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Author	SHA1	Message	Date
Taha Afzal	d622c57446	Python	2021-08-30 12:38:25 -05:00
Taha Afzal	a2be29b06b	Added initial observation edge/qty columns	2021-05-24 09:50:45 -04:00
Taha Afzal	a2332ea54e	one row per opp in a usable state now	2021-05-23 18:13:59 -04:00
taha afzal	bd8d842a65	Adding dates to summary rows	2021-05-23 01:06:46 -05:00
Taha Afzal	eee526735b	smallc hanges	2021-05-22 20:41:00 -04:00
Taha Afzal	fbaba5cf76	Book evolution functions and notebook	2021-05-03 10:19:22 -04:00
Taha Afzal	56ce270d2f	Python/Pandas cleanup	2021-04-27 23:31:18 -04:00
Taha Afzal	1c4ba7d09b	Last spark check in	2021-03-29 12:21:38 -04:00
Taha Afzal	3709157744	Perf logs, inconsistent market logs	2021-03-01 14:07:32 -06:00
Taha Afzal	ffd8eca92f	enrich_poly_vals	2021-02-27 23:40:19 -06:00
Taha Afzal	875c297e6b	python function to compute the nearest rows	2021-02-26 21:22:48 -06:00
Taha Afzal	c799f05580	organizing python some more	2021-02-26 16:57:43 -06:00
Taha Afzal	f6c23d4a39	Merge branch 'spark_sniper' of bitbucket.org:bluetradesys/spark into spark_sniper	2021-02-25 16:08:46 -05:00
Taha Afzal	f1510fee89	Partial python clean up (lining books)	2021-02-25 14:49:52 -06:00
Taha Afzal	8411b92af1	Adding implied cols to top_of_books	2021-02-23 21:23:22 -06:00
Taha	829a2fc0c6	Speeding up generation of polygon values	2021-02-17 15:34:42 -06:00
Taha	3c744e9678	Adding sec/spread (optional) parameter and better logs	2021-02-15 13:42:18 -06:00
Taha	f435203794	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-08 14:57:20 -06:00
Taha	b4c013f4da	Logging mode, log shots in addition to logging all active polygon states	2021-02-08 14:54:21 -06:00
Pedro Pinto	37ecb69379	Towards an algo manager.	2021-02-08 15:19:17 -05:00
Pedro Pinto	d1643e9a09	More refactoring.	2021-02-08 15:13:37 -05:00
Pedro Pinto	0456d837d8	Continued to refactor feed handler.	2021-02-08 11:29:23 -05:00
Pedro Pinto	b493b17602	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-08 09:24:25 -05:00
Pedro Pinto	206386b263	Separated pure MD interface (IFeedObserver) from analysis obs.	2021-02-08 09:23:16 -05:00
Pedro Pinto	51d336405a	More refactoring.	2021-02-08 09:07:40 -05:00
taha	e068a3807a	Added logs for when file is not found	2021-02-07 00:05:32 -06:00
taha	f585f54016	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-06 22:54:31 -06:00
taha	cf3b87d3aa	Fixed the logs (and got rid of prev value, we were not using it and it was adding extra unneeded complexity)	2021-02-06 22:54:24 -06:00
Pedro Pinto	3164c0fd56	Refactor.	2021-02-05 21:58:44 -05:00
Pedro Pinto	bdfed43b01	Refactor.	2021-02-05 21:09:37 -05:00
Pedro Pinto	1e794aaa12	Refactored.	2021-02-05 20:30:16 -05:00
Pedro Pinto	1297b97b2d	Fixed build.	2021-02-05 20:06:18 -05:00
Pedro Pinto	ca80857607	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-05 18:41:02 -05:00
Pedro Pinto	417e331e8e	Cleaned up mdp3.	2021-02-05 18:37:12 -05:00
taha	8602da1753	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-05 00:25:21 -06:00
taha	0c9af3ffee	Added order key to 2 log messages	2021-02-05 00:25:15 -06:00
John Colvin	12ba2a2724	fix (cli): Add md->channels subcmd	2021-02-04 13:08:39 -06:00
Pedro Pinto	e892b8b3e5	Towards il3 new	2021-02-04 13:49:17 -05:00
John Colvin	8d91d597fe	fix: Repair 'sparkd run' cmd (so client/ui can connect) This was broken in the cli11 revamp.	2021-02-03 23:59:54 -06:00
Pedro Pinto	b8f146364b	Windows continues to suck ass.	2021-02-03 16:17:28 -05:00
Pedro Pinto	3866f8709f	Fucking windows include order bullshit.	2021-02-03 16:17:14 -05:00
Pedro Pinto	0eeffd1984	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-03 14:54:24 -05:00
Pedro Pinto	b15973b00c	Adding market segment id.	2021-02-03 14:54:08 -05:00
Pedro Pinto	ddf65972c0	Trying to fix windows build.	2021-02-03 14:52:05 -05:00
Taha Afzal	c10bf44bfc	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-03 14:46:35 -05:00
Taha Afzal	4bf9be860b	comments added for sniper	2021-02-03 14:46:29 -05:00
Pedro Pinto	e0313958b3	Merged	2021-02-03 11:15:57 -05:00
Pedro Pinto	cda4c522fd	Some refactoring in il3 store.	2021-02-03 11:12:44 -05:00
Taha Afzal	38bd2ac74c	Removing sim switch for security names	2021-02-02 20:31:42 -06:00
Pedro Pinto	36da47f66e	MDP3 refactoring.	2021-02-02 14:11:04 -05:00
Taha Afzal	805efc912e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-02 13:37:59 -05:00
Taha Afzal	3642dbcd86	more guard rails	2021-02-02 13:37:37 -05:00
Pedro Pinto	d3cfe1f6e1	Refactor.	2021-02-02 09:43:09 -05:00
John Colvin	88acbdd8b9	refactor: Replace std::maps with boost flat_maps in Trace	2021-02-01 23:44:21 -06:00
John Colvin	214f2667f2	vscode: Reference clang symbols/include paths in c_cpp_properties	2021-02-01 23:44:21 -06:00
John Colvin	7b16cc9d7b	fix: Clear used_order_keys in Matcher::clear	2021-02-01 23:44:21 -06:00
John Colvin	9035ed453f	vscode: Add spartan dir to include/browse paths	2021-02-01 23:44:21 -06:00
John Colvin	b0affc8611	Add BookLevel != operator Define both == and != operators in BookLevel.cc	2021-02-01 23:44:21 -06:00
John Colvin	09fb35c80b	refactor: Move Quantity method/op defs to Quantity.cc Also restyle code in a manner similar to that of the Price operator code (it's a little cleaner, and brings about consistency).	2021-02-01 23:44:21 -06:00
John Colvin	6badc8099f	refactor: Make ValueWrapper constructors constexpr	2021-02-01 23:44:21 -06:00
John Colvin	8520add970	Replace includes with fwd declarations in FifoMatcherContext	2021-02-01 23:44:21 -06:00
John Colvin	058b4d0020	refactor: Move MatcherOrder struct into its own file	2021-02-01 23:44:21 -06:00
John Colvin	68db9e1254	refactor: Make FifoMatcherContext a class instead of struct	2021-02-01 23:44:21 -06:00
John Colvin	0cddda43f2	Replace includes with fwd declarations in FifoMergedSecurityMatcher	2021-02-01 23:44:21 -06:00
John Colvin	077ce786cb	refactor: Rename 'fill_depot' files 'FillDepot'	2021-02-01 23:44:21 -06:00
John Colvin	46de6b8d8b	Optimize FifoMergedSecurityMatcher logging * Reduce string copying by using fmt::format * Shorten log header prefix (messages that fit on one line are easier to read)	2021-02-01 23:44:21 -06:00
John Colvin	1aea4beffe	refactor: Matcher conveys updates with OrderModification struct The OrderModification explicitly indicates which order properties have changed, so the FifoSecurityMatcher does not need to infer this information from arbitrary signals in the OrderUpdate.	2021-02-01 23:44:21 -06:00
John Colvin	38a5341d08	fix: Don't automatically reset show qty on passive updates	2021-02-01 23:44:21 -06:00
John Colvin	17752dcce1	refactor: FifoImpliedSecurityMatcher uses new LegDefinition type	2021-02-01 23:44:21 -06:00
John Colvin	1aedac39fd	fix: FifoSecurityMatcher::book_side only includes visible qty	2021-02-01 23:44:21 -06:00
John Colvin	1cfb7ee6a4	refactor: Re-implement implied market logic in 'ImpliedMarketModel'	2021-02-01 23:44:21 -06:00
John Colvin	290b5d9da2	refactor: Clean up FifoImpliedSecurityMatcher * Remove dependency on symbol (was only there to make logs prettier, but sec id alone provides sufficient information) * Remove several includes from the header to reduce compilation overhead	2021-02-01 23:44:21 -06:00
John Colvin	b66241b006	Remove unused method in FifoMergedSecurityMatcher	2021-02-01 23:44:21 -06:00
John Colvin	cf615efcd0	refactor: Move LegDef into its own file The struct is renamed 'LegDefinition' to use a naming scheme consistent with 'SecurityDefinition.' However, an alias for 'LegDef' is declared for convenience, and to avoid replacing 'LegDef' with 'LegDefinition' in existing references.	2021-02-01 23:44:21 -06:00
John Colvin	c57b832305	fix: Only flip implied_candidates_dirty when they've actually changed	2021-02-01 23:44:21 -06:00
John Colvin	e5c3ae1f9f	Add permutation 'of length' method, and permutation unit tests	2021-02-01 23:44:21 -06:00
John Colvin	e9232e3bae	Add math utils 'factorial' and 'choose'	2021-02-01 23:44:21 -06:00
John Colvin	f4bb9544d4	fix: Fill same-priced passive icebergs evenly When an agressor order crosses multiple [direct/implied] passive markets at the same price, the aggressor is filled against the visible quantity in each passive market, before passive icebergs (if any) are reloaded. This simple iterative step is repeated until the aggressor is filled, or no longer crosses the market.	2021-02-01 23:44:21 -06:00
John Colvin	28aaf22ea8	refactor: Change Matcher structs to be classes instead	2021-02-01 23:44:20 -06:00
John Colvin	de49920af7	fix: Don't change show qty when order is filled (matcher)	2021-02-01 23:44:20 -06:00
John Colvin	e05c01fc77	Clean up set_total_qty method * remove unused vars * replace if/else with ternary operator	2021-02-01 23:44:20 -06:00
John Colvin	9f6dc5da11	Pipe event id through the matcher for better tracing	2021-02-01 23:44:20 -06:00
John Colvin	84c9eb87e6	refactor: Replace size_ts with EventID alias	2021-02-01 23:44:20 -06:00
John Colvin	9f290b550b	Pass effects vector to FifoSecurityMatcher calls	2021-02-01 23:44:20 -06:00
John Colvin	6e4950ec1c	clang-format: PenaltyReturnTypeOnItsOwnLine Discourage clang from putting the return type on its own line.	2021-02-01 23:44:20 -06:00
John Colvin	c727389f53	refactor: Replace map with unordered_map in Matcher	2021-02-01 23:44:20 -06:00
John Colvin	20e8ac2910	fix: FifoMergedSecurityMatcher handling of icebergs The iceberg quantity is expected to be null in all updates (i.e., only non-null when the order is added). Once added, the iceberg quantity is redundant, as show qty changes are interpretted through visible qty changes (the qty actually visible in the book), and the total qty is immutable. This patch fixes a bug where the iceberg quantity was not being assigned back to an updated order before it was passed to the 'fill' method, which in turn, misled the matcher to think the order was completed when its visible qty alone was filled.	2021-02-01 23:44:20 -06:00
John Colvin	7e59145102	add TestObserver (IAlgoModel) This is an empty implementation of IAlgoModel, so new algo ideas may be tested without the overhead of creating new classes/files.	2021-02-01 23:44:20 -06:00
John Colvin	5e01a37b6e	feat (cli): Add cmd to record matcher event proc times	2021-02-01 23:44:20 -06:00
John Colvin	95d2363435	feat (cli): Add cmd to record matcher fills This works in a similar fasion to the cmd that records matcher books. Both generate a csv file designed to be imported into a sqlite database, so the matcher's output may be joined/compared with actual data from the exchange.	2021-02-01 23:44:20 -06:00
John Colvin	82332bf92f	refactor: Replace SimBooks cmd with Matcher->BooksCmd This is in anticipation of adding a similar subcommand to record fills, and proc times. Basic functionality expected to be shared by these three commands is abstracted out of the former SimBooks command into common classes.	2021-02-01 23:44:20 -06:00
John Colvin	042c451bd6	refactor: Move classes from sim_common.h into their own files * Move MatchEffect into 'back_testing/common/MatchEffect.h' * Move MBPUpdate into 'back_testing/common/MBPUpdate.h/cc' * Move OrderUpdate into 'back_testing/common/OrderUpdate.h/cc'	2021-02-01 23:44:20 -06:00
John Colvin	3e66c3e5db	refactor: Move Fill into domain/fill	2021-02-01 23:44:20 -06:00
John Colvin	a6f3852846	refactor: Improve Stopwatch impl	2021-02-01 23:41:23 -06:00
John Colvin	1f622b0c1e	Optimize logging in IcebergFileCache * Replace std::cout call with 'Info' log * Use const char * templates to reduce string copying	2021-02-01 23:41:23 -06:00
