Compare commits

...
Author SHA1 Message Date
arham 1f94fe65bc added more detail missing security log in gmdl 2026-10-26 03:32:49 +00:00
arham edf8adb90e config: new config for ophirs new sim server 2026-10-21 13:09:14 +00:00
arham a4ff7743da Add: simple doc to expplain security handling in sparkd 2026-09-04 13:28:03 +00:00
arham 2853af9e0f add: locks to gmdl to handle multi-threaded producers and add a way to handled deffered spreads 2026-09-04 13:27:12 +00:00
arham 5482278b5b ADD: MDP3 pipeline now points to gmdl in case of sime execution 2026-09-04 13:23:25 +00:00
arham 9732d90683 cme md recording and replay no loop 2026-09-01 05:28:30 +00:00
arham 53ddf9a173 cme raw packet recorder 2026-08-28 07:03:16 +00:00
arham 38d87cddcf fix: white backgroud in datepicker in mf 2026-08-23 22:05:31 -04:00
arham 4d4b2cf967 add: date change for manual fills 2026-08-24 00:32:20 +00:00
John Colvin eadd6a0706 fix: Update title in new ladder ticket when sec received 2026-08-14 14:50:31 -04:00
John Colvin 503a5e2715 fix: Revert ladder to use fixed price list instead of virtual rows 2026-08-14 14:42:12 -04:00
John Colvin 786736b38f Add Orders column placeholder to new ladder grid 2026-08-14 14:42:12 -04:00
John Colvin 1ef2ed9d57 Make new ladder grid use 1 row per tick with fixed row count 2026-08-14 14:42:12 -04:00
John Colvin b39ea9528c Use fixed price rows (per tick) in new ladder 2026-08-14 14:42:12 -04:00
John Colvin c59ce773a7 Set security in OnSecurityMd callback in new ladder 2026-08-07 17:20:14 -04:00
arham 400981738f fix: bug fix now sell works 2026-08-05 15:47:21 -04:00
arham 3fd749dcd9 add: change colors and add ladder link 2026-08-05 14:04:32 -04:00
John Colvin a250967286 feat: Launch modify ticket w/ ladder 2026-07-30 14:13:35 -04:00
John Colvin a81126d888 feat: Launch ticket w/ ladder popup from mview 2026-07-30 14:13:35 -04:00
John Colvin c38ff5926e feat: Add new order ticket with ladder price levels 2026-07-30 14:13:35 -04:00
John Colvin 49df45574f Rename get_ladder_profile PascalCase 2026-07-30 11:51:37 -04:00
John Colvin 7b2e19f7c8 Remove unused ext fn subscribe_ladder_profile 2026-07-30 11:51:37 -04:00
John Colvin c9e3cf8c67 Rename AuxiliaryDataResources -> OrderAuxiliaryPopupResources
The old name was unnecessarily vague
2026-07-30 11:48:00 -04:00
John Colvin 6b31f7383c Remove unused code ConstrainedTextBlock 2026-07-30 11:48:00 -04:00
arham f2c95d6c28 sec filter on the basis of expiration in mdp3 2026-07-27 09:32:10 +00:00
Taha 1d3bbcc75f TC2 ATM highlighting wokrs now without AW2 setup 2026-07-22 16:52:49 -04:00
arham 94bfdacf8b add: trade latency logs 2026-07-02 16:21:08 +00:00
arham 2a8d407f08 conf: add config to run crypto on aws, bybi and gate not working 2026-06-24 01:03:49 +00:00
Taha 55ed962c63 Fixing empty TC2 issue, caused by exceptions in _override_theos 2026-06-17 23:10:57 -04:00
arham 68f766e00b fix: param syntax change for args 2026-06-17 10:33:29 -04:00
arham c0252e06c5 fix: fill time nanos stored 2026-06-16 09:58:03 +00:00
John Colvin 4258bd4c82 fix: Use unique ProtoMember ids in orderbook FilterStates
The Tag property had the same id as accounts (5)
2026-06-15 15:29:07 -04:00
John Colvin 4981d70bf2 fix: Return NaN instead of throwing if priceType invalid
It's possible this fixes the ladder freezing bug reported by Ophir
2026-06-15 15:22:28 -04:00
John Colvin b85c249a7d improve: Map nullable Color to Color type in BTSColorExtension
So we don't need "Type={x:Type Color}" in ColorAnimation xaml
2026-06-15 15:21:31 -04:00
John Colvin 6721e07cb6 fix: Use BTSColor markup ext instead of StaticResource 2026-06-15 15:08:28 -04:00
arham 8aa5529218 conf: increased shm mem size 2026-06-02 03:04:55 +00:00
arham ba5fff0168 add: ping service to sdk 2026-06-01 10:28:06 +00:00
arham 976119fbee fix: build was broken, spark.dll being used by another process 2026-06-01 04:31:57 -04:00
arham ed741c0621 fix: sdk computes position from fills instead of using postion service 2026-06-01 08:02:44 +00:00
arham e0cf3c739f Add: backend il3gw fills aggressor field 2026-06-01 07:51:14 +00:00
arham 59e2519a4d fix: fills aggressor flag displayed 2026-06-01 02:12:16 -04:00
arham 15de6f3e3d add: added entries for weekly options cme to defualt cpp conf 2026-05-21 09:48:34 +00:00
John Colvin 2e36f00382 fix: Only set order tag if non-null 2026-05-14 10:43:01 -04:00
John Colvin 9f24a3e7a2 improve: Make sdk demo venue parse case insensitive 2026-05-14 10:43:01 -04:00
John Colvin e8dbf6fe09 vscode: Set Sdk Demo prelaunch task to Build Spark Sdk 2026-05-14 10:43:01 -04:00
John Colvin aa403b83ef improve: Use quantity sign to indicate side in TopOfBookQuoter example 2026-05-14 10:43:01 -04:00
arham c507f20a8e fix: build broken for gcc 2026-05-13 12:33:57 +00:00
arham ea52a4749d conf: update conf 2026-05-13 12:33:44 +00:00
arham 650710b5e2 remove stale config 2026-05-12 11:53:31 +00:00
arham 20f6a29e05 add: conf for cert and prodexit 2026-05-12 11:51:25 +00:00
John Colvin e2f8d4db11 fix build (deploy): Actually include native assets in nupkgs
Native assets (libspark.dll/so) are copied to the outdir for local
builds, and packed in nupkg files for sdk releases. The dest path in the
package is different from the path in the outdir, so we configured
Copy/Pack as separate msbuild items. However, both had the same
Include="@(NativeWindows/LinuxAsset)", so Pack="false" in the Copy item
was overriding Pack="true" in the Pack item.
2026-05-08 14:15:54 -04:00
arham 1812434ddc Fix: front end exe polling decreased from 100ms to 1ms 2026-05-08 15:24:26 +00:00
Taha fd50050064 Position cols in TC2 work again now 2026-05-07 03:57:07 +00:00
arham 6ac43881ae add: add missing tag to default conf 2026-05-07 00:22:28 +00:00
arham 4af1419748 Add: timezone change to chi and std higher ram for multicast compose 2026-05-07 00:22:03 +00:00
arham 7cfcdc3770 fix: ilink3 code generator produces correct code that handles null values 2026-05-07 00:21:10 +00:00
arham d03a705077 fix: ilink3 genereated files updated to handle null values with null instead of ascii zero 2026-05-07 00:20:34 +00:00
arham 58eccad70d fix: fills ui price was zero now it works 2026-05-07 00:19:44 +00:00
arham 5f8ec04ff1 Add: useful tools to prod docker image 2026-05-07 00:19:16 +00:00
arham 05e2107655 Fix: change object pool to detect exe report memory leak from assert to error 2026-05-07 00:18:45 +00:00
arham d41f613e32 FIx: change object pool limit for il3gw for exe reports 2026-05-07 00:17:52 +00:00
arham bcbb598423 Add: better logs and disconnect handling 2026-05-04 20:42:23 +00:00
arham e88c44f9db CME TEMPLATE 9 2026-05-04 16:39:48 -04:00
arham 93625957d1 Fix: CRITICAL CME FIX 2026-04-29 03:58:45 +00:00
John Colvin 8eccb869e1 Remove unnecessary nuget stuff from externals 2026-04-08 00:13:01 -04:00
John Colvin 40f4333fc7 fix: SingleSecurityCriteria must have single id or venue/name pair 2026-04-07 17:23:25 +00:00
John Colvin 319d5c2384 vscode: Fix PubSubServer config environment param 2026-04-07 17:23:25 +00:00
arham 4a74713369 ophir multicast config replay and live working 2026-04-02 00:17:46 +00:00
arham 082beef1da Rename 2026-03-31 23:59:04 +00:00
arham f92d789e90 Add: recording config 2026-03-31 14:16:55 +00:00
arham cd3e845dd9 Fix: set log to diag, it logs every book update 2026-03-31 14:09:37 +00:00
arham a5b704eef1 Add: config for ophir wb 2026-03-31 14:09:05 +00:00
arham afee63e061 Add: new docker compose to support mulitcast 2026-03-31 14:08:42 +00:00
John Colvin fc9356d1a0 deploy: Optionally mount sparkd entrypoint in config dir
To mount a custom entrypoint script, put it in the config profile dir
and define the following env vars:

    SPARKD__IMAGE=sparkd_symbols
    SPARKD__MAIN_ENTRYPOINT=/home/bts/.local/share/bts/sparkd/conf/<custom-entrypoint>

To invoke the "normal" sparkd entrypoint script from the mounted one:

    ./sparkd-entrypoint.sh
2026-03-27 18:28:25 +00:00
John Colvin a85f22c6a8 deploy: Fix sudo issues in sparkd-entrypoint.sh 2026-03-27 17:59:20 +00:00
John Colvin 2024eba4d0 deploy: Add ophir_sim_replay config profile for sparkd 2026-03-26 16:20:41 -04:00
John Colvin 1a49a828ad build: Don't activate venv when generating individual protos
We activate the venv for the whole build
2026-03-26 16:20:41 -04:00
John Colvin c0448c7c8d deploy: Resolve profile dirs with regex patterns 2026-03-26 16:20:41 -04:00
John Colvin a6c6e7faf3 improve: Wait until py work requested before loading py modules
So we don't crash due to missing py modules when no py plugins are running.
