Compare commits

..
Author SHA1 Message Date
John Colvin b95da40fec feat: Impl synthetic book 2022-11-28 10:42:05 -05:00
John Colvin 755f841a6e refactor: Change spreader leg qty to int
The synth book computation code doesn't support doubles
2022-11-25 13:20:34 -05:00
John Colvin 2d10c94b69 chore: Make csharp code compatible with net471, lang version 7 2022-11-25 13:20:33 -05:00
John Colvin dfc5fcc16a fix build (client): Change 'WIN32' macros to '_WIN32'
Not sure exactly how this broke, but the WIN32 macro is no longer defined.
2022-11-20 14:22:42 -05:00
Taha Afzal 864e2a3edc Comments 2022-11-10 07:18:42 -05:00
Taha Afzal b9142202e0 UI code complete 2022-11-09 23:13:16 -05:00
Taha Afzal 7353a6dc3c Added get_data() to LegControl.cs 2022-11-08 23:26:10 -05:00
Taha Afzal b55eecc8b9 Eagle front end 2022-11-06 18:52:38 -05:00
Taha Afzal 3f0078d582 Added sample test 2022-05-09 23:08:59 -04:00
Taha Afzal e47186f0fd Fixing tests 2022-05-08 22:47:10 -04:00
Taha Afzal 4b92292fa1 Pushed a sample test 2022-05-04 09:31:09 -04:00
Taha Afzal 3a8125bba3 Namespace changes and moving all shared files to spreader_order directory 2022-05-02 23:27:30 -04:00
Taha Afzal 0b14bd1ca3 ChildOrder changed to bts::spreader::ChildOrder 2022-05-01 12:41:39 -04:00
Taha Afzal 63252b017b Cleaning up the moved events 2022-04-30 22:31:37 -04:00
Taha Afzal df1efb2295 Moving events to bts::spreader 2022-04-29 18:19:29 -04:00
Taha Afzal 3f37777eb9 'Moved' book and accompaying classes over 2022-04-29 00:21:34 -04:00
Taha Afzal 04629f28e8 Removing SpreaderOrder's inheritence from Order 2022-04-26 23:35:43 -04:00
Taha Afzal 47c4d8c4a7 Order is being routed to IOrderGateway 2022-04-26 00:40:17 -04:00
Taha Afzal eb87ebcfa1 Removed IAlternateOrderGateway, fixing tests now 2022-04-24 22:21:02 -04:00
Taha Afzal 195fd11e2e IOrderGateway accessor added to ISpreaderManager 2022-04-24 15:45:35 -04:00
Taha Afzal 413c24d147 Completed LegOrderRouter, which will be used by SpreaderChildOrderState to send orders 2022-04-24 01:18:58 -04:00
Taha Afzal fe4be118ee Adding LegOrderRouter 2022-04-24 00:16:09 -04:00
Taha Afzal 7ff09902b8 IOrderGateway::report_spreader_state takes an bts::integration::OrderUpdate now 2022-04-23 21:53:17 -04:00
Taha Afzal f90e41ea65 Moved the new interface, types into their own files 2022-04-20 23:58:05 -04:00
Taha Afzal ff2546da56 Adding function that returns OrderDef to ISpreaderManager 2022-04-20 21:46:45 -04:00
Taha Afzal f7426d9f0f All tests moved to use SpreaderWrapper 2022-04-18 23:43:06 -04:00
Taha Afzal 36bbcf849c More tests for SpreaderWrapper 2022-04-18 22:43:19 -04:00
Taha Afzal bd39d407aa More spreader tests pass 2022-04-17 23:57:07 -04:00
Taha Afzal 81dde8e9df Moving tests over to use SpreaderWrapper instead of SpreaderOrder 2022-04-17 18:48:51 -04:00
Taha Afzal 3f4a4fbac8 The 3 wrappers SpreaderOrderBuilder, SpreaderOrderServices and SpreaderPreActivationOrderServices do not call into the Spark infrastructure any more 2022-04-17 15:08:56 -04:00
Taha Afzal 2e6676b151 Added Spreader Wrapper 2022-04-16 23:55:39 -04:00
6323 changed files with 786207 additions and 557066 deletions

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-1
View File
@@ -4,7 +4,6 @@ BinPackParameters: false
AlignAfterOpenBracket: AlwaysBreak
AlwaysBreakTemplateDeclarations: true
PenaltyReturnTypeOnItsOwnLine: 140
ReflowComments: false
---
Language: Proto
IndentWidth: 2
-24
View File
@@ -7,30 +7,6 @@
"commands": [
"dotnet-format"
]
},
"fable": {
"version": "4.24.0",
"commands": [
"fable"
]
},
"fantomas": {
"version": "5.2.2",
"commands": [
"fantomas"
]
},
"fake-cli": {
"version": "6.0.0",
"commands": [
"fake"
]
},
"dotnet-t4": {
"version": "3.0.0",
"commands": [
"t4"
]
}
}
}
-38
View File
@@ -1,38 +0,0 @@
{
"build": {
"dockerfile": "../docker/images/bluetradingsystems/linux_dotnet8_dev/Dockerfile",
"options": [
"--secret",
"id=bitbucket_access_token,src=${localWorkspaceFolder}/.secrets/bitbucket_access_token.txt"
]
},
"hostRequirements": {
"memory": "8gb",
"storage": "10gb"
},
"containerUser": "bts",
"updateRemoteUserUID": true,
"shutdownAction": "none",
// Note: If running multiple containers on the same host, each must use a
// unique set of ports. Usually we just add 1000 to each port as needed. For
// example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
"runArgs": [
"--shm-size",
"8gb"
],
"mounts": [
"source=/var/run/docker.sock,target=/var/run/docker.sock,type=bind"
],
"customizations": {
"vscode": {
"extensions": [
"eamodio.gitlens",
"llvm-vs-code-extensions.vscode-clangd",
"ms-python.python",
"ms-vscode.cmake-tools",
"ms-vscode.cpptools",
"xaver.clang-format"
]
}
}
}
+16 -30
View File
@@ -207,23 +207,17 @@ dotnet_naming_symbols.parameters.applicable_accessibilities = public,internal,pr
dotnet_naming_symbols.private_symbols.applicable_kinds = property,method,field,event,delegate
dotnet_naming_symbols.private_symbols.applicable_accessibilities = protected,private
# local symbols
dotnet_naming_symbols.local_symbols.applicable_kinds = local
# parameter symbols
dotnet_naming_symbols.parameter_symbols.applicable_kinds = parameter
# Naming styles
dotnet_naming_style.pascal_case.required_prefix =
dotnet_naming_style.pascal_case.required_suffix =
dotnet_naming_style.pascal_case.word_separator =
dotnet_naming_style.pascal_case.capitalization = pascal_case
dotnet_naming_style.snake_case.required_prefix =
dotnet_naming_style.snake_case.required_suffix =
dotnet_naming_style.snake_case.word_separator = _
dotnet_naming_style.snake_case.capitalization = all_lower
dotnet_naming_style.camel_case.required_prefix =
dotnet_naming_style.camel_case.required_suffix =
dotnet_naming_style.camel_case.word_separator =
dotnet_naming_style.camel_case.capitalization = camel_case
dotnet_naming_style.private_snake_case.required_prefix = _
dotnet_naming_style.private_snake_case.required_suffix =
dotnet_naming_style.private_snake_case.word_separator = _
dotnet_naming_style.private_snake_case.capitalization = all_lower
dotnet_naming_style.user_types.required_prefix =
dotnet_naming_style.user_types.required_suffix =
@@ -235,10 +229,6 @@ dotnet_naming_style.interface.required_suffix =
dotnet_naming_style.interface.word_separator =
dotnet_naming_style.interface.capitalization = pascal_case
dotnet_naming_style.local.capitalization = camel_case
dotnet_naming_style.parameter.capitalization = camel_case
# rules
dotnet_naming_rule.user_types.symbols = user_types
dotnet_naming_rule.user_types.style = user_types
@@ -248,18 +238,14 @@ dotnet_naming_rule.interfaces.symbols = interface
dotnet_naming_rule.interfaces.style = interface_style
dotnet_naming_rule.interfaces.severity = suggestion
dotnet_naming_rule.public_members.symbols = public_symbols
dotnet_naming_rule.public_members.style = pascal_case
dotnet_naming_rule.public_members.severity = suggestion
dotnet_naming_rule.public_members_snake_case.symbols = public_symbols
dotnet_naming_rule.public_members_snake_case.style = snake_case
dotnet_naming_rule.public_members_snake_case.severity = suggestion
dotnet_naming_rule.private_members.symbols = private_symbols
dotnet_naming_rule.private_members.style = camel_case
dotnet_naming_rule.private_members.severity = suggestion
dotnet_naming_rule.private_members_snake_case.symbols = private_symbols
dotnet_naming_rule.private_members_snake_case.style = private_snake_case
dotnet_naming_rule.private_members_snake_case.severity = suggestion
dotnet_naming_rule.variables_are_camel_case.severity = suggestion
dotnet_naming_rule.variables_are_camel_case.symbols = local_symbols
dotnet_naming_rule.variables_are_camel_case.style = local
dotnet_naming_rule.parameters.symbols = parameter_symbols
dotnet_naming_rule.parameters.style = parameter
dotnet_naming_rule.parameters.symbols = parameters
dotnet_naming_rule.parameters.style = snake_case
dotnet_naming_rule.parameters.severity = suggestion
-64
View File
@@ -1,64 +0,0 @@
# This file defines the global default configuration for docker deployments.
# It is tracked in source control. For temporary modifications, please create
# a separate file called ".env.local" (it's in .gitignore, so won't be tracked).
# If a variable is defined in both files, the value in .env.local will be used.
#
# About the deployment procedure:
# We use Docker Compose to build images and launch containers for various services
# that make up our software suite:
# - sparkd
# - TODO: pubsub
# - TODO: md-publisher
# - TODO: webapp (DSQA on the web)
# - TODO: api-server (websocket based)
# From inside a devcontainer, you can launch all services in separate containers
# on your machine by running:
#
# tools/deploy.sh
#
# This script builds release versions for each service, packaged (generally) in
# self-contained directories. Next, it runs a few "docker compose" commands to
# build docker images loaded with the self-contained binaries from the previous
# step, and start containers with those images to run each service. To view the
# commands that deploy.sh runs internally (without actually running them), run:
#
# tools/deploy.sh --dry-run
#
# For additional information/help, run:
#
# tools/deploy.sh --help
#
### Host/Runtime ###
TZ=Etc/UTC
### Sparkd ###
# The internal image for sparkd to use. For more info, view:
# src/server/sparkd/Dockerfile
SPARKD__IMAGE=sparkd
# The config dir for this service to use
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/dev
# Mount a specific volume or dir to "~/sparkdata/data" inside the docker.
# Defaults to a volume named "sparkd_<config_port>" (e.g., sparkd_8000).
# SPARKD__DATA_DIR=/home/bts/sparkdata/data
# Mount volume or dir to "/md_recording" inside the docker. Defaults to volume
# "sparkd_md_recording_<config_port>" (e.g., sparkd_md_recording_8000).
# SPARKD__MD_RECORDING_DIR=/home/bts/md_recording
SPARKD__SOURCE_DIR=install/sparkd-release-gcc
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf/
SPARKD__CONFIG_PORT=8000
SPARKD__QUICKBUS_PORT=8001
SPARKD__SIM_FIX_PORT=8002
SPARKD__SHM_SIZE=4gb
SPARKD__PYTHON_REQUIREMENTS=requirements.txt
SPARKD__SPARKD_ENTRYPOINT=src/app_sparkd/sparkd-entrypoint.sh
SPARKD__MAIN_ENTRYPOINT=./sparkd-entrypoint.sh
### PubSubServer ###
PUBSUB__CONFIG_DIR=src/DataStreamSuite/PubSubServer/Configurations/Development
PUBSUB__SOURCE_DIR=build/Release/bin/net8.0/linux-x64/publish
### MdPublisher ###
MD_PUBLISHER__CONFIG_DIR=src/DataStreamSuite/DataStreamPublisher/Configurations/ReplayMarketData
MD_PUBLISHER__SOURCE_DIR=build/Release/bin/net8.0/linux-x64/publish
# TODO: add config for other services (pubsub, md-publisher, webapp, api-server, etc.)
-3
View File
@@ -1,3 +0,0 @@
*.cmd text=auto eol=crlf
*.cs text=auto eol=crlf
*.sh text=auto eol=lf
+6 -19
View File
@@ -1,6 +1,5 @@
nohup.out
build/**
install/**
build/
.build_proxy/
cmake-build-debug/
.cache/
@@ -8,10 +7,7 @@ cmake-build-debug/
.idea/
.dir-locals.el
*.pyc
**.vscode/*
!.vscode/launch.json
!.vscode/tasks.json
!.vscode/*.env
**.vscode
.vs
obj/
*.csproj.user
@@ -44,23 +40,14 @@ trace_data/
.ionide/*
/.ignore
*.rej
/build
/build.*/*
.clangd/
*CMakeDeps.cmake
/sniper.ipynb
/src/.clang-format
/src/server/sparkd/cmds/spartan/analysis/.ipynb_checkpoints
/src/server/sparkd/cmds/spartan/analysis/data
.tmp/
.venv*/
*.tmp/*
/.venv*/*
.cache/
/src/Spark.Admin.WebApp/tsconfig.*.g.json
/src/Spark.Admin.WebApp/src/bin/
/src/**/*appsettings.Local.json
/src/**/*/Configurations/Local/
**/CMakeDeps.cmake
**/CMakeDeps_win.cmake
.devcontainer/
*.Generated.cs
*.lst
.env.local
.secrets
+10 -4
View File
@@ -1,6 +1,12 @@
[submodule "externals"]
path = externals
url = https://bitbucket.org/bluetradesys/externals.git
[submodule "vcpkg"]
path = vcpkg
url = https://github.com/microsoft/vcpkg.git
url = git@bitbucket.org:bluetradesys/externals.git
[submodule "docker/linux"]
path = docker/linux
url = git@bitbucket.org:bluetradesys/linux_docker.git
[submodule "docker/windows"]
path = docker/windows
url = git@bitbucket.org:bluetradesys/windows_docker.git
[submodule "src/deribit-crypto-connector-demo-application"]
path = src/deribit-crypto-connector-demo-application
url = git@gitlab.com:cryptoexchanges1/deribit-crypto-connector-demo-application.git
-499
View File
@@ -1,499 +0,0 @@
{
"version": "0.2.0",
"configurations": [
{
"name": "Python Debugger: Current File with Arguments",
"type": "debugpy",
"request": "launch",
"program": "${file}",
"console": "integratedTerminal",
"args": "${command:pickArgs}"
},
{
"name": ".NET Core Attach",
"type": "coreclr",
"request": "attach"
},
{
"name": "Api Server",
"type": "coreclr",
"request": "launch",
"program": "",
"preLaunchTask": "Build Api Server (Debug)",
"windows": {
"program": "spark_api_server.exe",
},
"linux": {
"program": "spark_api_server",
},
"args": [
"run",
],
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:apiServerEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Api Server (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"program": "spark_api_server.exe",
},
"linux": {
"program": "spark_api_server",
},
"args": [
"run",
],
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:apiServerEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "DataStreamPublisher",
"type": "coreclr",
"request": "launch",
"preLaunchTask": "Build DataStream (Debug)",
"program": "",
"linux": {
"program": "DataStreamPublisher",
},
"windows": {
"program": "DataStreamPublisher.exe",
},
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:dataStreamPublisherEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "DataStreamPublisher (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"linux": {
"program": "DataStreamPublisher",
},
"windows": {
"program": "DataStreamPublisher.exe",
},
"cwd": "${workspaceFolder}/build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:dataStreamPublisherEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "(gdb) Launch",
"type": "cppdbg",
"request": "launch",
"program": "/home/bts/spark/build/sparkd-debug-clang/server/sparkd",
"args": [
"run"
],
"stopAtEntry": false,
"cwd": "/home/bts/spark/build/sparkd-debug-clang/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
},
{
"name": "spreader tests2",
"type": "cppdbg",
"request": "launch",
"program": "/home/bts/spark/build/sparkd-debug-clang/server/sparkd",
"args": [
"test",
"[spreader2]"
],
"stopAtEntry": false,
"cwd": "/home/bts/spark/build/sparkd-debug-clang/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
},
{
"name": "spreader tests",
"type": "cppdbg",
"request": "launch",
"program": "/home/bts/spark/build/sparkd-debug-clang/server/sparkd",
"args": [
"test",
"[spreader]"
],
"stopAtEntry": false,
"cwd": "/home/bts/spark/build/sparkd-debug-clang/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
},
{
"name": "DataStreamQueryAnalyzer",
"type": "coreclr",
"request": "launch",
"preLaunchTask": "Build DataStream (Debug)",
"program": "",
"windows": {
"program": "DataStreamQueryAnalyzer.exe",
"cwd": "build/Debug/bin/net8.0-windows",
"env": {
"PYTHON_EXE": "${workspaceFolder}/.venv/Scripts/python.exe",
"DOTNET_ENVIRONMENT": "${input:dataStreamQueryAnalyzerEnvironment}",
},
},
"stopAtEntry": false,
"console": "integratedTerminal",
},
{
"name": "DataStreamQueryAnalyzer (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"program": "DataStreamQueryAnalyzer.exe",
"cwd": "build/Debug/bin/net8.0-windows",
"env": {
"PYTHON_EXE": "${workspaceFolder}/.venv/Scripts/python.exe",
"DOTNET_ENVIRONMENT": "${input:dataStreamQueryAnalyzerEnvironment}",
},
},
"stopAtEntry": false,
"console": "integratedTerminal",
},
{
"name": "PubSubServer",
"type": "coreclr",
"request": "launch",
"preLaunchTask": "Build DataStream (Debug)",
"program": "",
"linux": {
"program": "PubSubServer",
},
"windows": {
"program": "PubSubServer.exe",
},
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:pubSubServerEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "PubSubServer (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"linux": {
"program": "PubSubServer",
},
"windows": {
"program": "PubSubServer.exe",
},
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:pubSubServerEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Sdk Demo",
"type": "coreclr",
"request": "launch",
"program": "",
"preLaunchTask": "Build Spark Sdk (Debug)",
"windows": {
"program": "Bts.Spark.Sdk.Demo.exe",
},
"linux": {
"program": "Bts.Spark.Sdk.Demo",
},
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:sdkDemoEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Sdk Demo (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"program": "Bts.Spark.Sdk.Demo.exe",
},
"linux": {
"program": "Bts.Spark.Sdk.Demo.exe",
},
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:sdkDemoEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Spark",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"preLaunchTask": "Build Spark (Debug)",
"program": "Spark.exe",
"cwd": "build/Debug/bin/net8.0-windows",
"env": {
"DOTNET_ENVIRONMENT": "${input:sparkEnvironment}",
}
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Spark (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"program": "Spark.exe",
"cwd": "build/Debug/bin/net8.0-windows",
"env": {
"DOTNET_ENVIRONMENT": "${input:sparkEnvironment}",
}
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Spark (Parameterized)",
"type": "coreclr",
"request": "launch",
"preLaunchTask": "Build Spark (Debug)",
"program": "",
"windows": {
"program": "Spark.exe",
"args": [
"--Spark:ConfigServer",
"${input:sparkConfigServer}"
],
"cwd": "build/Debug/bin/net8.0-windows",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Spark Test",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"preLaunchTask": "Build Spark (Debug)",
"program": "Spark.Console.exe",
"cwd": "build/Debug/bin/net8.0",
"args": [
"test",
"${input:sparkTest}"
]
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Spark Test (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"program": "Spark.Console.exe",
"cwd": "build/Debug/bin/net8.0",
"args": [
"test",
"${input:sparkTest}"
]
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
{
"name": "Sparkd",
"type": "cppdbg",
"request": "launch",
"program": "",
"linux": {
"program": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd/sparkd",
"preLaunchTask": "Build Sparkd (Debug | Clang)",
},
"args": [
"run"
],
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd",
"stopAtEntry": false,
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
},
{
"description": "Set Disassembly Flavor to Intel",
"text": "-gdb-set disassembly-flavor intel",
"ignoreFailures": true
}
]
},
{
"name": "Sparkd (Skip Build)",
"type": "cppdbg",
"request": "launch",
"program": "",
"linux": {
"program": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd/sparkd",
},
"args": [
"run"
],
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd",
"stopAtEntry": false,
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
},
{
"description": "Set Disassembly Flavor to Intel",
"text": "-gdb-set disassembly-flavor intel",
"ignoreFailures": true
}
]
},
{
"name": "Sparkd Attach",
"type": "cppdbg",
"request": "attach",
"program": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd/sparkd",
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
},
{
"description": "Set Disassembly Flavor to Intel",
"text": "-gdb-set disassembly-flavor intel",
"ignoreFailures": true
}
]
},
],
"inputs": [
{
"id": "apiServerEnvironment",
"type": "pickString",
"description": "Api Server Configuration",
"options": [
"Development",
"Local",
"Staging",
],
"default": "Development",
},
{
"id": "dataStreamPublisherConfig",
"type": "pickString",
"description": "Publisher Configuration",
"options": [
"MarketDataPublisher",
"SimpleEchoClient",
"SimpleTestDataPublisher",
"TestDataPublisher",
],
"default": "MarketDataPublisher",
},
{
"id": "dataStreamQueryAnalyzerEnvironment",
"type": "pickString",
"description": "DataStreamQueryAnalyzer Configuration",
"options": [
"Development",
"Local",
],
"default": "Development",
},
{
"id": "dataStreamPublisherEnvironment",
"type": "pickString",
"description": "DataStreamPublisher Configuration",
"options": [
"Local",
"ReplayMarketData",
],
"default": "Local",
},
{
"id": "pubSubServerEnvironment",
"type": "pickString",
"description": "PubSubServer Configuration",
"options": [
"Development",
"EchoServer",
"Local",
],
"default": "Development",
},
{
"id": "sdkDemoEnvironment",
"type": "pickString",
"description": "Sdk Demo Configuration",
"options": [
"Development",
"Local",
"Staging",
],
"default": "Development",
},
{
"id": "sparkConfigServer",
"type": "promptString",
"description": "Config Server URL",
"default": "http://localhost:8000/config",
},
{
"id": "sparkEnvironment",
"type": "pickString",
"description": "Spark Configuration",
"options": [
"Development",
"Local",
],
"default": "Development",
},
{
"id": "sparkTest",
"type": "promptString",
"description": "Test to run",
},
{
"id": "sparkdTest",
"type": "promptString",
"description": "Test to run",
},
]
}
-1
View File
@@ -1 +0,0 @@
PYTHONPATH=/workspaces/spark/build/sparkd-debug-clang/src/lib_python_interop;/workspaces/spark/src/lib_python_interop/python_interop_plugins;/workspaces/spark/tools/py
-1127
View File
File diff suppressed because it is too large. Load diff
-102
View File
@@ -1,102 +0,0 @@
Microsoft Visual Studio Solution File, Format Version 12.00
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MinimumVisualStudioVersion = 10.0.40219.1
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|x64 = Debug|x64
Debug|x86 = Debug|x86
Release|Any CPU = Release|Any CPU
Release|x64 = Release|x64
Release|x86 = Release|x86
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{E3BF9514-CB1A-4E07-A8DD-73300FD9726C} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{8949AF88-F1D3-4BC4-827F-B088B555F7B9} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{37E4E890-D025-4729-90F9-6F95862F47BC} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{A5FF3FAF-43CB-496B-AF4B-F61EFD645579} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{FCFDBDBE-74B0-41C4-9011-C651B21056D4} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
EndGlobalSection
EndGlobal
+73 -112
View File
@@ -1,133 +1,94 @@
cmake_minimum_required(VERSION 3.12)
cmake_minimum_required(VERSION 3.5)
project(spark)
include(GNUInstallDirs)
include(${CMAKE_SOURCE_DIR}/cmake/GitVersion.cmake)
set(CMAKE_CXX_STANDARD 20)
get_version_from_git()
if(WIN32)
set(platform "windows")
else()
set(platform "linux")
endif()
set(
EXTERNALS_ROOT
"${CMAKE_SOURCE_DIR}/externals/${platform}"
CACHE
STRING
"External dependencies root folder (should contain folders: lib, bin, include")
# SHARED_MEMORY_PREFIX serves as a kind of namespace so multiple applications
# can run simultaneously without fighting over the same shm files (e.g., sparkd,
# api server, etc.).
set(SHARED_MEMORY_PREFIX "\${BTS_SHARED_MEMORY_PREFIX}" CACHE STRING "Prefix to use when creating shared memory files")
set(EXTERNALS_BIN "${EXTERNALS_ROOT}/bin")
set(EXTERNALS_INCLUDE "${EXTERNALS_ROOT}/include")
set(EXTERNALS_LIB "${EXTERNALS_ROOT}/lib/$<CONFIG>")
set(BUILD_DOCS OFF CACHE BOOL "Build documentation")
set(EXTERNALS_ROOT "${CMAKE_SOURCE_DIR}/externals/${platform}")
set(SPARK_PYTHON "${EXTERNALS_ROOT}/python")
set(SPARK_BIN "${EXTERNALS_ROOT}/bin")
set(SPARK_INCLUDE "${EXTERNALS_ROOT}/include")
set(SPARK_LIB "${EXTERNALS_ROOT}/lib/${CMAKE_BUILD_TYPE}")
set(BUILD_SDK OFF CACHE BOOL "Build the sdk")
set(EXPORT_MD_CONSUMER OFF CACHE BOOL "Export (extern) C functions for MD consumer interop")
if (WIN32)
set(BUILD_SPARKD OFF CACHE BOOL "Build sparkd")
set(BUILD_ADMIN_WEB_APP OFF CACHE BOOL "Build the Admin WebApp")
else()
set(BUILD_SPARKD ON CACHE BOOL "Build sparkd")
set(BUILD_ADMIN_WEB_APP ON CACHE BOOL "Build the Admin WebApp")
endif()
include_directories(BEFORE SYSTEM ${EXTERNALS_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
link_directories(${EXTERNALS_LIB})
include_directories(BEFORE SYSTEM ${SPARK_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
link_directories(${SPARK_LIB})
add_compile_definitions(SHARED_MEMORY_PREFIX="${SHARED_MEMORY_PREFIX}")
if(DEFINED APP_DATA_DIR)
add_compile_definitions(APP_DATA_DIR="${APP_DATA_DIR}")
endif()
add_compile_definitions(EXPORT_MD_CONSUMER="${EXPORT_MD_CONSUMER}")
if(WIN32)
# flags
set(
CMAKE_CXX_FLAGS
"${CMAKE_CXX_FLAGS} \
/MP \
/WX /wd4251 /wd4250 /wd4251 /wd4244 /wd4267 /wd4355 /wd4275 /wd4345 \
/bigobj \
/DCURL_STATICLIB \
/D_WINSOCK_DEPRECATED_NO_WARNINGS \
/D__TBB_NO_IMPLICIT_LINKAGE \
/DBOOST_ALL_NO_LIB \
/std:c++17 \
/D_SCL_SECURE_NO_WARNINGS /D_CRT_SECURE_NO_WARNINGS /D_WIN32_WINNT=0x0600")
set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} /MTd")
set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} /MT")
set(
CMAKE_SHARED_LINKER_FLAGS_RELEASE
"${CMAKE_SHARED_LINKER_FLAGS_RELEASE} \
/DEBUG \
/OPT:REF \
/OPT:ICF \
/LTCG")
# subdirs
add_subdirectory(src/lib_spark)
add_subdirectory(src/lib)
else()
if(BUILD_SPARKD)
# Note: All macros that begin w/ 'CCAPI' are ccapi's macros (defined and/or
# read by their code). We override some below.
add_compile_definitions(SPARK_ENABLE_CCAPI)
# make sparkd look for libspark.so in its directory
set(CMAKE_BUILD_WITH_INSTALL_RPATH TRUE)
set(CMAKE_INSTALL_RPATH ".")
# This allows us to override hardcoded exchange-urls with ones read from
# config (i.e., resolved at runtime rather than compile-time)
add_compile_definitions(CCAPI_EXPOSE_INTERNAL)
# Enable ccapi services
add_compile_definitions(CCAPI_ENABLE_SERVICE_MARKET_DATA)
add_compile_definitions(CCAPI_ENABLE_SERVICE_EXECUTION_MANAGEMENT)
# Enable ccapi exchanges
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_BINANCE)
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_BINANCE_COIN_FUTURES)
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_BINANCE_US)
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_BINANCE_USDS_FUTURES)
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_COINBASE)
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_DERIBIT)
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_OKX)
set(CCAPI_LOG_LEVEL
"Warn"
CACHE STRING "<Fatal|Error|Warn|Info|Debug|Trace> Log level for ccapi")
string(TOUPPER "${CCAPI_LOG_LEVEL}" _ccapi_log_level_upper)
add_compile_definitions("CCAPI_ENABLE_LOG_${_ccapi_log_level_upper}")
# ** Binance **
add_compile_definitions(CCAPI_BINANCE_URL_REST_BASE="https://api.binance.com")
add_compile_definitions(BINANCE_INSTRUMENTS_PATH="/api/v3/exchangeInfo")
add_compile_definitions(BINANCE_PRICE_STATS_PATH="/api/v3/ticker/24hr")
# ** Binance US **
add_compile_definitions(BINANCE_US_INSTRUMENTS_PATH="/api/v3/exchangeInfo")
add_compile_definitions(BINANCE_US_PRICE_STATS_PATH="/api/v3/ticker/24hr")
# ** Binance USDS Futures **
add_compile_definitions(CCAPI_BINANCE_USDS_FUTURES_URL_REST_BASE="https://fapi.binance.com")
add_compile_definitions(BINANCE_USDS_FUTURES_INSTRUMENTS_PATH="/fapi/v1/exchangeInfo")
add_compile_definitions(BINANCE_USDS_FUTURES_PRICE_STATS_PATH="/fapi/v1/ticker/24hr")
add_compile_definitions(BINANCE_USDS_FUTURES_USER_DATA_PATH="/api/v3/userDataStream")
# ** Binance Coin Futures **
add_compile_definitions(CCAPI_BINANCE_COIN_FUTURES_URL_REST_BASE="https://dapi.binance.com")
add_compile_definitions(BINANCE_COIN_FUTURES_INSTRUMENTS_PATH="/dapi/v1/exchangeInfo")
add_compile_definitions(BINANCE_COIN_FUTURES_PRICE_STATS_PATH="/dapi/v1/ticker/24hr")
# ** Deribit **
add_compile_definitions(DERIBIT_INSTRUMENT_PATH="/api/v2/public/get_instrument")
add_compile_definitions(DERIBIT_INSTRUMENTS_PATH="/api/v2/public/get_instruments")
add_compile_definitions(DERIBIT_COMBOS_PATH="/api/v2/public/get_combos")
add_compile_definitions(DERIBIT_TICKER_PATH="/api/v2/public/ticker")
add_compile_definitions(DERIBIT_CURRENCIES_METHOD="public/get_currencies")
add_compile_definitions(DERIBIT_INSTRUMENT_METHOD="public/get_instrument")
add_compile_definitions(DERIBIT_INSTRUMENTS_METHOD="public/get_instruments")
add_compile_definitions(DERIBIT_COMBO_DETAILS_METHOD="public/get_combo_details")
add_compile_definitions(DERIBIT_COMBOS_METHOD="public/get_combos")
# ** Okx **
add_compile_definitions(OKX_INSTRUMENTS_PATH="/api/v5/public/instruments")
add_compile_definitions(OKX_UNDERLYING_PATH="/api/v5/public/underlying")
endif()
# flags
set(
CMAKE_CXX_FLAGS_DEBUG
"${CMAKE_CXX_FLAGS_DEBUG} \
-fPIC \
-Wall \
-pedantic \
-Wextra \
-Werror \
-Wno-missing-braces \
-Wno-ignored-qualifiers \
--std=c++17 -fdiagnostics-color")
set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -fno-omit-frame-pointer -DNDEBUG -O3")
set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} -DDEBUG")
set(CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
# subdirs
add_subdirectory(src/lib_spark)
if (BUILD_SPARKD)
add_subdirectory(src/lib_python_interop)
add_subdirectory(src/lib_onixs_fix)
add_subdirectory(src/lib_binance)
add_subdirectory(src/lib_okx_execution)
add_subdirectory(src/app_sparkd)
add_subdirectory(src/data_files)
endif()
if (BUILD_ADMIN_WEB_APP)
add_subdirectory(src/Spark.Admin.WebApp)
endif()
if(BUILD_DOCS)
add_subdirectory(doc/user)
endif()
add_subdirectory(src/server/sparkd)
add_subdirectory(src/lib)
add_subdirectory(src/web)
add_subdirectory(doc/user)
if(BUILD_SDK)
add_subdirectory(src/sdk)
endif()
add_subdirectory(src/data_files)
add_custom_command(
OUTPUT ${CMAKE_BINARY_DIR}/server
COMMAND mkdir -p ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/server/sparkd/sparkd ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
COMMAND
ln ARGS -sf
${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0
${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
COMMENT "Creating server runtime layout"
DEPENDS sparkd data_files_dir)
add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
endif()
-327
View File
@@ -1,327 +0,0 @@
{
"version": 4,
"cmakeMinimumRequired": {
"major": 3,
"minor": 23,
"patch": 0
},
"configurePresets": [
{
"name": "spark-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"cacheVariables": {
"CMAKE_CXX_STANDARD": "20",
"CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
"CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf",
"EXPORT_MD_CONSUMER": {
"type": "BOOL",
"value": "ON"
}
}
},
{
"name": "spark-windows",
"inherits": "spark-base",
"displayName": "Spark",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Windows"
},
"generator": "Visual Studio 17 2022",
"environment": {
"SPARK_CMAKE_CXX_FLAGS": "/MP /WX /wd4250 /wd4251 /wd4244 /wd4267 /wd4355 /wd4275 /wd4345 /bigobj /EHsc /DCURL_STATICLIB /D_WINSOCK_DEPRECATED_NO_WARNINGS /D__TBB_NO_IMPLICIT_LINKAGE /DBOOST_ALL_NO_LIB /std:c++20 /D_SCL_SECURE_NO_WARNINGS /D_CRT_SECURE_NO_WARNINGS /D_WIN32_WINNT=0x0600"
},
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}
-602
View File
@@ -1,602 +0,0 @@
Microsoft Visual Studio Solution File, Format Version 12.00
# Visual Studio Version 17
VisualStudioVersion = 17.3.32922.545
MinimumVisualStudioVersion = 15.0.26124.0
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
Debug|x86 = Debug|x86
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@@ -0,0 +1,36 @@
using System;
using System.Linq;
namespace SpreaderFrontEnd {
public class Book : IEquatable<Book> {
public Book(BookSide bids = null, BookSide asks = null) {
this.bids = bids ?? new BookSide();
this.asks = asks ?? new BookSide();
}
public BookSide bids { get; }
public BookSide asks { get; }
public Book Clone() {
return new Book(
new BookSide(bids.levels.ToList()),
new BookSide(asks.levels.ToList()));
}
public bool Equals(Book other) {
return other != null && other.bids.Equals(bids) && other.asks.Equals(asks);
}
public override bool Equals(object obj) {
return Equals(obj as Book);
}
public override int GetHashCode() {
return HashCodeHelper.combine(bids.GetHashCode(), asks.GetHashCode());
}
public override string ToString() {
return $"bid: {bids} | ask: {asks}";
}
}
}
@@ -0,0 +1,38 @@
using System;
using System.Collections.Generic;
using System.Linq;
namespace SpreaderFrontEnd {
public class BookSide : IEquatable<BookSide> {
public BookSide() {
levels = new List<PriceLevel>();
}
public BookSide(IEnumerable<PriceLevel> levels) {
this.levels = levels?.ToList() ?? new List<PriceLevel>();
}
public IList<PriceLevel> levels { get; }
public BookSide Clone() {
return new BookSide(levels.ToList());
}
public bool Equals(BookSide other) {
return other != null && levels.SequenceEqual(other.levels);
}
public override bool Equals(object obj) {
return Equals(obj as BookSide);
}
public override int GetHashCode() {
return levels.Select(l => l.GetHashCode()).Skip(1).Aggregate(
levels[0].GetHashCode(), HashCodeHelper.combine);
}
public override string ToString() {
return string.Join("; ", levels);
}
}
}
@@ -0,0 +1,120 @@
using System;
using System.Collections.Generic;
using System.Diagnostics;
namespace SpreaderFrontEnd {
public class LegCursor {
public LegCursor(int leg_size, IList<PriceLevel> levels) {
this.leg_size = leg_size;
this.levels = levels;
}
/// <summary>
/// The [signed] quantity of this leg in the SpreaderContract to which it belongs
/// </summary>
public int leg_size { get; }
/// <summary>
/// The [unsigned] quantity of this leg in the SpreaderContract to which it belongs
/// </summary>
public int leg_size_abs {
get {
return Math.Abs(leg_size);
}
}
/// <summary>
/// The price levels of the underlying BookSide
/// </summary>
public IList<PriceLevel> levels { get; }
/// <summary>
/// The index of the current level. When <see cref="consume_unit_qty(uint, out List{PriceLevel})"/>
/// is called, quantity consumption begins at this level. Once this level's quantity is fully
/// consumed, <see cref="cursor"/> is incremented, and <see cref="curr_level_consumed_qty"/>
/// is reset to 0.