John Colvin	48aaf9de6c	refactor: Move iceberg_file_cache to matcher/common/IcebergFileCache Also change static 'iceberg_file_cache' namespace methods to static 'IcebergFileCache' class methods	2021-02-01 23:41:23 -06:00
John Colvin	8b5e86c1ba	refactor: Make Iceberg related structs classes instead * IcebergInput * IcebergInputBuilder * IcebergFinder	2021-02-01 23:41:23 -06:00
John Colvin	2a975c95b2	Account for nan in Price::to_double	2021-02-01 23:41:23 -06:00
John Colvin	b89555a2e2	Account for nan in price comparison methods	2021-02-01 23:41:23 -06:00
John Colvin	166ab7d299	refactor: Make ValueWrapper binary ops constexpr	2021-02-01 23:41:23 -06:00
John Colvin	d2bf8f1b53	Add security_groups field to SecurityCriteria	2021-02-01 23:41:23 -06:00
John Colvin	e363840937	refactor: Rename SecurityCriteriaClause -> SecurityCriteria::Clause	2021-02-01 23:41:23 -06:00
John Colvin	d8fb275b20	fix: PCapOrderChangeBootstrapper Bootstrap observers with resting orders on the first event in which the security's status transitions to 'ReadyToTrade.' This simplifies the previous implementation, which did not bootstrap observers until the security's second consecutive event with 'ReadyToTrade' status.	2021-02-01 23:41:23 -06:00
John Colvin	13719170c9	refactor: Move OrderKey.h into domain/order	2021-02-01 23:41:23 -06:00
John Colvin	2c4db5bf02	refactor: Move Order types into domain/order	2021-02-01 23:41:23 -06:00
John Colvin	7e957527ac	Add Price::nan method	2021-02-01 23:07:01 -06:00
John Colvin	b94a1d943f	refactor: Clean up Price * Move impl from Price.h to Price.cc * Make ctrs, methods, ops constexpr (where possible) * Overload all binary ops to accept Price, or int64 param	2021-02-01 23:07:01 -06:00
John Colvin	3efb4da14b	diag: Add Trace parameter to matcher constructor This makes it easy for matcher-validation commands to bind trace parameters, such as order/event ids, to cli options.	2021-02-01 22:56:21 -06:00
John Colvin	9c53f4b949	refactor: Move Trace into its own file	2021-02-01 22:56:21 -06:00
John Colvin	35d395fc35	refactor: Hide private matcher members behind PImpl	2021-02-01 22:56:21 -06:00
John Colvin	cf19a63aac	Delete superfluous move constructor/operator in Matcher	2021-02-01 22:56:21 -06:00
John Colvin	6456060a6c	refactor: Define AlgoEventID struct, and EventID alias A few advantages the struct offers (over an alias for a pair of size_ts): * A custom output operator * Eliminates potential conflict with pairs of size_ts that don't represent an algo id * The ability to (eventually) choose precise member names for both components of the event, rather than 'first' and 'second'	2021-02-01 22:56:21 -06:00
John Colvin	702547a88b	refactor: Revamp 'md' command with CLI11 App The files 'run_md.h/cpp' are removed, as their functionality is distributed among the subcommands: md, run, and web.	2021-02-01 22:56:21 -06:00
John Colvin	2447da3c08	refactor: Rename 'map_utils.h' -> 'MapUtils.h/cc' Also refactor the relevant namespace 'bts::utils' methods to be static methods in the newly created class 'MapUtils.' This is part of the effort to favor static class methods over namespaced functions.	2021-02-01 22:56:21 -06:00
John Colvin	8df420c37c	refactor: Rename 'table_display.h' -> 'TableDisplay.h/cc' Also refactor the namespace 'table_display' methods to be static methods in the newly created class 'TableDisplay.' This is part of the effort to favor static class methods over namespaced functions.	2021-02-01 22:56:21 -06:00
John Colvin	d18a345b5b	refactor: Rename 'permutation.h' -> 'Permutation.h/cc' Also refactor the namespace 'all_permutations' methods to be static methods in the newly created class 'Permutation.' This is part of the effort to favor static class methods over namespaced functions.	2021-02-01 22:56:21 -06:00
John Colvin	1770274dd0	refactor: Rename 'action_summarizer' -> 'ActionSummarizer'	2021-02-01 22:56:21 -06:00
John Colvin	746dd506f8	refactor: Rename 'file_stream_utils.h' -> 'FileUtils.h/cc' Also refactor the namespace 'file_stream_utils' methods to be static methods in the newly created class 'FileUtils'. This is part of the effort to favor static class methods over namespaced functions.	2021-02-01 22:56:21 -06:00
John Colvin	78be0004af	refactor: Rename 'reverse_comp.h' -> 'ReverseComp.h'	2021-02-01 22:56:21 -06:00
John Colvin	333a378230	refactor: Rename 'string_splitter.h' -> 'StringUtils.h/cpp' Also refactor the namespace 'string_splitter' methods to be static methods in the newly created class 'StringUtils'. This is part of the effort to favor static class methods over namespaced functions.	2021-02-01 22:56:21 -06:00
John Colvin	5e8f776334	refactor: Rename dir 'spartan/util' -> 'spartan/utils'	2021-02-01 22:56:21 -06:00
Pedro Pinto	5470a82b94	Real time ilink3 handler code complete.	2021-02-01 20:28:44 -05:00
Pedro Pinto	7959c96bcd	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-02-01 13:57:37 -05:00
Pedro Pinto	aeb4bec02d	Refactored sim types to have a sim prefix.	2021-02-01 13:57:16 -05:00
Taha Afzal	b92df15594	Reducing logging	2021-01-30 23:37:29 -06:00
Taha Afzal	86089ec3b4	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-30 20:04:14 -05:00
Pedro Pinto	2cffaa9d73	Refactored include path for spartan.	2021-01-30 15:11:46 -05:00
Taha Afzal	94da28c5cc	Better log messages	2021-01-29 22:41:58 -05:00
Pedro Pinto	86b7f30e0e	Towards realtime il3 handler.	2021-01-29 15:22:32 -05:00
Taha Afzal	e5b01ad92f	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-29 11:28:41 -05:00
Taha Afzal	9d381c2848	Sniper code complete	2021-01-29 11:28:35 -05:00
Pedro Pinto	f81c0280e4	Initial cert tests pass.	2021-01-28 22:35:16 -05:00
Pedro Pinto	b13ffff044	Tests work for il3 connection setup.	2021-01-27 20:56:37 -05:00
Pedro Pinto	d068ac40ec	Am able to set party details.	2021-01-27 14:27:23 -05:00
Pedro Pinto	db5e428709	Starting to test il3.	2021-01-25 16:42:32 -05:00
Pedro Pinto	77396111aa	Can build.	2021-01-25 12:57:22 -05:00
Taha Afzal	7af05e3f4a	Cleaned up, tested a fair bit, few (safety related) features to come	2021-01-24 21:56:34 -05:00
Pedro Pinto	8665ad24c1	Refactored.	2021-01-22 14:59:35 -05:00
Pedro Pinto	72e6e11238	Towards il3 gateway.	2021-01-20 16:49:07 -05:00
Taha Afzal	3468201f32	Moving sniper data and initialization to SniperAlgoCommon	2021-01-18 20:43:31 -05:00
Pedro Pinto	fb7496aaf2	Added commission model to sim.	2021-01-18 15:21:03 -05:00
Pedro Pinto	9193653773	Added new spartan 'test' subcommand.	2021-01-18 15:20:47 -05:00
Pedro Pinto	a80641f8f4	Added testing note to docs.	2021-01-16 16:04:27 -05:00
Pedro Pinto	eb7f1ba9ee	Disabled IB cross test.	2021-01-16 12:38:19 -05:00
Pedro Pinto	39820205ce	Market matcher tests as part of spartan.	2021-01-16 12:33:38 -05:00
Pedro Pinto	2cffcb4e25	Merged	2021-01-16 12:32:34 -05:00
Pedro Pinto	2d2c664ce9	More il3 gateway work.	2021-01-16 11:53:04 -05:00
John Colvin	ca4e477f56	fix: CLI11 integration * Run 'sparkd tests' outside of the CLI::App framework (delegate to 'catch', which has a solid cli). This fixes a bug which prevented callers from specifying test tags (in the form of '[<tag>]'), as the CLI::App's parse method removes square brackets from cli options. * Bind cli options to instance members of their subcommand's CLI::App derived class. This seems to fix a bug which caused the [static instance] binding source to be destructed twice. * Add help text for several subcommands	2021-01-16 00:01:15 -06:00
Pedro Pinto	3ec36c4db1	Refactoring IReactorConnection and friends.	2021-01-15 09:41:11 -05:00
Pedro Pinto	d593696df2	Tagged spartan tests.	2021-01-15 08:49:28 -05:00
John Colvin	45de55a552	Remove unused files 'args_parser.h/cpp'	2021-01-15 00:32:55 -06:00
John Colvin	17d20bac8b	Remove unused file 'ImpliedFifoSecurityMatcher.h' This was an old version of the implied fifo matcher, now defined in 'FifoImpliedSecurityMatcher.h'.	2021-01-15 00:32:55 -06:00
John Colvin	f42137d86c	Don't assert that an iceberg order's vis qty <= show qty There isn't a compelling reason to enforce this constraint. The show qty is the 'reload' qty, and is orthogonal to the current [visible] qty.	2021-01-15 00:32:55 -06:00
John Colvin	456177af30	typo: Flip ternary op clauses, and delete superfluous 'return'	2021-01-15 00:32:55 -06:00
John Colvin	41374d62ea	spartan cli: Add SimBooks command This command is a diagnostic tool that produces a csv file of matcher-generated books for a particular pcap, which can then be imported to sql, and joined with the actual books table for comparison.	2021-01-15 00:32:55 -06:00
John Colvin	25395fcac3	refactor: Replace api::Side w/ spartan::Side	2021-01-15 00:32:55 -06:00
John Colvin	9b49c66136	fix: Require valid side param in 'has_min_qty' method Although the side can be inferred by comparing the first two price levels, the book may not have two price levels to compare.	2021-01-15 00:32:55 -06:00
John Colvin	36bfc9e770	Add SecurityCriteria struct to filter instrument sets Inspired by the c# 'SecurityCriteria' class from spark's front end. This may come in handy as a cli option for spartan subcommands, among other things.	2021-01-15 00:32:55 -06:00
John Colvin	2a04341b3b	Allow for non-null, or non-empty effects vector in 'match' method	2021-01-15 00:07:02 -06:00
John Colvin	c0a7f1b3fe	refactor: Use c++ 'char_traits::length' instead of c 'strlen'	2021-01-15 00:07:02 -06:00
John Colvin	66e1b94d1b	refactor: Revamp cli with CLI11 App	2021-01-15 00:07:02 -06:00
John Colvin	25e07d0a60	refactor: Move BookStatRecorder into 'feed_observers' dir	2021-01-14 21:25:14 -06:00
Pedro Pinto	2731f2b287	Fixed weird duplicate symbol issue.	2021-01-14 13:53:31 -05:00
Pedro Pinto	5140cb1c2c	Towards an order gateway.	2021-01-14 13:09:39 -05:00
Pedro Pinto	e11566537c	More refactoring.	2021-01-13 14:50:29 -05:00
Pedro Pinto	b884dc910e	Refactor MDP3 feed handler types.	2021-01-13 14:48:13 -05:00
Pedro Pinto	35cefe3b89	Added IL3 Parser.	2021-01-13 12:04:34 -05:00
Pedro Pinto	96af106a9d	Refactored MDP3Parser	2021-01-13 11:16:23 -05:00
Pedro Pinto	ac5d961a70	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-13 09:47:34 -05:00
Pedro Pinto	8f4e529766	Refactoring SBE parsing.	2021-01-13 09:47:23 -05:00
Taha Afzal	19a7e2898e	normalizing ticks/price/cash in the report	2021-01-12 18:12:45 -05:00
Pedro Pinto	0ef29c181a	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-12 15:48:10 -05:00
Pedro Pinto	81d3d5f11d	Adding ilink3 notes	2021-01-12 15:47:54 -05:00
Pedro Pinto	c4e0518228	Whitespace.	2021-01-12 11:57:45 -05:00
Taha Afzal	121b7df59e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-12 11:28:21 -05:00
Taha Afzal	6740f6b1fb	Adding status col to polygon_values	2021-01-12 11:27:52 -05:00
Pedro Pinto	5a7a267daf	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-12 11:10:59 -05:00
Pedro Pinto	fb1040fb2c	Cleaned up generation of mdp3 files.	2021-01-12 11:10:39 -05:00
Taha Afzal	ecad5518eb	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-12 11:10:37 -05:00
Taha Afzal	4361e2277a	vid constraint on polygon values	2021-01-12 11:10:24 -05:00
Pedro Pinto	7d7e25fd25	More refactoring.	2021-01-12 10:38:59 -05:00
Pedro Pinto	8f0cfe2c2a	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-12 10:32:10 -05:00
Pedro Pinto	c470c5f161	Cleaned up iLink3 code generation.	2021-01-12 10:31:36 -05:00
Taha Afzal	2302e5f37e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-12 09:40:19 -05:00
Pedro Pinto	fc1b84f966	Refactor of directory names.	2021-01-12 09:02:50 -05:00
