Taha Afzal
0d0af32b85
Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas
2020-08-19 14:30:17 -04:00
Taha Afzal
46c2d2e916
cleaning
2020-08-19 14:30:10 -04:00
Taha Afzal
ff6d0f0e1b
cleaning up, fixing the sorting of prices
2020-08-19 14:14:40 -04:00
Pedro Pinto
86ca092f18
Fixed bug that was preventing import of oil data.
2020-08-18 13:06:58 -04:00
Pedro Pinto
ec3d642cee
Better export to CSV.
2020-08-18 10:58:42 -04:00
Pedro Pinto
7489d70c95
Added some sql tools, added order deduction
2020-08-18 07:51:16 -04:00
Pedro Pinto
81bb5404cb
Merged
2020-08-18 07:50:59 -04:00
Taha Afzal
a0155beb83
Fifo Matching Engine
2020-08-18 00:02:10 -04:00
Pedro Pinto
c2f8e92b10
Hopefully fixed the ilink3 filled qty reporting problem.
...
This was crashing the spreader.
2020-08-13 08:42:43 -04:00
Pedro Pinto
7ae0142dff
Fixed reset of sequence numbers problem
2020-08-12 11:56:08 -04:00
Taha Afzal
780b74fc56
Basic scaffolding plus price level match
2020-08-11 20:09:09 -04:00
Pedro Pinto
78bc14348d
Miscelaenous improvements.
2020-08-10 13:46:59 -04:00
Pedro Pinto
52bc0f1a17
Better spelling.
2020-08-09 17:24:55 -04:00
Pedro Pinto
c52c24c3f2
Fixed some more issues. Everything looks good now.
2020-08-09 17:06:53 -04:00
Pedro Pinto
0d9277bf6a
Added test file, discovered feeds automatically.
2020-08-08 16:32:54 -04:00
Pedro Pinto
761797dc24
Fixed a few more bugs.
2020-08-07 20:32:31 -04:00
Pedro Pinto
39a560c394
Fixed a couple more serious bugs.
2020-08-07 14:15:04 -04:00
Pedro Pinto
b4f01da8d8
Added print.
2020-08-07 13:13:33 -04:00
Pedro Pinto
f7ca1efdb8
Fixed a number of bugs.
2020-08-07 13:08:51 -04:00
Pedro Pinto
1b4ed339d6
More bugs, more fixes.
2020-08-06 12:20:00 -04:00
Pedro Pinto
5af89e0124
Fixed a few more bugs.
2020-08-06 12:11:58 -04:00
Pedro Pinto
1fddbf1cca
More tests, more fixes.
2020-08-06 08:58:10 -04:00
Pedro Pinto
1cd1a23c80
Added a unit test and fixed some bugs.
2020-08-05 11:22:09 -04:00
Pedro Pinto
b987ec6a8a
Added a smoke test for MD.
2020-08-04 17:28:17 -04:00
Pedro Pinto
f509026815
Code complete on MD.
2020-08-04 17:13:48 -04:00
Pedro Pinto
557b658146
Almost done.
2020-08-04 16:54:00 -04:00
Pedro Pinto
e3c4960622
Fixed build.
2020-08-04 08:32:42 -04:00
Pedro Pinto
350b4307dc
Refactor.
2020-08-03 20:59:54 -04:00
Pedro Pinto
762ca47a59
Refactored.
2020-08-03 20:47:25 -04:00
Pedro Pinto
79b83ba494
Refactored.
2020-08-03 20:47:04 -04:00
Pedro Pinto
51f5155a1a
Removed obsolete code.
2020-08-03 20:42:53 -04:00
Pedro Pinto
d0b3124813
Recovery complete.
2020-08-03 20:36:42 -04:00
Pedro Pinto
29128dd014
Almost code complete.
2020-08-03 18:15:46 -04:00
Pedro Pinto
9e8f5809c3
Starting work on integrating recovery with realtime processing.
2020-08-03 11:11:06 -04:00
Pedro Pinto
7e2001744c
More refactoring.
2020-08-03 09:43:51 -04:00
Pedro Pinto
f5b83efade
Incremental Queue completed.
2020-08-02 16:22:57 -04:00
Pedro Pinto
aedb9d2ae1
Refactored for consistency.
2020-08-02 16:10:54 -04:00
Pedro Pinto
5ccd28d84d
Refactored.
2020-08-01 20:38:53 -04:00
Pedro Pinto
3320888fc8
Instrument defintion copy.
2020-07-30 17:16:35 -04:00
Pedro Pinto
456e9bf357
Finished real time feed processor.
2020-07-30 16:11:35 -04:00
Pedro Pinto
275a757eb7
Finished up InstrumentSnapshot.
2020-07-30 10:32:10 -04:00
Pedro Pinto
d51d170891
Lots of progress on real time feed processing
2020-07-29 13:22:34 -04:00
Pedro Pinto
87d138740f
More refactoring and tools.
2020-07-27 08:45:18 -04:00
Pedro Pinto
625f165a63
Life-time management bug, one & cost a whole day.
2020-07-24 18:13:56 -04:00
Pedro Pinto
8421ed0ae9
Small changes.
2020-07-24 18:13:39 -04:00
Pedro Pinto
2a03eb323d
Initial tests run.
2020-07-21 12:08:27 -04:00
Pedro Pinto
cac6a9cd53
Refactoring.
2020-07-20 09:38:22 -04:00
Pedro Pinto
a148b8fdcb
More recovery work.
2020-07-20 08:29:18 -04:00
Pedro Pinto
d635e8a978
Getting close to recovery.
2020-07-17 20:16:57 -04:00
Pedro Pinto
7aadd38934
More refactoring.
2020-07-17 08:52:46 -04:00
Pedro Pinto
b63b11982b
Refactoring.
2020-07-15 12:24:01 -04:00
Pedro Pinto
88a4d2ed80
Crazy template stuff.
2020-07-12 16:40:08 -04:00
Pedro Pinto
26bdef7ddd
Merged with master
2020-07-11 12:30:06 -04:00
Pedro Pinto
db0ffba8ed
Fixed windows build
2020-07-10 13:00:20 -04:00
Pedro Pinto
a274a214b4
Merged with master
2020-07-10 11:31:47 -04:00
Pedro Pinto
bbcfa3c75a
merged with prod
2020-07-10 10:45:10 -04:00
Pedro Pinto
89229d65f1
Merge branch 'master' of bitbucket.org:bluetradesys/spark
2020-07-10 10:43:34 -04:00
Pedro Pinto
0e75cde409
Fixed a bad asser in recovery, a few typos, haderned against bad securities.
2020-07-10 10:36:03 -04:00
Pedro Pinto
42fa6dfaff
Fixed life cycle of exe reports and config during replay.
2020-07-09 16:06:39 -04:00
Pedro Pinto
400143c84d
Protected against ticker subs for expired securities.
2020-07-09 14:45:51 -04:00
Pedro Pinto
e915945880
Trying to replay fix logs.
2020-07-09 14:27:22 -04:00
Taha Afzal
ca6673e98f
Merge branch 'prod'
2020-07-09 13:09:57 -04:00
Taha Afzal
479f3dccff
Adding OnSignal (this is a new algo which is hidden by default)
2020-07-09 13:07:28 -04:00
Pedro Pinto
9601ebab20
Adding replay of stored messages.
2020-07-09 10:16:31 -04:00
Taha Afzal
c272d8a8c2
Pyramid Algo: Takes care of the rounding error when Top == sum (child orders)
2020-07-08 13:35:21 -04:00
Pedro Pinto
b344ab3377
Fixed an issue with order recovery from Exec reports.
2020-07-08 12:07:48 -04:00
Pedro Pinto
ae3080b031
Refactoring.
2020-07-08 10:10:14 -04:00
Pedro Pinto
f0464331cb
Added better handling of cancel rejects.
2020-07-08 09:52:18 -04:00
Pedro Pinto
0648b618bf
Refactored.
2020-07-08 08:42:53 -04:00
Pedro Pinto
59282b8c70
Added one more test to manual order entry list.
2020-07-08 08:42:18 -04:00
Pedro Pinto
34a86009ce
Doc and tool minor update.
2020-07-08 07:44:01 -04:00
Pedro Pinto
0ad9ae9001
Small tweak to logging tool.
