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No files matched your search
@@ -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
|
||||
|
||||
Vendored
+11
-11
@@ -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
@@ -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
|
||||
@@ -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
|
||||
+1
-1
Submodule externals updated: c7478ef5cd...2755fd6b8f.
+279
-406
@@ -1,433 +1,306 @@
|
||||
|
||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||
# Visual Studio Version 17
|
||||
VisualStudioVersion = 17.3.32922.545
|
||||
MinimumVisualStudioVersion = 15.0.26124.0
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Bts.Spark.Api", "src\cs\Bts.Spark.Api\Bts.Spark.Api.csproj", "{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Spark", "src\client\spark\Spark.csproj", "{9A4D4D07-1AB6-4B2B-B111-A4F34D6C267E}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Spark.Console", "src\client\Spark.Console\Spark.Console.csproj", "{387566C6-C6F6-412C-A30C-9855BBCB4816}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Bts.Spark.Core", "src\cs\Bts.Spark.Core\Bts.Spark.Core.csproj", "{6E449EB6-20AC-4FA6-B8D9-10F4BB7E1FEE}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_sdk", "src\client\spark_sdk\spark_sdk.csproj", "{6963C314-83C4-4667-B0D0-C2F7AE208C29}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_test", "src\client\spark_test\spark_test.csproj", "{ECD78CC5-138F-4809-A764-2358C2AC2E82}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_websocket", "src\client\spark_websocket\spark_websocket.csproj", "{3201359D-C071-4089-9EDE-B04D759F1508}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_api_server", "src\client\spark_api_server\spark_api_server.csproj", "{2B8C5D01-FF78-4BFA-B332-5E430586DAF9}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStreamCore", "src\DataStreamSuite\DataStreamCore\DataStreamCore.csproj", "{4E4F491F-C688-43C4-88DA-AC92BC5FA1B8}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStream", "src\DataStreamSuite\DataStream\DataStream.csproj", "{2AC54ADC-3246-427E-9CA9-FEA2DBCB9432}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SharedStreams", "src\DataStreamSuite\SharedStreams\SharedStreams.csproj", "{4E96E5CC-7791-40B3-A8A1-C34FBB736B3B}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "PubSub", "src\DataStreamSuite\PubSub\PubSub.csproj", "{51C40BA9-F226-4A35-939D-1ED6F5FF7299}"
|
||||
EndProject
|
||||
VisualStudioVersion = 17.0.31903.59
|
||||
MinimumVisualStudioVersion = 10.0.40219.1
|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "src", "src", "{827E0CD3-B72D-47B6-A68D-7590B98EB39B}"
|
||||
EndProject
|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "cs", "cs", "{D7C6B9C7-1058-B1EA-FEE6-34C56B05AEDB}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Spark.Core", "src\cs\Bts.Spark.Core\Bts.Spark.Core.csproj", "{684863A1-3396-4D31-A731-C0725CF07F4E}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Spark.Api", "src\cs\Bts.Spark.Api\Bts.Spark.Api.csproj", "{45292808-4EF3-4D4A-B3F5-B75C42EE5870}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "src\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{AA57F8D9-7BD6-4161-881B-AD2CEF9A30F6}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.IO.Compression", "src\cs\Bts.IO.Compression\Bts.IO.Compression.csproj", "{28A26DF7-5F7A-43A2-A548-B55FEBCC3958}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Net", "src\cs\Bts.Net\Bts.Net.csproj", "{7543386A-5EBA-4AF0-9E0F-35657B58557D}"
|
||||
EndProject
|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "DataStreamSuite", "DataStreamSuite", "{60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Net", "src\cs\Bts.Net\Bts.Net.csproj", "{5DE3B533-DCE6-4BF4-8F7E-08C440E177B4}"
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "PubSub", "src\DataStreamSuite\PubSub\PubSub.csproj", "{C13A5ABD-F739-4BE8-A2FE-511E989A5B43}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "src\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{90A48718-F6A7-4747-97EA-89632B451008}"
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStreamCore", "src\DataStreamSuite\DataStreamCore\DataStreamCore.csproj", "{F7C6F079-67BA-4899-9B43-D3F8C121D264}"
|
||||
EndProject
|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "cs", "cs", "{1A5B8C5D-BADC-457E-819F-0050C44FE4D3}"
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "ArithmeticExpressions", "src\DataStreamSuite\ArithmeticExpressions\ArithmeticExpressions.csproj", "{E60C119D-2919-4E2F-9D39-90DB1A8FF9A7}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.IO.Compression", "src\cs\Bts.IO.Compression\Bts.IO.Compression.csproj", "{2A0FBDE0-D870-4567-85BD-F7793A5862C6}"
