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52 Commits
Author SHA1 Message Date
arham 781fa97b55 Fix: changed polling from 100ms to 1ms, hardcoded 2026-05-08 14:55:03 +00:00
Taha fd50050064 Position cols in TC2 work again now 2026-05-07 03:57:07 +00:00
arham 6ac43881ae add: add missing tag to default conf 2026-05-07 00:22:28 +00:00
arham 4af1419748 Add: timezone change to chi and std higher ram for multicast compose 2026-05-07 00:22:03 +00:00
arham 7cfcdc3770 fix: ilink3 code generator produces correct code that handles null values 2026-05-07 00:21:10 +00:00
arham d03a705077 fix: ilink3 genereated files updated to handle null values with null instead of ascii zero 2026-05-07 00:20:34 +00:00
arham 58eccad70d fix: fills ui price was zero now it works 2026-05-07 00:19:44 +00:00
arham 5f8ec04ff1 Add: useful tools to prod docker image 2026-05-07 00:19:16 +00:00
arham 05e2107655 Fix: change object pool to detect exe report memory leak from assert to error 2026-05-07 00:18:45 +00:00
arham d41f613e32 FIx: change object pool limit for il3gw for exe reports 2026-05-07 00:17:52 +00:00
arham bcbb598423 Add: better logs and disconnect handling 2026-05-04 20:42:23 +00:00
arham e88c44f9db CME TEMPLATE 9 2026-05-04 16:39:48 -04:00
arham 93625957d1 Fix: CRITICAL CME FIX 2026-04-29 03:58:45 +00:00
John Colvin 8eccb869e1 Remove unnecessary nuget stuff from externals 2026-04-08 00:13:01 -04:00
John Colvin 40f4333fc7 fix: SingleSecurityCriteria must have single id or venue/name pair 2026-04-07 17:23:25 +00:00
John Colvin 319d5c2384 vscode: Fix PubSubServer config environment param 2026-04-07 17:23:25 +00:00
arham 4a74713369 ophir multicast config replay and live working 2026-04-02 00:17:46 +00:00
arham 082beef1da Rename 2026-03-31 23:59:04 +00:00
arham f92d789e90 Add: recording config 2026-03-31 14:16:55 +00:00
arham cd3e845dd9 Fix: set log to diag, it logs every book update 2026-03-31 14:09:37 +00:00
arham a5b704eef1 Add: config for ophir wb 2026-03-31 14:09:05 +00:00
arham afee63e061 Add: new docker compose to support mulitcast 2026-03-31 14:08:42 +00:00
John Colvin fc9356d1a0 deploy: Optionally mount sparkd entrypoint in config dir
To mount a custom entrypoint script, put it in the config profile dir
and define the following env vars:

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

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

    ./sparkd-entrypoint.sh
2026-03-27 18:28:25 +00:00
John Colvin a85f22c6a8 deploy: Fix sudo issues in sparkd-entrypoint.sh 2026-03-27 17:59:20 +00:00
John Colvin 2024eba4d0 deploy: Add ophir_sim_replay config profile for sparkd 2026-03-26 16:20:41 -04:00
John Colvin 1a49a828ad build: Don't activate venv when generating individual protos
We activate the venv for the whole build
2026-03-26 16:20:41 -04:00
John Colvin c0448c7c8d deploy: Resolve profile dirs with regex patterns 2026-03-26 16:20:41 -04:00
John Colvin a6c6e7faf3 improve: Wait until py work requested before loading py modules
So we don't crash due to missing py modules when no py plugins are running.
2026-03-26 16:20:41 -04:00
John Colvin 56445d2d66 deploy: Add sparkd-shell service to compose.yaml for troubleshooting 2026-03-26 16:20:41 -04:00
John Colvin ccf1bd51c2 cleanup: Remove unused code 2026-03-26 16:20:41 -04:00
John Colvin fd21269df7 refactor: Wrap md run logic in class MarketDataSession
Start in the constructor, gracefully exit in the destructor.
2026-03-26 16:20:41 -04:00
John Colvin fe85c3e648 Allow md recording dir to be mounted as volume in docker compose 2026-03-26 16:20:41 -04:00
John Colvin e1d33ecadf deploy: Configure timezone in entrypoint script 2026-03-26 16:20:41 -04:00
John Colvin 83df96c70f deploy: Move compose entrypoint to dedicated script 2026-03-26 16:20:41 -04:00
John Colvin f718f5b15c deploy: Fix typo in sparkd conf dir path in compose.yaml 2026-03-26 16:20:41 -04:00
John Colvin 5d752f3b73 refactor: Replace DataPacket with IDataPacket in more places 2026-03-26 16:20:40 -04:00
John Colvin d308dbf15a build: Check if venv already active before activating 2026-03-26 16:20:40 -04:00
John Colvin 21c43b9240 refactor: Replace TableFormatter with table.h
Also move to "format" dir
2026-03-26 16:20:40 -04:00
John Colvin e1553f1b04 refactor: Replace StringFinder/Joiner.h with find/join.h
Also move to "algorithm" dir
2026-03-26 16:20:40 -04:00
John Colvin a26918efe9 refactor: Rename a few TitleCase .h files snake_case
* EnumMacros.h -> enum_macros.h
* TimeSpan.h ---> time_span.h
* TimeStamp.h --> time_stamp.h
2026-03-26 16:20:40 -04:00
John Colvin f729fc4c59 diag: Use structured logs in MDP3Listener::onOption 2026-03-26 16:20:40 -04:00
John Colvin fa67adbe36 deploy: Install tzdata in linux_dotnet8 Dockerfile
So we can configure timezone in compose services. Specifically, we need this
to support live cme md (so onixs doesn't think messages are "too old").
2026-03-26 16:20:40 -04:00
John Colvin 72f9ec582e cleanup: Remove unused code 2026-03-26 16:20:40 -04:00
John Colvin 8fea31bdf6 refactor: Add new glbx variable ticks to security (shm and proto) 2026-03-26 16:20:39 -04:00
John Colvin ca96e41391 build: Upgrade cs LangVersion 11 -> 12 2026-03-26 16:20:39 -04:00
John Colvin d4e5c95fde refactor: Rename SparkApiCredentials -> SparkCredentials 2026-03-26 16:20:39 -04:00
John Colvin f6e0ec3617 refactor: Rename SparkdLoginService -> SparkLoginService
This makes it consistent with other type names (we don't use "Sparkd"
anywhere else).
2026-03-26 16:20:39 -04:00
John Colvin 3fa5284838 refactor: Rename SparkdCredentials.cs -> SparkApiCredentials.cs
Matches the class name
2026-03-26 16:20:39 -04:00
John Colvin 4dcaa565f6 cleanup: Remove unnecessary subscription wrapper in cs sdk 2026-03-26 16:20:39 -04:00
John Colvin 75ecfa89d6 build: Clean up spark_client.sln
* Remove unused csprojs related to old sdk
* Remove erroneous build type config
2026-03-26 16:20:39 -04:00
John Colvin 1c930439a4 fix build (dsqa): Add using Spark.Api.MarketData
Needed to reference IMarketDataClient
2026-03-26 16:19:30 -04:00
John Colvin 25084b8cd9 fix build (cs): Add "global::" prefix when using Spark.Api ns
Resolves conflicts with the Bts.Spark.Api namespace when the using
statement is nested inside the root "Bts" namespace.