2020-07-07 20:19:59 -04:00
Pedro Pinto
a296e1e772
Fixed parsing of stop px in link3.
2020-07-07 20:19:41 -04:00
Pedro Pinto
7f53d8b161
Improved logging, fix iceberg order, removed duplicate logging.
2020-07-07 17:01:24 -04:00
John Colvin
fbd8bbd4a8
algo abbreviation code uses string.Join instead of list_string (the latter method is redundant, should be removed)
2020-07-07 13:16:18 -05:00
John Colvin
3da52b350f
fix pure crash (algo abbreviation code choked on names that end with a space)
2020-07-07 13:15:55 -05:00
Pedro Pinto
243d6827d4
Merge remote-tracking branch 'refs/remotes/origin/ilink3_final' into ilink3_final
2020-07-07 12:12:09 -04:00
Pedro Pinto
00221f9bd9
Fixed spread order entry.
2020-07-07 12:11:11 -04:00
Pedro Pinto
a6171ae405
Fixed spread order entry.
2020-07-07 11:55:05 -04:00
Pedro Pinto
be5d01a797
Fixed fills.
2020-07-07 06:47:58 -04:00
Pedro Pinto
e5d9d324bf
Order order entry manual test.
2020-07-06 18:22:39 -04:00
Pedro Pinto
c34dee9d96
Taked order status from execution report, parse error message in il3
2020-07-06 18:21:44 -04:00
Pedro Pinto
e5a98aab41
Merged with master
2020-07-06 12:49:24 -04:00
Pedro Pinto
10cd35372b
Can enter, modify, cancel orders.
2020-07-06 11:38:17 -04:00
Pedro Pinto
ad4515be39
Renamed NativeOrder to GLBXNativeOrder
2020-07-06 09:47:34 -04:00
Pedro Pinto
ff4d87dd6b
Fixed IL3 execution report parser to convert exchange prices.
2020-07-06 09:34:26 -04:00
Pedro Pinto
8ddde3f9da
Part 2 of MBO service fix.
2020-07-06 09:34:09 -04:00
Pedro Pinto
51093dc3a5
Added simple tool to watch spark logs.
2020-07-06 09:33:35 -04:00
Pedro Pinto
5d5db9ad9f
Fixed MBO parser to extract the right exchange key.
2020-07-06 09:33:06 -04:00
Pedro Pinto
fca808fe0d
Made ilink3 gw wait for start() before its starts.
2020-07-03 14:11:22 -04:00
Pedro Pinto
07d14f877b
More nonsense
2020-07-02 20:28:49 -04:00
Pedro Pinto
5ea6dccdd4
Something here breaks
2020-07-02 19:04:49 -04:00
Pedro Pinto
ac956a5c02
Renamed ExchangeOrderIDu64 to ExchangeOrderID64
2020-07-02 19:00:32 -04:00
Pedro Pinto
1fba09cf94
Refactor of ids.
2020-07-02 11:05:04 -04:00
Pedro Pinto
0baa6b875e
Fixed merge error.
2020-07-02 09:09:20 -04:00
Pedro Pinto
cdacc2d4d4
Merged
2020-07-02 07:26:43 -04:00
Pedro Pinto
1433541947
Automatically advanced our own seq number on connection failure.
...
It is fairly easy for our sequence number to be behind CME if we
crash. Since we can detect this issue (CME tells us about it) we can
try to fix it automatically by incrementing our own sequence
number. This should allow us to recover automatically in some
scenarios.
2020-07-02 06:57:01 -04:00
Pedro Pinto
1070ca7ace
Ran clang-format.
2020-07-02 06:28:32 -04:00
Pedro Pinto
56fa27dd7e
Handled non text timestamp in native order.
2020-07-02 06:23:07 -04:00
Pedro Pinto
d87b522bc6
Added better logging when terminated by exchange.
2020-07-02 06:22:38 -04:00
Eric Harding
166cb03782
Provide account when parsing execution reports.
2020-07-01 14:40:10 -04:00
John Colvin
40bad84c48
algo studio includes algos with undefined children in the dropdown
2020-07-01 12:09:12 -05:00
Eric Harding
c3786d9d64
ilink3: Provide SecurityOracle to execution report parser
2020-07-01 11:50:03 -04:00
Pedro Pinto
9080e3124b
Filled in cust_order_handing_inst
2020-07-01 11:29:47 -04:00
Pedro Pinto
d9c536124a
Fixed logging of session seq numbers.
2020-07-01 11:29:30 -04:00
Pedro Pinto
7de6b2907e
Filled in sendercompid in routing record.
...
iLink3 requires this.
2020-07-01 10:48:01 -04:00
Eric Harding
75f017e9f8
ilink3: Get PartyDetails from sender_cmp_id
2020-07-01 10:29:20 -04:00
Pedro Pinto
7757ab3ea0
Fixed a few bugs.
2020-06-30 19:35:53 -04:00
Pedro Pinto
3186dd383c
We can connect now.
2020-06-30 19:03:35 -04:00
Pedro Pinto
45f751c9c6
Bad merge.
2020-06-30 19:03:35 -04:00
Pedro Pinto
e4d3774980
Better logging.
2020-06-30 19:03:35 -04:00
Eric Harding
eedb3ce05d
Clear hmac for json logging
2020-06-30 17:11:01 -04:00
Eric Harding
6a7d38c0fd
flip session bool
2020-06-30 16:10:26 -04:00
Eric Harding
7f9967834d
add readme note
2020-06-30 15:34:03 -04:00
Eric Harding
31ccbfcd19
Switch to ilink3 logging group
2020-06-30 14:43:38 -04:00
Eric Harding
c2abf90cc4
IL3MessageFramer owns outgoing messages so it needs to outlive ILinkGW
2020-06-30 14:36:02 -04:00
Eric Harding
8dc4735248
ilink3: set_state(Error) only after disconnect
2020-06-30 14:25:59 -04:00
Pedro Pinto
d940d9f11d
For now, caught serialization error in some ilink3 msgs.
2020-06-30 14:10:07 -04:00
Pedro Pinto
1e0c75c6c7
Added iLink3 subsystem for logging.
2020-06-30 14:09:55 -04:00
Eric Harding
fbaa17bc40
Add some comments to marketdata.proto
2020-06-30 13:16:30 -04:00
Eric Harding
38e3cd6197
Update market data readme
2020-06-30 13:13:48 -04:00
Pedro Pinto
3bb9961af4
Refactor.
2020-06-30 11:35:40 -04:00
Pedro Pinto
da8088fd8d
Rebased
2020-06-30 11:27:56 -04:00
Eric Harding
748a65f671
Merge branch 'ilink3_gateway' of bitbucket.org:bluetradesys/spark into ilink3_gateway
2020-06-30 10:05:33 -04:00
Eric Harding
66d80136bd
ilink3: Keep outgoing messages alive forever.
2020-06-30 10:04:42 -04:00
Eric Harding
10386311d4
Update market data readme
2020-06-29 12:25:30 -04:00
Eric Harding
629a7f8130
Remove unused class in MD
2020-06-29 12:25:14 -04:00
Pedro Pinto
81189bb2cc
Forgot to add message logger.
2020-06-29 12:08:22 -04:00
Pedro Pinto
e5681a50f2
Made session name come from date.
2020-06-29 10:59:15 -04:00
Pedro Pinto
69fe4569e3
Made FIX session name available as uint64_t as well as strings.
2020-06-29 10:57:40 -04:00
Pedro Pinto
faedb0a49e
Feed handler.
2020-06-29 07:34:51 -04:00
Pedro Pinto
c7caf66f9c
Changed the ILink3 log format to json.
2020-06-26 19:11:05 -04:00
Pedro Pinto
14504f4a94
Cleaned up comment.
2020-06-26 19:10:49 -04:00
Pedro Pinto
5b601a4016
Fixed encofing of clorid.
2020-06-26 19:10:23 -04:00
John Colvin
e3207b921a
truncate list of securities in transitive compare test (was timing out due to too many permutations)
2020-06-26 13:32:27 -05:00
Pedro Pinto
d148255917
Refactored mdp3feedhandler.
2020-06-26 08:08:07 -04:00
Taha Afzal
98db8e61a5
Removing hardcoded ref's to Katallage
2020-06-25 17:05:10 -04:00
Pedro Pinto
45aa75e8bb
Brought back the ilink3/ilink2 encoding abstraction.