/// </summary>
public int cursor { get; private set; }
/// <summary>
/// The quantity that has been consumed at the current level (i.e., the level at index
/// <see cref="cursor"/>)
/// </summary>
public uint curr_level_consumed_qty { get; private set; }
/// <summary>
/// Consumes the specified quantity of units at the best available price(s)
/// </summary>
/// <param name="unit_qty">
/// The unit quantity to consume
/// </param>
/// <returns>True if the entire quantity is consumed, otherwise false.</returns>
public bool consume_unit_qty(uint unit_qty, out List<PriceLevel> consumed_levels) {
consumed_levels = new List<PriceLevel>();
uint marg_qty = (uint)(unit_qty * leg_size_abs);
var consumed_qty = _consume_raw_qty(marg_qty, ref consumed_levels);
Debug.Assert(consumed_qty % leg_size_abs == 0);
uint consumed_units = (uint)(consumed_qty / leg_size_abs);
return consumed_units == unit_qty;
}
/// <summary>
/// Gets the number of units (raw_quantity / leg_size_abs) available at the best price
/// </summary>
public PriceLevel curr_synth_level() {
if (cursor >= levels.Count) {
return PriceLevel.empty;
}
var curr_level = levels[cursor];
Debug.Assert(curr_level.qty >= curr_level_consumed_qty);
var curr_level_rem_qty = curr_level.qty - curr_level_consumed_qty;
if (curr_level_rem_qty >= leg_size_abs) {
return new PriceLevel(
price: curr_level.price * leg_size_abs,
qty: (uint)(curr_level_rem_qty / leg_size_abs));
}
double unit_cost = curr_level.price * curr_level_rem_qty;
var unit_rem = leg_size_abs - curr_level_rem_qty;
for (int i = cursor + 1; i < levels.Count; i++) {
curr_level = levels[i];
if (curr_level.qty >= unit_rem) {
unit_cost += curr_level.price * unit_rem;
return new PriceLevel(price: unit_cost, qty: 1);
}
unit_cost += curr_level.price * curr_level.qty;
unit_rem -= curr_level.qty;
}
return PriceLevel.empty;
}
/// <summary>
/// Consumes as much of the specified [raw] quantity as possible
/// </summary>
/// <returns>
/// The quantity that was actually consumed
/// </returns>
uint _consume_raw_qty(uint raw_qty, ref List<PriceLevel> dest) {
if (levels == null || cursor >= levels.Count) {
return 0;
}
var curr_level = levels[cursor];
// Cursor should be incremented when curr_level_consumed_qty == levels[cursor].qty
// (i.e., curr_level.qty should never be less than curr_level_consumed_qty)
Debug.Assert(curr_level.qty > curr_level_consumed_qty);
var curr_level_qty_rem = curr_level.qty - curr_level_consumed_qty;
if (curr_level_qty_rem > raw_qty) {
curr_level_consumed_qty += raw_qty;
dest.Add(new PriceLevel(price: curr_level.price, qty: raw_qty));
return raw_qty;
}
// The input qty is greater than the qty that remains at this level. Consume the rest on
// the next level.
cursor++;
curr_level_consumed_qty = 0;
dest.Add(new PriceLevel(price: curr_level.price, qty: curr_level_qty_rem));
return curr_level_qty_rem + _consume_raw_qty(raw_qty - curr_level_qty_rem, ref dest);
}
}
}
@@ -0,0 +1,44 @@
using System;
namespace SpreaderFrontEnd {
public struct PriceLevel : IEquatable<PriceLevel> {
public PriceLevel(double price, uint qty) {
this.price = price;
this.qty = qty;
}
public static PriceLevel empty {
get {
return new PriceLevel(double.NaN, 0);
}
}
public double price { get; }
public uint qty { get; }
public PriceLevel subtract_qty(uint value) {
System.Diagnostics.Debug.Assert(value <= qty);
return new PriceLevel(price, qty - value);
}
public PriceLevel add_qty(uint value) {
return new PriceLevel(price, qty + value);
}
public override string ToString() {
return $"{price} ({qty})";
}
public bool Equals(PriceLevel other) {
return qty == other.qty && price.Equals(other.price);
}
public override bool Equals(object obj) {
return obj is PriceLevel other && Equals(other);
}
public override int GetHashCode() {
return HashCodeHelper.combine(price.GetHashCode(), qty.GetHashCode());
}
}
}
@@ -0,0 +1,49 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Diagnostics;
namespace SpreaderFrontEnd {
public static class SpreaderBookCalculator {
public static Book compute_spreader_book(
SpreaderContract contract, IEnumerable<Book> leg_books) {
if (contract == null) {
throw new ArgumentNullException(nameof(contract));
}
if (leg_books == null) {
throw new ArgumentNullException(nameof(leg_books));
}
var leg_book_list = leg_books as IList<Book> ?? leg_books.ToList();
var synth_book = new SyntheticBook(contract, leg_book_list);
return synth_book.to_book();
}
public static BookSide compute_spreader_book_side(
SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
Debug.Assert(contract.spread_legs.Count == leg_books.Count);
var leg_cursors = leg_books.Select((b, i) => new LegCursor(
contract.spread_legs[i].qty,
contract.spread_legs[i].qty < 0 == is_bid ? b.asks.levels : b.bids.levels)).ToList();
var level_qty = leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
var result = new BookSide();
while (level_qty > 0) {
double level_price = 0;
for (int i = 0; i < leg_cursors.Count; i++) {
var lc = leg_cursors[i];
bool did_consume = lc.consume_unit_qty(level_qty, out var consumed_levels);
Debug.Assert(did_consume);
var leg_cost = consumed_levels.Select(l => l.price * l.qty).Sum() / level_qty;
if (lc.leg_size < 0) {
level_price -= leg_cost;
} else {
level_price += leg_cost;
}
}
result.levels.Add(new PriceLevel(price: level_price, qty: level_qty));
level_qty = leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
}
return result;
}
}
}
@@ -0,0 +1,17 @@
using System.Collections.Generic;
namespace SpreaderFrontEnd {
class SyntheticBook {
public SyntheticBook(SpreaderContract contract, IList<Book> leg_books) {
bids = new SyntheticBookSide(contract, leg_books, true);
asks = new SyntheticBookSide(contract, leg_books, false);
}
public SyntheticBookSide bids { get; }
public SyntheticBookSide asks { get; }
public Book to_book() {
return new Book(bids: bids.to_book_side(), asks: asks.to_book_side());
}
}
}
@@ -0,0 +1,28 @@
using System.Collections;
using System.Collections.Generic;
namespace SpreaderFrontEnd {
class SyntheticBookSide : IEnumerable<PriceLevel> {
readonly SpreaderContract _contract;
readonly IList<Book> _leg_books;
readonly bool _is_bid;
public SyntheticBookSide(SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
_contract = contract;
_leg_books = leg_books;
_is_bid = is_bid;
}
public BookSide to_book_side() {
return new BookSide(this);
}
public IEnumerator<PriceLevel> GetEnumerator() {
return new SyntheticBookSideEnumerator(_contract, _leg_books, _is_bid);
}
IEnumerator IEnumerable.GetEnumerator() {
return GetEnumerator();
}
}
}
@@ -0,0 +1,59 @@
using System.Collections.Generic;
using System.Linq;
using System.Diagnostics;
using System.Collections;
namespace SpreaderFrontEnd {
class SyntheticBookSideEnumerator : IEnumerator<PriceLevel> {
readonly List<LegCursor> _leg_cursors;
PriceLevel _current;
uint _level_qty;
public SyntheticBookSideEnumerator(
SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
Debug.Assert(contract.spread_legs.Count == leg_books.Count);
_leg_cursors = new List<LegCursor>(leg_books.Count);
for (int i = 0; i < leg_books.Count; i++) {
_leg_cursors.Add(new LegCursor(
contract.spread_legs[i].qty,
contract.spread_legs[i].qty < 0 == is_bid ?
leg_books[i].asks.levels : leg_books[i].bids.levels));
}
}
public PriceLevel Current => _current;
object IEnumerator.Current => _current;
public void Dispose() { }
public bool MoveNext() {
_level_qty = _leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
if (_level_qty == 0) {
return false;
}
double level_price = 0;
for (int i = 0; i < _leg_cursors.Count; i++) {
var lc = _leg_cursors[i];
bool did_consume = lc.consume_unit_qty(_level_qty, out var consumed_levels);
Debug.Assert(did_consume);
var leg_cost = consumed_levels.Select(l => l.price * l.qty).Sum() / _level_qty;
if (lc.leg_size < 0) {
level_price -= leg_cost;
} else {
level_price += leg_cost;
}
}
_current = new PriceLevel(price: level_price, qty: _level_qty);
return true;
}
public void Reset() {
for (int i = 0; i < _leg_cursors.Count; i++) {
var lc = _leg_cursors[i];
_leg_cursors[i] = new LegCursor(lc.leg_size, lc.levels);
}
}
}
}
@@ -0,0 +1,8 @@
namespace SpreaderFrontEnd {
static class HashCodeHelper {
// Copied from https://referencesource.microsoft.com/#System.Numerics/System/Numerics/HashCodeHelper.cs
public static int combine(int h1, int h2) {
return (((h1 << 5) + h1) ^ h2);
}
}
}
+744
View File
@@ -0,0 +1,744 @@
using System.Windows.Forms;
namespace SpreaderFrontEnd
{
partial class LegControl
{
/// <summary>
/// Required designer variable.
/// </summary>
private System.ComponentModel.IContainer components = null;
/// <summary>
/// Clean up any resources being used.
/// </summary>
/// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
protected override void Dispose(bool disposing)
{
if (disposing && (components != null))
{
components.Dispose();
}
base.Dispose(disposing);
}
#region Component Designer generated code
/// <summary>
/// Required method for Designer support - do not modify
/// the contents of this method with the code editor.
/// </summary>
private void InitializeComponent()
{
this._combobox_security = new System.Windows.Forms.ComboBox();
this.label1 = new System.Windows.Forms.Label();
this.label2 = new System.Windows.Forms.Label();
this.label3 = new System.Windows.Forms.Label();
this.label5 = new System.Windows.Forms.Label();
this.groupBox1 = new System.Windows.Forms.GroupBox();
this._textbox_quote_qho_length = new System.Windows.Forms.TextBox();
this._textbox_quote_insidemarketdistance_towarddistance = new System.Windows.Forms.TextBox();
this._textbox_quote_conditional_ticks = new System.Windows.Forms.TextBox();
this._textbox_quote_throttle_outsideticks = new System.Windows.Forms.TextBox();
this._textbox_quote_throttle_insideticks = new System.Windows.Forms.TextBox();
this._textbox_quote_showqty_qty = new System.Windows.Forms.TextBox();
this.label11 = new System.Windows.Forms.Label();
this._checkbox_quote_insidemarketdistance = new System.Windows.Forms.CheckBox();
this.label10 = new System.Windows.Forms.Label();
this._checkbox_quote_conditional = new System.Windows.Forms.CheckBox();
this.label9 = new System.Windows.Forms.Label();
this.label8 = new System.Windows.Forms.Label();
this._checkbox_quote_throttle = new System.Windows.Forms.CheckBox();
this.label7 = new System.Windows.Forms.Label();
this._checkbox_quote_showqty = new System.Windows.Forms.CheckBox();
this.label6 = new System.Windows.Forms.Label();
this.groupBox2 = new System.Windows.Forms.GroupBox();
this._textbox_prehedge_payless_paylessticks = new System.Windows.Forms.TextBox();
this._textbox_prehedge_payup_payupticks = new System.Windows.Forms.TextBox();
this._textbox_prehedge_payup_threshold = new System.Windows.Forms.TextBox();
this._textbox_prehedge_payless_threshold = new System.Windows.Forms.TextBox();
this.label13 = new System.Windows.Forms.Label();
this.label14 = new System.Windows.Forms.Label();
this.label15 = new System.Windows.Forms.Label();
this._checkbox_prehedge_payup = new System.Windows.Forms.CheckBox();
this.label16 = new System.Windows.Forms.Label();
this._checkbox_prehedge_payless = new System.Windows.Forms.CheckBox();
this.groupBox3 = new System.Windows.Forms.GroupBox();
this._textbox_posthedge_sizebasedcross_crossticks = new System.Windows.Forms.TextBox();
this._textbox_posthedge_sizebasedcross_threshold = new System.Windows.Forms.TextBox();
this._textbox_posthedge_timesbasedcross_crossticks = new System.Windows.Forms.TextBox();
this._textbox_posthedge_timesbasedcross_timems = new System.Windows.Forms.TextBox();
this._textbox_posthedge_ticksawaycross_crossticks = new System.Windows.Forms.TextBox();
this._textbox_posthedge_ticksawaycross_threshold = new System.Windows.Forms.TextBox();
this.label20 = new System.Windows.Forms.Label();
this.label21 = new System.Windows.Forms.Label();
this._checkbox_posthedge_sizebasedcross = new System.Windows.Forms.CheckBox();
this.label12 = new System.Windows.Forms.Label();
this.label17 = new System.Windows.Forms.Label();
this.label18 = new System.Windows.Forms.Label();
this._checkbox_posthedge_timebasedcross = new System.Windows.Forms.CheckBox();
this.label19 = new System.Windows.Forms.Label();
this._checkbox_posthedge_ticksawaycross = new System.Windows.Forms.CheckBox();
this._textbox_leg_qty = new System.Windows.Forms.TextBox();
this._checkbox_leg_enablequoting = new System.Windows.Forms.CheckBox();
this._textbox_leg_leanqtyfactor = new System.Windows.Forms.TextBox();
this._combobox_mdtype = new System.Windows.Forms.ComboBox();
this._textbox_leg_price_mult = new System.Windows.Forms.TextBox();
this.label4 = new System.Windows.Forms.Label();
this._label_leanqty_factor = new System.Windows.Forms.Label();
this.groupBox1.SuspendLayout();
this.groupBox2.SuspendLayout();
this.groupBox3.SuspendLayout();
this.SuspendLayout();
//
// _combobox_security
//
this._combobox_security.DropDownStyle = System.Windows.Forms.ComboBoxStyle.DropDownList;
this._combobox_security.FormattingEnabled = true;
this._combobox_security.Location = new System.Drawing.Point(157, 15);
this._combobox_security.Name = "_combobox_security";
this._combobox_security.Size = new System.Drawing.Size(100, 23);
this._combobox_security.TabIndex = 0;
//
// label1
//
this.label1.AutoSize = true;
this.label1.Location = new System.Drawing.Point(16, 23);
this.label1.Name = "label1";
this.label1.Size = new System.Drawing.Size(49, 15);
this.label1.TabIndex = 1;
this.label1.Text = "Security";
//
// label2
//
this.label2.AutoSize = true;
this.label2.Location = new System.Drawing.Point(16, 58);
this.label2.Name = "label2";
this.label2.Size = new System.Drawing.Size(53, 15);
this.label2.TabIndex = 2;
this.label2.Text = "Quantity";
//
// label3
//
this.label3.AutoSize = true;
this.label3.Location = new System.Drawing.Point(16, 128);
this.label3.Name = "label3";
this.label3.Size = new System.Drawing.Size(89, 15);
this.label3.TabIndex = 3;
this.label3.Text = "Enable Quoting";
//
// label5
//
this.label5.AutoSize = true;
this.label5.Location = new System.Drawing.Point(16, 198);
this.label5.Name = "label5";
this.label5.Size = new System.Drawing.Size(98, 15);
this.label5.TabIndex = 5;
this.label5.Text = "Market Data Type";
//
// groupBox1
//
this.groupBox1.Controls.Add(this._textbox_quote_qho_length);
this.groupBox1.Controls.Add(this._textbox_quote_insidemarketdistance_towarddistance);
this.groupBox1.Controls.Add(this._textbox_quote_conditional_ticks);
this.groupBox1.Controls.Add(this._textbox_quote_throttle_outsideticks);
this.groupBox1.Controls.Add(this._textbox_quote_throttle_insideticks);
this.groupBox1.Controls.Add(this._textbox_quote_showqty_qty);
this.groupBox1.Controls.Add(this.label11);
this.groupBox1.Controls.Add(this._checkbox_quote_insidemarketdistance);
this.groupBox1.Controls.Add(this.label10);
this.groupBox1.Controls.Add(this._checkbox_quote_conditional);
this.groupBox1.Controls.Add(this.label9);
this.groupBox1.Controls.Add(this.label8);
this.groupBox1.Controls.Add(this._checkbox_quote_throttle);
this.groupBox1.Controls.Add(this.label7);
this.groupBox1.Controls.Add(this._checkbox_quote_showqty);
this.groupBox1.Controls.Add(this.label6);
this.groupBox1.ForeColor = System.Drawing.Color.Black;
this.groupBox1.Location = new System.Drawing.Point(12, 238);
this.groupBox1.Name = "groupBox1";
this.groupBox1.Size = new System.Drawing.Size(265, 369);
this.groupBox1.TabIndex = 6;
this.groupBox1.TabStop = false;
this.groupBox1.Text = "Quote";
//
// _textbox_quote_qho_length
//
this._textbox_quote_qho_length.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_quote_qho_length.Location = new System.Drawing.Point(145, 28);
this._textbox_quote_qho_length.Name = "_textbox_quote_qho_length";
this._textbox_quote_qho_length.Size = new System.Drawing.Size(100, 23);
this._textbox_quote_qho_length.TabIndex = 6;
//
// _textbox_quote_insidemarketdistance_towarddistance
//
this._textbox_quote_insidemarketdistance_towarddistance.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_quote_insidemarketdistance_towarddistance.Location = new System.Drawing.Point(145, 314);
this._textbox_quote_insidemarketdistance_towarddistance.Name = "_textbox_quote_insidemarketdistance_towarddistance";
this._textbox_quote_insidemarketdistance_towarddistance.Size = new System.Drawing.Size(100, 23);
this._textbox_quote_insidemarketdistance_towarddistance.TabIndex = 15;
//
// _textbox_quote_conditional_ticks
//
this._textbox_quote_conditional_ticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_quote_conditional_ticks.Location = new System.Drawing.Point(145, 250);
this._textbox_quote_conditional_ticks.Name = "_textbox_quote_conditional_ticks";
this._textbox_quote_conditional_ticks.Size = new System.Drawing.Size(100, 23);
this._textbox_quote_conditional_ticks.TabIndex = 13;
//
// _textbox_quote_throttle_outsideticks
//
this._textbox_quote_throttle_outsideticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_quote_throttle_outsideticks.Location = new System.Drawing.Point(145, 186);
this._textbox_quote_throttle_outsideticks.Name = "_textbox_quote_throttle_outsideticks";
this._textbox_quote_throttle_outsideticks.Size = new System.Drawing.Size(100, 23);
this._textbox_quote_throttle_outsideticks.TabIndex = 11;
//
// _textbox_quote_throttle_insideticks
//
this._textbox_quote_throttle_insideticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_quote_throttle_insideticks.Location = new System.Drawing.Point(145, 156);
this._textbox_quote_throttle_insideticks.Name = "_textbox_quote_throttle_insideticks";
this._textbox_quote_throttle_insideticks.Size = new System.Drawing.Size(100, 23);
this._textbox_quote_throttle_insideticks.TabIndex = 10;
//
// _textbox_quote_showqty_qty
//
this._textbox_quote_showqty_qty.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_quote_showqty_qty.Location = new System.Drawing.Point(145, 92);
this._textbox_quote_showqty_qty.Name = "_textbox_quote_showqty_qty";
this._textbox_quote_showqty_qty.Size = new System.Drawing.Size(100, 23);
this._textbox_quote_showqty_qty.TabIndex = 8;
//
// label11
//
this.label11.AutoSize = true;
this.label11.Location = new System.Drawing.Point(45, 322);
this.label11.Name = "label11";
this.label11.Size = new System.Drawing.Size(93, 15);
this.label11.TabIndex = 16;
this.label11.Text = "Toward Distance";
//
// _checkbox_quote_insidemarketdistance
//
this._checkbox_quote_insidemarketdistance.AutoSize = true;
this._checkbox_quote_insidemarketdistance.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_quote_insidemarketdistance.Location = new System.Drawing.Point(15, 288);
this._checkbox_quote_insidemarketdistance.Name = "_checkbox_quote_insidemarketdistance";
this._checkbox_quote_insidemarketdistance.Size = new System.Drawing.Size(131, 19);
this._checkbox_quote_insidemarketdistance.TabIndex = 14;
this._checkbox_quote_insidemarketdistance.Text = "Inside Market Dist.";
this._checkbox_quote_insidemarketdistance.UseVisualStyleBackColor = true;
this._checkbox_quote_insidemarketdistance.CheckedChanged += new System.EventHandler(this._checkbox_quote_insidemarketdistance_CheckedChanged);
//
// label10
//
this.label10.AutoSize = true;
this.label10.Location = new System.Drawing.Point(47, 258);
this.label10.Name = "label10";
this.label10.Size = new System.Drawing.Size(33, 15);
this.label10.TabIndex = 14;
this.label10.Text = "Ticks";
//
// _checkbox_quote_conditional
//
this._checkbox_quote_conditional.AutoSize = true;
this._checkbox_quote_conditional.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_quote_conditional.Location = new System.Drawing.Point(15, 224);
this._checkbox_quote_conditional.Name = "_checkbox_quote_conditional";
this._checkbox_quote_conditional.Size = new System.Drawing.Size(88, 19);
this._checkbox_quote_conditional.TabIndex = 12;
this._checkbox_quote_conditional.Text = "Conditional";
this._checkbox_quote_conditional.UseVisualStyleBackColor = true;
this._checkbox_quote_conditional.CheckedChanged += new System.EventHandler(this._checkbox_quote_conditional_CheckedChanged);
//
// label9
//
this.label9.AutoSize = true;
this.label9.Location = new System.Drawing.Point(45, 194);
this.label9.Name = "label9";
this.label9.Size = new System.Drawing.Size(77, 15);
this.label9.TabIndex = 12;
this.label9.Text = "Outside Ticks";
//
// label8
//
this.label8.AutoSize = true;
this.label8.Location = new System.Drawing.Point(45, 164);
this.label8.Name = "label8";
this.label8.Size = new System.Drawing.Size(67, 15);
this.label8.TabIndex = 11;
this.label8.Text = "Inside Ticks";
//
// _checkbox_quote_throttle
//
this._checkbox_quote_throttle.AutoSize = true;
this._checkbox_quote_throttle.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_quote_throttle.Location = new System.Drawing.Point(15, 130);
this._checkbox_quote_throttle.Name = "_checkbox_quote_throttle";
this._checkbox_quote_throttle.Size = new System.Drawing.Size(72, 19);
this._checkbox_quote_throttle.TabIndex = 9;
this._checkbox_quote_throttle.Text = "Throttle";
this._checkbox_quote_throttle.UseVisualStyleBackColor = true;
this._checkbox_quote_throttle.CheckedChanged += new System.EventHandler(this._checkbox_quote_throttle_CheckedChanged);
//
// label7
//
this.label7.AutoSize = true;
this.label7.Location = new System.Drawing.Point(45, 100);
this.label7.Name = "label7";
this.label7.Size = new System.Drawing.Size(53, 15);
this.label7.TabIndex = 9;
this.label7.Text = "Quantity";
//
// _checkbox_quote_showqty
//
this._checkbox_quote_showqty.AutoSize = true;
this._checkbox_quote_showqty.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_quote_showqty.Location = new System.Drawing.Point(15, 66);
this._checkbox_quote_showqty.Name = "_checkbox_quote_showqty";
this._checkbox_quote_showqty.Size = new System.Drawing.Size(108, 19);
this._checkbox_quote_showqty.TabIndex = 7;
this._checkbox_quote_showqty.Text = "Show Quantity";
this._checkbox_quote_showqty.UseVisualStyleBackColor = true;
this._checkbox_quote_showqty.CheckedChanged += new System.EventHandler(this._checkbox_quote_showqty_CheckedChanged);
//
// label6
//
this.label6.AutoSize = true;
this.label6.Location = new System.Drawing.Point(15, 36);
this.label6.Name = "label6";
this.label6.Size = new System.Drawing.Size(121, 15);
this.label6.TabIndex = 6;
this.label6.Text = "Queue Holder Length";
//
// groupBox2
//
this.groupBox2.Controls.Add(this._textbox_prehedge_payless_paylessticks);
this.groupBox2.Controls.Add(this._textbox_prehedge_payup_payupticks);
this.groupBox2.Controls.Add(this._textbox_prehedge_payup_threshold);
this.groupBox2.Controls.Add(this._textbox_prehedge_payless_threshold);
this.groupBox2.Controls.Add(this.label13);
this.groupBox2.Controls.Add(this.label14);
this.groupBox2.Controls.Add(this.label15);
this.groupBox2.Controls.Add(this._checkbox_prehedge_payup);
this.groupBox2.Controls.Add(this.label16);
this.groupBox2.Controls.Add(this._checkbox_prehedge_payless);
this.groupBox2.Location = new System.Drawing.Point(13, 626);
this.groupBox2.Name = "groupBox2";
this.groupBox2.Size = new System.Drawing.Size(264, 234);
this.groupBox2.TabIndex = 7;
this.groupBox2.TabStop = false;
this.groupBox2.Text = "Pre-Hedge";
//
// _textbox_prehedge_payless_paylessticks
//
this._textbox_prehedge_payless_paylessticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_prehedge_payless_paylessticks.Location = new System.Drawing.Point(144, 90);
this._textbox_prehedge_payless_paylessticks.Name = "_textbox_prehedge_payless_paylessticks";
this._textbox_prehedge_payless_paylessticks.Size = new System.Drawing.Size(100, 23);
this._textbox_prehedge_payless_paylessticks.TabIndex = 18;
//
// _textbox_prehedge_payup_payupticks
//
this._textbox_prehedge_payup_payupticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_prehedge_payup_payupticks.Location = new System.Drawing.Point(144, 187);
this._textbox_prehedge_payup_payupticks.Name = "_textbox_prehedge_payup_payupticks";
this._textbox_prehedge_payup_payupticks.Size = new System.Drawing.Size(100, 23);
this._textbox_prehedge_payup_payupticks.TabIndex = 21;
//
// _textbox_prehedge_payup_threshold
//
this._textbox_prehedge_payup_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_prehedge_payup_threshold.Location = new System.Drawing.Point(144, 156);
this._textbox_prehedge_payup_threshold.Name = "_textbox_prehedge_payup_threshold";
this._textbox_prehedge_payup_threshold.Size = new System.Drawing.Size(100, 23);
this._textbox_prehedge_payup_threshold.TabIndex = 20;
//
// _textbox_prehedge_payless_threshold
//
this._textbox_prehedge_payless_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_prehedge_payless_threshold.Location = new System.Drawing.Point(144, 59);
this._textbox_prehedge_payless_threshold.Name = "_textbox_prehedge_payless_threshold";
this._textbox_prehedge_payless_threshold.Size = new System.Drawing.Size(100, 23);
this._textbox_prehedge_payless_threshold.TabIndex = 17;
//
// label13
//
this.label13.AutoSize = true;
this.label13.Location = new System.Drawing.Point(44, 98);
this.label13.Name = "label13";
this.label13.Size = new System.Drawing.Size(74, 15);
this.label13.TabIndex = 14;
this.label13.Text = "Payless Ticks";
//
// label14
//
this.label14.AutoSize = true;
this.label14.Location = new System.Drawing.Point(44, 195);
this.label14.Name = "label14";
this.label14.Size = new System.Drawing.Size(69, 15);
this.label14.TabIndex = 12;
this.label14.Text = "Payup Ticks";
//
// label15
//
this.label15.AutoSize = true;
this.label15.Location = new System.Drawing.Point(44, 164);
this.label15.Name = "label15";
this.label15.Size = new System.Drawing.Size(59, 15);
this.label15.TabIndex = 11;
this.label15.Text = "Threshold";
//
// _checkbox_prehedge_payup
//
this._checkbox_prehedge_payup.AutoSize = true;
this._checkbox_prehedge_payup.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_prehedge_payup.Location = new System.Drawing.Point(15, 129);
this._checkbox_prehedge_payup.Name = "_checkbox_prehedge_payup";
this._checkbox_prehedge_payup.Size = new System.Drawing.Size(64, 19);
this._checkbox_prehedge_payup.TabIndex = 19;
this._checkbox_prehedge_payup.Text = "Pay Up";
this._checkbox_prehedge_payup.UseVisualStyleBackColor = true;
this._checkbox_prehedge_payup.CheckedChanged += new System.EventHandler(this._checkbox_prehedge_payup_CheckedChanged);
//
// label16
//
this.label16.AutoSize = true;
this.label16.Location = new System.Drawing.Point(44, 67);
this.label16.Name = "label16";
this.label16.Size = new System.Drawing.Size(59, 15);
this.label16.TabIndex = 9;
this.label16.Text = "Threshold";
//
// _checkbox_prehedge_payless
//
this._checkbox_prehedge_payless.AutoSize = true;
this._checkbox_prehedge_payless.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_prehedge_payless.Location = new System.Drawing.Point(15, 32);
this._checkbox_prehedge_payless.Name = "_checkbox_prehedge_payless";
this._checkbox_prehedge_payless.Size = new System.Drawing.Size(71, 19);
this._checkbox_prehedge_payless.TabIndex = 16;
this._checkbox_prehedge_payless.Text = "Pay Less";
this._checkbox_prehedge_payless.UseVisualStyleBackColor = true;
this._checkbox_prehedge_payless.CheckedChanged += new System.EventHandler(this._checkbox_prehedge_payless_CheckedChanged);
//
// groupBox3
//
this.groupBox3.Controls.Add(this._textbox_posthedge_sizebasedcross_crossticks);
this.groupBox3.Controls.Add(this._textbox_posthedge_sizebasedcross_threshold);
this.groupBox3.Controls.Add(this._textbox_posthedge_timesbasedcross_crossticks);
this.groupBox3.Controls.Add(this._textbox_posthedge_timesbasedcross_timems);
this.groupBox3.Controls.Add(this._textbox_posthedge_ticksawaycross_crossticks);
this.groupBox3.Controls.Add(this._textbox_posthedge_ticksawaycross_threshold);
this.groupBox3.Controls.Add(this.label20);
this.groupBox3.Controls.Add(this.label21);
this.groupBox3.Controls.Add(this._checkbox_posthedge_sizebasedcross);
this.groupBox3.Controls.Add(this.label12);
this.groupBox3.Controls.Add(this.label17);
this.groupBox3.Controls.Add(this.label18);
this.groupBox3.Controls.Add(this._checkbox_posthedge_timebasedcross);
this.groupBox3.Controls.Add(this.label19);
this.groupBox3.Controls.Add(this._checkbox_posthedge_ticksawaycross);
this.groupBox3.Location = new System.Drawing.Point(13, 882);
this.groupBox3.Name = "groupBox3";
this.groupBox3.Size = new System.Drawing.Size(264, 319);
this.groupBox3.TabIndex = 8;
this.groupBox3.TabStop = false;
this.groupBox3.Text = "Post-Hedge";
//
// _textbox_posthedge_sizebasedcross_crossticks
//
this._textbox_posthedge_sizebasedcross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_posthedge_sizebasedcross_crossticks.Location = new System.Drawing.Point(144, 276);
this._textbox_posthedge_sizebasedcross_crossticks.Name = "_textbox_posthedge_sizebasedcross_crossticks";
this._textbox_posthedge_sizebasedcross_crossticks.Size = new System.Drawing.Size(100, 23);
this._textbox_posthedge_sizebasedcross_crossticks.TabIndex = 30;
//
// _textbox_posthedge_sizebasedcross_threshold
//
this._textbox_posthedge_sizebasedcross_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_posthedge_sizebasedcross_threshold.Location = new System.Drawing.Point(144, 246);
this._textbox_posthedge_sizebasedcross_threshold.Name = "_textbox_posthedge_sizebasedcross_threshold";
this._textbox_posthedge_sizebasedcross_threshold.Size = new System.Drawing.Size(100, 23);
this._textbox_posthedge_sizebasedcross_threshold.TabIndex = 29;
//
// _textbox_posthedge_timesbasedcross_crossticks
//
this._textbox_posthedge_timesbasedcross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_posthedge_timesbasedcross_crossticks.Location = new System.Drawing.Point(144, 182);
this._textbox_posthedge_timesbasedcross_crossticks.Name = "_textbox_posthedge_timesbasedcross_crossticks";
this._textbox_posthedge_timesbasedcross_crossticks.Size = new System.Drawing.Size(100, 23);
this._textbox_posthedge_timesbasedcross_crossticks.TabIndex = 27;
//
// _textbox_posthedge_timesbasedcross_timems
//
this._textbox_posthedge_timesbasedcross_timems.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_posthedge_timesbasedcross_timems.Location = new System.Drawing.Point(144, 152);
this._textbox_posthedge_timesbasedcross_timems.Name = "_textbox_posthedge_timesbasedcross_timems";
this._textbox_posthedge_timesbasedcross_timems.Size = new System.Drawing.Size(100, 23);
this._textbox_posthedge_timesbasedcross_timems.TabIndex = 26;
//
// _textbox_posthedge_ticksawaycross_crossticks
//
this._textbox_posthedge_ticksawaycross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_posthedge_ticksawaycross_crossticks.Location = new System.Drawing.Point(144, 88);
this._textbox_posthedge_ticksawaycross_crossticks.Name = "_textbox_posthedge_ticksawaycross_crossticks";