2026-03-26 16:17:16 -04:00
331 changed files with 18061 additions and 1654 deletions

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+8
View File
@@ -29,6 +29,9 @@
# tools/deploy.sh --help
#
### Host/Runtime ###
TZ=Etc/UTC
### Sparkd ###
# The internal image for sparkd to use. For more info, view:
# src/server/sparkd/Dockerfile
@@ -38,6 +41,9 @@ SPARKD__CONFIG_DIR=src/app_sparkd/configurations/dev
# Mount a specific volume or dir to "~/sparkdata/data" inside the docker.
# Defaults to a volume named "sparkd_<config_port>" (e.g., sparkd_8000).
# SPARKD__DATA_DIR=/home/bts/sparkdata/data
# Mount volume or dir to "/md_recording" inside the docker. Defaults to volume
# "sparkd_md_recording_<config_port>" (e.g., sparkd_md_recording_8000).
# SPARKD__MD_RECORDING_DIR=/home/bts/md_recording
SPARKD__SOURCE_DIR=install/sparkd-release-gcc
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf/
SPARKD__CONFIG_PORT=8000
@@ -45,6 +51,8 @@ SPARKD__QUICKBUS_PORT=8001
SPARKD__SIM_FIX_PORT=8002
SPARKD__SHM_SIZE=4gb
SPARKD__PYTHON_REQUIREMENTS=requirements.txt
SPARKD__SPARKD_ENTRYPOINT=src/app_sparkd/sparkd-entrypoint.sh
SPARKD__MAIN_ENTRYPOINT=./sparkd-entrypoint.sh
### PubSubServer ###
PUBSUB__CONFIG_DIR=src/DataStreamSuite/PubSubServer/Configurations/Development
+9 -9
View File
@@ -183,11 +183,10 @@
"windows": {
"program": "PubSubServer.exe",
},
"args": [
"--config",
"${workspaceFolder}/src/DataStreamSuite/PubSubServer/Configurations/${input:pubSubServerConfig}.json"
],
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:pubSubServerEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
@@ -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",
+63 -37
View File
@@ -2,6 +2,7 @@ services:
sparkd:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
build:
dockerfile: src/app_sparkd/Dockerfile
args:
@@ -9,24 +10,35 @@ services:
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/sparkd/data
if [ -e "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" ]; then
mv "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
fi
if [ -e "/home/bts/.local/share/bts/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/conf/.env.local'
set -a
. /home/bts/.local/share/bts/sparkd/conf/.env.local
set +a
fi
if [ -d /home/bts/.local/share/bts/sparkd/conf/plugins ]; then
echo 'Copying /home/bts/.local/share/bts/sparkd/conf/plugins to runtime dir (/home/bts/bin)'
cp -r /home/bts/.local/share/bts/sparkd/conf/plugins /home/bts/bin/
fi
./sparkd run"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
ports:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-shell:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
build:
dockerfile: docker/images/bluetradingsystems/linux_shell/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: "do sleep 1; done"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
@@ -42,6 +54,7 @@ services:
sparkd-symbols:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
build:
dockerfile: src/app_sparkd/Dockerfile
@@ -50,26 +63,8 @@ services:
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/sparkd
if [ -e "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" ]; then
mv "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
fi
ls -alh /home/bts/.local/share/bts/sparkd/conf/
cat /home/bts/.local/share/bts/sparkd/conf/.env.local
if [ -e "/home/bts/.local/share/bts/sparkd/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/sparkd/conf/.env.local'
set -a
. /home/bts/.local/share/bts/sparkd/conf/.env.local
set +a
fi
if [ -d /home/bts/.local/share/bts/sparkd/conf/plugins ]; then
echo 'Copying /home/bts/.local/share/bts/sparkd/conf/plugins to runtime dir (/home/bts/bin)'
cp -r /home/bts/.local/share/bts/sparkd/conf/plugins /home/bts/bin/
fi
./sparkd run"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
@@ -77,6 +72,7 @@ services:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
restart_policy:
condition: any
@@ -84,7 +80,34 @@ services:
resources:
limits:
memory: "${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-tail:
image: bluetradingsystems/linux_dotnet8
volumes:
@@ -195,3 +218,6 @@ volumes:
name: "md_publisher_22019"
historic_md:
name: "historic_md"
md_recording:
name: "sparkd_md_recording_${SPARKD__CONFIG_PORT:-8000}"
external: true
@@ -8,6 +8,7 @@ RUN apt-get update && apt-get install -y ca-certificates
RUN apt-get update && apt-get install -y libssh2-1-dev
RUN apt-get update && apt-get install -y software-properties-common
RUN apt-get update && apt-get install -y sudo
RUN apt-get update && apt-get install -y tzdata
# GCC
ARG gcc_major=13
@@ -18,6 +19,11 @@ RUN add-apt-repository ppa:ubuntu-toolchain-r/test \
RUN apt-get update \
&& apt-get install -y dotnet8
RUN apt-get update && apt-get install -y gdb
RUN apt-get update && apt-get install -y fish
RUN apt-get update && apt-get install -y vim
RUN apt-get update && apt-get install -y less
RUN locale-gen en_US.UTF-8
ARG docker_user="bts"
@@ -0,0 +1,11 @@
FROM ubuntu:24.04
ARG DEBIAN_FRONTEND=noninteractive
RUN apt-get update && apt-get install -y \
fish \
less \
vim
USER bts
WORKDIR /home/bts
+279 -406
View File
@@ -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
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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}"
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{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|x86.ActiveCfg = Release|Any CPU
{38EE36C6-892C-4C94-8BB0-1ACB164E1F20}.Release|x86.Build.0 = Release|Any CPU
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{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|Any CPU.ActiveCfg = Release|x64
{DD00F5D5-6C2F-4FDA-AE3D-25CF01A9A224}.Release|Any CPU.Build.0 = Release|x64
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{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|Any CPU.Build.0 = Debug|x64
{2B8243FF-60C6-4607-8AAE-7762D29B0A48}.Debug|x64.ActiveCfg = Debug|x64
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{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