2020-06-25 16:49:46 -04:00
Pedro Pinto
b2471d45b2
Added tool
2020-06-25 16:49:10 -04:00
Pedro Pinto
11e2df8c76
Tweaked build tools.
2020-06-25 16:49:10 -04:00
Pedro Pinto
cba6852655
Updated docker
2020-06-25 16:49:10 -04:00
Pedro Pinto
5eeaedde26
Added a few build tools.
2020-06-25 16:49:10 -04:00
Pedro Pinto
b63052dbaa
Updated ICE Onixs
2020-06-25 16:49:10 -04:00
Pedro Pinto
29f5bc798e
Added +x
2020-06-25 16:49:10 -04:00
Pedro Pinto
04603acbb9
Added publishing of new routing info when orders are recorevered from disk
2020-06-25 16:49:10 -04:00
Pedro Pinto
bc6890055e
temp commit, fixing glbxnative order
2020-06-25 16:49:10 -04:00
Pedro Pinto
ea94c09c78
Eric intermediate ilink3 fixes
2020-06-25 16:49:10 -04:00
Pedro Pinto
00b1d3c51c
Feed handler
2020-06-25 06:02:17 -04:00
Eric Harding
e3c3bc78fc
Note what this address list is for
2020-06-24 20:55:20 -04:00
Eric Harding
a11d390dcd
ilink3 message logging
2020-06-24 20:52:21 -04:00
Eric Harding
7c74a961d4
Add canned cert sessions for ilink3 nrcert
2020-06-24 20:43:27 -04:00
Eric Harding
5db21ad2ca
fix build, session and clordid changes
2020-06-24 19:32:12 -04:00
Pedro Pinto
b68c963b5e
c2
2020-06-24 19:16:59 -04:00
Pedro Pinto
a43070f812
c1
2020-06-24 19:15:14 -04:00
Eric Harding
f703dabdfe
Raw msg should be 2 strings
2020-06-24 17:53:30 -04:00
Eric Harding
237d3eea4b
encode_clordid needs security key
2020-06-24 17:29:06 -04:00
Taha Afzal
e009316bfb
Merge branch 'DJ_ICE' of bitbucket.org:bluetradesys/spark into DJ_ICE
2020-06-24 17:13:38 -04:00
Taha Afzal
5528efd2d2
Cleaning up
2020-06-24 17:13:31 -04:00
Eric Harding
818bdec130
Add NrCert keys
2020-06-24 15:07:02 -04:00
John Colvin
09f91735fe
Security sort tests run with ice securities
2020-06-24 12:58:29 -05:00
John Colvin
d9fc18547b
SecurityHelper.Compare fallsback on 'ToString' then 'Id' comparisons to guarentee deterministic sort
2020-06-24 12:56:29 -05:00
Eric Harding
d257cf2c77
Disable broken ilink3 tests for now
2020-06-24 13:28:33 -04:00
Eric Harding
079f46404f
Add some testing notes
2020-06-24 10:57:15 -04:00
Pedro Pinto
f6b5ab040c
Refactor.
2020-06-24 08:25:56 -04:00
Pedro Pinto
86ddf3078d
Refactor.
2020-06-24 07:32:59 -04:00
Pedro Pinto
bc4fe19bdb
Refactor.
2020-06-24 07:32:33 -04:00
Eric Harding
edcc73e934
Remove old ILink3ExecutionGateway. Instead use GlbxIlink3ExecutionGateway
2020-06-23 22:41:33 -04:00
Taha Afzal
5905ca3e92
Merging frmo master
2020-06-23 13:51:14 -04:00
Pedro Pinto
bb259b128a
More tools
2020-06-23 13:43:05 -04:00
Pedro Pinto
bc7ac8523b
Added tool
2020-06-23 13:06:15 -04:00
Eric Harding
0c4c2b7231
cme autocert msgw_failover test script
2020-06-23 13:05:32 -04:00
Eric Harding
420351c093
Replay refactor #4
2020-06-23 12:01:52 -04:00
Eric Harding
f69e6b89c5
Sequence number fixes
2020-06-22 22:23:13 -04:00
Eric Harding
c3e22e4b23
Recovery revamp #3
2020-06-22 20:16:21 -04:00
John Colvin
32b7b7f40d
quantity conversion for ladder right click order
2020-06-22 17:02:23 -05:00
Pedro Pinto
1d443531fd
Merge branch 'master' into spartan_tas
2020-06-22 11:27:43 -04:00
Pedro Pinto
54e5a68730
Tweaked build tools.
2020-06-22 08:41:19 -04:00
Pedro Pinto
880c95d92b
Tweaked build tools.
2020-06-20 17:17:22 -04:00
Pedro Pinto
40956c5335
More spartan tools.
2020-06-20 17:13:50 -04:00
Pedro Pinto
44aba08978
Tweaked build tools.
2020-06-20 17:13:29 -04:00
John Colvin
e7da6dd79e
remove unused 'save/remove_template_cmd' props from OrderPropertiesEditor
2020-06-19 16:42:38 -05:00
John Colvin
8bf78aa880
cleanup/normalize whitespace in OrderDataHelper.cs
2020-06-19 16:37:21 -05:00
John Colvin
1c44165181
remove unused methods/props in OrderDataHelper.cs
2020-06-19 16:35:15 -05:00
John Colvin
8165ec0e3d
fix AlgoProvider.get_permitted_algos (seed intersection aggregate a full set instead of empty)
2020-06-19 16:14:58 -05:00
John Colvin
7d1ec5b82a
Merge remote-tracking branch 'refs/remotes/origin/DJ_ICE' into DJ_ICE
2020-06-19 15:48:55 -05:00
John Colvin
02e7fb1ee0
iceberg 'show quantity' param uses display divisor
2020-06-19 15:45:17 -05:00
John Colvin
c0ea6943e1
AlgoProvider ensures synthetic security algo's last child is a Spreader algo
2020-06-19 15:12:42 -05:00
John Colvin
4c914a2d48
Merge branch 'DJ_ICE_algo_config' into DJ_ICE
2020-06-19 10:59:10 -05:00
Taha Afzal
0ee86f2dd4
CPP override fix
2020-06-19 11:58:58 -04:00
Taha Afzal
00bf3c7f47
Fixing the PNL timestamp
2020-06-19 11:10:23 -04:00
Taha Afzal
b61e18d10e
CPP logic
2020-06-19 00:44:13 -04:00
John Colvin
90b2607f86
pnl window symbol filter items are sorted
2020-06-18 13:06:41 -05:00
John Colvin
e452697088
remove struct contraint on TKey in KeyedMultiSelector, and TableUpdateItemsFilter
2020-06-18 12:50:23 -05:00
John Colvin
1988443497
fix pnl symbol filter (was checking the security.Symbol instead of the 'pnl_symbol')
2020-06-18 12:40:07 -05:00
John Colvin
3f33627f00
add pnl_cpp_tuple extension method bones (taha will implement)
2020-06-18 12:14:44 -05:00
John Colvin
0610612ae6
make PNLData.with a member method instead of extension so it isn't
...