2026-03-26 16:20:41 -04:00
John Colvin 56445d2d66 deploy: Add sparkd-shell service to compose.yaml for troubleshooting 2026-03-26 16:20:41 -04:00
John Colvin ccf1bd51c2 cleanup: Remove unused code 2026-03-26 16:20:41 -04:00
John Colvin fd21269df7 refactor: Wrap md run logic in class MarketDataSession
Start in the constructor, gracefully exit in the destructor.
2026-03-26 16:20:41 -04:00
John Colvin fe85c3e648 Allow md recording dir to be mounted as volume in docker compose 2026-03-26 16:20:41 -04:00
John Colvin e1d33ecadf deploy: Configure timezone in entrypoint script 2026-03-26 16:20:41 -04:00
John Colvin 83df96c70f deploy: Move compose entrypoint to dedicated script 2026-03-26 16:20:41 -04:00
John Colvin f718f5b15c deploy: Fix typo in sparkd conf dir path in compose.yaml 2026-03-26 16:20:41 -04:00
John Colvin 5d752f3b73 refactor: Replace DataPacket with IDataPacket in more places 2026-03-26 16:20:40 -04:00
John Colvin d308dbf15a build: Check if venv already active before activating 2026-03-26 16:20:40 -04:00
John Colvin 21c43b9240 refactor: Replace TableFormatter with table.h
Also move to "format" dir
2026-03-26 16:20:40 -04:00
John Colvin e1553f1b04 refactor: Replace StringFinder/Joiner.h with find/join.h
Also move to "algorithm" dir
2026-03-26 16:20:40 -04:00
John Colvin a26918efe9 refactor: Rename a few TitleCase .h files snake_case
* EnumMacros.h -> enum_macros.h
* TimeSpan.h ---> time_span.h
* TimeStamp.h --> time_stamp.h
2026-03-26 16:20:40 -04:00
John Colvin f729fc4c59 diag: Use structured logs in MDP3Listener::onOption 2026-03-26 16:20:40 -04:00
John Colvin fa67adbe36 deploy: Install tzdata in linux_dotnet8 Dockerfile
So we can configure timezone in compose services. Specifically, we need this
to support live cme md (so onixs doesn't think messages are "too old").
2026-03-26 16:20:40 -04:00
John Colvin 72f9ec582e cleanup: Remove unused code 2026-03-26 16:20:40 -04:00
John Colvin 8fea31bdf6 refactor: Add new glbx variable ticks to security (shm and proto) 2026-03-26 16:20:39 -04:00
John Colvin ca96e41391 build: Upgrade cs LangVersion 11 -> 12 2026-03-26 16:20:39 -04:00
John Colvin d4e5c95fde refactor: Rename SparkApiCredentials -> SparkCredentials 2026-03-26 16:20:39 -04:00
John Colvin f6e0ec3617 refactor: Rename SparkdLoginService -> SparkLoginService
This makes it consistent with other type names (we don't use "Sparkd"
anywhere else).
2026-03-26 16:20:39 -04:00
John Colvin 3fa5284838 refactor: Rename SparkdCredentials.cs -> SparkApiCredentials.cs
Matches the class name
2026-03-26 16:20:39 -04:00
John Colvin 4dcaa565f6 cleanup: Remove unnecessary subscription wrapper in cs sdk 2026-03-26 16:20:39 -04:00
John Colvin 75ecfa89d6 build: Clean up spark_client.sln
* Remove unused csprojs related to old sdk
* Remove erroneous build type config
2026-03-26 16:20:39 -04:00
John Colvin 1c930439a4 fix build (dsqa): Add using Spark.Api.MarketData
Needed to reference IMarketDataClient
2026-03-26 16:19:30 -04:00
John Colvin 25084b8cd9 fix build (cs): Add "global::" prefix when using Spark.Api ns
Resolves conflicts with the Bts.Spark.Api namespace when the using
statement is nested inside the root "Bts" namespace.
2026-03-26 16:17:16 -04:00
John Colvin 5b8a8a8882 build: Simplify target to include native assets in cs 2026-03-08 16:00:49 +00:00
John Colvin 21052090a2 fix (pre-emptive): Format dotnet flag opts correctly
In pack_spark_sdk.py, the dotnet pack cmd is constructed with a dict of
opts. If the value part is None, the opt should be formatted as a flag,
"--key" instead of "--key None".
2026-03-07 13:32:03 -05:00
John Colvin 9bd32b8225 fix build (pack cs sdk): Fix --(no-)cs toggle behavior
* Always run "dotnet pack", regardless of csharp toggle opt
* Run "dotnet publish" if csharp toggled on
2026-03-07 13:20:56 -05:00
John Colvin e8e234f420 fix: Don't fire empty updates in Books IObservable 2026-03-07 01:19:38 -05:00
John Colvin be23237a45 fix: Update last val in IObservable FlattenSeries ext
The bootstrap delegate that stitches the sequences together wasn't
getting properly invoked because of this.
2026-03-07 01:19:28 -05:00
arham a9d92650f8 Add: Spread name to synthspreadbbo 2026-03-03 04:33:44 +00:00
arham c03fb13126 Fix: rename EnterSpreaderOrderAsync from CreateSynthAsync 2026-03-03 01:16:10 +00:00
arham 01e6e37db6 Add: Config for ophir live data sim exe 2026-03-03 01:10:34 +00:00
arham 786b0849a7 FIX: removed errenous code that stopped mdp3 from working 2026-03-03 01:09:06 +00:00
419 changed files with 24922 additions and 2392 deletions

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+8
View File
@@ -29,6 +29,9 @@
# 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
@@ -38,6 +41,9 @@ 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
@@ -45,6 +51,8 @@ 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
+11 -11
View File
@@ -183,11 +183,10 @@
"windows": {
"program": "PubSubServer.exe",
},
"args": [
"--config",
"${workspaceFolder}/src/DataStreamSuite/PubSubServer/Configurations/${input:pubSubServerConfig}.json"
],
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:pubSubServerEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
@@ -214,7 +213,7 @@
"type": "coreclr",
"request": "launch",
"program": "",
"preLaunchTask": "Build Api Server (Debug)",
"preLaunchTask": "Build Spark Sdk (Debug)",
"windows": {
"program": "Bts.Spark.Sdk.Demo.exe",
},
@@ -286,7 +285,7 @@
"windows": {
"program": "Spark.exe",
"args": [
"--sparkd",
"--Spark:ConfigServer",
"${input:sparkConfigServer}"
],
"cwd": "build/Debug/bin/net8.0-windows",
@@ -449,14 +448,15 @@
"default": "Local",
},
{
"id": "pubSubServerConfig",
"id": "pubSubServerEnvironment",
"type": "pickString",
"description": "PubSub Configuration",
"description": "PubSubServer Configuration",
"options": [
"PubSubServer",
"SimpleEchoClient",
"Development",
"EchoServer",
"Local",
],
"default": "PubSubServer",
"default": "Development",
},
{
"id": "sdkDemoEnvironment",
+94 -37
View File
@@ -2,6 +2,7 @@ services:
sparkd:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
build:
dockerfile: src/app_sparkd/Dockerfile
args:
@@ -9,24 +10,35 @@ services:
- SOURCE_DIR=${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: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/sparkd/data
if [ -e "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" ]; then
mv "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
fi
if [ -e "/home/bts/.local/share/bts/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/conf/.env.local'
set -a
. /home/bts/.local/share/bts/sparkd/conf/.env.local
set +a
fi
if [ -d /home/bts/.local/share/bts/sparkd/conf/plugins ]; then
echo 'Copying /home/bts/.local/share/bts/sparkd/conf/plugins to runtime dir (/home/bts/bin)'
cp -r /home/bts/.local/share/bts/sparkd/conf/plugins /home/bts/bin/
fi
./sparkd run"
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
@@ -42,6 +54,7 @@ services:
sparkd-symbols:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
build:
dockerfile: src/app_sparkd/Dockerfile
@@ -50,26 +63,8 @@ services:
- SOURCE_DIR=${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: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/sparkd
if [ -e "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" ]; then
mv "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
fi
ls -alh /home/bts/.local/share/bts/sparkd/conf/
cat /home/bts/.local/share/bts/sparkd/conf/.env.local
if [ -e "/home/bts/.local/share/bts/sparkd/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/sparkd/conf/.env.local'
set -a
. /home/bts/.local/share/bts/sparkd/conf/.env.local
set +a
fi
if [ -d /home/bts/.local/share/bts/sparkd/conf/plugins ]; then
echo 'Copying /home/bts/.local/share/bts/sparkd/conf/plugins to runtime dir (/home/bts/bin)'
cp -r /home/bts/.local/share/bts/sparkd/conf/plugins /home/bts/bin/
fi
./sparkd run"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
@@ -77,6 +72,7 @@ services:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
restart_policy:
condition: any
@@ -84,7 +80,65 @@ services:
resources:
limits:
memory: "${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:
@@ -195,3 +249,6 @@ volumes:
name: "md_publisher_22019"
historic_md:
name: "historic_md"
md_recording:
name: "sparkd_md_recording_${SPARKD__CONFIG_PORT:-8000}"