this._textbox_posthedge_ticksawaycross_crossticks.Size = new System.Drawing.Size(100, 23);
this._textbox_posthedge_ticksawaycross_crossticks.TabIndex = 24;
//
// _textbox_posthedge_ticksawaycross_threshold
//
this._textbox_posthedge_ticksawaycross_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_posthedge_ticksawaycross_threshold.Location = new System.Drawing.Point(144, 58);
this._textbox_posthedge_ticksawaycross_threshold.Name = "_textbox_posthedge_ticksawaycross_threshold";
this._textbox_posthedge_ticksawaycross_threshold.Size = new System.Drawing.Size(100, 23);
this._textbox_posthedge_ticksawaycross_threshold.TabIndex = 23;
//
// label20
//
this.label20.AutoSize = true;
this.label20.Location = new System.Drawing.Point(44, 284);
this.label20.Name = "label20";
this.label20.Size = new System.Drawing.Size(65, 15);
this.label20.TabIndex = 17;
this.label20.Text = "Cross Ticks";
//
// label21
//
this.label21.AutoSize = true;
this.label21.Location = new System.Drawing.Point(44, 254);
this.label21.Name = "label21";
this.label21.Size = new System.Drawing.Size(59, 15);
this.label21.TabIndex = 16;
this.label21.Text = "Threshold";
//
// _checkbox_posthedge_sizebasedcross
//
this._checkbox_posthedge_sizebasedcross.AutoSize = true;
this._checkbox_posthedge_sizebasedcross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_posthedge_sizebasedcross.Location = new System.Drawing.Point(15, 220);
this._checkbox_posthedge_sizebasedcross.Name = "_checkbox_posthedge_sizebasedcross";
this._checkbox_posthedge_sizebasedcross.Size = new System.Drawing.Size(117, 19);
this._checkbox_posthedge_sizebasedcross.TabIndex = 28;
this._checkbox_posthedge_sizebasedcross.Text = "Size Based Cross";
this._checkbox_posthedge_sizebasedcross.UseVisualStyleBackColor = true;
this._checkbox_posthedge_sizebasedcross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_sizebasedcross_CheckedChanged);
//
// label12
//
this.label12.AutoSize = true;
this.label12.Location = new System.Drawing.Point(44, 96);
this.label12.Name = "label12";
this.label12.Size = new System.Drawing.Size(65, 15);
this.label12.TabIndex = 14;
this.label12.Text = "Cross Ticks";
//
// label17
//
this.label17.AutoSize = true;
this.label17.Location = new System.Drawing.Point(44, 190);
this.label17.Name = "label17";
this.label17.Size = new System.Drawing.Size(65, 15);
this.label17.TabIndex = 12;
this.label17.Text = "Cross Ticks";
//
// label18
//
this.label18.AutoSize = true;
this.label18.Location = new System.Drawing.Point(44, 160);
this.label18.Name = "label18";
this.label18.Size = new System.Drawing.Size(57, 15);
this.label18.TabIndex = 11;
this.label18.Text = "Time(ms)";
//
// _checkbox_posthedge_timebasedcross
//
this._checkbox_posthedge_timebasedcross.AutoSize = true;
this._checkbox_posthedge_timebasedcross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_posthedge_timebasedcross.Location = new System.Drawing.Point(15, 126);
this._checkbox_posthedge_timebasedcross.Name = "_checkbox_posthedge_timebasedcross";
this._checkbox_posthedge_timebasedcross.Size = new System.Drawing.Size(122, 19);
this._checkbox_posthedge_timebasedcross.TabIndex = 25;
this._checkbox_posthedge_timebasedcross.Text = "Time Based Cross";
this._checkbox_posthedge_timebasedcross.UseVisualStyleBackColor = true;
this._checkbox_posthedge_timebasedcross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_timebasedcross_CheckedChanged);
//
// label19
//
this.label19.AutoSize = true;
this.label19.Location = new System.Drawing.Point(44, 66);
this.label19.Name = "label19";
this.label19.Size = new System.Drawing.Size(59, 15);
this.label19.TabIndex = 9;
this.label19.Text = "Threshold";
//
// _checkbox_posthedge_ticksawaycross
//
this._checkbox_posthedge_ticksawaycross.AutoSize = true;
this._checkbox_posthedge_ticksawaycross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
this._checkbox_posthedge_ticksawaycross.Location = new System.Drawing.Point(15, 32);
this._checkbox_posthedge_ticksawaycross.Name = "_checkbox_posthedge_ticksawaycross";
this._checkbox_posthedge_ticksawaycross.Size = new System.Drawing.Size(119, 19);
this._checkbox_posthedge_ticksawaycross.TabIndex = 22;
this._checkbox_posthedge_ticksawaycross.Text = "Ticks Away Cross";
this._checkbox_posthedge_ticksawaycross.UseVisualStyleBackColor = true;
this._checkbox_posthedge_ticksawaycross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_ticksawaycross_CheckedChanged);
//
// _textbox_leg_qty
//
this._textbox_leg_qty.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_leg_qty.Location = new System.Drawing.Point(157, 50);
this._textbox_leg_qty.Name = "_textbox_leg_qty";
this._textbox_leg_qty.Size = new System.Drawing.Size(100, 23);
this._textbox_leg_qty.TabIndex = 1;
this._textbox_leg_qty.Tag = "Double";
//
// _checkbox_leg_enablequoting
//
this._checkbox_leg_enablequoting.AutoSize = true;
this._checkbox_leg_enablequoting.Location = new System.Drawing.Point(157, 129);
this._checkbox_leg_enablequoting.Name = "_checkbox_leg_enablequoting";
this._checkbox_leg_enablequoting.Size = new System.Drawing.Size(15, 14);
this._checkbox_leg_enablequoting.TabIndex = 3;
this._checkbox_leg_enablequoting.UseVisualStyleBackColor = true;
//
// _textbox_leg_leanqtyfactor
//
this._textbox_leg_leanqtyfactor.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_leg_leanqtyfactor.Location = new System.Drawing.Point(157, 155);
this._textbox_leg_leanqtyfactor.Name = "_textbox_leg_leanqtyfactor";
this._textbox_leg_leanqtyfactor.Size = new System.Drawing.Size(100, 23);
this._textbox_leg_leanqtyfactor.TabIndex = 4;
//
// _combobox_mdtype
//
this._combobox_mdtype.AutoCompleteCustomSource.AddRange(new string[] {
"Merged",
"Direct"});
this._combobox_mdtype.FormattingEnabled = true;
this._combobox_mdtype.Location = new System.Drawing.Point(157, 190);
this._combobox_mdtype.Name = "_combobox_mdtype";
this._combobox_mdtype.Size = new System.Drawing.Size(100, 23);
this._combobox_mdtype.TabIndex = 5;
//
// _textbox_leg_price_mult
//
this._textbox_leg_price_mult.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
this._textbox_leg_price_mult.Location = new System.Drawing.Point(157, 85);
this._textbox_leg_price_mult.Name = "_textbox_leg_price_mult";
this._textbox_leg_price_mult.Size = new System.Drawing.Size(100, 23);
this._textbox_leg_price_mult.TabIndex = 2;
this._textbox_leg_price_mult.Tag = "Double";
//
// label4
//
this.label4.AutoSize = true;
this.label4.Location = new System.Drawing.Point(16, 93);
this.label4.Name = "label4";
this.label4.Size = new System.Drawing.Size(87, 15);
this.label4.TabIndex = 10;
this.label4.Text = "Price Multiplier";
//
// _label_leanqty_factor
//
this._label_leanqty_factor.AutoSize = true;
this._label_leanqty_factor.Location = new System.Drawing.Point(16, 163);
this._label_leanqty_factor.Name = "_label_leanqty_factor";
this._label_leanqty_factor.Size = new System.Drawing.Size(90, 15);
this._label_leanqty_factor.TabIndex = 4;
this._label_leanqty_factor.Text = "Lean Qty Factor";
//
// LegControl
//
this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
this.BackColor = System.Drawing.Color.White;
this.Controls.Add(this._textbox_leg_price_mult);
this.Controls.Add(this.label4);
this.Controls.Add(this._combobox_mdtype);
this.Controls.Add(this._textbox_leg_leanqtyfactor);
this.Controls.Add(this._checkbox_leg_enablequoting);
this.Controls.Add(this._textbox_leg_qty);
this.Controls.Add(this.groupBox3);
this.Controls.Add(this.groupBox2);
this.Controls.Add(this.groupBox1);
this.Controls.Add(this.label5);
this.Controls.Add(this._label_leanqty_factor);
this.Controls.Add(this.label3);
this.Controls.Add(this.label2);
this.Controls.Add(this.label1);
this.Controls.Add(this._combobox_security);
this.Name = "LegControl";
this.Size = new System.Drawing.Size(291, 1220);
this.groupBox1.ResumeLayout(false);
this.groupBox1.PerformLayout();
this.groupBox2.ResumeLayout(false);
this.groupBox2.PerformLayout();
this.groupBox3.ResumeLayout(false);
this.groupBox3.PerformLayout();
this.ResumeLayout(false);
this.PerformLayout();
}
#endregion
private ComboBox _combobox_security;
private Label label1;
private Label label2;
private Label label3;
private Label label5;
private GroupBox groupBox1;
private Label label6;
private Label label11;
private CheckBox _checkbox_quote_insidemarketdistance;
private Label label10;
private CheckBox _checkbox_quote_conditional;
private Label label9;
private Label label8;
private CheckBox _checkbox_quote_throttle;
private Label label7;
private CheckBox _checkbox_quote_showqty;
private GroupBox groupBox2;
private Label label13;
private Label label14;
private Label label15;
private CheckBox _checkbox_prehedge_payup;
private Label label16;
private CheckBox _checkbox_prehedge_payless;
private GroupBox groupBox3;
private Label label20;
private Label label21;
private CheckBox _checkbox_posthedge_sizebasedcross;
private Label label12;
private Label label17;
private Label label18;
private CheckBox _checkbox_posthedge_timebasedcross;
private Label label19;
private CheckBox _checkbox_posthedge_ticksawaycross;
private TextBox _textbox_leg_qty;
private CheckBox _checkbox_leg_enablequoting;
private TextBox _textbox_leg_leanqtyfactor;
private ComboBox _combobox_mdtype;
private TextBox _textbox_quote_insidemarketdistance_towarddistance;
private TextBox _textbox_quote_conditional_ticks;
private TextBox _textbox_quote_throttle_outsideticks;
private TextBox _textbox_quote_throttle_insideticks;
private TextBox _textbox_quote_showqty_qty;
private TextBox _textbox_prehedge_payless_paylessticks;
private TextBox _textbox_prehedge_payup_payupticks;
private TextBox _textbox_prehedge_payup_threshold;
private TextBox _textbox_prehedge_payless_threshold;
private TextBox _textbox_posthedge_sizebasedcross_crossticks;
private TextBox _textbox_posthedge_sizebasedcross_threshold;
private TextBox _textbox_posthedge_timesbasedcross_crossticks;
private TextBox _textbox_posthedge_timesbasedcross_timems;
private TextBox _textbox_posthedge_ticksawaycross_crossticks;
private TextBox _textbox_posthedge_ticksawaycross_threshold;
private TextBox _textbox_quote_qho_length;
private TextBox _textbox_leg_price_mult;
private Label label4;
private Label _label_leanqty_factor;
}
}
@@ -0,0 +1,305 @@
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows.Forms;
using System.Diagnostics;
using System.Reflection;
namespace SpreaderFrontEnd {
// UI control that represents a spreader leg. This is hidden within the MainSpreaderForm
public partial class LegControl : UserControl {
private SpreaderLegContract _leg_contract = new SpreaderLegContract();
private IEnumerable<string> _securities = new List<string>();
public LegControl() {
InitializeComponent();
}
public void initialize(IEnumerable<string> securities, SpreaderLegContract? leg_contract) {
_securities = securities;
_leg_contract = leg_contract ?? new SpreaderLegContract();
_populate_ui();
}
#region Data -> UI
private void _populate_ui() {
_populate_basic();
_populate_quote();
_populate_prehedge();
_populate_posthedge();
_initialize_enablement();
_assign_events();
}
void _assign_events() {
foreach (System.Reflection.FieldInfo fi in GetType().GetFields(BindingFlags.NonPublic
| BindingFlags.Public
| BindingFlags.Instance)) {
if (fi.FieldType == typeof(TextBox)) {
object? val = fi.GetValue(this);
if (val != null) {
TextBox? textbox = val as TextBox;
if (textbox != null) {
textbox.TextChanged += Textbox_TextChanged;
textbox.EnabledChanged += Textbox_EnabledChanged;
}
}
}
}
}
private void Textbox_EnabledChanged(object? sender, EventArgs e) {
}
private void Textbox_TextChanged(object? sender, EventArgs e) {
if (sender != null && sender is TextBox) {
TextBox? tb = sender as TextBox;
if (tb == null)
return;
if ("Double".Equals(tb.Tag)) {
double res;
bool parsed = Double.TryParse(tb.Text, out res);
tb.ForeColor = parsed ? Color.Black : Color.Red;
} else {
UInt32 res;
bool parsed = UInt32.TryParse(tb.Text, out res);
tb.ForeColor = parsed ? Color.Black : Color.Red;
}
}
}
void _populate_basic() {
// security
_combobox_security.Items.Clear();
List<string> securities_plus_empty = new List<string>(_securities);
securities_plus_empty.Add(String.Empty);
_combobox_security.Items.AddRange(securities_plus_empty.ToArray());
_combobox_security.Text = _leg_contract.security;
// qty etc
_textbox_leg_qty.Text = _leg_contract.qty.ToString();
_textbox_leg_price_mult.Text = _leg_contract.price_mult.ToString();
_checkbox_leg_enablequoting.Checked = _leg_contract.enable_quoting;
_textbox_leg_leanqtyfactor.Text = _leg_contract.lean_qty_factor.ToString();
_combobox_mdtype.Text = _leg_contract.md_type.ToString();
}
void _populate_quote() {
Debug.Assert(_leg_contract.quote_params != null);
var qp = _leg_contract.quote_params;
_textbox_quote_qho_length.Text = qp.qho_length.ToString();
// show qty
_checkbox_quote_showqty.Checked = qp.show_qty != null;
if (qp.show_qty != null) {
_checkbox_quote_showqty.Checked = true;
_textbox_quote_showqty_qty.Text = qp.show_qty.show_qty.ToString();
}
// throttle
_checkbox_quote_throttle.Checked = qp.throttle != null;
if (qp.throttle != null) {
_textbox_quote_throttle_insideticks.Text = qp.throttle.inside_ticks.ToString();
_textbox_quote_throttle_outsideticks.Text = qp.throttle.outside_ticks.ToString();
}
// conditional
_checkbox_quote_conditional.Checked = qp.conditional != null;
if (qp.conditional != null) {
_textbox_quote_conditional_ticks.Text = qp.conditional.ticks.ToString();
}
// inside market dist.
_checkbox_quote_insidemarketdistance.Checked = qp.inside_market_distance != null;
if (qp.inside_market_distance != null) {
_textbox_quote_insidemarketdistance_towarddistance.Text = qp.inside_market_distance.ToString();
}
}
void _populate_prehedge() {
var ph = _leg_contract.pre_hedge_params;
// payless
_checkbox_prehedge_payless.Checked = ph.payless != null;
if (ph.payless != null) {
_textbox_prehedge_payless_threshold.Text = ph.payless.threshold.ToString();
_textbox_prehedge_payless_paylessticks.Text = ph.payless.payless_ticks.ToString();
}
// payup
_checkbox_prehedge_payup.Checked = ph.payup != null;
if (ph.payup != null) {
_textbox_prehedge_payup_threshold.Text = ph.payup.threshold.ToString();
_textbox_prehedge_payup_payupticks.Text = ph.payup.payup_ticks.ToString();
}
}
void _populate_posthedge() {
var ph = _leg_contract.post_hedge_params;
_checkbox_posthedge_ticksawaycross.Checked = ph.ticks_away_cross != null;
// ticks away cross
if (ph.ticks_away_cross != null) {
_textbox_posthedge_ticksawaycross_threshold.Text = ph.ticks_away_cross.threshold.ToString();
_textbox_posthedge_ticksawaycross_crossticks.Text = ph.ticks_away_cross.cross_ticks.ToString();
}
//time based cross
_checkbox_posthedge_timebasedcross.Checked = ph.time_based_cross != null;
if (ph.time_based_cross != null) {
_textbox_posthedge_timesbasedcross_timems.Text = ph.time_based_cross.time_ms.ToString();
_textbox_posthedge_timesbasedcross_crossticks.Text = ph.time_based_cross.cross_ticks.ToString();
}
// size based cross
_checkbox_posthedge_sizebasedcross.Checked = ph.size_based_cross != null;
if (ph.size_based_cross != null) {
_textbox_posthedge_sizebasedcross_threshold.Text = ph.size_based_cross.threshold.ToString();
_textbox_posthedge_sizebasedcross_crossticks.Text = ph.size_based_cross.ToString();
}
}
// forces checkbox events so that the text boxes connected to it are enabled/disabled
private void _initialize_enablement() {
_checkbox_quote_showqty_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_quote_throttle_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_quote_conditional_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_quote_insidemarketdistance_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_prehedge_payless_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_prehedge_payup_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_posthedge_ticksawaycross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_posthedge_timebasedcross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
_checkbox_posthedge_sizebasedcross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
}
#endregion
#region UI -> Data
public ParsedUIData<SpreaderLegContract> get_data() {
SpreaderLegContract rv = new SpreaderLegContract();
try {
// top part
rv.security = _combobox_security.Text;
rv.qty = Int32.Parse(_textbox_leg_qty.Text);
rv.price_mult = Double.Parse(_textbox_leg_price_mult.Text);
rv.enable_quoting = _checkbox_leg_enablequoting.Checked;
rv.lean_qty_factor = Double.Parse(_textbox_leg_leanqtyfactor.Text);
rv.md_type = SpreaderLegContract.MDType.Merged;
// Quote
rv.quote_params = new SpreaderLegContract.QuoteParams();
rv.quote_params.qho_length = String.IsNullOrEmpty(_textbox_quote_qho_length.Text) ? 0 :
UInt32.Parse(_textbox_quote_qho_length.Text);
rv.quote_params.show_qty = null;
if (_checkbox_quote_showqty.Checked) {
rv.quote_params.show_qty = new SpreaderLegContract.QuoteParams.ShowQty();
rv.quote_params.show_qty.show_qty = UInt32.Parse(_textbox_quote_showqty_qty.Text);
}
rv.quote_params.throttle = null;
if (_checkbox_quote_throttle.Checked) {
rv.quote_params.throttle = new SpreaderLegContract.QuoteParams.Throttle();
rv.quote_params.throttle.inside_ticks = UInt32.Parse(_textbox_quote_throttle_insideticks.Text);
rv.quote_params.throttle.outside_ticks = UInt32.Parse(_textbox_quote_throttle_outsideticks.Text);
}
rv.quote_params.conditional = null;
if (_checkbox_quote_conditional.Checked) {
rv.quote_params.conditional = new SpreaderLegContract.QuoteParams.Conditional();
rv.quote_params.conditional.ticks = Int32.Parse(_textbox_quote_conditional_ticks.Text);
}
rv.quote_params.inside_market_distance = null;
if (_checkbox_quote_insidemarketdistance.Checked) {
rv.quote_params.inside_market_distance = new SpreaderLegContract.QuoteParams.InsideMarketDistance();
rv.quote_params.inside_market_distance.toward_distance =
UInt32.Parse(_textbox_quote_insidemarketdistance_towarddistance.Text);
}
//Pre-Hedge
rv.pre_hedge_params = new SpreaderLegContract.PreHedgeParams();
rv.pre_hedge_params.payless = null;
if (_checkbox_prehedge_payless.Checked) {
rv.pre_hedge_params.payless = new SpreaderLegContract.PreHedgeParams.PayLess();
rv.pre_hedge_params.payless.threshold = UInt32.Parse(_textbox_prehedge_payless_threshold.Text);
rv.pre_hedge_params.payless.payless_ticks =
UInt32.Parse(_textbox_prehedge_payless_paylessticks.Text);
}
rv.pre_hedge_params.payup = null;
if (_checkbox_prehedge_payup.Checked) {
rv.pre_hedge_params.payup = new SpreaderLegContract.PreHedgeParams.PayUp();
rv.pre_hedge_params.payup.threshold = UInt32.Parse(_textbox_prehedge_payup_threshold.Text);
rv.pre_hedge_params.payup.payup_ticks = UInt32.Parse(_textbox_prehedge_payup_payupticks.Text);
}
//Post-Hedge
rv.post_hedge_params = new SpreaderLegContract.PostHedgeParams();
rv.post_hedge_params.ticks_away_cross = null;
if (_checkbox_posthedge_ticksawaycross.Checked) {
rv.post_hedge_params.ticks_away_cross = new SpreaderLegContract.PostHedgeParams.TicksAwayCross();
rv.post_hedge_params.ticks_away_cross.threshold = UInt32.Parse(_textbox_posthedge_ticksawaycross_threshold.Text);
rv.post_hedge_params.ticks_away_cross.cross_ticks = UInt32.Parse(_textbox_posthedge_ticksawaycross_crossticks.Text);
}
rv.post_hedge_params.time_based_cross = null;
if (_checkbox_posthedge_timebasedcross.Checked) {
rv.post_hedge_params.time_based_cross = new SpreaderLegContract.PostHedgeParams.TimeBasedCross();
rv.post_hedge_params.time_based_cross.time_ms =
UInt32.Parse(_textbox_posthedge_timesbasedcross_timems.Text);
rv.post_hedge_params.time_based_cross.cross_ticks =
UInt32.Parse(_textbox_posthedge_timesbasedcross_crossticks.Text);
}
rv.post_hedge_params.size_based_cross = null;
if (_checkbox_posthedge_sizebasedcross.Checked) {
rv.post_hedge_params.size_based_cross = new SpreaderLegContract.PostHedgeParams.SizedBasedCross();
rv.post_hedge_params.size_based_cross.threshold = UInt32.Parse(_textbox_posthedge_sizebasedcross_threshold.Text);
rv.post_hedge_params.size_based_cross.cross_ticks = UInt32.Parse(_textbox_posthedge_sizebasedcross_crossticks.Text);
}
}
catch(Exception ex) {
return new ParsedUIData<SpreaderLegContract>(null, true, ex.Message);
}
return new ParsedUIData<SpreaderLegContract>(rv, false, String.Empty);
}
#endregion
public SpreaderLegContract get_contract() {
return null;
}
#region Checkbox Check Change Events
private void _checkbox_quote_showqty_CheckedChanged(object sender, EventArgs e) {
_textbox_quote_showqty_qty.Enabled = _checkbox_quote_showqty.Checked;
}
private void _checkbox_quote_throttle_CheckedChanged(object sender, EventArgs e) {
_textbox_quote_throttle_insideticks.Enabled = _checkbox_quote_throttle.Checked;
_textbox_quote_throttle_outsideticks.Enabled = _checkbox_quote_throttle.Checked;
}
private void _checkbox_quote_conditional_CheckedChanged(object sender, EventArgs e) {
_textbox_quote_conditional_ticks.Enabled = _checkbox_quote_conditional.Checked;
}
private void _checkbox_quote_insidemarketdistance_CheckedChanged(object sender, EventArgs e) {
_textbox_quote_insidemarketdistance_towarddistance.Enabled = _checkbox_quote_insidemarketdistance.Checked;
}
private void _checkbox_prehedge_payless_CheckedChanged(object sender, EventArgs e) {
_textbox_prehedge_payless_threshold.Enabled = _checkbox_prehedge_payless.Checked;
_textbox_prehedge_payless_paylessticks.Enabled = _checkbox_prehedge_payless.Checked;
}
private void _checkbox_prehedge_payup_CheckedChanged(object sender, EventArgs e) {
_textbox_prehedge_payup_threshold.Enabled = _checkbox_prehedge_payup.Checked;
_textbox_prehedge_payup_payupticks.Enabled = _checkbox_prehedge_payup.Checked;
}
private void _checkbox_posthedge_ticksawaycross_CheckedChanged(object sender, EventArgs e) {
_textbox_posthedge_ticksawaycross_threshold.Enabled = _checkbox_posthedge_ticksawaycross.Checked;
_textbox_posthedge_ticksawaycross_crossticks.Enabled = _checkbox_posthedge_ticksawaycross.Checked;
}
private void _checkbox_posthedge_timebasedcross_CheckedChanged(object sender, EventArgs e) {
_textbox_posthedge_timesbasedcross_timems.Enabled = _checkbox_posthedge_timebasedcross.Checked;
_textbox_posthedge_timesbasedcross_crossticks.Enabled = _checkbox_posthedge_timebasedcross.Checked;
}
private void _checkbox_posthedge_sizebasedcross_CheckedChanged(object sender, EventArgs e) {
_textbox_posthedge_sizebasedcross_threshold.Enabled = _checkbox_posthedge_sizebasedcross.Checked;
_textbox_posthedge_sizebasedcross_crossticks.Enabled = _checkbox_posthedge_sizebasedcross.Checked;
}
#endregion
}
}
@@ -0,0 +1,60 @@
<root>
<xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
<xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
<xsd:element name="root" msdata:IsDataSet="true">
<xsd:complexType>
<xsd:choice maxOccurs="unbounded">
<xsd:element name="metadata">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" />
</xsd:sequence>
<xsd:attribute name="name" use="required" type="xsd:string" />
<xsd:attribute name="type" type="xsd:string" />
<xsd:attribute name="mimetype" type="xsd:string" />
<xsd:attribute ref="xml:space" />
</xsd:complexType>
</xsd:element>
<xsd:element name="assembly">
<xsd:complexType>
<xsd:attribute name="alias" type="xsd:string" />
<xsd:attribute name="name" type="xsd:string" />
</xsd:complexType>
</xsd:element>
<xsd:element name="data">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
<xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
</xsd:sequence>
<xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
<xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
<xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
<xsd:attribute ref="xml:space" />
</xsd:complexType>
</xsd:element>
<xsd:element name="resheader">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
</xsd:sequence>
<xsd:attribute name="name" type="xsd:string" use="required" />
</xsd:complexType>
</xsd:element>
</xsd:choice>
</xsd:complexType>
</xsd:element>
</xsd:schema>
<resheader name="resmimetype">
<value>text/microsoft-resx</value>
</resheader>
<resheader name="version">
<value>2.0</value>
</resheader>
<resheader name="reader">
<value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
</resheader>
<resheader name="writer">
<value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
</resheader>
</root>
@@ -0,0 +1,152 @@
using System.Windows.Forms;
namespace SpreaderFrontEnd
{
partial class MainSpreaderForm
{
/// <summary>
/// Required designer variable.
/// </summary>
private System.ComponentModel.IContainer components = null;
/// <summary>
/// Clean up any resources being used.
/// </summary>
/// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
protected override void Dispose(bool disposing)
{
if (disposing && (components != null))
{
components.Dispose();
}
base.Dispose(disposing);
}
#region Windows Form Designer generated code
/// <summary>
/// Required method for Designer support - do not modify
/// the contents of this method with the code editor.
/// </summary>
private void InitializeComponent()
{
this._button_ok = new System.Windows.Forms.Button();
this._button_cancel = new System.Windows.Forms.Button();
this._label_spreader_name = new System.Windows.Forms.Label();
this._textbox_spreader_name = new System.Windows.Forms.TextBox();
this._legcontrol1 = new SpreaderFrontEnd.LegControl();
this._legcontrol2 = new SpreaderFrontEnd.LegControl();
this._legcontrol3 = new SpreaderFrontEnd.LegControl();
this._legcontrol4 = new SpreaderFrontEnd.LegControl();
this._legcontrol5 = new SpreaderFrontEnd.LegControl();
this.SuspendLayout();
//
// _button_ok
//
this._button_ok.Location = new System.Drawing.Point(1231, 1306);
this._button_ok.Name = "_button_ok";
this._button_ok.Size = new System.Drawing.Size(120, 33);
this._button_ok.TabIndex = 4;
this._button_ok.Text = "OK";
this._button_ok.UseVisualStyleBackColor = false;
this._button_ok.Click += new System.EventHandler(this._button_ok_Click);
//
// _button_cancel
//
this._button_cancel.Location = new System.Drawing.Point(1380, 1306);
this._button_cancel.Name = "_button_cancel";
this._button_cancel.Size = new System.Drawing.Size(121, 33);
this._button_cancel.TabIndex = 5;
this._button_cancel.Text = "Cancel";
this._button_cancel.UseVisualStyleBackColor = false;
this._button_cancel.Click += new System.EventHandler(this._button_cancel_Click);
//
// _label_spreader_name
//
this._label_spreader_name.AutoSize = true;
this._label_spreader_name.Location = new System.Drawing.Point(22, 28);
this._label_spreader_name.Name = "_label_spreader_name";
this._label_spreader_name.Size = new System.Drawing.Size(88, 15);
this._label_spreader_name.TabIndex = 6;
this._label_spreader_name.Text = "Spreader Name";
//
// _textbox_spreader_name
//
this._textbox_spreader_name.Location = new System.Drawing.Point(116, 25);
this._textbox_spreader_name.Name = "_textbox_spreader_name";
this._textbox_spreader_name.Size = new System.Drawing.Size(343, 23);
this._textbox_spreader_name.TabIndex = 0;
//
// _legcontrol1
//
this._legcontrol1.BackColor = System.Drawing.Color.White;
this._legcontrol1.Location = new System.Drawing.Point(22, 67);
this._legcontrol1.Name = "_legcontrol1";
this._legcontrol1.Size = new System.Drawing.Size(291, 1220);
this._legcontrol1.TabIndex = 1;
//
// _legcontrol2
//
this._legcontrol2.BackColor = System.Drawing.Color.White;
this._legcontrol2.Location = new System.Drawing.Point(319, 67);
this._legcontrol2.Name = "_legcontrol2";
this._legcontrol2.Size = new System.Drawing.Size(291, 1220);
this._legcontrol2.TabIndex = 2;
//
// _legcontrol3
//
this._legcontrol3.BackColor = System.Drawing.Color.White;
this._legcontrol3.Location = new System.Drawing.Point(616, 67);
this._legcontrol3.Name = "_legcontrol3";
this._legcontrol3.Size = new System.Drawing.Size(291, 1220);
this._legcontrol3.TabIndex = 3;
//
// _legcontrol4
//
this._legcontrol4.BackColor = System.Drawing.Color.White;
this._legcontrol4.Location = new System.Drawing.Point(913, 67);
this._legcontrol4.Name = "_legcontrol4";
this._legcontrol4.Size = new System.Drawing.Size(291, 1220);
this._legcontrol4.TabIndex = 4;
//
// _legcontrol5
//
this._legcontrol5.BackColor = System.Drawing.Color.White;
this._legcontrol5.Location = new System.Drawing.Point(1210, 67);
this._legcontrol5.Name = "_legcontrol5";
this._legcontrol5.Size = new System.Drawing.Size(291, 1220);
this._legcontrol5.TabIndex = 5;
//
// MainSpreaderForm
//
this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
this.ClientSize = new System.Drawing.Size(1517, 1363);
this.Controls.Add(this._legcontrol5);
this.Controls.Add(this._legcontrol4);
this.Controls.Add(this._legcontrol3);
this.Controls.Add(this._legcontrol2);
this.Controls.Add(this._legcontrol1);
this.Controls.Add(this._textbox_spreader_name);
this.Controls.Add(this._label_spreader_name);
this.Controls.Add(this._button_cancel);
this.Controls.Add(this._button_ok);
this.Name = "MainSpreaderForm";
this.Text = "MainSpreaderForm";
this.ResumeLayout(false);
this.PerformLayout();
}
#endregion
private Button _button_ok;
private Button _button_cancel;
private Label _label_spreader_name;
private TextBox _textbox_spreader_name;
private LegControl _legcontrol1;
private LegControl _legcontrol2;
private LegControl _legcontrol3;
private LegControl _legcontrol4;
private LegControl _legcontrol5;
}
}
@@ -0,0 +1,81 @@
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows.Forms;
namespace SpreaderFrontEnd {
// This is the main UI widget. It is passed a list of securities and a SpreaderContract.
// The SpreaderContract can be empty (which will be the case when creating a new spreader).
// It has 3 public facing members (other than the constructor),
// 2 events that tell whether OK or Cancel was hit, respectively,
// and get_spreader_contract that returns a ParsedUIData<SpreaderContract>
public partial class MainSpreaderForm : Form {
private IEnumerable<LegControl> _leg_controls;
public Action on_OK = () => { };
public Action on_cancel = () => { };
private readonly IEnumerable<string> _securities;
private SpreaderContract _spreader_contract;
public MainSpreaderForm(IEnumerable<string> securities,
SpreaderContract spreader_contract)
: base() {
InitializeComponent();
_leg_controls = new LegControl[] { _legcontrol1, _legcontrol2, _legcontrol3, _legcontrol4, _legcontrol5 };
_securities = securities;
System.Diagnostics.Debug.Assert(spreader_contract != null);
// System.Diagnostics.Debug.Assert(spreader_contract.spread_legs.Count() == SpreaderContract.max_nlegs);
_spreader_contract = spreader_contract;
_textbox_spreader_name.Text = _spreader_contract.name;
for (var i = 0; i < _leg_controls.Count(); i++) {
SpreaderLegContract? lc = i < _spreader_contract.spread_legs.Count() ?