passed by value (it's a large struct)
2020-06-18 11:35:00 -05:00
John Colvin
efcf78bb95
pnl window restores fill/market price decimal format when workspace loaded
2020-06-18 11:28:17 -05:00
John Colvin
03678e79a5
PNLSettings.cs line endings (need to figure out why they keep changing)
2020-06-18 11:00:32 -05:00
Taha Afzal
c15a364496
Merge branch 'DJ_ICE_pnl_decimals' into DJ_ICE
2020-06-17 23:50:17 -04:00
Taha Afzal
d8ec713dc5
Spreads in PNL show under a different symbol
2020-06-17 23:22:33 -04:00
Taha Afzal
daaa7311a0
Merge branch 'DJ_ICE_pnl_symbol' into DJ_ICE_cpp_mult
2020-06-17 22:58:10 -04:00
Taha Afzal
f893af1930
Strip Legs are not counted toward futures
2020-06-17 22:57:08 -04:00
Taha Afzal
6ec413c516
Dictinction bw spread legs and strip legs
2020-06-17 15:50:06 -04:00
John Colvin
a2a0d88a81
pnl window disposes filters of type IDisposable
2020-06-17 12:39:59 -05:00
John Colvin
7a4dca9589
PNLWindow uses special pnl_symbol (taha will implement pnl_symbol method later, returns regular symbol in meantime)
2020-06-17 12:30:01 -05:00
John Colvin
b21cd12cea
copy AppendTable extension from another branch
2020-06-17 12:24:58 -05:00
John Colvin
ec0b726751
ladder mid tick rounds down for negative numbers (still rounds up for positive)
2020-06-16 16:40:28 -05:00
Pedro Pinto
9ec1c8fdae
Merge branch 'master' into spartan_tas
2020-06-16 17:05:11 -04:00
John Colvin
a9f2b4ad9a
PNL window - setting for market/fill price column decimal places
2020-06-16 15:32:51 -05:00
Taha Afzal
9cb3a21e5a
position service exposes both cpp and overridden cpp
2020-06-15 23:05:53 -04:00
Eric Harding
3231ffb343
Meaningless autocert code
2020-06-15 22:48:28 -04:00
Eric Harding
8d7f1738cf
update cert secure logon
2020-06-15 22:47:30 -04:00
John Colvin
60d4dd87fd
rename ISecurityAlgoProvider.cs -> IAlgoProvider.cs
2020-06-15 17:01:02 -05:00
John Colvin
3a7eeda70e
AlgoProvider.subscribe_algos always fires at least once (doesn't depend on studio algos being present)
2020-06-15 17:00:13 -05:00
John Colvin
712146e028
Merge branch 'algo-type-config' into DJ_ICE_algo_config
2020-06-15 16:57:07 -05:00
Eric Harding
9101214e66
Add message logger and revamp replay sequence handling
2020-06-15 14:51:41 -04:00
Taha Afzal
f381d536d6
Merge branch 'DJ_ICE' into DJ_ICE_cpp_mult
2020-06-15 09:53:32 -04:00
Pedro Pinto
d8d5f3b93c
Merge branch 'DJ_ICE' of bitbucket.org:bluetradesys/spark into DJ_ICE
2020-06-15 09:29:08 -04:00
Pedro Pinto
1d4dc47a62
Added missing update to session/high low.
2020-06-15 09:28:23 -04:00
Taha Afzal
482c300b72
Merge branch 'DJ_ICE_space_bar_recenter' into DJ_ICE
2020-06-14 21:08:51 -04:00
Pedro Pinto
59774ccbb5
Updated docker
2020-06-14 15:27:18 -04:00
Pedro Pinto
fcb6c9b8d9
Added a few build tools.
2020-06-14 15:27:01 -04:00
Pedro Pinto
69ad995ba9
Updated docker
2020-06-14 15:23:18 -04:00
Pedro Pinto
0b26ec1132
Added a few build tools.
2020-06-14 15:21:55 -04:00
John Colvin
3de494c80f
recenter all ladders on spacebar (don't require shift)
2020-06-12 17:05:53 -05:00
Eric Harding
c6b2e2f21e
OMF setting to true, always
2020-06-12 17:49:37 -04:00
Eric Harding
2eac97c1a9
meaningless cert change
2020-06-12 15:18:20 -04:00
Eric Harding
b4b0e10f29
Fix IOC=FAK order type (not FOK)
2020-06-12 15:17:38 -04:00
John Colvin
7deb25dd1c
fix ladder recenter on spacebar
2020-06-12 13:16:57 -05:00
Pedro Pinto
7a29ae1a83
Merge branch 'DJ_ICE' of bitbucket.org:bluetradesys/spark into DJ_ICE
2020-06-12 08:44:36 -04:00
Pedro Pinto
6da893128c
Cleaned up logging.
2020-06-12 08:44:20 -04:00
Pedro Pinto
2cb458af2d
Added OnBehalfofcompid tag to ICE as per cert.
2020-06-12 08:42:40 -04:00
Taha Afzal
04db38d627
Merge branch 'DJ_ICE_release_candidates' into DJ_ICE
2020-06-11 21:22:18 -04:00
John Colvin
a144b03361
ladder recenter on spacebar (across thread barrier)
2020-06-11 18:28:37 -05:00
John Colvin
9c89a9a47e
TabDocument forwards key press events to IShellWindows
2020-06-11 18:24:26 -05:00
John Colvin
007af71bb2
fix ladder center-on-settle behavior once and for all
2020-06-11 17:09:05 -05:00
John Colvin
7cfe8f4214
add override cpp context menu item in pnl window
2020-06-11 16:33:28 -05:00
John Colvin
24f8e66953
add IPositionModel (has function to override cpp)
2020-06-11 16:30:35 -05:00
John Colvin
90fc6d901f
add PropertyEditor control/dialog
2020-06-11 16:29:45 -05:00
Eric Harding
38d9db4a90
Session and sequence number fixes
2020-06-11 11:36:37 -04:00
Taha Afzal
a216d1cc81
Fixing sell order check for distance from settlement
2020-06-11 09:19:03 -04:00
Pedro Pinto
f8395c11b5
Fixed application, vendor tags for DJ.
2020-06-11 08:26:26 -04:00
John Colvin
2b0e46ed38
fix ladder center around settle behavior
2020-06-11 00:36:11 -05:00
John Colvin
5f3b243265
'max settlement cross ticks limit' ladder setting
2020-06-10 18:16:52 -05:00
John Colvin
c9ce2d18bf
simplify 'Safety Checks' content alignment in ladder settings dialog
2020-06-10 17:33:13 -05:00
John Colvin
7b563ba66c
ladder centers around settlement price if no bid/ask market
2020-06-10 13:17:01 -05:00
Eric Harding
6a679ff78c
Fix for cancel/replace
2020-06-10 14:13:28 -04:00
Taha Afzal
3e1be70923
Fix for HHD Balmo spreads
2020-06-10 13:57:19 -04:00
John Colvin
aadd7df6c6
quantity divisor is 1 for 'ICE Lots' secs
2020-06-09 22:49:57 -05:00
Eric Harding
aba3f21020
stop order does not carry price
2020-06-09 19:18:36 -04:00
John Colvin
8206132a37
quantity conversion in pnl for dj
2020-06-09 17:27:29 -05:00
John Colvin
f8b3fd2e14
QuantityConversionData.to/from_display extensions use 'safe_divide'
2020-06-09 17:10:21 -05:00
Eric Harding
fede19fd11
stop-limit success
2020-06-09 16:30:00 -04:00
John Colvin
8b17ee72ff
quantity conversion in ladder when last size is transposed over volume column
2020-06-09 10:50:06 -05:00
Pedro Pinto
0508858859
Better parser
2020-06-09 10:04:15 -04:00
Eric Harding
3fa8dbf112
Cannot send price with market order
2020-06-08 23:09:10 -04:00
Eric Harding
77ae4703b3
Fix clOrdID and custOrdCapacity
2020-06-08 22:58:53 -04:00
John Colvin
31ed473999
quantity conversion in time and sales for dj
2020-06-08 17:25:13 -05:00
John Colvin
673805a7f4
quantity conversion in fills for dj
2020-06-08 17:10:39 -05:00
John Colvin
91422449e9
quantity conversion in manual fills for dj
2020-06-08 17:02:55 -05:00
John Colvin
438089a1cd
quantity conversion in mview for dj
2020-06-08 16:36:57 -05:00
John Colvin
6a186d1d7e
MarketViewRow - remove unreferenced fields
2020-06-08 16:33:55 -05:00
John Colvin
9d831a2569
fix line endings in MarketViewVM.cs
2020-06-08 16:33:55 -05:00
John Colvin
d47cf1a54e
(Dynamic)DoubleDivisorConverter uses safe_divide extension
2020-06-08 16:33:55 -05:00
John Colvin
8c9f669e72
refactor IsRealNonZero to is_real_positive (orig name was a typo), add a few more similar extensions to MathUtils
2020-06-08 16:33:55 -05:00
John Colvin
f5bda11797
quantity conversion in orderbook for dj
2020-06-08 12:19:43 -05:00
John Colvin
1841a75fec
quantity conversion in ladder/ticket for dj
2020-06-08 12:19:43 -05:00
John Colvin
34cdaeec93
don't use Disposable.replace bc it creates the next disposable before disposing the previous one
2020-06-07 16:01:27 -05:00
Taha Afzal
3230fb9e48
Regular TAS contract's formatting did not have the word TAS in it
2020-06-05 16:42:05 -04:00
Taha Afzal
888b4e22c0
Ignoring strips with > 512 components
2020-06-05 14:11:34 -04:00
Taha Afzal
534ce5a8ec
strips are XL too
2020-06-05 13:12:57 -04:00
Taha Afzal
c2b9ac57dc
Fixing build
2020-06-05 11:55:54 -04:00
Taha Afzal
2783361325
Merge branch 'master' into DJ_ICE
2020-06-05 10:50:42 -04:00
Taha Afzal
46d35131d7
Overridable cpps
2020-06-05 10:01:18 -04:00
Pedro Pinto
3b95154c04
Updated ICE Onixs
2020-06-05 09:11:03 -04:00
Pedro Pinto
e840b9617f
Tweaked MD to Json parsing.