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{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;
@@ -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;
@@ -2,7 +2,7 @@ namespace Bts.SharedStreams;
using bts.api;
using Spark.Api.Orders;
using global::Spark.Api.Orders;
public static class WellKnownColumns {
public static (string Name, Type Type) AskNotional => (WellKnownColumnNames.AskNotional, typeof(double));
+1 -1
View File
@@ -17,7 +17,7 @@
<ShowMissingItemTypes>false</ShowMissingItemTypes>
<Configuration Condition="'$(configuration)'==''">Debug</Configuration>
<EnablePreviewFeatures>true</EnablePreviewFeatures>
<LangVersion>11</LangVersion>
<LangVersion>12</LangVersion>
<UseProjectRefs Condition="'$(UseProjectRefs)' == ''">true</UseProjectRefs>
<SparkVersion Condition="'$(SparkVersion)' == ''">3.2.0-preview</SparkVersion>
<Version>$(SparkVersion)</Version>
+5
View File
@@ -2,12 +2,14 @@ ARG IMAGE="sparkd"
ARG CONFIG_DIR="src/app_sparkd/configurations/dev"
ARG SOURCE_DIR="install/sparkd-release-gcc"
ARG PYTHON_REQUIREMENTS="requirements.txt"
ARG SPARKD_ENTRYPOINT="src/app_sparkd/sparkd-entrypoint.sh"
# sparkd_base
FROM bluetradingsystems/linux_dotnet8 AS sparkd_base
ARG CONFIG_DIR
ARG SOURCE_DIR
ARG PYTHON_REQUIREMENTS
ARG SPARKD_ENTRYPOINT
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
@@ -21,6 +23,7 @@ RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
COPY --chown=bts:bts "${CONFIG_DIR}" "/home/bts/.local/share/bts/sparkd/conf"
COPY --chown=bts:bts "${SPARKD_ENTRYPOINT}" "/home/bts/bin/sparkd-entrypoint.sh"
WORKDIR "/home/bts/bin"
# sparkd
@@ -35,6 +38,7 @@ COPY --chown=bts:bts "${MD_RECORDING_DIR}" "/home/bts/.local/share/bts/sparkd/da
FROM bluetradingsystems/linux_dotnet8 AS sparkd_symbols
ARG SOURCE_DIR
ARG PYTHON_REQUIREMENTS="requirements.txt"
ARG SPARKD_ENTRYPOINT
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
@@ -47,6 +51,7 @@ RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
COPY --chown=bts:bts "${SPARKD_ENTRYPOINT}" "/home/bts/bin/sparkd-entrypoint.sh"
WORKDIR "/home/bts/bin"
# selected image
@@ -0,0 +1,5 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_sim_live_wb
SPARKD__DATA_DIR=/home/wedbushprod/8000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_sim_live_wb/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/8000/sparkdata/conf
@@ -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 +1,116 @@
JetFIX {
value {
connection {
name: "glbx_1"
venue: VENUE_GLBX
max_order_msgs_per_window: 300
window_duration_msecs: 1000
}
}
}
PublisherOptions {
value {
network_interface_a: 'enp193s0f0np0'
network_interface_b: 'enp193s0f0np0'
#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:q
#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: @JetFIXSimConnection.sim
# connection {
# name: "mlx_004_54"
# venue: VENUE_GLBX
# socket_connect_host_ip: "69.50.112.191"
# socket_connect_port: 42876
# sender_compid: "MLX004"
# 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: 30
# sender_subid: "BTS"
# use_ilink3: true
# # raw_data: "S4PMA"
# # auto_fix_seq_num: 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 +1,4 @@
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
@@ -0,0 +1,33 @@
JetFIX {
value {
connection {
name: "glbx_1"
venue: VENUE_GLBX
max_order_msgs_per_window: 300
window_duration_msecs: 1000
}
}
}
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
}
}
MarketDataConfig {
value {
replay {
venue: VENUE_GLBX
}
}
}
@@ -0,0 +1,46 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
list {
key: "GlbxOptions"
symbol: "E1A"
symbol: "E1B"
symbol: "E1C"
symbol: "E1D"
symbol: "E2A"
symbol: "E2B"
symbol: "E2C"
symbol: "E2D"
symbol: "E3A"
symbol: "E3B"
symbol: "E3C"
symbol: "E3D"
symbol: "E4A"
symbol: "E4B"
symbol: "E4C"
symbol: "E4D"
symbol: "E5A"
symbol: "E5B"
symbol: "E5C"
symbol: "E5D"
symbol: "ES"
symbol: "EW1"
symbol: "EW2"
symbol: "EW3"
symbol: "EW4"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
@@ -0,0 +1,9 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/ophir_sim_replay_wb
SPARKD__DATA_DIR=/home/wedbushprod/9000/sparkdata/data
SPARKD__IMAGE=sparkd_symbols
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/ophir_sim_replay_wb/requirements.txt
SPARKD__RUNTIME_CONF_DIR=/home/wedbushprod/9000/sparkdata/conf
SPARKD__MD_RECORDING_DIR=/home/wedbushprod/md_recording
SPARKD__CONFIG_PORT=9000
SPARKD__QUICKBUS_PORT=9001
SPARKD__SIM_FIX_PORT=9002
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,46 @@
JetFIX {
value {
connection {
name: "glbx_1"
venue: VENUE_GLBX
max_order_msgs_per_window: 300
window_duration_msecs: 1000
}
}
}
Ports {
value {
config_port: 9000
qbus_port: 9001
glbx_sim_fix_port: 9002
ice_sim_fix_port: 9003
}
}
Logging {
value {
initial_queue_size: 120001
max_queue_growth: 4
console {
default_level: "Info"
subsystem {
name: "md"
level: "Info"
}
subsystem {
name: "OrderMan"
level: "Info"
}
}
}
}
MarketDataConfig {
value {
replay {
venue: VENUE_GLBX
}
}
}
@@ -0,0 +1,61 @@
SymbolLists {
value {
list {
key: "GlbxFutures"
symbol: "ES"
}
list {
key: "GlbxOptions"
symbol: "E1A"
symbol: "E1B"
symbol: "E1C"
symbol: "E1D"
symbol: "E2A"
symbol: "E2B"
symbol: "E2C"
symbol: "E2D"
symbol: "E3A"
symbol: "E3B"
symbol: "E3C"
symbol: "E3D"
symbol: "E4A"
symbol: "E4B"
symbol: "E4C"
symbol: "E4D"
symbol: "E5A"
symbol: "E5B"
symbol: "E5C"
symbol: "E5D"
symbol: "EW1"
symbol: "EW2"
symbol: "EW3"
symbol: "EW4"
symbol: "ESH9"
symbol: "ESZ6"
symbol: "ESH0"
symbol: "ESM6"
symbol: "ESZ7"
symbol: "ESH6"
symbol: "ESM7"
symbol: "ESZ8"
symbol: "ESH7"
symbol: "ESH8"
symbol: "ESU6"
symbol: "ESZ5"
symbol: "ESZ9"
symbol: "E1D"
symbol: "ESZ5"
symbol: "ES"
}
}
}
Symbols {
value {
venues {
name: "VENUE_GLBX"
future: @SymbolLists.list[GlbxFutures].symbol
option: @SymbolLists.list[GlbxOptions].symbol
}
}
}
+55
View File
@@ -0,0 +1,55 @@
#!/usr/bin/env bash
init_timezone() {
tz="${1:-$TZ}"
zoneinfo_dir=/usr/share/zoneinfo
if [ -f "$zoneinfo_dir/$tz" -a "$(readlink -f /etc/localtime)" != "$zoneinfo_dir/$tz" ]; then
echo "Setting locales and timezone to $tz"