_spreader_contract.spread_legs.ElementAt(i) : null;
_leg_controls.ElementAt(i).initialize(securities, lc);
}
}
public ParsedUIData<SpreaderContract> get_spreader_contract() {
if (String.IsNullOrEmpty(_textbox_spreader_name.Text)) {
return new ParsedUIData<SpreaderContract>(null, true, "Spreader name is not set");
}
List<SpreaderLegContract> leg_contracts = new List<SpreaderLegContract>();
uint i = 0;
foreach (LegControl lc in _leg_controls) {
i++;
var leg_res = lc.get_data();
if (leg_res.is_error) {
return new ParsedUIData<SpreaderContract>(null, true, $"Leg: {i} is not set correctly");
}
leg_contracts.Add(leg_res.ui_data);
}
IEnumerable<SpreaderLegContract> leg_contracts_rv =
leg_contracts.Where(l => !String.IsNullOrEmpty(l.security));
if (leg_contracts_rv.Count() <= 1) {
return new ParsedUIData<SpreaderContract>(
null, true, "Spreader needs at least 2 legs");
}
// check the number of legs
return new ParsedUIData<SpreaderContract>(
new SpreaderContract(_textbox_spreader_name.Text, leg_contracts_rv), false, String.Empty);
}
private void _button_ok_Click(object sender, EventArgs e) {
ParsedUIData<SpreaderContract> ui_data = get_spreader_contract();
if (ui_data.is_error) {
string err_txt = $"The following error happened \n{ui_data.error_txt}";
System.Windows.Forms.MessageBox.Show(err_txt, "Spreader Error", MessageBoxButtons.OK, MessageBoxIcon.Error);
return;
}
on_OK();
}
private void _button_cancel_Click(object sender, EventArgs e) {
on_cancel();
}
}
}
@@ -0,0 +1,60 @@
<root>
<xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
<xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
<xsd:element name="root" msdata:IsDataSet="true">
<xsd:complexType>
<xsd:choice maxOccurs="unbounded">
<xsd:element name="metadata">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" />
</xsd:sequence>
<xsd:attribute name="name" use="required" type="xsd:string" />
<xsd:attribute name="type" type="xsd:string" />
<xsd:attribute name="mimetype" type="xsd:string" />
<xsd:attribute ref="xml:space" />
</xsd:complexType>
</xsd:element>
<xsd:element name="assembly">
<xsd:complexType>
<xsd:attribute name="alias" type="xsd:string" />
<xsd:attribute name="name" type="xsd:string" />
</xsd:complexType>
</xsd:element>
<xsd:element name="data">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
<xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
</xsd:sequence>
<xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
<xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
<xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
<xsd:attribute ref="xml:space" />
</xsd:complexType>
</xsd:element>
<xsd:element name="resheader">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
</xsd:sequence>
<xsd:attribute name="name" type="xsd:string" use="required" />
</xsd:complexType>
</xsd:element>
</xsd:choice>
</xsd:complexType>
</xsd:element>
</xsd:schema>
<resheader name="resmimetype">
<value>text/microsoft-resx</value>
</resheader>
<resheader name="version">
<value>2.0</value>
</resheader>
<resheader name="reader">
<value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
</resheader>
<resheader name="writer">
<value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
</resheader>
</root>
@@ -0,0 +1,20 @@
namespace SpreaderFrontEnd {
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
public class ParsedUIData<T> {
public readonly T ui_data;
public readonly bool is_error;
public readonly string error_txt;
public ParsedUIData(T ui_data, bool is_error, string error_txt) {
this.ui_data = ui_data;
this.is_error = is_error;
this.error_txt = error_txt;
}
}
}
@@ -0,0 +1,18 @@
using System;
using System.Windows.Forms;
namespace SpreaderFrontEnd {
internal static class Program {
/// <summary>
/// The main entry point for the application.
/// </summary>
[STAThread]
static void Main() {
SyntheticBookTest.run();
// To customize application configuration such as set high DPI settings or default font,
// see https://aka.ms/applicationconfiguration.
ApplicationConfiguration.Initialize();
Application.Run(new TestForm());
}
}
}
@@ -0,0 +1,35 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace SpreaderFrontEnd
{
[Serializable]
// Represents a spreader contract (anologous ot the protobuf on the C++ side)
// We could have generated managed wrappers from the protobuf, but we did not want
// to make your build process complicated hence opted for this class.
// It is quite simply a wrapper around an enumeration of SpreaderLegContract
public class SpreaderContract
{
public static uint max_nlegs = 5;
public string name = String.Empty;
public IList<SpreaderLegContract> spread_legs = new List<SpreaderLegContract>();
public SpreaderContract(string name, IEnumerable<SpreaderLegContract> spread_legs)
{
this.name = name;
this.spread_legs = spread_legs.ToList();
}
public static SpreaderContract empty
{
get
{
return new SpreaderContract("UNNAMED",
Enumerable.Repeat<SpreaderLegContract>(new SpreaderLegContract(), 5));
}
}
}
}
@@ -0,0 +1,11 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<OutputType>WinExe</OutputType>
<TargetFramework>net6.0-windows</TargetFramework>
<Nullable>enable</Nullable>
<UseWindowsForms>true</UseWindowsForms>
<LanguageVersion>7</LanguageVersion>
</PropertyGroup>
</Project>
@@ -0,0 +1,90 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace SpreaderFrontEnd
{
[Serializable]
// Represents a single leg of the spreader. It is made up of
// 1. a main section consisting of the security, qty, price mult etc
// 2. Quote parameters
// 3. Pre-Hedge parameters
// 4. Post-Hedge parameters
// It maps pretty directly to the UI (LegControl)
public class SpreaderLegContract
{
public enum MDType {
Direct = 0,
Merged = 1,
}
public string security = String.Empty;
public int qty = 1;
public double price_mult = 1;
public bool enable_quoting = false;
public double lean_qty_factor = 1;
public MDType md_type = MDType.Direct;
public QuoteParams quote_params = new QuoteParams();
public PreHedgeParams pre_hedge_params = new PreHedgeParams();
public PostHedgeParams post_hedge_params = new PostHedgeParams();
public class QuoteParams
{
public class ShowQty {
public UInt32 show_qty = 1;
}
public class Throttle {
public UInt32 inside_ticks = 0;
public UInt32 outside_ticks = 0;
}
public class Conditional {
public Int32 ticks = 0;
}
public class InsideMarketDistance {
public UInt32 toward_distance = 0;
}
public UInt32 qho_length = 0;
public ShowQty? show_qty = null;
public Throttle? throttle = null;
public Conditional? conditional = null;
public InsideMarketDistance? inside_market_distance = null;
}
public class PreHedgeParams
{
public class PayLess {
public UInt32 threshold = 0;
public UInt32 payless_ticks = 0;
}
public class PayUp
{
public UInt32 threshold = 0;
public UInt32 payup_ticks = 0;
}
public PayLess? payless = null;
public PayUp? payup = null;
}
public class PostHedgeParams
{
public class TicksAwayCross {
public UInt32 threshold = 0;
public UInt32 cross_ticks = 0;
}
public class TimeBasedCross {
public UInt32 time_ms = 0;
public UInt32 cross_ticks = 0;
}
public class SizedBasedCross {
public UInt32 threshold = 0;
public UInt32 cross_ticks = 0;
}
public TicksAwayCross? ticks_away_cross = null;
public TimeBasedCross? time_based_cross = null;
public SizedBasedCross? size_based_cross = null;
}
}
}
+79
View File
@@ -0,0 +1,79 @@
using System.Windows.Forms;
namespace SpreaderFrontEnd
{
partial class TestForm
{
/// <summary>
/// Required designer variable.
/// </summary>
private System.ComponentModel.IContainer components = null;
/// <summary>
/// Clean up any resources being used.
/// </summary>
/// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
protected override void Dispose(bool disposing)
{
if (disposing && (components != null))
{
components.Dispose();
}
base.Dispose(disposing);
}
#region Windows Form Designer generated code
/// <summary>
/// Required method for Designer support - do not modify
/// the contents of this method with the code editor.
/// </summary>
private void InitializeComponent()
{
this._button_launch_new = new System.Windows.Forms.Button();
this._button_load_existing = new System.Windows.Forms.Button();
this.SuspendLayout();
//
// _button_launch_new
//
this._button_launch_new.Location = new System.Drawing.Point(96, 46);
this._button_launch_new.Name = "_button_launch_new";
this._button_launch_new.Size = new System.Drawing.Size(169, 26);
this._button_launch_new.TabIndex = 0;
this._button_launch_new.Text = "Launch New";
this._button_launch_new.UseVisualStyleBackColor = true;
this._button_launch_new.Click += new System.EventHandler(this._button_launch_new_Click);
//
// _button_load_existing
//
this._button_load_existing.Location = new System.Drawing.Point(96, 114);
this._button_load_existing.Name = "_button_load_existing";
this._button_load_existing.Size = new System.Drawing.Size(169, 26);
this._button_load_existing.TabIndex = 1;
this._button_load_existing.Text = "Load Existing";
this._button_load_existing.UseVisualStyleBackColor = true;
this._button_load_existing.Click += new System.EventHandler(this._button_load_existing_Click);
//
// TestForm
//
this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
this.ClientSize = new System.Drawing.Size(371, 213);
this.Controls.Add(this._button_load_existing);
this.Controls.Add(this._button_launch_new);
this.FormBorderStyle = System.Windows.Forms.FormBorderStyle.FixedSingle;
this.MaximizeBox = false;
this.MinimizeBox = false;
this.Name = "TestForm";
this.SizeGripStyle = System.Windows.Forms.SizeGripStyle.Hide;
this.Text = "Test Launcher";
this.ResumeLayout(false);
}
#endregion
private Button _button_launch_new;
private Button _button_load_existing;
}
}
@@ -0,0 +1,91 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Windows.Forms;
namespace SpreaderFrontEnd {
// Test class that demostrates how to use the MainSpreaderForm.
// It has 2 buttons. "Launch New" launches a brand new spreader (empty UI)
// while "Launch Existing" loads the MainSpreaderForm with an existing
// spreader (hard coded arbitrary values)
public partial class TestForm : Form {
private IEnumerable<string> _securities = new string[] {
"ZCG23",
"ZCH23",
"ZCJ23",
"ZCL23",
"ZCM23"
};
public TestForm() {
InitializeComponent();
}
private void _button_launch_new_Click(object sender, EventArgs e) {
_show_form(SpreaderContract.empty);
}
private void _button_load_existing_Click(object sender, EventArgs e) {
var sc = _generate_test_contract();
_show_form(sc);
}
private void _show_form(SpreaderContract spreader_contract) {
MainSpreaderForm f = new MainSpreaderForm(_securities, spreader_contract);
f.on_OK = () => {
MessageBox.Show("Received OK", "OK", MessageBoxButtons.OK, MessageBoxIcon.Information);
f.Close();
};
f.on_cancel = () => {
MessageBox.Show("Received Cancel", "Cancel", MessageBoxButtons.OK, MessageBoxIcon.Warning);
f.Close();
};
f.ShowDialog();
}
private SpreaderContract _generate_test_contract() {
List<SpreaderLegContract> lcs = new List<SpreaderLegContract>();
for (uint i = 0; i < 3; i++) {
SpreaderLegContract lc = _generate_test_leg_contract(i);
lcs.Add(lc);
}
SpreaderContract sc = new SpreaderContract("TEST SPREADER", lcs);
return sc;
}
private SpreaderLegContract _generate_test_leg_contract(uint idx) {
SpreaderLegContract rv = new SpreaderLegContract();
rv.security = _securities.ElementAt(0);
rv.qty = 1;
rv.price_mult = 1;
rv.enable_quoting = true;
rv.lean_qty_factor = 2;
rv.md_type = SpreaderLegContract.MDType.Merged;
// quote
rv.quote_params = new SpreaderLegContract.QuoteParams();
rv.quote_params.qho_length = 0;
rv.quote_params.show_qty = new SpreaderLegContract.QuoteParams.ShowQty();
rv.quote_params.show_qty.show_qty = 10;
rv.quote_params.throttle = new SpreaderLegContract.QuoteParams.Throttle();
rv.quote_params.throttle.inside_ticks = 3;
rv.quote_params.throttle.outside_ticks = 2;
// pre hedge
rv.pre_hedge_params = new SpreaderLegContract.PreHedgeParams();
rv.pre_hedge_params.payless = new SpreaderLegContract.PreHedgeParams.PayLess();
rv.pre_hedge_params.payless.threshold = 1000;
rv.pre_hedge_params.payless.payless_ticks = 7;
rv.pre_hedge_params.payup = new SpreaderLegContract.PreHedgeParams.PayUp();
rv.pre_hedge_params.payup.threshold = 500;
rv.pre_hedge_params.payup.payup_ticks = 12;
// post hedge
rv.post_hedge_params = new SpreaderLegContract.PostHedgeParams();
rv.post_hedge_params.ticks_away_cross = new SpreaderLegContract.PostHedgeParams.TicksAwayCross();
rv.post_hedge_params.ticks_away_cross.threshold = 10;
rv.post_hedge_params.ticks_away_cross.cross_ticks = 3;
rv.post_hedge_params.time_based_cross = new SpreaderLegContract.PostHedgeParams.TimeBasedCross();
rv.post_hedge_params.time_based_cross.time_ms = 20;
rv.post_hedge_params.time_based_cross.cross_ticks = 5;
return rv;
}
}
};
@@ -0,0 +1,60 @@
<root>
<xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
<xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
<xsd:element name="root" msdata:IsDataSet="true">
<xsd:complexType>
<xsd:choice maxOccurs="unbounded">
<xsd:element name="metadata">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" />
</xsd:sequence>
<xsd:attribute name="name" use="required" type="xsd:string" />
<xsd:attribute name="type" type="xsd:string" />
<xsd:attribute name="mimetype" type="xsd:string" />
<xsd:attribute ref="xml:space" />
</xsd:complexType>
</xsd:element>
<xsd:element name="assembly">
<xsd:complexType>
<xsd:attribute name="alias" type="xsd:string" />
<xsd:attribute name="name" type="xsd:string" />
</xsd:complexType>
</xsd:element>
<xsd:element name="data">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
<xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
</xsd:sequence>
<xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
<xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
<xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
<xsd:attribute ref="xml:space" />
</xsd:complexType>
</xsd:element>
<xsd:element name="resheader">
<xsd:complexType>
<xsd:sequence>
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
</xsd:sequence>
<xsd:attribute name="name" type="xsd:string" use="required" />
</xsd:complexType>
</xsd:element>
</xsd:choice>
</xsd:complexType>
</xsd:element>
</xsd:schema>
<resheader name="resmimetype">
<value>text/microsoft-resx</value>
</resheader>
<resheader name="version">
<value>2.0</value>
</resheader>
<resheader name="reader">
<value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
</resheader>
<resheader name="writer">
<value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
</resheader>
</root>
@@ -0,0 +1,230 @@
using System;
using System.Diagnostics;
using System.Collections.Generic;
using System.Linq;
namespace SpreaderFrontEnd {
public static class SyntheticBookTest {
/// <summary>
/// Run synthetic book computation tests
/// </summary>
public static int run() {
// Seed the test with a standard butterfly spread. Leg size multipliers will be applied to
// each leg to generate more variations to test.
var legs = new List<SpreaderLegContract> {
new SpreaderLegContract() {
security = "Leg1Sec",
qty = 1
},
new SpreaderLegContract() {
security = "Leg2Sec",
qty = -2
},
new SpreaderLegContract() {
security = "Leg3Sec",
qty = 1
}
};
var leg_multipliers = new List<int> { 1, -1, 2, -2, 3, -3 };
var contract = new SpreaderContract("Test", legs);
// Define a book (seed) for each leg. Quantities will be added to each price level for each
// leg's book to generate more variations to test.
var leg1_book = new Book(
bids: new BookSide(levels: new List<PriceLevel> {
new PriceLevel(price: 3, qty: 10),
new PriceLevel(price: 2, qty: 4),
new PriceLevel(price: 1, qty: 6)
}),
asks: new BookSide(levels: new List<PriceLevel> {
new PriceLevel(price: 4, qty: 5),
new PriceLevel(price: 5, qty: 7),
new PriceLevel(price: 6, qty: 8)
}));
var leg2_book = new Book(
bids: new BookSide(levels: new List<PriceLevel> {
new PriceLevel(price: 3, qty: 1),
new PriceLevel(price: 2, qty: 7),
new PriceLevel(price: 1, qty: 2)
}),
asks: new BookSide(levels: new List<PriceLevel> {
new PriceLevel(price: 4, qty: 3),
new PriceLevel(price: 5, qty: 3),
new PriceLevel(price: 6, qty: 5)
}));
var leg3_book = new Book(
bids: new BookSide(levels: new List<PriceLevel> {
new PriceLevel(price: 3, qty: 2),
new PriceLevel(price: 2, qty: 1),
new PriceLevel(price: 1, qty: 8)
}),
asks: new BookSide(levels: new List<PriceLevel> {
new PriceLevel(price: 4, qty: 4),
new PriceLevel(price: 5, qty: 3),
new PriceLevel(price: 6, qty: 4)
}));
var level_qty_additions = new List<uint> { 1, 2, 3, 4 };
var leg_books = new List<Book> { leg1_book, leg2_book, leg3_book };
for (int i = 0; i < leg_multipliers.Count; i++) {
var leg_mult = leg_multipliers[i];
for (int j = 0; j < contract.spread_legs.Count; j++) {
// Apply leg mult
contract.spread_legs[j].qty *= leg_mult;
foreach (var lqa in level_qty_additions) {
foreach(var lb in leg_books) {
// Apply qty addition to bid-levels
for (int level_idx = 0; level_idx < lb.bids.levels.Count; level_idx++) {
var orig_level = lb.bids.levels[level_idx];
lb.bids.levels[level_idx] = orig_level.add_qty(lqa);
run(leg_books, contract);
// Subtract the qty that was just added so each qty addition is applied to
// the original level
lb.bids.levels[level_idx] = lb.bids.levels[level_idx].subtract_qty(lqa);
}
// Apply qty additions to ask-levels
for (int level_idx = 0; level_idx < lb.asks.levels.Count; level_idx++) {
var orig_level = lb.asks.levels[level_idx];
lb.asks.levels[level_idx] = orig_level.add_qty(lqa);
run(leg_books, contract);
// Subtract the qty that was just added so each qty addition is applied to
// the original level
lb.asks.levels[level_idx] = lb.asks.levels[level_idx].subtract_qty(lqa);
}
}
}
// Divide by leg_mult so the each mult is applied to the original leg
contract.spread_legs[j].qty /= leg_mult;
}
}
return 0;
}
public static void run(List<Book> leg_books, SpreaderContract contract) {
var synth_book = SpreaderBookCalculator.compute_spreader_book(contract, leg_books);
for (int i = 0; i < contract.spread_legs.Count; i++) {
Console.WriteLine($"Leg{i} (qty {contract.spread_legs[i].qty}): {leg_books[i]}");
}
Console.WriteLine($"Synthetic Book: {synth_book}");
var leg_book_tups = _to_leg_book_tuples(leg_books, contract);
var expected_book = _compute_synth_book(leg_book_tups);
Console.WriteLine($"Expected Book: {expected_book}");
Debug.Assert(expected_book.Equals(synth_book));
}
static List<Tuple<Book, int>> _to_leg_book_tuples(List<Book> leg_books, SpreaderContract contract) {
Debug.Assert(leg_books.Count == contract.spread_legs.Count);
var rv = new List<Tuple<Book, int>>();
for (int i = 0; i < leg_books.Count; i++) {
rv.Add(Tuple.Create(leg_books[i], contract.spread_legs[i].qty));
}
return rv;
}
static List<Tuple<BookSide, int>> _to_leg_book_side_tuples(List<Tuple<Book, int>> leg_books, bool is_bid) {
var leg_book_tups = new List<Tuple<BookSide, int>>();
for (int i = 0; i < leg_books.Count; i++) {
var leg_size = leg_books[i].Item2;
var leg_book = leg_books[i].Item1;
var is_buy_leg = leg_size > 0;
var leg_book_side = is_buy_leg == is_bid ? leg_book.bids : leg_book.asks;
leg_book_tups.Add(Tuple.Create(leg_book_side, leg_size));
}
return leg_book_tups;
}
static Book _compute_synth_book(List<Tuple<Book, int>> leg_books) {
var leg_bids = _to_leg_book_side_tuples(leg_books, true);
var leg_asks = _to_leg_book_side_tuples(leg_books, false);
var synth_bids = _compute_synth_book_side(leg_bids);
var synth_asks = _compute_synth_book_side(leg_asks);
return new Book(synth_bids, synth_asks);
}
// <summary>
// Computes the synthetic book in a simple/unoptimized way, to ensure correctness. Books
// generated by the 'optimized' routine, which will be used in practice, should match those
// generated by this one.
// </summary>
static BookSide _compute_synth_book_side(IEnumerable<Tuple<BookSide, int>> leg_books) {
// Clone the books so we can mutate them without changing the input 'leg_books'
var leg_books_list = leg_books.Select(lb => Tuple.Create(lb.Item1.Clone(), lb.Item2)).ToList();
var levels = new List<PriceLevel>();
var top_level = _get_top_level(leg_books_list);
while (top_level.qty > 0) {
levels.Add(top_level);
foreach (var lb in leg_books_list) {
_remove_qty_from_top(lb.Item1, (int)(top_level.qty * Math.Abs(lb.Item2)));
}
top_level = _get_top_level(leg_books_list);
}
return new BookSide(levels);
}
static PriceLevel _get_top_level(IEnumerable<Tuple<BookSide, int>> leg_books) {
var leg_sizes = leg_books.Select(lb => lb.Item2).ToList();
var top_levels = leg_books.Select(_get_top_level).ToList();
var qty = top_levels.Select(l => l.qty).Min();
if (qty == 0) {
return PriceLevel.empty;
}
double price = 0;
for (int i = 0; i < top_levels.Count; i++) {
var leg_price = top_levels[i].price;
var leg_size = leg_sizes[i];
if (leg_size < 0) {
price -= leg_price;
} else {
price += leg_price;
}
}
return new PriceLevel(price, qty);
}
static PriceLevel _get_top_level(Tuple<BookSide, int> leg_book) {
return _get_top_level(leg_book.Item1, leg_book.Item2);
}
static PriceLevel _get_top_level(BookSide book, int leg_size) {
if (book.levels.Count == 0) {
return PriceLevel.empty;
}
var first_level = book.levels.First();
var abs_leg_size = Math.Abs(leg_size);
if (first_level.qty >= abs_leg_size) {
return new PriceLevel(first_level.price * abs_leg_size, (uint)(first_level.qty / abs_leg_size));
}
double price = first_level.qty * first_level.price;
var qty_rem = abs_leg_size - first_level.qty;
for (int i = 1; i < book.levels.Count; i++) {
var level = book.levels[i];
if (level.qty >= qty_rem) {
price += qty_rem * level.price;
return new PriceLevel(price, 1);
}
price += level.qty * level.price;
qty_rem -= level.qty;
}
return PriceLevel.empty;
}
/// <summary>
/// Removes the specified quantity from the top of the book
/// </summary>
static void _remove_qty_from_top(BookSide book, int qty) {
var subtracted_qty = 0;
while (subtracted_qty < qty && book.levels.Count > 0) {
var first_level = book.levels[0];
var qty_to_subtract = qty - subtracted_qty;
if (first_level.qty > qty_to_subtract) {
first_level = first_level.subtract_qty((uint)qty_to_subtract);
book.levels[0] = first_level;
return;
}
book.levels.RemoveAt(0);
subtracted_qty += (int)first_level.qty;
}
}
}
}
@@ -0,0 +1,78 @@
using System;
using System.Reflection;
using System.Runtime.Serialization.Formatters.Binary;
using System.IO;
namespace SpreaderFrontEnd
{
public class Utils
{
public static void bin_serialize<T>(T t, Stream str)
{
#pragma warning disable SYSLIB0011
BinaryFormatter bf = new BinaryFormatter();
bf.Serialize(str, t);
#pragma warning restore SYSLIB0011
}
public static T bin_deserialize<T>(Stream str)
{
#pragma warning disable SYSLIB0011
BinaryFormatter bf = new BinaryFormatter();
T rv = (T)bf.Deserialize(str);
#pragma warning restore SYSLIB0011
return rv;
}
public static T? basic_deep_clone<T>(T t)
{
try
{
MemoryStream str = new MemoryStream();
bin_serialize(t, str);
str.Position = 0;
return bin_deserialize<T>(str);
}
catch
{
return default(T);
}
}
public static object? CloneObject(object objSource)
{
//step : 1 Get the type of source object and create a new instance of that type
Type typeSource = objSource.GetType();
object? objTarget = Activator.CreateInstance(typeSource);
//Step2 : Get all the properties of source object type
PropertyInfo[] propertyInfo = typeSource.GetProperties(BindingFlags.Public | BindingFlags.NonPublic | BindingFlags.Instance);
//Step : 3 Assign all source property to taget object 's properties
foreach (PropertyInfo property in propertyInfo)
{
//Check whether property can be written to
if (property.CanWrite)
{
//Step : 4 check whether property type is value type, enum or string type
if (property.PropertyType.IsValueType || property.PropertyType.IsEnum || property.PropertyType.Equals(typeof(System.String)))
{
property.SetValue(objTarget, property.GetValue(objSource, null), null);
}
//else property type is object/complex types, so need to recursively call this method until the end of the tree is reached
else
{
object? objPropertyValue = property.GetValue(objSource, null);
if (objPropertyValue == null)
{
property.SetValue(objTarget, null, null);
}
else
{
property.SetValue(objTarget, CloneObject(objPropertyValue), null);
}
}
}
}
return objTarget;
}
}
}
@@ -0,0 +1,23 @@
{
"runtimeTarget": {
"name": ".NETCoreApp,Version=v6.0",
"signature": ""
},
"compilationOptions": {},
"targets": {
".NETCoreApp,Version=v6.0": {
"SpreaderFrontEnd/1.0.0": {
"runtime": {
"SpreaderFrontEnd.dll": {}
}
}
}
},
"libraries": {
"SpreaderFrontEnd/1.0.0": {
"type": "project",
"serviceable": false,
"sha512": ""
}
}
}
@@ -0,0 +1,15 @@
{
"runtimeOptions": {
"tfm": "net6.0",
"frameworks": [
{
"name": "Microsoft.NETCore.App",
"version": "6.0.0"
},
{
"name": "Microsoft.WindowsDesktop.App",
"version": "6.0.0"
}
]
}
}
-7
View File
@@ -1,7 +0,0 @@
include_guard(GLOBAL)
macro(export_to_parent)
foreach(var IN ITEMS ${ARGN})
set(${var} ${${var}} PARENT_SCOPE)
endforeach()
endmacro()
-48
View File
@@ -1,48 +0,0 @@
include_guard(GLOBAL)
function(get_version_from_git)
find_package(Git QUIET)
if(NOT Git_FOUND)
message(WARNING "Git not found")
return()
endif()
execute_process(
COMMAND ${GIT_EXECUTABLE} describe --tags --always
WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
OUTPUT_VARIABLE GIT_TAG
OUTPUT_STRIP_TRAILING_WHITESPACE
RESULT_VARIABLE GIT_RESULT
)
if(NOT GIT_RESULT EQUAL 0)
message(WARNING "Failed to get git tag")
return()
endif()
execute_process(
COMMAND ${GIT_EXECUTABLE} rev-parse --short=7 HEAD
WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
OUTPUT_VARIABLE GIT_COMMIT_SHORT_HASH
OUTPUT_STRIP_TRAILING_WHITESPACE
)
set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH})
set(PROJECT_VERSION_BUILD_METADATA ${GIT_COMMIT_SHORT_HASH} PARENT_SCOPE)
string(REGEX REPLACE "^v" "" CLEAN_TAG "${GIT_TAG}")
if(CLEAN_TAG MATCHES "^([0-9]+)\\.([0-9]+)\\.([0-9]+)(-.*)?$")
set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1})
set(PROJECT_VERSION_MAJOR ${CMAKE_MATCH_1} PARENT_SCOPE)
set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2})
set(PROJECT_VERSION_MINOR ${CMAKE_MATCH_2} PARENT_SCOPE)
set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3})
set(PROJECT_VERSION_PATCH ${CMAKE_MATCH_3} PARENT_SCOPE)
set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}")
set(PROJECT_VERSION "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}" PARENT_SCOPE)
set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}")
set(PROJECT_VERSION_FULL "${CMAKE_MATCH_1}.${CMAKE_MATCH_2}.${CMAKE_MATCH_3}+${GIT_COMMIT_SHORT_HASH}" PARENT_SCOPE)
else()
message(WARNING "Tag '${CLEAN_TAG}' does not match semver format")
endif()
endfunction()
-142
View File
@@ -1,142 +0,0 @@
include_guard(DIRECTORY)
include(${CMAKE_SOURCE_DIR}/cmake/ExportToParent.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/InstallBasic.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/ProtobufGenerateCpp.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/safe_dep_glob.cmake)
function(init_library)
set(_options SHARED STATIC)
set(_one_value_args
NAME
SOURCE_DIR
INCLUDE_DIR
)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
if (_ARGS_SHARED AND _ARGS_STATIC)
message(FATAL_ERROR "Invalid args passed to init_library: cannot specify STATIC and SHARED")
endif()
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set_first_defined(_source_dir _ARGS_SOURCE_DIR _name)
set_first_defined(_include_dir _ARGS_INCLUDE_DIR _source_dir)
# Cpp sources
file(
GLOB_RECURSE ${_name}_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_source_dir}/*.cpp
)
# Note: cpp files inside 'tests' dir(s) are considered tests.
# Remove tests from main sources, and add them to test sources
foreach(item ${${_name}_SOURCES})
if(${item} MATCHES "tests/.*\.cpp$")
list(APPEND ${_name}_TEST_SOURCES ${item})
endif()
endforeach()
foreach(item ${${_name}_TEST_SOURCES})
list(REMOVE_ITEM ${_name}_SOURCES ${item})
endforeach()
# Proto sources
file(
GLOB_RECURSE ${_name}_PROTO_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_source_dir}/protobufs/*.proto
)
update_deps_file("${${_name}_PROTO_SOURCES};")
protobuf_generate_cpp(
CXX_SOURCES ${_name}_CXX_PROTO_SOURCES
CXX_HEADERS ${_name}_CXX_PROTO_HEADERS
CXX_OUT_DIR ${CMAKE_CURRENT_BINARY_DIR}
PROTO_INCLUDE_DIRS
${EXTERNALS_INCLUDE}
${CMAKE_CURRENT_SOURCE_DIR}
PROTO_SOURCES
${${_name}_PROTO_SOURCES}
)
export_to_parent(
${_name}_SOURCES
${_name}_TEST_SOURCES
${_name}_PROTO_SOURCES
${_name}_CXX_PROTO_SOURCES
${_name}_CXX_PROTO_HEADERS
)
# Add main lib
if (_ARGS_STATIC)
add_library(${_name} STATIC ${${_name}_SOURCES} ${${_name}_CXX_PROTO_SOURCES})
elseif(_ARGS_SHARED)
add_library(${_name} SHARED ${${_name}_SOURCES} ${${_name}_CXX_PROTO_SOURCES})
else()
add_library(${_name} ${${_name}_SOURCES} ${${_name}_CXX_PROTO_SOURCES})
endif()
target_include_directories(
${_name}
SYSTEM
BEFORE
PUBLIC
$<BUILD_INTERFACE:${EXTERNALS_ROOT}/include>
$<BUILD_INTERFACE:${EXTERNALS_ROOT}/include/zlib>
)
target_include_directories(
${_name}
PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_SOURCE_DIR}>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_INCLUDEDIR}>
)
# Include protos (if any)
if (${_name}_PROTO_SOURCES)
target_include_directories(
${_name}
PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>
)
endif()
target_link_directories(
${_name}
PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>
$<BUILD_INTERFACE:${EXTERNALS_ROOT}/lib/$<CONFIG>>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_LIBDIR}>
)
# Install main lib
foreach(_hdr ${${_name}_CXX_PROTO_HEADERS})
file(RELATIVE_PATH _relative_path ${CMAKE_CURRENT_BINARY_DIR} ${_hdr})
install(FILES ${_hdr} DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}/${_relative_path})
endforeach()
install_basic(
NAME ${_name}
INCLUDE_DIR ${_include_dir}
)
# Add tests executable (if there are any)
if (${_name}_TEST_SOURCES AND NOT WIN32)
add_executable(${_name}-tests ${${_name}_TEST_SOURCES})
get_target_property(_lib_type ${_name} TYPE)
if (_lib_type STREQUAL "SHARED_LIBRARY")
