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Author SHA1 Message Date
johncolvin-og ea4e599ac6 fix build: Fix a few path errors in publish target 2023-05-31 21:59:51 -04:00
260 changed files with 1884 additions and 6089 deletions

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-129
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@@ -1,129 +0,0 @@
FROM ubuntu:22.04
ARG DEBIAN_FRONTEND=noninteractive
# Note installations that take a while (more than 10s)
RUN apt-get update
RUN apt-get install -y ca-certificates
RUN apt-get install -y ccache
RUN apt-get install -y curl
RUN apt-get install -y fish
RUN apt-get install -y gdb
# git-all: ~250s
RUN apt-get install -y git-all
RUN apt-get install -y gnupg
# liblttng-ust-dev: ~30s
RUN apt-get install -y liblttng-ust-dev
RUN apt-get install -y libssh2-1-dev
RUN apt-get install -y locales
RUN apt-get install -y ninja-build
# openssh-server: ~40s
RUN apt-get install -y openssh-server
RUN apt-get install -y pkg-config
RUN apt-get install -y software-properties-common
RUN apt-get install -y sudo
RUN apt-get install -y tzdata
RUN apt-get install -y vim
RUN apt-get install -y zip
# Python: ~30s
RUN apt-get install -y \
python3-pip \
python3-venv \
&& python3 -m pip install --upgrade pip
# GCC
ARG gcc_major=13
RUN \
add-apt-repository ppa:ubuntu-toolchain-r/test \
&& apt-get update \
&& apt-get install -y g++-$gcc_major
# Clang
ARG clang_major=17
RUN \
curl -fsSL https://apt.llvm.org/llvm-snapshot.gpg.key 2> /dev/null \
| gpg --dearmor - \
| tee /usr/share/keyrings/llvm-snapshot.gpg > /dev/null \
&& echo "deb [signed-by=/usr/share/keyrings/llvm-snapshot.gpg] http://apt.llvm.org/$(lsb_release -cs)/ llvm-toolchain-$(lsb_release -cs)-$clang_major main" \
| tee -a "/etc/apt/sources.list.d/llvm.list" \
&& apt-get update \
&& apt-get install -y \
clang-$clang_major \
clang-format-$clang_major \
clangd-$clang_major
# CMake
RUN \
curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc 2> /dev/null \
| gpg --dearmor - \
| tee /usr/share/keyrings/kitware-archive-keyring.gpg > /dev/null \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
| tee /etc/apt/sources.list.d/kitware.list > /dev/null \
&& apt-get update \
&& apt-get install -y cmake
# Dotnet
RUN apt-get update && apt-get install -y dotnet7
# Node
ARG node_major=18
RUN mkdir -p /etc/apt/keyrings \
&& curl -fsSL https://deb.nodesource.com/gpgkey/nodesource-repo.gpg.key \
| gpg --dearmor -o /etc/apt/keyrings/nodesource.gpg \
&& echo "deb [signed-by=/etc/apt/keyrings/nodesource.gpg] https://deb.nodesource.com/node_$node_major.x nodistro main" \
| tee /etc/apt/sources.list.d/nodesource.list \
&& apt-get update \
&& apt-get install -y nodejs
# Emumba (deps)
RUN apt-get update && apt-get -y install rapidjson-dev
# Emumba
COPY emumba /emumba
RUN dpkg -i /emumba/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb \
&& rm -r /emumba
# Pcap
RUN apt-get update && apt-get install -y libpcap0.8-dev
RUN apt-get update && apt-get install -y \
docker.io \
docker-compose \
docker-compose-v2
# Set up default executables (update-alternatives)
RUN \
update-alternatives --install /usr/bin/clang clang /usr/bin/clang-$clang_major 100; \
update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-$clang_major 100; \
update-alternatives --install /usr/bin/clang-format clang-format /usr/bin/clang-format-$clang_major 100; \
update-alternatives --install /usr/bin/clangd clangd /usr/bin/clangd-$clang_major 100; \
update-alternatives --install /usr/bin/gcc gcc /usr/bin/gcc-$gcc_major 100; \
update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-$gcc_major 100
# Add compiler symlinks for ccache
RUN \
ln -s /usr/bin/ccache /usr/local/bin/clang; \
ln -s /usr/bin/ccache /usr/local/bin/clang++; \
ln -s /usr/bin/ccache /usr/local/bin/clang-$clang_major; \
ln -s /usr/bin/ccache /usr/local/bin/clang++-$clang_major; \
ln -s /usr/bin/ccache /usr/local/bin/gcc; \
ln -s /usr/bin/ccache /usr/local/bin/g++
RUN locale-gen en_US.UTF-8
ARG docker_user="bts"
ARG docker_uid="1000"
ARG docker_pass="bts"
RUN \
groupadd -g "$docker_uid" "$docker_user" \
&& useradd \
-m \
-u "$docker_uid" \
-g "$docker_uid" \
-G sudo \
--password "$(openssl passwd -1 "$docker_pass")" \
"$docker_user"
RUN usermod -aG docker "$docker_user"
-43
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@@ -1,43 +0,0 @@
{
"dockerFile": "Dockerfile",
// Creates local dir to mount to HOME in docker
"initializeCommand": "mkdir -p ${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId}",
"hostRequirements": {
"memory": "4gb",
"storage": "6gb"
},
"postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
"containerUser": "bts",
"workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
"workspaceFolder": "/home/bts/spark",
"updateRemoteUserUID": true,
"shutdownAction": "none",
// Note: If running multiple containers on the same host, each must use a
// unique set of ports. Usually we just add 1000 to each port as needed. For
// example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
"runArgs": [
"--shm-size",
"2gb",
"--network",
"host"
],
"mounts": [
"source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind",
"source=/var/run/docker.sock,target=/var/run/docker.sock,type=bind"
],
"customizations": {
"vscode": {
"settings": {
"clangd.arguments": [
"--compile-commands-dir=${workspaceFolder}/build/clang/debug"
]
},
"extensions": [
"eamodio.gitlens",
"llvm-vs-code-extensions.vscode-clangd",
"ms-vscode.cmake-tools",
"ms-vscode.cpptools"
]
}
}
}
@@ -1,4 +0,0 @@
#!/usr/bin/env bash
this_dir="$(realpath "$(dirname "$(readlink -f "${BASH_SOURCE[0]}")")")"
sudo dpkg -i "$this_dir/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb"
-4
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@@ -1,4 +0,0 @@
*.cmd text=auto eol=crlf
*.cs text=auto eol=crlf
*.sh text=auto eol=lf
*.py text=auto eol=lf
+1 -2
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@@ -42,7 +42,7 @@ trace_data/
/.ignore
*.rej
.clangd/
*CMakeDeps*.cmake
*CMakeDeps.cmake
/sniper.ipynb
/src/.clang-format
/src/server/sparkd/cmds/spartan/analysis/.ipynb_checkpoints
@@ -51,4 +51,3 @@ trace_data/
/.venv*/*
.cache/
src/web/api/tsconfig.*.g.json
**/.devcontainer
+7 -4
View File
@@ -1,6 +1,9 @@
[submodule "externals"]
path = externals
url = https://bitbucket.org/bluetradesys/externals.git
[submodule "vcpkg"]
path = vcpkg
url = https://github.com/microsoft/vcpkg.git
url = git@bitbucket.org:bluetradesys/externals.git
[submodule "docker/linux"]
path = docker/linux
url = git@bitbucket.org:bluetradesys/linux_docker.git
[submodule "docker/windows"]
path = docker/windows
url = git@bitbucket.org:bluetradesys/windows_docker.git
+37 -23
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@@ -1,6 +1,5 @@
cmake_minimum_required(VERSION 3.12)
project(spark)
set(CMAKE_CXX_STANDARD 20)
if(WIN32)
set(platform "windows")
@@ -14,24 +13,16 @@ set(
CACHE
STRING
"External dependencies root folder (should contain folders: lib, bin, include")
set(EXTERNALS_BIN "${EXTERNALS_ROOT}/bin")
set(EXTERNALS_INCLUDE "${EXTERNALS_ROOT}/include")
set(EXTERNALS_LIB "${EXTERNALS_ROOT}/lib/$<CONFIG>")
set(BUILD_DOCS OFF CACHE BOOL "Build documentation")
set(SPARK_PYTHON "${EXTERNALS_ROOT}/python")
set(SPARK_BIN "${EXTERNALS_ROOT}/bin")
set(SPARK_INCLUDE "${EXTERNALS_ROOT}/include")
set(SPARK_LIB "${EXTERNALS_ROOT}/lib/${CMAKE_BUILD_TYPE}")
set(BUILD_SDK OFF CACHE BOOL "Build the sdk")
set(EXPORT_MD_CONSUMER OFF CACHE BOOL "Export (extern) C functions for MD consumer interop")
if (WIN32)
set(BUILD_SPARKD OFF CACHE BOOL "Build sparkd")
set(BUILD_WEB OFF CACHE BOOL "Build the web server")
else()
set(BUILD_SPARKD ON CACHE BOOL "Build sparkd")
set(BUILD_WEB ON CACHE BOOL "Build the web server")
endif()
set(BUILD_WEB ON CACHE BOOL "Build the web server")
include_directories(BEFORE SYSTEM ${EXTERNALS_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
link_directories(${EXTERNALS_LIB})
include_directories(BEFORE SYSTEM ${SPARK_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
link_directories(${SPARK_LIB})
add_compile_definitions(EXPORT_MD_CONSUMER="${EXPORT_MD_CONSUMER}")
if(WIN32)
# flags
set(
@@ -59,6 +50,10 @@ if(WIN32)
# subdirs
add_subdirectory(src/lib)
else()
# make sparkd look for libspark.so in its directory
set(CMAKE_BUILD_WITH_INSTALL_RPATH TRUE)
set(CMAKE_INSTALL_RPATH ".")
set(CMAKE_INSTALL_PREFIX "${CMAKE_SOURCE_DIR}/install/${CMAKE_BUILD_TYPE}/sparkd")
add_compile_definitions(SPARK_ENABLE_CCAPI)
add_compile_definitions(CCAPI_ENABLE_SERVICE_MARKET_DATA)
add_compile_definitions(CCAPI_ENABLE_EXCHANGE_FTX)
@@ -82,18 +77,37 @@ else()
set(CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
# subdirs
if (BUILD_SPARKD)
add_subdirectory(src/server/sparkd)
add_subdirectory(src/data_files)
endif()
add_subdirectory(src/server/sparkd)
add_subdirectory(src/lib)
if (BUILD_WEB)
add_subdirectory(src/web)
endif()
if(BUILD_DOCS)
add_subdirectory(doc/user)
endif()
add_subdirectory(doc/user)
if(BUILD_SDK)
add_subdirectory(src/sdk)
endif()
add_subdirectory(src/data_files)
add_custom_command(
OUTPUT ${CMAKE_BINARY_DIR}/server
COMMAND mkdir -p ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/server/sparkd/sparkd ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/web ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
COMMAND
ln ARGS -sf
${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0
${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
COMMENT "Creating server runtime layout"
DEPENDS sparkd data_files_dir)
add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
install(DIRECTORY "${CMAKE_BINARY_DIR}/server/plugins" DESTINATION bin)
install(FILES "${CMAKE_SOURCE_DIR}/externals/linux/lib/${CMAKE_BUILD_TYPE}/libACE-5.7.5.so" DESTINATION bin)
install(FILES "${CMAKE_SOURCE_DIR}/externals/linux/lib/${CMAKE_BUILD_TYPE}/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0" DESTINATION bin)
install(FILES "${CMAKE_SOURCE_DIR}/externals/src/emumba/sparkd.lic" DESTINATION bin)
endif()
-216
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@@ -1,216 +0,0 @@
{
"version": 4,
"cmakeMinimumRequired": {
"major": 3,
"minor": 23,
"patch": 0
},
"configurePresets": [
{
"name": "spark",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Windows"
},
"generator": "Visual Studio 17 2022",
"binaryDir": "${sourceDir}/build/${presetName}",
"environment": {
"SPARK_CMAKE_CXX_FLAGS": "/MP /WX /wd4250 /wd4251 /wd4244 /wd4267 /wd4355 /wd4275 /wd4345 /bigobj /EHsc /DCURL_STATICLIB /D_WINSOCK_DEPRECATED_NO_WARNINGS /D__TBB_NO_IMPLICIT_LINKAGE /DBOOST_ALL_NO_LIB /std:c++20 /D_SCL_SECURE_NO_WARNINGS /D_CRT_SECURE_NO_WARNINGS /D_WIN32_WINNT=0x0600"
},
"cacheVariables": {
"CMAKE_CXX_FLAGS": "$env{SPARK_CMAKE_CXX_FLAGS}",
"CMAKE_CXX_FLAGS_DEBUG": "$env{SPARK_CMAKE_CXX_FLAGS} /MTd",
"CMAKE_CXX_FLAGS_RELEASE": "$env{SPARK_CMAKE_CXX_FLAGS} /MT",
"CMAKE_CXX_STANDARD": "20",
"CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
"CMAKE_SHARED_LINKER_FLAGS_DEBUG": "/DEBUG",
"CMAKE_SHARED_LINKER_FLAGS_RELEASE": "/OPT:REF /OPT:ICF /LTCG",
"CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
"EXTERNALS_ROOT": "${sourceDir}/externals/windows",
"CONFIG_DEFAULTS_PATH": "config/defaults/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0;${sourceDir}/build/$<CONFIG>/bin/net7.0-windows",
"EXPORT_MD_CONSUMER": {
"type": "BOOL",
"value": "ON"
}
}
},
{
"name": "sparkd",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Linux"
},
"hidden": true,
"generator": "Ninja",
"binaryDir": "${sourceDir}/build/${presetName}",
"cacheVariables": {
"platform": "",
"CMAKE_CXX_STANDARD": "20",
"CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
"CMAKE_EXE_LINKER_FLAGS": "-Wno-undef",
"CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
"CONFIG_DEFAULTS_PATH": "config/defaults/*.conf",
"EXTERNALS_ROOT": "${sourceDir}/externals/linux",
"BUILD_SDK": {
"type": "BOOL",
"value": "OFF"
},
"BUILD_WEB": {
"type": "BOOL",
"value": "ON"
}
}
},
{
"name": "sparkd-debug",
"inherits": "sparkd",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Debug",
"CMAKE_EXPORT_COMPILE_COMMANDS": {
"type": "BOOL",
"value": "ON"
},
"CCAPI_LOG_LEVEL": "Info"
}
},
{
"name": "sparkd-release",
"inherits": "sparkd",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Release",
"CCAPI_LOG_LEVEL": "Warn"
}
},
{
"name": "sparkd-debug-clang",
"inherits": "sparkd-debug",
"displayName": "Sparkd (Debug | Clang)",
"description": "Debug build compiled w/ clang",
"cacheVariables": {
"CMAKE_C_COMPILER": "clang",
"CMAKE_CXX_COMPILER": "clang++",
"CMAKE_CXX_FLAGS_DEBUG": "-g -fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -DDEBUG"
}
},
{
"name": "sparkd-debug-gcc",
"inherits": "sparkd-debug",
"displayName": "Sparkd (Debug | Gcc)",
"description": "Debug build compiled w/ gcc",
"cacheVariables": {
"CMAKE_C_COMPILER": "gcc",
"CMAKE_CXX_COMPILER": "g++",
"CMAKE_CXX_FLAGS_DEBUG": "-g -fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -Wno-stringop-overread -DDEBUG"
}
},
{
"name": "sparkd-release-clang",
"inherits": "sparkd-release",
"displayName": "Sparkd (Release | Clang)",
"description": "Release build compiled w/ clang",
"cacheVariables": {
"CMAKE_C_COMPILER": "clang",
"CMAKE_CXX_COMPILER": "clang++",
"CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -fno-omit-frame-pointer -DNDEBUG -O3"
}
},
{
"name": "sparkd-release-gcc",
"inherits": "sparkd-release",
"displayName": "Sparkd (Release | Gcc)",
"description": "Release build compiled w/ gcc",
"cacheVariables": {
"CMAKE_C_COMPILER": "gcc",
"CMAKE_CXX_COMPILER": "g++",
"CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers -Wno-stringop-overflow --std=c++20 -fdiagnostics-color -Wno-stringop-overread -Wno-maybe-uninitialized -fno-omit-frame-pointer -DNDEBUG -O3"
}
}
],
"buildPresets": [
{
"name": "spark",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Windows"
},
"hidden": true
},
{
"name": "spark-debug",
"displayName": "Spark (Debug)",
"inherits": "spark",
"configurePreset": "spark",
"configuration": "Debug"
},
{
"name": "spark-release",
"displayName": "Spark (Release)",
"inherits": "spark",
"configurePreset": "spark",
"configuration": "Release"
},
{
"name": "sparkd",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Linux"
},
"hidden": true
},
{
"name": "sparkd-debug-clang",
"configurePreset": "sparkd-debug-clang",
"displayName": "Sparkd (Debug | Clang)",
"inherits": "sparkd"
},
{
"name": "sparkd-debug-clang-j6",
"configurePreset": "sparkd-debug-clang",
"displayName": "Sparkd (Debug | Clang | jobs=6)",
"inherits": "sparkd",
"jobs": 6
},
{
"name": "sparkd-debug-gcc",
"configurePreset": "sparkd-debug-gcc",
"displayName": "Sparkd (Debug | Gcc)",
"inherits": "sparkd"
},
{
"name": "sparkd-release-clang",
"configurePreset": "sparkd-release-clang",
"displayName": "Sparkd (Release | Clang)",
"inherits": "sparkd"
},
{
"name": "sparkd-release-gcc",
"configurePreset": "sparkd-release-gcc",
"displayName": "Sparkd (Release | Gcc)",
"inherits": "sparkd"
}
]
}
-39
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@@ -1,39 +0,0 @@
include(${CMAKE_SOURCE_DIR}/cmake/PackBasic.cmake)
include(GNUInstallDirs)
function(install_basic)
set(_options)
set(_one_value_args)
set(_multi_value_args HEADERS)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
if (_ARGS_HEADERS)
set(${PROJECT_NAME}_HEADERS ${_ARGS_HEADERS})
else()
file(
GLOB_RECURSE ${PROJECT_NAME}_HEADERS
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
*.h
)
endif()
target_sources(${PROJECT_NAME}
PUBLIC
FILE_SET HEADERS FILES ${${PROJECT_NAME}_HEADERS})
install(
TARGETS ${PROJECT_NAME}
EXPORT ${PROJECT_NAME}Targets
RUNTIME DESTINATION ${CMAKE_INSTALL_BINDIR}
LIBRARY DESTINATION ${CMAKE_INSTALL_LIBDIR}
ARCHIVE DESTINATION ${CMAKE_INSTALL_LIBDIR}
FILE_SET HEADERS DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}
)
install(
EXPORT ${PROJECT_NAME}Targets
FILE ${PROJECT_NAME}Targets.cmake
NAMESPACE ${PROJECT_NAME}::
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${PROJECT_NAME})
pack_basic()
endfunction()
-36
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@@ -1,36 +0,0 @@
include(CMakePackageConfigHelpers)
function(pack_basic)
find_package(Git QUIET)
if(GIT_FOUND)
execute_process(
COMMAND ${GIT_EXECUTABLE} describe --tags --always --dirty
WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
OUTPUT_VARIABLE PROJECT_VERSION
OUTPUT_STRIP_TRAILING_WHITESPACE
)
endif()
if(NOT GIT_FOUND OR PROJECT_VERSION STREQUAL "")
set(PROJECT_VERSION "0.0.0")
endif()
write_basic_package_version_file(
"${CMAKE_CURRENT_BINARY_DIR}/${PROJECT_NAME}ConfigVersion.cmake"
VERSION ${PROJECT_VERSION}
COMPATIBILITY AnyNewerVersion
)
configure_package_config_file(
"${CMAKE_CURRENT_SOURCE_DIR}/Config.cmake.in"
"${CMAKE_CURRENT_BINARY_DIR}/${PROJECT_NAME}Config.cmake"
INSTALL_DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${PROJECT_NAME}
)
install(
FILES
"${CMAKE_CURRENT_BINARY_DIR}/${PROJECT_NAME}Config.cmake"
"${CMAKE_CURRENT_BINARY_DIR}/${PROJECT_NAME}ConfigVersion.cmake"
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${PROJECT_NAME})
endfunction()
-12
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@@ -1,12 +0,0 @@
function(print_list var)
set(CMAKE_MESSAGE_INDENT "")
set(_var_str "")
foreach(item IN LISTS ${var})
set(_var_str "${_var_str}\n ${item}")
endforeach()
if ("${ARGN}" STREQUAL "VERBOSE")
message(VERBOSE "***${var}:${_var_str}")
else()
message("***${var}:${_var_str}")
endif()
endfunction()
+2 -2
View File
@@ -1,5 +1,5 @@
set(Protobuf_PROTOC_EXECUTABLE "${EXTERNALS_BIN}/protoc")
set(PROTOBUF_INCLUDE_DIRS "${EXTERNALS_INCLUDE}")
set(Protobuf_PROTOC_EXECUTABLE "${SPARK_BIN}/protoc")
set(PROTOBUF_INCLUDE_DIRS "${SPARK_INCLUDE}")
set(PROTOBUF_STATIC_LIB "libprotobuf")
function(Protobuf_Generate_Cpp SRCS HDRS)
Submodule
+1
Submodule docker/linux added at 6537812262.