Pedro Pinto	25ad869030	Adding iLink3 generation code	2021-01-12 08:57:16 -05:00
Taha Afzal	a35559da30	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-11 22:35:18 -05:00
Taha Afzal	0103abbec3	merging	2021-01-11 22:34:57 -05:00
Pedro Pinto	ee725747ad	Added trade summary signal	2021-01-11 13:23:28 -05:00
Taha Afzal	ef0f044e8d	Adding more data to polygon_values	2021-01-11 12:58:23 -05:00
Pedro Pinto	d42b72ea79	Added Trade summary signal to spartan.	2021-01-11 11:56:52 -05:00
Pedro Pinto	f177441d07	Refactored.	2021-01-11 10:14:38 -05:00
Pedro Pinto	939c6442be	Added book signa to realtime handler.	2021-01-11 10:10:35 -05:00
Pedro Pinto	33dad3db73	More book tweaks.	2021-01-10 18:02:25 -05:00
Pedro Pinto	ef296d4b1c	More clean up.	2021-01-10 17:21:15 -05:00
Pedro Pinto	58fbb8e04f	Cleaning up book merging.	2021-01-10 17:17:45 -05:00
Pedro Pinto	0200b53c3e	Refactored Book class.	2021-01-10 14:16:48 -05:00
Pedro Pinto	cdaef11761	Refactored Book class. More to follow.	2021-01-10 14:16:27 -05:00
Pedro Pinto	853d9f8ddd	Refactor Book.	2021-01-08 20:29:30 -05:00
Pedro Pinto	61aac1f1b2	Refactoring book.	2021-01-08 19:37:45 -05:00
Pedro Pinto	48f33e7e4c	Added some comments.	2021-01-08 18:20:57 -05:00
Pedro Pinto	216ebb2454	Moved security snapshot to domain.	2021-01-08 18:17:54 -05:00
Pedro Pinto	5c36f21f06	Refactored.	2021-01-08 18:13:04 -05:00
Pedro Pinto	66360844b2	Refactor.	2021-01-08 14:58:10 -05:00
Pedro Pinto	8eae549af3	Refactor	2021-01-08 14:49:58 -05:00
Pedro Pinto	721bc6d68f	Refactor.	2021-01-08 14:43:53 -05:00
Pedro Pinto	b7d7b3dceb	Refactored.	2021-01-08 14:27:36 -05:00
Pedro Pinto	d3ad5ee823	Refactor.	2021-01-08 14:06:00 -05:00
Pedro Pinto	c119b4b6ef	Refactor.	2021-01-08 13:52:37 -05:00
Pedro Pinto	9aa5e6435d	Cleaned up quicktest.	2021-01-08 10:57:29 -05:00
Pedro Pinto	b4eced0cd3	Set buffer size and non blocking option on reactor.	2021-01-08 10:57:03 -05:00
Pedro Pinto	1f159aacf0	Getting market data from the wire.	2021-01-08 10:37:07 -05:00
Pedro Pinto	d2ed70b6dd	Added a few comments.	2021-01-08 10:36:24 -05:00
Pedro Pinto	76be885a60	Algoman.	2021-01-07 17:56:50 -05:00
Pedro Pinto	f7173cd477	Towards algoman	2021-01-06 16:11:46 -05:00
Pedro Pinto	b448db51f4	More refactor.	2021-01-06 09:15:25 -05:00
Pedro Pinto	a413b2401b	Refactor.	2021-01-06 09:11:33 -05:00
Pedro Pinto	37a673d336	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-05 11:35:39 -05:00
Pedro Pinto	37cb60a777	Refactor.	2021-01-05 11:35:24 -05:00
Pedro Pinto	18fc857b78	Towards algoman.	2021-01-05 11:34:27 -05:00
Taha Afzal	aa4912bba9	Opp summary	2021-01-05 10:17:15 -05:00
Pedro Pinto	7eff7f89d1	Towards an algo framework.	2021-01-04 14:58:24 -05:00
Taha Afzal	9010003a0d	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-04 10:07:10 -05:00
Taha Afzal	9a0bc05b8b	Added edge filter for static analysis	2021-01-04 10:06:51 -05:00
Pedro Pinto	0e4327c3f9	Merged	2021-01-04 09:36:24 -05:00
Pedro Pinto	cc9b4b874c	Renamed MDP3Price to Price.	2021-01-04 09:04:35 -05:00
Pedro Pinto	333609d23a	Renamed MDP3Price::price() to MDP3Price::to_double()	2021-01-04 08:56:48 -05:00
Pedro Pinto	1f7e682900	Fixed some tests that were using MDP3Price.	2021-01-04 08:53:00 -05:00
John Colvin	635d4196f1	build: Resolve QuantityTag template parameter conflict The linker was mixing up the QuantityTag template parameter structs declared in the aliases 'bts::Quantity,' and 'bts::spartan::mdp3::Quantity.'	2021-01-03 22:46:02 -06:00
John Colvin	3f7ce90cef	spartan cli: Add 'book_stats' command Generates a csv file consisting of basic stats about each book update (one row per per update).	2021-01-03 22:46:02 -06:00
John Colvin	1c8859ced6	Inline 'event_flags_name' method	2021-01-03 22:35:50 -06:00
John Colvin	04257535e1	clang-format: Add 'AlwaysBreakTemplateDeclarations: true'	2021-01-03 22:34:37 -06:00
John Colvin	ae71fb9c33	Overload Formatter::join to accept ostream& * Existing join methods all create and return a string, while the overload passes values directly to the ostream&, and avoids creating/copying a string. * This will come in handy when creating csv rows.	2021-01-03 22:34:31 -06:00
Pedro Pinto	8f68e5afaf	Dowgraded default filter message in polygons to Info.	2021-01-03 17:10:50 -05:00
Pedro Pinto	23160f7843	Fixed bug in algo effect sort order.	2021-01-03 17:10:17 -05:00
Taha Afzal	2788e39cd6	Refining the pandas code for sniper analysis	2021-01-01 20:15:28 -05:00
Pedro Pinto	e536cae63a	Droppped md::IntPrice in favour od MDP3Price.	2021-01-01 16:32:22 -05:00
Taha Afzal	e6b96b3fc3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2021-01-01 12:56:52 -05:00
Taha Afzal	6d357c8d22	One place to look at static analysis of sniper opportunuities	2021-01-01 12:56:44 -05:00
Pedro Pinto	02dcd57817	IntPrice	2020-12-31 17:17:54 -05:00
Pedro Pinto	7a2c5425a1	Towards replacing md::IntPrice	2020-12-31 17:13:31 -05:00
Pedro Pinto	8b667e056c	Removed security db class.	2020-12-31 17:01:29 -05:00
Pedro Pinto	125fe90aaf	Refactored instrument definition.	2020-12-31 16:56:47 -05:00
Pedro Pinto	c7a4d08372	Working on instrument definition.	2020-12-31 16:01:38 -05:00
Pedro Pinto	d2bae92e92	Refactored.	2020-12-31 13:07:21 -05:00
Pedro Pinto	9ff4c81a11	More refactor.	2020-12-31 12:15:24 -05:00
Pedro Pinto	bda105c550	Merged	2020-12-31 12:08:17 -05:00
Pedro Pinto	df36b6d24f	Refactored iceberg quantity.	2020-12-31 12:06:33 -05:00
Pedro Pinto	b34ef9283d	Refactored quantity.	2020-12-31 11:57:22 -05:00
Pedro Pinto	7e13e8cb67	More refactoring.	2020-12-31 11:48:21 -05:00
Taha Afzal	a51f96cc6f	Added product to polygon values	2020-12-31 01:43:07 -05:00
Taha Afzal	99ea103944	merging	2020-12-31 00:34:55 -05:00
Taha Afzal	3b2e5e5d95	Spartan run with sql option, can optionally (based on config) not write the books to the database	2020-12-30 23:24:46 -05:00
Pedro Pinto	e06ce66513	Refactor MDP3TimeStamp to TimeStamp.	2020-12-30 21:11:00 -05:00
Pedro Pinto	738862cb22	Tweaked header layout.	2020-12-30 17:32:41 -05:00
Pedro Pinto	de063e51f0	Another clang-format run, changed how parameters are binned	2020-12-30 17:30:10 -05:00
Pedro Pinto	8f21a77150	Ran clang-format across all files	2020-12-30 17:11:18 -05:00
Pedro Pinto	a27321df2e	Apparently you need a newline at the end of afile	2020-12-30 16:50:01 -05:00
Pedro Pinto	0fb7ba5987	Ran clang-format on spartan, changed format defaults.	2020-12-30 16:30:37 -05:00
Pedro Pinto	a0a508e64f	More documentation.	2020-12-30 16:16:46 -05:00
Pedro Pinto	d8a80419eb	Added some documentatio, run clang-format on iLink3 code.	2020-12-30 14:22:56 -05:00
Pedro Pinto	862df2efb6	Made MDP3 compression tolerant of data loss.	2020-12-30 14:02:08 -05:00
Pedro Pinto	9dcbab9628	Refactor.	2020-12-29 20:02:04 -05:00
Pedro Pinto	ae7b25e120	Refactor.	2020-12-29 20:01:48 -05:00
Pedro Pinto	bb1e7df7a9	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-29 17:15:38 -05:00
John Colvin	b620d33f98	fix build: correct typo 'view' -> 'views' Both 'view' and 'views' are namespaces within the 'ranges' namespace. They contain some methods with identitical signatures, although those in the former are deprecated.	2020-12-29 16:10:18 -06:00
Pedro Pinto	19b5004920	Merged	2020-12-29 16:46:49 -05:00
John Colvin	337fb2ae45	Restore (uncomment) iceberg impl in Sim The bug that was the reason it was originally commented out has been fixed.	2020-12-29 12:58:24 -06:00
John Colvin	e87d4a796a	fix: IcebergFinder bootstraps with 'orders' instead of 'order_changes'	2020-12-29 12:58:24 -06:00
John Colvin	a419ee9ed1	cli: Make icebergs_csv cmd's columns match those in sql	2020-12-29 12:58:24 -06:00
John Colvin	2fe6e3dcab	cli: Make icebergs_csv command always generate new csv Change the command so it does not attempt to retrieve the icebergs from a bin file before observing the pcap, nor does it write the icebergs to a bin file after observation. This behavior was originally intended as a way to avoid wasting time regenerating the same set of icebergs when pcap observation was significantly slower.	2020-12-29 12:58:24 -06:00
John Colvin	262b6352a6	test: Add unit tests for synth book computation	2020-12-29 12:58:24 -06:00
John Colvin	a18d29b66a	Add several MDP3Quantity int binary operators	2020-12-29 12:58:24 -06:00
John Colvin	b464b9ab88	Overload SidePriceComp '()' operator for SmallBookLevel	2020-12-29 12:58:24 -06:00
John Colvin	8bf8b6b36e	Clean up, and optimize compute_synthetic_book method * Improve code-readability * Add documentation * Avoid copying leg books	2020-12-29 12:58:24 -06:00
John Colvin	cbd10c7a7c	Refactor book_utils::fmt_ladder * use md::IntPrice/MDP3Quantity rather than double/uint32_t * overload fmt_ladder to accept a single book-side, and an optional 'side' argument. If 'side' isn't specified, deduce the side by comparing 2 price levels.	2020-12-29 12:54:47 -06:00
John Colvin	a6bfa8f976	fix: compute_synthetic_book sometimes only populates 1st price level Incorrect 'limiting factor' logic was causing the method to exit when the qty in the first price level of the first leg was used.	2020-12-29 12:54:47 -06:00
John Colvin	8850d7d188	fix: running_cost accumulation in 'change_unit_qty' method	2020-12-29 12:54:47 -06:00
Taha Afzal	9b62a70c8f	PolygonFinder can be parameterized for symbols(assets), expirations	2020-12-29 12:54:47 -06:00
Taha Afzal	950887851a	Added a product list config for polygon generation	2020-12-29 12:54:47 -06:00
Pedro Pinto	6f5c41ca14	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-29 08:06:54 -05:00
Pedro Pinto	5223529af1	Sorted match effects so that price updates are delivered before order updates.	2020-12-29 08:06:27 -05:00
Taha Afzal	2632d7ea9f	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-28 23:17:28 -05:00
Taha Afzal	de60a0abd1	PolygonFinder can be parameterized for symbols(assets), expirations	2020-12-28 23:17:23 -05:00
Pedro Pinto	c4e4ff57d8	Multiple changes to sniper including use of quantity in shot selection.	2020-12-28 20:06:43 -05:00
Pedro Pinto	b6f108f7ea	More precise alignment of sim time and pcap time.	2020-12-28 20:05:33 -05:00
Pedro Pinto	96c39e68ee	More deterministic names for polygons.	2020-12-28 20:03:49 -05:00
Pedro Pinto	a3d5e63fb6	DB Fixes.	2020-12-28 20:03:35 -05:00
Pedro Pinto	c1be834e54	Changed logging.	2020-12-28 20:02:48 -05:00
Pedro Pinto	caf0914b4d	Better names for sim time.	2020-12-28 20:02:24 -05:00
Pedro Pinto	0fc522f8c2	Removed commented out code.	2020-12-25 13:41:46 -05:00
Pedro Pinto	a247f7e396	Re-enabling all polygons.	2020-12-25 13:36:45 -05:00
John Colvin	03d5047798	fix: compute_synthetic_book sometimes only populates 1st price level Incorrect 'limiting factor' logic was causing the method to exit when the qty in the first price level of the first leg was used.	2020-12-24 14:22:58 -06:00
John Colvin	391b8ece7a	fix: running_cost accumulation in 'change_unit_qty' method	2020-12-24 14:22:42 -06:00
Taha Afzal	7d75654cf0	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-24 12:53:31 -05:00
Taha Afzal	6a46ad2b0e	Added a product list config for polygon generation	2020-12-24 12:53:27 -05:00
Pedro Pinto	e413ad216e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-24 10:44:43 -05:00
Pedro Pinto	d582005d64	Added assert to make sure books are correct.	2020-12-24 10:44:29 -05:00
Pedro Pinto	02fa07552b	Added expiration to instrument definition.	2020-12-24 10:44:08 -05:00
Taha Afzal	b032926581	hooking polygon book calc to polygon_values	2020-12-23 18:05:03 -05:00
Pedro Pinto	189cb66daf	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-23 14:24:47 -05:00
Pedro Pinto	36f1df58f0	Intermediate commit.	2020-12-23 14:24:23 -05:00