2020-06-05 08:22:24 -04:00
Pedro Pinto
19ee603413
Merged from master
2020-06-04 13:48:13 -04:00
Pedro Pinto
1a6b918853
Updated docker
2020-06-04 13:43:25 -04:00
Pedro Pinto
bc22605a25
Added +x
2020-06-04 13:43:00 -04:00
Pedro Pinto
f3d28add1c
Added publishing of new routing info when orders are recorevered from disk
2020-06-04 13:41:34 -04:00
Eric Harding
a28bfa1175
execution report handling tweaks
2020-06-04 10:05:44 -04:00
Eric Harding
4e4a48283d
bool parse_report(string&, SecurityOracle&, ExecutionReport*);
2020-06-03 13:09:56 -04:00
Taha Afzal
63d260a6f8
Security formatting for ICE
2020-06-03 09:42:44 -04:00
Pedro Pinto
7a761d00ce
Added security oracle to SessionStore so we can resolve exe reports.
2020-06-03 08:51:31 -04:00
Pedro Pinto
968be6a99a
Added storage for sessions. Still missing parsing of exec reports.
2020-06-02 17:13:53 -04:00
Taha Afzal
9b4a63b4a8
Changes to make HNG/HIS/HEN/HHD to work
2020-06-02 11:15:47 -04:00
Pedro Pinto
03404eb3f1
Made some progress in GLBXiLink3ExecutionGateway
2020-06-02 09:16:02 -04:00
Pedro Pinto
ff1a970982
Fixed build some more
2020-05-28 14:29:45 -04:00
Pedro Pinto
ed890b4d84
Fixed broken tests for subscribe_exe_report change
2020-05-28 13:50:04 -04:00
Pedro Pinto
e87003cc41
Merged with master
2020-05-28 12:21:51 -04:00
Eric Harding
bc06037843
Fix the build
2020-05-28 12:20:30 -04:00
Pedro Pinto
a502c365e5
Build tweaks
2020-05-28 12:15:16 -04:00
Pedro Pinto
c4c7cebfc5
Updated externals
2020-05-28 12:12:46 -04:00
Pedro Pinto
f18bcd2995
Build tweaks
2020-05-28 12:12:46 -04:00
Pedro Pinto
a6a1b6ac53
Fixed clang build.
2020-05-28 12:12:46 -04:00
Pedro Pinto
fdacd8b543
Added -f when removing simlinks in build setup.
2020-05-28 12:02:46 -04:00
John Colvin
3d1de9a0c7
nuget_restore.cmd uses externals package source (builds offline)
2020-05-28 12:02:31 -04:00
John Colvin
b2b3fa5949
update jenkinsbuild.cmd to use externals nuget source (for windows)
2020-05-28 12:02:17 -04:00
Pedro Pinto
86ecf69820
Updated external subrepos
2020-05-28 11:53:51 -04:00
Eric Harding
8c3da4e43c
Re-arrange some methods in ILinkGW.h
2020-05-27 16:51:36 -04:00
Eric Harding
06b955dceb
Exchange seq number fix
2020-05-27 11:49:08 -04:00
Eric Harding
e75d15146c
cme cert test update
2020-05-26 23:55:27 -04:00
Eric Harding
cb07384c9f
Fix problem with party details
2020-05-26 23:55:13 -04:00
Eric Harding
fc9e502539
cert refactor
2020-05-26 12:40:16 -04:00
Eric Harding
fcbf3388c0
update ilinkbinaryxml templates
2020-05-26 12:40:04 -04:00
Eric Harding
899bea940f
improve ilinkgw logging
2020-05-26 12:39:55 -04:00
Eric Harding
14b7509607
ensure local launch timezone
2020-05-26 12:39:41 -04:00
Pedro Pinto
8f537a8fda
Merged in build_improvements (pull request #414 )
...
Build improvements
2020-05-26 16:32:43 +00:00
Pedro Pinto
01b9ff6b47
Dropped celoxica
2020-05-26 12:28:35 -04:00
Pedro Pinto
2609663d3e
Updated setup_builds to work even if its run outside the tree.
2020-05-26 12:06:08 -04:00
Eric Harding
25668e8df0
dont' build web client on wsl2
2020-05-26 11:54:19 -04:00
Pedro Pinto
fd89241611
Updated externals pointer
2020-05-26 11:49:29 -04:00
John Colvin
a69118c5d3
fix line endings in release_notes
2020-05-22 23:42:27 -05:00
John Colvin
5accd0e2b4
Merge branch 'master' into prod
2020-05-22 19:14:16 -05:00
John Colvin
df5ad61cd2
release notes for synthetic gui integer tick sizes
2020-05-22 19:12:29 -05:00
John Colvin
4a7674eb29
synthetic gui supports integer tick sizes
2020-05-22 18:15:53 -05:00
Eric Harding
5a458287f4
update license search info in disable_onixs.py
2020-05-22 15:18:46 -04:00
John Colvin
5921f9f6b5
Merge branch 'master' into prod
2020-05-22 12:34:18 -05:00
John Colvin
4c73a63ae8
release notes for bug fix (unsorted custom state grid params in orderbook)
2020-05-22 12:30:53 -05:00
John Colvin
42b1c921a8
OrderBook custom state grid params are sorted alphabetically (again)
2020-05-22 12:24:42 -05:00
Pedro Pinto
fab3334b1e
Updated release notes
2020-05-22 11:23:03 -04:00
Pedro Pinto
7239dd3ade
Merge branch 'master' into prod
2020-05-22 11:20:17 -04:00
John Colvin
dd4c8eb649
Merged csharp-api-examples-sln into master
2020-05-22 10:19:13 -05:00
John Colvin
76a29bdc8a
client ui supports all integer tick sizes (not just 1)
2020-05-21 15:26:50 -05:00
John Colvin
06d708f3ea
new csharp api examples
2020-05-21 15:17:32 -05:00
John Colvin
e2f70cbc19
minor config tweaks needed after upgrading VisualStudio
2020-05-21 13:04:00 -05:00
Pedro Pinto
9d54e47a03
Update CMakeDeps
2020-05-19 17:00:24 -04:00
Eric Harding
5345ba8ff8
securities for sending orders ilink3 test
2020-05-19 15:58:56 -05:00
John Colvin
faccdf581e
Merged in limit-algo-clean-history (pull request #413 )
...
Limit algo clean history
2020-05-19 13:53:07 +00:00
Pedro Pinto
515ed5aabd
Merged with master
2020-05-19 07:07:13 -04:00
John Colvin
1a64714a54
always log errors observed in LadderGridHost._volume_from_row (not just when it fails after max_num_tries)
2020-05-18 17:03:39 -05:00
John Colvin
3ba6792a85
wrap LadderGridHost._volume_from_row in try/catch (addresses Pure client crash)
2020-05-18 16:46:23 -05:00
Pedro Pinto
c32a7f1d62
Made native orders calculate route when recovered from disk.
...
This is in response to the Pure debacle of May 17th. CME changed the
MSGW used for certain products. As we only route orders once, when
they are created, any orders that already existed never transitioned
to the new MSGW. This made it so that users could no longer control
these orders. With this change we recalculate routes when the orders
are first loaded from disk. Assuming we have up to date securities,
something that sometimes does not happen unfortunately, this should
result in the order being automatically relocated to its new MSGW. As
a bonus we also get the hability to change MSGW configuration even if
there are working for that MSGW.