external: true
+942
View File
@@ -0,0 +1,942 @@
# 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.
@@ -8,6 +8,7 @@ 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
@@ -18,6 +19,11 @@ RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
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"
@@ -0,0 +1,11 @@
FROM ubuntu:24.04
ARG DEBIAN_FRONTEND=noninteractive
RUN apt-get update && apt-get install -y \
fish \
less \
vim
USER bts
WORKDIR /home/bts
+279 -406
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{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Release|x86.Build.0 = Release|x64
EndGlobalSection
GlobalSection(SolutionProperties) = preSolution
HideSolutionNode = FALSE
EndGlobalSection
GlobalSection(NestedProjects) = preSolution
{D7C6B9C7-1058-B1EA-FEE6-34C56B05AEDB} = {827E0CD3-B72D-47B6-A68D-7590B98EB39B}
{684863A1-3396-4D31-A731-C0725CF07F4E} = {D7C6B9C7-1058-B1EA-FEE6-34C56B05AEDB}
{45292808-4EF3-4D4A-B3F5-B75C42EE5870} = {D7C6B9C7-1058-B1EA-FEE6-34C56B05AEDB}
{AA57F8D9-7BD6-4161-881B-AD2CEF9A30F6} = {D7C6B9C7-1058-B1EA-FEE6-34C56B05AEDB}
{28A26DF7-5F7A-43A2-A548-B55FEBCC3958} = {D7C6B9C7-1058-B1EA-FEE6-34C56B05AEDB}
{7543386A-5EBA-4AF0-9E0F-35657B58557D} = {D7C6B9C7-1058-B1EA-FEE6-34C56B05AEDB}
{60E0D592-FFB3-0D0A-C4AA-E88919B48F9D} = {827E0CD3-B72D-47B6-A68D-7590B98EB39B}
{1A5B8C5D-BADC-457E-819F-0050C44FE4D3} = {827E0CD3-B72D-47B6-A68D-7590B98EB39B}
{2A0FBDE0-D870-4567-85BD-F7793A5862C6} = {1A5B8C5D-BADC-457E-819F-0050C44FE4D3}
EndGlobalSection
GlobalSection(ExtensibilityGlobals) = postSolution
SolutionGuid = {422D1620-0166-4C26-9A81-CA8A2EB1AB58}
EndGlobalSection
GlobalSection(Performance) = preSolution
HasPerformanceSessions = true
{C13A5ABD-F739-4BE8-A2FE-511E989A5B43} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{F7C6F079-67BA-4899-9B43-D3F8C121D264} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{E60C119D-2919-4E2F-9D39-90DB1A8FF9A7} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{ECBAA198-EC93-4174-8156-BDA5F5E95042} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{F54AE5C0-2ECA-4151-82E6-0D7EFE88FF40} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{A898C6C3-F134-4AF0-AFB3-3834C58CC0D7} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{B6070F41-8759-448B-B56D-A7D15D489569} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{B2D721AB-920C-4CD6-8DBF-6778A115A449} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295} = {827E0CD3-B72D-47B6-A68D-7590B98EB39B}
{42C014A0-00C5-0620-8552-38912E891A7F} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3} = {42C014A0-00C5-0620-8552-38912E891A7F}
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{2B8243FF-60C6-4607-8AAE-7762D29B0A48} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
EndGlobalSection
EndGlobal
@@ -14,10 +14,8 @@ namespace BCG
public DistinctRowEvaluator(string colMapExpression, string[] columnNames)
: base (colMapExpression, null, columnNames) {}
public override IBlueRow evaluate (DataPacket packet)
{
myOutputTable = myOutputTable == null ? new GroupByOutputTable (packet.schema) : myOutputTable;
public override IBlueRow? evaluate(IDataPacket packet) {
myOutputTable ??= new GroupByOutputTable(packet.Schema);
string hashString = GroupByStream.getRepString (packet, myGroupByCols);
if (packet.newRows.Count == 0)
//if there are no rows for this group we remove the group from the output table
@@ -42,7 +42,7 @@ namespace BCG
return retVal;
}
public abstract IBlueRow evaluate (DataPacket dp) ;
public abstract IBlueRow? evaluate(IDataPacket dp);
#endregion
#region Helper methods
@@ -8,12 +8,13 @@ namespace BCG {
internal class GroupByStream : MethodDrivenStream {
private class MyFuncGroupByEvaluator : IGroupByEvaluator {
private string[] _groupby_cols;
private Func<DataPacket, IBlueRow> _groupby_func;
public MyFuncGroupByEvaluator(IEnumerable<string> groupby_cols, Func<DataPacket, IBlueRow> groupby_func) {
readonly Func<IDataPacket, IBlueRow> _groupby_func;
public MyFuncGroupByEvaluator(IEnumerable<string> groupby_cols, Func<IDataPacket, IBlueRow> groupby_func) {
_groupby_cols = groupby_cols.ToArray();
_groupby_func = groupby_func;
}
public IBlueRow evaluate(DataPacket packet) { return _groupby_func(packet); }
public IBlueRow evaluate(IDataPacket packet) =>
_groupby_func(packet);
public string[] groupByColumns { get { return _groupby_cols; } }
@@ -32,7 +33,7 @@ namespace BCG {
private IBlueTableSchema myOutputSchema;
private int myIdGenerator = 0;
public GroupByStream(ViewStream stream, IEnumerable<string> groupby_cols, Func<DataPacket, IBlueRow> groupby_func)
public GroupByStream(ViewStream stream, IEnumerable<string> groupby_cols, Func<IDataPacket, IBlueRow> groupby_func)
: this(stream, new MyFuncGroupByEvaluator(groupby_cols, groupby_func)) { }
public GroupByStream(ViewStream stream, IGroupByEvaluator groupByEvaluator)
@@ -187,11 +188,11 @@ namespace BCG {
}
}
public static string getRepString(DataPacket dp, string[] colNames) {
public static string getRepString(IDataPacket dp, string[] colNames) {
return BlueDataUtility.rowToString(getRepRow(dp), colNames);
}
public static IBlueRow getRepRow(DataPacket dp) {
public static IBlueRow getRepRow(IDataPacket dp) {
if (dp.newRows.Count > 0)
return BlueDataUtility.extractRow(dp.newRows, 0);
else if (dp.addedRows.Count > 0)
@@ -1,5 +1,3 @@
using System;
namespace BCG
{
/// <summary>
@@ -14,7 +12,7 @@ namespace BCG
/// deletetion) and the added and deletedRows being the increments. If a group has
/// to be totally removed then a null should be returned
/// </summary>
IBlueRow evaluate (DataPacket packet);
IBlueRow? evaluate(IDataPacket packet);
/// <summary>
/// Returns the columns (belonging to the original schema) on which this IGroupByEvaluator
@@ -14,9 +14,8 @@ namespace BCG {
public MaxGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols)
: base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) :
myOutputTable;
public override IBlueRow? evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
string hashString = BlueDataUtility.rowToString(GroupByStream.getRepRow(dp), myGroupByCols);
IBlueRow currMaxRow = myOutputTable.getRow(hashString);
IBlueRow maxRow = BlueDataUtility.computeMaxRow(dp.deletedRows, myOutputColumn);
@@ -1,7 +1,3 @@
using System;
using BCG.Utilities;
namespace BCG {
public class MinGroupByEvaluator : MaxGroupByEvaluator {
public MinGroupByEvaluator(string outputCol, string[] groupByCols)
@@ -10,8 +6,8 @@ namespace BCG {
public MinGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols) :
base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) : myOutputTable;
public override IBlueRow? evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
string stringRep = BlueDataUtility.rowToString(GroupByStream.getRepRow(dp), myGroupByCols);
IBlueRow currMinRow = myOutputTable.getRow(stringRep);
IBlueRow minRow = BlueDataUtility.computeMinRow(dp.deletedRows, myOutputColumn);
@@ -1,5 +1,3 @@
using System;
namespace BCG {
/// <summary>
/// Computes the sum for a given column
@@ -10,8 +8,8 @@ namespace BCG {
public SumGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols)
: base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) : myOutputTable;
public override IBlueRow evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
IBlueRow sumRow = BlueDataUtility.computeSum(dp.newRows, myOutputColumn);
return sumRow;
@@ -33,7 +31,7 @@ namespace BCG {
#region IGroupByEvaluator Members
public IBlueRow evaluate(DataPacket packet) { return BlueDataUtility.computeSum(packet.newRows, myOutputCols); }
public IBlueRow evaluate(IDataPacket packet) => BlueDataUtility.computeSum(packet.newRows, myOutputCols);
public string[] groupByColumns { get { return myGroupByCols; } }
@@ -51,9 +49,8 @@ namespace BCG {
public SumGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols)
: base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) : myOutputTable;
public override IBlueRow evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
IBlueRow sumRow = BlueDataUtility.computeSum<T>(dp.newRows, myOutputColumn);
return sumRow;
}
@@ -68,7 +65,7 @@ namespace BCG {
#region IGroupByEvaluator Members
public IBlueRow evaluate(DataPacket packet) { return BlueDataUtility.computeSum<T>(packet.newRows, myOutputCols); }
public IBlueRow evaluate(IDataPacket packet) => BlueDataUtility.computeSum<T>(packet.newRows, myOutputCols);
public string[] groupByColumns { get { return myGroupByCols; } }
@@ -2,6 +2,8 @@ using BCG;
using MongoDB.Driver.Core.WireProtocol.Messages;
using Spark.Core.Diagnostics;
using System;
using System.Collections.Generic;
using System.Linq;
@@ -37,7 +39,7 @@ namespace bts {
}
void _handle_stream_update(object dp_obj) {
DataPacket dp = dp_obj as DataPacket;
var dp = ExceptionAssert.Argument.Is<IDataPacket>(dp_obj);
IDictionary<int, List<IBlueRow>> groups = !String.IsNullOrEmpty(_group_by_col) ?