Taha Afzal	8489eda3a6	Merging	2020-12-23 12:42:37 -05:00
Taha Afzal	3e189a751d	Allow negative payups	2020-12-23 12:32:45 -05:00
Pedro Pinto	b2f6be6d10	Added back all polygons, had a temp break to debug synth book.	2020-12-23 12:22:48 -05:00
John Colvin	b656632e86	fix: synthetic book computation * the fix was technically in the 'change_unit_qty' method, which is called from 'compute_synthetic_books.' * Although the 'change_unit_qty' method was correctly dividing quantity by 'unit_qty', it was not scaling the prices.	2020-12-23 10:28:59 -06:00
John Colvin	22cf50282c	.vscode: change python interpreter path setting	2020-12-23 10:28:59 -06:00
Taha Afzal	7650e15a52	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-23 10:55:20 -05:00
Taha Afzal	235d6ecd2f	Polygon values have legs books (as text columns), and synthetic books. There is a also new view that joins polygon values with events	2020-12-23 10:55:10 -05:00
Pedro Pinto	c9a0d4489b	Added max loss, added start/stop times for simulation, added price only order changes.	2020-12-22 10:58:05 -05:00
Pedro Pinto	c6697b82fe	Added code to convert ptime to mdp3 time.	2020-12-22 10:56:16 -05:00
Pedro Pinto	e0231c7dd5	Fixed PCapReader destructor.	2020-12-22 10:55:42 -05:00
Pedro Pinto	f3bcbf85dd	Reduced console logging.	2020-12-21 10:16:41 -05:00
Pedro Pinto	7e04f9a5b3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-21 10:00:13 -05:00
Pedro Pinto	1835d490a3	Added the ida of parameter sets in the simulator.	2020-12-21 09:59:38 -05:00
Taha Afzal	36bf94aad9	placeholder orders are not fired in file mode	2020-12-18 09:17:28 -05:00
Taha Afzal	468df062c3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-17 12:15:27 -05:00
Taha Afzal	544a9212cf	Sniper launched placeholder orders that are then used to snipe	2020-12-17 12:15:19 -05:00
Pedro Pinto	822f43c5a1	Better logging of shot sequence number.	2020-12-17 10:22:53 -05:00
Pedro Pinto	85106cb293	Better logging of clean/saved/forced shots.	2020-12-17 10:22:33 -05:00
Pedro Pinto	ebd0fa4809	Added utility to parse performance logs.	2020-12-17 09:40:04 -05:00
Pedro Pinto	43f4fe2011	Better logging for sniper model.	2020-12-17 09:39:41 -05:00
Taha Afzal	ffcebdf94a	Perf logs in the sniper	2020-12-16 00:05:31 -05:00
Pedro Pinto	0e7b104c76	Added more performance logging.	2020-12-15 18:04:10 -05:00
Pedro Pinto	f0b76f244c	Added packet structure to sql DB.	2020-12-15 17:01:27 -05:00
Pedro Pinto	e4dc9103e1	Fixed typo in md.sql	2020-12-15 14:17:42 -05:00
Pedro Pinto	afb88122ad	Added performance logging.	2020-12-15 13:40:08 -05:00
Pedro Pinto	18a0fa7fb9	Tweak to md sql DB.	2020-12-15 13:34:55 -05:00
Pedro Pinto	b491b2b4cd	Added seq numbers to top of the book and opportunity views.	2020-12-15 09:45:53 -05:00
Pedro Pinto	4b1e9afe28	Corrected corid for trade summary signal.	2020-12-15 09:45:35 -05:00
Pedro Pinto	abb9a56761	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-14 11:56:52 -05:00
Pedro Pinto	09505b2005	Added pause between shots, added clean flag to shot outcome.	2020-12-14 11:56:37 -05:00
Pedro Pinto	e3a9adbf3f	Fixed clean up of sim db.	2020-12-14 11:55:47 -05:00
Taha Afzal	9aafed66c0	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-14 10:50:15 -05:00
Taha Afzal	a259aa8419	Lookeahd book top guessed aggressively	2020-12-14 10:50:06 -05:00
Pedro Pinto	4daf6e127e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-14 10:32:52 -05:00
Pedro Pinto	1ac36e932e	Fixed unbuscription from trade signal on algo termination.	2020-12-14 10:32:26 -05:00
Pedro Pinto	23b038a6a7	Optionall automatically clear previous runs from sim_db.	2020-12-14 10:17:54 -05:00
Pedro Pinto	e2069c8584	Fixed key remapping in sim.	2020-12-14 10:17:25 -05:00
Pedro Pinto	525cf4652e	Removed old proto from include.	2020-12-14 10:17:07 -05:00
Pedro Pinto	6eb3595294	Added sniper_run view to sim_db.	2020-12-14 10:16:14 -05:00
Taha Afzal	8c421d0726	Slight log change	2020-12-14 10:15:12 -05:00
Pedro Pinto	870c69b834	Removed incorrect assertions.	2020-12-13 18:08:09 -05:00
Pedro Pinto	4f39307b9b	Disabled icebergs because of show quantity set to 0.	2020-12-13 18:07:37 -05:00
Pedro Pinto	b687e339a4	Improved logging during sniper run.	2020-12-13 18:07:11 -05:00
Pedro Pinto	8623f2369f	Fixed a bug in sniper model.	2020-12-13 18:06:56 -05:00
Taha Afzal	7eade56042	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-13 16:29:08 -05:00
Taha Afzal	1091c983f9	More logs	2020-12-13 16:29:02 -05:00
Pedro Pinto	533ca3e601	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-13 10:33:21 -05:00
Pedro Pinto	e4b8594d44	Ran clang format.	2020-12-13 10:33:07 -05:00
Taha Afzal	22e5a53e32	FillType flag	2020-12-12 21:48:22 -05:00
Pedro Pinto	6c5f5116b4	Tweaked 'shots' view in sim db.	2020-12-12 20:03:51 -05:00
Pedro Pinto	b5e455ff75	Adjusted polygon filter to include dec/march.	2020-12-12 19:20:18 -05:00
Pedro Pinto	03cd5c164f	Improved caching of pcap data during simulations.	2020-12-12 19:19:26 -05:00
Pedro Pinto	c4aa99636e	Added pay up to sniper model.	2020-12-11 19:45:16 -05:00
Pedro Pinto	ed0eb9be19	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-11 14:13:32 -05:00
Pedro Pinto	d155f8ed12	Tweaked python analysis tools.	2020-12-11 14:12:32 -05:00
Pedro Pinto	ffcfe3cf9c	Added more parameters to sim db.	2020-12-11 14:11:59 -05:00
Taha Afzal	d848a15217	lookahead diagnostics log	2020-12-11 11:03:55 -05:00
Taha Afzal	951f8e9442	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-11 10:00:58 -05:00
Taha Afzal	f10f46b811	corid and use_lookahead logged	2020-12-11 10:00:50 -05:00
Pedro Pinto	d7e80a1303	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-10 22:24:09 -05:00
Pedro Pinto	de0d6c5891	Cleaned up sniper model	2020-12-10 22:21:52 -05:00
Pedro Pinto	4e7c0122d7	Cache preload of sim.	2020-12-10 22:21:07 -05:00
Pedro Pinto	cb75e46161	Better DBs.	2020-12-10 22:20:11 -05:00
Taha Afzal	6954f5842f	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-10 12:36:16 -05:00
Taha Afzal	cbc1cc6b5b	using trade summs of atleast 2 messages, more logs	2020-12-10 12:35:57 -05:00
Pedro Pinto	3cc2cf0783	Hard coded filtering of polygon opportunities to just the one polygon.	2020-12-10 12:22:46 -05:00
Pedro Pinto	b3e7bcf2e1	Fixed iceberg table in sql command.	2020-12-10 12:22:00 -05:00
Pedro Pinto	dd3c33387d	Forgot to add the number of levels to the actual interface.	2020-12-10 11:02:21 -05:00
Pedro Pinto	84a8f11846	Added number of levels to trade signal.	2020-12-10 10:50:33 -05:00
Pedro Pinto	4d2ba5fc41	Fixed initialization bug in sniper.	2020-12-10 09:10:10 -05:00
Pedro Pinto	b980e39ebb	Merged	2020-12-10 09:03:14 -05:00
Pedro Pinto	0dc97dd2d9	Refactor part 8.	2020-12-10 08:56:14 -05:00
Pedro Pinto	cef6815e5c	Refactor, part 8.	2020-12-10 08:47:07 -05:00
Pedro Pinto	4e84b7d789	Refactor, part 7	2020-12-10 08:44:25 -05:00
Pedro Pinto	f632fa2e50	Refactor, part 6	2020-12-10 08:42:09 -05:00
Pedro Pinto	1919440a83	Refactor, part 5.	2020-12-10 08:25:26 -05:00
Taha Afzal	1a43dafb2e	Evaluating in response to trade summary,improved logs	2020-12-09 18:52:57 -05:00
Taha Afzal	bd54f19bdb	More logging	2020-12-09 17:13:22 -05:00
Pedro Pinto	5f2e98beed	More clean up.	2020-12-09 14:58:55 -05:00
Pedro Pinto	f7ea0cd254	Removing old sim code part 3.	2020-12-09 14:51:58 -05:00
Taha Afzal	af1ab49219	added sweep test for the sell side	2020-12-09 14:49:57 -05:00
Taha Afzal	2ac74c5e29	Clang build fix, sweep book calc test	2020-12-09 14:35:32 -05:00
Pedro Pinto	fb42df3117	Removing old sim, part2	2020-12-09 14:34:31 -05:00
Pedro Pinto	443dacaefb	Removing old simulator, part 1.	2020-12-09 14:26:10 -05:00
Taha Afzal	0d5b3d9018	detaching all children before completing the sniper after each shot	2020-12-09 13:15:51 -05:00
Taha Afzal	cc75c46b1a	sniper turns itself off after shooting	2020-12-09 12:54:35 -05:00
Taha Afzal	1ee60f743e	added the cumm price/qty constraint, everything hooked up	2020-12-09 12:11:24 -05:00
Taha Afzal	dc8fd8baef	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-09 09:55:39 -05:00
Taha Afzal	67b6884200	cumm edge/qty parameter to sniper	2020-12-09 09:55:30 -05:00
Pedro Pinto	03a81280f4	Merged	2020-12-09 08:49:27 -05:00
Pedro Pinto	34675696f3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-09 08:38:44 -05:00
Pedro Pinto	0e1687c853	Changed trade summary signal to include last qty.	2020-12-09 08:38:00 -05:00
John Colvin	ccf8a8e492	fix iceberg integration with new simulator * Sim uses MergedMatcher::reset to inject a particular exchange state into the matcher (the matcher does not reset the visible quantity to the show quantity in a reset op). * iceberg_helper::add_iceberg_annotation does not set the visible quantity to the show quantity if the order change type is 'added'.	2020-12-09 00:12:31 -06:00
John Colvin	a0d0a30ad3	refactor 'is_exhausted' -> 'is_empty' in compute_synthetic_books	2020-12-09 00:11:51 -06:00
John Colvin	ff02801000	compute_synthetic_book doesn't copy leg market tuples as it iterates through them	2020-12-09 00:11:51 -06:00
John Colvin	590ca3892d	compute_synthetic_book was multiplying leg prices by their qty twice This is a pre-emptive bug fix, as the method has only been fed synths with leg quantities +/-1.	2020-12-09 00:11:51 -06:00
John Colvin	1674486dc0	vscode (build): change linux build task to run in docker * prompts user for configuration (debug or release) * looks for docker instance named "${USER}s_docker"	2020-12-09 00:11:51 -06:00
John Colvin	dc5301f8b0	vscode (intellisense): add build/ninja_debug/src to browse path	2020-12-09 00:11:51 -06:00
Taha Afzal	436f7eefe9	Added logic for book calculation based on sweep	2020-12-09 00:57:34 -05:00
Taha Afzal	fd8bd63f55	Added payup ticks to sniper and logic to alternate bw main book and lookahead book	2020-12-08 21:47:25 -05:00
Pedro Pinto	64b42aef99	Trade summary signal code complete.	2020-12-08 16:01:46 -05:00
Pedro Pinto	1d323ddc37	Fixed bug in parsing a few sim run options.	2020-12-08 11:42:26 -05:00
Pedro Pinto	c1331df2fe	Fixed cumm qty.	2020-12-08 11:03:19 -05:00
Pedro Pinto	cb1946a8d0	Delayed simulation start until first algo order to improve accuracy.	2020-12-08 09:14:54 -05:00
Pedro Pinto	09c043b11f	Added some validation for the sniper synth book.	2020-12-08 08:47:16 -05:00
Pedro Pinto	6df3dce95d	Commented out the IB annotation until we get it sorted out.	2020-12-07 19:51:00 -05:00
John Colvin	9787f2ed8e	Merged in spartan_tas.sim_icebergs (pull request #415 ) integrate new IcebergInput logic into sim runs Approved-by: Pedro Pinto	2020-12-08 00:37:00 +00:00
John Colvin	654f79b42d	integrate new IcebergInput logic into sim runs	2020-12-07 17:55:26 -06:00
Taha Afzal	1840120af8	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-07 14:31:30 -05:00
Taha Afzal	b90ac3d629	Adding jupyter notebooks for ES sniper analysis	2020-12-07 14:31:21 -05:00
Pedro Pinto	e846420f9d	Fixed bug in valuation	2020-12-07 14:29:49 -05:00
John Colvin	87a7fca75c	overload compute_synthetic_book with standard Book type params	2020-12-07 11:22:05 -06:00
Pedro Pinto	a9c07ec770	Merged	2020-12-07 11:43:52 -05:00
Pedro Pinto	fc2bd8230a	Merge branch 'spartan_tas' into sim2	2020-12-07 11:42:38 -05:00
Pedro Pinto	36c2b7b952	Added skelleton for min_cumm_qty and min_cumm_price params.	2020-12-07 11:39:58 -05:00
John Colvin	fb3f843309	(vscode) setting: don't configure cmake on open	2020-12-06 20:24:56 -06:00
John Colvin	12eef87fb0	fix typos to remove clang build warnings	2020-12-06 20:24:56 -06:00
Taha Afzal	4c066859c4	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-12-06 20:31:01 -05:00