2020-05-18 08:59:42 -04:00
Pedro Pinto
12e068a3d1
Refactor of Spartan
2020-05-17 11:16:28 -04:00
John Colvin
10e75f30e6
fix algo params grid enum template for GenericOrderVMs
2020-05-15 13:16:25 -05:00
John Colvin
20eac19c4f
GenericOrderVM - normalize white space
2020-05-15 13:16:25 -05:00
John Colvin
8c0765a2c7
fix build
2020-05-15 10:34:59 -05:00
Pedro Pinto
8268599893
TAS does not support GTC orders.
2020-05-15 09:50:38 -04:00
Taha Afzal
7a1f88e813
Merge branch 'limit-algo-clean-history' of bitbucket.org:bluetradesys/spark into limit-algo-clean-history
2020-05-14 22:01:32 -04:00
Taha Afzal
3420f14c8a
DeleteAndCover detached hedges by default:
2020-05-14 22:01:22 -04:00
Eric Harding
9bf05973bd
Add in/out to logs
2020-05-14 20:51:15 -05:00
John Colvin
86277dfbfe
config toggle for new 'specific' CustomOrderDefinition params dialog (disabled by default)
2020-05-14 20:14:51 -05:00
John Colvin
4839e464c6
added dialog to edit CustomOrderDefinition params of a specific algo node
2020-05-14 20:02:14 -05:00
John Colvin
dc2ad071a9
GenericOrderHelper should use 'FirstOrDefault' (not 'First')
2020-05-14 19:59:06 -05:00
John Colvin
65e49992f9
LimitCoverAlgo.do_update - remove redundant conversion from DynamicOrderDefinition to LimitCoverDefinition
2020-05-14 17:08:01 -05:00
John Colvin
afbb9ae92d
LimitCover algo - 'Hedge Ticks' and 'Top Ticks Offset' params actually assigned to DeleteAndCover child
2020-05-14 12:29:29 -05:00
John Colvin
ff088142d9
fix custom state output grid
2020-05-14 12:29:29 -05:00
Pedro Pinto
93b7cf346b
Added an option for the Cover algo to detach hedges.
2020-05-14 10:20:46 -04:00
Eric Harding
f0edeadd50
Make shared mem size configurable
2020-05-13 20:29:38 -05:00
Eric Harding
cea4d05bc4
log every msg
2020-05-13 20:19:48 -05:00
Taha Afzal
8ee9b84488
Merge branch 'limit-algo-clean-history' of bitbucket.org:bluetradesys/spark into limit-algo-clean-history
2020-05-13 20:39:13 -04:00
Taha Afzal
e3648f5373
Better Logging
2020-05-13 20:39:07 -04:00
John Colvin
facd3a9d81
LimitCoverAlgo - remove unnecessary else block in 'do_before_launch'
2020-05-13 17:26:13 -05:00
John Colvin
84969cb481
LimitCoverAlgo - dont update me->child_qty in the child_changed callback, since its async
2020-05-13 17:21:32 -05:00
John Colvin
6d521e77db
LimitCoverAlgo - don't override do_launch_attached (it's not supported)
2020-05-13 17:15:30 -05:00
John Colvin
82c49f8f49
remove redundant methods: tick_up/less, payup/less
2020-05-13 17:15:30 -05:00
John Colvin
e074309da1
typo broke build (missed constructor in 'TickOffset' -> 'PriceOffset' refactor)
2020-05-13 17:15:30 -05:00
John Colvin
2d622a5f39
LimitCover algo - convert 'ticks_offset' param be in price terms
2020-05-13 16:55:01 -05:00
John Colvin
d51d20e84c
LimitCover algo - remove cancel_on_blah params, add hedge_ticks
2020-05-13 16:18:46 -05:00
John Colvin
2ccdef9dc5
fix clang build errors
2020-05-13 15:59:45 -05:00
John Colvin
42e62a30bf
to_string(OrderError) uses generated protobuf enum Name method
2020-05-13 15:32:27 -05:00
Eric Harding
0b7208784b
Can't take the double negatives anymore
2020-05-13 14:01:16 -05:00
John Colvin
c233c607fa
Formatter.h - pass strings/templated args by const ref instead of value
2020-05-13 13:40:07 -05:00
John Colvin
462cb930f7
dont redefine ChildTemplate
2020-05-13 13:20:55 -05:00
Eric Harding
059ccbdab6
Merge branch 'master' of bitbucket.org:bluetradesys/spark into ilink3_gateway
2020-05-13 11:05:31 -05:00
Pedro Pinto
2c0f920422
Merge branch 'master' of bitbucket.org:bluetradesys/spark
2020-05-13 08:54:14 -04:00
Pedro Pinto
5ee26065ca
Updated .gitignore
2020-05-13 08:53:52 -04:00
John Colvin
550a4e8d50
add config toggle to enable/disable LimitCover algo
2020-05-12 19:11:16 -05:00
John Colvin
99b8221efc
LimitCoverAlgo unit tests
2020-05-12 19:11:16 -05:00
John Colvin
19e74c30f8
AlgoTestDriverBase - AlgoState << operator
2020-05-12 19:03:53 -05:00
John Colvin
26693a4c98
AlgoTestDriverBase - after_child_changed callback, and find_child method
2020-05-12 19:03:53 -05:00
John Colvin
d8bdb69a7c
AlgoTestDriverBase - ChildTemplate impl, added OrderDefinition param to child_launching callback
2020-05-12 19:03:53 -05:00
John Colvin
6d357a74e1
AlgoTestDriverBase - expose cancel/cancel_child methods
2020-05-12 19:03:53 -05:00
John Colvin
73f4e4814c
LimitCover algo for pure
2020-05-12 19:03:53 -05:00
John Colvin
312bc4be15
add Formatter.h (defines commonly needed << operators for algos, basic string formatting utils)
2020-05-12 18:55:37 -05:00
John Colvin
a0c3ba449a
add DynamicOrderAdapter (util to keep param proto conversion code out of the algo)
2020-05-12 18:55:37 -05:00
John Colvin
d5a2a7f3f0
orderman_utils.h pragma once
2020-05-12 18:55:37 -05:00
John Colvin
eda8c94def
replicate_to_linux_vm.py - ignore some dirs generated by visual studio
2020-05-12 18:55:37 -05:00
John Colvin
9a8e80e149
add payup/less price calc utils (Security.h)'
2020-05-12 18:55:37 -05:00
John Colvin
6a7e3d739d
fix typo 'epislon' -> 'epsilon'
2020-05-12 15:58:00 -05:00
Taha Afzal
e6b8274813
DeletAndCoverOrderDefinition does not contain the nested enum anymore
2020-05-12 15:58:00 -05:00
Taha Afzal
9783520c62
DeleteAndCover completed
2020-05-12 15:58:00 -05:00
Taha Afzal
7e7f0bc37f
Adding DeleteAndCover proto
2020-05-12 15:58:00 -05:00
Eric Harding
75eaf8c3d4
IL3ExecutionReportParser
2020-05-12 13:54:28 -05:00
John Colvin
b9e2ecdffa
Merged in transitive-security-compare (pull request #411 )
...
Transitive security compare
Approved-by: Eric Harding
2020-05-11 19:42:50 +00:00
Eric Harding
f1c021a474
Merged in security_preload (pull request #412 )
...
Security preload
2020-05-11 19:41:00 +00:00
Eric Harding
6fda54ffa1
Merged master into security_preload
2020-05-11 15:44:50 +00:00
Taha Afzal
bdb0adc16c
TASCounter test fixed
2020-05-07 13:07:44 -04:00
Eric Harding
4b19b0ea14
update launch.json
2020-05-06 18:26:03 -05:00
Eric Harding
fab1b4dd0f
Add SecurityPreload key to pre-load securities from the security DB for sunday startup.