-141
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@@ -1,141 +0,0 @@
FROM ubuntu:latest
ARG DEBIAN_FRONTEND=noninteractive
ENV TZ=America/New_York
# light deps (should be quick to download/install)
RUN apt-get update && apt-get install -y \
ca-certificates \
curl \
gnupg \
liblttng-ust-dev \
libpcap0.8-dev \
locales \
ninja-build \
software-properties-common \
sqlite3 \
tzdata
# clang
RUN apt-get update && apt-get install -y \
clang-13 \
clang-format-13 \
clangd-13 \
clang-15 \
clang-format-15 \
clangd-15
# g++
RUN apt-get update && apt-get install -y \
g++-11 \
g++-12
# python
RUN apt-get update && apt-get install -y \
python3-pip \
python3-venv \
&& python3 -m pip install --upgrade pip
# dotnet
RUN apt-get update && apt-get install -y \
dotnet7
# ssh
RUN apt-get update && apt-get install -y \
libssh2-1-dev \
openssh-server
# cmake
RUN \
curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc 2> /dev/null \
| gpg --dearmor - \
| tee /usr/share/keyrings/kitware-archive-keyring.gpg > /dev/null \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
| tee /etc/apt/sources.list.d/kitware.list > /dev/null \
&& apt-get update \
&& rm /usr/share/keyrings/kitware-archive-keyring.gpg \
&& apt-get install -y kitware-archive-keyring \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs)-rc main" \
| tee -a /etc/apt/sources.list.d/kitware.list >/dev/null \
&& apt-get install -y cmake
# node
ARG node_major=18
RUN mkdir -p /etc/apt/keyrings \
&& curl -fsSL https://deb.nodesource.com/gpgkey/nodesource-repo.gpg.key \
| gpg --dearmor -o /etc/apt/keyrings/nodesource.gpg \
&& echo "deb [signed-by=/etc/apt/keyrings/nodesource.gpg] https://deb.nodesource.com/node_$node_major.x nodistro main" \
| tee /etc/apt/sources.list.d/nodesource.list \
&& apt-get update \
&& apt-get install -y nodejs
# ccache is done here so that ccache sees clang++ installed, not clang-10
RUN apt-get update && apt-get install -y \
ccache
# emumba (light deps)
RUN apt-get update && apt-get install -y \
build-essential \
doxygen \
python3-sphinx \
graphviz \
libgtest-dev \
libssl-dev \
rapidjson-dev \
zlib1g-dev \
pkg-config
# emumba (boost)
RUN apt-get update && apt-get install -y \
libboost-filesystem-dev \
libboost-program-options-dev \
libboost-test-dev \
libboost-date-time-dev
# dev utils
RUN apt-get update && apt-get install -y \
fish \
git-all \
sudo \
vim \
wget
# set up default executables (update-alternatives)
RUN \
update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-13 100; \
update-alternatives --install /usr/bin/clang clang /usr/bin/clang-13 100; \
update-alternatives --install /usr/bin/clang-format clang-format /usr/bin/clang-format-13 100; \
update-alternatives --install /usr/bin/clangd clangd /usr/bin/clangd-13 100; \
update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-11 100; \
update-alternatives --install /usr/bin/gcc gcc /usr/bin/gcc-11 100
# Add compiler symlinks for ccache
RUN \
ln -s /usr/bin/ccache /usr/local/bin/clang; \
ln -s /usr/bin/ccache /usr/local/bin/clang++; \
ln -s /usr/bin/ccache /usr/local/bin/clang-13; \
ln -s /usr/bin/ccache /usr/local/bin/clang++-13; \
ln -s /usr/bin/ccache /usr/local/bin/clang-15; \
ln -s /usr/bin/ccache /usr/local/bin/clang++-15; \
ln -s /usr/bin/ccache /usr/local/bin/gcc; \
ln -s /usr/bin/ccache /usr/local/bin/g++; \
ln -s /usr/bin/ccache /usr/local/bin/gcc-11; \
ln -s /usr/bin/ccache /usr/local/bin/g++-11; \
ln -s /usr/bin/ccache /usr/local/bin/gcc-12; \
ln -s /usr/bin/ccache /usr/local/bin/g++-12
RUN locale-gen en_US.UTF-8
ARG docker_user="bts"
ARG docker_uid="1000"
ARG docker_pass="bts"
RUN \
groupadd -g "$docker_uid" "$docker_user" \
&& useradd \
-m \
-u "$docker_uid" \
-g "$docker_uid" \
-G sudo \
--password "$(openssl passwd -1 "$docker_pass")" \
"$docker_user"
-64
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@@ -1,64 +0,0 @@
[dev containers]: https://code.visualstudio.com/docs/devcontainers/containers
[dev containers ext]: https://marketplace.visualstudio.com/items?itemName=ms-vscode-remote.remote-containers
[docker repo sparkd-dev]: https://hub.docker.com/repository/docker/bluetradingsystems/sparkd-dev/general
# Sparkd Dev Container
## How to create a VS Code [Dev Container][dev containers]
1. Make sure the **[Dev Containers][dev containers ext]** extension is installed
1. Make sure your Docker image is up to date
```
docker pull bluetradingsystems/sparkd-dev:latest
```
1. Copy **devcontainer.json** from this folder to **$workspaceFolder/.devcontainer/**.
1. In the VS Code Command Palette, run **Dev Containers: Reopen in Container**
---
## How to create a Sparkd Container in the terminal (without VS Code)
1. Make sure your Docker image is up to date
```
docker pull bluetradingsystems/sparkd-dev:latest
```
2. Start the container
```
# Replace <cont_name> with a name for the container. The container's
# "$HOME" dir will be mounted to "$HOME/.sparkd-dev/mounts/<cont_name> on
# the host
./start_docker.sh --container <cont_name> --mount-existing
```
* *Replace <cont_name> with a name for the container*
* *The container's `$HOME` dir will be mounted to
`$HOME/.sparkd-dev/mounts<cont_name>` on the host*<br>
* *Run: `./start_docker.sh --help` to see additional options*
3. *(Optional) Attach VS Code to the running container.*<br>
Run **Dev Containers: Attach to Running Container** from the command palette,
then select your container in the dropdown
---
## How to update the Docker image
1. Change the image by modifying the Dockerfile (don't tag arbitrary
images on your machine and push them to our repo on Docker Hub)
1. After modifying the Dockerfile, (re)build the image
```
# Run in this dir
docker build -t bluetradingsystems/sparkd-dev:latest .
```
***Note:** Your docker login must have write permissions to push to the
[sparkd-dev][docker repo sparkd-dev] repository*
2. Commit the changes to Dockerfile in git
3. Push the new image to Docker Hub
```
docker push bluetradingsystems/sparkd-dev:latest
```
***Note:** The image doesn't have to be on Docker Hub, we can simply build
it from scratch on our local machines (with the Dockerfile). However, this
takes time. It is significantly quicker to download a prebuilt image, so we
store it on a remote repository to save time when setting up a new dev
machine.*
-123
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@@ -1,123 +0,0 @@
# ~/.bashrc: executed by bash(1) for non-login shells.
# see /usr/share/doc/bash/examples/startup-files (in the package bash-doc)
# for examples
# If not running interactively, don't do anything
case $- in
*i*) ;;
*) return;;
esac
# don't put duplicate lines or lines starting with space in the history.
# See bash(1) for more options
HISTCONTROL=ignoreboth
# append to the history file, don't overwrite it
shopt -s histappend
# for setting history length see HISTSIZE and HISTFILESIZE in bash(1)
HISTSIZE=1000
HISTFILESIZE=2000
# check the window size after each command and, if necessary,
# update the values of LINES and COLUMNS.
shopt -s checkwinsize
# If set, the pattern "**" used in a pathname expansion context will
# match all files and zero or more directories and subdirectories.
#shopt -s globstar
# make less more friendly for non-text input files, see lesspipe(1)
[ -x /usr/bin/lesspipe ] && eval "$(SHELL=/bin/sh lesspipe)"
# set variable identifying the chroot you work in (used in the prompt below)
if [ -z "${debian_chroot:-}" ] && [ -r /etc/debian_chroot ]; then
debian_chroot=$(cat /etc/debian_chroot)
fi
# set a fancy prompt (non-color, unless we know we "want" color)
case "$TERM" in
xterm-color|*-256color) color_prompt=yes;;
esac
# uncomment for a colored prompt, if the terminal has the capability; turned
# off by default to not distract the user: the focus in a terminal window
# should be on the output of commands, not on the prompt
#force_color_prompt=yes
if [ -n "$force_color_prompt" ]; then
if [ -x /usr/bin/tput ] && tput setaf 1 >&/dev/null; then
# We have color support; assume it's compliant with Ecma-48
# (ISO/IEC-6429). (Lack of such support is extremely rare, and such
# a case would tend to support setf rather than setaf.)
color_prompt=yes
else
color_prompt=
fi
fi
if [ "$color_prompt" = yes ]; then
PS1='${debian_chroot:+($debian_chroot)}\[\033[01;32m\]\u@\h\[\033[00m\]:\[\033[01;34m\]\w\[\033[00m\]\$ '
else
PS1='${debian_chroot:+($debian_chroot)}\u@\h:\w\$ '
fi
unset color_prompt force_color_prompt
# If this is an xterm set the title to user@host:dir
case "$TERM" in
xterm*|rxvt*)
PS1="\[\e]0;${debian_chroot:+($debian_chroot)}\u@\h: \w\a\]$PS1"
;;
*)
;;
esac
# enable color support of ls and also add handy aliases
if [ -x /usr/bin/dircolors ]; then
test -r ~/.dircolors && eval "$(dircolors -b ~/.dircolors)" || eval "$(dircolors -b)"
alias ls='ls --color=auto'
#alias dir='dir --color=auto'
#alias vdir='vdir --color=auto'
alias grep='grep --color=auto'
alias fgrep='fgrep --color=auto'
alias egrep='egrep --color=auto'
fi
# colored GCC warnings and errors
#export GCC_COLORS='error=01;31:warning=01;35:note=01;36:caret=01;32:locus=01:quote=01'
# some more ls aliases
alias ll='ls -alF'
alias la='ls -A'
alias l='ls -CF'
# Add an "alert" alias for long running commands. Use like so:
# sleep 10; alert
alias alert='notify-send --urgency=low -i "$([ $? = 0 ] && echo terminal || echo error)" "$(history|tail -n1|sed -e '\''s/^\s*[0-9]\+\s*//;s/[;&|]\s*alert$//'\'')"'
# Alias definitions.
# You may want to put all your additions into a separate file like
# ~/.bash_aliases, instead of adding them here directly.
# See /usr/share/doc/bash-doc/examples in the bash-doc package.
if [ -f ~/.bash_aliases ]; then
. ~/.bash_aliases
fi
# enable programmable completion features (you don't need to enable
# this, if it's already enabled in /etc/bash.bashrc and /etc/profile
# sources /etc/bash.bashrc).
if ! shopt -oq posix; then
if [ -f /usr/share/bash-completion/bash_completion ]; then
. /usr/share/bash-completion/bash_completion
elif [ -f /etc/bash_completion ]; then
. /etc/bash_completion
fi
fi
if [[ ! -v XDG_CONFIG_HOME ]]; then
export XDG_CONFIG_HOME="$HOME/.config"
fi
export PATH="$HOME/.local/bin:$PATH"
-25
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@@ -1,25 +0,0 @@
if ! set -q XDG_CONFIG_HOME
set -g XDG_CONFIG_HOME "$HOME/.config"
end
set fish_config_home $XDG_CONFIG_HOME/fish
if test -f "$fish_config_home/aliases.fish"
source "$fish_config_home/aliases.fish"
end
# enable general colors and case insensitive search in 'less'
set -x LESS "$LESS -R -Q -I"
set -x LC_ALL en_US.UTF-8
# enable syntax highlighting in 'less'
# set highlight color scheme in 'less' (fg)(bg)
set -g LESS_TERMCAP_md (tput bold)(tput setaf 36)
set -g LESS_TERMCAP_me (tput sgr0)
set -g LESS_TERMCAP_so (tput setaf 232)(tput setab 49)
set -q TERM
if test $status != 0; or test $TERM = 'xterm'
set -g TERM 'xterm-256color'
end
# Fix impossible-to-see navy blue command text color
set fish_color_command F8F8F2
set -g PATH "$HOME/.local/bin" "$PATH"
-33
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@@ -1,33 +0,0 @@
{
"image": "bluetradingsystems/sparkd-dev:latest",
// Creates local dir to mount to HOME in docker
"initializeCommand": "mkdir -p ${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId}",
"hostRequirements": {
"memory": "4gb",
"storage": "6gb"
},
"postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
"containerUser": "bts",
"workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
"workspaceFolder": "/home/bts/spark",
"updateRemoteUserUID": true,
"shutdownAction": "none",
// Note: If running multiple containers on the same host, each must use a
// unique set of ports. Usually we just add 1000 to each port as needed. For
// example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
"runArgs": [
"--shm-size",
"2gb",
"-p",
"8000:8000",
"-p",
"8001:8001",
"-p",
"8002:8002",
"-p",
"8003:8003"
],
"mounts": [
"source=${localEnv:HOME}/.bts/devcontainer-mounts/${devcontainerId},target=/home/bts,type=bind"
]
}
@@ -1,33 +0,0 @@
#!/usr/bin/env bash
this_dir="$(realpath "$(dirname "${BASH_SOURCE[0]}")")"
repo_dir="$(cd "$this_dir" && git rev-parse --show-toplevel)"
tools_dir="$repo_dir/tools"
gen_tag="GENERATED BY $(basename "${BASH_SOURCE[0]}")"
function copy_if_not_exist() {
src="$1"
dest="$2"
if [[ ! -e "$src" ]]; then
echo "Unable to copy $src to $dest. Source file doesn't exist"
exit 1
fi
if [[ ! -e "$dest" ]]; then
cp "$src" "$dest"
fi
}
# Init bashrc
echo "Initializing bashrc"
copy_if_not_exist "$this_dir/bashrc" "$HOME/.bashrc"
# Init fish config
echo "Initializing fish config"
fish_cfg_dir="$HOME/.config/fish/"
mkdir -p "$fish_cfg_dir"
exec "$tools_dir/write_tag_block.sh" \
--tag "$gen_tag" \
--replace \
--in-place \
--file "$fish_cfg_dir/config.fish" \
--text "$(cat "$this_dir/config.fish")"
-250
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@@ -1,250 +0,0 @@
#!/usr/bin/env bash
function _exit() {
if [[ "$#" -gt 1 ]]; then
# When there are multiple args, the last arg is the exit code.
echo "${@:1:($# - 1)}"
exit "${@: -1}"
fi
echo "$1"
exit 0
}
help_text="\
Add or update a user's uid
This script is intended to be run in a Docker container as a means to obtain
file permissions in mounted directories owned by the specified UID.