# Set RPATH so the tests exe knows where to find the shared lib.
set_target_properties(
${_name}-tests
PROPERTIES
BUILD_RPATH "$ORIGIN"
INSTALL_RPATH "$ORIGIN/../${CMAKE_INSTALL_LIBDIR}"
)
endif()
# Link main lib
target_link_directories(
${_name}-tests
PRIVATE
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_LIBDIR}>
)
target_link_libraries(${_name}-tests PRIVATE ${_name})
# Catch2
find_package(Catch2 CONFIG REQUIRED COMPONENTS Catch2WithMain)
target_link_libraries(${_name}-tests PRIVATE Catch2::Catch2WithMain)
endif()
endfunction()
-71
View File
@@ -1,71 +0,0 @@
include_guard(DIRECTORY)
include(GNUInstallDirs)
include(${CMAKE_SOURCE_DIR}/cmake/ExportToParent.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
function(init_python_module)
set(_options)
set(_one_value_args
NAME
)
set(_multi_value_args
SOURCES
)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set_first_defined(_sources _ARGS_SOURCES ${_name}_SOURCES)
set(module_proj ${_name}_module)
set(${module_proj}_SOURCES ${_sources})
pybind11_add_module(${module_proj} SHARED ${_sources})
target_link_libraries(
${module_proj}
PUBLIC
pybind11::embed
spark
${_name}
)
target_include_directories(
${module_proj}
PRIVATE
$<BUILD_INTERFACE:${pybind11_INCLUDE_DIRS}>
)
target_include_directories(
${module_proj}
PUBLIC
${Python3_INCLUDE_DIRS}
$<BUILD_INTERFACE:${CMAKE_CURRENT_SOURCE_DIR}>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_INCLUDEDIR}>
)
add_custom_command(
OUTPUT ${CMAKE_CURRENT_BINARY_DIR}/stubs/${_name}.pyi
DEPENDS ${_name} ${module_proj}
COMMAND PYTHONPATH=${CMAKE_CURRENT_BINARY_DIR} pybind11-stubgen --numpy-array-use-type-var --ignore-invalid-expressions '.*' ${_name}_module
COMMENT "Generating py stubs"
)
add_custom_target(
"${_name}_py_stubs"
ALL
DEPENDS
${CMAKE_CURRENT_BINARY_DIR}/stubs/${_name}.pyi
)
install(
TARGETS ${module_proj}
EXPORT ${module_proj}Targets
RUNTIME
DESTINATION ${CMAKE_INSTALL_BINDIR}
LIBRARY
DESTINATION ${CMAKE_INSTALL_LIBDIR}
ARCHIVE
DESTINATION ${CMAKE_INSTALL_LIBDIR}
)
foreach(dir ${pybind11_INCLUDE_DIRS})
install(DIRECTORY ${dir} DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
endforeach()
install(
EXPORT ${module_proj}Targets
FILE ${module_proj}Targets.cmake
NAMESPACE ${_name}::
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name}
)
endfunction()
-65
View File
@@ -1,65 +0,0 @@
include_guard(DIRECTORY)
include(GNUInstallDirs)
function(init_python_plugin)
set(_options)
set(_one_value_args NAME PLUGIN_NAME)
set(_multi_value_args SOURCES)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set(_plugin_name ${_ARGS_PLUGIN_NAME})
if (NOT DEFINED _ARGS_PLUGIN_NAME)
set(_plugin_name ${_name}_plugins)
endif()
set(${_plugin_name}_SOURCES ${_ARGS_SOURCES})
if (NOT DEFINED _ARGS_SOURCES)
file(
GLOB_RECURSE ${_plugin_name}_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_plugin_name}/*.py)
endif()
set(src_outs)
foreach(_src ${${_plugin_name}_SOURCES})
set(_src_in ${CMAKE_CURRENT_SOURCE_DIR}/${_src})
set(_src_out ${CMAKE_CURRENT_BINARY_DIR}/${_src})
add_custom_command(
OUTPUT ${_src_out}
COMMAND ${CMAKE_COMMAND} -E copy ${_src_in} ${_src_out}
DEPENDS ${_src_in}
COMMENT "Copying ${_plugin_name} plugin ${_src} to ${_src_out}"
)
list(APPEND src_outs ${_src_out})
endforeach()
add_custom_target(copy_${_plugin_name} ALL DEPENDS ${src_outs})
add_library(${_plugin_name} INTERFACE)
add_library(${_name}::${_plugin_name} ALIAS ${_plugin_name})
set_target_properties(
${_plugin_name}
PROPERTIES
INTERFACE_PYTHON_SCRIPTS_DIR
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}/${_plugin_name}>$<INSTALL_INTERFACE:${CMAKE_INSTALL_BINDIR}/${_plugin_name}>
)
set_target_properties(
${_plugin_name}
PROPERTIES
INTERFACE_PYTHON_SCRIPTS $<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}/${${_plugin_name}_SOURCES}>$<INSTALL_INTERFACE:${CMAKE_INSTALL_BINDIR}/${${_plugin_name}_SOURCES}>
)
install(
TARGETS ${_plugin_name}
EXPORT ${_plugin_name}Targets
DESTINATION ${CMAKE_INSTALL_BINDIR}
)
install(
EXPORT ${_plugin_name}Targets
FILE ${_plugin_name}Targets.cmake
NAMESPACE ${_name}::
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name}
)
install(DIRECTORY ${_plugin_name} DESTINATION ${CMAKE_INSTALL_BINDIR})
endfunction()
-39
View File
@@ -1,39 +0,0 @@
include_guard(DIRECTORY)
include(GNUInstallDirs)
include(${CMAKE_SOURCE_DIR}/cmake/PackBasic.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
function(install_basic)
set(_options)
set(_one_value_args NAME INCLUDE_DIR)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set_first_defined(_include_dir _ARGS_INCLUDE_DIR _name)
file(
GLOB_RECURSE ${_name}_HEADERS
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_include_dir}/*.h)
target_sources(${_name}
PUBLIC
FILE_SET HEADERS FILES ${${_name}_HEADERS})
install(
TARGETS ${_name}
EXPORT ${_name}Targets
RUNTIME DESTINATION ${CMAKE_INSTALL_BINDIR}
LIBRARY DESTINATION ${CMAKE_INSTALL_LIBDIR}
ARCHIVE DESTINATION ${CMAKE_INSTALL_LIBDIR}
FILE_SET HEADERS DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}
)
install(
EXPORT ${_name}Targets
FILE ${_name}Targets.cmake
NAMESPACE ${_name}::
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name})
pack_basic()
endfunction()
-44
View File
@@ -1,44 +0,0 @@
include_guard(DIRECTORY)
include(CMakePackageConfigHelpers)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
function(pack_basic)
set(_options)
set(_one_value_args NAME)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
find_package(Git QUIET)
if(GIT_FOUND)
execute_process(
COMMAND ${GIT_EXECUTABLE} describe --tags --always --dirty
WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
OUTPUT_VARIABLE PROJECT_VERSION
OUTPUT_STRIP_TRAILING_WHITESPACE
)
endif()
if(NOT GIT_FOUND OR PROJECT_VERSION STREQUAL "")
set(PROJECT_VERSION "0.0.0")
endif()
write_basic_package_version_file(
"${CMAKE_CURRENT_BINARY_DIR}/${_name}ConfigVersion.cmake"
VERSION ${PROJECT_VERSION}
COMPATIBILITY AnyNewerVersion
)
configure_package_config_file(
"${CMAKE_CURRENT_SOURCE_DIR}/Config.cmake.in"
"${CMAKE_CURRENT_BINARY_DIR}/${_name}Config.cmake"
INSTALL_DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name}
)
install(
FILES
"${CMAKE_CURRENT_BINARY_DIR}/${_name}Config.cmake"
"${CMAKE_CURRENT_BINARY_DIR}/${_name}ConfigVersion.cmake"
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name})
endfunction()
-12
View File
@@ -1,12 +0,0 @@
function(print_list var)
set(CMAKE_MESSAGE_INDENT "")
set(_var_str "")
foreach(item IN LISTS ${var})
set(_var_str "${_var_str}\n ${item}")
endforeach()
if ("${ARGN}" STREQUAL "VERBOSE")
message(VERBOSE "***${var}:${_var_str}")
else()
message("***${var}:${_var_str}")
endif()
endfunction()
-83
View File
@@ -1,83 +0,0 @@
include_guard(GLOBAL)
function(protobuf_generate_cpp)
set(_options)
set(_one_value_args
CXX_SOURCES
CXX_HEADERS
CXX_OUT_DIR
PROTOC
)
set(_multi_value_args
PROTO_INCLUDE_DIRS
PROTO_SOURCES
)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
if (NOT DEFINED _ARGS_PROTOC)
if (WIN32)
set(_ARGS_PROTOC "${EXTERNALS_BIN}/protoc.exe")
else()
set(_ARGS_PROTOC "${EXTERNALS_BIN}/protoc")
endif()
endif()
set(${_ARGS_CXX_SOURCES})
set(${_ARGS_CXX_HEADERS})
set(_proto_include_cli_args)
foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
list(APPEND _proto_include_cli_args -I ${_dir})
endforeach()
foreach(_fil ${_ARGS_PROTO_SOURCES})
get_filename_component(_abs_fil ${_fil} ABSOLUTE)
get_filename_component(_fil_we ${_fil} NAME_WE)
get_filename_component(_fil_dir ${_fil} DIRECTORY)
if(_fil_dir)
set(_fil_we "${_fil_dir}/${_fil_we}")
endif()
list(APPEND ${_ARGS_CXX_SOURCES} "${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.cc")
list(APPEND ${_ARGS_CXX_HEADERS} "${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.h")
message(STATUS "add_custom_command for ${_fil} -> ${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.h")
# TODO: Pass proto sources by relative path (so this fn can be called from
# arbitrary subdirs).
add_custom_command(
OUTPUT
"${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.h"
COMMAND
${_ARGS_PROTOC}
ARGS
--cpp_out=${_ARGS_CXX_OUT_DIR} ${_proto_include_cli_args} ${_abs_fil}
DEPENDS ${_abs_fil}
COMMENT "Running C++ protocol buffer compiler on ${_fil}"
VERBATIM
)
endforeach()
set_source_files_properties(
${${_ARGS_CXX_SOURCES}}
${${_ARGS_CXX_HEADERS}}
PROPERTIES
GENERATED TRUE
)
# remove some warnings from protobuf generated files
if(WIN32)
set_source_files_properties(
${${_ARGS_CXX_SOURCES}}
PROPERTIES
COMPILE_FLAGS "/wd4309 /wd4838"
)
else()
set_source_files_properties(
${${_ARGS_CXX_SOURCES}}
PROPERTIES
COMPILE_FLAGS "-Wno-unused-parameter -Wno-effc++ -Wno-pedantic -Wno-sign-compare -Wno-uninitialized"
)
endif()
set(${_ARGS_CXX_SOURCES} ${${_ARGS_CXX_SOURCES}} PARENT_SCOPE)
set(${_ARGS_CXX_HEADERS} ${${_ARGS_CXX_HEADERS}} PARENT_SCOPE)
endfunction()
-61
View File
@@ -1,61 +0,0 @@
include_guard(GLOBAL)
function(protobuf_generate_cpp_config)
set(_options)
set(_one_value_args
PROTO_SOURCES_HEADER
PROTO_DEFAULTS_HEADER
)
set(_multi_value_args
PROTO_SOURCES
PROTO_DEFAULTS
)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
# Configure the 'config_proto_files' header. It provides an array of strings populated with the
# files in PROTO_SOURCES. At runtime, we use this array to generate a special 'config' proto
# message with fields for each message defined in said files. A global instance of this 'config'
# proto is then constructed, and populated with [compile-time] defaults, and [runtime] overrides
# (i.e., in spark.conf). Calls to `bts::config::get<T>()` retrieve the value from the field
# associated with type `T` in this global instance.
message(STATUS "PROTO_SOURCES: ${_ARGS_PROTO_SOURCES}")
message(STATUS "PROTO_SOURCES_HEADER: ${_ARGS_PROTO_SOURCES_HEADER}")
message(STATUS "PROTO_DEFAULTS_HEADER: ${_ARGS_PROTO_DEFAULTS_HEADER}")
if (_ARGS_PROTO_SOURCES_HEADER)
set(PROTO_SOURCES)
set(PROTO_SOURCES_CXX_ARRAY_ITEMS "")
foreach(_proto_path ${_ARGS_PROTO_SOURCES})
list(APPEND PROTO_SOURCES ${_proto_path})
string(APPEND PROTO_SOURCES_CXX_ARRAY_ITEMS "\"${_proto_path}\",\n")
endforeach()
list(LENGTH PROTO_SOURCES PROTO_SOURCES_LENGTH)
message(STATUS "CONFIGURING PROTO_SOURCES_HEADER): ${_ARGS_PROTO_SOURCES_HEADER}")
configure_file(${CMAKE_SOURCE_DIR}/cmake/config_proto_files.h.in ${_ARGS_PROTO_SOURCES_HEADER})
endif()
# Generate static defaults. Ideally, this would be a single string, but we use an array because
# the compiler complains if the string is longer than 65k.
set(_cfg_defaults_str "inline const char * config_static_defaults[] = { ")
foreach(_cfg_file_path ${_ARGS_PROTO_DEFAULTS})
file(READ ${_cfg_file_path} _cfg_file_content)
string(REPLACE "\"" "\\\"" _cfg_file_content_escaped ${_cfg_file_content})
string(REPLACE "\n" ";" _cfg_lines ${_cfg_file_content_escaped})
foreach(_line ${_cfg_lines})
string(APPEND _cfg_defaults_str "\n \"${_line}\",")
endforeach(_line)
endforeach(_cfg_file_path)
string(APPEND _cfg_defaults_str "};")
set(_old_cfg_defaults_str "")
if(EXISTS ${_ARGS_PROTO_DEFAULTS_HEADER})
file(READ ${_ARGS_PROTO_DEFAULTS_HEADER} _old_cfg_defaults_str)
endif()
if(NOT _cfg_defaults_str STREQUAL _old_cfg_defaults_str)
file(WRITE "${_ARGS_PROTO_DEFAULTS_HEADER}" "${_cfg_defaults_str}")
endif()
endfunction()
-49
View File
@@ -1,49 +0,0 @@
include_guard(DIRECTORY)
function(protobuf_generate_fs)
set(_options)
set(_one_value_args TARGET_NAME OUT_DIR PROTOC)
set(_multi_value_args PROTO_INCLUDE_DIRS PROTO_SOURCES)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
if (NOT DEFINED _ARGS_TARGET_NAME)
set(_ARGS_TARGET_NAME "${PROJECT_NAME}_generate_fs_protos")
endif()
if (NOT DEFINED _ARGS_PROTOC)
set(_ARGS_PROTOC "${EXTERNALS_BIN}/protoc")
endif()
set(_proto_include_cli_args)
foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
list(APPEND _proto_include_cli_args -I ${_dir})
endforeach()
set(_outputs)
foreach(_proto_source ${_ARGS_PROTO_SOURCES})
# get_filename_component(_abs_proto_source ${_proto_source} ABSOLUTE)
get_filename_component(_proto_source_we ${_proto_source} NAME_WE)
# get_filename_component(_proto_source_dir ${_proto_source} DIRECTORY)
list(APPEND _outputs ${_ARGS_OUT_DIR}/${_proto_source_we}.fable.fs)
endforeach()
set(_venv_exec ${CMAKE_SOURCE_DIR}/tools/venv_exec.sh)
set(_plugin_py ${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/plugin.py)
set(_template_fs ${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/templates/fs/fable.fs)
add_custom_command(
OUTPUT ${_outputs}
WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
COMMAND ${_venv_exec}
${_ARGS_PROTOC}
--plugin=protoc-gen-service=${_plugin_py}
--service_out=lang=fs,strip_out_path=1:${_ARGS_OUT_DIR}
${_proto_include_cli_args}
${_ARGS_PROTO_SOURCES}
DEPENDS
${_venv_exec}
${_plugin_py}
${_template_fs}
${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
${_ARGS_PROTO_SOURCES}
)
add_custom_target(${_ARGS_TARGET_NAME} ALL DEPENDS "${_outputs}")
endfunction()
-33
View File
@@ -1,33 +0,0 @@
include_guard(DIRECTORY)
function(protobuf_generate_js)
set(_options)
set(_one_value_args TARGET_NAME OUTPUT)
set(_multi_value_args PROTO_INCLUDE_DIRS PROTO_SOURCES)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
if (NOT DEFINED _ARGS_TARGET_NAME)
set(_ARGS_TARGET_NAME "${PROJECT_NAME}_generate_js_protos")
endif()
set(_proto_include_cli_args)
foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
list(APPEND _proto_include_cli_args -p ${_dir})
endforeach()
add_custom_command(
OUTPUT ${_ARGS_OUTPUT}
WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
COMMAND npx
--no-install pbjs
-t json-module
-w commonjs
-o ${_ARGS_OUTPUT}
${_proto_include_cli_args}
${_ARGS_PROTO_SOURCES}
DEPENDS
${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
${_ARGS_PROTO_SOURCES}
)
add_custom_target(${_ARGS_TARGET_NAME} ALL DEPENDS ${_ARGS_OUTPUT})
endfunction()
-10
View File
@@ -1,10 +0,0 @@
include_guard(GLOBAL)
macro(set_first_defined RESULT)
foreach(_arg ${ARGN})
if (DEFINED ${_arg})
set(${RESULT} ${${_arg}})
break()
endif()
endforeach()
endmacro()
-49
View File
@@ -1,49 +0,0 @@
include_guard(DIRECTORY)
include(${CMAKE_SOURCE_DIR}/cmake/TernaryOperator.cmake)
function(sym_link_dir)
set(_options)
set(_one_value_args TARGET_NAME SOURCE DEST COMMENT)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
add_custom_command(
OUTPUT ${_ARGS_DEST}
COMMAND ln ARGS -sf ${_ARGS_SOURCE} ${_ARGS_DEST}
)
set_ternary(_comment _ARGS_COMMENT "${_ARGS_COMMENT}" "linking dir ${_ARGS_SOURCE} -> ${_ARGS_DEST}")
add_custom_target(
${_ARGS_TARGET_NAME} ALL
DEPENDS ${_ARGS_DEST}
COMMENT "${_comment}"
)
endfunction()
function(sym_link_file)
set(_options)
set(_one_value_args SOURCE DEST INSTALL_DEST)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
file(
CREATE_LINK
${_ARGS_SOURCE}
${_ARGS_DEST}
SYMBOLIC
)
if (DEFINED _ARGS_INSTALL_DEST)
install(
FILES
${_ARGS_SOURCE}
DESTINATION ${_ARGS_INSTALL_DEST}
)
endif()
endfunction()
function(sym_link_local_lib LIB_NAME)
set(_lib_file_name "${CMAKE_SHARED_LIBRARY_PREFIX}${LIB_NAME}.so")
file(
CREATE_LINK
"${CMAKE_BINARY_DIR}/src/lib_${LIB_NAME}/${_lib_file_name}"
"${CMAKE_CURRENT_BINARY_DIR}/${_lib_file_name}"
SYMBOLIC
)
endfunction()
-39
View File
@@ -1,39 +0,0 @@
include_guard(DIRECTORY)
include(${CMAKE_SOURCE_DIR}/cmake/SymLink.cmake)
function(sym_link_python_module)
set(_options)
set(_one_value_args LIB_NAME MODULE_NAME PLUGIN_NAME)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}"
"${_multi_value_args}" ${ARGN})
if(NOT DEFINED _ARGS_LIB_NAME)
message(
FATAL_ERROR "LIB_NAME must be specified for sym_link_python_module()")
endif()
set(_lib_name ${_ARGS_LIB_NAME})
set(_module_name ${_ARGS_MODULE_NAME})
if(NOT DEFINED _ARGS_MODULE_NAME)
set(_module_name ${_lib_name}_module)
endif()
set(_plugin_name ${_ARGS_PLUGIN_NAME})
set(_deps ${_lib_name} ${_module_name})
if(DEFINED _ARGS_PLUGIN_NAME)
list(APPEND _deps ${_plugin_name} copy_${_plugin_name})
endif()
add_dependencies(${PROJECT_NAME} ${_deps})
sym_link_local_lib(${_lib_name})
set(_module_suffix cpython-310-x86_64-linux-gnu.so)
sym_link_file(
SOURCE
${CMAKE_BINARY_DIR}/src/lib_${_lib_name}/${_module_name}.${_module_suffix}
DEST
${CMAKE_CURRENT_BINARY_DIR}/${_module_name}.${_module_suffix}
INSTALL_DEST
${CMAKE_INSTALL_BINDIR}/)
if(DEFINED _ARGS_PLUGIN_NAME)
get_target_property(plugins ${_plugin_name} INTERFACE_PYTHON_SCRIPTS_DIR)
sym_link_dir(TARGET_NAME ${PROJECT_NAME}_link_${_plugin_name} SOURCE
${plugins} DEST ${CMAKE_CURRENT_BINARY_DIR}/${_plugin_name})
endif()
endfunction()
-9
View File
@@ -1,9 +0,0 @@
include_guard(GLOBAL)
macro(set_ternary RESULT CONDITION TRUE_VALUE FALSE_VALUE)
if(${CONDITION})
set(${RESULT} ${TRUE_VALUE})
else()
set(${RESULT} ${FALSE_VALUE})
endif()
endmacro()
-11
View File
@@ -1,11 +0,0 @@
#pragma once
#include <array>
namespace bts::@PROJECT_NAME@::protobufs {
inline std::array<const char *, @PROTO_SOURCES_LENGTH@> config_proto_files = {
@PROTO_SOURCES_CXX_ARRAY_ITEMS@
};
} // namespace bts::@PROJECT_NAME@::protobufs
-11
View File
@@ -1,11 +0,0 @@
#ifndef BTS_SPARK_VERSION_H
#define BTS_SPARK_VERSION_H
#define BTS_SPARK_VERSION_MAJOR @PROJECT_VERSION_MAJOR@
#define BTS_SPARK_VERSION_MINOR @PROJECT_VERSION_MINOR@
#define BTS_SPARK_VERSION_PATCH @PROJECT_VERSION_PATCH@
#define BTS_SPARK_VERSION_BUILD_METADATA @PROJECT_VERSION_BUILD_METADATA@
#define BTS_SPARK_VERSION "@PROJECT_VERSION@"
#define BTS_SPARK_VERSION_FULL "@PROJECT_VERSION_FULL@"
#endif
-254
View File
@@ -1,254 +0,0 @@
services:
sparkd:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
build:
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
ports:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-shell:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
build:
dockerfile: docker/images/bluetradingsystems/linux_shell/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: "do sleep 1; done"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
ports:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
deploy:
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-symbols:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
build:
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
ports:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
restart_policy:
condition: any
delay: 3s
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-multicast:
environment:
- TZ=America/Chicago
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
build:
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-8192mb}"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
network_mode: "host"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
restart_policy:
condition: any
delay: 3s
resources:
limits:
memory: "${SPARKD__MEMORY:-16gb}"
sparkd-multicast-cert:
environment:
- TZ=America/Chicago
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
build:
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-8192mb}"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
network_mode: "host"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
restart_policy:
condition: any
delay: 3s
resources:
limits:
memory: "${SPARKD__MEMORY:-16gb}"
sparkd-tail:
image: bluetradingsystems/linux_dotnet8
volumes:
- type: volume
read_only: true
source: sparkd_data
target: /home/bts/.local/share/bts/sparkd/data/logging.sparkd
volume:
subpath: logging.sparkd
command: ["tail", "-f", "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log"]
sparkd-ping-test:
depends_on:
- sparkd
profiles:
- ping-test
build:
context: .
dockerfile_inline: |
FROM bluetradingsystems/linux_dotnet8
USER "root"
RUN apt-get update && apt-get -y install iputils-ping
command: [ "ping", "sparkd" ]
pubsub:
volumes:
- ${PUBSUB__DATA_DIR:-pubsub_data}:/home/bts/.local/share/bts/pubsub/data
build:
dockerfile: src/DataStreamSuite/PubSubServer/Dockerfile
args:
- SOURCE_DIR=${PUBSUB__SOURCE_DIR}
- CONFIG_DIR=${PUBSUB__CONFIG_DIR}
ports:
- 22019:22019
command: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/pubsub/data
if [ -e "/home/bts/.local/share/bts/pubsub/data/logging.PubSubServer/log" ]; then
mv "/home/bts/.local/share/bts/pubsub/data/logging.PubSubServer/log" "/home/bts/.local/share/bts/pubsub/data/logging.PubSubServer/log_$(date '+%Y%m%d-%H%M')"
fi
if [ -e "/home/bts/.local/share/bts/pubsub/conf/.env" ]; then
echo 'Sourcing /home/bts/.local/share/bts/pubsub/conf/.env'
set -a
. /home/bts/.local/share/bts/pubsub/conf/.env
set +a
fi
if [ -e "/home/bts/.local/share/bts/pubsub/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/pubsub/conf/.env.local'
set -a
. /home/bts/.local/share/bts/pubsub/conf/.env.local
set +a
fi
./PubSubServer"
env_file:
- .env
- ${PUBSUB__CONFIG_DIR}/.env
md-publisher:
volumes:
- ${MD_PUBLISHER__DATA_DIR:-md_publisher_data}:/home/bts/.local/share/bts/md_publisher/data
- historic_md:/home/bts/.local/share/bts/md_publisher/data/databento
build:
dockerfile: src/DataStreamSuite/DataStreamPublisher/Dockerfile
args:
- SOURCE_DIR=${MD_PUBLISHER__SOURCE_DIR}
- CONFIG_DIR=${MD_PUBLISHER__CONFIG_DIR}
command: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/md_publisher/data
if [ -e "/home/bts/.local/share/bts/md_publisher/data/logging.DataStreamPublisher/log" ]; then
mv "/home/bts/.local/share/bts/md_publisher/data/logging.DataStreamPublisher/log" "/home/bts/.local/share/bts/md_publisher/data/logging.DataStreamPublisher/log_$(date '+%Y%m%d-%H%M')"
fi
if [ -e "/home/bts/.local/share/bts/md_publisher/conf/.env" ]; then
echo 'Sourcing /home/bts/.local/share/bts/md_publisher/conf/.env'
set -a
. /home/bts/.local/share/bts/md_publisher/conf/.env
set +a
fi
if [ -e "/home/bts/.local/share/bts/md_publisher/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/md_publisher/conf/.env.local'
set -a
. /home/bts/.local/share/bts/md_publisher/conf/.env.local
set +a
fi
dockerize -wait tcp://pubsub:22019 -timeout 10s ./DataStreamPublisher"
env_file:
- .env
- ${MD_PUBLISHER__CONFIG_DIR}/.env
api-server:
depends_on:
- sparkd
ports:
- 8008:8008
- 9443:9443
build:
dockerfile: src/client/spark_api_server/Dockerfile
command: [ "dockerize", "-wait", "tcp://sparkd:8000", "-timeout", "10s", "./spark_api_server", "run" ]
environment:
- ASPNETCORE_ENVIRONMENT=Staging
volumes:
sparkd_data:
name: "sparkd_${SPARKD__CONFIG_PORT:-8000}"
pubsub_data:
name: "pubsub_22019"
md_publisher_data:
name: "md_publisher_22019"
historic_md:
name: "historic_md"
md_recording:
name: "sparkd_md_recording_${SPARKD__CONFIG_PORT:-8000}"
external: true
-224
View File
@@ -1,224 +0,0 @@
[cmake]: https://cmake.org/
[cmake ext]: https://marketplace.visualstudio.com/items?itemName=ms-vscode.cmake-tools
[cmake presets]: https://cmake.org/cmake/help/latest/manual/cmake-presets.7.html
[cpp ext]: https://marketplace.visualstudio.com/items?itemName=ms-vscode.cpptools
[clangd ext]: https://marketplace.visualstudio.com/items?itemName=llvm-vs-code-extensions.vscode-clangd
[dotnet]: https://dotnet.microsoft.com/en-us/download/dotnet
[ninja build]: https://ninja-build.org/
[ninja generator]: https://cmake.org/cmake/help/latest/generator/Ninja.html
[ninja multi-config generator]: https://cmake.org/cmake/help/latest/generator/Ninja%20Multi-Config.html
[python]: https://www.python.org/
[py venv]: https://docs.python.org/3/library/venv.html
[visual studio]: https://visualstudio.microsoft.com/
[visual studio generator]: https://cmake.org/cmake/help/latest/generator/Visual%20Studio%2017%202022.html
# C++ Intellisense for Spark on Windows (VS Code)
**Steps**
1. Install the **[C++ extension][cpp ext]**
2. Install the **[CMake extension][cmake ext]**
3. Copy `c_cpp_properties.json` from this folder to `$workspaceFolder/.vscode/`
4. In the VS Code Command Palette, run **CMake: Select Configure Preset**, then
select '**spark**' from the dropdown
**Notes**
* Intellisense won't work for generated files/types until you build libspark
# C++ Intellisense for Sparkd on Linux (VS Code)
1. Install the **[CMake extension][cmake ext]**
2. Install the **[Clangd extension][clangd ext]**
3. (Optional) Install the **[C++ extension][cpp ext]** (*needed for debugging,
but intellisense should work without it*).
4. If the **[C++ extension][cpp ext]** is installed, disable its intellisense in
your workspace settings (*Clangd intellisense is better*)
```
"C_Cpp.intelliSenseEngine": "disabled"
```
5. In the VS Code Command Palette, run **CMake: Select Configure Preset**, then select the
**[preset][cmake presets]** you wish to build from the dropdown
* *The **Clang** presets may work best with the **Clangd** extension*
* *Intellisense won't work for generated files/types until you build libspark*
# Build Spark on Windows
### Dependencies
* **[CMake][cmake]** (version >= 3.23)
* **[Python][python]** (version >= 3.9)
* **[Visual Studio][visual studio]** (2022)
* **[Dotnet][dotnet]** (sdk version >= 7.0.0)
### References
* **[CMakePresets][cmake presets]**
* **[Visual Studio 17 2022 (CMake generator)][visual studio generator]**
* **[Python Virtual Environment][py venv]**
### Notes
* *Run commands from the repo root dir unless otherwise noted*
1. Set up the **[Python virtual environment][py venv]**<br>
```
# Create the virtual environment
python3 -m venv .venv
# Activate the virtual environment
.venv\bin\activate.bat
# Update pip
python -m pip install --upgrade pip
# Install packages
pip install -r requirements.txt
```
2. Build
* *Run commands in python virtual environment*
```
# Configure
cmake --preset spark
# Build Debug
cmake --build --preset spark-debug
dotnet build spark_client.sln --configuration Debug
# Build Release
cmake --build --preset spark-release
dotnet build spark_client.sln --configuration Release
```
# Build Sparkd on Linux
### **Dependencies**
* **[CMake][cmake]** (version >= 3.23)
* **[Ninja Build][ninja build]**
* **[Python][python]** (version >= 3.9)
### **References**
* **[CMakePresets][cmake presets]**
* **[Ninja (CMake generator)][ninja generator]**
* **[Python Virtual Environment][py venv]**
* **[Devcontainer](devcontainer)**
### Prerequisites
* Open repository in a VS Code [Devcontainer](../docker/sparkd/dev/README.md), or
create your own [docker container](../docker/sparkd/dev/README.md) in which to build
### Notes
* *Run commands from the repo root dir unless otherwise noted*<br>
1. Set up the **[Python virtual environment][py venv]**
```
# Create the virtual environment
python3 -m venv .venv
# Activate the virtual environment
. .venv/bin/activate
# Update pip
python -m pip install --upgrade pip
# Install packages
pip install -r requirements.txt
```
2. Build
* *Run commands in python virtual environment*
```
# Configure clang debug
cmake --preset sparkd-clang-debug
# Build clang debug
cmake --build --preset spark-clang-debug
# Configure gcc release
cmake --build --preset sparkd-gcc-release
# Build gcc release
cmake --build --preset sparkd-gcc-release
```
# Build Spark Api Server on Windows
### **Dependencies**
* **[CMake][cmake]** (version >= 3.23)
* **[Python][python]** (version >= 3.9)
* **[Visual Studio][visual studio]** (version)
* **[Dotnet][dotnet]** (sdk version >= 7.0.0)
### **References**
* **[CMakePresets][cmake presets]**
* **[Visual Studio 17 2022 (CMake generator)][visual studio generator]**
* **[Python Virtual Environment][py venv]**
### Notes
* *Run commands from the repo root dir unless otherwise noted*
1. Set up the **[Python Virtual Environment][py venv]**
```
# Create the virtual environment
python3 -m venv .venv
# Activate the virtual environment
.venv\bin\activate.bat
# Update pip
python -m pip install --upgrade pip
# Install packages
pip install -r requirements.txt
```
2. Build
* *Run in python virtual environment*
```
# Configure
cmake --preset spark-api-server-windows
# Build debug
cmake --build --preset spark-api-server-windows-debug
dotnet build Spark.Api.Server.sln --configuration Debug
# Build release
cmake --build --preset spark-api-server-windows-release
dotnet build Spark.Api.Server.sln --configuration Release
```
# Build Spark Api Server on Linux
### **Dependencies**
* **[CMake][cmake]** (version >= 3.23)
* **[Ninja Build][ninja build]**
* **[Python][python]** (version >= 3.9)
* **[Dotnet][dotnet]** (sdk version >= 7.0.0)
### **References**
* **[CMakePresets][cmake presets]**
* **[Ninja Multi-Config (CMake generator)][ninja multi-config generator]**
* **[Python Virtual Environment][py venv]**
### Prerequisites
* Open repository in a VS Code [Devcontainer](../docker/sparkd/dev/README.md), or
create your own [docker container](../docker/sparkd/dev/README.md) in which to build
### Notes
* *Run commands from the repo root dir unless otherwise noted*
1. Set up the **[Python Virtual Environment][py venv]**
```
# Create the virtual environment
python3 -m venv .venv
# Activate the virtual environment
. .venv/bin/activate
# Update pip
python -m pip install --upgrade pip
# Install packages
pip install -r requirements.txt
```
2. Build
* *Run in python virtual environment*
```
# Configure
cmake --preset spark-api-server-linux
# Build debug
cmake --build --preset spark-api-server-linux-debug
dotnet build Spark.Api.Server.sln --configuration Debug
# Build release
cmake --build --preset spark-api-server-linux-release
dotnet build Spark.Api.Server.sln --configuration Release
```
-27
View File
@@ -1,27 +0,0 @@
{
"version": 4,
"configurations": [
{
"name": "Windows",
"intelliSenseMode": "windows-msvc-x64",
"includePath": [
"${workspaceFolder}/src/",
"${workspaceFolder}/build/src/",
"${workspaceFolder}/externals/windows/include/"
],
"defines": ["_WIN32", "__x86_64__"],
"browse": {
"path": [
"${workspaceRoot}/src",
"${workspaceRoot}/build/src"
],
"limitSymbolsToIncludedHeaders": true
},
"cStandard": "c17",
"cppStandard": "c++17",
"configurationProvider": "ms-vscode.cmake-tools",
"compilerPath": "C:/Program Files/Microsoft Visual Studio/2022/Community/VC/Tools/MSVC/14.34.31933/bin/Hostx64/x64/cl.exe",
"mergeConfigurations": true
}
]
}
+1 -3
View File
@@ -46,7 +46,6 @@ function setup_build
assert_dir $repo_root
assert_dir $build_root
set compiler "$argv[1]"
set c_compiler (which cc)
set build_type "$argv[2]"
if test \( -z "$build_type" \) -o \( \( "$build_type" != debug \) -a \( "$build_type" != release \) \)
@@ -60,7 +59,6 @@ function setup_build
else
# set compiler_arg "/usr/lib/ccache/clang++"
set compiler_arg "clang++"
set c_compiler (which clang)
end
else if test "$build_type" = release
set build_type_arg Release
@@ -87,7 +85,7 @@ function setup_build
rm -rf "$build_dest"
mkdir -p "$build_dest"
cd "$build_dest"
cmake -G Ninja -DCMAKE_BUILD_TYPE=$build_type_arg -DCMAKE_EXPORT_COMPILE_COMMANDS=1 -DCMAKE_C_COMPILER=$c_compiler -DCMAKE_CXX_COMPILER=$compiler_arg $repo_root
cmake -G Ninja -DCMAKE_BUILD_TYPE=$build_type_arg -DCMAKE_EXPORT_COMPILE_COMMANDS=1 -DCMAKE_CXX_COMPILER=$compiler_arg $repo_root
end
# The while loop below removes arguments (via shift) as it parses them.
File renamed without changes.