Taha Afzal	b4716db99d	Adding synthetic test runner to jason	2020-12-06 20:30:56 -05:00
John Colvin	07f13de58e	Merge remote-tracking branch 'origin/sim2' into spartan_tas	2020-12-06 18:09:05 -06:00
Pedro Pinto	92bdb06ceb	Integrated commission model..	2020-12-06 12:41:07 -05:00
John Colvin	256b1aeb59	implement MergedMatcher::clear	2020-12-06 11:30:23 -06:00
John Colvin	9b20c2a230	remove CheckedMatcher struct, replace usage with matcher (was only using the matcher member anyways)	2020-12-06 11:30:23 -06:00
John Colvin	78c3617749	add missing comma to settings.json	2020-12-06 11:30:23 -06:00
John Colvin	9a041af544	MergedMatcher uses new '_asset_matcher' method to remove redundant code	2020-12-06 11:28:35 -06:00
Pedro Pinto	8687de6fa2	Added better logging of param values.	2020-12-06 11:45:59 -05:00
Pedro Pinto	c7a4bb461a	Sim2 working.	2020-12-05 21:54:34 -05:00
Pedro Pinto	c96f142709	Towards simple sim.	2020-12-04 20:57:54 -05:00
John Colvin	6367375ac6	add clear, reset methods to Direct/MergedMatcher (for state injections during sim runs)	2020-12-03 23:51:25 -06:00
John Colvin	0530e50a04	fix documentation of iceberg_helper::add_iceberg_annotation	2020-12-03 18:29:21 -06:00
John Colvin	afd05f3c7c	add missing comma to generated books csv	2020-12-03 17:11:34 -06:00
John Colvin	fff7faab90	added some diagnostic spartan cmds to track down sim_books mismatches	2020-12-03 17:11:34 -06:00
John Colvin	e4c36c8470	improve iceberg deduction	2020-12-03 17:11:34 -06:00
Pedro Pinto	11527282c8	Added some matcher validatio helpers.	2020-12-03 08:39:40 -05:00
John Colvin	085764b9a4	add src/.clang-format to .gitignore	2020-12-01 13:44:44 -06:00
Pedro Pinto	96e3c3b9ac	Added updated_price only change to possible order changes. This is needed to facilitate iceberg management.	2020-12-01 13:43:41 -06:00
Pedro Pinto	2c9893c524	Accelerated CSV generation.	2020-12-01 13:42:47 -06:00
John Colvin	cbf444d5ed	added IcebergStateMapper to determine exact sequence of iceberg state per event id	2020-12-01 13:41:14 -06:00
John Colvin	25e52df136	add create_polygon_books.sql	2020-12-01 12:44:25 -06:00
John Colvin	85afd6966c	add some docker scripts (start_docker.sh, docker_bash.sh)	2020-12-01 12:44:25 -06:00
John Colvin	724df36bdc	refactor vector<tuple<price,qty>> to SmallBook (vector alias), and SmallBookLevel (actual struct instead of tuple)	2020-12-01 12:44:25 -06:00
John Colvin	afb0cdfbaf	added SyntheticBookRecorder and polygon_books spartan command	2020-12-01 12:44:22 -06:00
Pedro Pinto	2de4ec6ebe	Sim2 and polyobserver agree.	2020-12-01 07:44:59 -05:00
John Colvin	70ca670955	overload 'Formatter::fmt_values' for any Iter type	2020-11-30 22:00:02 -06:00
John Colvin	acea32f618	add 'analysis/data' to .gitignore (I symlink this to pcap/sqlite data for jupyter-notebooks)	2020-11-30 22:00:02 -06:00
John Colvin	be11f93de7	add src/.clang-format to .gitignore	2020-11-30 22:00:02 -06:00
John Colvin	067ec9b2b9	extracted member functions from FifoImpliedSecurityMatcher into book_utils namespace	2020-11-30 11:33:11 -06:00
Pedro Pinto	398397ca7f	Towards self-correcting simulator.	2020-11-29 17:05:45 -05:00
Pedro Pinto	3599fa2b0c	Added reference code.	2020-11-21 18:24:17 -05:00
Pedro Pinto	f650177758	Towards better pcap DB generation and use.	2020-11-21 18:23:43 -05:00
Pedro Pinto	56227b77d2	Updated .gitignore	2020-11-20 12:18:41 -05:00
Pedro Pinto	9deaf6bc6d	More analysis tools	2020-11-20 12:16:50 -05:00
Pedro Pinto	0f4d5a7047	Updated jupyter notebooks	2020-11-19 08:08:02 -05:00
Pedro Pinto	b82004cf26	Improved analysis.	2020-11-18 17:09:11 -05:00
Taha Afzal	59a0eba902	Fixing the aggressive order's qty adjustment for icebergs	2020-11-16 12:12:12 -05:00
Taha Afzal	e979fc86b2	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-16 11:09:55 -05:00
Taha Afzal	b28ba12146	Added some comments to the matcher test and traced back the failing test to crossing order (that bnecomes a resting order) bug	2020-11-16 11:09:48 -05:00
Pedro Pinto	4cfd4bec24	Fixed lost fills on aggressor	2020-11-15 15:06:32 -05:00
Pedro Pinto	d9aa4eea38	Minor refactor	2020-11-14 17:52:15 -05:00
Pedro Pinto	fefe716d2f	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-14 12:42:51 -05:00
Pedro Pinto	c6c0dc21e2	Added better logging to simulator	2020-11-14 12:42:44 -05:00
Taha Afzal	cd6bdb1576	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-11 10:22:11 -05:00
Taha Afzal	9266e919b6	Bridge is untested but completed	2020-11-11 10:21:58 -05:00
Pedro Pinto	116131f0a8	Cleaned up and sped up sim log.	2020-11-10 20:06:46 -05:00
Pedro Pinto	7fb644ee3e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-10 12:01:10 -05:00
Pedro Pinto	321550d418	More updates to sim db.	2020-11-10 11:59:59 -05:00
Taha Afzal	4234087c34	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-10 11:35:57 -05:00
Taha Afzal	bdac6bc3fa	Callbacks in the AlgoBridge are routed back	2020-11-10 11:35:45 -05:00
Pedro Pinto	524e83c595	Streamlined sim db schema for easier querying.	2020-11-10 10:49:14 -05:00
Pedro Pinto	f9b2f413d7	Accoutend for algo transaction latency in simulation.	2020-11-10 10:48:50 -05:00
Pedro Pinto	d2f21c4b36	Deterministic names for polygons.	2020-11-10 10:47:46 -05:00
Pedro Pinto	95d8d8a42d	Better logging for sniper.	2020-11-10 10:47:34 -05:00
Pedro Pinto	63a2ba032d	Cleaned up some queries in md.sql.	2020-11-10 10:46:52 -05:00
Taha Afzal	e8ccd265ca	More bridge work	2020-11-10 08:48:56 -05:00
Taha Afzal	2c2968fe1a	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-08 23:44:59 -05:00
Taha Afzal	2df07f446b	Bridge filling in	2020-11-08 23:44:53 -05:00
Pedro Pinto	a906eb951e	Mapped order ids to be unique	2020-11-08 11:57:08 -05:00
John Colvin	50f3e39b2f	Matcher asserts against duplicate/recycled keys	2020-11-06 19:52:30 -06:00
Pedro Pinto	7c730f7b96	Multiple changes.	2020-11-06 19:17:02 -05:00
Pedro Pinto	7bb19d446d	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-06 13:10:45 -05:00
Pedro Pinto	8887962d6f	Towards a patient sniper	2020-11-06 13:10:41 -05:00
Taha Afzal	2f032def09	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-06 11:50:13 -05:00
Taha Afzal	426781a839	Security translation in the bridge	2020-11-06 11:50:01 -05:00
John Colvin	65b3addfdb	FifoMergedSecurityMatcher passes order changes directly to FifoSecurityMatcher when implied_matching is off	2020-11-05 16:48:12 -06:00
Taha Afzal	b104326036	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-05 16:31:28 -05:00
Taha Afzal	74267bbba9	Filling in the bridge 1	2020-11-05 16:31:22 -05:00
Pedro Pinto	5f454bcd6e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-05 15:52:11 -05:00
Pedro Pinto	c300bdcac9	Fixed up md.sql.	2020-11-05 15:51:44 -05:00
John Colvin	b85604097d	fix matcher partial-fills bug (part 2, fill at actual order price if implied matching is off)	2020-11-05 11:57:58 -06:00
Taha Afzal	89d9585ad8	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-05 11:53:30 -05:00
Taha Afzal	8e992a6979	IAlgoServices adapter	2020-11-05 11:53:24 -05:00
Pedro Pinto	51a4aabc09	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-04 16:37:49 -05:00
Pedro Pinto	b423872e66	More DB work.	2020-11-04 16:37:28 -05:00
John Colvin	a5ef9fd3cb	fix matcher partial-fills bug	2020-11-04 16:15:56 -05:00
Taha Afzal	a48686ce11	Adding corid to logs	2020-11-04 10:55:31 -05:00
Pedro Pinto	440a68cb9b	Added correlation id to IAlgoServices.	2020-11-04 08:51:35 -05:00
Pedro Pinto	480fd57ea4	Merged	2020-11-04 08:45:40 -05:00
Pedro Pinto	f07e018fbd	Many changes.	2020-11-04 08:42:43 -05:00
Taha Afzal	95a2093dc3	SniperPolygon was not getting the pid assigned	2020-11-03 17:34:35 -05:00
Taha Afzal	e3ec53c3f3	better logs	2020-11-03 11:16:30 -05:00
Taha Afzal	6d679f302b	Adding cancel in no side affect orders	2020-11-02 23:24:01 -05:00
Taha Afzal	85fa61768f	Commenting out shooting orders till code review	2020-11-02 23:14:31 -05:00
Taha Afzal	447d1a3997	Bridge work start	2020-11-02 23:07:35 -05:00
Taha Afzal	a5520204f5	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-01 23:13:28 -05:00
Taha Afzal	9b8ebe32d4	Sniper 1.0 completed	2020-11-01 23:13:22 -05:00
Taha Afzal	7914ed4147	Shooting real order	2020-11-01 10:19:04 -05:00
Pedro Pinto	a851dc6bb5	Rigged sniper to terminate simulation early so that we iterate quicker	2020-11-01 09:47:06 -05:00
Pedro Pinto	c9d9ab9a20	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-11-01 08:55:32 -05:00
Pedro Pinto	84e75c28e5	More tweaks to DB.	2020-11-01 08:55:21 -05:00
John Colvin	1e6829afc7	fix affect-free matching (actually add hypothetical fills to effects vector)	2020-10-31 12:47:01 -04:00
Pedro Pinto	1d23955868	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-30 18:42:30 -04:00
Pedro Pinto	aebe59a69f	Added early termination of simulation.	2020-10-30 18:41:53 -04:00
John Colvin	0b125e3299	fix ERROR logging macro in FifoMergedSecurityMatcher	2020-10-30 18:20:01 -04:00
John Colvin	46b4fab4ed	FifoMergedSecurityMatcher affect-free matching impl (assumes no implied markets)	2020-10-30 18:18:10 -04:00
John Colvin	2d6ca5a347	FifoMergedSecurityMatcher should subtract fill qty from working before the post-fill order state is logged	2020-10-30 16:30:20 -04:00
Taha Afzal	145cf2b482	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-29 13:36:57 -04:00
Taha Afzal	0a94c729e5	-ve edge allowed, can also be modified on the fly	2020-10-29 13:36:47 -04:00
Pedro Pinto	a31331be0c	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-29 12:26:12 -04:00
Pedro Pinto	67ab58a99b	Added exporting of matcher/sim generated books.	2020-10-29 12:25:03 -04:00
Taha Afzal	3835824d36	Key type is a parameter in the UI	2020-10-29 12:22:02 -04:00
Taha Afzal	02f98accd3	Polygon files can have bts keys or exchange keys (optionally)	2020-10-29 11:19:08 -04:00
Taha Afzal	d84119ca6a	Merge	2020-10-28 23:32:56 -04:00
Taha Afzal	c39fb79fda	Fixed the algo string params (SniperAlgo uses it now)	2020-10-28 23:13:20 -04:00
Pedro Pinto	d6a5a4023b	Fixed sim input bootstraped orders priority	2020-10-28 17:39:21 -04:00
Taha Afzal	8b0a0269ec	Better logging and some cleanup	2020-10-28 17:02:28 -04:00
Pedro Pinto	334493c1be	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-27 19:21:47 -04:00
Pedro Pinto	71bae99c38	Added more data to the polygon valuation.	2020-10-27 19:21:18 -04:00
John Colvin	3d1ab364dc	change bts_assert to log error instead	2020-10-27 18:02:26 -04:00
John Colvin	46820eecff	FifoSecurityMatcher::has_same_orders returns the error msg (shouldn't return an empty error msg on failure, as that indicates success)	2020-10-27 17:49:26 -04:00
John Colvin	4bc5f07815	add version header to .icebergs file	2020-10-27 17:46:15 -04:00
John Colvin	c78731e033	IcebergFinder subtracts qty changes from estimated qty (the matcher should adjust the total qty incrementally)	2020-10-27 17:40:58 -04:00
John Colvin	f063d7ecbd	tone down console output in MatcherValidationObserver; change hardcoded GC to ES (temp measure until the cmd accepts symbol args)	2020-10-27 17:40:58 -04:00
John Colvin	f67071708d	fix iceberg handling in MatcherValidationObserver	2020-10-27 17:40:58 -04:00
John Colvin	09d7d996cd	iceberg_helper::subtract_iceberg_fills protects against overfills	2020-10-27 17:40:58 -04:00
John Colvin	a143d851f2	add != operators for IcebergQuantity and optional<IcebergQuantity>	2020-10-27 17:40:58 -04:00
John Colvin	a25f089810	fix iceberg_file_cache (matcher validation observer saves ibs in file to speed up repeated runs on same pcap)	2020-10-27 17:40:58 -04:00
John Colvin	862d2a7ee8	remove unnecessary field '_side' from FifoSecurityMatcher::BookKeeper	2020-10-27 17:40:58 -04:00