Usage: set_user.sh [OPTIONS] USER UID
Positionals:
USER The name of the user
Options:
--user USER The name of the user (defaults to 'bts')
--uid UID The new uid to give USER (defaults to '1000')
--group GROUP The primary group to give USER (defaults to USER)
--gid GID The primary gid to give USER (defaults to UID)
--pass PASSWORD The password to give USER (defaults to USER, only applies
if USER hasn't been created yet)
--modify-existing Update UID/GID even if USER already exists
-h,--help Print this help message and exit
"
function _add_group() {
if [[ "$#" -ne 2 ]]; then
_exit "'_add_group' requires exactly 2 args (group, gid). Received $#." 1
fi
local group="$1"
local gid="$2"
# Check if gid already exists
local existing_group=""
existing_group="$(getent group "$gid" | cut -d : -f 1)"
if [[ -n "$existing_group" ]]; then
if [[ "$existing_group" != "$group" ]]; then
echo "\
The gid '$gid' is already in use by group '$existing_group' (will not rename \
the group)"
fi
return
fi
# Check if group with same name already exists
local existing_gid=""
existing_gid="$(getent group "$group" | cut -d : -f 3)"
if [[ -n "$existing_gid" ]]; then
# The group already exists. Only modify if --modify-existing was specified.
if [[ "$modify_existing" -eq 0 ]]; then
_exit "\
The group '$group' already exists with gid '$existing_gid'.
Specify --modify-existing to change the gid anyways." 1
fi
echo "Changing gid for group '$group' from '$existing_gid' to '$gid'"
groupmod -g "$gid" "$group"
else
# The group doesn't exist. Add it
echo "Adding group '$group:$gid'"
groupadd -g "$gid" "$group"
fi
}
function _add_user() {
local user="$1"
local uid="$2"
local group="$3"
local gid="$4"
local pass="$5"
if [[ "$#" -ne 5 ]]; then
_exit "'_add_user' requires exactly 5 args (user, uid, group, gid, pass). \
Received $#." 1
fi
# Check if uid is being used by another user
local existing_user=""
existing_user="$(getent passwd "$uid" | cut -d : -f 1)"
if [[ -n "$existing_user" ]]; then
if [[ "$existing_user" != "$user" ]]; then
_exit "The uid '$uid' is already in use by user '$existing_user'." 1
fi
echo "The user '$user' already has the specified uid '$uid'."
# Modify gid if necessary
local existing_gid=""
existing_gid="$(id -g "$user" 2> /dev/null)"
if [[ "$existing_gid" = "$gid" ]]; then
echo "The user '$user' already has the specified gid '$gid'."
return
fi
if [[ "$modify_existing" -eq 0 ]]; then
_exit "\
The user '$user' is associated with the primary group '$existing_gid'.
Specify --modify-existing to change the gid anyways." 1
fi
echo "Changing primary group for '$user' from '$existing_gid' to '$gid'."
usermod -g "$gid" "$user"
return
fi
# Check if user with same name already exists
local existing_uid=""
existing_uid="$(id -u "$user" 2> /dev/null)"
if [[ -n "$existing_uid" ]]; then
if [[ "$existing_uid" = "$uid" ]]; then
_exit "The user '$user' already has the specified uid '$uid'" 0
fi
if [[ "$modify_existing" -eq 0 ]]; then
_exit "\
User '$user' already exists with uid '$existing_uid'.
Specify --modify-existing to change the uid anyways." 1
fi
echo "Changing uid for user '$user' from '$existing_uid' to '$uid'"
if ! usermod -u "$uid" -g "$gid" "$user"; then
_exit "usermod exited with code $?" 1
fi
return
fi
# The user doesn't exist. Add it
echo "Adding user '$user:$uid' (group='$group:$gid', password='$pass')"
useradd -m -u "$uid" -g "$gid" -G sudo --password "$(openssl passwd -1 "$pass")" "$user"
}
function _update_fish_dir_perms() {
local user="$1"
local uid="$2"
local gid="$3"
# When a fish shell session starts, a temp dir named '/tmp/fish.<user>' is
# created with the user's current uid/gid. If such a dir exists for the
# specified USER, make sure the uid/gid match the new values.
fish_dir="/tmp/fish.$user"
if [[ -d "$fish_dir" ]]; then
perms="$uid:$gid"
existing_perms="$(stat -c %u:%g "$fish_dir")"
if [[ "$existing_perms" != "$perms" ]]; then
echo "Changing uid:gid for dir '$fish_dir' from '$existing_perms' to '$perms'"
chown -R "$perms" "$fish_dir"
fi
fi
}
user=""
group=""
pass=""
declare -i uid=0
declare -i gid=0
declare -i modify_existing=0
while [[ $# -gt 0 ]]; do
case "$1" in
--user)
if [[ -z "$2" ]]; then
_exit "USER (--user) must be non-empty" 1
elif [[ "$2" = "root" ]]; then
_exit "USER (--user) cannot be 'root'" 1
fi
user="$2"
shift 2
;;
--group)
if [[ -z "$2" ]]; then
_exit "GROUP (--group) must be non-empty" 1
elif [[ "$2" = "root" ]]; then
_exit "GROUP (--group) cannot be 'root'" 1
fi
group="$2"
shift 2
;;
--uid)
if [[ -z "$2" ]]; then
_exit "UID (--uid) must be non-empty" 1
fi
uid="$2"
shift 2
;;
--gid)
if [[ -z "$2" ]]; then
_exit "GID (--gid) must be non-empty" 1
fi
gid="$2"
shift 2
;;
--pass)
if [[ -z "$2" ]]; then
_exit "PASS (--pass) must be non-empty" 1
fi
pass="$2"
shift 2
;;
--modify-existing)
modify_existing=1
shift 1
;;
-h)
;&
--help)
_exit "$help_text" 0
;;
*)
if [[ -z "$1" ]]; then
_exit "Invalid positional argument '$1'" 1
elif [[ -z "$user" ]]; then
user="$1"
elif [[ -z "$uid" ]]; then
uid="$1"
else
_exit "Unexpected argument '$1'" 1
fi
shift 1
;;
esac
done
if [[ -z "$user" ]]; then
user="bts"
fi
if [[ $uid -eq 0 ]]; then
uid=1000
fi
# In general, a user's primary group/gid matches the user's name/uid.
# If group/gid args weren't specified, set them to name/uid.
if [[ -z "$group" ]]; then
group="$user"
fi
if [[ $gid -eq 0 ]]; then
gid=$uid
fi
if [[ -z "$pass" ]]; then
pass="$user"
fi
_add_group "$group" "$gid"
_add_user "$user" "$uid" "$group" "$gid" "$pass"
_update_fish_dir_perms "$user" "$uid" "$gid"
-230
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#!/usr/bin/env bash
function _exit() {
if [[ "$#" -gt 1 ]]; then
# When there are multiple args, the last arg is the exit code.
echo "${@:1:($# - 1)}"
exit "${@: -1}"
fi
echo "$1"
exit 0
}
help_text="\
Start a docker dev container
Usage: start_docker.sh [OPTIONS] image container
Positionals:
image The image to instantiate
container The name for the container
Options:
-u,--user USER The user to add in the container (defaults to 'bts')
-p,--pass PASS The password for USER in the container (defaults to USER)
-i,--image IMAGE The image to instantiate (defaults to 'bluetradingsystems/sparkd-dev:latest')
-c,--container CONT The name for the container
-m,--mount MOUNT The name for the folder (outside the container) to create/mount to the home
directory in the container. Mount folders are added here: $mount_prefix
--mount-existing Mount the specified dir even if it already exists
--port <cont_port>:<host_port> OR [<cont_port>:<host_port>,...] Port mapping(s). May be
specified multiple times.
-h,--help Print this help message and exit
"
mount_prefix="$HOME/.sparkd-dev/mounts"
declare docker_user=""
declare docker_pass=""
declare image_name=""
declare cont_name=""
declare mount_name=""
declare -i mount_existing=0
declare -a port_mappings=()
while [[ $# -gt 0 ]]; do
case "$1" in
-u)
;&
--user)
if [[ -z "$2" ]]; then
_exit "User (-u,--user) must be non-empty" 1
fi
docker_user="$2"
shift 2
;;
-p)
;&
--pass)
if [[ -z "$2" ]]; then
_exit "Password (-p,--pass) must be non-empty" 1
fi
docker_pass="$2"
shift 2
;;
-i)
;&
--image)
if [[ -n "$image_name" ]]; then
_exit "Unexpected argument '$1'" 1
elif [[ -z "$2" ]]; then
_exit "Image (-i,--image) must be non-empty" 1
fi
image_name="$2"
shift 2
;;
-c)
;&
--container)
if [[ -n "$cont_name" ]]; then
_exit "Unexpected argument '$1'" 1
elif [[ -z "$2" ]]; then
_exit "Container (-c,--container) must be non-empty" 1
fi
cont_name="$2"
shift 2
;;
--port)
# Parse port(s) arg, and append the result to 'port_mappings'
# Note: port(s) may be specified in bracketed notation:
# [a:b,c:d,...,y:z]
next_ports="$(echo "$2" | sed -e 's/\[//g' -e 's/\]//g' -e 's/,/ /g')"
if [[ "${#port_mappings[@]}" -gt 0 ]]; then
next_ports=" $next_ports"
fi
port_mappings+=("$next_ports")
shift 2
;;
-m)
;&
--mount)
if [[ -z "$2" ]]; then
echo "Mount (-m,--mount) must be non-empty"
fi
mount_name="$2"
shift 2
;;
--mount-existing)
mount_existing=1
shift 1
;;
-h)
;&
--help)
_exit "$help_text" 0
;;
*)
if [[ -z "$1" ]]; then
_exit "Invalid positional argument '$1'" "$help_text" 1
elif [[ -z "$image_name" ]]; then
image_name="$1"
elif [[ -z "$cont_name" ]]; then
cont_name="$1"
else
_exit "Unexpected argument '$1'" "$help_text" 1
fi
shift 1
;;
esac
done
if [[ -z "$image_name" ]]; then
image_name="bluetradingsystems/sparkd-dev:latest"
fi
host_name="$(hostname)"
if [[ -n "$cont_name" ]]; then
host_name="$host_name.$cont_name"
fi
if [[ -z "$mount_name" ]]; then
mount_name="$cont_name"
fi
if [[ -z "$mount_name" && -z "$cont_name" ]]; then
_exit "Please specify mount (-m,--mount) and/or container (-c,--container)" 1
fi
if [[ -z "$docker_user" ]]; then
docker_user="bts"
fi
if [[ "$docker_user" = "root" ]]; then
_exit "USER (--user) cannot be 'root'" 1
fi
cont_home="/home/$docker_user"
home_src="$mount_prefix/$mount_name"
home_tgt="$cont_home"
this_dir="$(dirname "$(realpath "${BASH_SOURCE[0]}")")"
repo_src="$(cd "$this_dir" && git rev-parse --show-toplevel)"
repo_tgt="$cont_home/spark"
working_dir="$cont_home"
if [[ $mount_existing -eq 0 && -e "$home_src" ]]; then
# Don't overwrite existing dir (might be mounted in another container)
_exit "Mount dir '$home_src' already exists (use --mount-existing to mount \
an existing directory)" 1
fi
mkdir -p "$home_src"
if [[ "${#port_mappings[@]}" -eq 0 ]]; then
port_mappings=("8000:8000" "8001:8001" "8002:8002" "8003:8003")
fi
# Adapt port_mappings into args for `docker run` by prepending "-p " to each
# item
declare -a docker_port_args=()
for port_mapping in "${port_mappings[@]}"; do
docker_port_args+=("-p $port_mapping")
done
echo "Starting container '$cont_name'
image_name : $image_name
cont_name : $cont_name
home_src : $home_src
home_tgt : $home_tgt
repo_src : $repo_src
repo_tgt : $repo_tgt
working dir : $working_dir
ports : ${port_mappings[*]}
"
# DON'T wrap $docker_port_args in quotes. We want bash to split args by
# whitespace
docker run \
--net bridge \
-h "$host_name" \
-e "TZ=America/New_York" \
--cap-add=SYS_PTRACE \
--security-opt seccomp=unconfined \
--name "$cont_name" \
-v "$home_src:$home_tgt" \
-v "$repo_src:$repo_tgt" \
-w "$working_dir" \
${docker_port_args[*]} \
--shm-size=4024m \
-t \
-i \
-d \
-e DISPLAY="$DISPLAY" \
"$image_name"
# Add user w/ same uid and gid as the current user outside of docker, so the
# user inside the docker has file permissions in the mounted dir.
docker_group="$docker_user"
docker_uid="$(id -u "$USER")"
docker_gid="$(id -g "$USER")"
if [[ -z "$docker_pass" ]]; then
docker_pass="$docker_user"
fi
docker exec -u root -it "$cont_name" "$repo_tgt/docker/sparkd/dev/set_user.sh" \
--user "$docker_user" \
--uid "$docker_uid" \
--group "$docker_group" \
--gid "$docker_gid" \
--pass "$docker_pass"
# Run same script VS Code runs to initialize the container
docker exec -u "$docker_user" -it "$cont_name" "$repo_tgt/docker/sparkd/dev/devcontainer_post_create.sh"
-64
View File
@@ -1,64 +0,0 @@
#!/usr/bin/env bash
function print_help_and_exit() {
cat <<EOF
Open a shell inside the docker container
Usage: docker_shell.sh [OPTIONS] [CONTAINER]
Options:
-u,--user The user to login with in the container (defaults to the current user)
-c,--container The container name (may also be specified as positional arg)
-h,--help Print this help message and exit
EOF
exit "$1"
}
declare docker_user=""
declare cont_name=""
while [[ $# -gt 0 ]]; do
case "$1" in
-u)
;&
--user)
if [[ -z "$2" ]]; then
echo "User (-u,--user) must be non-empty"
print_help_and_exit 1
fi
docker_user="$2"
shift 2
;;
-h)
;&
--help)
print_help_and_exit 0
;;
-c)
;&
--container)
shift 1
;&
*)
if [[ ! -z "$cont_name" ]]; then
echo "Unexpected argument '$1'"
print_help_and_exit 1
fi
cont_name="$1"
shift 1
;;
esac
done
if [[ -z "$cont_name" ]]; then
echo "Please specify the container ([-c,--container])"
print_help_and_exit 1
fi
if [[ -z "$docker_user" ]]; then
docker_user="$USER"
fi
docker exec -u "$docker_user" -it "$cont_name" bash
-233
View File
@@ -1,233 +0,0 @@
#!/usr/bin/env bash
mount_prefix="$HOME/.spark-dev/mounts"
function print_help_and_exit() {
cat <<EOF
Start a docker dev container
Usage: start_docker.sh [OPTIONS] image container
Positionals:
image The image to instantiate
container The name for the container
Options:
-u,--user USER The user to add in the container (defaults to the current user)
-p,--pass PASS The password for USER in the container (defaults to USER)
-i,--image IMAGE The image to instantiate
-c,--container CONT The name for the container
-m,--mount MOUNT The name for the folder (outside the container) to create/mount to the home
directory in the container. Mount folders are added here: $mount_prefix
--mount-existing Mount the specified dir even if it already exists
--port <cont_port>:<host_port> OR [<cont_port>:<host_port>,...] Port mapping(s). May be
specified multiple times.