BlueDataUtility.group_together(dp.newRows, new string[] { _group_by_col })
:
@@ -8,11 +8,11 @@ using Bts.DataStreamCore;
using Bts.DataStreamExpressions;
using Bts.PubSub;
using global::Spark.Core.Disposables;
using Microsoft.Extensions.Hosting;
using Microsoft.Extensions.Options;
using Spark.Core.Disposables;
using System;
using System.Collections.Generic;
using System.Linq;
@@ -8,6 +8,7 @@ using Bts.PubSub.Services;
using Microsoft.Extensions.DependencyInjection;
using Microsoft.Extensions.Hosting;
using Spark.Api.MarketData;
using Spark.Api.Services;
using Spark.Core.Services;
@@ -5,7 +5,7 @@ using BCG.Utilities.General;
using Bts.DataStreamCore;
using Spark.Core.Collections;
using global::Spark.Core.Collections;
public class TestDriverStream : ViewStream, IWorker {
readonly IBlueTableSchema schema;
@@ -80,7 +80,7 @@ r = TimeSeriesStream(r)
"left_sec", "left_venue","right_sec", "right_venue"
);
r = new NewProjectStream (r,
" spread_bid_qty spread_bid_price spread_bid_notional spread_ask_qty spread_ask_price spread_ask_notional left_qm right_qm left_bid_qty left_bid_price left_ask_qty left_ask_price right_bid_qty right_bid_price right_ask_qty right_ask_price left_sec_name right_sec_name left_cpp right_cpp left_venue right_venue ");
" spread_name spread_bid_qty spread_bid_price spread_bid_notional spread_ask_qty spread_ask_price spread_ask_notional left_qm right_qm left_bid_qty left_bid_price left_ask_qty left_ask_price right_bid_qty right_bid_price right_ask_qty right_ask_price left_sec_name right_sec_name left_cpp right_cpp left_venue right_venue ");
r = new MathStream (r,
"arb = Max( Abs(Min(0,spread_ask_notional)),spread_bid_notional )");
@@ -5,10 +5,9 @@ using BCG;
using bts.api;
using bts.md;
using Bts.DataStream;
using Bts.DataStreamCore;
using Spark.Api.MarketData;
using global::Spark.Api.MarketData;
public class BookSchemaBuilder {
public int NumLevels { get; set; } = 5;
@@ -1,10 +1,13 @@
namespace bts.BlueOrb {
using System;
using System.Security.Cryptography;
using BCG;
using BCG;
using Bts.DataStreamCore;
using Bts.PubSub;
using Bts.PubSub;
using IronPython.Runtime.Operations;
using Spark.Api.MarketData;
@@ -64,12 +67,22 @@ namespace bts.BlueOrb {
[LiveMarketDataStream]
[DataStreamUserRespresentation("SyntheticSpreadBBOStream")]
public class SyntheticSpreadBBOStream : ViewStream {
public SyntheticSpreadBBOStream(string leg_1, string venue_1,string leg_2, string venue_2, [MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) : this(leg_1, venue_1, leg_2, venue_2, 1, -1, 1, 1, mdClient, scheduler) { }
public SyntheticSpreadBBOStream(string leg_1, string venue_1, string leg_2, string venue_2, double pm1, double pm2, double cpp1, double cpp2, [MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) : this(new LiveBBOStream(mdClient, scheduler, venue_1,leg_1), new LiveBBOStream(mdClient, scheduler, venue_2,leg_2), pm1, pm2, cpp1, cpp2) { }
public SyntheticSpreadBBOStream(ViewStream bbo_leg_1, ViewStream bbo_leg_2, double pm1, double pm2, double cpp1, double cpp2) {
public SyntheticSpreadBBOStream(string leg_1, string venue_1, string leg_2, string venue_2,
[MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) :
this(leg_1, venue_1, leg_2, venue_2, 1, -1, 1, 1, mdClient, scheduler) { }
public SyntheticSpreadBBOStream(string leg_1, string venue_1, string leg_2, string venue_2,
double pm1, double pm2, double cpp1, double cpp2,
[MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) :
this(
new LiveBBOStream(mdClient, scheduler, venue_1, leg_1),
new LiveBBOStream(mdClient, scheduler, venue_2, leg_2),
pm1, pm2, cpp1, cpp2,
leg_1,venue_1,leg_2,venue_2) { }
public SyntheticSpreadBBOStream(ViewStream bbo_leg_1, ViewStream bbo_leg_2, double pm1, double pm2,
double cpp1, double cpp2, string leg_1, string venue_1, string leg_2, string venue_2) {
ViewStream r;
double qm1 =1;
double qm2 = cpp1/cpp2;
double qm1 = 1;
double qm2 = cpp1 / cpp2;
bbo_leg_1 = new AddColumnsStream(bbo_leg_1,
"pm:" + pm1.ToString());
bbo_leg_1 = new AddColumnsStream(bbo_leg_1,
@@ -78,12 +91,14 @@ namespace bts.BlueOrb {
"pm:" + pm2.ToString());
bbo_leg_2 = new AddColumnsStream(bbo_leg_2,
"qm:" + qm2.ToString());
var name = leg_1.replace("$","") + "-" + (qm2==1?"":qm2.ToString())+leg_2.replace("$","");
r = new SimpleJoinStream(bbo_leg_1,
"",
bbo_leg_2,
"");
r = new AddColumnsStream(r,"spread_name:"+name);
r = new MathStream(r,
"""
$"""
spread_bid_price = left_bid_price*left_pm + right_ask_price*right_pm;
spread_ask_price = left_ask_price*left_pm + right_bid_price*right_pm;
spread_ask_qty = Min((left_ask_qty/left_qm),(right_bid_qty/right_qm));
@@ -99,7 +114,7 @@ namespace bts.BlueOrb {
+ (right_bid_price * spread_ask_qty * {cpp1} * right_pm);
""");
mySetRealSource(r);
@@ -2,7 +2,7 @@ namespace Bts.SharedStreams;
using bts.api;
using Spark.Api.Orders;
using global::Spark.Api.Orders;
public static class WellKnownColumns {
public static (string Name, Type Type) AskNotional => (WellKnownColumnNames.AskNotional, typeof(double));
+1 -1
View File
@@ -17,7 +17,7 @@
<ShowMissingItemTypes>false</ShowMissingItemTypes>
<Configuration Condition="'$(configuration)'==''">Debug</Configuration>
<EnablePreviewFeatures>true</EnablePreviewFeatures>
<LangVersion>11</LangVersion>
<LangVersion>12</LangVersion>
<UseProjectRefs Condition="'$(UseProjectRefs)' == ''">true</UseProjectRefs>
<SparkVersion Condition="'$(SparkVersion)' == ''">3.2.0-preview</SparkVersion>
<Version>$(SparkVersion)</Version>
+20
View File
@@ -187,4 +187,24 @@
Name="Test"
DependsOnTargets="Build"></Target>
<Target Name="CopyNativeAssetsToOutput" AfterTargets="Build">
<Copy SourceFiles="@(NativeWindowsAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeWindowsAsset.FullPath)')" />
<Copy SourceFiles="@(NativeLinuxAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeLinuxAsset.FullPath)')" />
</Target>
<ItemGroup>
<Content Include="@(NativeWindowsAsset)"
Condition="Exists('@(NativeWindowsAsset)')"
Link="%(NativeWindowsAsset.FileName)%(NativeWindowsAsset.Extension)"
CopyToOutputDirectory="PreserveNewest"
Pack="true"
PackagePath="runtimes/win-x64/native/" />
<Content Include="@(NativeLinuxAsset)"
Condition="Exists('@(NativeLinuxAsset)')"
Link="%(NativeLinuxAsset.FileName)%(NativeLinuxAsset.Extension)"
CopyToOutputDirectory="PreserveNewest"
Pack="true"
PackagePath="runtimes/linux-x64/native/" />
</ItemGroup>
</Project>
+5
View File
@@ -2,12 +2,14 @@ ARG IMAGE="sparkd"
ARG CONFIG_DIR="src/app_sparkd/configurations/dev"
ARG SOURCE_DIR="install/sparkd-release-gcc"
ARG PYTHON_REQUIREMENTS="requirements.txt"
ARG SPARKD_ENTRYPOINT="src/app_sparkd/sparkd-entrypoint.sh"
# sparkd_base
FROM bluetradingsystems/linux_dotnet8 AS sparkd_base
ARG CONFIG_DIR
ARG SOURCE_DIR
ARG PYTHON_REQUIREMENTS
ARG SPARKD_ENTRYPOINT
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
@@ -21,6 +23,7 @@ RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
COPY --chown=bts:bts "${CONFIG_DIR}" "/home/bts/.local/share/bts/sparkd/conf"
COPY --chown=bts:bts "${SPARKD_ENTRYPOINT}" "/home/bts/bin/sparkd-entrypoint.sh"
WORKDIR "/home/bts/bin"
# sparkd
@@ -35,6 +38,7 @@ COPY --chown=bts:bts "${MD_RECORDING_DIR}" "/home/bts/.local/share/bts/sparkd/da