2020-05-06 18:25:29 -05:00
John Colvin
f3ed3075cf
fix Security comparison impl (its transitive now)
2020-05-06 17:35:46 -05:00
John Colvin
742af36b93
Security comparison unit test (addresses bug that caused Krandall OrderBook crash)
2020-05-06 17:35:46 -05:00
John Colvin
c573b5fbb2
add ProtoBufCapture extension (writes TableUpdate state to file when subscription is disposed)
2020-05-06 17:30:00 -05:00
Eric Harding
2d6d4af594
add vscode spark local linux debugger settings
2020-05-06 12:27:11 -05:00
Eric Harding
1e8fcd794f
Update ExecutionReport::exchange_order_id
2020-05-06 12:22:33 -05:00
John Colvin
2dcfad979c
move FileStreamHelper.cs to spark_core
2020-05-06 12:11:03 -05:00
Eric Harding
726329c4bf
Add ilink3 execution report parser and order test
2020-05-06 11:56:52 -05:00
Eric Harding
2d01f3f0f4
CME Certification requires very specific UUID generation
2020-05-06 11:56:01 -05:00
Eric Harding
2a595c0fd7
cme cert hard coding
2020-05-06 11:54:32 -05:00
Taha Afzal
ba7e35649e
Ignore Spread Pos Limits are defaulted to true
2020-05-06 10:36:40 -04:00
Eric Harding
5f9866c9e8
SecurityCache now hands out raw pointers. SecurityOracle now indexes exchange security key
2020-05-05 11:17:16 -05:00
Pedro Pinto
6365378947
Changed TAS order to be GTC rather than DAY (since we logout).
2020-05-05 06:52:11 -04:00
Pedro Pinto
cda4a870b7
Merge branch 'master' of bitbucket.org:bluetradesys/spark
2020-05-05 06:14:30 -04:00
Pedro Pinto
b3a8564365
Fixed int32 params in DynamicOrders to be int32 rathern than uint32.
2020-05-05 06:13:40 -04:00
Pedro Pinto
1e0114a4cf
Treated disconnected orders as working.
2020-05-05 06:13:06 -04:00
Eric Harding
3a6e95ef05
Downgrade security scanner message to info
2020-05-04 16:16:55 -04:00
Eric Harding
78f1cf88e0
cmake needs love too
2020-05-04 11:16:21 -05:00
Eric Harding
4877436877
Ilink3 order unit test
2020-05-04 11:32:30 -04:00
Pedro Pinto
78d238fdfb
Ran clang-format on ICEExecutionGateway.cpp
2020-05-04 09:33:40 -04:00
Eric Harding
1b43124756
Add ReentrancyGuard.h
2020-05-02 13:10:49 -04:00
Eric Harding
6875263743
Update 'update' instructions for spark_sdk
2020-05-01 14:17:07 -04:00
Taha Afzal
eac828f323
Merge branch 'master' into TASCounter
2020-05-01 13:49:27 -04:00
Taha Afzal
1635d6f649
Added test for TASCounter
2020-05-01 13:48:50 -04:00
Eric Harding
a1feb3fddf
PrimaryGatewayConnectionEnforcement
2020-05-01 13:22:35 -04:00
Eric Harding
2da535e9ff
Update onixs license
2020-05-01 12:51:31 -04:00
Eric Harding
024328bf8b
Refactor empty session
2020-05-01 11:44:03 -04:00
Pedro Pinto
d90fa1a1e8
Launched regular spark after TAS is concluded.
2020-05-01 07:41:23 -04:00
Taha Afzal
a98be44a40
Merge branch 'master' into TASCounter
2020-04-30 13:59:49 -04:00
John Colvin
6210ac2ee6
OrderBook custom state grid only shows data if the selected rows are of the same root/branch
2020-04-29 16:21:17 -05:00
Pedro Pinto
3e817d4fb0
Refactor
2020-04-29 13:16:16 -04:00
Eric Harding
80d7e34bf1
Fixes for updated sbe codegen
2020-04-28 18:16:45 -04:00
Pedro Pinto
cfebab0488
Merged in api_improvements (pull request #405 )
...
Api improvements
Approved-by: John Colvin <john.colvin@bluetradesys.com >
2020-04-28 20:06:53 +00:00
Pedro Pinto
eacd766359
Updated release notes.
2020-04-28 16:05:21 -04:00
Pedro Pinto
8fb8f8ff58
Merge branch 'master' into api_improvements
2020-04-28 15:58:43 -04:00
Taha Afzal
f4b22816a2
Putting config to hide TASCounter
2020-04-27 23:39:41 -04:00
Eric Harding
8ab69c919b
Improve cme provided error message
2020-04-27 16:56:32 -04:00
Eric Harding
99531bcfa0
Update ilink3 generated templates
2020-04-27 16:50:54 -04:00
Eric Harding
6bd516d4f2
cleanup
2020-04-27 11:26:42 -04:00
Taha Afzal
1029a464d7
Fixing the bts::timestamp tp protobuf timestamp function (unused, but useful)
2020-04-27 09:57:21 -04:00
Taha Afzal
fd8b8e03ea
cleanup, comments
2020-04-26 23:10:16 -04:00
Eric Harding
1a1d771e1b
addition ilink3 tests
2020-04-25 13:18:58 -04:00
Eric Harding
050fcf7c6e
Passing simple log in test
2020-04-24 12:31:30 -04:00
Pedro Pinto
41cf66a943
Added the hability to retrieve all securities in the API.
2020-04-24 08:00:13 -04:00
Pedro Pinto
1c57c9a012
Added position updates in the API.
2020-04-24 07:03:40 -04:00
Taha Afzal
8ccab66120
Merge branch 'add_custom_algo_state_reporting_to_api' into TASCounter
2020-04-23 18:14:28 -04:00
John Colvin
e2b2f7ec9c
better default widths for custom state grid columns
2020-04-23 16:11:35 -05:00
John Colvin
b3c897bf0f
custom state grid params are sorted alphabetically
2020-04-23 16:02:38 -05:00
John Colvin
87c9f54c8b
custom state grid populates with first child row that has params (if selected row doesn't have any itself)
2020-04-23 15:59:49 -05:00
John Colvin
df56b76ab6
OrderBookRowVM - remove dead property 'is_visible'
2020-04-23 15:54:30 -05:00
Taha Afzal
28ff13db11
Merge branch 'add_custom_algo_state_reporting_to_api' into TASCounter
2020-04-23 13:23:30 -04:00
Taha Afzal
2957075769
comments
2020-04-23 13:22:33 -04:00
John Colvin
a6477824a8
OrderBookVM - clear the previous 'custom state' params before adding the new ones
2020-04-23 11:16:47 -05:00
Pedro Pinto
aa6d453d5b
Added spread support to TAS algo.
2020-04-23 07:18:00 -04:00
Pedro Pinto
112c78e50b
Moved ouput messages to log.
2020-04-23 06:48:08 -04:00
Taha Afzal
17431f5ac0
Code complete, output is not showing in the UI which is making testing harder
2020-04-23 00:09:23 -04:00
Pedro Pinto
41ec7fb668
Updated linux
2020-04-22 14:13:01 -04:00
Pedro Pinto
b19bf2fd26
Added channel handling to TAS.
2020-04-22 14:09:12 -04:00
Pedro Pinto
c5f7477521
Fixed bug in admin reafactoring.
2020-04-22 14:05:51 -04:00
Taha Afzal
8708f02fe0
Merge branch 'add_custom_algo_state_reporting_to_api' into TASCounter
2020-04-21 17:44:58 -04:00
Taha Afzal
752fb2bc4a
Merge branch 'master' into TASCounter
2020-04-21 17:10:32 -04:00
Taha Afzal
6efb78ecf9
Code complete
2020-04-21 14:26:32 -04:00
John Colvin
75c1970aef
remove useless IObservable 'Select' op in 'SubscribeEach' extension
2020-04-20 10:39:31 -05:00
John Colvin
c2583518d7
OrderBook was only updating custom state grid when selection changed
2020-04-20 10:37:12 -05:00
Pedro Pinto
14323e7964
Code complete on TAS.
2020-04-20 08:54:24 -04:00
Eric Harding
aadeae3201
update cmake, avoid web build on wsl
2020-04-17 22:38:53 -04:00
Eric Harding
b72e8aed02
ilink3 test code
2020-04-17 20:30:11 -05:00
Pedro Pinto
39db9b1bd7
Factored storage/retrieval of admin data out of service.