-h,--help Print this help message and exit
EOF
exit "$1"
}
declare docker_user=""
declare docker_pass=""
declare image_name=""
declare cont_name=""
declare mount_name=""
declare -i mount_existing=0
declare -a port_mappings=()
while [[ $# -gt 0 ]]; do
case "$1" in
-u)
;&
--user)
if [[ -z "$2" ]]; then
echo "User (-u,--user) must be non-empty"
print_help_and_exit 1
fi
docker_user="$2"
shift 2
;;
-p)
;&
--pass)
if [[ -z "$2" ]]; then
echo "Password (-p,--pass) must be non-empty"
print_help_and_exit 1
fi
docker_pass="$2"
shift 2
;;
-i)
;&
--image)
if [[ -n "$image_name" ]]; then
echo "Unexpected argument '$1'"
print_help_and_exit 1
elif [[ -z "$2" ]]; then
echo "Image (-i,--image) must be non-empty"
print_help_and_exit 1
fi
image_name="$2"
shift 2
;;
-c)
;&
--container)
if [[ -n "$cont_name" ]]; then
echo "Unexpected argument '$1'"
print_help_and_exit 1
elif [[ -z "$2" ]]; then
echo "Container (-c,--container) must be non-empty"
print_help_and_exit 1
fi
cont_name="$2"
shift 2
;;
--port)
# Parse port(s) arg, and append the result to 'port_mappings'
# Note: port(s) may be specified in bracketed notation:
# [a:b,c:d,...,y:z]
next_ports="$(echo "$2" | sed -e 's/\[//g' -e 's/\]//g' -e 's/,/ /g')"
if [[ "${#port_mappings[@]}" -gt 0 ]]; then
next_ports=" $next_ports"
fi
port_mappings+=("$next_ports")
shift 2
;;
-m)
;&
--mount)
if [[ -z "$2" ]]; then
echo "Mount (-m,--mount) must be non-empty"
fi
mount_name="$2"
shift 2
;;
--mount-existing)
mount_existing=1
shift 1
;;
-h)
;&
--help)
print_help_and_exit 0
;;
*)
if [[ -z "$1" ]]; then
echo "Invalid positional argument '$1'"
print_help_and_exit 1
elif [[ -z "$image_name" ]]; then
image_name="$1"
elif [[ -z "$cont_name" ]]; then
cont_name="$1"
else
echo "Unexpected argument '$1'"
print_help_and_exit 1
fi
shift 1
;;
esac
done
if [[ -z "$image_name" ]]; then
image_name="bluetradingsystems/spark-crypto-dev"
fi
host_name="$(hostname)"
if [[ -n "$cont_name" ]]; then
host_name="$host_name.$cont_name"
fi
if [[ -z "$mount_name" ]]; then
mount_name="$cont_name"
fi
if [[ -z "$mount_name" && -z "$cont_name" ]]; then
echo "Please specify mount (-m,--mount) and/or container (-c,--container)"
print_help_and_exit 1
fi
if [[ -z "$docker_user" ]]; then
docker_user="$USER"
fi
home_src=$mount_prefix/$mount_name
home_tgt=$HOME
repo_src=$(git rev-parse --show-superproject-working-tree)
repo_tgt=$HOME/$(basename "$repo_src")
working_dir=$HOME
if [[ $mount_existing -eq 0 && -e "$home_src" ]]; then
# Don't overwrite existing dir (might be mounted in another container)
echo "Mount dir '$home_src' already exists (use --mount-existing to mount an existing directory)"
print_help_and_exit 1
fi
mkdir -p "$home_src"
if [[ "${#port_mappings[@]}" -eq 0 ]]; then
port_mappings=("8000:8000" "8001:8001" "8002:8002" "8003:8003")
fi
# Adapt port_mappings into args for `docker run` by prepending "-p " to each
# item
declare -a docker_port_args=()
for port_mapping in "${port_mappings[@]}"; do
docker_port_args+=("-p $port_mapping")
done
echo "Starting container '$cont_name'
image_name : $image_name
cont_name : $cont_name
home_src : $home_src
home_tgt : $home_tgt
repo_src : $repo_src
repo_tgt : $repo_tgt
working dir : $working_dir
ports : ${port_mappings[*]}
"
# DON'T wrap $docker_port_args in quotes. We want bash to split args by
# whitespace
docker run \
--net bridge \
-h "$host_name" \
-e "TZ=America/New_York" \
--cap-add=SYS_PTRACE \
--security-opt seccomp=unconfined \
--name "$cont_name" \
-v "$home_src:$home_tgt" \
-v "$repo_src:$repo_tgt" \
-w "$working_dir" \
${docker_port_args[*]} \
--shm-size=4024m \
-t \
-i \
-d \
-e DISPLAY="$DISPLAY" \
"$image_name" \
bash
# Add user w/ same uid and gid as the current user outside of docker, so the
# user inside the docker has file permissions in the mounted dir.
docker_group="$docker_user"
docker_user_uid="$(id -u "$USER")"
docker_user_gid="$(id -g "$USER")"
echo "Adding user in container '$cont_name'
name : $docker_user
uid : $docker_user_uid
gid : $docker_user_gid"
if [[ -z "$docker_pass" ]]; then
docker_pass="$docker_user"
echo "Giving user '$docker_user' a secure password: $docker_pass"
fi
docker exec -u root -it "$cont_name" groupadd -g "$docker_user_gid" "$docker_group"
docker exec -u root -it "$cont_name" useradd -u "$docker_user_uid" -g "$docker_user_gid" "$docker_user"
docker exec -u root -it "$cont_name" usermod --password "$(openssl passwd -1 "$docker_pass")" "$docker_user"
docker exec -u root -it "$cont_name" usermod -aG sudo "$docker_user"
docker exec -u root -it "$cont_name" "$repo_tgt/externals/src/emumba/install_emumba-deribit-connector.sh"
+1
Submodule docker/windows added at de7d40c09d.
+5
View File
@@ -4,6 +4,8 @@ VisualStudioVersion = 17.3.32922.545
MinimumVisualStudioVersion = 15.0.26124.0
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_api", "src\client\spark_api\spark_api.csproj", "{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}"
EndProject
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{FDC3A021-386E-3A2C-A7EB-CBE94A95BE25}"
EndProject
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Spark", "src\client\spark\Spark.csproj", "{9A4D4D07-1AB6-4B2B-B111-A4F34D6C267E}"
EndProject
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "sparkcmd", "src\client\sparkcmd\sparkcmd.csproj", "{387566C6-C6F6-412C-A30C-9855BBCB4816}"
@@ -11,6 +13,9 @@ EndProject
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_core", "src\client\spark_core\spark_core.csproj", "{6E449EB6-20AC-4FA6-B8D9-10F4BB7E1FEE}"
EndProject
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_sdk", "src\client\spark_sdk\spark_sdk.csproj", "{6963C314-83C4-4667-B0D0-C2F7AE208C29}"
ProjectSection(ProjectDependencies) = postProject
{FDC3A021-386E-3A2C-A7EB-CBE94A95BE25} = {FDC3A021-386E-3A2C-A7EB-CBE94A95BE25}
EndProjectSection
EndProject
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_test", "src\client\spark_test\spark_test.csproj", "{ECD78CC5-138F-4809-A764-2358C2AC2E82}"
EndProject
@@ -3,6 +3,7 @@ namespace mbts.spark {
using bts.api;
using bts.api.analytics;
using bts.collections;
using bts.reactive;
using bts.utils;
using mbts;
@@ -17,7 +18,6 @@ namespace mbts.spark {
using Spark.Core;
using Spark.Core.Collections;
using Spark.Core.Disposables;
using Spark.Core.Reactive;
using Spark.ViewModel.Commands;
using System;
@@ -1,120 +0,0 @@
namespace mbts.spark {
using bts;
using bts.api;
using mbts;
using mbts.analytics;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Collections;
// For each vs, it sends the vol surface calc request (_do_periodic_auto_fit)
// and then commits the response
public class SingleVolSurfaceAutoFitSource : IDisposable {
private readonly ThreadedBlackboard _bb;
private readonly int _vs_id;
private readonly ITag<VolSurfaceInput> _vs_input_tag;
private readonly ITag<VolSurfaceCalculationResponse> _vs_calc_response_tag;
private DateTime _last_req_time = DateTime.MinValue;
private TimeSpan _req_period = TimeSpan.MaxValue;
private int _req_id = 0;
public SingleVolSurfaceAutoFitSource(int vs_id, ThreadedBlackboard bb) {
_bb = bb;
_vs_id = vs_id;
_vs_input_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
_vs_calc_response_tag = SparkTags.VolSurfaceAutoCalculationResponseTag(vs_id);
_bb.subscribe(_vs_input_tag);
_bb.subscribe(_vs_calc_response_tag);
_bb.subscribe(SparkTags.CurrentUser);
_bb.data_callback += _on_bb_data;
_bb.timer_callback += _on_bb_timer;
}
private void _on_bb_data(object tag, object data) {
if (tag.Equals(_vs_input_tag))
_possibly_autofit();
else if (tag.Equals(_vs_calc_response_tag)) {
VolSurfaceCalculationResponse calc_resp = data as VolSurfaceCalculationResponse;
bts.Log.Gen.info($"SingleVolSurfaceAutoFitSource._on_bb_data vs_id: {_vs_id} " +
$"received calculation response");
_bb.post(SparkTags.VolSurfaceCommitTag(_vs_id),
calc_resp.volsurface_calculation_output.volsurface_input);
}
}
private bool _user_has_vs_control() {
VolSurfaceInput vs_input = _bb.read_state(_vs_input_tag);
string current_user = _bb.read_state(SparkTags.CurrentUser).name;
return vs_input != null &&
vs_input.surface_settings.core_settings.vs_manager == current_user;
}
private void _on_bb_timer() {
_possibly_autofit();
}
private void _possibly_autofit() {
var auto_fit_period = _get_auto_fit_periodic();
if (!auto_fit_period.HasValue)
return;
if (DateTime.Now - _last_req_time <= auto_fit_period)
return;
if (!_user_has_vs_control())
return;
// auto fit here
bts.Log.Gen.info($"SingleVolSurfaceAutoFitSource vs_id: {_vs_id} requesting fit " +
$"last_req_time: {_last_req_time} period: {auto_fit_period.Value}");
_send_request();
}
private Nullable<TimeSpan> _get_auto_fit_periodic() {
VolSurfaceInput vs_input = _bb.read_state(_vs_input_tag);
if (vs_input == null)
return null;
var fit_settings =
VolSurfaceDataFunctions.get_market_fit_settings(vs_input.surface_settings);
if (fit_settings == null)
return null;
var auto_fit_setting = fit_settings.vs_auto_fit_settings;
if (auto_fit_setting == null)
return null;
if (auto_fit_setting.auto_fit_region == VolSurfaceEnums.VolCurveFitRegion.None)
return null;
var time_based_fit_setting = auto_fit_setting.time_based_settings;
if (time_based_fit_setting == null)
return null;
if (!time_based_fit_setting.period_seconds.HasValue)
return null;
return TimeSpan.FromSeconds(time_based_fit_setting.period_seconds.Value);
}
private void _send_request() {
VolSurfaceInput vs_input = _bb.read_state(_vs_input_tag);
if (vs_input == null)
return;
VolCurveMarketFitAction mf_action = new VolCurveMarketFitAction(
VolCurveMarketFitAction.ActionType.FitWholeCurve, null, false);
VolCurveAction vc_action = new VolCurveAction(mf_action);
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
vs_input.surface_parameters.curve_parameters_map.ToDictionary(
i => i.Item1,
i => vc_action
);
VolSurfaceCalculationRequest req = new VolSurfaceCalculationRequest(vs_input,
_req_id++, action_map, true, true);
_last_req_time = DateTime.Now;
_bb.post(SparkTags.VolSurfaceAutoCalculationRequestTag(_vs_id), req);
}
#region IDisposable
public void Dispose() {
_bb.data_callback -= _on_bb_data;
_bb.timer_callback -= _on_bb_timer;
}
#endregion
}
}
@@ -4,7 +4,6 @@
using bts.api.analytics;
using mbts.analytics;
using mbts.ui;
using Spark.Core.Protobuf;
@@ -14,7 +13,6 @@
using System.Linq;
using System.Reactive.Linq;
using System.Threading;
using System.Windows;
// For a single VolSurface this class
// 1. Listents to commmits and calls the service to persist data
@@ -26,6 +24,7 @@
private readonly ITag<VolSurfaceInput> _in_bb_committ_tag;
private readonly AnalyticsService _analytics_service;
private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
private readonly string _user;
private readonly List<IDisposable> _disposables = new List<IDisposable>();
private IDictionary<UInt64, VolSurfaceInputSnapshot> _snp_shot_map = new
Dictionary<UInt64, VolSurfaceInputSnapshot>();
@@ -36,10 +35,10 @@
volsurface_id));
_volsurface_id = volsurface_id;
_bb = threaded_bb;
_user = "TEST_USER"; // TODO
_in_bb_committ_tag = SparkTags.VolSurfaceCommitTag(volsurface_id);
_analytics_service = analytics_service;
_bb.subscribe(_in_bb_committ_tag);
_bb.subscribe(SparkTags.CurrentUser);
_bb.data_callback += _on_bb_data;
var vs_sub = _analytics_service.subscribei_volsurfaces()
.ObserveOn(SynchronizationContext.Current)
@@ -55,10 +54,8 @@
private void _on_vss(bts.api.core.Update<VolSurfaceEntryImmutable, UInt64> update) {
IEnumerable<VolSurfaceEntryImmutable> all_vss = update.all;
var this_vs_vss = all_vss.Where(vs => vs.VsId == _volsurface_id);
bts.Log.Gen.info(
$"SingleVolSurfaceGateway._on_vss vs_count: {this_vs_vss.Count()} " +
$"all: {update.all.Count()} added: {update.added.Count()} " +
$"updated: {update.changed.Count()} removed: {update.removed.Count()}");
bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway._on_vss count:{0} vs_count:{1}",
all_vss.Count(), this_vs_vss.Count()));
if (this_vs_vss.Count() == 0) {
return;
}
@@ -86,39 +83,22 @@
static VolSurfaceInput _to_vs_input(VolSurfaceEntryImmutable vs) =>
ProtobufSerializationHelper.deserialize<VolSurfaceInput>(vs.Volsurface.ToByteArray());
// private void _show_save_error(string message) {
// BTSMessageBox.Show(message, "Vol Save Error", BTSMessageBoxButtons.OK);
// }
private void _on_bb_data(object tag, object data) {
if (_in_bb_committ_tag.Equals(tag)) {
try {
_timer.start();
VolSurfaceInput vs_input = data as VolSurfaceInput;
var user_tup = _bb.read_state(SparkTags.CurrentUser);
string current_user = user_tup.name;
string vs_manager = vs_input.surface_settings.core_settings.vs_manager;
if (current_user != vs_manager) {
string msg = $"User {current_user} does not have the permission to save vols. " +
$"Permission can be obtained via the grid context menu item 'Acquire ownership from {vs_manager}'";
BTSMessageBox.Show(msg, "Vol Save Error", BTSMessageBoxButtons.OK);
return;
}
_sanitize_input(ref vs_input);
vs_input = VolSurfaceDataFunctions.unset_driver_overrides(vs_input);
VolSurfaceUtilityFunctions.save_volsurface(vs_input, _analytics_service, current_user);
vs_input.saver_login = _user;
VolSurfaceUtilityFunctions.save_volsurface(vs_input, _analytics_service, _user);
_timer.stop();
Log.Gen.info(String.Format(
"SingleVolSurfaceGateway._on_bb_data Time to commit volsurface {0} {1} msecs",
_volsurface_id, _timer.lastIntervalTime));
var archived_theos = _get_theos();
if (archived_theos != null) {
_timer.start();
if (archived_theos != null)
_analytics_service.archive_theos(archived_theos);
_timer.stop();
Log.Gen.info($"SingleVolSurfaceGateway._on_bb_data archiving theos vs_id: {_volsurface_id} size: " +
$"{archived_theos.SecTheo.Count} time: {_timer.lastIntervalTime} msecs");
}
} catch (Exception ex) {
Log.Gen.warn(ex.ToString());
_bb.post(SparkTags.MessageDisplayTag,
@@ -36,11 +36,7 @@ namespace mbts.spark {
new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Committed, _vs_id, _bb,
a_syms => new SingleVolSurfaceCommittedOutputRetriever(_vs_id, _bb, a_syms)),
new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Combined, _vs_id, _bb,
a_syms => new SingleVolSurfaceRequestCalculator(
SingleVolSurfaceRequestCalculator.RequestType.UI, _vs_id, a_syms, _bb)),
new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Combined, _vs_id, _bb,
a_syms => new SingleVolSurfaceRequestCalculator(
SingleVolSurfaceRequestCalculator.RequestType.AUTO, _vs_id, a_syms, _bb)),
a_syms => new SingleVolSurfaceRequestCalculator(_vs_id, a_syms, _bb)),
new SingleVolSurfaceMarketImpliedVolSource(_vs_id, _bb),
// new SingleVolSurfaceTheoSource(_vs_id, _bb),
// TODO: suspending heatmaps for now (12/24/21)
@@ -48,7 +44,6 @@ namespace mbts.spark {
// server work that can optionally be done on the client
new SingleVolSurfaceDataSource (SingleVolSurfaceDataSource.SymbolListType.Committed, _vs_id, _bb,
a_syms => new SingleVolSurfaceInterpGreeksPublisher (_vs_id, _bb, a_syms)),
new SingleVolSurfaceAutoFitSource(_vs_id, _bb),
};
}
@@ -18,16 +18,10 @@ namespace mbts.spark {
// Pubs :
// 1. Calc Resp
public class SingleVolSurfaceRequestCalculator : IDisposable {
public enum RequestType {
UI = 0,
AUTO
}
private readonly RequestType _request_type = RequestType.UI;
private readonly int _vs_id;
private readonly HashSet<string> _symbols;
private readonly ThreadedBlackboard _bb;
private readonly ITag<VolSurfaceCalculationRequest> _in_bb_request_tag;