if [ -e /etc/localtime ]; then
sudo -n rm -f /etc/localtime
fi
sudo -n ln -snf "$zoneinfo_dir/$tz" /etc/localtime
echo $tz | sudo -n tee /etc/timezone > /dev/null
fi
}
load_env() {
f="$1"
if [ -e "$f" ]; then
echo "Sourcing $f"
set -a
. "$f"
set +a
fi
}
symlink() {
src="$1"
dst="$2"
if [ -L "$dst" ]; then
rm "$dst"
fi
ln -s "$src" "$dst"
}
roll_log() {
f="$1"
if [ -e "$f" ]; then
mv "$f" "${f}_$(date '+%Y%m%d-%H%M')"
fi
}
# Acquire sudo permission once for the script (needed for a few calls)
echo bts | sudo -S -v
data_root="${HOME:-/home/bts}/.local/share/bts/sparkd"
sudo -n chown -R bts:bts "$data_root"
load_env "$data_root/conf/.env.local"
init_timezone "$TZ"
roll_log "$data_root/data/logging.sparkd/log"
symlink "$data_root/conf/plugins" /home/bts/bin/plugins
if [ -e "/md_recording" -a ! -e "/home/bts/.local/share/bts/sparkd/data/md_recording" ]; then
symlink "/md_recording" /home/bts/.local/share/bts/sparkd/data/md_recording
fi
bash -c "${@:-./sparkd run}"
+3 -2
View File
@@ -17,7 +17,6 @@
#include "spark/orderman/OrderServiceServer.h"
#include "spark/orderman/events/TradeSummarySignalDispatcher.h"
#include "spark/orderman/order_factory/DynamicOrderRegistry.h"
#include "spark/os/os.h"
#include "spark/os/spark_data_directory.h"
#include "spark/persistence/PersistenceServiceServer.h"
#include "spark/plugin/SparkServices.h"
@@ -32,6 +31,7 @@
#include "sparkd/execution/execution_gateway_provider.h"
#include "sparkd/http/WebServer.h"
#include "sparkd/md/MarketDataAuxiliaryServiceServer.h"
#include "sparkd/md/market_data_session.h"
#include "sparkd/md/recording/MDRecorder.h"
#include "sparkd/position/MarginServiceServer.h"
#include "sparkd/position/PositionServiceServer.h"
@@ -46,6 +46,7 @@
namespace bts::cmds {
using bts::api::ServiceContext;
using bts::md::MarketDataSession;
using bts::md::MDClient;
using bts::md::TradeSummarySignalDispatcher;
using bts::metrics::MetricsContainer;
@@ -107,7 +108,7 @@ static void execute() {
auto py_plugin_man = std::make_shared<python_interop::PluginManager>();
// start work loop in background
py_plugin_man->start_work_thread();
md::cmds::Run::run(py_plugin_man);
MarketDataSession md_session{py_plugin_man};
api::synthetic::SyntheticSecurityService synthetic_service(sc);
bts::md::MDClient mdclient(
@@ -1,11 +1,11 @@
#include "DumpSecurity.h"
#include "spark/api/domain/SecurityType.h"
#include "spark/config/protos/market_data.pb.h"
#include "spark/core/TableFormatter.h"
#include "spark/domain_model/Security.h"
#include "spark/domain_model/Security.pb.h"
#include "spark/domain_model/SecurityType.h"
#include "spark/domain_model/Venue.h"
#include "spark/format/table.h"
#include "spark/md/Diag/ShmDumper.h"
#include "spark/md/SecurityDB.h"
#include "spark/md/SymbolLoader.h"
@@ -23,7 +23,8 @@ using bts::api::SecurityType;
using bts::api::SecurityType_Name;
using bts::api::Venue;
using bts::api::venue_parse_smart;
using bts::core::TableFormatter;
using bts::format::format_table;
using bts::format::detail::TableSchema;
using bts::md::securitytype_of;
using bts::md::SymbolLoader;
using bts::md::db::load_metadata;
@@ -69,7 +70,7 @@ void print_securities(function<bool(const Security &)> predicate) {
void print_db_securities(function<bool(const Security &)> predicate) {
vector<Security> secs;
const TableFormatter::Schema<Security> schema{
const TableSchema<Security> schema{
make_tuple(
"id", 12, [](const Security &s) { return std::to_string(s.id()); }),
make_tuple(
@@ -93,7 +94,7 @@ void print_db_securities(function<bool(const Security &)> predicate) {
secs.push_back(sec);
};
load_securities([](auto) { return true; }, on_sec);
TableFormatter::format(std::cout, secs, schema);
format_table(std::cout, secs, schema);
}
template <class T, class ParseT = function<bool(const string &, T *)>>
@@ -109,7 +109,8 @@ struct ExecutionGatewayProvider::PImpl {
return make_gw<ICEExecutionGateway>(conn, conn, *l, o);
case api::VENUE_GLBX:
if (conn.use_ilink3()) {
make_gw<ilink3::GLBXiLink3ExecutionGateway>(conn, conn, *l, o);
return make_gw<ilink3::GLBXiLink3ExecutionGateway>(
conn, conn, *l, o);
}
return make_gw<GLBXExecutionGateway>(conn, conn, *l, o);
case api::VENUE_DERIBIT:
@@ -23,7 +23,7 @@
#include "spark/api/services/native_order_type.h"
#include "spark/api/services/time_in_force.h"
#include "spark/config/protos/jetfix.pb.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/core/start_stop_state_machine.h"
#include "spark/domain/tick_utils.h"
#include "spark/domain_model/Security.h"
@@ -4,7 +4,7 @@
#include "spark/api/md/MarketDataConfig.pb.h"
#include "spark/api/md/MarketDataConfigUtils.h"
#include "spark/core/FMT.h"
#include "spark/core/TimeSpan.h"
#include "spark/core/time_span.h"
#include "spark/domain/DomainSecurityUtils.h"
#include "spark/domain/SecurityID.h"
#include "spark/domain_model/Venue.h"
@@ -141,5 +141,6 @@ MarketDataGateway::MarketDataGateway(
MarketDataGateway::~MarketDataGateway() = default;
void MarketDataGateway::start() { me_->start(); }
void MarketDataGateway::stop() { me_->stop(); }
} // namespace bts::md
@@ -29,6 +29,7 @@ class MarketDataGateway {
~MarketDataGateway();
void start();
void stop();
private:
struct PImpl;
@@ -15,8 +15,8 @@
#include "spark/api/domain/SecurityType.h"
#include "spark/api/domain/Venue.h"
#include "spark/api/md/PyMarketDataProviderConfig.pb.h"
#include "spark/core/TimeSpan.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_span.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/AggressorSide.h"
#include "spark/domain/FutureSecurity.h"
#include "spark/domain/Security.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -15,7 +15,7 @@ namespace bts::md::binance {
*/
class BinanceMiniTickerEventType {
// Unlike most binance-related enums, this one isn't defined via macros (in
// EnumMacros.h). The macros assume the enum value names are identical to
// enum_macros.h). The macros assume the enum value names are identical to
// their json field counter-parts. Unfortunately, one of the json fields for
// this enum, '24hrMiniTicker', isn't a legal name in cpp.