Taha Afzal	408ae423c6	Modifications to the book affecting bit	2020-10-27 16:15:48 -04:00
Taha Afzal	0e1da96e52	Added test for sim order with no book effects	2020-10-27 14:38:03 -04:00
Taha Afzal	d0aa686693	FifoMatcher can match without affecting the existing markets	2020-10-27 11:54:07 -04:00
Pedro Pinto	317da795ec	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-27 08:52:10 -04:00
Taha Afzal	07887e60c5	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-26 18:47:12 -04:00
Taha Afzal	a2a7859a04	SniperAlgo	2020-10-26 18:47:04 -04:00
Pedro Pinto	d69aee25f9	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-26 17:53:17 -04:00
John Colvin	87e855086d	FifoSecurityMatcher recomputes book lazily to improve performance	2020-10-26 17:27:38 -04:00
Pedro Pinto	e918521266	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-26 15:26:42 -04:00
Pedro Pinto	969a3fd843	Intermediate commit	2020-10-26 15:25:57 -04:00
John Colvin	4adfe5708a	enable implied matching again (GatewayAgent uses MergedMatcher)	2020-10-26 14:59:24 -04:00
John Colvin	d270f60c2c	speed up FifoPriceLevelMatcher::populated() method (return as soon as 1 qty is detected)	2020-10-26 14:59:24 -04:00
Pedro Pinto	192f6ef390	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-26 13:38:17 -04:00
Pedro Pinto	df552e27d6	More views in sim_db.	2020-10-26 13:37:51 -04:00
Pedro Pinto	4850d279f6	CMAke	2020-10-26 13:37:35 -04:00
Pedro Pinto	29896b5ca4	Better logging.	2020-10-26 13:37:27 -04:00
John Colvin	710e05b029	migrate recent iceberg improvements over to DirectMatcher, and disable implied matching (need to resolve slowness in the MergedMatcher)	2020-10-26 12:40:52 -04:00
Pedro Pinto	f627bf9238	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-26 10:21:32 -04:00
Pedro Pinto	8a59948fe5	Made sniper check available depth before shooting, added a sniper mode to just log.	2020-10-26 10:20:53 -04:00
Pedro Pinto	5de34a52bd	Added some new DB functionality, added utilities to manipulate book.	2020-10-26 10:18:44 -04:00
John Colvin	511b9551e3	delete old test code, clean up logging/console output in FifoMergedSecurityMatcher	2020-10-23 18:20:02 -04:00
John Colvin	8ddaaac244	define mdp3quantity operators with macro	2020-10-23 17:26:43 -04:00
John Colvin	ff0d0a2592	add implied_book method to Matcher, make book/implied_book methods const	2020-10-23 16:33:20 -04:00
John Colvin	919d5eb880	uncommented macro to enable implied matching in simulator (enables new iceberg code by side effect)	2020-10-23 16:32:21 -04:00
John Colvin	2e65f52802	Matcher gets iceberg qty directly from MDP3Order (since they are now generated w/ sim_input)	2020-10-23 16:12:19 -04:00
John Colvin	048f170727	fix build	2020-10-23 14:03:43 -04:00
John Colvin	bef915fd56	better iceberg deduction; integrate deduced icebergs into matcher	2020-10-23 13:29:37 -04:00
John Colvin	4f493aaf29	add pragma once to security_comp.h	2020-10-23 13:28:26 -04:00
Pedro Pinto	6b91e28d40	added icebergs to simulator input.	2020-10-23 11:28:56 -04:00
Pedro Pinto	895e3eebdd	Fixed clang build.	2020-10-23 08:29:57 -04:00
Pedro Pinto	2fed9da9fa	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-23 08:28:52 -04:00
Pedro Pinto	f6641e2ed1	Added observer algo to help validate the simulator.	2020-10-23 08:28:29 -04:00
Pedro Pinto	e5579871b5	Adjusted logging levels as per console/file discussion.	2020-10-23 08:28:08 -04:00
Pedro Pinto	e7a68a2ab3	Added top of the book view.	2020-10-23 08:27:32 -04:00
Pedro Pinto	0a58d69083	Faster combination generation.	2020-10-22 11:27:45 -04:00
Pedro Pinto	ed1915582c	Added view to summarize opportunity.	2020-10-22 11:27:30 -04:00
Pedro Pinto	5ea147efec	Trying to speed up polygon valuations.	2020-10-21 10:34:17 -04:00
Pedro Pinto	f1c5ba93d3	Fixed bugs in handling of CME fixed sized strings.	2020-10-21 10:31:37 -04:00
Pedro Pinto	e741b33810	Added command to list securities.	2020-10-21 10:30:24 -04:00
Pedro Pinto	044b331d27	Fixed build.	2020-10-19 10:18:13 -04:00
John Colvin	9f3124793a	implied matching seems slow, added macro in GatewayAgent.cpp to toggle it on or off while i investigate	2020-10-19 00:17:02 -04:00
John Colvin	f7c33b5eee	tone down logging/console output in matcher	2020-10-19 00:16:12 -04:00
John Colvin	d1fc809553	integrate implied matching into simulator	2020-10-18 23:06:25 -04:00
Pedro Pinto	e305ad124e	Toned down logging	2020-10-17 21:41:26 -04:00
Pedro Pinto	f68458a0f8	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-17 21:34:44 -04:00
Pedro Pinto	b33251fc64	Better opportunity static analysis.	2020-10-17 21:34:14 -04:00
John Colvin	695e484fd7	update externals (added ranges-v3 lib)	2020-10-17 20:28:42 -04:00
John Colvin	281c1d1919	add fifo implied matching facilities	2020-10-17 19:55:56 -04:00
John Colvin	62ad17011e	IntPrice * operator for regular ints	2020-10-17 19:34:44 -04:00
Pedro Pinto	52420a1256	build.	2020-10-16 20:19:21 -04:00
Pedro Pinto	9a2ff85669	Logged missing CPP's rather than crashing.	2020-10-16 20:14:54 -04:00
Pedro Pinto	76e0bced60	More realistic limits for polygon search space.	2020-10-16 20:14:37 -04:00
Pedro Pinto	e9cdb26d46	Better logging.	2020-10-16 20:13:39 -04:00
Pedro Pinto	e780ba5867	Merged	2020-10-15 14:25:39 -04:00
Pedro Pinto	5e825b70d2	Added logging of cancel/replace	2020-10-15 14:18:28 -04:00
Pedro Pinto	2e13820e28	Dropped polygon opportunities with quantity 0	2020-10-15 10:56:56 -04:00
Pedro Pinto	24c06c5492	Fixed query.	2020-10-15 09:57:28 -04:00
Pedro Pinto	ad8ac601ce	Added commonly needed indexes to md DB, fixed duration calculation in polygon opportunity calculation.	2020-10-15 09:53:49 -04:00
Pedro Pinto	fc21544cf2	Better polygon opportunity analysis.	2020-10-15 09:17:26 -04:00
Pedro Pinto	af6636b44b	Added polygon opportunity analysis to SQL.	2020-10-14 21:17:36 -04:00
Pedro Pinto	7ab55a2fe6	Generating merged books.	2020-10-14 16:54:17 -04:00
Pedro Pinto	973cc1195a	Added implied book merging.	2020-10-14 12:30:47 -04:00
Pedro Pinto	ef849f04a4	Fixed reporting of event id in shout outcome in sniper.	2020-10-14 10:07:04 -04:00
Pedro Pinto	f1b91625e2	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-14 10:05:21 -04:00
Pedro Pinto	1100d8e1cd	Added event it so sniper shots.	2020-10-14 10:00:46 -04:00
Taha Afzal	18bcd7e911	fixing the merge 2	2020-10-13 14:10:03 -04:00
Taha Afzal	5a4e3f5acc	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-13 13:25:58 -04:00
Taha Afzal	efacf2986f	fixing merge conflict	2020-10-13 13:25:52 -04:00
Pedro Pinto	1f6255f751	Another broken build, I hope no one is watching	2020-10-13 13:16:01 -04:00
Taha Afzal	79d03c73d7	Added some more n_contracts, symbol, ticks to sniper output	2020-10-13 12:56:09 -04:00
Pedro Pinto	2905a80138	Massively improved memory usage for simulations.	2020-10-13 11:56:56 -04:00
Pedro Pinto	5cbab11310	Fixed the build, sorry.	2020-10-13 11:06:10 -04:00
Pedro Pinto	51edfb5d61	Improved performance, reduced memory usage in simulation.	2020-10-13 10:44:43 -04:00
Pedro Pinto	7324c160f8	Reduced logging.	2020-10-13 10:44:23 -04:00
Pedro Pinto	cb6f67f689	Avoided copying events.	2020-10-13 08:52:37 -04:00
Pedro Pinto	6cfd1cd070	Added better logging of polygon opportunities.	2020-10-13 08:24:32 -04:00
Pedro Pinto	d732b7d691	Added better dimenionsing of shot to Sniper.	2020-10-13 08:23:55 -04:00
Pedro Pinto	588319478e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-12 21:26:47 -04:00
Pedro Pinto	814b9f810b	Added polygon opportunities logging to sql command.	2020-10-12 21:26:02 -04:00
John Colvin	f41f2e5d55	add 'on_order_completed' and 'reset' method placeholders to FifoSecurityMatcher	2020-10-12 15:31:59 -05:00
John Colvin	4d592b1c3b	fix FifoSecurityMatcher::book_level (skip empty levels)	2020-10-12 13:52:53 -05:00
Pedro Pinto	1a1de31457	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-12 10:15:12 -04:00
Pedro Pinto	38b800981b	Tweaks to queries.	2020-10-12 10:14:36 -04:00
Pedro Pinto	89ef56f131	Naming polygons in the SQL DB.	2020-10-12 10:13:45 -04:00
Taha Afzal	2400f5b91c	Function for John to be used for implied matching	2020-10-11 18:31:27 -04:00
Taha Afzal	85c3ba0fa3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-11 10:34:53 -04:00
John Colvin	c6822be685	add 'fill' method placeholder to FifoSecurityMatcher	2020-10-10 23:09:57 -04:00
Pedro Pinto	cb81b0e53e	Cleaned up DB.	2020-10-10 18:32:27 -04:00
Taha Afzal	180d776929	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-10 15:45:12 -04:00
Pedro Pinto	332f98b3a7	Fixed non deterministic order for events.	2020-10-10 12:44:23 -04:00
Taha Afzal	08a65a290d	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-10 11:59:02 -04:00
Pedro Pinto	8bb5301fbb	Not sure how I messed this up.	2020-10-10 11:58:06 -04:00
Taha Afzal	51d402fbd5	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-10 10:29:11 -04:00
Taha Afzal	6e5f2f1a49	Added better logging in Matcher	2020-10-10 10:29:05 -04:00
Pedro Pinto	3a73b6cb9e	Changed sniper, md	2020-10-10 10:15:09 -04:00
Pedro Pinto	64f35f869e	Re-enabled sniper.	2020-10-09 14:50:04 -04:00
Pedro Pinto	67d9758ad2	Sped up matching.	2020-10-09 14:15:28 -04:00
Pedro Pinto	bcf4a04409	Disabled sniper, added logging to report sim progress.	2020-10-09 11:43:03 -04:00
Pedro Pinto	3be5afc08b	Fixed some sniper bugs.	2020-10-09 10:31:47 -04:00
Pedro Pinto	637a8f1efc	Added progress logging to simulation.	2020-10-09 10:31:31 -04:00
Pedro Pinto	00f9c9ec2e	Fixed utility.	2020-10-09 10:31:11 -04:00
Pedro Pinto	722750faeb	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-09 08:12:57 -04:00
Taha Afzal	74d10749b7	Bug where orders changing levels and getting completely filled were not marked as inactive	2020-10-08 23:38:05 -04:00
Pedro Pinto	9dd96b05e2	Better logging.	2020-10-08 17:10:25 -04:00
Taha Afzal	e927b35586	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-08 14:31:26 -04:00
Taha Afzal	e1fb9319a0	better error checking and validation in the matcher	2020-10-08 14:31:19 -04:00
Pedro Pinto	684b7d54b6	Fixed incorrect qty parameterization	2020-10-08 14:25:42 -04:00
Pedro Pinto	925997947f	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-08 14:09:10 -04:00
Pedro Pinto	dcbd86c1f5	Updated cpp reference data, improved polygon discovery	2020-10-08 14:08:58 -04:00
Taha Afzal	2f45ee3fe3	validation of incoming OrderChange	2020-10-08 13:26:18 -04:00
Pedro Pinto	0d4888111d	Merged	2020-10-08 11:50:19 -04:00
Pedro Pinto	a062dbe321	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-08 11:48:12 -04:00
Pedro Pinto	6ab0824532	Added polygon descriptors	2020-10-08 11:23:21 -04:00
Taha Afzal	385de5108e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-08 11:08:05 -04:00
Taha Afzal	c25310c491	assert for correct OrderUpdate state	2020-10-08 11:07:58 -04:00
Pedro Pinto	0fb6bc72a4	Merge remote-tracking branch 'refs/remotes/origin/spartan_tas' into spartan_tas	2020-10-08 10:43:39 -04:00
Pedro Pinto	88039a4c83	Refactored PandL facilties.	2020-10-08 10:43:24 -04:00
Taha Afzal	fd1ac28302	clean up period changed	2020-10-08 09:25:38 -04:00
Pedro Pinto	e8c6a2ad1c	Re-enabled run_sim command.	2020-10-07 18:08:30 -04:00
Pedro Pinto	1ee21c8d3e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-07 18:07:08 -04:00
Pedro Pinto	c5388b07f9	code complete for sim logging.	2020-10-07 18:06:46 -04:00
Taha Afzal	a165d6d193	Moved MatcherOrder in common	2020-10-07 14:16:58 -04:00
Taha Afzal	77f02d81d5	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-07 12:46:34 -04:00
Taha Afzal	fc8620939f	speed up	2020-10-07 12:46:13 -04:00