@@ -1,941 +0,0 @@
{
"$schema": "vscode://schemas/color-theme",
"type": "dark",
"colors": {
"activityBar.background": "#111111",
"activityBar.border": "#111111",
"activityBar.foreground": "#888888",
"activityBarBadge.background": "#88cc44",
"activityBarBadge.foreground": "#222222",
"badge.background": "#88cc44",
"badge.foreground": "#222222",
"button.background": "#333333",
"button.foreground": "#888888",
"button.hoverBackground": "#222222",
"debugExceptionWidget.background": "#333333",
"debugExceptionWidget.border": "#222222",
"debugToolBar.background": "#111111",
"diffEditor.insertedTextBackground": "#ffdd440c",
"diffEditor.insertedTextBorder": "#ffdd44",
"diffEditor.removedTextBackground": "#88bbff0c",
"diffEditor.removedTextBorder": "#88bbff",
"dropdown.background": "#222222",
"dropdown.border": "#222222",
"dropdown.foreground": "#888888",
"editor.background": "#222222",
"editor.findMatchBackground": "#44446655",
"editor.findMatchHighlightBackground": "#444466aa",
"editor.foreground": "#ffffff",
"editor.hoverHighlightBackground": "#44446655",
"editor.inactiveSelectionBackground": "#44446655",
"editor.lineHighlightBackground": "#00000066",
"editor.lineHighlightBorder": "#00000000",
"editor.rangeHighlightBackground": "#333333",
"editor.selectionBackground": "#444466",
"editor.selectionHighlightBackground": "#44446655",
"editor.wordHighlightBackground": "#44446655",
"editor.wordHighlightStrongBackground": "#44446655",
"editorBracketMatch.background": "#222222",
"editorBracketMatch.border": "#666666",
"editorCodeLens.foreground": "#666666",
"editorCursor.foreground": "#ffffff",
"editorError.foreground": "#ee5500",
"editorGroup.border": "#111111",
"editorGroup.dropBackground": "#111111bb",
"editorGroupHeader.noTabsBackground": "#111111",
"editorGroupHeader.tabsBackground": "#111111",
"editorGroupHeader.tabsBorder": "#222222",
"editorGutter.addedBackground": "#ffdd44",
"editorGutter.background": "#222222",
"editorGutter.deletedBackground": "#88bbff",
"editorGutter.modifiedBackground": "#88bbff",
"editorHoverWidget.background": "#333333",
"editorHoverWidget.border": "#222222",
"editorIndentGuide.background": "#333333",
"editorLineNumber.foreground": "#555555",
"editorLink.activeForeground": "#bba0ff",
"editorMarkerNavigation.background": "#333333",
"editorMarkerNavigationError.background": "#88bbff",
"editorMarkerNavigationWarning.background": "#88bbff",
"editorOverviewRuler.addedForeground": "#ffdd44",
"editorOverviewRuler.border": "#222222",
"editorOverviewRuler.currentContentForeground": "#333333",
"editorOverviewRuler.deletedForeground": "#88bbff",
"editorOverviewRuler.errorForeground": "#88bbff",
"editorOverviewRuler.findMatchForeground": "#555555",
"editorOverviewRuler.incomingContentForeground": "#333333",
"editorOverviewRuler.infoForeground": "#bba0ff",
"editorOverviewRuler.modifiedForeground": "#88bbff",
"editorOverviewRuler.rangeHighlightForeground": "#333333",
"editorOverviewRuler.selectionHighlightForeground": "#555555",
"editorOverviewRuler.warningForeground": "#88bbff",
"editorOverviewRuler.wordHighlightForeground": "#333333",
"editorOverviewRuler.wordHighlightStrongForeground": "#555555",
"editorRuler.foreground": "#ffffff",
"editorSuggestWidget.background": "#333333",
"editorSuggestWidget.border": "#333333",
"editorSuggestWidget.foreground": "#888888",
"editorSuggestWidget.highlightForeground": "#ffffff",
"editorSuggestWidget.selectedBackground": "#666666",
"editorWarning.border": "#00000000",
"editorWarning.foreground": "#88bbff",
"editorWhitespace.foreground": "#333333",
"editorWidget.background": "#333333",
"editorWidget.border": "#333333",
"errorForeground": "#88bbff",
"extensionButton.prominentBackground": "#333333",
"extensionButton.prominentForeground": "#ffffff",
"extensionButton.prominentHoverBackground": "#555555",
"focusBorder": "#666666",
"foreground": "#ffffff",
"gitDecoration.modifiedResourceForeground": "#cccccc",
"gitDecoration.untrackedResourceForeground": "#cccccc",
"input.background": "#333333",
"input.border": "#333333",
"input.foreground": "#ffffff",
"input.placeholderForeground": "#555555",
"inputOption.activeBorder": "#555555",
"inputValidation.errorBackground": "#333333",
"inputValidation.errorBorder": "#88bbff",
"inputValidation.infoBackground": "#333333",
"inputValidation.infoBorder": "#bba0ff",
"inputValidation.warningBackground": "#333333",
"inputValidation.warningBorder": "#88bbff",
"list.activeSelectionBackground": "#111111",
"list.activeSelectionForeground": "#ffffff",
"list.dropBackground": "#111111bf",
"list.focusBackground": "#222222",
"list.focusForeground": "#ffffff",
"list.highlightForeground": "#ffffff",
"list.hoverBackground": "#333333",
"list.hoverForeground": "#ffffff",
"list.inactiveSelectionBackground": "#000000",
"list.inactiveSelectionForeground": "#ffffff",
"menu.background": "#333333",
"menu.foreground": "#ffffff",
"merge.border": "#222222",
"merge.currentContentBackground": "#333333",
"merge.currentHeaderBackground": "#555555",
"merge.incomingContentBackground": "#555555",
"merge.incomingHeaderBackground": "#666666",
"panel.background": "#111111",
"panel.border": "#111111",
"panelTitle.activeBorder": "#ffffff",
"panelTitle.activeForeground": "#ffffff",
"panelTitle.inactiveForeground": "#888888",
"peekView.border": "#222222",
"peekViewEditor.background": "#333333",
"peekViewEditor.matchHighlightBackground": "#555555",
"peekViewEditorGutter.background": "#333333",
"peekViewResult.background": "#333333",
"peekViewResult.fileForeground": "#888888",
"peekViewResult.lineForeground": "#888888",
"peekViewResult.matchHighlightBackground": "#555555",
"peekViewResult.selectionBackground": "#333333",
"peekViewResult.selectionForeground": "#ffffff",
"peekViewTitle.background": "#333333",
"peekViewTitleDescription.foreground": "#888888",
"peekViewTitleLabel.foreground": "#ffffff",
"pickerGroup.border": "#222222",
"pickerGroup.foreground": "#555555",
"progressBar.background": "#333333",
"scrollbar.shadow": "#191919",
"scrollbarSlider.activeBackground": "#ffffff12",
"scrollbarSlider.background": "#ffffff12",
"scrollbarSlider.hoverBackground": "#ffffff12",
"selection.background": "#2255aa",
"sideBar.background": "#111111",
"sideBar.border": "#111111",
"sideBar.foreground": "#888888",
"sideBarSectionHeader.background": "#111111",
"sideBarSectionHeader.foreground": "#666666",
"sideBarTitle.foreground": "#555555",
"statusBar.background": "#111111",
"statusBar.border": "#111111",
"statusBar.debuggingBackground": "#666666",
"statusBar.debuggingForeground": "#ffffff",
"statusBar.foreground": "#666666",
"statusBar.noFolderBackground": "#111111",
"statusBar.noFolderForeground": "#666666",
"statusBarItem.activeBackground": "#222222",
"statusBarItem.hoverBackground": "#222222",
"statusBarItem.prominentBackground": "#333333",
"statusBarItem.prominentHoverBackground": "#444444",
"tab.activeBackground": "#222222",
"tab.border": "#111111",
"tab.inactiveBackground": "#111111",
"tab.inactiveForeground": "#888888",
"tab.unfocusedActiveBorder": "#888888",
"tab.unfocusedActiveForeground": "#888888",
"tab.unfocusedInactiveForeground": "#888888",
"terminal.ansiBlack": "#333333",
"terminal.ansiBlue": "#88bbff",
"terminal.ansiBrightBlack": "#666666",
"terminal.ansiBrightBlue": "#88bbff",
"terminal.ansiBrightCyan": "#bba0ff",
"terminal.ansiBrightGreen": "#ffdd44",
"terminal.ansiBrightMagenta": "#88bbff",
"terminal.ansiBrightRed": "#88bbff",
"terminal.ansiBrightWhite": "#ffffff",
"terminal.ansiBrightYellow": "#88cc44",
"terminal.ansiCyan": "#bba0ff",
"terminal.ansiGreen": "#ffdd44",
"terminal.ansiMagenta": "#88bbff",
"terminal.ansiRed": "#88bbff",
"terminal.ansiWhite": "#ffffff",
"terminal.ansiYellow": "#88cc44",
"terminal.background": "#151515",
"terminal.foreground": "#ffffff",
"titleBar.activeBackground": "#111111",
"titleBar.activeForeground": "#888888",
"titleBar.inactiveBackground": "#111111",
"titleBar.inactiveForeground": "#555555",
"walkThrough.embeddedEditorBackground": "#111111",
"widget.shadow": "#111111",
//"activityBar.activeBorder": "#888888",
//"activityBar.dropBorder": "#888888",
//"activityBar.inactiveForeground": "#88888866",
//"banner.background": "#111111",
//"banner.foreground": "#ffffff",
//"banner.iconForeground": "#3794ff",
//"bookmarks.lineBackground": "#00000000",
//"bookmarks.lineBorder": "#00000000",
//"bookmarks.overviewRuler": "#157efb88",
//"breadcrumb.activeSelectionForeground": "#ffffff",
//"breadcrumb.background": "#222222",
//"breadcrumb.focusForeground": "#ffffff",
//"breadcrumb.foreground": "#ffffffcc",
//"breadcrumbPicker.background": "#333333",
//"button.secondaryBackground": "#3a3d41",
//"button.secondaryForeground": "#ffffff",
//"button.secondaryHoverBackground": "#45494e",
//"charts.blue": "#3794ff",
//"charts.foreground": "#ffffff",
//"charts.green": "#89d185",
//"charts.lines": "#ffffff80",
//"charts.orange": "#d18616",
//"charts.purple": "#b180d7",
//"charts.red": "#ee5500",
//"charts.yellow": "#88bbff",
//"checkbox.background": "#222222",
//"checkbox.border": "#222222",
//"checkbox.foreground": "#888888",
//"debugConsole.errorForeground": "#88bbff",
//"debugConsole.infoForeground": "#3794ff",
//"debugConsole.sourceForeground": "#ffffff",
//"debugConsole.warningForeground": "#88bbff",
//"debugConsoleInputIcon.foreground": "#ffffff",
//"debugIcon.breakpointCurrentStackframeForeground": "#ffcc00",
//"debugIcon.breakpointDisabledForeground": "#848484",
//"debugIcon.breakpointForeground": "#e51400",
//"debugIcon.breakpointStackframeForeground": "#89d185",
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"source.scss",
"string source punctuation.section.embedded",
"punctuation.definition.tag.begin source",
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File renamed without changes.
File renamed without changes.
-41
View File
@@ -1,41 +0,0 @@
{
// Use IntelliSense to learn about possible attributes.
// Hover to view descriptions of existing attributes.
// For more information, visit: https://go.microsoft.com/fwlink/?linkid=830387
"version": "0.2.0",
"configurations": [
{
"name": "Spark Client",
"type": "coreclr",
"request": "launch",
"program": "${workspaceFolder}/build/Debug/bin/net6.0-windows/Spark.exe",
"cwd": "${workspaceFolder}/build/Debug/bin/net6.0-windows",
"enableStepFiltering": false,
"console": "internalConsole",
"stopAtEntry": false
},
{
"name": "Spark Test",
"type": "coreclr",
"request": "launch",
"program": "${workspaceFolder}/build/Debug/bin/net6.0/sparkcmd.exe",
"args": ["test", "${input:test}"],
"cwd": "${workspaceFolder}/build/Debug/bin/net6.0-windows",
"enableStepFiltering": false,
"console": "internalConsole",
"stopAtEntry": false
},
{
"name": "Attach (.NET Core)",
"type": "coreclr",
"request": "attach"
}
],
"inputs": [
{
"id": "test",
"description": "The test(s) to run",
"type": "promptString"
}
]
}
-37
View File
@@ -1,37 +0,0 @@
{
"cmake.configureOnOpen": false,
"workbench.colorTheme": "Default Dark+",
"C_Cpp.intelliSenseEngine": "Disabled",
"files.associations": {
"*.js": "javascript",
"*.conf": "jsonc",
"array": "cpp",
"xtree": "cpp",
"chrono": "cpp",
"*.ipp": "cpp",
"optional": "cpp",
"regex": "cpp",
"system_error": "cpp",
"format": "cpp",
"future": "cpp",
"istream": "cpp",
"memory": "cpp",
"tuple": "cpp",
"type_traits": "cpp",
"utility": "cpp",
"variant": "cpp",
"xlocmes": "cpp",
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"string": "cpp",
"cstdint": "cpp"
},
"files.exclude": {
"**/.g.cs": true,
"**/.g.i.cs": true
}
}
-44
View File
@@ -1,44 +0,0 @@
{
"version": "2.0.0",
"tasks": [
{
"label": "Build Spark Client",
"type": "process",
"command": "C:\\Program Files\\Microsoft Visual Studio\\2022\\Community\\Common7\\Tools\\VsDevCmd.bat",
"args": [
"-arch=x64",
"-host_arch=x64",
"&&",
"${workspaceRoot}\\tools\\buildspark.cmd"
],
"group": {
"kind": "build",
"isDefault": true
},
"presentation": {
"echo": true,
"reveal": "always",
"focus": false,
"panel": "new",
"showReuseMessage": false,
"clear": false,
"close": false
}
},
{
"label": "Run Spark Client",
"type": "process",
"command": "${workspaceRoot}\\build\\Debug\\bin\\net6.0-windows\\Spark.exe",
"presentation": {
"echo": true,
"reveal": "always",
"focus": false,
"panel": "shared",
"showReuseMessage": true,
"clear": false
},
"problemMatcher": []
}
]
}
@@ -124,8 +124,8 @@ service OrderService {
```
### C++ Example
```cpp
#include "spark/api/public/ServiceContext.h"
#include "spark/api/services/OrderService.client.pb.h"
#include "lib/api/public/ServiceContext.h"
#include "lib/api/services/OrderService.client.pb.h"
using namespace bts::api;
ServiceContext ctx;
auto orders = ctx.locate<orderman::OrderService>();
@@ -29,9 +29,9 @@ namespace sample {
```
```cpp
#include "spark/api/public/ServiceContext.h"
#include "spark/domain_model/Security.h"
#include "spark/api/services/MarketDataService.client.pb.h"
#include "lib/api/public/ServiceContext.h"
#include "spark/lib/domain_model/Security.h"
#include "lib/api/services/MarketDataService.client.pb.h"
#include <thread>
using namespace bts::api;
-942
View File
@@ -1,942 +0,0 @@
# Security ID handling in `sparkd`
This document traces how security identifiers are created, translated, persisted,
indexed, and published by the `sparkd` market-data paths. It focuses on the
legacy CME MDP3/OnixS pipeline and the newer generalized market-data pipeline.
## Executive summary
`sparkd` uses two identifiers that must not be confused:
| Identifier | Meaning | Typical field | Lifetime |
|---|---|---|---|
| Exchange/feed ID | The venue's identifier used to route incoming definitions, books, and trades | `FixedSecurity::numeric_id`, `ExchangeKey`, or `domain::Security::security_common.exchange_sec_id` | Feed/session-specific unless the source guarantees stability |
| Spark security key | Spark's internal non-zero identifier used in shared memory, APIs, orders, positions, and downstream services | `FixedSecurity::key`, `api::Security::id()`, `SecurityKey`; historically also called `security_id` | Intended to be stable across restarts |
`invalid_security_key` is `0`; a security with key `0` is not yet publicly
discoverable through the shared-memory consumer path.
The two principal paths differ:
- **MDP3/OnixS:** the definition callback sets only the CME ID in
`numeric_id`. `MDProducer::add_security()` allocates the shared-memory entry
with key `0`. `SecurityIDRecorder`, driven by a 200 ms dispatcher timer,
resolves or inserts a stable key in `key_ids.sqlite`; its callback finally
calls `MDProducerHandle::set_key()`.
- **Generalized/newer pipeline:** `GeneralMarketDataListener::on_securities()`
currently uses the ID already present on the incoming domain security
(`use_given_sec_key == true`). Live adapters normally obtain that ID
synchronously from `IDGenerator` first. `_copy_security_common()` then copies
it to both `FixedSecurity::key` and `numeric_id`, so
`MDProducer::add_security()` publishes it synchronously. Only the listener's
own fallback `IDGenerator` call is bypassed by the current constant.
## End-to-end diagrams
### CME MDP3 / OnixS
```mermaid
sequenceDiagram
participant FE as OnixS feed-engine thread
participant L as MDP3Listener
participant P as MDProducer / shared memory
participant Q as SecurityIDRecorder queues
participant D as sparkd dispatcher thread
participant DB as key_ids.sqlite
FE->>L: instrument definition (CME SecurityID)
L->>L: set_security_common() - numeric_id = CME SecurityID, key remains 0
L->>P: add_security(FixedSecurity)
P->>P: allocate hot + cold entries with key 0
P->>Q: ensure_key(handle)
L->>L: index[CME SecurityID] = handle
Note over FE,L: Books can route by CME ID while the Spark key is pending
D->>Q: every 200 ms - work_spreads(), work_handles(), work_db()
Q->>DB: find (namespace, descriptor), or insert a new row
DB-->>Q: SQLite rowid = Spark security key
Q->>P: handle.set_key(rowid)
P->>P: hot.key first, then cold security.key, then increment security_count
Note over P: The security is now public to shared-memory consumers
```
### Generalized/newer pipeline (current behavior)
```mermaid
sequenceDiagram
participant A as Venue adapter / plugin
participant DB as IDGenerator / key_ids.sqlite
participant G as GeneralMarketDataListener
participant I as GeneralSecurityIndex
participant P as MDProducer / shared memory
A->>DB: get_or_add(venue, type, adapter key)
DB-->>A: SQLite rowid as domain SecurityID
A->>G: on_securities(domain Security list with ID)
G->>G: _find_sec() - use incoming security_common.id
G->>G: _copy_security_common() - key = id, numeric_id = id
G->>P: add_security(FixedSecurity with non-zero key)
P->>P: set_key() during add_security()
G->>I: index[id] = handle
Note over G,P: No asynchronous ID assignment in the current configuration
```
## Data-flow charts
The sequence diagrams above emphasize timing and thread transitions. These
flowcharts emphasize which identifier is carried through each representation
and where data is retained.
### MDP3 / legacy data flow
```mermaid
flowchart TD
CME["CME MDP3 packets<br/>CME SecurityID"] --> ONIXS["OnixS feed engine<br/>decode definition and updates"]
ONIXS --> DEF["MDP3Listener definition callback"]
DEF --> FIXED["FixedSecurity<br/>numeric_id = CME SecurityID<br/>key = 0"]
FIXED --> PRODUCER["MDProducer::add_security"]
PRODUCER --> PENDING["Hot and cold shared memory<br/>allocated but not public<br/>key = 0"]
PRODUCER --> QUEUE["SecurityIDRecorder<br/>pending_handle queue"]
FIXED --> CMEINDEX["CMESecurityIndex<br/>CME SecurityID to handle"]
QUEUE --> TIMER["Dispatcher timer<br/>every 200 ms"]
TIMER --> LEGS{"Spread legs<br/>all resolved?"}
LEGS -- No --> UNRESOLVED["unresolved_legs<br/>exchange IDs awaiting keys"]
UNRESOLVED --> CMEINDEX
CMEINDEX --> LEGS
LEGS -- Yes or outright --> LOGICAL["Logical identity<br/>venue + type + security_desc"]
LOGICAL --> SELECT["SQLite SELECT<br/>key_ids.sqlite"]
SELECT -- Existing row --> ROWID["SQLite rowid<br/>Spark security key"]
SELECT -- Missing row --> INSERT["Batched SQLite INSERT"]
INSERT --> ROWID
ROWID --> SETKEY["MDProducerHandle::set_key"]
SETKEY --> HOT["Write hot-entry key"]
HOT --> COLD["Write cold security key"]
COLD --> COUNT["Increment security_count"]
COUNT --> PUBLIC["Public security<br/>visible to MDConsumer"]
ONIXS --> UPDATE["Book, trade, status, or RFQ<br/>carrying CME SecurityID"]
UPDATE --> CMEINDEX
CMEINDEX --> HANDLE["MDProducerHandle"]
HANDLE --> LIVE["Update live shared-memory data"]
PUBLIC --> LIVE
```
The CME index is usable before the Spark key is assigned, so feed updates can
reach the internal handle while the security is still hidden from consumers.
The persistent rowid crosses the publication boundary only at `set_key()`.
### Generalized/newer data flow
```mermaid
flowchart TD
FEED["Venue feed, Databento,<br/>Python plugin, or replay"] --> ADAPTER["Source adapter<br/>build domain::Security"]
ADAPTER --> IDTYPE{"Live definition or<br/>recorded/pre-keyed input?"}
IDTYPE -- Live --> IDINPUT["Logical identity<br/>venue + type + adapter-chosen name"]
IDINPUT --> MUTEX["IDGenerator global mutex"]
MUTEX --> SELECT["Synchronous SQLite SELECT<br/>key_ids.sqlite"]
SELECT -- Existing row --> ROWID["SQLite rowid"]
SELECT -- Missing row --> INSERT["Synchronous SQLite INSERT<br/>autocommit"]
INSERT --> ROWID
ROWID --> DOMAINID["domain::SecurityID<br/>used as Spark ID"]
IDTYPE -- Recorded or pre-keyed --> DOMAINID
DOMAINID --> DOMAINSEC["SecurityCommon::id = Spark ID"]
DOMAINSEC --> LISTENER["GeneralMarketDataListener::on_securities"]
LISTENER --> CCMAP["cc_sec_id_map<br/>incoming ID to Spark ID"]
LISTENER --> CONVERT["_copy_security_common<br/>FixedSecurity.key = ID<br/>numeric_id = ID"]
CONVERT --> PRODUCER["MDProducer::add_security"]
PRODUCER --> SETKEY["Immediate set_key<br/>no recorder timer"]
SETKEY --> SHM["Hot and cold shared memory<br/>immediately public"]
CONVERT --> GENERALINDEX["GeneralSecurityIndex<br/>ID to handle"]
FEED --> EVENT["Book, trade, or statistics<br/>with exchange/source identity"]
EVENT --> EVENTMAP["Adapter map<br/>source identity to domain::SecurityID"]
EVENTMAP --> EVENTID["Event carries domain::SecurityID"]
EVENT --> PYHOT["Python bridge only<br/>synchronous IDGenerator lookup"]
PYHOT --> EVENTID
PYHOT -. uses same mutex and SQLite path .-> MUTEX
EVENTID --> CCMAP
CCMAP --> GENERALINDEX
GENERALINDEX --> HANDLE["MDProducerHandle"]
HANDLE --> SHMUPDATE["Update book, trade,<br/>statistics, or status"]
SHM --> SHMUPDATE
```
In the normal newer live path, persistence occurs before the definition enters
the generalized listener. The DB call therefore adds synchronous adapter-side
latency, but publication needs no later timer. Most adapters use an in-memory
map for subsequent events; the dotted Python path is the documented exception.
## The publication boundary
`MDProducerHandle::set_key()` is the definitive publication point for the
legacy shared-memory representation. Its write ordering is intentional:
1. Write the key into the hot book entry (`HotEntry` or `HotDepthEntry`).
2. Write the key into the cold security entry.
3. Increment the cold header's public `security_count`.
The cold security key is written last because consumers treat a non-zero cold
key as visibility. At that moment the corresponding hot entry must already be
addressable. `set_key()` only permits the transition from `0` to one key; it is
not a key-update mechanism.
## Identifier representations
The names are historically inconsistent. In particular, many protobuf fields
named `security_id` contain the **Spark key**, not the exchange's ID.
| Layer | Exchange/feed identifier | Spark identifier |
|---|---|---|
| MDP3 wire/OnixS | `securityId()` | not present |
| Legacy fixed security | `FixedSecurity::numeric_id` (`uint64_t`) | `FixedSecurity::key` / `security_key` (`uint32_t`) |
| Legacy API security | venue-specific `exchange_id` | top-level `Security.id()` |
| New domain model | `SecurityCommon::exchange_sec_id` (string) is descriptive; `SecurityCommon::id` is also used to correlate source events | `domain::SecurityID` (`uint64_t`), currently copied into the Spark key |
| Shared-memory hot book | none | `HotEntry::key` or `HotDepthEntry::key` |
| Shared-memory cold metadata | `FixedSecurity::numeric_id` | `FixedSecurity::key` |
| CME runtime lookup | `CMESecurityIndex` key | `SecurityData::handle.key()` |
| General runtime lookup | incoming/canonical `domain::SecurityID` | `GeneralSecurityIndex` key and `handle.key()` (currently the same value) |
The generalized model declares `domain::SecurityID` as 64-bit, but the legacy
shared-memory `security_key` remains 32-bit. `_copy_security_common()` assigns a
64-bit value to both `numeric_id` and the 32-bit `key`. This is safe only while
allocated IDs fit in 32 bits; unlike the legacy lookup path, this assignment has
no explicit checked conversion.
## Which parts use exchange IDs, descriptors, or Spark security IDs?
The three identifier classes serve different jobs:
- **Exchange/external ID:** routes data inside a venue or vendor feed adapter.
- **Descriptor/natural key:** recognizes a definition logically at the
persistence, discovery, or human-facing boundary.
- **Spark security ID/key:** joins the instrument to books, orders, fills,
positions, and services after publication.
The core downstream system does not repeatedly identify a security from its
description. The description is primarily used to obtain a Spark key; after
that boundary, most joins use the numeric Spark key.
### Component-level usage matrix
| Component or data path | Exchange/external ID | Descriptor or name | Spark security ID/key |
|---|---|---|---|
| CME MDP3 definition decoder | Reads `securityId()` and stores it in `FixedSecurity::numeric_id` | Copies definition symbol/tag 55 into `security_desc` | Leaves `FixedSecurity::key` at `0` initially |
| `CMESecurityIndex` | Primary map key; CME ID resolves to a handle | Not used for update routing | Returns `handle.key()` when the Spark key has been assigned |
| MDP3 books, trades, status, statistics, and RFQs | Incoming CME ID selects the handle through `CMESecurityIndex` | Not used to locate each update | The selected handle writes keyed shared-memory/trade data after publication |
| MDP3 spread definitions | Each leg initially contains `legSecurityId()` as `exchange_key` | Parent `security_desc` identifies the spread's DB row | Each leg's Spark key and then the parent Spark key must be resolved before publication |
| Legacy ICE OnixS | Uses ICE `marketId` as `numeric_id` and index key | ICE security description becomes the logical lookup name | Uses the same recorder-assigned Spark key pattern as MDP3 |
| `SecurityIDRecorder` | Does not allocate from the external ID | Uses `(venue, security type, securities::descriptor())` to find/create a row | Treats the SQLite rowid as the resulting Spark key |
| Native generalized adapters | Use exchange strings/numeric IDs to parse definitions and correlate updates | Usually pass a description or exchange instrument name to `IDGenerator` | Put the returned ID into `SecurityCommon::id` and later events |
| Databento adapter | Uses `msg.hd.instrument_id` for feed correlation and its in-memory map | Uses the decimal instrument ID string—not the human description—as the `IDGenerator` name | Caches `instrument_id -> domain::SecurityID` and places that ID on books/trades |
| Python bridge | Reads `exchange_security_id` from definitions, books, and trades | Uses that external-ID string as the `IDGenerator` name | Resolves it to `domain::SecurityID`; currently performs this lookup for every event |
| `IDGenerator` | Does not interpret whether `name` came from an exchange ID | Uses exactly `(venue, type, caller-supplied name)` | Returns the SQLite rowid as a 64-bit ID |
| `GeneralMarketDataListener` | Does not route on `exchange_sec_id` directly | Copies `sec.desc()` into fixed metadata; its disabled fallback allocator would use `sec.desc()` | Uses incoming `SecurityCommon::id`, maps events through `cc_sec_id_map`, and copies the value into both `key` and `numeric_id` |
| `GeneralSecurityIndex` | No separate external-ID concept in the current use-given path | Not used | Maps the generalized ID/Spark key to `MDProducerHandle` |
| `MDProducer` / shared memory | Retains `numeric_id`; in legacy feeds this is the exchange ID, but in the generalized path it is currently the Spark ID | Stores `security_desc` in the cold definition | Uses the key in hot/cold entries; non-zero key is the visibility boundary |
| `MDConsumer` | Not normally used to find live books | Can enumerate/filter converted security definitions | Finds handles and book data by `security_key` |
| `SecurityCache` / `securities.sqlite` | Preserves venue-specific exchange data inside the serialized security blob | Maintains descriptor/name lookup indexes and supports venue/type/name queries | Primary persisted definition key is `api::Security.id()` |
| MBO processor and MBO service | May retain exchange **order** IDs, which are separate from security exchange IDs | Not used to find the instrument | Indexes snapshots and requests by `SecurityKey`; MBO protobuf `security_id` means Spark key |
| Order manager and algorithms | Execution gateways eventually use venue-specific fields from the resolved security to encode orders | Descriptions appear in logs and errors, not as the primary join | Order definitions, subscriptions, book events, native orders, spread legs, and fills use `security_key` / `Security.id()` |
| Position, PNL, and risk services | Not used as their position join | May resolve metadata for display/reporting | Positions, fills, overrides, and PNL handles are keyed by Spark security ID |
| Relay and market-data recordings | Serialized security definitions may preserve venue exchange IDs | Preserve full descriptors in recorded definitions | Books, updates, trades, and replay correlation preserve the recorded Spark key |
| Synthetic security service | No venue exchange ID; synthetics use `VENUE_BTS` | Synthetic name is the recorder's logical descriptor | Recorder assigns the SQLite rowid and synthetic metadata is keyed by it |
### Exchange/external IDs: where they stop
In MDP3 the separation is explicit:
```text
CME SecurityID
-> FixedSecurity.numeric_id
-> CMESecurityIndex lookup
-> MDProducerHandle
-> Spark security_key for downstream publication
```
The external CME ID continues to route feed messages but does not become the
order/position key. This permits the same downstream Spark key to survive a
restart as long as the logical descriptor mapping remains in
`key_ids.sqlite`, even if the feed must rediscover the CME routing ID.
The generalized path collapses more of these roles:
```text
exchange/vendor identity
-> adapter calls IDGenerator
-> domain::SecurityID
-> FixedSecurity.key and FixedSecurity.numeric_id
-> GeneralSecurityIndex and downstream Spark key
```
`SecurityCommon::exchange_sec_id` may still contain the original textual
external identifier, but `GeneralMarketDataListener` does not use it to route
events and does not put it in `numeric_id`. The adapter must translate later
events to `domain::SecurityID` before invoking the listener.
### Descriptor/name users
Descriptors are used in three main places:
1. **Key allocation:** `SecurityIDRecorder` uses the legacy venue-specific
descriptor, while `IDGenerator` uses its caller-provided `name`.
2. **Definition lookup and discovery:** `SecurityCache` supports
venue/type/name lookup; symbol filters and administrative tools use security
metadata to select or display instruments.
3. **Diagnostics:** logs include symbols and descriptions so humans can
understand a numeric key.
Descriptions generally do not drive the high-rate book, trade, order, fill, or
position paths. Those paths use numeric IDs after definition resolution.
It is important that “descriptor” does not mean one universal canonical field:
- Legacy CME uses Globex `security_desc` from tag 55.
- Many generalized adapters use `sec.desc()` or an exchange instrument name.
- Databento uses its numeric instrument ID converted to a string.
- Python uses `exchange_security_id`.
Therefore, two adapters may describe the same economic contract but request
different logical rows and receive different Spark IDs.
### Spark security-ID users
Once a security is published, its Spark key is the dominant system identifier:
```mermaid
flowchart LR
KEY["Spark security key"] --> SHM["Hot/cold shared memory"]
KEY --> MDC["MDConsumer and book subscriptions"]
KEY --> MBO["MBO snapshots and queries"]
KEY --> OMS["Orders, algorithms, and spread legs"]
KEY --> FILLS["Fills and execution records"]
KEY --> POS["Positions, PNL, and risk"]
KEY --> API["Services and client APIs"]
KEY --> REC["Relay and market-data recordings"]
KEY --> SECDB["Serialized security definitions"]
```
Fields named `security_id`, `security_key`, or top-level `Security.id()` in
these downstream areas almost always mean the Spark key. They should not be
compared directly with CME `SecurityID`, Databento `instrument_id`, or another
venue/vendor identifier without going through the relevant adapter/index
mapping.
## Persistence and allocation
### The authoritative key mapping: `key_ids.sqlite`
Both allocators use `SqliteStore("key_ids")`. With the normal configuration the
file is:
```text
<SystemConfig.data_path>/databases/key_ids/key_ids.sqlite
```
The database contains one table and two indexes:
```sql
CREATE TABLE store (ns TEXT, key TEXT, value TEXT);
CREATE UNIQUE INDEX key_index ON store(ns, key);
CREATE INDEX ns_index ON store(ns);
```
The SQLite `rowid` is the generated Spark key. `ns` is normally
`<VENUE>.<SECURITY_TYPE>` (for example `GLBX.FUTURE`), and `key` is the security
descriptor chosen by the caller. `value` is normally empty. Therefore ID
stability depends on all three of these remaining stable:
- the configured `data_path` and preservation of this database;
- the venue/type namespace;
- the descriptor supplied by the feed adapter.
The two allocator implementations share the file and convention:
- `SecurityIDRecorder` (legacy): derives the namespace from legacy API enums and
uses `securities::descriptor()`. For CME this is the Globex
`security_desc`, populated from the definition's symbol/tag 55.
- `IDGenerator` (newer): derives the namespace from new domain enums and uses
the caller's `name`. Most adapters pass `sec.desc()` or an exchange instrument
identifier; Databento deliberately passes the decimal instrument ID, and the
Python bridge uses the exchange security ID.
### Logical-row examples
The following names are illustrative. Production uses the exact string emitted
by the selected feed/adapter, including its case, spacing, and weekly-series
notation.
#### Legacy `SecurityIDRecorder`
For CME, `set_security_common()` copies the MDP3 definition's symbol/tag 55 into
Globex `security_desc`. After converting the fixed security to
`api::Security`, `securities::descriptor()` returns that same
`glbx.security_desc()` string.
| Instrument | Legacy enums | Example descriptor from `security_desc` | Row searched/inserted in `store` |
|---|---|---|---|
| Future | `VENUE_GLBX`, `SECURITYTYPE_FUTURE` | `ESZ6` | `ns='GLBX.FUTURE', key='ESZ6'` |
| Standard option | `VENUE_GLBX`, `SECURITYTYPE_OPTION` | `ESZ6 C6500` | `ns='GLBX.OPTION', key='ESZ6 C6500'` |
| Weekly option | `VENUE_GLBX`, `SECURITYTYPE_OPTION` | `ESZ6-W1 C6500` | `ns='GLBX.OPTION', key='ESZ6-W1 C6500'` |
| Spot from a legacy-compatible venue path | `VENUE_COINBASE`, `SECURITYTYPE_SPOT` | `BTC-USD` | `ns='COINBASE.SPOT', key='BTC-USD'` |
A weekly option does not get a special namespace. Standard and weekly options
are both `SECURITYTYPE_OPTION`, so both live in `GLBX.OPTION`; the exact
`security_desc` distinguishes the weekly series. For example, if the database
assigned rowids `42001` through `42004` to the rows above, those integers—not
the descriptor strings—would be the Spark security keys.
Conceptually, legacy allocation is:
```text
future: lookup_or_insert("GLBX.FUTURE", "ESZ6")
option: lookup_or_insert("GLBX.OPTION", "ESZ6 C6500")
weekly option: lookup_or_insert("GLBX.OPTION", "ESZ6-W1 C6500")
spot: lookup_or_insert("COINBASE.SPOT", "BTC-USD")
```
#### Newer `IDGenerator`
The namespace result is similar, but the third argument is chosen by the
adapter. Examples using a description-oriented adapter are:
```cpp
get_or_add(VENUE_GLBX, SECURITY_TYPE_FUTURE, "ESZ6");
// store: ns="GLBX.FUTURE", key="ESZ6"
get_or_add(VENUE_GLBX, SECURITY_TYPE_OPTION, "ESZ6 C6500");
// store: ns="GLBX.OPTION", key="ESZ6 C6500"
get_or_add(VENUE_GLBX, SECURITY_TYPE_OPTION, "ESZ6-W1 C6500");
// store: ns="GLBX.OPTION", key="ESZ6-W1 C6500"
get_or_add(VENUE_COINBASE, SECURITY_TYPE_SPOT, "BTC-USD");
// store: ns="COINBASE.SPOT", key="BTC-USD"
```
Databento intentionally produces a different logical row even when the human
description is `ESZ6`. If its instrument ID were `12345678`, it would call the
equivalent of:
```cpp
get_or_add(VENUE_GLBX, SECURITY_TYPE_FUTURE, "12345678");
// store: ns="GLBX.FUTURE", key="12345678"
```
Likewise, the Python bridge uses `exchange_security_id`. A spot definition with
`exchange_security_id="BTC-USD"` produces the `COINBASE.SPOT / BTC-USD` row,
while a provider that sends `exchange_security_id="BTCUSD"` produces a
different row and therefore a different Spark key.
These examples show why the tuple is only logical when the adapter's naming
contract is also known. `GLBX.FUTURE / ESZ6` and `GLBX.FUTURE / 12345678` may
describe the same contract to a human but are distinct rows to `key_ids.sqlite`.
Both enum-prefix removals currently produce the same namespace spelling (for
example, `GLBX.OPTION`), so both mechanisms allocate from one global SQLite
rowid space. Live rows cannot share a rowid. The table does not declare
`AUTOINCREMENT`, however, so deleting rows—especially the highest row—can allow
SQLite to reuse a number later. Security-key rows should therefore be treated
as append-only operational data.