FROM bluetradingsystems/linux_dotnet8 AS sparkd_symbols
ARG SOURCE_DIR
ARG PYTHON_REQUIREMENTS="requirements.txt"
ARG SPARKD_ENTRYPOINT
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
@@ -47,6 +51,7 @@ RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
COPY --chown=bts:bts "${SPARKD_ENTRYPOINT}" "/home/bts/bin/sparkd-entrypoint.sh"
WORKDIR "/home/bts/bin"
# selected image
@@ -0,0 +1,5 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/all_crypto
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/gateio_dev/requirements.txt
SPARKD__DATA_DIR=/home/ubuntu/8000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf
@@ -0,0 +1,11 @@
{
"currencies": [
"USDT"
],
"futures": [
"BTC",
"ETH",
"SOL",
"XRP"
]
}
@@ -0,0 +1,16 @@
{
"currencies": [
"USDT"
],
"futures": [
"BTC",
"ETH",
"SOL",
"XRP"
],
"use_testnet": false,
"logging": {
"console_level": "WARNING",
"file_level": "INFO"
}
}
@@ -0,0 +1,71 @@
PublisherOptions {
value {
network_interface: "0.0.0.0"
heartbeat_ms: 5000
heartbeat_boot_seconds: 60
skip_options: true
hot_initial: 1024
hot_growth: 1024
cold_initial: 8192
cold_growth: 2048
channel_prefix: ""
disable_heartbeat: true
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
file {
default_level: "Info"
subsystem {
name: "md"
level: "Diag"
}
}
}
}
MarketDataConfig {
value {
# python_md_providers {
# venue: VENUE_GATEIO
# module_path: "python_md_providers"
# provider_type: "gateio_md_provider.GateIoMdProvider"
# }
python_md_providers {
venue: VENUE_BYBIT
module_path: "python_interop_plugins"
provider_type: "bybit_md_provider.BybitMdProvider"
}
binance_usds_futures {
num_depth_levels: 5
url_rest_base: "https://fapi.binance.com"
url_ws_base: "wss://fstream.binance.com"
security_criteria {
clauses {
security_types: SECURITY_TYPE_FUTURE
symbols: @SymbolLists.list[Gateio].symbol
}
}
}
okx {
num_depth_levels: 5
url_rest_base: "https://www.okx.com"
url_ws_base: "wss://ws.okx.com:8443"
security_criteria {
clauses {
security_types: SECURITY_TYPE_FUTURE
symbols: @SymbolLists.list[Gateio].symbol
}
}
is_application_ping_pong_enabled: true
application_ping_interval_ms: 20000
application_pong_timeout_ms: 10000
is_protocol_ping_pong_enabled: true
protocol_ping_interval_ms: 60000
protocol_pong_timeout_ms: 30000
}
}
}
@@ -0,0 +1,32 @@
SymbolLists {
value {
list {
key: "Gateio"
symbol: "SOL"
symbol: "BTC"
symbol: "ETH"
symbol: "XRP"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GATEIO"
spot: @SymbolLists.list[Gateio].symbol
}
venues {
name: "VENUE_BYBIT"
future: @SymbolLists.list[Gateio].symbol
}
venues {
name: "VENUE_BINANCE_USDS_FUTURES"
future: @SymbolLists.list[Gateio].symbol
}
venues {
name: "VENUE_OKX"
future: @SymbolLists.list[Gateio].symbol
}
}
}
@@ -0,0 +1,7 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/cme_dev_replay_aws
SPARKD__DATA_DIR=/home/ubuntu/8000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/cme_dev_replay_aws/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf
SPARKD__SHM_SIZE=512m
SPARKD__MEMORY=1g
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,83 @@
DeploymentType {
value {
type: "prod"
}
}
PublisherOptions {
value {
network_interface_a: 'ens5'
network_interface_b: 'ens5'
#these get overriden if not entered here
heartbeat_ms: 5000
heartbeat_boot_seconds: 60
skip_options: false
hot_initial: 1024
hot_growth: 1024
cold_initial: 8192
cold_growth: 2048
channel_prefix: ""
disable_heartbeat: false
}
}
CMEOptions {
value {
feed_engine {
name: "mdp3feed"
spin_time: 0
channels_per_thread: 3
data_wait: 10
udp_socket_buffer_size: 268435456
}
channel {
id: "*"
feed_engine: "mdp3feed"
use_tcp_replay: false
recovery_queue_size: 640000
lost_packet_wait_timeout_ms: 10
onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
#max_gap_recovery_cache_size: 4
use_natural_refresh: false
join_snapshot_on_gap: false
}
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
console {
default_level: "Info"
subsystem {
name: "md"
level: "Info"
}
subsystem {
name: "OrderMan"
level: "Info"
}
}
}
}
MarketDataConfig {
value {
glbx {
unique_check_value: 15
use_databento: false
}
# recording {
# venue: VENUE_GLBX
# num_of_seconds_to_run_file_writer: 300
# num_of_seconds_to_run_db_writer : 0
# n_book_levels: 10
# batch_size: 100 #for the db writer
# enable_book_recording: true
# enable_trade_recording: true
# enable_bbo_recording: false
# enable_tbbo_recording: false
# enable_misc_recording: true
#}
}
}
@@ -0,0 +1,61 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
# list {
# key: "GlbxOptions"
# symbol: "E1A"
# symbol: "E1B"
# symbol: "E1C"
# symbol: "E1D"
# symbol: "E2A"
# symbol: "E2B"
# symbol: "E2C"
# symbol: "E2D"
# symbol: "E3A"
# symbol: "E3B"
# symbol: "E3C"
# symbol: "E3D"
# symbol: "E4A"
# symbol: "E4B"
# symbol: "E4C"
# symbol: "E4D"
# symbol: "E5A"
# symbol: "E5B"
# symbol: "E5C"
# symbol: "E5D"
# symbol: "EW1"
# symbol: "EW2"
# symbol: "EW3"
# symbol: "EW4"
# symbol: "ESH9"
# symbol: "ESZ6"
# symbol: "ESH0"
# symbol: "ESM6"
# symbol: "ESZ7"
# symbol: "ESH6"
# symbol: "ESM7"
# symbol: "ESZ8"
# symbol: "ESH7"
# symbol: "ESH8"
# symbol: "ESU6"
# symbol: "ESZ5"
# symbol: "ESZ9"
# symbol: "E1D"
# symbol: "ESZ5"
# symbol: "ES"
# }
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
# option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
@@ -0,0 +1,10 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_cert_live_wb
SPARKD__DATA_DIR=/home/wedbushprod/9000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_cert_live_wb/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/9000/sparkdata/conf
SPARKD__SHM_SIZE=8g
SPARKD__MEMORY=16g
SPARKD__CONFIG_PORT=9000
SPARKD__QUICKBUS_PORT=9001
SPARKD__SIM_FIX_PORT=9002
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,140 @@
DeploymentType {
value {
type: "dev"
}
}
PublisherOptions {
value {
network_interface_a: 'ens65f1'
network_interface_b: 'ens65f0'
#these get overriden if not entered here
heartbeat_ms: 5000
heartbeat_boot_seconds: 60
skip_options: false
hot_initial: 1024
hot_growth: 1024
cold_initial: 8192
cold_growth: 2048
channel_prefix: ""
disable_heartbeat: false
}
}
CMEOptions {
value {
feed_engine {
name: "mdp3feed"
spin_time: 0
channels_per_thread: 3
data_wait: 10
udp_socket_buffer_size: 268435456
}
channel {
id: "*"
feed_engine: "mdp3feed"
use_tcp_replay: false
recovery_queue_size: 640000
lost_packet_wait_timeout_ms: 10
onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
#max_gap_recovery_cache_size: 4
use_natural_refresh: false
join_snapshot_on_gap: false
}
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
console {
default_level: "Info"
subsystem {
name: "md"
level: "Info"
}
subsystem {
name: "OrderMan"
level: "Info"
}
}
}
}
MarketDataConfig {
value {
glbx {
unique_check_value: 15
use_databento: false
}
# recording {
# venue: VENUE_GLBX
# num_of_seconds_to_run_file_writer: 300
# num_of_seconds_to_run_db_writer : 0
# n_book_levels: 10
# batch_size: 100 #for the db writer
# enable_book_recording: true
# enable_trade_recording: true
# enable_bbo_recording: false
# enable_tbbo_recording: false
# enable_misc_recording: true
#}
}
}
JetFIX {
value {
connection {
name: "maw_004_64"
venue: VENUE_GLBX
socket_connect_host_ip: "69.50.112.177"
socket_connect_port: 44040
sender_compid: "MAW004"