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "BaseUtilities", "src\DataStreamSuite\BaseUtilities\BaseUtilities.csproj", "{ECBAA198-EC93-4174-8156-BDA5F5E95042}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "BooleanExpressions", "src\DataStreamSuite\BooleanExpressions\BooleanExpressions.csproj", "{F54AE5C0-2ECA-4151-82E6-0D7EFE88FF40}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnExpressions", "src\DataStreamSuite\Bts.ColumnExpressions\Bts.ColumnExpressions.csproj", "{A898C6C3-F134-4AF0-AFB3-3834C58CC0D7}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnSortExpressions", "src\DataStreamSuite\Bts.ColumnSortExpressions\Bts.ColumnSortExpressions.csproj", "{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStreamExpressions", "src\DataStreamSuite\DataStreamExpressions\DataStreamExpressions.csproj", "{B6070F41-8759-448B-B56D-A7D15D489569}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStream", "src\DataStreamSuite\DataStream\DataStream.csproj", "{B2D721AB-920C-4CD6-8DBF-6778A115A449}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SharedStreams", "src\DataStreamSuite\SharedStreams\SharedStreams.csproj", "{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}"
|
||||
EndProject
|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "client", "client", "{C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}"
|
||||
EndProject
|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "spark", "spark", "{42C014A0-00C5-0620-8552-38912E891A7F}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Spark", "src\client\spark\Spark.csproj", "{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "spark_test", "src\client\spark_test\spark_test.csproj", "{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Spark.Console", "src\client\Spark.Console\Spark.Console.csproj", "{2B8243FF-60C6-4607-8AAE-7762D29B0A48}"
|
||||
EndProject
|
||||
Global
|
||||
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
||||
Debug|x64 = Debug|x64
|
||||
Debug|Any CPU = Debug|Any CPU
|
||||
Debug|x64 = Debug|x64
|
||||
Debug|x86 = Debug|x86
|
||||
MinSizeRel|x64 = MinSizeRel|x64
|
||||
MinSizeRel|Any CPU = MinSizeRel|Any CPU
|
||||
MinSizeRel|x86 = MinSizeRel|x86
|
||||
Release|x64 = Release|x64
|
||||
Release|Any CPU = Release|Any CPU
|
||||
Release|x64 = Release|x64
|
||||
Release|x86 = Release|x86
|
||||
RelWithDebInfo|x64 = RelWithDebInfo|x64
|
||||
RelWithDebInfo|Any CPU = RelWithDebInfo|Any CPU
|
||||
RelWithDebInfo|x86 = RelWithDebInfo|x86
|
||||
EndGlobalSection
|
||||
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x64.Build.0 = Debug|x64
|
||||
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{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Debug|x64.ActiveCfg = Debug|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Debug|x64.Build.0 = Debug|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Debug|x86.ActiveCfg = Debug|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Debug|x86.Build.0 = Debug|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Release|x64.ActiveCfg = Release|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Release|x64.Build.0 = Release|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Release|x86.ActiveCfg = Release|Any CPU
|
||||
{1E296FB3-D185-4A95-A1EB-AA5B37B85C60}.Release|x86.Build.0 = Release|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Debug|x64.ActiveCfg = Debug|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Debug|x64.Build.0 = Debug|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Debug|x86.ActiveCfg = Debug|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Debug|x86.Build.0 = Debug|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Release|x64.ActiveCfg = Release|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Release|x64.Build.0 = Release|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Release|x86.ActiveCfg = Release|Any CPU
|
||||
{B6070F41-8759-448B-B56D-A7D15D489569}.Release|x86.Build.0 = Release|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Debug|x64.ActiveCfg = Debug|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Debug|x64.Build.0 = Debug|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Debug|x86.ActiveCfg = Debug|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Debug|x86.Build.0 = Debug|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Release|x64.ActiveCfg = Release|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Release|x64.Build.0 = Release|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Release|x86.ActiveCfg = Release|Any CPU
|
||||
{B2D721AB-920C-4CD6-8DBF-6778A115A449}.Release|x86.Build.0 = Release|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Debug|x64.ActiveCfg = Debug|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Debug|x64.Build.0 = Debug|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Debug|x86.ActiveCfg = Debug|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Debug|x86.Build.0 = Debug|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|x64.ActiveCfg = Release|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|x64.Build.0 = Release|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|x86.ActiveCfg = Release|Any CPU
|
||||
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|x86.Build.0 = Release|Any CPU
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Debug|Any CPU.ActiveCfg = Debug|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Debug|Any CPU.Build.0 = Debug|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Debug|x64.Build.0 = Debug|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Debug|x86.ActiveCfg = Debug|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Debug|x86.Build.0 = Debug|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Release|Any CPU.ActiveCfg = Release|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Release|Any CPU.Build.0 = Release|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Release|x64.ActiveCfg = Release|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Release|x64.Build.0 = Release|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Release|x86.ActiveCfg = Release|x64