`SqliteStore` uses WAL mode and `PRAGMA synchronous = 0`. This favors startup
and feed latency over maximum durability against a host/power failure. The
unique `(ns, key)` index prevents two different rows for the same logical
security.
### Other places the key is stored
| Location | Purpose | Authoritative for allocation? |
|---|---|---|
| Hot and cold shared-memory segments | Live publication and fast consumer lookup | No; rebuilt at process startup |
| `CMESecurityIndex` / `GeneralSecurityIndex` and adapter maps | In-process routing from an incoming ID to a producer handle | No; in-memory only |
| `<data_path>/databases/md/securities.sqlite` | Serialized legacy `api::Security` definitions keyed by Spark key; used by security cache and MDP3 Sunday preload | No; it stores metadata after a key exists |
| Relay/market-data recordings | Preserve the key embedded in recorded securities, books, and trades for deterministic replay | No; replay normally reuses the recorded value |
| Orders, fills, positions, APIs | Reference a security by the published Spark key | No |
The `SecurityIDRecorder::work_db()` comment says a published security is also
recorded in the security database, but that function does **not** write
`securities.sqlite` in the current code. Full security definitions are persisted
separately by `SecurityCache::flush_to_disk()` through
`db::insert_or_replace()`.
## CME MDP3 / OnixS pipeline in detail
### 1. Construction and thread setup
`MDP3Main::PImpl` owns one `CMESecurityIndex`, one `SecurityIDRecorder`, and one
`MDProducer`. It constructs the recorder with:
- a lookup callback that maps `ExchangeKey` through the CME index to the
handle's current Spark key; and
- `Dispatcher::current()`, which drives a 200 ms recorder timer.
In the current `MarketDataGateway` route, `OnixsGlbxSubscription` creates a
dedicated `dispatcher_thread`, constructs and starts `MDP3Main` on that thread,
then calls that thread's dispatcher `run()`. The older `md run onixs` command
uses its command/dispatcher thread similarly.
The OnixS feed engine has its own configured thread pool. Instrument and market
data callbacks therefore originate on OnixS feed-engine threads, while recorder
database work and final key assignment execute on the MDP3 dispatcher thread.
| MDP3 stage | Executing thread | DB call? |
|---|---|---|
| Decode definition and set CME `numeric_id` | OnixS feed-engine callback thread | No |
| Allocate hot/cold entry and queue handle | Same OnixS callback thread | No |
| Add CME-ID index entry | Same OnixS callback thread | No |
| Resolve spread legs | MDP3 dispatcher thread, on 200 ms timer | No |
| Select/insert Spark key | MDP3 dispatcher thread, on 200 ms timer | Yes |
| `handle.set_key()` and public visibility | MDP3 dispatcher thread, in DB callback | No additional call |
### 2. Definition callback: exchange ID is set, Spark key is not
For futures, options, and spreads, `MDP3Listener::set_security_common()` does:
```cpp
fsec.numeric_id = def.securityId();
```
It also copies symbol/descriptor/venue and pricing fields. A newly constructed
`FixedSecurity` already has `key == invalid_security_key` (`0`), and this helper
does not change it.
For a spread, every leg starts with:
```cpp
leg.exchange_key = ExchangeKey(definition_leg.legSecurityId());
leg.key = invalid_security_key;
```
Thus both the parent and legs initially carry exchange-routing identity, but no
Spark identity.
### 3. Shared-memory allocation and exchange indexing
`MDP3Listener::add_security()` performs these operations in order:
1. `_producer.add_security(security)` allocates a hot entry and a variable-sized
cold entry and copies the security into the cold segment.
2. Because the key is `0`, `MDProducer` queues the handle through
`SecurityIDRecorder::ensure_key()`.
3. `_index.add_security(security.numeric_id, handle)` immediately creates the
CME-ID-to-handle mapping.
4. The initial exchange status is written through the handle.
This ordering means incoming books can already be routed by CME ID while the
Spark key is pending. Shared-memory consumers cannot discover the security yet.
Also, `MDProducerHandle::add_trade()` only appends to the public trade queue
when `key() != 0`, so a trade received in this short window updates the cold
last-trade state but is not added to the keyed trade log.
### 4. Recorder tick: spreads, handles, then database
Every 200 ms the recorder calls, in this exact order:
1. `work_spreads()` tries to fill previously unresolved spread leg keys by
asking `CMESecurityIndex` for each leg exchange ID.
2. `work_handles()` drains new handles. Outrights are converted to an API
security and queued for DB lookup immediately. A spread without all leg keys
is retained in `pending_handle` and its leg pointers are registered in
`unresolved_legs`.
3. `work_db()` resolves queued `(venue, type, descriptor)` requests.
Because spread work precedes new-handle work, a newly seen unresolved spread
normally waits until at least the next timer tick to resolve legs. It waits
longer if any outright leg has not yet received its Spark key. A spread's own
key is not requested until every leg key is non-zero.
### 5. Lookup or generation
`work_db()` first queries `(ns, key)`:
- Existing row: use its `rowid` as the key and invoke the callback.
- Missing row: batch it into `insert_many_resolve_ids()`. SQLite assigns a new
rowid inside a transaction, the row object receives that ID, and the callback
runs after the transaction completes.
New inserts are throttled to roughly 200 per timer pass (the current `> 200`
check can admit 201) to avoid delaying heartbeats during startup. The queues are
TBB concurrent queues, but all SQLite access is serialized onto the recorder's
dispatcher thread. `check_access()` asserts this single-thread rule after the
first work pass records the dispatcher thread ID.
### 6. Final assignment and visibility
The queued callback captures a copy of `MDProducerHandle` and calls
`handle.set_key(id)` on the dispatcher thread. `set_key()` writes hot, then cold,
then increments `security_count`. From this point:
- shared-memory scans report the security;
- `CMESecurityIndex::get_key(CME_ID)` returns the Spark key;
- trades and RFQs can be emitted with a non-zero key;
- resolved spreads can copy this key into their leg structures.
### 7. Sunday preload is a fast path
For configured symbols on Sunday, `MDP3Main::prepare_listener()` loads stored
definitions from `securities.sqlite`. It converts them with
`set_security_key=true`, so both the security key and spread leg keys come from
the serialized API security. `MDProducer::add_security()` calls `set_key()`
immediately, and no recorder lookup is required for that preloaded handle. The
CME exchange ID is still restored into `numeric_id`, allowing the normal CME
index to be built.
## Generalized/newer pipeline in detail
### 1. Topology and ownership
`Run::run()` starts a detached thread named `MarketDataGateway`. On that thread,
`run_md_gwy()` obtains the process-wide `IDGenerator`, constructs
`MarketDataGateway`, and starts the configured providers. For each `(venue,
source)` returned by a provider, the gateway creates an `MdSink` containing:
- a venue-local `GeneralSecurityIndex`;
- a default `MDProducer` (not wired to a `SecurityIDRecorder`); and
- a `GeneralMarketDataListener` connecting the source to that producer/index.
The source decides its callback thread. Some sources call the listener while
starting; others own network or replay threads. The generalized listener calls
the producer inline on that source thread. The process-wide `IDGenerator`
serializes its own calls with a mutex, but the listener's transient
`cc_sec_id_map` is an ordinary `unordered_map`, so each source/listener pair is
expected to serialize security/event callbacks.
| Generalized stage | Executing thread | DB call? |
|---|---|---|
| Build/parse domain definition | Source/adaptor thread | No |
| `IDGenerator::get_or_add()` | Same source/adaptor thread | Yes, synchronously |
| `GeneralMarketDataListener::on_securities()` | Same source callback thread | No in current use-given mode |
| Copy ID to `FixedSecurity::key` and `numeric_id` | Same source callback thread | No |
| `MDProducer::add_security()` / `set_key()` | Same source callback thread | No additional call |
| Add `GeneralSecurityIndex` entry | Same source callback thread | No |
There are two important compatibility exceptions inside the provider framework:
- `OnixsGlbxSubscription::start()` ignores the supplied generalized listener
and starts `MDP3Main`; CME/OnixS therefore still follows the asynchronous
legacy flow documented above.
- `EmumbaDeribitSubscription::start()` also ignores that listener and uses
`EmMDListener`, which allocates via `IDGenerator` and writes through its own
producer/index. Its assignment is still synchronous and pre-populated, so it
resembles the newer ID flow even though it does not pass through
`GeneralMarketDataListener`.
### 2. How a new ID is constructed
For a normal live generalized adapter, ID creation happens **in the adapter,
before** `GeneralMarketDataListener::on_securities()`:
```text
logical identity = (domain venue, domain security type, adapter-chosen name)
Spark ID = SQLite rowid for that identity in key_ids.sqlite
```
`IDGenerator::get_or_add(venue, type, name)` formats a namespace by stripping
the enum prefixes:
```text
VENUE_TAIFEX + SECURITY_TYPE_FUTURE -> TAIFEX.FUTURE
```
It then calls `retrieve_one(ns, name)`. If the row exists, it returns that
row's `rowid`. If absent, it inserts `(ns, name, "")`, and SQLite assigns the
next rowid. That integer is wrapped in `domain::SecurityID` and placed in
`SecurityCommon::id`.
The third identity component is adapter-specific, and this matters when trying
to reproduce a mapping:
| Source/adaptor family | Typical `name` sent to `IDGenerator` |
|---|---|
| Binance, Coinbase, Deribit, OKX and similar native/CCAPI paths | Usually `sec.desc()` / exchange instrument name |
| Taifex | product/instrument ID string |
| Databento | `std::to_string(msg.hd.instrument_id)`, not the human-readable description |
| Python bridge | `exchange_security_id` (and it asserts Python supplied ID is zero for definitions) |
| Emumba Deribit | extracted Emumba security descriptor |
| Replay | no new allocation for a recorded definition; it reuses the recorded `SecurityCommon::id` |
So “security name” alone is not a universal logical key. Reproduction requires
the exact venue enum, exact security-type enum, and the exact adapter-specific
name used at insertion time.
### 3. What `GeneralMarketDataListener` does with that ID
`on_securities()` first calls `_find_sec(sec, true)`. Its current, compile-time
behavior is controlled by:
```cpp
const bool use_given_sec_key = true;
```
Consequently, for a newly seen incoming `domain::SecurityID` it does **not**
call the DB. It copies `security_common.id.value()` into its transient
`cc_sec_id_map`. `_add_future()`, `_add_option()`, `_add_spread()`, or
`_add_spot()` then calls `_copy_security_common()`, which sets:
```cpp
to.key = incoming_id;
to.numeric_id = incoming_id;
```
This collapses the generalized source/correlation ID and Spark shared-memory
key into the same number. The source's text `exchange_sec_id` remains on the
domain security but is not copied into `FixedSecurity::numeric_id` by this
path.
`_commit_security()` then:
1. calls `MDProducer::add_security()` with an already non-zero key;
2. causes `MDProducerHandle::set_key()` to run immediately during that call;
3. inserts the handle in `GeneralSecurityIndex` under `numeric_id` (the same
number); and
4. returns with the security already visible in shared memory.
Because the sink's producer has no recorder, supplying `id == 0` would allocate
the shared-memory entry but never assign or publish its key. Generalized live
sources must therefore provide a valid non-zero ID before `on_securities()`.
The listener contains an alternative branch for `use_given_sec_key == false`.
That branch would call `IDGenerator::get_or_add(me->venue, sec.type(),
sec.desc())` itself. It is currently disabled, and `_generate_security_key()` is
also effectively unused. Turning the flag off is not a mechanical change: an
adapter such as Databento allocates using numeric instrument ID while the
listener branch would use `sec.desc()`, potentially creating a second key for
the same instrument.
There is also a spread failure edge case. `_find_sec(sec, true)` records the
parent ID in `cc_sec_id_map` before `_add_spread()` resolves its legs. If any leg
ID is absent, `_add_spread()` logs and returns without committing the spread. A
later repeat of the parent definition is then classified as a duplicate and
ignored, so definition ordering is a hard requirement in the current code.
### 4. How later books, trades, and statistics find the security
Every later domain event carries a `domain::SecurityID`:
- `Book::security_id()`;
- `TradeRecord::sec_id`; or
- `SecurityMarketDataStatistics::security_id`.
The listener first uses `cc_sec_id_map` to translate that event ID to the value
stored in `GeneralSecurityIndex`, then obtains the `MDProducerHandle`. With
`use_given_sec_key == true`, this mapping is numerically identity-to-identity,
but it still serves as the admission check that the definition was seen.
Most high-throughput adapters avoid SQLite on market-data events:
- Databento allocates on the definition and caches
`instrument_id -> domain::SecurityID` in `sec_id_map` for books/trades.
- Taifex keeps the resolved ID in its security-details mapper.
- Other native subscriptions maintain comparable descriptor/ID maps.
The Python bridge is a notable exception: `to_bts_security_()`,
`to_bts_trade_()`, and `to_book_()` all call `get_sec_id_()`, which calls
`IDGenerator::get_id(..., add_if_new=true)`. As written, that performs at least
one SQLite `SELECT` for each converted Python definition, trade, or book. It
returns the existing ID after the first insert, but it is still a DB call and
takes the global `IDGenerator` mutex on every event.
### 5. Persistence timing and latency
The newer allocator is synchronous:
- Existing security: mutex acquisition plus one SQLite `SELECT` on the caller's
thread.
- New security: mutex acquisition, one `SELECT`, then one SQLite `INSERT`
(SQLite autocommit), also on the caller's thread.
- Listener publication: no further DB call under the current
`use_given_sec_key` setting.
The ID therefore exists in `key_ids.sqlite` before the adapter sends the
definition to the listener. There is no intentional 200 ms publication delay,
but the source callback/startup path directly pays DB and mutex latency. Bulk
definition discovery performs one lookup and possibly one insert per security;
`IDGenerator` does not batch those operations.
WAL mode helps concurrency, while `synchronous=0` reduces fsync cost. It does
not eliminate SQL parsing/stepping, mutex contention, page-cache misses, or
occasional file-system work. The impact is usually a startup/definition cost
when adapters cache the result, but it becomes hot-path latency for code such as
the current Python bridge that resolves every event through the DB.
`GeneralMarketDataListener` itself does not persist the full contract definition
to `securities.sqlite`; that remains the separate security-cache/metadata
persistence path described earlier.
## Comparison: MDP3 recorder vs generalized allocator
| Property | MDP3 / `SecurityIDRecorder` | Generalized / `IDGenerator` |
|---|---|---|
| Logical input | venue + type + legacy `security_desc` | venue + type + adapter-chosen name |
| Numeric output | SQLite rowid, checked/read as 32-bit `security_key` | SQLite rowid returned as 64-bit `domain::SecurityID`, then narrowed into 32-bit shared-memory key |
| Allocation point | After definition is copied to shared memory | Normally inside adapter before listener sees definition |
| DB execution | Asynchronous on dispatcher timer | Synchronous on caller/source thread |
| Existing ID cost | One deferred `SELECT` | One immediate `SELECT` per call |
| New ID cost | Deferred, batched transaction (about 200/pass) | Immediate `SELECT` + individual autocommit `INSERT` |
| Time until public | Usually 0–200+ ms; spreads may take extra ticks | Immediate after synchronous lookup/insert completes |
| Feed callback blocking | Queue push only for ID work | Yes, if the adapter invokes `IDGenerator` there |
| Spread legs | Parent waits asynchronously until all leg keys resolve by exchange ID | Definition processing requires every leg's incoming ID already exist in `cc_sec_id_map`; otherwise the spread is aborted |
| Runtime ID relationship | Exchange ID and Spark key remain distinct | Incoming/canonical ID, `numeric_id`, index ID, and Spark key are currently the same number |
| Persistence database | `key_ids.sqlite` | The same `key_ids.sqlite` |
| Batching | Yes for new rows | No |
| Failure behavior | Security has an internal handle with key 0 while normal queued work is pending; DB work does not block the feed callback | DB errors/zero results occur in the synchronous source path; a zero ID can leave an unpublishable entry, with no pending-key state machine |
Neither algorithm generates a UUID or a content hash. Both ultimately use an
opaque, database-assigned SQLite rowid. It is normally increasing and looks like
a sequence, but this schema does not request SQLite `AUTOINCREMENT`. The tuple
used to *look up* the row is logical; the resulting number is not derivable from
that tuple.
## Can another system reconstruct the same keys?
Not from `(venue, type, name)` alone. Another system can reconstruct the
**logical lookup tuple**, but it cannot calculate the numeric Spark key because
the key depends on the historical insertion order of every row in
`key_ids.sqlite`.
For example, two empty systems can insert the exact same `GLBX.FUTURE / ESZ6`
row and receive different IDs if other securities were inserted before it on
one system. They are sequential opaque IDs, not deterministic hashes and not
UUIDs.
Ways to preserve cross-system identity are:
1. Copy/replicate `key_ids.sqlite` (including rowids) and keep descriptor rules
identical. This preserves existing numeric keys but requires coordinated
allocation for new ones.
2. Export an explicit mapping of `(namespace, adapter key) -> Spark key`, then
import rows with their original rowids before either system allocates new
securities.
3. Treat a stable external identity (venue + type + exchange instrument ID, or
another canonical instrument identifier) as the cross-system key and carry a
translation table to each system's local Spark key.
4. Introduce a deterministic ID scheme only as a versioned migration. A hash can
be computed independently, but collision handling, descriptor
canonicalization, aliases/renames, the existing 32-bit ABI, and compatibility
with orders/recordings/databases all need explicit design.
Copying only `securities.sqlite` is insufficient as an allocator strategy. It
contains security blobs keyed by already-assigned IDs, but `key_ids.sqlite` is
the mapping used to find or allocate those IDs. Conversely, copying only
`key_ids.sqlite` preserves the numbers but not all contract metadata.
## Other assignment paths in `sparkd`
The two main pipelines reduce to four ways a producer handle can acquire a key:
1. **Already keyed input.** `MDProducer::add_security()` sees a non-zero
`FixedSecurity::key` and calls `set_key()` immediately. Generalized feeds,
Sunday preload, relay playback, and other replay paths use this mechanism.
2. **Recorder-backed live input.** The input key is zero and the producer owns a
`SecurityIDRecorder`; `ensure_key()` queues asynchronous assignment. CME
MDP3 and legacy OnixS ICE use this mechanism. ICE uses `marketId` as
`numeric_id` and otherwise follows the same recorder/index design.
3. **Service assignment.** `SyntheticSecurityService` calls
`SecurityIDRecorder::assign_key()` directly on a background dispatcher. The
callback receives a copied `api::Security` with its top-level `id` set, then
publishes it to synthetic subscribers. It uses the same `key_ids.sqlite`
rowid allocator.
4. **Unkeyed input with no recorder.** The entry is allocated with key zero and
never becomes public. This is not a valid production assignment path, but it
is the failure mode if a generalized source omits its ID.
Relay and replay deserve care when reasoning about persistence:
- The generalized `MDReplayer` forwards the recorded domain security ID and
emits later books/statistics with the recorded `sec_key`, so the listener's
current use-given mode preserves the recording's numeric identity.
- The legacy relay producer converts a recorded `api::Security` with
`set_security_key=true`, so its shared-memory publication also preserves the
embedded key.
- The legacy relay recorder additionally calls `bulk_insert(..., "REPLAY: ")`
for logical mappings. Those rows use a `REPLAY: ` namespace prefix; this is a
separate mapping population step, not a deterministic derivation of the key.
## Operational implications
- Back up `key_ids.sqlite` and `securities.sqlite` together if numeric ID and
definition continuity matter.
- Do not delete/rebuild `key_ids.sqlite` on one host and assume IDs will match
another host, even when all instruments are identical.
- Before moving a feed between adapters, compare the exact `name` each adapter
supplies to `IDGenerator`. Matching venue/type is insufficient.
- Cache generated IDs in the source after definition processing. Avoid calling
`IDGenerator` from book/trade hot paths; the Python bridge currently violates
this guideline.
- Keep generated rowids below the 32-bit shared-memory ceiling until the
`security_key` ABI is widened or explicit bounds checking is added to the
generalized path.
- Ensure spread legs are announced before generalized spread parents.
- Treat `synchronous=0` as a durability decision. A copied DB should be taken
with SQLite-aware backup/checkpoint handling rather than by casually copying
active WAL files.
Useful inspection queries (run against the configured DB path) are:
```sql
SELECT rowid AS spark_key, ns, key
FROM store
ORDER BY rowid;
SELECT rowid AS spark_key, ns, key
FROM store
WHERE ns = 'GLBX.FUTURE' AND key = '<exact-adapter-key>';
```
## Source map
- [`SecurityIDRecorder.cpp`](../src/lib_spark/spark/md/SecurityIDRecorder.cpp):
legacy queues, 200 ms work ordering, logical row construction, DB callbacks,
and spread-leg resolution.
- [`IDGenerator.cpp`](../src/lib_spark/spark/persistence/IDGenerator.cpp):
synchronous generalized lookup/allocation and process-wide mutex.
- [`SqliteStore.cpp`](../src/lib_spark/spark/persistence/SqliteStore.cpp): DB
location, schema, WAL/synchronous pragmas, individual inserts, and batch
inserts.
- [`MDProducer.cpp`](../src/lib_spark/spark/md/MDProducer.cpp) and
[`MDProducerHandle.cpp`](../src/lib_spark/spark/md/MDProducerHandle.cpp):
shared-memory allocation, recorder handoff, and ordered publication.
- [`FixedSecurity.h`](../src/lib_spark/spark/md/Shm/FixedSecurity.h) and
[`MDStructure.h`](../src/lib_spark/spark/md/Shm/MDStructure.h): identifier
widths and hot/cold storage fields.
- [`MDP3Main.cpp`](../src/app_sparkd/sparkd/md/platforms/mdp3_onixs/MDP3Main.cpp)
and
[`MDP3Listener.h`](../src/app_sparkd/sparkd/md/platforms/mdp3_onixs/MDP3Listener.h):
MDP3 construction, definition callbacks, CME ID extraction, and spread legs.
- [`MDP3Listener.cpp`](../src/app_sparkd/sparkd/md/platforms/mdp3_onixs/MDP3Listener.cpp):
producer/index insertion order.
- [`OnixsGlbxSubscription.cpp`](../src/app_sparkd/sparkd/md/glbx/OnixsGlbxSubscription.cpp):
current dedicated MDP3 dispatcher-thread ownership.
- [`MarketDataGateway.cpp`](../src/app_sparkd/sparkd/md/MarketDataGateway.cpp)
and
[`GeneralMarketDataListener.cpp`](../src/lib_spark/spark/md/GeneralMarketDataListener.cpp):
generalized source/sink topology, incoming-ID mapping, fixed-security
conversion, and publication.
- [`DatabentoDataHandler.cpp`](../src/app_sparkd/sparkd/md/databento/DatabentoDataHandler.cpp),
[`TaifexDataProcessors.h`](../src/app_sparkd/sparkd/md/taifex/TaifexDataProcessors.h),
and
[`PyMarketDataSubscription.cpp`](../src/app_sparkd/sparkd/md/PyMarketDataSubscription.cpp):
representative adapter-side allocation and caching behavior.
- [`SecurityDB.cpp`](../src/lib_spark/spark/md/SecurityDB.cpp) and
[`SecurityCache.cpp`](../src/lib_spark/spark/md/SecurityCache.cpp): separate
persistence of full security definitions.
- [`SecurityIndex.h`](../src/lib_spark/spark/md/SecurityIndex.h),
[`MBOServiceServer.cpp`](../src/lib_spark/spark/md/MBOServiceServer.cpp), and
[`MDConsumer.cpp`](../src/lib_spark/spark/md/MDConsumer.cpp): exchange-index
translation followed by Spark-keyed market-data consumption and MBO access.
- [`OrderFactory.cpp`](../src/lib_spark/spark/orderman/order_factory/OrderFactory.cpp),
[`FillStore.cpp`](../src/lib_spark/spark/orderman/actors/FillStore.cpp), and
[`PositionMap.cpp`](../src/app_sparkd/sparkd/position/PositionMap.cpp):
representative downstream use of Spark security keys.
- [`MDReplayer.cpp`](../src/app_sparkd/sparkd/md/recording/MDReplayer.cpp) and
[`RelayClient.cpp`](../src/lib_spark/spark/md/relay/RelayClient.cpp): recorded
ID reuse.
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set(sources /home/taha/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
+2 -2
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@@ -1,8 +1,8 @@
cmake_minimum_required(VERSION 3.5)
project(doc)
include(${CMAKE_SOURCE_DIR}/cmake/safe_dep_glob.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/Protobuf.cmake)
include(${CMAKE_SOURCE_DIR}/tools/safe_dep_glob.cmake)
include(${CMAKE_SOURCE_DIR}/tools/Protobuf.cmake)
# DEPENDENCIES
set(DOC_GLOBS
@@ -1,38 +0,0 @@
FROM ubuntu:22.04
ARG DEBIAN_FRONTEND=noninteractive
RUN apt-get update && apt-get install -y pkg-config
RUN apt-get update && apt-get install -y locales
RUN apt-get update && apt-get install -y ca-certificates
RUN apt-get update && apt-get install -y libssh2-1-dev
RUN apt-get update && apt-get install -y software-properties-common
RUN apt-get update && apt-get install -y sudo
# GCC
ARG gcc_major=13
RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
&& apt-get update \
&& apt-get install -y g++-$gcc_major
RUN apt-get update \
&& apt-get install -y dotnet7
RUN locale-gen en_US.UTF-8
ARG docker_user="bts"
ARG docker_uid="1000"
ARG docker_pass="bts"
RUN \
groupadd -g "$docker_uid" "$docker_user" \
&& useradd \
-m \
-u "$docker_uid" \
-g "$docker_uid" \
-G sudo \
--password "$(openssl passwd -1 "$docker_pass")" \
"$docker_user"
USER bts
WORKDIR /home/bts
@@ -1,44 +0,0 @@
FROM ubuntu:22.04
ARG DEBIAN_FRONTEND=noninteractive
RUN apt-get update && apt-get install -y pkg-config
RUN apt-get update && apt-get install -y locales
RUN apt-get update && apt-get install -y ca-certificates
RUN apt-get update && apt-get install -y libssh2-1-dev
RUN apt-get update && apt-get install -y software-properties-common
RUN apt-get update && apt-get install -y sudo
RUN apt-get update && apt-get install -y tzdata
# GCC
ARG gcc_major=13
RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
&& apt-get update \
&& apt-get install -y g++-$gcc_major
RUN apt-get update \
&& apt-get install -y dotnet8
RUN apt-get update && apt-get install -y gdb
RUN apt-get update && apt-get install -y fish
RUN apt-get update && apt-get install -y vim
RUN apt-get update && apt-get install -y less
RUN locale-gen en_US.UTF-8
ARG docker_user="bts"
ARG docker_uid="1000"
ARG docker_pass="bts"
RUN \
groupadd -g "$docker_uid" "$docker_user" \
&& useradd \
-m \
-u "$docker_uid" \
-g "$docker_uid" \
-G sudo \
--password "$(openssl passwd -1 "$docker_pass")" \
"$docker_user"
USER bts
WORKDIR /home/bts
@@ -1,150 +0,0 @@
FROM ubuntu:22.04
ARG DEBIAN_FRONTEND=noninteractive
# Note installations that take a while (more than 10s)
RUN apt-get update
RUN apt-get install -y ca-certificates
RUN apt-get install -y ccache
RUN apt-get install -y curl
RUN apt-get install -y fish
RUN apt-get install -y gdb
# git-all: ~250s
RUN apt-get install -y git-all
RUN apt-get install -y gnupg
# liblttng-ust-dev: ~30s
RUN apt-get install -y liblttng-ust-dev
RUN apt-get install -y libssh2-1-dev
RUN apt-get install -y locales
RUN apt-get install -y ninja-build
# openssh-server: ~40s
RUN apt-get install -y openssh-server
RUN apt-get install -y pkg-config
RUN apt-get install -y software-properties-common
RUN apt-get install -y sudo
RUN apt-get install -y tzdata
RUN apt-get install -y vim
RUN apt-get install -y zip
# Python: ~30s
RUN apt-get install -y \
python3-pip \
python3-venv \
&& python3 -m pip install --upgrade pip
# GCC
ARG gcc_major=13
RUN \
add-apt-repository ppa:ubuntu-toolchain-r/test \
&& apt-get update \
&& apt-get install -y g++-$gcc_major
# Clang
ARG clang_major=17
RUN \
curl -fsSL https://apt.llvm.org/llvm-snapshot.gpg.key 2> /dev/null \
| gpg --dearmor - \
| tee /usr/share/keyrings/llvm-snapshot.gpg > /dev/null \
&& echo "deb [signed-by=/usr/share/keyrings/llvm-snapshot.gpg] http://apt.llvm.org/$(lsb_release -cs)/ llvm-toolchain-$(lsb_release -cs)-$clang_major main" \
| tee -a "/etc/apt/sources.list.d/llvm.list" \
&& apt-get update \
&& apt-get install -y \
clang-$clang_major \
clang-format-$clang_major \
clangd-$clang_major
# CMake
RUN set -eux \
&& apt-get update \
&& apt-get install -y --no-install-recommends ca-certificates curl gpg \
&& curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc \
| gpg --dearmor -o /usr/share/keyrings/kitware-archive-keyring.gpg \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
> /etc/apt/sources.list.d/kitware.list \
&& apt-get update \
&& apt-get install -y --no-install-recommends cmake \
&& rm -rf /var/lib/apt/lists/*
# Dotnet
RUN apt-get update && apt-get install -y dotnet8
# Node
ARG node_major=18
RUN mkdir -p /etc/apt/keyrings \
&& curl -fsSL https://deb.nodesource.com/gpgkey/nodesource-repo.gpg.key \
| gpg --dearmor -o /etc/apt/keyrings/nodesource.gpg \
&& echo "deb [signed-by=/etc/apt/keyrings/nodesource.gpg] https://deb.nodesource.com/node_$node_major.x nodistro main" \
| tee /etc/apt/sources.list.d/nodesource.list \
&& apt-get update \
&& apt-get install -y nodejs
# Emumba (deps)
RUN apt-get update && apt-get -y install rapidjson-dev
# Emumba
ARG EMUMBA_DERIBIT_CONNECTOR_DEB_URL="https://api.bitbucket.org/2.0/repositories/bluetradesys/spark/downloads/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb"
RUN --mount=type=secret,id=bitbucket_access_token \
set -eux \
&& apt-get update \
&& TOKEN="$(cat /run/secrets/bitbucket_access_token)" \
&& curl -fL -H "Authorization: Bearer ${TOKEN}" $EMUMBA_DERIBIT_CONNECTOR_DEB_URL -o /tmp/emumba-deribit-connector.deb \
&& apt-get install -y /tmp/emumba-deribit-connector.deb \
&& rm -f /tmp/emumba-deribit-connector.deb
# Pcap
RUN apt-get update && apt-get install -y libpcap0.8-dev
# Databento (deps)
RUN apt-get update && apt-get -y install libzstd-dev
# Rakurai
ARG RAKURAI_DEB_URL="https://api.bitbucket.org/2.0/repositories/bluetradesys/spark/downloads/rakurai-dex-connector_0.0.5_amd64.deb"
RUN --mount=type=secret,id=bitbucket_access_token \
set -eux \
&& apt-get update \
&& TOKEN="$(cat /run/secrets/bitbucket_access_token)" \
&& curl -fL -H "Authorization: Bearer ${TOKEN}" $RAKURAI_DEB_URL -o /tmp/rakurai.deb \
# Need --force-overwrite because rakuirai and emumba-deribit-connector both include the same
# spdlog headers.
&& apt-get install -y -o Dpkg::Options::="--force-overwrite" /tmp/rakurai.deb \
&& rm -f /tmp/rakuirai.deb
# Docker in Docker
RUN apt-get update && apt-get install -y \
docker.io \
docker-compose \
docker-compose-v2
# Set up default executables (update-alternatives)
RUN \
update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \
update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-$clang_major 100; \
update-alternatives --install /usr/bin/clang-format clang-format /usr/bin/clang-format-$clang_major 100; \
update-alternatives --install /usr/bin/clangd clangd /usr/bin/clangd-$clang_major 100; \
update-alternatives --install /usr/bin/gcc gcc /usr/bin/gcc-$gcc_major 100; \
update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-$gcc_major 100
# Add compiler symlinks for ccache
RUN \
ln -s /usr/bin/ccache /usr/local/bin/clang; \
ln -s /usr/bin/ccache /usr/local/bin/clang++; \
ln -s /usr/bin/ccache /usr/local/bin/clang-$clang_major; \
ln -s /usr/bin/ccache /usr/local/bin/clang++-$clang_major; \
ln -s /usr/bin/ccache /usr/local/bin/gcc; \
ln -s /usr/bin/ccache /usr/local/bin/g++
RUN locale-gen en_US.UTF-8
ARG docker_user="bts"
ARG docker_uid="1000"
ARG docker_pass="bts"
RUN \
groupadd -g "$docker_uid" "$docker_user" \
&& useradd \
-m \
-u "$docker_uid" \
-g "$docker_uid" \
-G sudo \
--password "$(openssl passwd -1 "$docker_pass")" \
"$docker_user"
@@ -1,11 +0,0 @@
FROM ubuntu:24.04
ARG DEBIAN_FRONTEND=noninteractive
RUN apt-get update && apt-get install -y \
fish \
less \
vim
USER bts
WORKDIR /home/bts
Submodule
+1
Submodule docker/linux added at 05967d0f18.