Pedro Pinto	d319c7ddb8	Fixed build.	2020-10-06 16:10:30 -04:00
Pedro Pinto	24df444584	Driving the simulator across days and parameter variations.	2020-10-06 16:08:33 -04:00
Pedro Pinto	6984676e7f	Towards orchestration of simulator runs.	2020-10-06 10:56:40 -04:00
Pedro Pinto	6356cf68f8	Added a field to instrumentdefinition.	2020-10-05 13:13:53 -04:00
Pedro Pinto	8ef76590a1	Many changes related to sniper simulation.	2020-10-05 11:57:20 -04:00
Taha Afzal	724eea5403	Added cancel perf test	2020-10-03 22:18:31 -04:00
Pedro Pinto	96cf8dcfac	Added better pnl	2020-10-02 11:27:11 -04:00
Pedro Pinto	5add27a107	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-02 11:12:09 -04:00
Pedro Pinto	2683bb6c34	Re-enabled P&L	2020-10-02 11:12:00 -04:00
Taha Afzal	8bdce09aec	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-02 11:01:56 -04:00
Taha Afzal	a732e926a9	Speed improvements, plus missing sec in execution report filled	2020-10-02 11:01:49 -04:00
Pedro Pinto	2fdec04336	Fixed build.	2020-10-02 10:19:25 -04:00
Pedro Pinto	3199689772	Temporarily disabled display factor adjustment until we have secs in fills.	2020-10-02 10:15:47 -04:00
Pedro Pinto	69efd022bd	Fixed P&L calculation for algos.	2020-10-02 10:14:31 -04:00
Pedro Pinto	1604beb3f8	More refactoring. More to come.	2020-10-02 07:25:34 -04:00
Pedro Pinto	0ad57ef290	Fixed build.	2020-10-02 07:08:47 -04:00
Pedro Pinto	376c250802	Refactored.	2020-10-02 07:06:32 -04:00
Pedro Pinto	cf1191bf0a	Refactoring	2020-10-02 06:46:42 -04:00
Pedro Pinto	e1a8870dda	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-01 10:33:42 -04:00
Pedro Pinto	7991b8e8bd	Improved output	2020-10-01 10:33:20 -04:00
Taha Afzal	198d52eca1	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-10-01 10:24:19 -04:00
Taha Afzal	707c8fbd41	Fixed the side in the matcher execution report	2020-10-01 10:24:13 -04:00
Pedro Pinto	299bf7b4da	Sniper is sniping. We are going to be simulated millionaires.	2020-10-01 09:38:00 -04:00
Pedro Pinto	1fb1af7132	First run of the simulator.	2020-09-30 17:17:57 -04:00
Pedro Pinto	ce2a6d3b2f	Sped up sim runs by caching simulator inputs.	2020-09-30 14:41:22 -04:00
Pedro Pinto	271e14ae5b	Cleaned up polygon generation.	2020-09-30 09:51:40 -04:00
Pedro Pinto	110af7795e	Cleaned up simulator input generation.	2020-09-30 08:25:33 -04:00
Pedro Pinto	617b4e2bba	Added polygons to SQL DB.	2020-09-29 14:35:06 -04:00
Pedro Pinto	5f9705cbdb	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-29 13:50:23 -04:00
Pedro Pinto	54333ccb7b	Improved polygon detection speed and correctness.	2020-09-29 13:39:02 -04:00
Taha Afzal	5049212af5	FifoMatcher can optionally ignore internally matched orders	2020-09-29 12:53:21 -04:00
Taha Afzal	a5a1f87528	Moved the matcher tests into its own file	2020-09-29 11:09:42 -04:00
Taha Afzal	f83d57fc0c	Spreader tests pass while sending orders to sim	2020-09-28 21:32:19 -04:00
Pedro Pinto	e2f4fc83a2	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-28 15:03:12 -04:00
Pedro Pinto	2bb246262c	Refactored to modularize pcap queries. Added pcap polygon generation cmd.	2020-09-28 15:02:12 -04:00
Taha Afzal	ed3cc43e59	Fixed the first ack issue	2020-09-28 14:04:36 -04:00
Taha Afzal	4c505f58c5	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-27 22:27:25 -04:00
Taha Afzal	47ac6c5dd3	tests for the spreader bridge	2020-09-27 22:26:48 -04:00
Pedro Pinto	e889d0835f	Added views to md.sql, documented better.	2020-09-26 12:08:36 -04:00
Pedro Pinto	01ce2211f3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-26 11:53:16 -04:00
Pedro Pinto	ffc39be466	Added polygon generation.	2020-09-26 11:52:55 -04:00
Taha Afzal	dcfada0b81	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-24 14:26:16 -04:00
Taha Afzal	ee03de52b7	Events were not getting passed back to the spreader	2020-09-24 14:26:03 -04:00
Pedro Pinto	2fc3a797eb	Fixed bug in import.	2020-09-24 12:06:32 -04:00
Pedro Pinto	419dc355e3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-24 08:37:26 -04:00
Pedro Pinto	ec994a93e7	Fixed bug in CSV generation.	2020-09-24 08:36:58 -04:00
Taha Afzal	679330ba53	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-24 00:21:53 -04:00
Taha Afzal	87d0f93043	spreader ready to go with sim	2020-09-24 00:21:43 -04:00
Pedro Pinto	7e85f390b3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-23 18:02:52 -04:00
Pedro Pinto	ef18b37fd3	Added additional security info to sqlite.	2020-09-23 18:02:24 -04:00
Taha Afzal	ef016bfafc	SpreaderChildOrderUpdate takes a side arg to work better with IAlternateOrderGateway	2020-09-23 17:48:50 -04:00
Taha Afzal	9824ef7686	Added order indirection interface	2020-09-23 12:37:27 -04:00
Taha Afzal	2f21e73d8d	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-22 11:24:01 -04:00
Taha Afzal	22f4a7a324	order bridge bw spark and spartan has one link remaining	2020-09-22 11:23:50 -04:00
Pedro Pinto	6bf4966fb3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-22 11:17:08 -04:00
Pedro Pinto	0e552bbcad	Improved order deduction. Improved iceberg deduction.	2020-09-22 11:15:08 -04:00
Taha Afzal	4a6b14caa4	Merging	2020-09-21 14:40:31 -04:00
Taha Afzal	519d08cb78	Interfacing sim with spreader 60-70% done	2020-09-21 14:31:32 -04:00
Pedro Pinto	e89b4206f9	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-21 14:05:21 -04:00
Pedro Pinto	4adbe82e1e	Simulator is code complete.	2020-09-21 11:24:21 -04:00
Pedro Pinto	18b7f71020	More simulator framework.	2020-09-21 09:27:13 -04:00
Taha Afzal	86e631ae3e	Calling spreader's initialization functions from SimSpreader	2020-09-19 17:22:20 -04:00
Taha Afzal	87bc9b2d25	SimSpreader and some cleanup	2020-09-18 23:49:32 -04:00
Pedro Pinto	c7b65ac062	Added simulator framework.	2020-09-18 14:22:14 -04:00
Taha Afzal	cb07fc1cb7	Cleaning up FIFO	2020-09-17 11:37:18 -04:00
Taha Afzal	5f489a33f7	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-16 14:49:56 -04:00
Taha Afzal	a22e3efb64	Filling in matcher	2020-09-16 14:49:51 -04:00
Pedro Pinto	fc51a03a70	Fixed estimation of iceberg order to take into account fill status.	2020-09-14 17:16:13 -04:00
Taha Afzal	ad5000d835	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-14 10:11:21 -04:00
Taha Afzal	abd1651034	Events causing IB issues added list of traced events	2020-09-14 10:11:15 -04:00
Pedro Pinto	8d94794cdb	Added the hability to run the simulator across multiple channels.	2020-09-13 15:53:58 -04:00
Pedro Pinto	ab6ffebe20	Simulator is code complete.	2020-09-11 18:59:00 -04:00
Pedro Pinto	0698aa90b3	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-11 08:19:17 -04:00
Pedro Pinto	00deda50ec	Fixed fifo validation, more refactoring of sim	2020-09-11 08:18:59 -04:00
Taha Afzal	c914d97376	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-10 12:46:37 -04:00
Taha Afzal	b574de32ae	facility for fifo to ignore events, plus log a mismatch istead of asserting	2020-09-10 12:46:31 -04:00
Pedro Pinto	ab6be7624e	Added allowance for self match prevention when deducing orders	2020-09-10 10:56:52 -04:00
Pedro Pinto	300ba5a16e	Skipped bad events.	2020-09-10 08:53:47 -04:00
Taha Afzal	9da7784b1b	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-09 19:40:50 -04:00
Pedro Pinto	8b2046a4c4	Skiped first 40K events in fifo validation, for speed	2020-09-09 17:45:07 -04:00
Pedro Pinto	a5b9e40b53	Skipped open when testing fifo	2020-09-09 17:40:57 -04:00
Pedro Pinto	6c6dd86c02	More refactoring of sim.	2020-09-09 16:42:55 -04:00
Taha Afzal	109a12412a	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-09 14:06:07 -04:00
Taha Afzal	10edd13593	Log adjustments again	2020-09-09 14:06:01 -04:00
Pedro Pinto	d7014ce172	Better deduced order detection, refactored sim	2020-09-09 13:47:28 -04:00
Taha Afzal	899218ccf6	Moving MatchingCommon to the new matching directory	2020-09-09 10:41:41 -04:00
Taha Afzal	5fbd5b8804	Fixing merge conflict	2020-09-09 10:35:14 -04:00
Taha Afzal	8a564c38e9	More selective logging to catch the offending orders	2020-09-09 10:13:04 -04:00
Pedro Pinto	5758b56296	Improved iceberg detection	2020-09-09 10:00:52 -04:00
Pedro Pinto	da8c8c271a	Merged	2020-09-08 11:59:38 -04:00
Pedro Pinto	26a0508e03	Simulator in progress.	2020-09-08 11:55:45 -04:00
Taha Afzal	80294f9f37	Fixing merge	2020-09-08 10:19:31 -04:00
Taha Afzal	c408825a8d	better logging to trace down specific orders	2020-09-08 10:09:29 -04:00
Pedro Pinto	5cdc4f5a66	Flushing out simulator.	2020-09-07 14:41:23 -04:00
Pedro Pinto	d5bc1a0acb	Tweaked test.	2020-09-07 14:41:08 -04:00
Pedro Pinto	0f8ae1e345	Refactored simulator names, structure.	2020-09-07 09:03:58 -04:00
Pedro Pinto	6bcd13f30c	Added generation of sim input.	2020-09-04 14:14:38 -04:00
Pedro Pinto	a330ecf24d	Skipped icebergs in FIFO validation.	2020-09-04 10:34:19 -04:00
Pedro Pinto	8df3bf38cd	Cleaned up sqlite file generation.	2020-09-04 08:32:00 -04:00
Pedro Pinto	9e1f72df94	Added a SQL command that generates a SQL DB from a pcap.	2020-09-03 21:01:49 -04:00
Pedro Pinto	b615a6105a	Added to md.sql documentation.	2020-09-03 11:50:30 -04:00
Pedro Pinto	5c9595f4a6	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-03 11:46:57 -04:00
Pedro Pinto	efa8aa297d	Working Sim.	2020-09-03 11:46:44 -04:00
Taha Afzal	47b45d2a53	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-09-03 11:39:20 -04:00
Taha Afzal	cf3eae1311	added comments to the columns in the sql script	2020-09-03 11:39:01 -04:00
Pedro Pinto	f197077e78	Ran clang-format on spartan.	2020-09-03 10:33:19 -04:00
Pedro Pinto	0240be755a	Added icebergs	2020-09-02 15:58:09 -04:00
Pedro Pinto	0c69024f7a	Added Icebergs to CVS output.	2020-09-02 15:30:40 -04:00
Pedro Pinto	15be25a382	Added helper in FIFO matcher.	2020-09-02 11:18:45 -04:00
Pedro Pinto	3047cc2570	Included priorIty In deduced order, why not.	2020-09-02 11:18:26 -04:00
Pedro Pinto	4369cb61fe	Cleaned up debug output	2020-09-02 09:29:16 -04:00
Pedro Pinto	04c4674582	Improved diagnostics.	2020-09-02 09:26:44 -04:00
Pedro Pinto	504ef84da3	Better diagnostic	2020-09-01 17:27:26 -04:00
Pedro Pinto	8cc564da96	Merged	2020-09-01 17:13:47 -04:00
Pedro Pinto	2abc69fd7c	Fixed a bug in deducing orders, improved output.	2020-09-01 17:06:44 -04:00
Taha Afzal	87d0498c23	Improved the on_same_orders return message	2020-09-01 16:34:32 -04:00
Taha Afzal	ecb3893370	Fixing merge conflict	2020-09-01 14:21:49 -04:00
Taha Afzal	f974d90eaa	FifoSecurityMatcher::on_same_orders now returns an optional<string>	2020-09-01 13:40:27 -04:00
Pedro Pinto	6a4e06873b	Added diagnostics, fixed order priority insertion	2020-09-01 11:02:17 -04:00
Taha Afzal	3b235efd3f	Changing Info logging to Diag	2020-08-31 16:21:20 -04:00
Taha Afzal	2f8436e131	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-31 16:17:16 -04:00
Taha Afzal	e801951820	More logging	2020-08-31 16:17:11 -04:00
Pedro Pinto	2b61e65bf5	Added seamless XZ decompression on any spartan cmd.	2020-08-31 10:45:31 -04:00
Pedro Pinto	f5fe552cd9	Working on adding seamless decompression.	2020-08-31 08:00:41 -04:00
Taha Afzal	6b529d0f7e	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-29 23:54:58 -04:00
Taha Afzal	4c3ad827c5	fixed bug, more logs, ahdered to new IB in MDP3Quantity	2020-08-29 23:54:47 -04:00
Pedro Pinto	6b09e18948	Referenced iml.	2020-08-28 15:50:43 -04:00
Pedro Pinto	9103a00f20	cleaned up slightly	2020-08-28 13:46:04 -04:00
Pedro Pinto	7a7588f8d9	Changed the fifo matcher harness	2020-08-28 13:44:12 -04:00
Pedro Pinto	7ee0068ff0	Added inital harness to test fifo.	2020-08-28 12:01:06 -04:00
Pedro Pinto	9b586b2ae2	Better documentation.	2020-08-28 10:38:05 -04:00