private readonly ITag<VolSurfaceCalculationRequest> _in_bb_auto_request_tag;
private readonly ITag<VolSurfaceNonVolData> _in_bb_nonvol_data_tag;
private readonly ITag<VolSurfaceStandardTime> _in_bb_vs_standard_time_tag;
private readonly ITag<VolSurfaceEnums.MarketSide> _in_bb_market_impliedvol_side_tag;
@@ -36,22 +30,18 @@ namespace mbts.spark {
/// data
private VolSurfaceOutput _last_output;
public SingleVolSurfaceRequestCalculator(RequestType request_type,
int vs_id, IEnumerable<string> symbols,
public SingleVolSurfaceRequestCalculator(int vs_id, IEnumerable<string> symbols,
ThreadedBlackboard threaded_bb) {
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator cons vs_id: {vs_id} request_type: {request_type}");
_request_type = request_type;
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator cons vs_id: {vs_id}");
_vs_id = vs_id;
_symbols = new HashSet<string>(symbols);
_bb = threaded_bb;
_in_bb_request_tag = SparkTags.VolSurfaceCalculationRequestTag(vs_id);
_in_bb_auto_request_tag = SparkTags.VolSurfaceAutoCalculationRequestTag(vs_id);
_in_bb_nonvol_data_tag = SparkTags.VolSurfaceNonVolDataTag(vs_id);
_in_bb_vs_standard_time_tag = SparkTags.VolSurfaceStandardTimeTag(vs_id);
_in_bb_market_impliedvol_side_tag = SparkTags.VolSurfaceMarketImpliedVolSide(vs_id);
_in_bb_dirty_tag = SparkTags.VolSurfaceDirtyStateTag(vs_id);
_bb.subscribe(_in_bb_request_tag);
_bb.subscribe(_in_bb_auto_request_tag);
_bb.subscribe(_in_bb_nonvol_data_tag);
_bb.subscribe(_in_bb_vs_standard_time_tag);
_bb.subscribe(_in_bb_vs_standard_time_tag);
@@ -61,21 +51,11 @@ namespace mbts.spark {
}
private void _on_bb_data(object tag, object data) {
switch (_request_type) {
case RequestType.UI: {
if (_in_bb_request_tag.Equals(tag) || _in_bb_dirty_tag.Equals(tag))
_recompute_and_publish(true);
else if (_in_bb_nonvol_data_tag.Equals(tag) || _in_bb_vs_standard_time_tag.Equals(tag))
_recompute_and_publish(false);
break;
}
case RequestType.AUTO: {
if (tag.Equals(_in_bb_auto_request_tag)) {
_serve_auto_request();
}
break;
}
}
if (_in_bb_request_tag.Equals(tag) || _in_bb_dirty_tag.Equals(tag))
_recompute_and_publish(true);
else if (_in_bb_nonvol_data_tag.Equals(tag) || _in_bb_vs_standard_time_tag.Equals(tag))
_recompute_and_publish(false);
}
private void _recompute_and_publish(bool is_new_request) {
@@ -100,7 +80,7 @@ namespace mbts.spark {
nonvol_data.driver_price_map,
vs_standard_time, true);
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
_post_process_action(_bb, _vs_id, effective_req, aux_data_map);
_post_process_action(effective_req, aux_data_map);
_last_output = GeneralVolSurfaceCalculator.compute(effective_req.volsurface_input,
nonvol_data.contracts,
aux_data_map,
@@ -109,49 +89,16 @@ namespace mbts.spark {
effective_req.cascade_up,
effective_req.cascade_down);
_timer.stop();
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._recompute_and_publish vs_id: {_vs_id} " +
$"time: {_timer.lastIntervalTime}");
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._recompute_and_publish time: " +
$"{_timer.lastIntervalTime}");
_bb.post(SparkTags.VolSurfaceCalculationResponseTag(_vs_id),
new VolSurfaceCalculationResponse(_last_output, effective_req.request_id));
}
}
}
private void _serve_auto_request() {
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._serve_auto_request " +
$"vs_id: {_vs_id} auto request received");
bool is_dirty = _bb.read_state(_in_bb_dirty_tag, false);
VolSurfaceNonVolData nonvol_data = _bb.read_state(_in_bb_nonvol_data_tag);
VolSurfaceStandardTime vs_standard_time = _bb.read_state(_in_bb_vs_standard_time_tag);
VolSurfaceCalculationRequest auto_req = _bb.read_state(_in_bb_auto_request_tag);
if (is_dirty || nonvol_data == null || vs_standard_time == null || auto_req == null) {
return;
}
_timer.start();
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map =
VolSurfaceUtilityFunctions.compute_aux_data(auto_req.volsurface_input,
nonvol_data.input,
nonvol_data.driver_price_map,
vs_standard_time, true);
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
_post_process_action(_bb, _vs_id, auto_req, aux_data_map);
var vs_output = GeneralVolSurfaceCalculator.compute(auto_req.volsurface_input,
nonvol_data.contracts,
aux_data_map,
action_map,
null,
auto_req.cascade_up,
auto_req.cascade_down);
_timer.stop();
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._serve_auto_request vs_id: {_vs_id} " +
$"time: {_timer.lastIntervalTime}");
_bb.post(SparkTags.VolSurfaceAutoCalculationResponseTag(_vs_id),
new VolSurfaceCalculationResponse(vs_output, auto_req.request_id));
}
/// Computes the impl vol if the action is fit to market
private static IDictionary<VolSurfaceExpiration, VolCurveAction> _post_process_action(
ThreadedBlackboard bb, int vs_id,
private IDictionary<VolSurfaceExpiration, VolCurveAction> _post_process_action(
VolSurfaceCalculationRequest req,
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map) {
IDictionary<VolSurfaceExpiration, VolCurveAction> rv = req.action_map;
@@ -162,7 +109,7 @@ namespace mbts.spark {
VolCurveAction rep_action = rv.ElementAt(0).Value;
if (rep_action.action_type == VolCurveAction.ActionType.FitToMarket) {
IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> impl_vol_map =
_fill_in_implied_vols(bb, vs_id, req.volsurface_input, req.action_map, aux_data_map,
_fill_in_implied_vols(req.volsurface_input, req.action_map, aux_data_map,
req.cascade_up, req.cascade_down);
rv = impl_vol_map.ToDictionary(kv => kv.Key, kv => new VolCurveAction(
new VolCurveMarketFitAction(rep_action.market_fit_action.fit_action, kv.Value,
@@ -172,8 +119,7 @@ namespace mbts.spark {
return rv;
}
private static IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> _fill_in_implied_vols(
ThreadedBlackboard bb, int vs_id,
private IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> _fill_in_implied_vols(
VolSurfaceInput vs_inp,
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map,
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map,
@@ -194,15 +140,15 @@ namespace mbts.spark {
applicable_exps = applicable_exps.Where(vs_exp => master_exps.Contains(vs_exp));
VolSurfaceEnums.MarketSide impliedvol_side =
SingleVolSurfaceMarketImpliedVolSource._get_market_impliedvol_side(bb, vs_id);
SingleVolSurfaceMarketImpliedVolSource._get_market_impliedvol_side(_bb, _vs_id);
foreach (VolSurfaceExpiration vs_exp in applicable_exps) {
VolSurfaceExpiration md_exp;
VolCurveMarketImpliedVolData exp_impl_data =
VolSurfaceCoreFunctions.compute_implied_vols(vs_inp, vs_exp, aux_data_map,
arg_vs_exp => SingleVolSurfaceMarketImpliedVolSource.get_option_bbo(bb, arg_vs_exp),
arg_vs_exp => SingleVolSurfaceMarketImpliedVolSource.get_option_bbo(_bb, arg_vs_exp),
impliedvol_side,
SingleVolSurfaceMarketImpliedVolSource._ignore_market_implied_vol_source_settings(
bb, vs_id),
_bb, _vs_id),
out md_exp);
rv[vs_exp] = exp_impl_data;
}
@@ -160,8 +160,8 @@ namespace mbts.spark {
public static IEnumerable<bts.api.SecurityTuple> get_vs_sectups(
int vs_id, ThreadedBlackboard bb) {
var vs_usage_list = bb.read_state(SparkTags.VolSurfaceUsageTag);
return (vs_usage_list?.get_sectups(vs_id)).empty_if_null();
VolSurfaceUsageListImmutable vs_usage_list = bb.read_state(SparkTags.VolSurfaceUsageTag);
return vs_usage_list.get_sectups(vs_id);
}
@@ -242,4 +242,4 @@ namespace mbts.spark {
}
#endregion
}
}
}
@@ -270,7 +270,6 @@ namespace mbts.spark {
new mbts.analytics.VolSurfaceNonVolInput(exp_param_map.exp_map.ToDictionary()));
} else if (_in_bb_req_vol.Equals(tag)) {
ClientArchivedVolRequest client_req = _bb.read_state(_in_bb_req_vol);
bts.Log.Ui.info($"VolSurfaceBusManager._on_bb_update ClientArchivedVolRequest: {client_req.ToString()}");
ArchivedTheoRetrieval ret = client_req.ret;
if (ret == null || ret.SecTup == null) {
bts.Log.Ui.warn($"VolSurfaceBusManager malformed ArchivedTheoRetrieval");
@@ -5,7 +5,6 @@ using bts.api;
using bts.collections;
using System.Linq;
using bts.api.orderman;
using bts.api.analytics;
using bts;
namespace mbts.spark {
@@ -24,8 +23,6 @@ namespace mbts.spark {
_order_service = order_service;
_bb.subscribe(SparkTags.AllInterpGreeks);
_bb.subscribe(SparkTags.SystemContractsTag);
_bb.subscribe(SparkTags.CurrentUser);
_bb.subscribe(SparkTags.VolSurfaceUsageTag);
_bb.data_callback += _on_data;
}
@@ -58,27 +55,6 @@ namespace mbts.spark {
return rv;
}
private IReadOnlyDictionary<string, OptionTheoInterpolationData>
_filter_for_publish(IReadOnlyDictionary<string, OptionTheoInterpolationData> all_theos) {
// find the symbol vs vs_id, get the committed vs, see if it is
// owned by the current user, and only then publish it
HashSet<string> syms = new HashSet<string>();
var usage = _bb.read_state(SparkTags.VolSurfaceUsageTag);
string current_user = _bb.read_state(SparkTags.CurrentUser).name;
foreach (var u in (usage?.UsageList).empty_if_null()) {
VolSurfaceInput vs_input =
_bb.read_state(SparkTags.VolSurfaceCommittedInputTag(u.VsId));
if (vs_input != null) {
if (vs_input.surface_settings.core_settings.vs_manager ==
current_user) {
syms.Add(u.SecTup.Symbol);
}
}
}
return
all_theos.Where(kv => syms.Contains(kv.Key)).ToDictionary(kv => kv.Key, kv => kv.Value);
}
private void _publish_data() {
SystemContractData sc_data = _bb.read_state(SparkTags.SystemContractsTag, null);
IReadOnlyDictionary<string, OptionTheoInterpolationData> all_theos =
@@ -88,11 +64,6 @@ namespace mbts.spark {
if (sc_data == null || all_theos == null || all_drivers == null)
return;
_timer.start();
all_theos = _filter_for_publish(all_theos);
if (all_theos.Count == 0) {
bts.Log.Gen.info($"InterpTheosServerPublisher._publish_data all_theos.Count == 0");
return;
}
IDictionary<UInt32, DriverMD> driver_map = _get_drivers(all_drivers, sc_data);
IEnumerable<Tuple<SecurityImmutable, TheoPoint>> theo_map = _get_theos(all_theos, sc_data);
// assemble it together and send it to the server
@@ -115,7 +86,6 @@ namespace mbts.spark {
ptp.Vega = is_call ? tp.cvega : tp.pvega;
ptp.Theta = is_call ? tp.c_theta : tp.p_theta;
ptp.Rho = Double.NaN;
ptp.Vol = tp.vol;
ptp_list.Add(ptp);
}
bts.api.orderman.PrecomputedTheos server_theos = new PrecomputedTheos();
@@ -126,7 +96,7 @@ namespace mbts.spark {
_order_service.set_precomputed_theos(server_theos);
_timer.stop();
var pub_time = _timer.lastIntervalTime;
bts.Log.Gen.info($"InterpTheosServerPublisher._publish_data symbols: {all_theos.Count} " +
bts.Log.Gen.info($"InterpTheosServerPublisher._publish_data " +
$"size: {server_theos.Theos.Count} comp_time: {comp_time} msecs " +
$"pub_time: {pub_time}");
}
@@ -135,4 +105,4 @@ namespace mbts.spark {
_bb.data_callback -= _on_data;
}
}
}
}
@@ -26,13 +26,13 @@ namespace mbts.spark {
_refresh = new(_is_dirty.refresh);
_committed_value.Changed += on_committed_changed;
_candidate_value.Changed += on_candidate_changed;
if (column.type.is_editable()) {
_is_dirty.Changed += (o, n) => {
Log.Ui.info(
$"VolSurface '{expiration}.{column}' is_dirty changed to {n}. " +
$"commited: {committed_value}; candidate: {candidate_value}");
};
}
_is_dirty.Changed += (o, n) => {
Log.assert(o != n);
// TODO: John, this was logged too many times
// Log.Ui.info(
// $"VolSurface '{expiration}.{column}' is_dirty changed to {n}. " +
// $"commited: {committed_value}; candidate: {candidate_value}");
};
void on_committed_changed(object? oldval, object? newval) =>
_is_dirty.refresh();
@@ -29,7 +29,6 @@ namespace mbts.spark.VolSurface {
class VolSurfaceGridVM : DisposableViewModelBase {
readonly VolSurfaceVM _parent;
readonly UserTuple _user;
readonly ObservableCollection<VolSurfaceDisplayGridExpiration> _expirations = new();
readonly DeferrableAction _invalidate_rows;
readonly ColumnsModel _columns_model;
@@ -42,12 +41,10 @@ namespace mbts.spark.VolSurface {
VolSurfaceVM vm,
VolSurfaceDisplayModel model,
ISet<string> hidden_columns,
ISet<VolSurfaceExpiration> hidden_expirations,
UserTuple user) {
ISet<VolSurfaceExpiration> hidden_expirations) {
Log.notnull(hidden_columns);
Log.notnull(hidden_expirations);
_parent = vm;
_user = user;
this.model = model;
_columns_model = new(create_exp_column_view());
_hidden_columns = hidden_columns;
@@ -86,7 +83,7 @@ namespace mbts.spark.VolSurface {
_columns_model);
VolSurfaceRowVM row_factory(VolSurfaceDisplayGridExpiration exp) =>
new(this, exp, _user);
new(this, exp);
IDisposable connect_row(VolSurfaceRowVM row) {
row.request_calculate += request_recalc;
@@ -1,6 +1,5 @@
#nullable enable
namespace mbts.spark {
using bts;
using bts.collections;
using mbts.spark.VolSurface;
@@ -10,7 +9,6 @@ namespace mbts.spark {
using mbts.ui.utility;
using Spark.Core.Disposables;
using Spark.Core.Reactive;
using System;
using System.Collections.Generic;
@@ -24,10 +22,6 @@ namespace mbts.spark {
readonly VolSurfaceGridVM _parent;
readonly Property<VolSurfaceColumn?> _column;
readonly Property<DIYGridSuperHeaderVM?> _super_header;
readonly UserTuple _user;
readonly Property<bool> _is_open;
readonly DelegateProperty<string> _vs_manager;
readonly List<IDisposable> _resources = new();
ICommand? _revert_cmd;
ICommand? _shift_selection_cmd;
@@ -40,29 +34,21 @@ namespace mbts.spark {
ICommand? _copy_all_to_clipboard_cmd;
ICommand? _smart_copy_rolls_rates_cmd;
ICommand? _import_csv_cmd;
ObservantCommand? _acquire_ownership_cmd;
public VolSurfaceRowContextMenuVM(VolSurfaceGridVM parent, VolSurfaceRowVM row, UserTuple user) {
public VolSurfaceRowContextMenuVM(VolSurfaceGridVM parent, VolSurfaceRowVM row) {
_parent = parent;
_row = row;
_user = user;
_column = backing<VolSurfaceColumn?>(nameof(column));
_super_header = backing<DIYGridSuperHeaderVM?>(nameof(super_header));
_vs_manager = backing(
nameof(vs_manager),
() => _parent.model.get_active_settings()?.core_settings?.vs_manager ?? string.Empty);
_is_open = backing(nameof(is_open), false);
_resources.AddRange(
_dispose = Disposable.Create(
_column.invalidate_others_on_change(nameof(column_name)),
_super_header.invalidate_others_on_change(nameof(group_name)),
_is_open.Subscribe(_ => _vs_manager.refresh()),
_parent.visible_rows.ObserveSelf()
.BufferLatest(TimeSpan.FromSeconds(1))
.OnDispatcher()
.Subscribe(_ => sync_symbols()));
_dispose = Disposable.Create(() => _resources.DisposeAll(true));
void sync_symbols() {
var visible_exps = _parent.visible_rows.Map(r => r.expiration.symbol);
symbols.sync_with_models(
@@ -178,34 +164,6 @@ namespace mbts.spark {
_parent.model.csv_importing_enabled,
null);
public ICommand acquire_ownership_cmd {
get {
if (_acquire_ownership_cmd is null) {
_acquire_ownership_cmd = new(
() => {
var settings = _parent.model.get_active_settings();
if (settings is null) {
Log.Ui.error("Unable to acquire volsurface ownership: settings are null.");
return;
}
settings.core_settings.vs_manager = _user.name;
_parent.model.set_candidate_settings(settings);
});
_resources.Add(_vs_manager.observe_current(true)
.Subscribe(SelectorObserver.builder(_acquire_ownership_cmd).wrap<string>(
curr => curr != _user.name)));
}
return _acquire_ownership_cmd;
}
}
public bool is_open {
get => _is_open.Value;
set => _is_open.set(value);
}
public string vs_manager => _vs_manager.Value;
VolSurfaceDisplayGridColumn _assert_model() =>
column?.model ?? throw new InvalidOperationException();
@@ -1,7 +1,5 @@
#nullable enable
namespace mbts.spark.VolSurface {
using bts;
using mbts.ui;
using mbts.ui.controls;
using mbts.ui.shell;
@@ -18,16 +16,14 @@ namespace mbts.spark.VolSurface {
readonly VolSurfaceGridVM _parent;