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@@ -1,141 +0,0 @@
FROM ubuntu:latest
ARG DEBIAN_FRONTEND=noninteractive
ENV TZ=America/New_York
# light deps (should be quick to download/install)
RUN apt-get update && apt-get install -y \
ca-certificates \
curl \
gnupg \
liblttng-ust-dev \
libpcap0.8-dev \
locales \
ninja-build \
software-properties-common \
sqlite3 \
tzdata
# clang
RUN apt-get update && apt-get install -y \
clang-13 \
clang-format-13 \
clangd-13 \
clang-15 \
clang-format-15 \
clangd-15
# g++
RUN apt-get update && apt-get install -y \
g++-11 \
g++-12
# python
RUN apt-get update && apt-get install -y \
python3-pip \
python3-venv \
&& python3 -m pip install --upgrade pip
# dotnet
RUN apt-get update && apt-get install -y \
dotnet7
# ssh
RUN apt-get update && apt-get install -y \
libssh2-1-dev \
openssh-server
# cmake
RUN \
curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc 2> /dev/null \
| gpg --dearmor - \
| tee /usr/share/keyrings/kitware-archive-keyring.gpg > /dev/null \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
| tee /etc/apt/sources.list.d/kitware.list > /dev/null \
&& apt-get update \
&& rm /usr/share/keyrings/kitware-archive-keyring.gpg \
&& apt-get install -y kitware-archive-keyring \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs)-rc main" \
| tee -a /etc/apt/sources.list.d/kitware.list >/dev/null \
&& apt-get install -y cmake
# node
ARG node_major=18
RUN mkdir -p /etc/apt/keyrings \
&& curl -fsSL https://deb.nodesource.com/gpgkey/nodesource-repo.gpg.key \
| gpg --dearmor -o /etc/apt/keyrings/nodesource.gpg \
&& echo "deb [signed-by=/etc/apt/keyrings/nodesource.gpg] https://deb.nodesource.com/node_$node_major.x nodistro main" \
| tee /etc/apt/sources.list.d/nodesource.list \
&& apt-get update \
&& apt-get install -y nodejs
# ccache is done here so that ccache sees clang++ installed, not clang-10
RUN apt-get update && apt-get install -y \
ccache
# emumba (light deps)
RUN apt-get update && apt-get install -y \
build-essential \
doxygen \
python3-sphinx \
graphviz \
libgtest-dev \
libssl-dev \
rapidjson-dev \
zlib1g-dev \
pkg-config
# emumba (boost)
RUN apt-get update && apt-get install -y \
libboost-filesystem-dev \
libboost-program-options-dev \
libboost-test-dev \
libboost-date-time-dev
# dev utils
RUN apt-get update && apt-get install -y \
fish \
git-all \
sudo \
vim \
wget
# set up default executables (update-alternatives)
RUN \
update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-13 100; \
update-alternatives --install /usr/bin/clang clang /usr/bin/clang-13 100; \
update-alternatives --install /usr/bin/clang-format clang-format /usr/bin/clang-format-13 100; \
update-alternatives --install /usr/bin/clangd clangd /usr/bin/clangd-13 100; \
update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-11 100; \
update-alternatives --install /usr/bin/gcc gcc /usr/bin/gcc-11 100
# Add compiler symlinks for ccache
RUN \
ln -s /usr/bin/ccache /usr/local/bin/clang; \
ln -s /usr/bin/ccache /usr/local/bin/clang++; \
ln -s /usr/bin/ccache /usr/local/bin/clang-13; \
ln -s /usr/bin/ccache /usr/local/bin/clang++-13; \
ln -s /usr/bin/ccache /usr/local/bin/clang-15; \
ln -s /usr/bin/ccache /usr/local/bin/clang++-15; \
ln -s /usr/bin/ccache /usr/local/bin/gcc; \
ln -s /usr/bin/ccache /usr/local/bin/g++; \
ln -s /usr/bin/ccache /usr/local/bin/gcc-11; \
ln -s /usr/bin/ccache /usr/local/bin/g++-11; \
ln -s /usr/bin/ccache /usr/local/bin/gcc-12; \
ln -s /usr/bin/ccache /usr/local/bin/g++-12
RUN locale-gen en_US.UTF-8
ARG docker_user="bts"
ARG docker_uid="1000"
ARG docker_pass="bts"
RUN \
groupadd -g "$docker_uid" "$docker_user" \
&& useradd \
-m \
-u "$docker_uid" \
-g "$docker_uid" \
-G sudo \
--password "$(openssl passwd -1 "$docker_pass")" \
"$docker_user"
-64
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@@ -1,64 +0,0 @@
[dev containers]: https://code.visualstudio.com/docs/devcontainers/containers
[dev containers ext]: https://marketplace.visualstudio.com/items?itemName=ms-vscode-remote.remote-containers
[docker repo sparkd-dev]: https://hub.docker.com/repository/docker/bluetradingsystems/sparkd-dev/general
# Sparkd Dev Container
## How to create a VS Code [Dev Container][dev containers]
1. Make sure the **[Dev Containers][dev containers ext]** extension is installed
1. Make sure your Docker image is up to date
```
docker pull bluetradingsystems/sparkd-dev:latest
```
1. Copy **devcontainer.json** from this folder to **$workspaceFolder/.devcontainer/**.
1. In the VS Code Command Palette, run **Dev Containers: Reopen in Container**
---
## How to create a Sparkd Container in the terminal (without VS Code)
1. Make sure your Docker image is up to date
```
docker pull bluetradingsystems/sparkd-dev:latest
```
2. Start the container
```
# Replace <cont_name> with a name for the container. The container's
# "$HOME" dir will be mounted to "$HOME/.sparkd-dev/mounts/<cont_name> on
# the host
./start_docker.sh --container <cont_name> --mount-existing
```
* *Replace <cont_name> with a name for the container*
* *The container's `$HOME` dir will be mounted to
`$HOME/.sparkd-dev/mounts<cont_name>` on the host*<br>
* *Run: `./start_docker.sh --help` to see additional options*
3. *(Optional) Attach VS Code to the running container.*<br>
Run **Dev Containers: Attach to Running Container** from the command palette,
then select your container in the dropdown
---
## How to update the Docker image
1. Change the image by modifying the Dockerfile (don't tag arbitrary
images on your machine and push them to our repo on Docker Hub)
1. After modifying the Dockerfile, (re)build the image
```
# Run in this dir
docker build -t bluetradingsystems/sparkd-dev:latest .
```
***Note:** Your docker login must have write permissions to push to the
[sparkd-dev][docker repo sparkd-dev] repository*
2. Commit the changes to Dockerfile in git
3. Push the new image to Docker Hub
```
docker push bluetradingsystems/sparkd-dev:latest
```
***Note:** The image doesn't have to be on Docker Hub, we can simply build
it from scratch on our local machines (with the Dockerfile). However, this
takes time. It is significantly quicker to download a prebuilt image, so we
store it on a remote repository to save time when setting up a new dev
machine.*
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@@ -1,123 +0,0 @@
# ~/.bashrc: executed by bash(1) for non-login shells.
# see /usr/share/doc/bash/examples/startup-files (in the package bash-doc)
# for examples
# If not running interactively, don't do anything
case $- in
*i*) ;;
*) return;;
esac
# don't put duplicate lines or lines starting with space in the history.
# See bash(1) for more options
HISTCONTROL=ignoreboth
# append to the history file, don't overwrite it
shopt -s histappend
# for setting history length see HISTSIZE and HISTFILESIZE in bash(1)
HISTSIZE=1000
HISTFILESIZE=2000
# check the window size after each command and, if necessary,
# update the values of LINES and COLUMNS.
shopt -s checkwinsize
# If set, the pattern "**" used in a pathname expansion context will
# match all files and zero or more directories and subdirectories.
#shopt -s globstar
# make less more friendly for non-text input files, see lesspipe(1)
[ -x /usr/bin/lesspipe ] && eval "$(SHELL=/bin/sh lesspipe)"
# set variable identifying the chroot you work in (used in the prompt below)
if [ -z "${debian_chroot:-}" ] && [ -r /etc/debian_chroot ]; then
debian_chroot=$(cat /etc/debian_chroot)
fi
# set a fancy prompt (non-color, unless we know we "want" color)
case "$TERM" in
xterm-color|*-256color) color_prompt=yes;;
esac
# uncomment for a colored prompt, if the terminal has the capability; turned
# off by default to not distract the user: the focus in a terminal window
# should be on the output of commands, not on the prompt
#force_color_prompt=yes
if [ -n "$force_color_prompt" ]; then
if [ -x /usr/bin/tput ] && tput setaf 1 >&/dev/null; then
# We have color support; assume it's compliant with Ecma-48
# (ISO/IEC-6429). (Lack of such support is extremely rare, and such
# a case would tend to support setf rather than setaf.)
color_prompt=yes
else
color_prompt=
fi
fi
if [ "$color_prompt" = yes ]; then
PS1='${debian_chroot:+($debian_chroot)}\[\033[01;32m\]\u@\h\[\033[00m\]:\[\033[01;34m\]\w\[\033[00m\]\$ '
else
PS1='${debian_chroot:+($debian_chroot)}\u@\h:\w\$ '
fi
unset color_prompt force_color_prompt
# If this is an xterm set the title to user@host:dir
case "$TERM" in
xterm*|rxvt*)
PS1="\[\e]0;${debian_chroot:+($debian_chroot)}\u@\h: \w\a\]$PS1"
;;
*)
;;
esac
# enable color support of ls and also add handy aliases
if [ -x /usr/bin/dircolors ]; then
test -r ~/.dircolors && eval "$(dircolors -b ~/.dircolors)" || eval "$(dircolors -b)"
alias ls='ls --color=auto'
#alias dir='dir --color=auto'
#alias vdir='vdir --color=auto'
alias grep='grep --color=auto'
alias fgrep='fgrep --color=auto'
alias egrep='egrep --color=auto'
fi
# colored GCC warnings and errors
#export GCC_COLORS='error=01;31:warning=01;35:note=01;36:caret=01;32:locus=01:quote=01'
# some more ls aliases
alias ll='ls -alF'
alias la='ls -A'
alias l='ls -CF'
# Add an "alert" alias for long running commands. Use like so:
# sleep 10; alert
alias alert='notify-send --urgency=low -i "$([ $? = 0 ] && echo terminal || echo error)" "$(history|tail -n1|sed -e '\''s/^\s*[0-9]\+\s*//;s/[;&|]\s*alert$//'\'')"'
# Alias definitions.
# You may want to put all your additions into a separate file like
# ~/.bash_aliases, instead of adding them here directly.
# See /usr/share/doc/bash-doc/examples in the bash-doc package.
if [ -f ~/.bash_aliases ]; then
. ~/.bash_aliases
fi
# enable programmable completion features (you don't need to enable
# this, if it's already enabled in /etc/bash.bashrc and /etc/profile
# sources /etc/bash.bashrc).
if ! shopt -oq posix; then
if [ -f /usr/share/bash-completion/bash_completion ]; then
. /usr/share/bash-completion/bash_completion
elif [ -f /etc/bash_completion ]; then
. /etc/bash_completion
fi
fi
if [[ ! -v XDG_CONFIG_HOME ]]; then
export XDG_CONFIG_HOME="$HOME/.config"
fi
export PATH="$HOME/.local/bin:$PATH"
-25
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@@ -1,25 +0,0 @@
if ! set -q XDG_CONFIG_HOME
set -g XDG_CONFIG_HOME "$HOME/.config"
end
set fish_config_home $XDG_CONFIG_HOME/fish
if test -f "$fish_config_home/aliases.fish"
source "$fish_config_home/aliases.fish"
end
# enable general colors and case insensitive search in 'less'
set -x LESS "$LESS -R -Q -I"
set -x LC_ALL en_US.UTF-8
# enable syntax highlighting in 'less'
# set highlight color scheme in 'less' (fg)(bg)
set -g LESS_TERMCAP_md (tput bold)(tput setaf 36)
set -g LESS_TERMCAP_me (tput sgr0)
set -g LESS_TERMCAP_so (tput setaf 232)(tput setab 49)
set -q TERM
if test $status != 0; or test $TERM = 'xterm'
set -g TERM 'xterm-256color'
end
# Fix impossible-to-see navy blue command text color
set fish_color_command F8F8F2
set -g PATH "$HOME/.local/bin" "$PATH"
-33
View File
@@ -1,33 +0,0 @@
{
"image": "bluetradingsystems/sparkd-dev:latest",
// Creates local dir to mount to HOME in docker
"initializeCommand": "mkdir -p ${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId}",
"hostRequirements": {
"memory": "4gb",
"storage": "6gb"
},
"postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
"containerUser": "bts",
"workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
"workspaceFolder": "/home/bts/spark",
"updateRemoteUserUID": true,
"shutdownAction": "none",
// Note: If running multiple containers on the same host, each must use a
// unique set of ports. Usually we just add 1000 to each port as needed. For
// example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
"runArgs": [
"--shm-size",
"2gb",
"-p",
"8000:8000",
"-p",
"8001:8001",
"-p",
"8002:8002",
"-p",
"8003:8003"
],
"mounts": [
"source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind"
]
}
@@ -1,33 +0,0 @@
#!/usr/bin/env bash
this_dir="$(realpath "$(dirname "${BASH_SOURCE[0]}")")"
repo_dir="$(cd "$this_dir" && git rev-parse --show-toplevel)"
tools_dir="$repo_dir/tools"
gen_tag="GENERATED BY $(basename "${BASH_SOURCE[0]}")"
function copy_if_not_exist() {
src="$1"
dest="$2"
if [[ ! -e "$src" ]]; then
echo "Unable to copy $src to $dest. Source file doesn't exist"
exit 1
fi
if [[ ! -e "$dest" ]]; then
cp "$src" "$dest"
fi
}
# Init bashrc
echo "Initializing bashrc"
copy_if_not_exist "$this_dir/bashrc" "$HOME/.bashrc"
# Init fish config
echo "Initializing fish config"
fish_cfg_dir="$HOME/.config/fish/"
mkdir -p "$fish_cfg_dir"
exec "$tools_dir/write_tag_block.sh" \
--tag "$gen_tag" \
--replace \
--in-place \
--file "$fish_cfg_dir/config.fish" \
--text "$(cat "$this_dir/config.fish")"
-250
View File
@@ -1,250 +0,0 @@
#!/usr/bin/env bash
function _exit() {
if [[ "$#" -gt 1 ]]; then
# When there are multiple args, the last arg is the exit code.
echo "${@:1:($# - 1)}"
exit "${@: -1}"
fi
echo "$1"
exit 0
}
help_text="\
Add or update a user's uid
This script is intended to be run in a Docker container as a means to obtain
file permissions in mounted directories owned by the specified UID.
Usage: set_user.sh [OPTIONS] USER UID
Positionals:
USER The name of the user
Options:
--user USER The name of the user (defaults to 'bts')
--uid UID The new uid to give USER (defaults to '1000')
--group GROUP The primary group to give USER (defaults to USER)
--gid GID The primary gid to give USER (defaults to UID)
--pass PASSWORD The password to give USER (defaults to USER, only applies
if USER hasn't been created yet)
--modify-existing Update UID/GID even if USER already exists
-h,--help Print this help message and exit
"
function _add_group() {
if [[ "$#" -ne 2 ]]; then
_exit "'_add_group' requires exactly 2 args (group, gid). Received $#." 1
fi
local group="$1"
local gid="$2"
# Check if gid already exists
local existing_group=""
existing_group="$(getent group "$gid" | cut -d : -f 1)"
if [[ -n "$existing_group" ]]; then
if [[ "$existing_group" != "$group" ]]; then
echo "\
The gid '$gid' is already in use by group '$existing_group' (will not rename \
the group)"
fi
return
fi
# Check if group with same name already exists
local existing_gid=""
existing_gid="$(getent group "$group" | cut -d : -f 3)"
if [[ -n "$existing_gid" ]]; then
# The group already exists. Only modify if --modify-existing was specified.
if [[ "$modify_existing" -eq 0 ]]; then
_exit "\
The group '$group' already exists with gid '$existing_gid'.
Specify --modify-existing to change the gid anyways." 1
fi
echo "Changing gid for group '$group' from '$existing_gid' to '$gid'"
groupmod -g "$gid" "$group"
else
# The group doesn't exist. Add it
echo "Adding group '$group:$gid'"
groupadd -g "$gid" "$group"
fi
}
function _add_user() {
local user="$1"
local uid="$2"
local group="$3"
local gid="$4"
local pass="$5"
if [[ "$#" -ne 5 ]]; then
_exit "'_add_user' requires exactly 5 args (user, uid, group, gid, pass). \
Received $#." 1
fi
# Check if uid is being used by another user
local existing_user=""
existing_user="$(getent passwd "$uid" | cut -d : -f 1)"
if [[ -n "$existing_user" ]]; then
if [[ "$existing_user" != "$user" ]]; then
_exit "The uid '$uid' is already in use by user '$existing_user'." 1
fi
echo "The user '$user' already has the specified uid '$uid'."
# Modify gid if necessary
local existing_gid=""
existing_gid="$(id -g "$user" 2> /dev/null)"
if [[ "$existing_gid" = "$gid" ]]; then
echo "The user '$user' already has the specified gid '$gid'."
return
fi
if [[ "$modify_existing" -eq 0 ]]; then
_exit "\
The user '$user' is associated with the primary group '$existing_gid'.
Specify --modify-existing to change the gid anyways." 1
fi
echo "Changing primary group for '$user' from '$existing_gid' to '$gid'."
usermod -g "$gid" "$user"
return
fi
# Check if user with same name already exists
local existing_uid=""
existing_uid="$(id -u "$user" 2> /dev/null)"
if [[ -n "$existing_uid" ]]; then
if [[ "$existing_uid" = "$uid" ]]; then
_exit "The user '$user' already has the specified uid '$uid'" 0
fi
if [[ "$modify_existing" -eq 0 ]]; then
_exit "\
User '$user' already exists with uid '$existing_uid'.
Specify --modify-existing to change the uid anyways." 1
fi
echo "Changing uid for user '$user' from '$existing_uid' to '$uid'"
if ! usermod -u "$uid" -g "$gid" "$user"; then
_exit "usermod exited with code $?" 1
fi
return
fi
# The user doesn't exist. Add it
echo "Adding user '$user:$uid' (group='$group:$gid', password='$pass')"
useradd -m -u "$uid" -g "$gid" -G sudo --password "$(openssl passwd -1 "$pass")" "$user"
}
function _update_fish_dir_perms() {
local user="$1"
local uid="$2"
local gid="$3"
# When a fish shell session starts, a temp dir named '/tmp/fish.<user>' is
# created with the user's current uid/gid. If such a dir exists for the
# specified USER, make sure the uid/gid match the new values.
fish_dir="/tmp/fish.$user"
if [[ -d "$fish_dir" ]]; then
perms="$uid:$gid"
existing_perms="$(stat -c %u:%g "$fish_dir")"
if [[ "$existing_perms" != "$perms" ]]; then
echo "Changing uid:gid for dir '$fish_dir' from '$existing_perms' to '$perms'"
chown -R "$perms" "$fish_dir"
fi
fi
}
user=""
group=""
pass=""
declare -i uid=0
declare -i gid=0
declare -i modify_existing=0
while [[ $# -gt 0 ]]; do
case "$1" in
--user)
if [[ -z "$2" ]]; then
_exit "USER (--user) must be non-empty" 1
elif [[ "$2" = "root" ]]; then
_exit "USER (--user) cannot be 'root'" 1
fi
user="$2"
shift 2
;;
--group)
if [[ -z "$2" ]]; then
_exit "GROUP (--group) must be non-empty" 1
elif [[ "$2" = "root" ]]; then
_exit "GROUP (--group) cannot be 'root'" 1
fi
group="$2"
shift 2
;;
--uid)
if [[ -z "$2" ]]; then
_exit "UID (--uid) must be non-empty" 1
fi
uid="$2"
shift 2
;;
--gid)
if [[ -z "$2" ]]; then
_exit "GID (--gid) must be non-empty" 1
fi
gid="$2"
shift 2
;;
--pass)
if [[ -z "$2" ]]; then
_exit "PASS (--pass) must be non-empty" 1
fi
pass="$2"
shift 2
;;
--modify-existing)
modify_existing=1
shift 1
;;
-h)
;&
--help)
_exit "$help_text" 0
;;
*)
if [[ -z "$1" ]]; then
_exit "Invalid positional argument '$1'" 1
elif [[ -z "$user" ]]; then
user="$1"
elif [[ -z "$uid" ]]; then
uid="$1"
else
_exit "Unexpected argument '$1'" 1
fi
shift 1
;;
esac
done
if [[ -z "$user" ]]; then
user="bts"
fi
if [[ $uid -eq 0 ]]; then
uid=1000
fi
# In general, a user's primary group/gid matches the user's name/uid.
# If group/gid args weren't specified, set them to name/uid.
if [[ -z "$group" ]]; then
group="$user"
fi
if [[ $gid -eq 0 ]]; then
gid=$uid
fi
if [[ -z "$pass" ]]; then
pass="$user"
fi
_add_group "$group" "$gid"
_add_user "$user" "$uid" "$group" "$gid" "$pass"
_update_fish_dir_perms "$user" "$uid" "$gid"
-230
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@@ -1,230 +0,0 @@
#!/usr/bin/env bash
function _exit() {
if [[ "$#" -gt 1 ]]; then
# When there are multiple args, the last arg is the exit code.
echo "${@:1:($# - 1)}"
exit "${@: -1}"
fi
echo "$1"
exit 0
}
help_text="\
Start a docker dev container
Usage: start_docker.sh [OPTIONS] image container
Positionals:
image The image to instantiate
container The name for the container
Options:
-u,--user USER The user to add in the container (defaults to 'bts')
-p,--pass PASS The password for USER in the container (defaults to USER)
-i,--image IMAGE The image to instantiate (defaults to 'bluetradingsystems/sparkd-dev:latest')
-c,--container CONT The name for the container
-m,--mount MOUNT The name for the folder (outside the container) to create/mount to the home
directory in the container. Mount folders are added here: $mount_prefix
--mount-existing Mount the specified dir even if it already exists
--port <cont_port>:<host_port> OR [<cont_port>:<host_port>,...] Port mapping(s). May be
specified multiple times.
-h,--help Print this help message and exit
"
mount_prefix="$HOME/.sparkd-dev/mounts"
declare docker_user=""
declare docker_pass=""
declare image_name=""
declare cont_name=""
declare mount_name=""
declare -i mount_existing=0
declare -a port_mappings=()
while [[ $# -gt 0 ]]; do
case "$1" in
-u)
;&
--user)
if [[ -z "$2" ]]; then
_exit "User (-u,--user) must be non-empty" 1
fi
docker_user="$2"
shift 2
;;
-p)
;&
--pass)
if [[ -z "$2" ]]; then
_exit "Password (-p,--pass) must be non-empty" 1
fi
docker_pass="$2"
shift 2
;;
-i)
;&
--image)
if [[ -n "$image_name" ]]; then
_exit "Unexpected argument '$1'" 1
elif [[ -z "$2" ]]; then
_exit "Image (-i,--image) must be non-empty" 1
fi
image_name="$2"
shift 2
;;
-c)
;&
--container)
if [[ -n "$cont_name" ]]; then
_exit "Unexpected argument '$1'" 1
elif [[ -z "$2" ]]; then
_exit "Container (-c,--container) must be non-empty" 1
fi
cont_name="$2"
shift 2
;;
--port)
# Parse port(s) arg, and append the result to 'port_mappings'
# Note: port(s) may be specified in bracketed notation:
# [a:b,c:d,...,y:z]
next_ports="$(echo "$2" | sed -e 's/\[//g' -e 's/\]//g' -e 's/,/ /g')"
if [[ "${#port_mappings[@]}" -gt 0 ]]; then
next_ports=" $next_ports"
fi
port_mappings+=("$next_ports")
shift 2
;;
-m)
;&
--mount)
if [[ -z "$2" ]]; then
echo "Mount (-m,--mount) must be non-empty"
fi
mount_name="$2"
shift 2
;;
--mount-existing)
mount_existing=1
shift 1
;;
-h)
;&
--help)
_exit "$help_text" 0
;;
*)
if [[ -z "$1" ]]; then
_exit "Invalid positional argument '$1'" "$help_text" 1
elif [[ -z "$image_name" ]]; then
image_name="$1"
elif [[ -z "$cont_name" ]]; then
cont_name="$1"
else
_exit "Unexpected argument '$1'" "$help_text" 1
fi
shift 1
;;
esac
done
if [[ -z "$image_name" ]]; then
image_name="bluetradingsystems/sparkd-dev:latest"
fi
host_name="$(hostname)"
if [[ -n "$cont_name" ]]; then
host_name="$host_name.$cont_name"
fi
if [[ -z "$mount_name" ]]; then
mount_name="$cont_name"
fi
if [[ -z "$mount_name" && -z "$cont_name" ]]; then
_exit "Please specify mount (-m,--mount) and/or container (-c,--container)" 1
fi
if [[ -z "$docker_user" ]]; then
docker_user="bts"
fi
if [[ "$docker_user" = "root" ]]; then
_exit "USER (--user) cannot be 'root'" 1
fi
cont_home="/home/$docker_user"
home_src="$mount_prefix/$mount_name"
home_tgt="$cont_home"
this_dir="$(dirname "$(realpath "${BASH_SOURCE[0]}")")"
repo_src="$(cd "$this_dir" && git rev-parse --show-toplevel)"
repo_tgt="$cont_home/spark"
working_dir="$cont_home"
if [[ $mount_existing -eq 0 && -e "$home_src" ]]; then
# Don't overwrite existing dir (might be mounted in another container)
_exit "Mount dir '$home_src' already exists (use --mount-existing to mount \
an existing directory)" 1
fi
mkdir -p "$home_src"
if [[ "${#port_mappings[@]}" -eq 0 ]]; then
port_mappings=("8000:8000" "8001:8001" "8002:8002" "8003:8003")
fi
# Adapt port_mappings into args for `docker run` by prepending "-p " to each
# item
declare -a docker_port_args=()
for port_mapping in "${port_mappings[@]}"; do
docker_port_args+=("-p $port_mapping")
done
echo "Starting container '$cont_name'
image_name : $image_name
cont_name : $cont_name
home_src : $home_src
home_tgt : $home_tgt
repo_src : $repo_src
repo_tgt : $repo_tgt
working dir : $working_dir
ports : ${port_mappings[*]}
"
# DON'T wrap $docker_port_args in quotes. We want bash to split args by
# whitespace
docker run \
--net bridge \
-h "$host_name" \
-e "TZ=America/New_York" \
--cap-add=SYS_PTRACE \
--security-opt seccomp=unconfined \
--name "$cont_name" \
-v "$home_src:$home_tgt" \
-v "$repo_src:$repo_tgt" \
-w "$working_dir" \
${docker_port_args[*]} \
--shm-size=4024m \
-t \
-i \
-d \
-e DISPLAY="$DISPLAY" \
"$image_name"
# Add user w/ same uid and gid as the current user outside of docker, so the
# user inside the docker has file permissions in the mounted dir.
docker_group="$docker_user"
docker_uid="$(id -u "$USER")"
docker_gid="$(id -g "$USER")"
if [[ -z "$docker_pass" ]]; then
docker_pass="$docker_user"
fi
docker exec -u root -it "$cont_name" "$repo_tgt/docker/sparkd/dev/set_user.sh" \
--user "$docker_user" \
--uid "$docker_uid" \
--group "$docker_group" \
--gid "$docker_gid" \
--pass "$docker_pass"
# Run same script VS Code runs to initialize the container
docker exec -u "$docker_user" -it "$cont_name" "$repo_tgt/docker/sparkd/dev/devcontainer_post_create.sh"
-64
View File
@@ -1,64 +0,0 @@
#!/usr/bin/env bash
function print_help_and_exit() {
cat <<EOF
Open a shell inside the docker container
Usage: docker_shell.sh [OPTIONS] [CONTAINER]
Options:
-u,--user The user to login with in the container (defaults to the current user)
-c,--container The container name (may also be specified as positional arg)
-h,--help Print this help message and exit
EOF
exit "$1"
}
declare docker_user=""
declare cont_name=""
while [[ $# -gt 0 ]]; do
case "$1" in
-u)
;&
--user)
if [[ -z "$2" ]]; then
echo "User (-u,--user) must be non-empty"
print_help_and_exit 1
fi
docker_user="$2"
shift 2
;;
-h)
;&
--help)
print_help_and_exit 0
;;
-c)
;&
--container)
shift 1
;&
*)
if [[ ! -z "$cont_name" ]]; then
echo "Unexpected argument '$1'"
print_help_and_exit 1
fi
cont_name="$1"
shift 1
;;
esac
done
if [[ -z "$cont_name" ]]; then
echo "Please specify the container ([-c,--container])"
print_help_and_exit 1
fi
if [[ -z "$docker_user" ]]; then
docker_user="$USER"
fi
docker exec -u "$docker_user" -it "$cont_name" bash
-233
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@@ -1,233 +0,0 @@
#!/usr/bin/env bash
mount_prefix="$HOME/.spark-dev/mounts"
function print_help_and_exit() {
cat <<EOF
Start a docker dev container
Usage: start_docker.sh [OPTIONS] image container
Positionals:
image The image to instantiate
container The name for the container
Options:
-u,--user USER The user to add in the container (defaults to the current user)
-p,--pass PASS The password for USER in the container (defaults to USER)
-i,--image IMAGE The image to instantiate
-c,--container CONT The name for the container
-m,--mount MOUNT The name for the folder (outside the container) to create/mount to the home
directory in the container. Mount folders are added here: $mount_prefix
--mount-existing Mount the specified dir even if it already exists
--port <cont_port>:<host_port> OR [<cont_port>:<host_port>,...] Port mapping(s). May be
specified multiple times.
-h,--help Print this help message and exit
EOF
exit "$1"
}
declare docker_user=""
declare docker_pass=""
declare image_name=""
declare cont_name=""
declare mount_name=""
declare -i mount_existing=0
declare -a port_mappings=()
while [[ $# -gt 0 ]]; do
case "$1" in
-u)
;&
--user)
if [[ -z "$2" ]]; then
echo "User (-u,--user) must be non-empty"
print_help_and_exit 1
fi
docker_user="$2"
shift 2
;;
-p)
;&
--pass)
if [[ -z "$2" ]]; then
echo "Password (-p,--pass) must be non-empty"
print_help_and_exit 1
fi
docker_pass="$2"
shift 2
;;
-i)
;&
--image)
if [[ -n "$image_name" ]]; then
echo "Unexpected argument '$1'"
print_help_and_exit 1
elif [[ -z "$2" ]]; then
echo "Image (-i,--image) must be non-empty"
print_help_and_exit 1
fi
image_name="$2"
shift 2
;;
-c)
;&
--container)
if [[ -n "$cont_name" ]]; then
echo "Unexpected argument '$1'"
print_help_and_exit 1
elif [[ -z "$2" ]]; then
echo "Container (-c,--container) must be non-empty"
print_help_and_exit 1
fi
cont_name="$2"
shift 2
;;
--port)
# Parse port(s) arg, and append the result to 'port_mappings'
# Note: port(s) may be specified in bracketed notation:
# [a:b,c:d,...,y:z]
next_ports="$(echo "$2" | sed -e 's/\[//g' -e 's/\]//g' -e 's/,/ /g')"
if [[ "${#port_mappings[@]}" -gt 0 ]]; then
next_ports=" $next_ports"
fi
port_mappings+=("$next_ports")
shift 2
;;
-m)
;&
--mount)
if [[ -z "$2" ]]; then
echo "Mount (-m,--mount) must be non-empty"
fi
mount_name="$2"
shift 2
;;
--mount-existing)
mount_existing=1
shift 1
;;
-h)
;&
--help)
print_help_and_exit 0
;;
*)
if [[ -z "$1" ]]; then
echo "Invalid positional argument '$1'"
print_help_and_exit 1
elif [[ -z "$image_name" ]]; then
image_name="$1"
elif [[ -z "$cont_name" ]]; then
cont_name="$1"
else
echo "Unexpected argument '$1'"
print_help_and_exit 1
fi
shift 1
;;
esac
done
if [[ -z "$image_name" ]]; then
image_name="bluetradingsystems/spark-crypto-dev"
fi
host_name="$(hostname)"
if [[ -n "$cont_name" ]]; then
host_name="$host_name.$cont_name"
fi
if [[ -z "$mount_name" ]]; then
mount_name="$cont_name"
fi
if [[ -z "$mount_name" && -z "$cont_name" ]]; then
echo "Please specify mount (-m,--mount) and/or container (-c,--container)"
print_help_and_exit 1
fi
if [[ -z "$docker_user" ]]; then
docker_user="$USER"
fi
home_src=$mount_prefix/$mount_name
home_tgt=$HOME
repo_src=$(git rev-parse --show-superproject-working-tree)
repo_tgt=$HOME/$(basename "$repo_src")
working_dir=$HOME
if [[ $mount_existing -eq 0 && -e "$home_src" ]]; then
# Don't overwrite existing dir (might be mounted in another container)
echo "Mount dir '$home_src' already exists (use --mount-existing to mount an existing directory)"
print_help_and_exit 1
fi
mkdir -p "$home_src"
if [[ "${#port_mappings[@]}" -eq 0 ]]; then
port_mappings=("8000:8000" "8001:8001" "8002:8002" "8003:8003")
fi
# Adapt port_mappings into args for `docker run` by prepending "-p " to each
# item
declare -a docker_port_args=()
for port_mapping in "${port_mappings[@]}"; do
docker_port_args+=("-p $port_mapping")
done
echo "Starting container '$cont_name'
image_name : $image_name
cont_name : $cont_name
home_src : $home_src
home_tgt : $home_tgt
repo_src : $repo_src
repo_tgt : $repo_tgt
working dir : $working_dir
ports : ${port_mappings[*]}
"
# DON'T wrap $docker_port_args in quotes. We want bash to split args by
# whitespace
docker run \
--net bridge \
-h "$host_name" \
-e "TZ=America/New_York" \
--cap-add=SYS_PTRACE \
--security-opt seccomp=unconfined \
--name "$cont_name" \
-v "$home_src:$home_tgt" \
-v "$repo_src:$repo_tgt" \
-w "$working_dir" \
${docker_port_args[*]} \
--shm-size=4024m \
-t \
-i \
-d \
-e DISPLAY="$DISPLAY" \
"$image_name" \
bash
# Add user w/ same uid and gid as the current user outside of docker, so the
# user inside the docker has file permissions in the mounted dir.
docker_group="$docker_user"
docker_user_uid="$(id -u "$USER")"
docker_user_gid="$(id -g "$USER")"
echo "Adding user in container '$cont_name'
name : $docker_user
uid : $docker_user_uid
gid : $docker_user_gid"
if [[ -z "$docker_pass" ]]; then
docker_pass="$docker_user"
echo "Giving user '$docker_user' a secure password: $docker_pass"
fi
docker exec -u root -it "$cont_name" groupadd -g "$docker_user_gid" "$docker_group"
docker exec -u root -it "$cont_name" useradd -u "$docker_user_uid" -g "$docker_user_gid" "$docker_user"
docker exec -u root -it "$cont_name" usermod --password "$(openssl passwd -1 "$docker_pass")" "$docker_user"
docker exec -u root -it "$cont_name" usermod -aG sudo "$docker_user"
docker exec -u root -it "$cont_name" "$repo_tgt/externals/src/emumba/install_emumba-deribit-connector.sh"
+1
Submodule docker/windows added at de7d40c09d.
+1 -1
View File
@@ -1,6 +1,6 @@
{
"sdk": {
"version": "6.0.200",
"version": "2.1.508",
"rollForward": "latestMajor"
}
}
+2 -27
View File
@@ -1,42 +1,17 @@
astroid==2.7.3
autopep8==1.5.7
blinker==1.9.0
boto3==1.37.9
botocore==1.37.9
certifi==2023.5.7
charset-normalizer==3.1.0
click==8.1.8
cffi==1.14.6
colorama==0.4.4
Flask==3.1.0
idna==3.4
isort==5.9.3
itsdangerous==2.2.0
Jinja2==3.1.6
jmespath==1.0.1
lazy-object-proxy==1.6.0
MarkupSafe==3.0.2
mccabe==0.6.1
numpy==2.2.6
platformdirs==2.3.0
protobuf==6.33.4
protobuf==3.19.1
pybars3==0.9.7
pybind11==3.0.1
pybind11-stubgen==2.5.5
pybit==5.11.0
pycodestyle==2.7.0
pycparser==2.20
pycryptodome==3.23.0
pylint==2.10.2
PyMeta3==0.5.1
python-dateutil==2.9.0.post0
python-dotenv==1.0.1
requests==2.31.0
s3transfer==0.11.4
six==1.17.0
termcolor==1.1.0
toml==0.10.2
urllib3==2.0.3
websocket-client==1.8.0
Werkzeug==3.1.3
wrapt==1.12.1
yapf==0.31.0
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