public:
@@ -1,6 +1,6 @@
#ifdef SPARK_ENABLE_CCAPI
#include "BinanceMiniTickerUpdate.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
#include "sparkd/md/binance/BinanceMiniTickerEventType.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,5 +1,5 @@
#include "BinancePriceStatistics.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include <cstdint>
#include <nlohmann/json.hpp>
@@ -1,7 +1,7 @@
#pragma once
#include "spark/api/domain/Currency.pb.h"
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <boost/algorithm/string/case_conv.hpp>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,5 +1,5 @@
#include "BinanceUsPriceStatistics.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include <cstdint>
#include <nlohmann/json.hpp>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,8 +1,8 @@
#pragma once
#include "spark/algorithm/string/find.h"
#include "spark/algorithm/string/join.h"
#include "spark/core/FMT_IMPL.h"
#include "spark/core/StringFinder.h"
#include "spark/core/StringJoiner.h"
#include "spark/utils/bts_assert.h"
#include <boost/algorithm/string/split.hpp>
@@ -119,7 +119,7 @@ inline CCApiCorrelationID CCApiCorrelationID::from_string(
template <class... Parts>
inline CCApiCorrelationID CCApiCorrelationID::from_parts(Parts... parts) {
// TODO: create the parts vector/string simultaneously (more efficient)
auto parts_str = core::StringJoiner::join(delimiter(), parts...);
auto parts_str = bts::algorithm::join(delimiter(), parts...);
return from_string(parts_str);
}
@@ -231,7 +231,7 @@ inline void CCApiCorrelationID::advance_(std::size_t len) {
return;
}
cursor_ += len;
auto idx = core::StringFinder::find(str_, '.', len);
auto idx = bts::algorithm::find_nth(str_, '.', len);
str_ = str_.substr(idx);
}
@@ -1,6 +1,6 @@
#include "CCApiMessageLogger.h"
#include "spark/core/StringJoiner.h"
#include "spark/core/TimeStamp.h"
#include "spark/algorithm/string/join.h"
#include "spark/core/time_stamp.h"
#include <fmt/format.h>
#include <range/v3/view.hpp>
@@ -9,7 +9,7 @@
namespace bts::md {
using bts::core::StringJoiner;
using bts::algorithm::join;
using std::string;
CCApiMessageLogger::CCApiMessageLogger(std::string name)
@@ -24,7 +24,7 @@ void CCApiMessageLogger::on_messages(
auto msg_strs = msgs | ranges::views::transform([](const ccapi::Message *m) {
return m->toStringPretty();
});
auto msgs_str = StringJoiner::join(msg_strs.begin(), msg_strs.end(), "\n");
auto msgs_str = join(msg_strs.begin(), msg_strs.end(), "\n");
LOG(md, Info, "Received CCApi messages. name: {}; corr_id: {}; msgs:\n{}",
name_, corr_id, msgs_str);
}
@@ -1,5 +1,5 @@
#include "CCApiTradeAdaptor.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/SecurityID.h"
#include "spark/domain/TradeRecord.h"
#include "spark/utils/bts_fatal.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,5 +1,5 @@
#include "CoinbasePriceStatistics.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "spark/domain/SecurityMarketDataStatistics.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include <cstdint>
#include <nlohmann/json.hpp>
@@ -23,7 +23,7 @@
#include "spark/logging/logging.h"
#include "spark/md/IMarketDataListener.h"
#include "spark/persistence/IDGenerator.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/utils/TimeStamp.h"
#include "spark/utils/bts_assert.h"
#include "spark/utils/bts_chrono.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/deribit/DeribitComboLeg.h"
#include <cstdint>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/deribit/DeribitInstrumentKind.h"
#include <nlohmann/json_fwd.hpp>
@@ -3,7 +3,7 @@
#include "spark/algorithm/StringCaseConverter.h"
#include "spark/api/domain/SecurityType.pb.h"
#include "spark/collections/HASH_IMPL.h"
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include "spark/domain_model/Security.pb.h"
@@ -1,7 +1,7 @@
#pragma once
#include "spark/core/FMT_IMPL.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/deribit/DeribitInstrumentStateType.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <fmt/format.h>
@@ -6,7 +6,7 @@
#include "spark/collections/Remove.h"
#include "spark/collections/Transform.h"
#include "spark/core/FMT.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Security.h"
#include "spark/domain/SecurityCriteria.h"
#include "spark/domain_model/Security.pb.h"
@@ -1,5 +1,5 @@
#include "DeribitTradeAdaptor.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/AggressorSide.h"
#include "spark/domain/SecurityID.h"
#include "spark/domain/TradeRecord.h"
+5 -4
View File
@@ -1,8 +1,8 @@
#include "FTXFuture.h"
#include "spark/api/domain/Venue.pb.h"
#include "spark/core/TableFormatter.h"
#include "spark/domain/FutureSecurity.h"
#include "spark/domain/Security.h"
#include "spark/format/table.h"
#include "spark/io/JsonReader.h"
#include "spark/logging/logging.h"
@@ -14,9 +14,10 @@
namespace bts::md::ftx {
using bts::core::TableFormatter;
using bts::domain::FutureSecurity;
using bts::domain::Security;
using bts::format::format_table_kv_rows;
using bts::format::detail::TableSchemaBuilder;
using bts::io::JsonReader;
using std::string;
using std::stringstream;
@@ -133,7 +134,7 @@ void from_json(const nlohmann::json &j, FTXFuture &fut) {
string FTXFuture::to_string_pretty() const {
stringstream out;
TableFormatter::SchemaBuilder<FTXFuture> schema;
TableSchemaBuilder<FTXFuture> schema;
schema.add("ask", [](const auto &f) { return f.ask; });
schema.add("bid", [](const auto &f) { return f.bid; });
schema.add("change_1h", [](const auto &f) { return f.change_1h; });
@@ -165,7 +166,7 @@ string FTXFuture::to_string_pretty() const {
schema.add("underlying", [](const auto &f) { return f.underlying; });
schema.add("upper_bound", [](const auto &f) { return f.upper_bound; });
schema.add("type", [](const auto &f) { return f.type; });