target_compid: "CME"
target_subid: "64"
cme_market_segment_id: 64
start_time: "00:10:00"
end_time: "23:55:00"
start_day: "sunday"
end_day: "friday"
seconds_between_hbs: 15
sender_subid: "BTS"
seconds_to_pause: 2
max_connection_attempts: 100
use_ilink3: true
}
}
}
OrdermanCfg {
value {
executor {
thread_name: "oman_orders"
poll: true
hosted_actor: "MDSource"
hosted_actor: "OrderManager"
hosted_actor: "ExecutionGateway"
}
executor {
thread_name: "oman_slow"
poll: false
hosted_actor: "*"
}
fallback_cust_order_handling_inst: "Y"
}
}
NotSimExecution {
value {
entries {
venue: VENUE_GLBX
}
}
}
Ports {
value {
config_port: 9000
qbus_port: 9001
glbx_sim_fix_port: 9002
ice_sim_fix_port: 9003
replicator_port: 9080
}
}
@@ -0,0 +1,61 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
list {
key: "GlbxOptions"
symbol: "E1A"
symbol: "E1B"
symbol: "E1C"
symbol: "E1D"
symbol: "E2A"
symbol: "E2B"
symbol: "E2C"
symbol: "E2D"
symbol: "E3A"
symbol: "E3B"
symbol: "E3C"
symbol: "E3D"
symbol: "E4A"
symbol: "E4B"
symbol: "E4C"
symbol: "E4D"
symbol: "E5A"
symbol: "E5B"
symbol: "E5C"
symbol: "E5D"
symbol: "EW1"
symbol: "EW2"
symbol: "EW3"
symbol: "EW4"
symbol: "ESH9"
symbol: "ESZ6"
symbol: "ESH0"
symbol: "ESM6"
symbol: "ESZ7"
symbol: "ESH6"
symbol: "ESM7"
symbol: "ESZ8"
symbol: "ESH7"
symbol: "ESH8"
symbol: "ESU6"
symbol: "ESZ5"
symbol: "ESZ9"
symbol: "E1D"
symbol: "ESZ5"
symbol: "ES"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
@@ -1,5 +0,0 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_demo
SPARKD__DATA_DIR=/home/ubuntu/8000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_demo/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf
@@ -1,8 +0,0 @@
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: "ES"
}
}
}
@@ -0,0 +1,7 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_prod_live_wb
SPARKD__DATA_DIR=/home/wedbushprod/8000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_prod_live_wb/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/8000/sparkdata/conf
SPARKD__SHM_SIZE=8g
SPARKD__MEMORY=16g
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,152 @@
DeploymentType {
value {
type: "prod"
}
}
PublisherOptions {
value {
network_interface_a: 'enp193s0f0np0'
network_interface_b: 'enp193s0f1np1'
#these get overriden if not entered here
heartbeat_ms: 5000
heartbeat_boot_seconds: 60
skip_options: false
hot_initial: 1024
hot_growth: 1024
cold_initial: 8192
cold_growth: 2048
channel_prefix: ""
disable_heartbeat: false
}
}
CMEOptions {
value {
feed_engine {
name: "mdp3feed"
spin_time: 0
channels_per_thread: 3
data_wait: 10
udp_socket_buffer_size: 268435456
}
channel {
id: "*"
feed_engine: "mdp3feed"
use_tcp_replay: false
recovery_queue_size: 640000
lost_packet_wait_timeout_ms: 10
onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
#max_gap_recovery_cache_size: 4
use_natural_refresh: false
join_snapshot_on_gap: false
}
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
console {
default_level: "Info"
subsystem {
name: "md"
level: "Info"
}
subsystem {
name: "OrderMan"
level: "Info"
}
}
}
}
MarketDataConfig {
value {
glbx {
unique_check_value: 15
use_databento: false
}
# recording {
# venue: VENUE_GLBX
# num_of_seconds_to_run_file_writer: 300
# num_of_seconds_to_run_db_writer : 0
# n_book_levels: 10
# batch_size: 100 #for the db writer
# enable_book_recording: true
# enable_trade_recording: true
# enable_bbo_recording: false
# enable_tbbo_recording: false
# enable_misc_recording: true
#}
}
}
JetFIX {
value {
connection {
name: "u6p_7qb_54"
venue: VENUE_GLBX
socket_connect_host_ip: "205.209.201.97"
socket_connect_port: 10979
sender_compid: "U6P7QB"
target_compid: "CME"
target_subid: "54"
cme_market_segment_id: 54
start_time: "00:10:00"
end_time: "23:55:00"
start_day: "sunday"
end_day: "friday"
seconds_between_hbs: 15
sender_subid: "BTS"
seconds_to_pause: 1
max_order_msgs_per_window: 300
max_connection_attempts: 2
use_ilink3: true
}
connection {
name: "u6p_7qb_64"
venue: VENUE_GLBX
socket_connect_host_ip: "205.209.201.1"
socket_connect_port: 10979
sender_compid: "U6P7QB"
target_compid: "CME"
target_subid: "64"
cme_market_segment_id: 64
start_time: "00:10:00"
end_time: "23:55:00"
start_day: "sunday"
end_day: "friday"
seconds_between_hbs: 15
sender_subid: "BTS"
seconds_to_pause: 1
max_connection_attempts: 2
max_order_msgs_per_window: 300
use_ilink3: true
}
}
}
OrdermanCfg {
value {
executor {
thread_name: "oman_orders"
poll: true
hosted_actor: "MDSource"
hosted_actor: "OrderManager"
hosted_actor: "ExecutionGateway"
}
executor {
thread_name: "oman_slow"
poll: false
hosted_actor: "*"
}
fallback_cust_order_handling_inst: "Y"
}
}
NotSimExecution {
value {
entries {
venue: VENUE_GLBX
}
}
}
@@ -0,0 +1,61 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
list {
key: "GlbxOptions"
symbol: "E1A"
symbol: "E1B"
symbol: "E1C"
symbol: "E1D"
symbol: "E2A"
symbol: "E2B"
symbol: "E2C"
symbol: "E2D"
symbol: "E3A"
symbol: "E3B"
symbol: "E3C"
symbol: "E3D"
symbol: "E4A"
symbol: "E4B"
symbol: "E4C"
symbol: "E4D"
symbol: "E5A"
symbol: "E5B"
symbol: "E5C"
symbol: "E5D"
symbol: "EW1"
symbol: "EW2"
symbol: "EW3"
symbol: "EW4"
symbol: "ESH9"
symbol: "ESZ6"
symbol: "ESH0"
symbol: "ESM6"
symbol: "ESZ7"
symbol: "ESH6"
symbol: "ESM7"
symbol: "ESZ8"
symbol: "ESH7"
symbol: "ESH8"
symbol: "ESU6"
symbol: "ESZ5"
symbol: "ESZ9"
symbol: "E1D"
symbol: "ESZ5"
symbol: "ES"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
@@ -0,0 +1,7 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_prod_live_wb
SPARKD__DATA_DIR=/home/dk/8000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_prod_live_wb/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/dk/8000/sparkdata/conf
SPARKD__SHM_SIZE=8g
SPARKD__MEMORY=16g
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,101 @@
DeploymentType {
value {
type: "prod"
}
}
PublisherOptions {
value {
network_interface_a: 'enp193s0f0np0'
network_interface_b: 'enp193s0f1np1'
#these get overriden if not entered here
heartbeat_ms: 5000
heartbeat_boot_seconds: 60
skip_options: false
hot_initial: 1024
hot_growth: 1024
cold_initial: 8192
cold_growth: 2048
channel_prefix: ""
disable_heartbeat: false
}
}
CMEOptions {
value {
feed_engine {
name: "mdp3feed"
spin_time: 0
channels_per_thread: 3
data_wait: 10
udp_socket_buffer_size: 268435456
}
channel {
id: "*"
feed_engine: "mdp3feed"
use_tcp_replay: false
recovery_queue_size: 640000
lost_packet_wait_timeout_ms: 10
onixs_log_mode: CME_ONIXS_LOG_MODE_UNSPECIFIED
#max_gap_recovery_cache_size: 4
use_natural_refresh: false
join_snapshot_on_gap: false
}
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
console {
default_level: "Info"
subsystem {
name: "md"
level: "Info"
}
subsystem {
name: "OrderMan"
level: "Info"
}
}
}
}
MarketDataConfig {
value {
glbx {
unique_check_value: 15
use_databento: false
}
# recording {
# venue: VENUE_GLBX
# num_of_seconds_to_run_file_writer: 300
# num_of_seconds_to_run_db_writer : 0
# n_book_levels: 10
# batch_size: 100 #for the db writer
# enable_book_recording: true
# enable_trade_recording: true
# enable_bbo_recording: false
# enable_tbbo_recording: false
# enable_misc_recording: true
#}
}
}
OrdermanCfg {
value {
executor {
thread_name: "oman_orders"
poll: true
hosted_actor: "MDSource"