readonly VolSurfaceDisplayGridExpiration _exp;
readonly Dictionary<string, CellData> _cells = new();
readonly UserTuple _user;
readonly DeferrableAction _request_calculate;
VolSurfaceRowContextMenuVM? _context_menu;
bool _is_selected;
public VolSurfaceRowVM(VolSurfaceGridVM parent, VolSurfaceDisplayGridExpiration exp, UserTuple user) {
public VolSurfaceRowVM(VolSurfaceGridVM parent, VolSurfaceDisplayGridExpiration exp) {
_parent = parent;
_exp = exp;
_user = user;
_request_calculate = new(() => request_calculate?.Invoke());
_dispose = Disposable.Create(() => {
_cells.Values.DisposeAll();
@@ -53,7 +49,7 @@ namespace mbts.spark.VolSurface {
}
public VolSurfaceRowContextMenuVM context_menu =>
_context_menu ??= new(_parent, this, _user);
_context_menu ??= new(_parent, this);
public VolSurfaceCellVM get_cell(VolSurfaceDisplayGridColumn column) =>
_cells.GetOrAdd(column.unique_col_name, _ => _create_cell(column)).vm;
@@ -14,7 +14,7 @@ namespace mbts.spark {
class VolSurfaceAdvancedSettingsEditorVM : ViewModelBase {
readonly VolSurfaceAdvancedSettings _settings;
public VolSurfaceAdvancedSettingsEditorVM(VolSurfaceAdvancedSettings settings, string vs_name) {
public VolSurfaceAdvancedSettingsEditorVM(VolSurfaceAdvancedSettings settings, string vs_name, Action<VolSurfaceAdvancedSettings> commit) {
_settings = settings;
_settings.theo_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Absolute;
_settings.slide_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Percentage;
@@ -23,7 +23,7 @@ namespace mbts.spark {
if (_settings.precomputed_theo_handles == null)
_settings.precomputed_theo_handles = new List<double>();
vol_surface_name = vs_name;
commit = new DelegateCommand(() => request_commit?.Invoke(ProtobufSerializationHelper.clone(_settings)));
this.commit = new DelegateCommand(() => request_commit?.Invoke(ProtobufSerializationHelper.clone(_settings)));
}
public event Action<VolSurfaceAdvancedSettings> request_commit;
@@ -1,89 +0,0 @@
#nullable enable
namespace mbts.spark {
using bts.api.domain;
using mbts.analytics;
using mbts.ui.shell;
using mbts.ui.utility;
using System;
using System.Collections.Generic;
using VolCurveFitRegion = analytics.VolSurfaceEnums.VolCurveFitRegion;
public class VolSurfaceAutoFitSettingsVM : DisposableViewModelBase {
readonly Property<VolCurveFitRegion> _fit_region;
readonly Property<uint?> _period_secs;
readonly Property<double?> _driver_points_moved;
readonly Property<double?> _atm_points_moved;
readonly Property<bool> _is_auto_fit_enabled;
public VolSurfaceAutoFitSettingsVM() {
_fit_region = backing(nameof(fit_region), VolCurveFitRegion.None);
_is_auto_fit_enabled = backing(
nameof(is_auto_fit_enabled),
_fit_region.observe_current(true),
r => r != VolCurveFitRegion.None);
_period_secs = backing<uint?>(nameof(period_secs), 10);
_driver_points_moved = backing<double?>(nameof(driver_points_moved));
_atm_points_moved = backing<double?>(nameof(atm_points_moved));
_fit_region.Changed += (o, n) => RaisePropertyChanged(nameof(is_auto_fit_enabled));
}
public IEnumerable<VolCurveFitRegion> fit_regions =>
EnumHelper.get_values<VolCurveFitRegion>();
public VolCurveFitRegion fit_region {
get => _fit_region.Value;
set => _fit_region.set(value);
}
public bool is_auto_fit_enabled => _is_auto_fit_enabled.Value;
public uint? period_secs {
get => _period_secs.Value;
set => _period_secs.set(value);
}
public double? driver_points_moved {
get => _driver_points_moved.Value;
set => _driver_points_moved.set(value);
}
public TickDisplaySettingsImmutable? driver_points_display =>
user.settings.TickFactors.pennies.to_api_tick_display_settingsi();
public double? atm_points_moved {
get => _atm_points_moved.Value;
set => _atm_points_moved.set(value);
}
public TickDisplaySettingsImmutable? atm_points_display =>
user.settings.TickFactors.pennies.to_api_tick_display_settingsi();
public void load_from(VolSurfaceAutoFitSettings value) {
fit_region = value?.auto_fit_region ?? VolCurveFitRegion.None;
period_secs = value?.time_based_settings?.period_seconds;
driver_points_moved = value?.driver_move_based_settings?.points_moved;
atm_points_moved = value?.atm_implied_vol_based_settings?.points_moved;
}
public void assign_to(VolSurfaceAutoFitSettings value) {
if (value is null) {
throw new ArgumentNullException(nameof(value));
}
value.auto_fit_region = fit_region;
value.time_based_settings = new() {
period_seconds = period_secs
};
value.driver_move_based_settings = new() {
points_moved = driver_points_moved
};
value.atm_implied_vol_based_settings = new() {
points_moved = atm_points_moved
};
}
}
}
@@ -40,7 +40,6 @@ namespace mbts.spark {
vol_model_cubic_spline_vm.load_from(settings.spline_model_settings);
vol_model_dual_quadratic_vm.load_from(settings.dualquadratic_model_settings);
vol_path_parabolic_vm.load_from(settings.core_settings.volpath_settings.parabolic_vol_path_settings);
auto_fit_vm.load_from(settings.core_settings.market_fit_settings.vs_auto_fit_settings);
init_rotation_vms(call_rotations, _core_settings.call_rotation.strike_vol_movement_pairs);
init_rotation_vms(put_rotations, _core_settings.put_rotation.strike_vol_movement_pairs);
@@ -106,7 +105,6 @@ namespace mbts.spark {
}).ToList();
_core_settings.strangle.strike_vol_movement_pairs = strangles.SelectMany(r => new[] { Tuple.Create(r.target_put_strike, r.put_move), Tuple.Create(r.target_call_strike, r.call_move) }).ToList();
_core_settings.atm_shift.atm_strike_vol_movement = atm_shifts.Count == 1 ? atm_shifts[0].move : 0;
auto_fit_vm.assign_to(_core_settings.market_fit_settings.vs_auto_fit_settings);
commit(_settings);
}
@@ -235,7 +233,23 @@ namespace mbts.spark {
}
}
public VolSurfaceAutoFitSettingsVM auto_fit_vm { get; } = new();
public bool enable_auto_fit {
get => _core_settings.market_fit_settings.enable_auto_fit;
set {
using var _ = detect_property_change();
_core_settings.market_fit_settings.enable_auto_fit = value;
}
}
public VolSurfaceEnums.VolCurveFitRegion auto_fit_region {
get => _core_settings.market_fit_settings.auto_fit_region;
set { _core_settings.market_fit_settings.auto_fit_region = value; }
}
public double auto_fit_time_ms {
get => _core_settings.market_fit_settings.auto_fit_time_ms;
set { _core_settings.market_fit_settings.auto_fit_time_ms = value; }
}
public bool auto_decay_vol_time {
get => _core_settings.time_settings.time_mode == VolSurfaceEnums.VolSurfaceTimeMode.AutoDecay;
+17 -28
View File
@@ -1,6 +1,5 @@
#nullable enable
namespace mbts.spark {
using bts;
using bts.api;
using bts.collections;
@@ -28,7 +27,6 @@ namespace mbts.spark {
readonly IBus _bus;
readonly string _request_id = Guid.NewGuid().ToString();
readonly VolSurfaceDisplayModel _model;
readonly UserTuple _user;
readonly IRaiseCanExecuteChangedCommand _revert_cmd;
readonly IRaiseCanExecuteChangedCommand _commit_cmd;
readonly IDialogCommand _main_settings_cmd;
@@ -40,16 +38,10 @@ namespace mbts.spark {
bool _ignore_implied_vol_settings;
public VolSurfaceVM(
VolSurfaceDisplayModel model,
int id,
IBus bus,
VolSurfaceWindowSettings startup_data,
UserTuple user
) {
VolSurfaceDisplayModel model, int id, IBus bus, VolSurfaceWindowSettings startup_data) {
_model = model;
_vs_id = id;
_bus = bus;
_user = user;
macro_actions = new VolSurfaceMacroActionsVM(_model);
globals = new VolSurfaceGlobalParameterVM(_model);
@@ -57,7 +49,7 @@ namespace mbts.spark {
_grid_settings = startup_data.macro_grid_settings ?? new VolSurfaceMacroGridSettings();
var hidden_exps_set = startup_data.hidden_exps.empty_if_null().ToHashSet();
grid = new VolSurfaceGridVM(
this, _model, _grid_settings.hidden_cols(), hidden_exps_set, _user);
this, _model, _grid_settings.hidden_cols(), hidden_exps_set);
grid.on_selection_changed += _on_grid_selection_changed;
_model.publish_grid_settings(_grid_settings);
@@ -121,24 +113,21 @@ namespace mbts.spark {
if (settings == null) {
return null;
}
var vm = new VolSurfaceAdvancedSettingsEditorVM(
VolSurfaceUtilityFunctions.clone_proto(settings.advanced_settings),
settings.core_settings.vol_surface_name);
vm.request_commit += commit_advanced_settings;
return new VolSurfaceAdvancedSettingsEditor {
DataContext = vm
};
async void commit_advanced_settings(VolSurfaceAdvancedSettings value) {
var current_settings = await _get_volsurface_settings();
if (current_settings == null) {
BTSMessageBox.Show("Error changing settings", "VS Settings");
}
else {
current_settings.advanced_settings = value;
_model.set_candidate_settings(current_settings);
}
}
// return new VolSurfaceAdvancedSettingsEditor {
// DataContext = new VolSurfaceAdvancedSettingsEditorVM(
// VolSurfaceUtilityFunctions.clone_proto(settings.advanced_settings),
// settings.core_settings.vol_surface_name,
// advanced_settings => {
// var current_settings = _get_volsurface_settings();
// if (current_settings == null) BTSMessageBox.Show("Error changing settings", "VS Settings", System.Windows.MessageBoxButton.OK, System.Windows.MessageBoxImage.Error, true, true, true);
// else {
// current_settings.advanced_settings = advanced_settings;
// _model.set_candidate_settings(current_settings);
// }
// }
// )
// };
return null;
}
Window? mk_grid_settings_win() {
@@ -22,7 +22,7 @@ namespace mbts.spark {
// ii. IntepGreeks for each vs
public class VolSurfaceInterpGreeksMultiplexer : IDisposable {
private readonly ThreadedBlackboard _bb;
private readonly ITag<VolSurfaceUsageListImmutable?> _in_bb_vs_usage_tag;
private readonly ITag<VolSurfaceUsageListImmutable> _in_bb_vs_usage_tag;
private IDictionary<int, ITag<VSTheos>> _vs_theo_tags =
new Dictionary<int, ITag<VSTheos>>();
private VolSurfaceUsageListImmutable _vs_usage_map =
@@ -48,8 +48,8 @@ namespace mbts.spark {
}
private void _analyze_usages() {
_vs_usage_map = _bb.read_state(_in_bb_vs_usage_tag) ??
new VolSurfaceUsageList().immutable();
_vs_usage_map = _bb.read_state(_in_bb_vs_usage_tag,
new VolSurfaceUsageListImmutable(new VolSurfaceUsageList()));
bts.Log.Gen.info($"VolSurfaceInterpGreeksMultiplexer._analyze_usages " +
$"count: {_vs_usage_map.UsageList.Count()}");
foreach (int vs_id in _vs_usage_map.vss()) {
@@ -9,34 +9,26 @@ namespace mbts.analytics
[ProtoBuf.ProtoContract(Name = "VolSurfaceAdvancedSettings")]
public class VolSurfaceAdvancedSettings
{
public static VolSurfaceAdvancedSettings Default =>
new() {
number_of_cashed_saved_days = double.NaN,
precomputed_theo_handles = new(0),
theo_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Absolute,
precomputed_slide_handles = new(0),
slide_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Percentage,
publish_from_client = false,
publish_from_client_user = string.Empty,
strike_normalization_axis = VolSurfaceEnums.VolCurveStrikeAxis.RawStrike,
};
[ProtoBuf.ProtoMember(1)]
[System.ComponentModel.DefaultValue(Double.NaN)]
public double number_of_cashed_saved_days;
[ProtoBuf.ProtoMember(10)]
public List<double> precomputed_theo_handles;
[ProtoBuf.ProtoMember(15)]
[System.ComponentModel.DefaultValue(VolSurfaceEnums.GeneralChangeMeasure.Absolute)]
public VolSurfaceEnums.GeneralChangeMeasure theo_handle_measure;
[ProtoBuf.ProtoMember(20)]
public List<double> precomputed_slide_handles;
[ProtoBuf.ProtoMember(25)]
[System.ComponentModel.DefaultValue(VolSurfaceEnums.GeneralChangeMeasure.Percentage)]
public VolSurfaceEnums.GeneralChangeMeasure slide_handle_measure;
[ProtoBuf.ProtoMember(30)]
//[System.ComponentModel.DefaultValue(false)]
public bool publish_from_client;
[ProtoBuf.ProtoMember(40)]
@@ -46,11 +38,5 @@ namespace mbts.analytics
[ProtoBuf.ProtoMember(50)]
[System.ComponentModel.DefaultValue(VolSurfaceEnums.VolCurveStrikeAxis.RawStrike)]
public VolSurfaceEnums.VolCurveStrikeAxis strike_normalization_axis;
public void ensure_no_nulls() {
precomputed_theo_handles ??= new(0);
precomputed_slide_handles ??= new(0);
publish_from_client_user ??= string.Empty;
}
}
}
@@ -4,11 +4,13 @@ using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace mbts.analytics {
namespace mbts.analytics
{
/// These are the VolSurface settings that are common
/// to any Vol Model
[ProtoBuf.ProtoContract(Name = "VolSurfaceCoreSettings")]
public class VolSurfaceCoreSettings {
public class VolSurfaceCoreSettings
{
[ProtoBuf.ProtoMember(1)]
public string vol_surface_name;
[ProtoBuf.ProtoMember(2)]
@@ -85,7 +87,5 @@ namespace mbts.analytics {
get => _time_settings ??= new();
set => _time_settings = value;
}
[ProtoBuf.ProtoMember(240)]
public string vs_manager { get; set; } = string.Empty;
}
}
@@ -25,8 +25,7 @@ namespace mbts.analytics {
volpath_settings = new(),
safety_limits = new(),
},
polynomial_model_settings = new(),
advanced_settings = VolSurfaceAdvancedSettings.Default
polynomial_model_settings = new()
};
[ProtoMember(10)]
@@ -76,12 +75,9 @@ namespace mbts.analytics {
if (core_settings.market_fit_settings == null) {
core_settings.market_fit_settings = new VolSurfaceMarketFitSettings();
}
core_settings.market_fit_settings.vs_auto_fit_settings ??= new();
if (core_settings.time_settings == null) {
core_settings.time_settings = new VolSurfaceTimeSettings();
}
advanced_settings ??= VolSurfaceAdvancedSettings.Default;
advanced_settings.ensure_no_nulls();
return this;
}
}
@@ -141,7 +141,6 @@ namespace mbts.analytics
public enum VolCurveFitRegion
{
None,
ATM,
All
}
@@ -231,4 +230,4 @@ namespace mbts.analytics
USE_CALENDAR_FOR_BUSINESS
}
}
}
}
@@ -4,9 +4,11 @@ using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace mbts.analytics {
namespace mbts.analytics
{
[ProtoBuf.ProtoContract(Name = "VolSurfaceMarketFitSettings")]
public class VolSurfaceMarketFitSettings {
public class VolSurfaceMarketFitSettings
{
/// use one sided market or not
[ProtoBuf.ProtoMember(10)]
public bool ignore_one_sided_markets;
@@ -20,44 +22,19 @@ namespace mbts.analytics {
public double graph_update_period_ms = 2500;
/// If this is set to true a regression curve is drawn
/// and the vol model adheres to that
[ProtoBuf.ProtoMember(50)]
[ProtoBuf.ProtoMember(50)]
public bool use_weighted_regression_fit = false;
[ProtoBuf.ProtoMember(55)]
public uint regression_order = 4;
[ProtoBuf.ProtoMember(90)]
public VolSurfaceAutoFitSettings vs_auto_fit_settings { get; set; }
}
[ProtoBuf.ProtoContract(Name = "VolSurfaceAutoFitSettings")]
public class VolSurfaceAutoFitSettings {
// each of these settings can be enabled independently. if they are enabled
// then any of them being true will result in an autmatic fit
[ProtoBuf.ProtoContract(Name = "TimeBasedSettings")]
public class TimeBasedSettings {
[ProtoBuf.ProtoMember(10)]
public uint? period_seconds { get; set; }
}
[ProtoBuf.ProtoContract(Name = "DriverMoveBasedSettings")]
public class DriverMoveBasedSettings {
[ProtoBuf.ProtoMember(10)]
public double? points_moved { get; set; }
}
[ProtoBuf.ProtoContract(Name = "ATMImpliedVolBasedSettings")]
public class ATMImpliedVolBasedSettings {
[ProtoBuf.ProtoMember(20)]
public double? points_moved { get; set; }
// we can do price terms moved as well
}
[ProtoBuf.ProtoMember(5)]
public VolSurfaceEnums.VolCurveFitRegion auto_fit_region;
[ProtoBuf.ProtoMember(10)]
public TimeBasedSettings time_based_settings = null;
[ProtoBuf.ProtoMember(20)]
public DriverMoveBasedSettings driver_move_based_settings = null;
[ProtoBuf.ProtoMember(30)]
public ATMImpliedVolBasedSettings atm_implied_vol_based_settings = null;
/// The system auto fits and saves vols if this is
/// set to true
[ProtoBuf.ProtoMember(60)]
public bool enable_auto_fit = false;