TableFormatter::format_record(out, *this, schema.result);
format_table_kv_rows(out, *this, schema.result);
return out.str();
}
+1 -1
View File
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/ftx/FTXSecurityType.h"
#include <nlohmann/json.hpp>
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/SecurityID.h"
#include <nlohmann/json.hpp>
+5 -4
View File
@@ -1,7 +1,7 @@
#include "FTXMarket.h"
#include "spark/api/domain/Venue.pb.h"
#include "spark/core/TableFormatter.h"
#include "spark/domain/Security.h"
#include "spark/format/table.h"
#include "spark/io/JsonReader.h"
#include "spark/logging/logging.h"
#include "spark/utils/bts_fatal.h"
@@ -19,8 +19,9 @@ namespace bts::md::ftx {
#define SEC_TYPE(x) bts::api::domain::SECURITY_TYPE_##x
using bts::api::domain::Venue;
using bts::core::TableFormatter;
using bts::domain::Security;
using bts::format::format_table_kv_rows;
using bts::format::detail::TableSchemaBuilder;
using bts::io::JsonReader;
using std::ostream;
using std::string;
@@ -163,7 +164,7 @@ void from_json(const nlohmann::json &j, FTXMarket &mkt) {
}
ostream &operator<<(ostream &out, const FTXMarket &mkt) noexcept {
core::TableFormatter::SchemaBuilder<FTXMarket> schema;
TableSchemaBuilder<FTXMarket> schema;
schema.add("name", [](const auto &s) { return s.name; });
schema.add("base_currency", [](const auto &s) { return s.base_currency; });
schema.add("quote_currency", [](const auto &s) { return s.quote_currency; });
@@ -194,7 +195,7 @@ ostream &operator<<(ostream &out, const FTXMarket &mkt) noexcept {
return s.large_order_threshold;
});
schema.add("is_etf_market", [](const auto &s) { return s.is_etf_market; });
TableFormatter::format_record(out, mkt, schema.result);
format_table_kv_rows(out, mkt, schema.result);
return out;
}
@@ -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>
@@ -1,7 +1,7 @@
#pragma once
#include "spark/api/domain/SecurityType.pb.h"
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include <nlohmann/json.hpp>
@@ -0,0 +1,84 @@
#include "market_data_session.h"
#include "python_interop/plugin_manager.h"
#include "spark/api/md/MarketDataConfig.pb.h"
#include "spark/config/config.h"
#include "spark/config/protos/market_data.pb.h"
#include "spark/core/time_stamp.h"
#include "spark/persistence/IDGenerator.h"
#include "spark/utils/datetime.h"
#include "spark/utils/thread_manager.h"
#include "sparkd/cmds/md/cmds/Cleanup.h"
#include "sparkd/md/MarketDataGateway.h"
namespace bts::md {
using bts::api::md::MarketDataConfig;
using bts::cmds::md::cmds::Cleanup;
using bts::core::TimeStamp;
using bts::persistence::IDGenerator;
using bts::threading::configure_current_thread;
using std::shared_ptr;
using std::thread;
using std::this_thread::sleep_for;
static void boot_sleep() {
auto conf = config::get<bts::md::MDBootDelayWindow>();
const auto *start = &conf.standard_start();
const auto *end = &conf.standard_end();
if (datetime::is_local_time_sunday()) {
start = &conf.sunday_start();
end = &conf.sunday_end();
}
int hh_start = 0, mm_start = 0, hh_end = 0, mm_end = 0;
sscanf(start->c_str(), "%i:%i", &hh_start, &mm_start);
sscanf(end->c_str(), "%i:%i", &hh_end, &mm_end);
int64_t sleep_secs =
datetime::is_local_time_between(hh_start, mm_start, hh_end, mm_end)
? conf.delay_seconds()
: 2;
LOG(md, Info, R"([md_session_boot_sleep.json]{{ "dur": "{}s", "ts": {} }})",
sleep_secs, TimeStamp::now_ns());
sleep_for(std::chrono::seconds(sleep_secs));
}
struct MarketDataSession::PImpl {
volatile bool is_running = true;
thread run_thread;
PImpl(shared_ptr<python_interop::PluginManager> py_worker) {
LOG(md, Info, R"([md_session_starting.json]{{ "ts": {} }})",
TimeStamp::now_ns());
Cleanup::execute();
run_thread = thread([&]() {
configure_current_thread("MarketDataGateway");
LOG(md, Info, R"([md_session_started.json]{{ "ts": {} }})",
TimeStamp::now_ns());
MarketDataGateway gw{
config::get<MarketDataConfig>(), IDGenerator::instance_ptr(),
py_worker};
gw.start();
while (is_running) {
std::this_thread::sleep_for(std::chrono::seconds(1));
}
gw.stop();
LOG(md, Info, R"([md_session_stopped.json]{{ "ts": {} }})",
TimeStamp::now_ns());
});
boot_sleep();
}
~PImpl() {
LOG(md, Info, R"([md_session_stopping.json]{{ "ts": {} }})",
TimeStamp::now_ns());
is_running = false;
run_thread.join();
}
};
MarketDataSession::MarketDataSession(
shared_ptr<python_interop::PluginManager> py_worker)
: me(std::make_unique<PImpl>(std::move(py_worker))) {}
MarketDataSession::~MarketDataSession() = default;
} // namespace bts::md
@@ -0,0 +1,19 @@
#pragma once
#include "python_interop/plugin_manager.h"
#include <memory>
namespace bts::md {
class MarketDataSession {
public:
MarketDataSession(std::shared_ptr<python_interop::PluginManager> py_worker);
~MarketDataSession();
private:
struct PImpl;
std::unique_ptr<PImpl> me;
};
} // namespace bts::md
+1 -1
View File
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "sparkd/md/okx/OkxInstrumentStatus.h"
#include "sparkd/md/okx/OkxInstrumentType.h"
@@ -1,7 +1,7 @@
#pragma once
#include "spark/algorithm/StringCaseConverter.h"
#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 @@
#include "OkxInstrumentStore.h"
#include "spark/api/domain/SecurityType.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Security.h"
#include "spark/domain_model/Security.pb.h"
#include "spark/logging/Common.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 <fmt/format.h>
#include <nlohmann/json.hpp>
+1 -1
View File
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/EnumMacros.h"
#include "spark/core/enum_macros.h"
#include "spark/core/FMT_IMPL.h"
#include "spark/domain/AggressorSide.h"
#include "spark/domain/Side.h"
+1 -1
View File
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "sparkd/md/okx/OkxInstrumentType.h"
+1 -1
View File