|
||||
{D432F3E9-3D2F-4623-B7B9-CEBA6701FFC3}.Release|x86.Build.0 = Release|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Debug|Any CPU.ActiveCfg = Debug|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Debug|Any CPU.Build.0 = Debug|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Debug|x64.Build.0 = Debug|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Debug|x86.ActiveCfg = Debug|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Debug|x86.Build.0 = Debug|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|Any CPU.ActiveCfg = Release|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|Any CPU.Build.0 = Release|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|x64.ActiveCfg = Release|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|x64.Build.0 = Release|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|x86.ActiveCfg = Release|x64
|
||||
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|x86.Build.0 = Release|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|Any CPU.ActiveCfg = Debug|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|Any CPU.Build.0 = Debug|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|x64.Build.0 = Debug|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|x86.ActiveCfg = Debug|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|x86.Build.0 = Debug|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Release|Any CPU.ActiveCfg = Release|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Release|Any CPU.Build.0 = Release|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Release|x64.ActiveCfg = Release|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Release|x64.Build.0 = Release|x64
|
||||
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Release|x86.ActiveCfg = Release|x64
|
||||
{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,
|
||||
"""
|
||||
$"""
|
||||
spread_bid_price = left_bid_price*left_pm + right_ask_price*right_pm;
|
||||
spread_ask_price = left_ask_price*left_pm + right_bid_price*right_pm;
|
||||
spread_ask_qty = Min((left_ask_qty/left_qm),(right_bid_qty/right_qm));
|
||||
@@ -99,7 +114,7 @@ namespace bts.BlueOrb {
|
||||
+ (right_bid_price * spread_ask_qty * {cpp1} * right_pm);
|
||||
|
||||
""");
|
||||
|
||||
|
||||
|
||||
mySetRealSource(r);
|
||||
|
||||
|
||||
@@ -2,7 +2,7 @@ namespace Bts.SharedStreams;
|
||||
|
||||
using bts.api;
|
||||
|
||||
using Spark.Api.Orders;
|
||||
using global::Spark.Api.Orders;
|
||||
|
||||
public static class WellKnownColumns {
|
||||
public static (string Name, Type Type) AskNotional => (WellKnownColumnNames.AskNotional, typeof(double));
|
||||
|
||||
@@ -17,7 +17,7 @@
|
||||
<ShowMissingItemTypes>false</ShowMissingItemTypes>
|
||||
<Configuration Condition="'$(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>$(SparkVersion)</Version>
|
||||
|
||||
@@ -187,4 +187,24 @@
|
||||
Name="Test"
|
||||
DependsOnTargets="Build"></Target>
|
||||
|
||||
<Target Name="CopyNativeAssetsToOutput" AfterTargets="Build">
|
||||
<Copy SourceFiles="@(NativeWindowsAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeWindowsAsset.FullPath)')" />
|
||||
<Copy SourceFiles="@(NativeLinuxAsset)" DestinationFolder="$(OutDir)" SkipUnchangedFiles="True" Condition="Exists('%(NativeLinuxAsset.FullPath)')" />
|
||||
</Target>
|
||||
|
||||
<ItemGroup>
|
||||
<Content Include="@(NativeWindowsAsset)"
|
||||
Condition="Exists('@(NativeWindowsAsset)')"
|
||||
Link="%(NativeWindowsAsset.FileName)%(NativeWindowsAsset.Extension)"
|
||||
CopyToOutputDirectory="PreserveNewest"
|
||||
Pack="true"
|
||||
PackagePath="runtimes/win-x64/native/" />
|
||||
<Content Include="@(NativeLinuxAsset)"
|
||||
Condition="Exists('@(NativeLinuxAsset)')"
|
||||
Link="%(NativeLinuxAsset.FileName)%(NativeLinuxAsset.Extension)"
|
||||
CopyToOutputDirectory="PreserveNewest"
|
||||
Pack="true"
|
||||
PackagePath="runtimes/linux-x64/native/" />
|
||||
</ItemGroup>
|
||||
|
||||
</Project>
|
||||
@@ -2,12 +2,14 @@ ARG IMAGE="sparkd"
|
||||
ARG CONFIG_DIR="src/app_sparkd/configurations/dev"
|
||||
ARG SOURCE_DIR="install/sparkd-release-gcc"
|
||||
ARG PYTHON_REQUIREMENTS="requirements.txt"
|
||||
ARG SPARKD_ENTRYPOINT="src/app_sparkd/sparkd-entrypoint.sh"
|
||||
|
||||
# sparkd_base
|
||||
FROM bluetradingsystems/linux_dotnet8 AS sparkd_base
|
||||
ARG CONFIG_DIR
|
||||
ARG SOURCE_DIR
|
||||
ARG PYTHON_REQUIREMENTS
|
||||
ARG SPARKD_ENTRYPOINT
|
||||
|
||||
USER "root"
|
||||
RUN apt-get update && apt-get install -y liblttng-ust-dev
|
||||
@@ -21,6 +23,7 @@ RUN pip3 install -r "/home/bts/bin/requirements.txt"
|
||||
USER "bts"
|
||||
COPY --chown=bts:bts "${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"
|
||||
}
|
||||
}
|
||||
File renamed without changes.
@@ -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
|
||||
+1
-30
@@ -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
|
||||
}
|
||||
}
|
||||
}
|
||||
Executable
+55
@@ -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}"
|
||||
@@ -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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