/// If enable_auto_fit = true, this governs
/// how often the system auto-fits
[ProtoBuf.ProtoMember(70)]
public double auto_fit_time_ms = 30000;
[ProtoBuf.ProtoMember(80)]
public VolSurfaceEnums.VolCurveFitRegion auto_fit_region = VolSurfaceEnums.VolCurveFitRegion.ATM;
}
}
@@ -475,7 +475,6 @@ namespace mbts.analytics {
public static ResultMessage save_volsurface(
VolSurfaceInput vs_input, AnalyticsService service, string user = "") {
vs_input.saver_login = user;
vs_input.surface_settings.core_settings.vs_manager = user;
// convert to VolSurfaceEntry
var to_save = new VolSurfaceEntry();
var serialized_vs = ProtobufSerializationHelper.serialize(vs_input);
@@ -596,7 +595,7 @@ namespace mbts.analytics {
_greek_getter(g)(t, is_call);
public static IDictionary<double, IEnumerable<Theos>> hash_strikes(IEnumerable<Theos> theos) =>
theos.Map(t => t.strike);
theos.Map(t => t.strike);
static Func<Theos, bool, double> _greek_getter(VolSurfaceGreeks g) =>
g switch {
@@ -40,8 +40,10 @@ namespace mbts.analytics {
/// last computed min/max driver for each exp
private IDictionary<VolSurfaceExpiration, Tuple<double, double>>
_computed_driver_range_map = new Dictionary<VolSurfaceExpiration, Tuple<double, double>>();
private readonly IEnumerable<double> _default_abs_moves = config.Configuration.get<bts.config.VolSurface>().default_abs_moves;
private readonly IEnumerable<double> _default_abs_moves =
new double[] { 300, -200, -125, -100, -75, -50, -25, 0, 25, 50, 75, 100, 125, 200, 300 };
private readonly double _cushion_percentage = 25.0;
public event
Action<IDictionary<VolSurfaceExpiration, IEnumerable<Theos>>, double, double> on_theos =
(o, vt, tt) => { };
@@ -50,7 +52,7 @@ namespace mbts.analytics {
(o, vt, tt) => { };
public VolSurfaceInterpGreeksProducer(int vs_id) {
Log.Gen.info($"VolSurfaceInterpGreeksProducer.cons vs_id: {vs_id}, _default_abs_moves: {string.Join(", ", _default_abs_moves)}");
Log.Gen.info($"VolSurfaceInterpGreeksProducer.cons vs_id: {vs_id}");
_vs_id = vs_id;
}
@@ -70,7 +72,7 @@ namespace mbts.analytics {
}
public void set_vol_data(VolSurfaceInput vs_input) {
Log.Gen.info($"VolSurfaceInterpGreeksProducer.set_vol_data vs_id: {_vs_id} precomputed_theo_handles?: {string.Join(", ", (vs_input?.surface_settings?.advanced_settings?.precomputed_theo_handles).empty_if_null())}");
Log.Gen.info($"VolSurfaceInterpGreeksProducer.set_vol_data vs_id: {_vs_id}");
_vs_input = vs_input != null ? VolSurfaceUtilityFunctions.clone_proto(vs_input) : null;
_compute_and_fire(InputType.Vol);
}
+1 -4
View File
@@ -135,10 +135,7 @@ namespace bts {
var meta = _security_metadata.get(smd.security);
if (meta.HasValue) {
exch_secs[smd.id] = new(
smd.security,
smd.md,
meta.Value.HasPriceDisplay ? meta.Value.PriceDisplay : null,
meta.Value.HasQuantityDisplay ? meta.Value.QuantityDisplay : null);
smd.security, smd.md, meta.Value.PriceDisplay, meta.Value.QuantityDisplay);
}
}
_bus.post(SparkTags.ServerSecuritiesTag, exch_secs);
@@ -56,7 +56,7 @@ namespace mbts.spark {
r => new ReportImmutable?(r),
r => r?.Id ?? throw new ArgumentNullException(nameof(r)));
_window_factories = new() {
new VolSurfaceWindowFactory(this, bus, user.Value),
new VolSurfaceWindowFactory(this, bus),
new AnalyticsExpirationParametersWindowFactory(this, bus),
new SlideReportWindowFactory(this, bus, reports_demuxer.subscribe),
new ComboReportWindowFactory(this, bus, reports_demuxer.subscribe),
@@ -1,58 +0,0 @@
<Window
x:Class="mbts.ui.shell.VolSurfaceAdvancedSettingsEditor"
x:ClassModifier="internal"
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
xmlns:c="clr-namespace:mbts.ui.controls"
xmlns:cv="clr-namespace:mbts.ui.converters"
Title="{Binding vol_surface_name, StringFormat='{}Advanced Settings \&apos;{0}\&apos;'}"
Style="{StaticResource BTSDialog}"
SizeToContent="WidthAndHeight"
TextElement.FontSize="10">
<StackPanel>
<Grid Margin="5" Grid.IsSharedSizeScope="True">
<Grid.RowDefinitions>
<RowDefinition Height="Auto"/>
<RowDefinition Height="Auto"/>
<RowDefinition Height="Auto"/>
<RowDefinition Height="Auto"/>
<RowDefinition Height="Auto"/>
</Grid.RowDefinitions>
<Grid.ColumnDefinitions>
<ColumnDefinition Width="Auto" SharedSizeGroup="label"/>
<ColumnDefinition Width="*"/>
</Grid.ColumnDefinitions>
<GroupBox Grid.ColumnSpan="2" Padding="3">
<GroupBox.Header>
<TextBlock Text="Theos" FontWeight="Bold"/>
</GroupBox.Header>
<Grid>
<Grid.RowDefinitions>
<RowDefinition Height="Auto"/>
<RowDefinition Height="Auto"/>
</Grid.RowDefinitions>
<Grid.ColumnDefinitions>
<ColumnDefinition Width="Auto" SharedSizeGroup="label"/>
<ColumnDefinition Width="Auto"/>
</Grid.ColumnDefinitions>
<c:RadioButtonsControl Grid.ColumnSpan="2" Margin="0,0,0,5" ItemsSource="{Binding general_change_measures}" SelectedItem="{Binding theo_handle_measure}" IsEnabled="False"/>
<TextBlock Grid.Row="1" Text="Precomputed Handles" VerticalAlignment="Center"/>
<TextBox
x:Name="PART_Handles"
Validation.ErrorTemplate="{x:Null}"
Grid.Row="1"
Grid.Column="1"
Width="160"
Margin="5,0,0,0"
Text="{Binding precomputed_theo_handles, Converter={x:Static cv:EnumerableDoubleStringConverter.Instance}}" />
</Grid>
</GroupBox>
<TextBlock Visibility="Collapsed" Grid.Row="1" VerticalAlignment="Center" Margin="5,0,0,0" Text="Num Cash Saved Days" />
<c:TickUpDownDouble Visibility="Collapsed" Grid.Row="1" Grid.Column="1" HorizontalAlignment="Stretch" Margin="14,5,5,5" Value="{Binding number_of_cash_saved_days}"/>
<TextBlock Grid.Row="2" VerticalAlignment="Center" Margin="5,0,0,0" Text="Strike Normalization Axis"/>
<ComboBox Grid.Row="2" Grid.Column="1" HorizontalAlignment="Stretch" Margin="14,5,5,5" ItemsSource="{Binding strike_normalization_axes}" SelectedValue="{Binding selected_strike_normalization_axis}"/>
<CheckBox Grid.Row="3" Margin="7,0,0,0" Content="Publish From Client" IsChecked="{Binding publish_from_client}"/>
</Grid>
<c:DialogSkirtOKCancel OKCommand="{Binding commit}" />
</StackPanel>
</Window>
@@ -1,11 +0,0 @@
namespace mbts.ui.shell {
using System.Windows;
/// <summary>
/// Interaction logic for VolSurfaceAdvancedSettingsEditor.xaml
/// </summary>
partial class VolSurfaceAdvancedSettingsEditor : Window {
public VolSurfaceAdvancedSettingsEditor() =>
InitializeComponent();
}
}
@@ -793,106 +793,70 @@
Grid.Row="5"
Grid.Column="1"
Grid.ColumnSpan="4"
DataContext="{Binding auto_fit_vm}"
Header="Auto Fit"
Margin="0,5,0,0"
Padding="5">
Padding="5"
IsEnabled="False">
<Grid>
<Grid.RowDefinitions>
<RowDefinition Height="Auto" />
<RowDefinition Height="Auto" />
<RowDefinition Height="Auto" />
<RowDefinition Height="Auto" />
</Grid.RowDefinitions>
<Grid.ColumnDefinitions>
<ColumnDefinition Width="Auto" />
<ColumnDefinition Width="Auto" />
<ColumnDefinition Width="*" />
</Grid.ColumnDefinitions>
<CheckBox
Grid.ColumnSpan="2" Content="Enabled" IsChecked="{Binding enable_auto_fit}" />
<TextBlock Grid.Row="1" Text="Region" Margin="16,5,0,0">
<TextBlock.Style>
<Style TargetType="TextBlock">
<Style.Triggers>
<DataTrigger
Binding="{Binding enable_auto_fit}"
Value="False">
<Setter
Property="Foreground"
Value="Gray" />
</DataTrigger>
</Style.Triggers>
</Style>
</TextBlock.Style>
</TextBlock>
<TextBlock Grid.Row="0" Text="Fit Region" />
<ComboBox
Grid.Row="0"
Grid.Column="1"
Grid.ColumnSpan="2"
Margin="8,0,0,0"
VerticalAlignment="Center"
ItemsSource="{Binding fit_regions}"
SelectedItem="{Binding fit_region}">
<ComboBox.ItemTemplate>
<DataTemplate>
<TextBlock Text="{Binding Converter={x:Static shell:VolSurfaceSettingsEditor.AutoFitRegionDisplayTextConverter}}" />
</DataTemplate>
</ComboBox.ItemTemplate>
</ComboBox>
<TextBlock
Grid.Row="1"
Margin="0,5,0,0"
Text="Every" />
<c:TickUpDownNullableUInt32
Grid.Row="1"
Grid.Column="1"
HorizontalAlignment="Left"
VerticalAlignment="Center"
Minimum="30"
Margin="8,0,0,0"
Width="60"
Value="{Binding period_secs}"
IsEnabled="{Binding is_auto_fit_enabled}" />
<TextBlock
Grid.Row="1"
Grid.Column="2"
HorizontalAlignment="Left"
Margin="3,5,0,0"
Text="secs" />
Margin="12,0,0,0"
HorizontalAlignment="Stretch"
ItemsSource="{Binding auto_fit_region_choices}"
SelectedValue="{Binding auto_fit_region}"
IsEnabled="{Binding enable_auto_fit}" />
<TextBlock
Grid.Row="2"
Margin="0,5,0,0"
Text="When Driver moves" />
<c:TickUpDownNullableDouble
<TextBlock Grid.Row="2" Text="Fit Time" Margin="16,5,0,0">
<TextBlock.Style>
<Style TargetType="TextBlock">
<Style.Triggers>
<DataTrigger Binding="{Binding enable_auto_fit}" Value="False">
<Setter Property="Foreground" Value="Gray" />
</DataTrigger>
</Style.Triggers>
</Style>
</TextBlock.Style>
</TextBlock>
<c:TextBoxDouble
Grid.Row="2"
Grid.Column="1"
ToolTipService.ShowOnDisabled="True"
c:TextBoxEx.Suffix="ms"
HorizontalAlignment="Left"
VerticalAlignment="Center"
Margin="8,0,0,0"
Width="60"
Value="{Binding driver_points_moved}"
Increment="0.01"
TickDisplaySettings="{Binding driver_points_display}"
IsEnabled="False"
ToolTip="Not yet supported (coming soon)" />
<TextBlock
Grid.Row="2"
Grid.Column="2"
HorizontalAlignment="Left"
Margin="3,5,0,0"
Text="%" />
<TextBlock
Grid.Row="3"
Margin="0,5,0,0"
Text="When ATM moves" />
<c:TickUpDownNullableDouble
Grid.Row="3"
Grid.Column="1"
ToolTipService.ShowOnDisabled="True"
HorizontalAlignment="Left"
Margin="8,0,0,0"
Width="60"
Value="{Binding atm_points_moved}"
Increment="0.01"
TickDisplaySettings="{Binding atm_points_display}"
IsEnabled="False"
ToolTip="Not yet supported (coming soon)" />
<TextBlock
Grid.Row="3"
Grid.Column="2"
HorizontalAlignment="Left"
Margin="3,5,0,0"
Text="%" />
Margin="12,5,0,0"
IsEnabled="{Binding enable_auto_fit}"
Value="{Binding auto_fit_time_ms}"
Template="{StaticResource SuffixTemplate}" />
</Grid>
</GroupBox>
</Grid>
@@ -1,20 +1,9 @@
#nullable enable
namespace mbts.ui.shell {
using mbts.analytics;
using mbts.ui.converters;
using System.Windows;
using System.Windows.Data;
partial class VolSurfaceSettingsEditor : Window {
public VolSurfaceSettingsEditor() =>
InitializeComponent();
public static IValueConverter AutoFitRegionDisplayTextConverter =>
ValueConverter.create<VolSurfaceEnums.VolCurveFitRegion, string>(fr =>
fr switch {
VolSurfaceEnums.VolCurveFitRegion.None => "Disabled",
_ => fr.ToString()
});
}
}
@@ -262,7 +262,7 @@
IsDragAdornerEnabled="False"
ContextMenuOpening="_on_context_menu_opening">
<c:DIYGrid.ContextMenu>
<ContextMenu IsOpen="{Binding is_open}">
<ContextMenu>
<MenuItem
Header="Populate Empty Expirations"
Command="{Binding populate_empty_exps_cmd}" />
@@ -413,11 +413,6 @@
</MenuItem.ItemContainerStyle>
</MenuItem>
<MenuItem Header="Import CSV..." Command="{Binding import_csv_cmd}" />
<MenuItem Command="{Binding acquire_ownership_cmd}">
<MenuItem.Header>
<TextBlock Text="{Binding vs_manager, StringFormat='Acquire ownership from \'{0}\''}" />
</MenuItem.Header>
</MenuItem>
</ContextMenu>
</c:DIYGrid.ContextMenu>
<c:DIYGrid.RowStyle>
@@ -122,7 +122,7 @@
}
var mouse_pos = Mouse.GetPosition(this);
if (!this.ChildAtPoint<VolSurfaceRowView>(mouse_pos, out var row)) {
cm.SetCurrentValue(ContextMenu.IsOpenProperty, false);
cm.IsOpen = false;
return;
}
var cgs = g.GetColumnGeometry().ToList();
@@ -1,5 +1,4 @@
namespace mbts.spark {
using bts;
using bts.api;
using bts.spark;
@@ -15,20 +14,14 @@
public const string WINDOW_TYPE = "VolSurface";
readonly VolSurfaceWindowSettings _startup_data;
readonly UserTuple _user;
VolSurfaceVM _vm;
VolSurfaceView _view;
public VolSurfaceWindow(
VolSurfaceWindowFactory factory,
IBus bus,
string vs_name,
VolSurfaceWindowSettings startup_data,
UserTuple user
) : base(vs_name, bus, factory, Icons.vol_surface) {
VolSurfaceWindowFactory factory, IBus bus, string vs_name, VolSurfaceWindowSettings startup_data) :
base(vs_name, bus, factory, Icons.vol_surface) {
_startup_data = startup_data ?? throw new ArgumentNullException(nameof(startup_data));
_user = user;
this.vs_name = vs_name;
_dispose = Disposable.Create(() => Disposable.dispose(ref _vm));
}
@@ -44,7 +37,7 @@
public override UIElement Content => _view;
public void thread_init() {
_vm = new VolSurfaceVM(new (vs_id, _bus, true), vs_id, _bus, _startup_data, _user);
_vm = new VolSurfaceVM(new VolSurfaceDisplayModel(vs_id, _bus, true), vs_id, _bus, _startup_data);
_view = new VolSurfaceView {
DataContext = _vm
};
@@ -1,5 +1,4 @@
namespace mbts.spark {
using bts;
using bts.api;
using bts.shell;
@@ -11,12 +10,10 @@ namespace mbts.spark {
class VolSurfaceWindowFactory : ShellWindowFactory<VolSurfaceWindowSettings> {
readonly IBus _bus;
readonly UserTuple _user;
public VolSurfaceWindowFactory(IShellModule module, IBus bus, UserTuple user)
public VolSurfaceWindowFactory(IShellModule module, IBus bus)
: base(module, "VolSurface") {
_bus = bus;
_user = user;
_dispose = bus.subscribe(SparkTags.ShowVolSurface).OnDispatcher().Subscribe(
async state => _bus.post(SparkTags.ShowWindow, await _create(state)));
}
@@ -25,7 +22,7 @@ namespace mbts.spark {
_create(state);
async Task<IShellWindow> _create(VolSurfaceWindowSettings state) =>
new VolSurfaceWindow(this, _bus, await _lookup_vs_name(state.id), state, _user);
new VolSurfaceWindow(this, _bus, await _lookup_vs_name(state.id), state);
async Task<string> _lookup_vs_name(int vs_id) {
var (vol_surfaces, success) = await _bus.subscribe(SparkTags.VolSurfaceListTag).FirstAsyncTask(TimeSpan.FromSeconds(2));
@@ -176,11 +176,10 @@
</usp:DataGridParameterCellTemplateConverter.QuantityMeasureTemplate>
</usp:DataGridParameterCellTemplateConverter>
<Style x:Key="ExpanderToggleButton" TargetType="ToggleButton">
<Setter Property="Foreground" Value="{u:BTSColor ExecutionStrategy.expander_foreground}"/>
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="ToggleButton">
<Grid Background="{u:BTSColor ExecutionStrategy.expander_background}">
<Grid Background="Transparent">
<Grid.ColumnDefinitions>
<ColumnDefinition Width="12" />
<ColumnDefinition/>
@@ -191,7 +190,7 @@
HorizontalAlignment="Center"
Margin="0,5,0,0"
SnapsToDevicePixels="False"
Stroke="{u:BTSColor ExecutionStrategy.arrow_background}"
Stroke="#77333333"
StrokeThickness="2"
VerticalAlignment="Top"
/>
@@ -200,7 +199,6 @@
ContentSource="{TemplateBinding Content}"
Margin="3,0,0,0"
/>
</Grid>
<ControlTemplate.Triggers>
<Trigger Property="IsChecked" Value="True">
@@ -213,7 +211,7 @@
<Setter Property="Stroke" TargetName="arrow" Value="Black"/>
</Trigger>
<Trigger Property="IsEnabled" Value="False">
<Setter Property="Stroke" TargetName="arrow" Value="{u:BTSColor ExecutionStrategy.arrow_background_selected}"/>
<Setter Property="Stroke" TargetName="arrow" Value="#FF707070"/>
<Setter Property="Foreground" Value="Gray"/>
</Trigger>
</ControlTemplate.Triggers>
@@ -280,8 +278,7 @@
<ColumnDefinition/>
</SelectiveScrollingGrid.ColumnDefinitions>
<DataGridRowHeader
Foreground="{u:BTSColor ExecutionStrategy.expander_foreground}"
Background="{u:BTSColor ExecutionStrategy.data_grid_row_header_background}"
Background="Transparent"
Padding="{Binding section_count, Converter={StaticResource RowHeaderGroupIndentConverter}}"
FontWeight="{Binding font_weight, FallbackValue={u:FontWeight Normal}}"
SelectiveScrollingGrid.SelectiveScrollingOrientation="Vertical"
@@ -320,17 +317,9 @@
<Style x:Key="DataGridRowStyle" TargetType="DataGridRow">
<Setter Property="BorderThickness" Value="1,0"/>
<Setter Property="BorderBrush" Value="Transparent"/>
<Setter Property="Background" Value="{u:BTSColor ExecutionStrategy.alternate_column_background}"/>
<Setter Property="Template" Value="{StaticResource DataGridRowTemplate}"/>