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Quantity.h"
#include "sparkd/md/okx/OkxSide.h"
@@ -1,9 +1,14 @@
#pragma once
#include "CMESecurityIndex.h"
#include "spark/io/JsonDumper.h"
#include "spark/io/json_formatter.h"
#include "spark/md/MBOProcessor.h"
#include "spark/md/Shm/FixedSecurity.h"
#include "spark/md/protos/trading_status.h"
#include "spark/orderman/events/TradeSummarySignalDispatcher.h"
#include "spark/tracing/bts_trace.h"
#include "sparkd/md/platforms/mdp3_onixs/mdp3_listener_logs.h"
#include "MDP3ListenerHelpers.h"
#include <array>
@@ -728,13 +733,15 @@ void MDP3Listener::onFuture(
(uint16_t)_latest_sequence, 0);
const auto &sec = def.message();
auto exchange_id = sec.securityId();
LOG(md, Info, "MDP3Listener::onFuture exchange_id: {} desc: {}", exchange_id,
std::string(sec.symbol().items()));
if (filter_security(exchange_id, sec) != ADD)
std::string sec_name{sec.symbol().items()};
if (filter_security(exchange_id, sec) != ADD) {
LOG_MDP3_ON_OPTION_SKIP(
exchange_id, sec_name, Mdp3SecuritySkipReason::ALREADY_ADDED);
return;
}
bts_assert(exchange_id == osec.id());
LOG_MDP3_ON_FUTURE_BEGIN(exchange_id, sec_name);
FixedFutureSecurity fsec;
set_security_common(sec, fsec);
@@ -755,6 +762,7 @@ void MDP3Listener::onFuture(
auto status = security_trading_status(def.message())
.value_or(co2::TRADINGSTATUS_UNKNOWN);
add_security(fsec, status);
LOG_MDP3_ON_FUTURE_END(exchange_id, fsec);
}
template <typename InstrumentDefinition>
@@ -767,11 +775,14 @@ void MDP3Listener::onOption(
(uint16_t)_latest_sequence, 0);
const auto &sec = def.message();
auto exchange_id = sec.securityId();
LOG(md, Info, "MDP3Listener::onOption exchange_id: {} desc: {}", exchange_id,
std::string(sec.symbol().items()));
if (filter_security(exchange_id, sec) != ADD)
std::string sec_name = std::string(sec.symbol().items());
if (filter_security(exchange_id, sec) != ADD) {
LOG_MDP3_ON_OPTION_SKIP(
exchange_id, sec_name, Mdp3SecuritySkipReason::ALREADY_ADDED);
return;
}
LOG_MDP3_ON_OPTION_BEGIN(exchange_id, std::string(sec.symbol().items()));
FixedOptionSecurity fsec;
set_security_common(sec, fsec);
auto expiration = date_of_maturity(sec);
@@ -790,6 +801,7 @@ void MDP3Listener::onOption(
int8_t tick_rule;
if (sec.tickRule(tick_rule)) {
decode_ticks(tick_rule, double_of_price(min_tick, 0), fsec);
fsec.glbx_vtick_code = static_cast<std::uint8_t>(tick_rule);
}
fsec.cash_per_point = double_of_price(min_tick_amount, 0) / fsec.low_tick /
pow10(fsec.display_factor);
@@ -801,6 +813,7 @@ void MDP3Listener::onOption(
auto status = security_trading_status(def.message())
.value_or(co2::TRADINGSTATUS_UNKNOWN);
add_security(fsec, status);
LOG_MDP3_ON_OPTION_END(exchange_id, fsec);
}
// min_tick specializations
@@ -825,15 +838,23 @@ void MDP3Listener::onSpread(
(uint16_t)_latest_sequence, 0);
const auto &sec = spread_args.message();
auto exchange_id = sec.securityId();
std::string sec_name{sec.symbol().items()};
LOG(md, Info, "MDP3Listener::onSpread exchange_id: {} desc: {}", exchange_id,
std::string(sec.symbol().items()));
if (filter_security(exchange_id, sec) != ADD)
sec_name);
if (filter_security(exchange_id, sec) != ADD) {
LOG_MDP3_ON_SPREAD_SKIP(
exchange_id, sec_name, Mdp3SecuritySkipReason::ALREADY_ADDED);
return;
}
LOG_MDP3_ON_SPREAD_BEGIN(exchange_id, sec_name);
// Filter out any already expired spreads
auto expiration = date_of_maturity(sec);
if (expiration < datetime::today())
if (expiration < datetime::today()) {
LOG_MDP3_ON_SPREAD_SKIP(
exchange_id, sec_name, Mdp3SecuritySkipReason::EXPIRED);
return;
}
FixedSpreadSecurityL fsec;
set_security_common(sec, fsec);
@@ -843,6 +864,7 @@ void MDP3Listener::onSpread(
int8_t tick_rule;
if (sec.tickRule(tick_rule)) {
decode_ticks(tick_rule, double_of_price(min_tick, 0), fsec);
fsec.glbx_vtick_code = static_cast<std::uint8_t>(tick_rule);
} else {
double mintick = double_of_price(min_tick, 0);
fsec.low_tick = mintick;
@@ -0,0 +1,210 @@
#pragma once
#include "spark/core/FMT_IMPL.h"
#include "spark/core/time_stamp.h"
#include "spark/io/JsonDumper.h"
#include "spark/logging/logging.h"
#include "spark/md/Shm/FixedSecurity.h"
namespace bts::md {
enum class Mdp3SecuritySkipReason {
ALREADY_ADDED,
EXPIRED,
};
const std::string &Mdp3SecuritySkipReason_Name(Mdp3SecuritySkipReason rsn);
struct Mdp3SecurityBeginLog {
Mdp3SecurityBeginLog() = default;
Mdp3SecurityBeginLog(int exchange_id, std::string sec_name);
constexpr Mdp3SecurityBeginLog(
int exchange_id, std::string sec_name, core::TimeStamp timestamp);
int exchange_id;
std::string sec_name;
core::TimeStamp timestamp;
};
struct Mdp3SecuritySkipLog {
constexpr Mdp3SecuritySkipLog() = default;
Mdp3SecuritySkipLog(
int exchange_id, std::string sec_name, Mdp3SecuritySkipReason reason);
constexpr Mdp3SecuritySkipLog(
int exchange_id,
std::string sec_name,
Mdp3SecuritySkipReason reason,
core::TimeStamp timestamp);
int exchange_id{0};
std::string sec_name;
Mdp3SecuritySkipReason reason{Mdp3SecuritySkipReason::ALREADY_ADDED};
core::TimeStamp timestamp;
};
struct Mdp3SecurityEndLog {
private:
template <FixedSecurityType T>
static std::unique_ptr<FixedSecurity> mk_fsec_ptr(const T &fsec);
public:
constexpr Mdp3SecurityEndLog() = default;
template <FixedSecurityType T>
Mdp3SecurityEndLog(int exchange_id, const T &sec);
template <FixedSecurityType T>
Mdp3SecurityEndLog(int exchange_id, const T &sec, core::TimeStamp timestamp);
Mdp3SecurityEndLog(int exchange_id, std::unique_ptr<FixedSecurity> sec);
Mdp3SecurityEndLog(
int exchange_id,
std::unique_ptr<FixedSecurity> sec,
core::TimeStamp timestamp);
int exchange_id{0};
std::unique_ptr<FixedSecurity> sec{nullptr};
core::TimeStamp timestamp;
};
inline const std::string &Mdp3SecuritySkipReason_Name(
Mdp3SecuritySkipReason rsn) {
switch (rsn) {