2020-04-17 18:37:05 -04:00
John Colvin
8792871387
add algo custom state grid to orderbook (right panel)
2020-04-17 16:36:05 -05:00
Eric Harding
68a593af7b
Add more info to system test
2020-04-17 16:48:10 -04:00
Eric Harding
0820cc3e9a
Fix a very subtle bug in serializer
2020-04-17 13:15:12 -05:00
Eric Harding
b1ba9a1315
update ilink code gen readme
2020-04-16 14:03:53 -05:00
John Colvin
17c2321a82
Merged in SP-289-naudio-crash (pull request #407 )
...
SP-289 naudio crash
Approved-by: Eric Harding <eric.harding@bluetradesys.com >
2020-04-16 18:11:18 +00:00
John Colvin
0affc8a942
SP-289 naudio crash
2020-04-16 12:07:44 -05:00
John Colvin
ce36ea4109
move Delegates.cs to spark_core
2020-04-16 10:47:41 -05:00
Pedro Pinto
991a199d06
TAS utils refactor.
2020-04-14 11:46:53 -04:00
Eric Harding
39ce4323a1
Add CME cert command line tool
2020-04-13 16:18:59 -05:00
Pedro Pinto
7c29a3d1d8
Added custom state reporting to API.
2020-04-13 11:30:32 -04:00
Eric Harding
d9fcd290d9
source files don't need to be executable
2020-04-13 09:53:28 -05:00
Taha Afzal
90bc20575a
TimeStamps fixed
2020-04-13 08:56:49 -04:00
Pedro Pinto
cb268f505a
Added settlements to the new algo API.
2020-04-13 08:19:55 -04:00
Pedro Pinto
dfd93b836b
Updated externals
2020-04-13 07:44:52 -04:00
Pedro Pinto
9d045f65d2
Some progress on TAS.
2020-04-13 07:40:58 -04:00
Eric Harding
05939b02c5
save
2020-04-12 15:11:46 -05:00
Taha Afzal
28e9c66675
Added all the state, order execution remains
2020-04-10 12:54:57 -04:00
Eric Harding
aa91638fe4
ilink3 receive buffer handler + tests
2020-04-10 10:55:53 -05:00
Taha Afzal
c0520d6a31
Initial Check-in, skeleton code
2020-04-09 09:30:00 -04:00
Pedro Pinto
1c0cd176a1
Moved externals pointer
2020-04-09 08:35:10 -04:00
Pedro Pinto
1018ae387a
Added preliminary tas utilities
2020-04-08 15:53:17 -04:00
Eric Harding
065fc54f73
IL3Reactor
2020-04-07 14:05:31 -05:00
Pedro Pinto
1ba6e3280c
Updated CMakeDeps
2020-04-06 09:38:19 -04:00
Eric Harding
3a6f50dfea
Merge branch 'prod' of bitbucket.org:bluetradesys/spark
2020-04-03 15:40:30 -04:00
Eric Harding
d711f99548
fix externals pointer
2020-04-03 15:40:15 -04:00
pfisher
07ace80871
fixed keycode.conf
2020-04-03 13:40:56 -05:00
John Colvin
93c6277bfc
Merged prod into master
2020-04-03 13:20:33 -05:00
Jake Norbut
7ac9d05ae2
Merged in manual_fills_permissions (pull request #403 )
...
add permission filter to manual fills
Approved-by: John Colvin <john.colvin@bluetradesys.com >
2020-04-03 18:18:16 +00:00
Eric Harding
95fb13f58b
Fix some build issues
2020-04-01 15:21:04 -05:00
Eric Harding
4eb2931cb8
Additional ilink3 refactoring
2020-03-28 21:08:47 -05:00
Eric Harding
5326015a48
Testcase for framer
2020-03-27 13:46:29 -05:00
Eric Harding
fcbe319470
Split out functional pieces for easier testing
2020-03-27 09:14:30 -05:00
Eric Harding
5ad21c88b2
Add tests and refactor includes for faster build
2020-03-25 21:15:19 -05:00
Eric Harding
5a4b31ccc0
add cpp sample to service.md api page
2020-03-20 12:10:40 -04:00
John Colvin
fb568aab39
SP-288 ladder crash (IndexOutOfRange ex accessing price array)
2020-03-19 15:28:27 -05:00
Eric Harding
64416de10d
Fix the braces in my sample.
2020-03-16 20:41:23 -04:00
Eric Harding
46953cb639
add c# market data sample
2020-03-16 20:39:48 -04:00
Eric Harding
7e68a235ee
Add securities sub to client_sdk_example
2020-03-16 15:18:39 -04:00
Eric Harding
3a9c1d557b
Split Retransmit of old vs new session logic
2020-03-09 16:29:15 -05:00
Jake Norbut
85f2285ac0
add permission filter to manual fills
2020-03-09 09:28:23 -05:00
Eric Harding
70e0979836
override sim port for sdk image
2020-03-06 12:45:09 -05:00
Kevin Darby
1f80c3366e
Merged in master (pull request #401 )
...
Master
2020-03-03 19:16:43 +00:00
Eric Harding
6fb5b83249
Only send Negotiate if the session is new
2020-02-28 15:33:27 -06:00
Eric Harding
95830fafdf
send_cancel
2020-02-27 14:48:56 -06:00
Eric Harding
d68b03bb91
send_cancel_replace
2020-02-26 17:56:50 -06:00
Eric Harding
e7062ce01e
send_order call for link3
2020-02-26 17:36:18 -06:00
Kevin Darby
19e66a1c32
add a new stunnel path for Pete
2020-02-25 11:16:40 -05:00
Pedro Pinto
932738f98e
Merge branch 'master' into ilink3_gateway
2020-02-20 08:39:47 -05:00
Pedro Pinto
1426b00e83
Added fake iLink3 gateway
2020-02-19 16:21:06 -05:00
Pedro Pinto
e724409b58
Added jetfix support for string_view
2020-02-19 10:55:56 -05:00
Pedro Pinto
9cf828e9a4
Implemented iLink3 order
2020-02-18 15:37:06 -05:00
Eric Harding
41408fb609
ILink3ExecutionGateway placeholder
2020-02-14 16:07:44 -06:00
Eric Harding
4c21e32838
ILink3GW core gateway
2020-02-14 16:06:58 -06:00
Eric Harding
385f3ea402
add unix_nano_now() to datetime.h
2020-02-14 16:05:00 -06:00
Eric Harding
8d6d8cab18
Update SecureLogon for ilink3
2020-02-14 16:05:00 -06:00
Eric Harding
01615f824a
Generated ilink3 messages
2020-02-14 16:05:00 -06:00
Pedro Pinto
c6779ddc90
Reactore GLBX native order for iLink3.
2020-02-13 15:26:33 -05:00
Pedro Pinto
46eff65435
Changed IExecutionGateway to support non FIX gateways.
2020-02-12 10:11:53 -05:00
John Colvin
17b314ea3a
Merge branch 'master' into algo-type-config
2020-02-07 13:35:50 -06:00
John Colvin
e713210030
remove obsolete algo types from hardcoded defaults
2019-10-29 18:07:32 -05:00
John Colvin
c057bf18f6
Merge remote-tracking branch 'origin/master' into algo-type-config
2019-10-29 18:07:01 -05:00
John Colvin
17a0bef824
Merge remote-tracking branch 'origin/master' into algo-type-config
2019-10-21 12:15:00 -05:00
John Colvin
9180c48b67
CompositeAlgoVM 'group' is AlgoDisplayGroup.Studio
2019-10-14 15:29:02 -05:00
John Colvin
01acbe08f5
remove dead code
2019-10-14 15:26:01 -05:00
John Colvin
8a47cd4821
exchange/security based algo type config
2019-10-14 15:19:36 -05:00
John Colvin
03050d9b07
refactor some Disposable.replace calls so that the prev hook is disposed before the new one is created
2019-10-14 13:25:21 -05:00
John Colvin
9178878880
AlgoStudio model does not really need to import AdminModel (just UserTuple)
2019-10-14 13:25:21 -05:00
John Colvin
f38b1c7af9
ContractPickerModel.result getter performs dictionary lookup (was brute force enumeration)
2019-10-14 13:25:21 -05:00
John Colvin
45cd958b1e
make security criteria clause immutable
2019-10-14 13:25:21 -05:00
John Colvin
4d49c8f030
add .rej to gitignore
2019-10-14 13:25:21 -05:00
John Colvin
b2227ce37b
DynamicOrderHelper stores dyn types in map
2019-10-14 13:25:21 -05:00
Taha Afzal