hosted_actor: "OrderManager"
hosted_actor: "ExecutionGateway"
}
executor {
thread_name: "oman_slow"
poll: false
hosted_actor: "*"
}
fallback_cust_order_handling_inst: "Y"
}
}
@@ -0,0 +1,61 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
list {
key: "GlbxOptions"
symbol: "E1A"
symbol: "E1B"
symbol: "E1C"
symbol: "E1D"
symbol: "E2A"
symbol: "E2B"
symbol: "E2C"
symbol: "E2D"
symbol: "E3A"
symbol: "E3B"
symbol: "E3C"
symbol: "E3D"
symbol: "E4A"
symbol: "E4B"
symbol: "E4C"
symbol: "E4D"
symbol: "E5A"
symbol: "E5B"
symbol: "E5C"
symbol: "E5D"
symbol: "EW1"
symbol: "EW2"
symbol: "EW3"
symbol: "EW4"
symbol: "ESH9"
symbol: "ESZ6"
symbol: "ESH0"
symbol: "ESM6"
symbol: "ESZ7"
symbol: "ESH6"
symbol: "ESM7"
symbol: "ESZ8"
symbol: "ESH7"
symbol: "ESH8"
symbol: "ESU6"
symbol: "ESZ5"
symbol: "ESZ9"
symbol: "E1D"
symbol: "ESZ5"
symbol: "ES"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
@@ -0,0 +1,4 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_sim_replay
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_sim_replay/requirements.txt
TZ=America/Chicago
SPARKD__MD_RECORDING_DIR=/home/wedbushprod/8000/md_recording
@@ -0,0 +1 @@
requests==2.31.0
@@ -24,38 +24,9 @@ PublisherOptions {
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
console {
default_level: "Info"
subsystem {
name: "md"
level: "Warn"
}
subsystem {
name: "OrderMan"
level: "Info"
}
}
file {
default_level: "Info"
subsystem {
name: "OrderMan"
level: "Diag"
}
subsystem {
name: "Http"
level: "Diag"
}
}
}
}
MarketDataConfig {
value {
replay {
replay {
venue: VENUE_GLBX
}
}
@@ -0,0 +1,46 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
list {
key: "GlbxOptions"
symbol: "E1A"
symbol: "E1B"
symbol: "E1C"
symbol: "E1D"
symbol: "E2A"
symbol: "E2B"
symbol: "E2C"
symbol: "E2D"
symbol: "E3A"
symbol: "E3B"
symbol: "E3C"
symbol: "E3D"
symbol: "E4A"
symbol: "E4B"
symbol: "E4C"
symbol: "E4D"
symbol: "E5A"
symbol: "E5B"
symbol: "E5C"
symbol: "E5D"
symbol: "ES"
symbol: "EW1"
symbol: "EW2"
symbol: "EW3"
symbol: "EW4"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
@@ -0,0 +1,9 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_sim_replay_wb
SPARKD__DATA_DIR=/home/wedbushprod/9000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_sim_replay_wb/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/9000/sparkdata/conf
SPARKD__MD_RECORDING_DIR=/home/wedbushprod/md_recording
SPARKD__CONFIG_PORT=9000
SPARKD__QUICKBUS_PORT=9001
SPARKD__SIM_FIX_PORT=9002
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,46 @@
JetFIX {
value {
connection {
name: "glbx_1"
venue: VENUE_GLBX
max_order_msgs_per_window: 300
window_duration_msecs: 1000
}
}
}
Ports {
value {
config_port: 9000
qbus_port: 9001
glbx_sim_fix_port: 9002
ice_sim_fix_port: 9003
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
console {
default_level: "Info"
subsystem {
name: "md"
level: "Info"
}
subsystem {
name: "OrderMan"
level: "Info"
}
}
}
}
MarketDataConfig {
value {
replay {
venue: VENUE_GLBX
}
}
}
@@ -0,0 +1,61 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
list {
key: "GlbxOptions"
symbol: "E1A"
symbol: "E1B"
symbol: "E1C"
symbol: "E1D"
symbol: "E2A"
symbol: "E2B"
symbol: "E2C"
symbol: "E2D"
symbol: "E3A"
symbol: "E3B"
symbol: "E3C"
symbol: "E3D"
symbol: "E4A"
symbol: "E4B"
symbol: "E4C"
symbol: "E4D"
symbol: "E5A"
symbol: "E5B"
symbol: "E5C"
symbol: "E5D"
symbol: "EW1"
symbol: "EW2"
symbol: "EW3"
symbol: "EW4"
symbol: "ESH9"
symbol: "ESZ6"
symbol: "ESH0"
symbol: "ESM6"
symbol: "ESZ7"
symbol: "ESH6"
symbol: "ESM7"
symbol: "ESZ8"
symbol: "ESH7"
symbol: "ESH8"
symbol: "ESU6"
symbol: "ESZ5"
symbol: "ESZ9"
symbol: "E1D"
symbol: "ESZ5"
symbol: "ES"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
+55
View File
@@ -0,0 +1,55 @@
#!/usr/bin/env bash
init_timezone() {
tz="${1:-$TZ}"
zoneinfo_dir=/usr/share/zoneinfo
if [ -f "$zoneinfo_dir/$tz" -a "$(readlink -f /etc/localtime)" != "$zoneinfo_dir/$tz" ]; then
echo "Setting locales and timezone to $tz"
if [ -e /etc/localtime ]; then
sudo -n rm -f /etc/localtime
fi
sudo -n ln -snf "$zoneinfo_dir/$tz" /etc/localtime
echo $tz | sudo -n tee /etc/timezone > /dev/null
fi
}
load_env() {
f="$1"
if [ -e "$f" ]; then
echo "Sourcing $f"
set -a
. "$f"
set +a
fi
}
symlink() {
src="$1"
dst="$2"
if [ -L "$dst" ]; then
rm "$dst"
fi
ln -s "$src" "$dst"
}
roll_log() {
f="$1"
if [ -e "$f" ]; then
mv "$f" "${f}_$(date '+%Y%m%d-%H%M')"
fi
}
# Acquire sudo permission once for the script (needed for a few calls)
echo bts | sudo -S -v
data_root="${HOME:-/home/bts}/.local/share/bts/sparkd"
sudo -n chown -R bts:bts "$data_root"
load_env "$data_root/conf/.env.local"
init_timezone "$TZ"
roll_log "$data_root/data/logging.sparkd/log"
symlink "$data_root/conf/plugins" /home/bts/bin/plugins
if [ -e "/md_recording" -a ! -e "/home/bts/.local/share/bts/sparkd/data/md_recording" ]; then
symlink "/md_recording" /home/bts/.local/share/bts/sparkd/data/md_recording
fi
bash -c "${@:-./sparkd run}"
+3 -2
View File
@@ -17,7 +17,6 @@
#include "spark/orderman/OrderServiceServer.h"
#include "spark/orderman/events/TradeSummarySignalDispatcher.h"
#include "spark/orderman/order_factory/DynamicOrderRegistry.h"
#include "spark/os/os.h"
#include "spark/os/spark_data_directory.h"
#include "spark/persistence/PersistenceServiceServer.h"
#include "spark/plugin/SparkServices.h"
@@ -32,6 +31,7 @@
#include "sparkd/execution/execution_gateway_provider.h"
#include "sparkd/http/WebServer.h"
#include "sparkd/md/MarketDataAuxiliaryServiceServer.h"
#include "sparkd/md/market_data_session.h"
#include "sparkd/md/recording/MDRecorder.h"
#include "sparkd/position/MarginServiceServer.h"
#include "sparkd/position/PositionServiceServer.h"
@@ -46,6 +46,7 @@
namespace bts::cmds {
using bts::api::ServiceContext;
using bts::md::MarketDataSession;
using bts::md::MDClient;
using bts::md::TradeSummarySignalDispatcher;
using bts::metrics::MetricsContainer;
@@ -107,7 +108,7 @@ static void execute() {
auto py_plugin_man = std::make_shared<python_interop::PluginManager>();
// start work loop in background
py_plugin_man->start_work_thread();
md::cmds::Run::run(py_plugin_man);
MarketDataSession md_session{py_plugin_man};
api::synthetic::SyntheticSecurityService synthetic_service(sc);
bts::md::MDClient mdclient(
@@ -1,11 +1,11 @@
#include "DumpSecurity.h"
#include "spark/api/domain/SecurityType.h"
#include "spark/config/protos/market_data.pb.h"
#include "spark/core/TableFormatter.h"
#include "spark/domain_model/Security.h"
#include "spark/domain_model/Security.pb.h"
#include "spark/domain_model/SecurityType.h"
#include "spark/domain_model/Venue.h"
#include "spark/format/table.h"
#include "spark/md/Diag/ShmDumper.h"
#include "spark/md/SecurityDB.h"
#include "spark/md/SymbolLoader.h"
@@ -23,7 +23,8 @@ using bts::api::SecurityType;
using bts::api::SecurityType_Name;
using bts::api::Venue;
using bts::api::venue_parse_smart;
using bts::core::TableFormatter;
using bts::format::format_table;
using bts::format::detail::TableSchema;
using bts::md::securitytype_of;
using bts::md::SymbolLoader;
using bts::md::db::load_metadata;
@@ -69,7 +70,7 @@ void print_securities(function<bool(const Security &)> predicate) {
void print_db_securities(function<bool(const Security &)> predicate) {