case bts::md::Mdp3SecuritySkipReason::ALREADY_ADDED: {
static const std::string s{"ALREADY_ADDED"};
return s;
}
case bts::md::Mdp3SecuritySkipReason::EXPIRED: {
static const std::string s{"EXPIRED"};
return s;
}
default: {
static const std::string s{"UNKNOWN"};
return s;
}
}
}
inline Mdp3SecurityBeginLog::Mdp3SecurityBeginLog(
int exchange_id, std::string sec_name)
: Mdp3SecurityBeginLog(
exchange_id, std::move(sec_name), core::TimeStamp::now()) {}
constexpr Mdp3SecurityBeginLog::Mdp3SecurityBeginLog(
int exchange_id, std::string sec_name, core::TimeStamp timestamp)
: exchange_id(exchange_id), sec_name(std::move(sec_name)),
timestamp(timestamp) {}
inline Mdp3SecuritySkipLog::Mdp3SecuritySkipLog(
int exchange_id, std::string sec_name, Mdp3SecuritySkipReason reason)
: bts::md::Mdp3SecuritySkipLog(
exchange_id, std::move(sec_name), reason, core::TimeStamp::now()) {}
constexpr Mdp3SecuritySkipLog::Mdp3SecuritySkipLog(
int exchange_id,
std::string sec_name,
Mdp3SecuritySkipReason reason,
core::TimeStamp timestamp)
: exchange_id(exchange_id), sec_name(std::move(sec_name)), reason(reason),
timestamp(timestamp) {}
template <FixedSecurityType T>
Mdp3SecurityEndLog::Mdp3SecurityEndLog(int exchange_id, const T &sec)
: Mdp3SecurityEndLog(exchange_id, sec, core::TimeStamp::now()) {}
template <FixedSecurityType T>
Mdp3SecurityEndLog::Mdp3SecurityEndLog(
int exchange_id, const T &sec, core::TimeStamp timestamp)
: exchange_id(exchange_id), sec(mk_fsec_ptr(sec)), timestamp(timestamp) {}
inline Mdp3SecurityEndLog::Mdp3SecurityEndLog(
int exchange_id, std::unique_ptr<FixedSecurity> sec)
: Mdp3SecurityEndLog(exchange_id, std::move(sec), core::TimeStamp::now()) {}
inline Mdp3SecurityEndLog::Mdp3SecurityEndLog(
int exchange_id,
std::unique_ptr<FixedSecurity> sec,
core::TimeStamp timestamp)
: exchange_id(exchange_id), sec(std::move(sec)), timestamp(timestamp) {}
template <FixedSecurityType T>
std::unique_ptr<FixedSecurity> Mdp3SecurityEndLog::mk_fsec_ptr(const T &fsec) {
std::unique_ptr<T> rv = std::make_unique<T>();
std::memcpy(rv.get(), &fsec, fsec.size);
return rv;
}
#define LOG_MDP3_ON_FUTURE_BEGIN(...) \
LOG(md, bts::Info, "[mdp3_on_fut_begin.json]{}", \
bts::md::Mdp3SecurityBeginLog{__VA_ARGS__})
#define LOG_MDP3_ON_FUTURE_END(...) \
LOG(md, bts::Diag, "[mdp3_on_fut_end.json]{}", \
bts::md::Mdp3SecurityEndLog{__VA_ARGS__})
#define LOG_MDP3_ON_FUTURE_SKIP(...) \
LOG(md, bts::Info, "[mdp3_on_fut_skip.json]{}", \
bts::md::Mdp3SecuritySkipLog{__VA_ARGS__})
#define LOG_MDP3_ON_OPTION_BEGIN(...) \
LOG(md, bts::Info, "[mdp3_on_opt_begin.json]{}", \
bts::md::Mdp3SecurityBeginLog{__VA_ARGS__})
#define LOG_MDP3_ON_OPTION_END(...) \
LOG(md, bts::Diag, "[mdp3_on_opt_end.json]{}", \
bts::md::Mdp3SecurityEndLog{__VA_ARGS__})
#define LOG_MDP3_ON_OPTION_SKIP(...) \
LOG(md, bts::Info, "[mdp3_on_opt_skip.json]{}", \
bts::md::Mdp3SecuritySkipLog{__VA_ARGS__})
#define LOG_MDP3_ON_SPREAD_BEGIN(...) \
LOG(md, bts::Info, "[mdp3_on_spd_begin.json]{}", \
bts::md::Mdp3SecurityBeginLog{__VA_ARGS__})
#define LOG_MDP3_ON_SPREAD_END(...) \
LOG(md, bts::Diag, "[mdp3_on_spd_end.json]{}", \
bts::md::Mdp3SecurityEndLog{__VA_ARGS__})
#define LOG_MDP3_ON_SPREAD_SKIP(...) \
LOG(md, bts::Info, "[mdp3_on_spd_skip.json]{}", \
bts::md::Mdp3SecuritySkipLog{__VA_ARGS__})
} // namespace bts::md
FMT_IMPL(
bts::md::Mdp3SecurityBeginLog,
l,
R"({{ "sec": "{}", "exchId": {}, "ts": {} }})",
l.sec_name,
l.exchange_id,
l.timestamp.nanos());
template <>
struct fmt::formatter<bts::md::Mdp3SecurityEndLog> {
constexpr auto parse(fmt::format_parse_context &ctx) -> decltype(ctx.end()) {
return ctx.end();
}
template <typename FormatContext>
auto format(const bts::md::Mdp3SecurityEndLog &l, FormatContext &ctx) const
-> decltype(ctx.out()) {
if (l.sec == nullptr) {
return fmt::format_to(
ctx.out(), R"({{ "sec": null, "exchId": {}, "ts": {} }})",
l.exchange_id, l.timestamp);
}
return fmt::format_to(
ctx.out(), R"({{ "sec": {}, "exchId": {}, "ts": {} }})",
bts::io::JsonDumper::dump(*l.sec), l.exchange_id, l.timestamp);
}
};
FMT_IMPL(
bts::md::Mdp3SecuritySkipLog,
l,
R"({{ "sec": "{}", "exchId": {}, "rsn": "", "ts": {} }})",
l.sec_name,
l.exchange_id,
bts::md::Mdp3SecuritySkipReason_Name(l.reason),
l.timestamp.nanos());
@@ -5,7 +5,7 @@
#include "spark/api/services/MarketDataRelay.pb.h"
#include "spark/config/config.h"
#include "spark/config/protos/system_config.pb.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain_model/Security.h"
#include "spark/domain_model/Security.pb.h"
#include "spark/domain_model/Venue.h"
@@ -1,6 +1,6 @@
#include "MDReplayer.h"
#include "spark/api/md/MarketDataReplayConfig.pb.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Book.h"
#include "spark/domain/DomainSecurityUtils.h"
#include "spark/domain/Price.h"
@@ -1,6 +1,6 @@
#pragma once
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain_model/Venue.h"
#include <regex>
@@ -3,7 +3,7 @@
#include "spark/api/md/TaifexMarketDataConfig.pb.h"
#include "spark/config/config.h"
#include "spark/config/protos/system_config.pb.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Price.h"
#include "spark/domain/Security.h"
#include "spark/domain/SecurityID.h"
@@ -1,7 +1,7 @@
#pragma once
#include "TaifexMessages.h"
#include "spark/config/protos/taifex_reference_data.pb.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain/Security.h"
#include "spark/domain/TradeRecord.h"
#include "spark/md/IMarketDataListener.h"
@@ -1,7 +1,7 @@
#include "PositionServicePNLHelper.h"
#include "spark/config/config.h"
#include "spark/config/protos/toggles.pb.h"
#include "spark/core/TimeStamp.h"
#include "spark/core/time_stamp.h"
#include "spark/domain_model/Security.h"
#include "spark/logging/logging.h"
#include "spark/md/MDClient.h"
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