Pedro Pinto	09f7879c83	Comment in SQL.	2020-08-28 10:35:32 -04:00
Pedro Pinto	d80e27f989	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-27 12:04:17 -04:00
Pedro Pinto	45f9e53f10	Fixed deduced orders, iceber orders.	2020-08-27 12:03:26 -04:00
Taha Afzal	e2d11cb59b	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-27 10:41:20 -04:00
Taha Afzal	d0b923339d	fixed cross IB test (bug was in the test)	2020-08-27 10:41:09 -04:00
Pedro Pinto	9deb6182d0	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-27 08:27:37 -04:00
Pedro Pinto	4c4e870c67	Merge branch 'master' into spartan_tas	2020-08-27 08:24:01 -04:00
Pedro Pinto	3f3b481654	Merged	2020-08-26 11:21:40 -04:00
Pete Fisher	0fa870ea40	added MJF	2020-08-26 11:05:15 -04:00
Pedro Pinto	2b3b551898	Merged	2020-08-26 11:03:15 -04:00
Pedro Pinto	ad4d97c17e	Tweaked IB struct.	2020-08-26 08:29:09 -04:00
Taha Afzal	c941105502	IB cross order	2020-08-25 19:24:16 -04:00
Taha Afzal	174743cdb6	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-25 13:44:48 -04:00
Taha Afzal	a752ad0cbc	fixed bug with iceberg filling	2020-08-25 13:44:43 -04:00
Pedro Pinto	477e33eb81	Merged	2020-08-25 13:39:56 -04:00
Pedro Pinto	052268f052	Better json printing, faster processing on sec status change, progress in iceberg detection.	2020-08-25 13:37:43 -04:00
Taha Afzal	27294f125d	iceberg test	2020-08-25 11:39:19 -04:00
Pete Fisher	e80c634bd1	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-25 09:01:28 -04:00
Pete Fisher	37f33778e1	fixed jetfix.conf	2020-08-25 09:01:13 -04:00
Taha Afzal	c540fdd11f	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-24 23:17:14 -04:00
Taha Afzal	e7f9e98f0a	Resting IB matching engine completed	2020-08-24 23:17:05 -04:00
Taha Afzal	253586fc79	Iceberg reloading	2020-08-24 20:40:11 -04:00
Pedro Pinto	9d0c99a17b	Richer console logging	2020-08-24 16:16:11 -04:00
Pedro Pinto	58992eb893	Changed logging subsystem from ilink3 to iLink3	2020-08-24 16:16:11 -04:00
Pete Fisher	a471670a91	added audit log scripts to be run by the docker container	2020-08-24 16:15:27 -04:00
Pete Fisher	96e1d25ca4	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-24 15:22:54 -04:00
Pete Fisher	d4bb88dbfe	added jetfix going to cert relay	2020-08-24 15:21:45 -04:00
Taha Afzal	bbc2277bae	Order's exchange priority need not be kept around	2020-08-24 12:25:14 -04:00
Taha Afzal	d54861a9d0	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-24 12:02:18 -04:00
Taha Afzal	a5d98a32b6	Iceberg related changes	2020-08-24 12:01:59 -04:00
Pedro Pinto	a2ea2239da	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-24 08:37:41 -04:00
Pedro Pinto	5e56a66171	Multiple improvements.	2020-08-24 08:37:08 -04:00
Taha Afzal	fa0674a657	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-21 23:23:36 -04:00
Taha Afzal	2eb2b07f8f	fixed bug with sweeps	2020-08-21 23:23:26 -04:00
Taha Afzal	b7f15986ad	tests for order remove/modify and its affects on the book	2020-08-21 18:49:00 -04:00
Pedro Pinto	3e0cdde714	Corrected how we handle security tradus status changes.	2020-08-21 17:49:12 -04:00
Pedro Pinto	3334f1b709	A few more tweaks.	2020-08-21 17:49:12 -04:00
Taha Afzal	29e080da71	remove tests	2020-08-21 16:18:24 -04:00
Taha Afzal	927cd60d41	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-21 12:15:56 -04:00
Pedro Pinto	7c5cb5b7f7	Updated csv generation to include implied matching status.	2020-08-21 12:13:23 -04:00
Taha Afzal	9f84f7215c	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-21 12:09:45 -04:00
Taha Afzal	14fd296aa2	some iceberg adjustments, and more tests	2020-08-21 12:09:32 -04:00
Pedro Pinto	470f94f6e1	Added support for implied matching status.	2020-08-21 11:48:33 -04:00
Pedro Pinto	9bfd33320e	More changes to instrument definition. C++ continues to mistify.	2020-08-21 10:33:48 -04:00
Pedro Pinto	f7a2693952	Cleaned up instrument definition.	2020-08-21 09:28:44 -04:00
Pedro Pinto	d573447d64	Added method to visit security	2020-08-21 09:03:47 -04:00
Pedro Pinto	ccd7d29501	Fixed some bugs in cvs export	2020-08-21 01:00:10 -04:00
Pedro Pinto	291699fb9b	Added books to CSV output.	2020-08-21 00:22:36 -04:00
Pedro Pinto	056e0f8aa7	Removed debug break	2020-08-20 17:25:44 -04:00
Pedro Pinto	45ed583d46	Fixed a few bugs, made it possible to stream through a pcap once only	2020-08-20 17:13:52 -04:00
Pedro Pinto	54a2131b20	Fixed typo.	2020-08-20 12:01:51 -04:00
Taha Afzal	a4bbb6c88b	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-20 10:59:02 -04:00
Taha Afzal	e6c2ceb931	tests for single price level	2020-08-20 10:58:57 -04:00
Pedro Pinto	c43ec4a56d	Added script to easily compress pcaps.	2020-08-20 10:43:58 -04:00
Pedro Pinto	b871cc4e09	Cleaned up code.	2020-08-20 09:25:38 -04:00
Pedro Pinto	6aec729b6a	Added prettier logging when observing spartan pcaps	2020-08-19 21:16:54 -04:00
Pedro Pinto	025625e0b9	Simplified console logging	2020-08-19 21:15:40 -04:00
Pedro Pinto	5c5bc243d2	Added new spartan command to clean up pcaps to just what we need.	2020-08-19 16:29:49 -04:00
Taha Afzal	0d0af32b85	Merge branch 'spartan_tas' of bitbucket.org:bluetradesys/spark into spartan_tas	2020-08-19 14:30:17 -04:00
Taha Afzal	46c2d2e916	cleaning	2020-08-19 14:30:10 -04:00
Taha Afzal	ff6d0f0e1b	cleaning up, fixing the sorting of prices	2020-08-19 14:14:40 -04:00
Pedro Pinto	86ca092f18	Fixed bug that was preventing import of oil data.	2020-08-18 13:06:58 -04:00
Pedro Pinto	ec3d642cee	Better export to CSV.	2020-08-18 10:58:42 -04:00
Pedro Pinto	7489d70c95	Added some sql tools, added order deduction	2020-08-18 07:51:16 -04:00
Pedro Pinto	81bb5404cb	Merged	2020-08-18 07:50:59 -04:00
Taha Afzal	a0155beb83	Fifo Matching Engine	2020-08-18 00:02:10 -04:00
Taha Afzal	780b74fc56	Basic scaffolding plus price level match	2020-08-11 20:09:09 -04:00
Pedro Pinto	78bc14348d	Miscelaenous improvements.	2020-08-10 13:46:59 -04:00
Pedro Pinto	52bc0f1a17	Better spelling.	2020-08-09 17:24:55 -04:00
Pedro Pinto	c52c24c3f2	Fixed some more issues. Everything looks good now.	2020-08-09 17:06:53 -04:00
Pedro Pinto	0d9277bf6a	Added test file, discovered feeds automatically.	2020-08-08 16:32:54 -04:00
Pedro Pinto	761797dc24	Fixed a few more bugs.	2020-08-07 20:32:31 -04:00
Pedro Pinto	39a560c394	Fixed a couple more serious bugs.	2020-08-07 14:15:04 -04:00
Pedro Pinto	b4f01da8d8	Added print.	2020-08-07 13:13:33 -04:00
Pedro Pinto	f7ca1efdb8	Fixed a number of bugs.	2020-08-07 13:08:51 -04:00
Pedro Pinto	1b4ed339d6	More bugs, more fixes.	2020-08-06 12:20:00 -04:00
Pedro Pinto	5af89e0124	Fixed a few more bugs.	2020-08-06 12:11:58 -04:00
Pedro Pinto	1fddbf1cca	More tests, more fixes.	2020-08-06 08:58:10 -04:00
Pedro Pinto	1cd1a23c80	Added a unit test and fixed some bugs.	2020-08-05 11:22:09 -04:00
Pedro Pinto	b987ec6a8a	Added a smoke test for MD.	2020-08-04 17:28:17 -04:00
Pedro Pinto	f509026815	Code complete on MD.	2020-08-04 17:13:48 -04:00
Pedro Pinto	557b658146	Almost done.	2020-08-04 16:54:00 -04:00
Pedro Pinto	e3c4960622	Fixed build.	2020-08-04 08:32:42 -04:00
Pedro Pinto	350b4307dc	Refactor.	2020-08-03 20:59:54 -04:00
Pedro Pinto	762ca47a59	Refactored.	2020-08-03 20:47:25 -04:00
Pedro Pinto	79b83ba494	Refactored.	2020-08-03 20:47:04 -04:00
Pedro Pinto	51f5155a1a	Removed obsolete code.	2020-08-03 20:42:53 -04:00
Pedro Pinto	d0b3124813	Recovery complete.	2020-08-03 20:36:42 -04:00
Pedro Pinto	29128dd014	Almost code complete.	2020-08-03 18:15:46 -04:00
Pedro Pinto	9e8f5809c3	Starting work on integrating recovery with realtime processing.	2020-08-03 11:11:06 -04:00
Pedro Pinto	7e2001744c	More refactoring.	2020-08-03 09:43:51 -04:00
Pedro Pinto	f5b83efade	Incremental Queue completed.	2020-08-02 16:22:57 -04:00
Pedro Pinto	aedb9d2ae1	Refactored for consistency.	2020-08-02 16:10:54 -04:00
Pedro Pinto	5ccd28d84d	Refactored.	2020-08-01 20:38:53 -04:00
Pedro Pinto	3320888fc8	Instrument defintion copy.	2020-07-30 17:16:35 -04:00
Pedro Pinto	456e9bf357	Finished real time feed processor.	2020-07-30 16:11:35 -04:00
Pedro Pinto	275a757eb7	Finished up InstrumentSnapshot.	2020-07-30 10:32:10 -04:00
Pedro Pinto	d51d170891	Lots of progress on real time feed processing	2020-07-29 13:22:34 -04:00
Pedro Pinto	87d138740f	More refactoring and tools.	2020-07-27 08:45:18 -04:00
Pedro Pinto	625f165a63	Life-time management bug, one & cost a whole day.	2020-07-24 18:13:56 -04:00
Pedro Pinto	8421ed0ae9	Small changes.	2020-07-24 18:13:39 -04:00
Pedro Pinto	2a03eb323d	Initial tests run.	2020-07-21 12:08:27 -04:00
Pedro Pinto	cac6a9cd53	Refactoring.	2020-07-20 09:38:22 -04:00
Pedro Pinto	a148b8fdcb	More recovery work.	2020-07-20 08:29:18 -04:00
Pedro Pinto	d635e8a978	Getting close to recovery.	2020-07-17 20:16:57 -04:00
Pedro Pinto	7aadd38934	More refactoring.	2020-07-17 08:52:46 -04:00
Pedro Pinto	b63b11982b	Refactoring.	2020-07-15 12:24:01 -04:00
Pedro Pinto	88a4d2ed80	Crazy template stuff.	2020-07-12 16:40:08 -04:00
Pedro Pinto	26bdef7ddd	Merged with master	2020-07-11 12:30:06 -04:00
Pedro Pinto	faedb0a49e	Feed handler.	2020-06-29 07:34:51 -04:00
Pedro Pinto	d148255917	Refactored mdp3feedhandler.	2020-06-26 08:08:07 -04:00
Pedro Pinto	00b1d3c51c	Feed handler	2020-06-25 06:02:17 -04:00
Pedro Pinto	b68c963b5e	c2	2020-06-24 19:16:59 -04:00
Pedro Pinto	a43070f812	c1	2020-06-24 19:15:14 -04:00
Pedro Pinto	f6b5ab040c	Refactor.	2020-06-24 08:25:56 -04:00
Pedro Pinto	86ddf3078d	Refactor.	2020-06-24 07:32:59 -04:00
Pedro Pinto	bc4fe19bdb	Refactor.	2020-06-24 07:32:33 -04:00
Pedro Pinto	bb259b128a	More tools	2020-06-23 13:43:05 -04:00
Pedro Pinto	1d443531fd	Merge branch 'master' into spartan_tas	2020-06-22 11:27:43 -04:00
Pedro Pinto	40956c5335	More spartan tools.	2020-06-20 17:13:50 -04:00
Pedro Pinto	44aba08978	Tweaked build tools.	2020-06-20 17:13:29 -04:00
Pedro Pinto	9ec1c8fdae	Merge branch 'master' into spartan_tas	2020-06-16 17:05:11 -04:00
Pedro Pinto	0508858859	Better parser	2020-06-09 10:04:15 -04:00
Pedro Pinto	e840b9617f	Tweaked MD to Json parsing.	2020-06-05 08:22:24 -04:00
Pedro Pinto	19ee603413	Merged from master	2020-06-04 13:48:13 -04:00
Pedro Pinto	515ed5aabd	Merged with master	2020-05-19 07:07:13 -04:00
Pedro Pinto	12e068a3d1	Refactor of Spartan	2020-05-17 11:16:28 -04:00
Pedro Pinto	8268599893	TAS does not support GTC orders.	2020-05-15 09:50:38 -04:00
Pedro Pinto	6365378947	Changed TAS order to be GTC rather than DAY (since we logout).	2020-05-05 06:52:11 -04:00
Pedro Pinto	78d238fdfb	Ran clang-format on ICEExecutionGateway.cpp	2020-05-04 09:33:40 -04:00
Pedro Pinto	d90fa1a1e8	Launched regular spark after TAS is concluded.	2020-05-01 07:41:23 -04:00
Pedro Pinto	3e817d4fb0	Refactor	2020-04-29 13:16:16 -04:00
Pedro Pinto	aa6d453d5b	Added spread support to TAS algo.	2020-04-23 07:18:00 -04:00
Pedro Pinto	112c78e50b	Moved ouput messages to log.	2020-04-23 06:48:08 -04:00
Pedro Pinto	41ec7fb668	Updated linux	2020-04-22 14:13:01 -04:00
Pedro Pinto	b19bf2fd26	Added channel handling to TAS.	2020-04-22 14:09:12 -04:00
Pedro Pinto	c5f7477521	Fixed bug in admin reafactoring.	2020-04-22 14:05:51 -04:00
Pedro Pinto	14323e7964	Code complete on TAS.	2020-04-20 08:54:24 -04:00
Pedro Pinto	39db9b1bd7	Factored storage/retrieval of admin data out of service.	2020-04-17 18:37:05 -04:00
Pedro Pinto	991a199d06	TAS utils refactor.	2020-04-14 11:46:53 -04:00
Pedro Pinto	9d045f65d2	Some progress on TAS.	2020-04-13 07:40:58 -04:00
Pedro Pinto	1c0cd176a1	Moved externals pointer	2020-04-09 08:35:10 -04:00
Pedro Pinto	1018ae387a	Added preliminary tas utilities	2020-04-08 15:53:17 -04:00

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