vector<Security> secs;
const TableFormatter::Schema<Security> schema{
const TableSchema<Security> schema{
make_tuple(
"id", 12, [](const Security &s) { return std::to_string(s.id()); }),
make_tuple(
@@ -93,7 +94,7 @@ void print_db_securities(function<bool(const Security &)> predicate) {
secs.push_back(sec);
};
load_securities([](auto) { return true; }, on_sec);
TableFormatter::format(std::cout, secs, schema);
format_table(std::cout, secs, schema);
}
template <class T, class ParseT = function<bool(const string &, T *)>>
@@ -109,7 +109,8 @@ struct ExecutionGatewayProvider::PImpl {
return make_gw<ICEExecutionGateway>(conn, conn, *l, o);
case api::VENUE_GLBX:
if (conn.use_ilink3()) {
make_gw<ilink3::GLBXiLink3ExecutionGateway>(conn, conn, *l, o);
return make_gw<ilink3::GLBXiLink3ExecutionGateway>(
conn, conn, *l, o);
}
return make_gw<GLBXExecutionGateway>(conn, conn, *l, o);
case api::VENUE_DERIBIT:
@@ -23,7 +23,7 @@
#include "spark/api/services/native_order_type.h"
#include "spark/api/services/time_in_force.h"
#include "spark/config/protos/jetfix.pb.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/core/start_stop_state_machine.h"
#include "spark/domain/tick_utils.h"
#include "spark/domain_model/Security.h"
@@ -4,7 +4,7 @@
#include "spark/api/md/MarketDataConfig.pb.h"
#include "spark/api/md/MarketDataConfigUtils.h"
#include "spark/core/FMT.h"
#include "spark/core/TimeSpan.h"
#include "spark/core/time_span.h"
#include "spark/domain/DomainSecurityUtils.h"
#include "spark/domain/SecurityID.h"
#include "spark/domain_model/Venue.h"
@@ -141,5 +141,6 @@ MarketDataGateway::MarketDataGateway(
MarketDataGateway::~MarketDataGateway() = default;
void MarketDataGateway::start() { me_->start(); }
void MarketDataGateway::stop() { me_->stop(); }
} // namespace bts::md
@@ -29,6 +29,7 @@ class MarketDataGateway {
~MarketDataGateway();
void start();
void stop();
private:
struct PImpl;
@@ -15,8 +15,8 @@
#include "spark/api/domain/SecurityType.h"
#include "spark/api/domain/Venue.h"
#include "spark/api/md/PyMarketDataProviderConfig.pb.h"
#include "spark/core/TimeSpan.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_span.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/AggressorSide.h"
#include "spark/domain/FutureSecurity.h"
#include "spark/domain/Security.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -15,7 +15,7 @@ namespace bts::md::binance {
*/
class BinanceMiniTickerEventType {
// Unlike most binance-related enums, this one isn't defined via macros (in
// EnumMacros.h). The macros assume the enum value names are identical to
// enum_macros.h). The macros assume the enum value names are identical to
// their json field counter-parts. Unfortunately, one of the json fields for
// this enum, '24hrMiniTicker', isn't a legal name in cpp.
public:
@@ -1,6 +1,6 @@
#ifdef SPARK_ENABLE_CCAPI
#include "BinanceMiniTickerUpdate.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
#include "sparkd/md/binance/BinanceMiniTickerEventType.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,5 +1,5 @@
#include "BinancePriceStatistics.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include <cstdint>
#include <nlohmann/json.hpp>
@@ -1,7 +1,7 @@
#pragma once
#include "spark/api/domain/Currency.pb.h"
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <boost/algorithm/string/case_conv.hpp>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,5 +1,5 @@
#include "BinanceUsPriceStatistics.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include <cstdint>
#include <nlohmann/json.hpp>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,8 +1,8 @@
#pragma once
#include "spark/algorithm/string/find.h"
#include "spark/algorithm/string/join.h"
#include "spark/core/FMT_IMPL.h"
#include "spark/core/StringFinder.h"
#include "spark/core/StringJoiner.h"
#include "spark/utils/bts_assert.h"
#include <boost/algorithm/string/split.hpp>
@@ -119,7 +119,7 @@ inline CCApiCorrelationID CCApiCorrelationID::from_string(
template <class... Parts>
inline CCApiCorrelationID CCApiCorrelationID::from_parts(Parts... parts) {
// TODO: create the parts vector/string simultaneously (more efficient)
auto parts_str = core::StringJoiner::join(delimiter(), parts...);
auto parts_str = bts::algorithm::join(delimiter(), parts...);
return from_string(parts_str);
}
@@ -231,7 +231,7 @@ inline void CCApiCorrelationID::advance_(std::size_t len) {
return;
}
cursor_ += len;
auto idx = core::StringFinder::find(str_, '.', len);
auto idx = bts::algorithm::find_nth(str_, '.', len);
str_ = str_.substr(idx);
}
@@ -1,6 +1,6 @@
#include "CCApiMessageLogger.h"
#include "spark/core/StringJoiner.h"
#include "spark/core/TimeStamp.h"
#include "spark/algorithm/string/join.h"
#include "spark/core/time_stamp.h"
#include <fmt/format.h>
#include <range/v3/view.hpp>
@@ -9,7 +9,7 @@
namespace bts::md {
using bts::core::StringJoiner;
using bts::algorithm::join;
using std::string;
CCApiMessageLogger::CCApiMessageLogger(std::string name)
@@ -24,7 +24,7 @@ void CCApiMessageLogger::on_messages(
auto msg_strs = msgs | ranges::views::transform([](const ccapi::Message *m) {
return m->toStringPretty();
});
auto msgs_str = StringJoiner::join(msg_strs.begin(), msg_strs.end(), "\n");
auto msgs_str = join(msg_strs.begin(), msg_strs.end(), "\n");
LOG(md, Info, "Received CCApi messages. name: {}; corr_id: {}; msgs:\n{}",
name_, corr_id, msgs_str);
}
@@ -1,5 +1,5 @@
#include "CCApiTradeAdaptor.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/SecurityID.h"
#include "spark/domain/TradeRecord.h"
#include "spark/utils/bts_fatal.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,5 +1,5 @@
#include "CoinbasePriceStatistics.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include <cstdint>
#include <nlohmann/json.hpp>
@@ -23,7 +23,7 @@
#include "spark/logging/logging.h"
#include "spark/md/IMarketDataListener.h"
#include "spark/persistence/IDGenerator.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/utils/TimeStamp.h"
#include "spark/utils/bts_assert.h"
#include "spark/utils/bts_chrono.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/deribit/DeribitComboLeg.h"
#include <cstdint>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/deribit/DeribitInstrumentKind.h"
#include <nlohmann/json_fwd.hpp>
@@ -3,7 +3,7 @@
#include "spark/algorithm/StringCaseConverter.h"
#include "spark/api/domain/SecurityType.pb.h"
#include "spark/collections/HASH_IMPL.h"
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include "spark/domain_model/Security.pb.h"
@@ -1,7 +1,7 @@
#pragma once
#include "spark/core/FMT_IMPL.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/deribit/DeribitInstrumentStateType.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -6,7 +6,7 @@
#include "spark/collections/Remove.h"
#include "spark/collections/Transform.h"
#include "spark/core/FMT.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Security.h"
#include "spark/domain/SecurityCriteria.h"
#include "spark/domain_model/Security.pb.h"
@@ -1,5 +1,5 @@
#include "DeribitTradeAdaptor.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/AggressorSide.h"
#include "spark/domain/SecurityID.h"
#include "spark/domain/TradeRecord.h"
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