<Setter Property="usp:ExecutionStrategyEditor.RowHasErrors" Value="{Binding has_errors}"/>
<Style.Triggers>
<Trigger Property="ListBox.AlternationIndex" Value="1">
<Setter Property="Background" Value="{u:BTSColor ExecutionStrategy.data_grid_background}"/>
</Trigger>
<!-- <Trigger Property="ListBox.AlternationIndex" Value="2">
<Setter Property="Background" Value="LightBlue"/>
<Setter Property="Foreground" Value="Navy"/>
</Trigger> -->
<DataTrigger Binding="{Binding read_only}" Value="True">
<Setter Property="TextElement.Foreground" Value="{u:BTSColor UI.input_disabled_text_dark}"/>
<Setter Property="ToolTip">
@@ -57,7 +57,7 @@ namespace mbts.spark {
main_vm.rows.AddRange(parsed_synths.Select(ps => {
var sec = ps.result;
var r = new SyntheticImportRowVM(orders_model.admin_model.user.id, used_names.Contains) {
tick_factors = TickUtils.get_regional_ticks(sec.immutable()).low_tick,
tick_factors = TickUtils.get_regional_ticks(sec.ContractSpec).low_tick,
name = sec.Synthetic.Name,
parsed_synth = ps
};
@@ -56,7 +56,7 @@ namespace mbts.spark {
public SyntheticEditorVM(SpreaderModel model, SecurityImmutable synthetic, ExecutionStrategyImmutable strategy, IObservable<bool> security_has_working_orders)
: this(synthetic, strategy, false) {
ExceptionAssert.InvalidOperation.That(synthetic.Id != 0, "This constructor may only be used for already-existing synthetic securities (id must be non-zero).");
_tick_factors = TickUtils.get_regional_ticks(synthetic).low_tick;
_tick_factors = TickUtils.get_regional_ticks(synthetic.ContractSpec).low_tick;
if (TickUtils.is_integer_tick(synthetic.ContractSpec)) {
_use_fractional_ticks = false;
_integer_tick_size = DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0;
@@ -112,7 +112,7 @@ namespace mbts.spark {
_set_ticks_automatically = false;
_set_quantities_automatically = false;
_set_price_mults_automatically = false;
_tick_factors = TickUtils.get_regional_ticks(_synthetic.immutable()).low_tick;
_tick_factors = TickUtils.get_regional_ticks(_synthetic.ContractSpec).low_tick;
} else {
_deduce_name();
_deduce_ticks();
@@ -411,7 +411,7 @@ namespace mbts.spark {
}
void _deduce_ticks() {
_tick_factors = TickUtils.deduce_ticks(leg_tuples.Select(l => l.leg.Security.immutable()));
_tick_factors = TickUtils.deduce_ticks(leg_tuples.Select(l => l.leg.Security.ContractSpec));
RaisePropertyChanged(nameof(tick_factors));
}
@@ -371,7 +371,6 @@
<usp:AlgoEditorView
DataContext="{Binding selected_definition}"
Background="Transparent"
Foreground="{u:BTSColor UI.default_text}"
BorderBrush="{Binding algo_root, Converter={StaticResource OrderTypeBrushConverter}}"
Padding="12,8" />
</ScrollViewer>
@@ -79,7 +79,7 @@ namespace Spark.Trading {
meta.Value.Value.PriceDisplay : Security.Defaults.price_display_settingsi;
if (security.HasValue) {
rv = rv.with(
tick_factors: security.Value.tick_factors().to_api_tick_factors());
tick_factors: security.spec_or_default().tick_factors().to_api_tick_factors());
}
return rv;
}
@@ -218,14 +218,10 @@ namespace mbts.spark {
background = buy_sell_background_fill_color;
hoverbackground = _mk_hover_bg_brush(dark, _darkbg, 0);
_num_root_orders = 0;
_filled = 0;
_quantity = 0;
foreach (var n in _root_nodes) {
_num_root_orders++;
_filled += n.filled_quantity();
_quantity += n.quantity();
}
(_num_root_orders, _filled, _quantity) = _root_nodes
.Select(n => (1u, n.filled_quantity(), n.quantity()))
.Sum();
if (_num_root_orders == 1) {
var order = _root_nodes.First();
border = _owner.model.order_gateway.factory.get_metadata(order).Color.rgb_brush();
@@ -245,7 +241,7 @@ namespace mbts.spark {
}
public OrderBookVM? create_orderbook_vm() {
var ticks = _owner.spec.count_ticks(real_price);
var ticks = _owner.spec.full_ticks_from_zero(real_price);
if (!ticks.HasValue) {
return null;
}
@@ -191,7 +191,7 @@ namespace mbts.spark {
void increment_ticks_per_row() {
var tpr = ticks_per_row;
for (uint i = 1; i < 100; i++) {
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security, ticks_per_row + i);
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security.ContractSpec, ticks_per_row + i);
if (new_tpr != tpr) {
ticks_per_row = new_tpr;
break;
@@ -201,7 +201,7 @@ namespace mbts.spark {
void decrement_ticks_per_row() {
var tpr = ticks_per_row;
for (uint i = 1; i < tpr; i++) {
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security, tpr - i);
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security.ContractSpec, tpr - i);
if (new_tpr != tpr) {
ticks_per_row = new_tpr;
break;
@@ -239,8 +239,7 @@ namespace mbts.spark {
// since settings profiles may be shared among ladders
// of different securities/tick sizes, the ticks per row setting
// may need to be rounded to a number that is a factor of $1.00
public uint? rounded_ticks_per_row =>
TickUtils.fit_ticks_per_row_to_dollars(_security, ticks_per_row);
public uint? rounded_ticks_per_row => TickUtils.fit_ticks_per_row_to_dollars(_security.ContractSpec, ticks_per_row);
public MarketSizeDisplayVM size_display { get; } = new MarketSizeDisplayVM();
public SimpleGridSettingsVM mini_ob { get; } = new SimpleGridSettingsVM(OrderBookGridSettingsManager.hard_column_flags);
@@ -99,7 +99,7 @@ namespace mbts.spark {
IReadOnlyDictionary<uint, OrderSecurity> _cache = DictionaryHelper.empty<uint, OrderSecurity>();
ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata> _favorite_algo_metadata_map =
ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata>.Empty;
RegionalTickFactors? _spec;
ContractSpecificationImmutable? _spec;
LadderVM(
IBus bus,
@@ -243,9 +243,10 @@ namespace mbts.spark {
var orders_source = settings.Select(s => s.ticks_per_row).DistinctUntilChanged()
.SelectSeries(tpr => {
var spec = TickUtils.multiply_tick_size(security.regional_ticks(), tpr);
var spec = TickUtils.multiply_tick_size(security.ContractSpec, tpr);
var price_comp = Comparer<double>.Create((a, b) =>
Comparer<long?>.Default.Compare(spec.count_ticks(a), spec.count_ticks(b)));
Comparer<int?>.Default.Compare(
spec.full_ticks_from_zero(a), spec.full_ticks_from_zero(b)));
return _order_price_source(model.orders, price_comp, p => TickUtils.normalize_price(spec, p));
});
_day_change.Changed += (o, n) => RaisePropertyChanged(
@@ -393,10 +394,9 @@ namespace mbts.spark {
}
public SecurityImmutable security => _model.security;
public RegionalTickFactors spec => _spec ?? (
public ContractSpecificationImmutable spec => _spec ?? (
_spec = TickUtils.multiply_tick_size(
security.regional_ticks(), current_settings?.ticks_per_row ?? 1))
?? RegionalTickFactors.Default;
security.ContractSpec, current_settings?.ticks_per_row ?? 1)).Value;
public double display_quantity_divisor { get; }
public LadderSettings current_settings { get; private set; }
@@ -826,7 +826,7 @@ namespace mbts.spark {
if (!price.is_real()) {
msg = "not a real number";
} else if (settlement.is_real()) {
var ticks_from_settle = security.tickdiff(price, settlement);
var ticks_from_settle = security.ContractSpec.tickdiff(price, settlement);
if (ticks_from_settle.HasValue) {
var max_cross = (current_settings?.ladder_order_limits?.max_settlement_cross_ticks)
.as_nullable();
@@ -858,7 +858,7 @@ namespace mbts.spark {
} else {
ulong _ = 0;
_model.md.get_bbo(ref _, out var bid, out var ask);
var mid = TickUtils.mid_tick(security.regional_ticks(), bid.price, ask.price);
var mid = TickUtils.mid_tick(security.ContractSpec, bid.price, ask.price);
_day_change.set(mid - md.settlement_price);
}
_volume.set(volume);
@@ -32,8 +32,6 @@ using System.Windows.Media.Animation;
using System.Windows.Threading;
namespace mbts.spark {
using RegionalTickFactors = user.settings.RegionalTickFactors;
partial class LadderGridHost : Control {
static readonly int _initial_row_count;
static readonly bool _show_scrollbar;
@@ -85,9 +83,10 @@ namespace mbts.spark {
bool _price_dirty = false, _piq_dirty = false;
LadderPriceList _price_list = new() {
length = _initial_row_count,
spec = Security.Defaults.ContractSpecificationImmutable
};
LadderPriceList _pending_price_list = null;
IComparer<double> _price_comparer = MathUtils.epsilon_comparer.reverse();
IComparer<double> _price_comparer;
double _last_origin_price;
readonly MarketBreakLines _mkt_break_lines;
NativePriceSize _last_trade;
@@ -385,16 +384,16 @@ namespace mbts.spark {
Column[] _columns { get; set; } = Array.Empty<Column>();
IEnumerable<Column> _visible_columns => _columns.Where(c => c.settings.show);
RegionalTickFactors _spec_backing;
RegionalTickFactors _spec {
ContractSpecificationImmutable? _spec_backing;
ContractSpecificationImmutable _spec {
get {
if (_spec_backing is not null) {
return _spec_backing;
if (_spec_backing.HasValue) {
return _spec_backing.Value;
} else if (_vm != null) {
_spec_backing = TickUtils.multiply_tick_size(security.regional_ticks(), _settings?.ticks_per_row ?? 1);
return _spec_backing;
_spec_backing = TickUtils.multiply_tick_size(security.ContractSpec, _settings?.ticks_per_row ?? 1);
return _spec_backing.Value;
}
return RegionalTickFactors.Default;
return Security.Defaults.ContractSpecificationImmutable;
}
}
@@ -448,15 +447,6 @@ namespace mbts.spark {
return _price_list.high_tick + tick_diff;
}
public bool scroll_to_tick(long tick) {
if (tick > int.MaxValue) {
Log.Ui.error(
$"Unable to scroll to tick {tick} because it exceeds int.MaxValue");
return false;
}
return scroll_to_tick((int)tick);
}
public bool scroll_to_tick(int tick) {
if (_vm is null || _settings is null || _scroll_viewer is null) {
return false;
@@ -470,23 +460,21 @@ namespace mbts.spark {
// The scrollbar's vertical offset won't change. Find the 'top tick' that will put the
// target `tick` in the center of the viewport.
checked {
var top_tick = (int)_get_target_top_tick(tick);
if (_settings.animate_recenter) {
var anim = new Int32Animation {
From = (int)_price_list.high_tick,
To = top_tick,
Duration = TimeSpan.FromSeconds(0.15)
};
var sb = new Storyboard();
sb.Children.Add(anim);
Storyboard.SetTarget(anim, this);
Storyboard.SetTargetProperty(anim, new PropertyPath(TopTickProperty));
sb.Begin();
} else {
_set_scrollbar_range(high_tick: top_tick);
_refresh_prices();
}
var top_tick = (int)_get_target_top_tick(tick);
if (_settings.animate_recenter) {
var anim = new Int32Animation {
From = _price_list.high_tick,
To = top_tick,
Duration = TimeSpan.FromSeconds(0.15)
};
var sb = new Storyboard();
sb.Children.Add(anim);
Storyboard.SetTarget(anim, this);
Storyboard.SetTargetProperty(anim, new PropertyPath(TopTickProperty));
sb.Begin();
} else {
_set_scrollbar_range(high_tick: top_tick);
_refresh_prices();
}
return true;
}
@@ -756,12 +744,12 @@ namespace mbts.spark {
internal double price_for_point(Point point) =>
_price_for_row(_row_for_point(point));
static uint? _size_from_row(int row, IList<double> price_list, NativePriceSize[] depth, RegionalTickFactors spec) {
static uint? _size_from_row(int row, IList<double> price_list, NativePriceSize[] depth, ContractSpecificationImmutable spec) {
if (price_list == null || depth == null) return null;
else return row <= price_list.Count ? _size_from_price(price_list[row], depth, spec) : null;
}
static uint? _size_from_price(double price, NativePriceSize[] depth, RegionalTickFactors spec) {
static uint? _size_from_price(double price, NativePriceSize[] depth, ContractSpecificationImmutable spec) {
if (!double.IsNaN(price) && depth.TryGetFirst(nps => spec.tick_equals(price, nps.price), out NativePriceSize result))
return result.size;
return null;
@@ -1111,16 +1099,10 @@ namespace mbts.spark {
Log.assert(_price_dirty);
_price_list = new LadderPriceList {
length = _initial_row_count,
security = security
spec = security.ContractSpec
};
var mid_tick = security.tickdiff(_mkt_break_lines.origin, 0) ?? 0;
if (mid_tick > int.MaxValue) {
Log.Ui.error(
$"Unable to set scrollbar range about mid_tick {mid_tick}: " +
$"tick count exceeds int.MaxValue");
} else {
_set_scrollbar_range(high_tick: (int)mid_tick + (_price_list.Count << 1));
}
var mid_tick = security.ContractSpec.tickdiff(_mkt_break_lines.origin, 0) ?? 0;
_set_scrollbar_range(high_tick: mid_tick + (_price_list.Count << 1));
_price_dirty = true;
}
if (_price_dirty) {
@@ -1199,12 +1181,12 @@ namespace mbts.spark {
_price_list, _vm.md.settlement_price,
_settings.net_change == LadderSettings.NetChangeTerms.Ticks,
_settings.row_height, _settings.price_column,
_spec);
security.ContractSpec);
} else {
LadderRender.render_prices(
_price_vis_tup.visual, _price_vis_tup.glyph_context,
_price_list, _settings.row_height,
_settings.price_column, _spec,
_settings.price_column, security.ContractSpec,
_settings.price_display_format);
}
}
@@ -1281,7 +1263,7 @@ namespace mbts.spark {
if (!_settings.piq_column.show)
return;
int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
}
void _refresh_sizes() {
@@ -1359,7 +1341,7 @@ namespace mbts.spark {
return;
if (_price_list is null) {
_price_list = new LadderPriceList {
security = security
spec = security.ContractSpec
};
}
_price_list.reset(null, null, _initial_row_count);
@@ -1443,7 +1425,7 @@ namespace mbts.spark {
_pending_scroll_to_origin |= _settings == null;
_invalidate_spec();
if (_price_list != null) {
_price_list.security = security;
_price_list.spec = _spec;
}
_bid_vis_tup.glyph_context = glyph_context(s.bid_column);
_ask_vis_tup.glyph_context = glyph_context(s.ask_column);
@@ -1,11 +1,9 @@
using bts.api;
namespace mbts.spark {
using RegionalTickFactors = user.settings.RegionalTickFactors;
class LadderPriceLineViewAdapter {
public static double bid_line(
double bid, double ask, double settlement, RegionalTickFactors spec) {
double bid, double ask, double settlement, ContractSpecificationImmutable? spec) {
return TickUtils.normalize_price(spec, impl());
double impl() {
if (!double.IsNaN(bid)) {
@@ -19,7 +17,7 @@ namespace mbts.spark {
}
public static double ask_line(
double bid, double ask, double settlement, RegionalTickFactors spec) {
double bid, double ask, double settlement, ContractSpecificationImmutable? spec) {
return TickUtils.normalize_price(spec, impl());
double impl() {
if (!double.IsNaN(ask)) {
@@ -33,7 +31,7 @@ namespace mbts.spark {
}
public static double mid_line(
double bid, double ask, double settlement, RegionalTickFactors spec) {
double bid, double ask, double settlement, ContractSpecificationImmutable? spec) {
return TickUtils.normalize_price(spec, impl());
double impl() {
if (double.IsNaN(bid)) {
@@ -45,16 +43,16 @@ namespace mbts.spark {
if (double.IsNaN(ask)) {
return bid;
}
if (spec is not null) {
return TickUtils.mid_tick(spec, bid, ask);
if (spec.HasValue) {
return TickUtils.mid_tick(spec.Value, bid, ask);
}
return bid;
}
}
static double _try_tick_down(RegionalTickFactors spec, double value) {
if (spec is not null) {
return spec.tickdown(value);
static double _try_tick_down(ContractSpecificationImmutable? spec, double value) {
if (spec.HasValue) {
return spec.Value.tickdown(value);
}
return value;
}
@@ -1,5 +1,4 @@
using bts.api;
using bts.utils;
using mbts.utils;
@@ -9,78 +8,52 @@ using System.Collections.Generic;
using System.Collections.Specialized;
namespace mbts.spark {
using RegionalTickFactors = user.settings.RegionalTickFactors;
public class LadderPriceList : IReadOnlyList<double>, IList<double>, INotifyCollectionChanged, IEquatable<LadderPriceList> {
const long _MAX_LENGTH = int.MaxValue;
long _length;
long _high_tick;
SecurityImmutable? _security;
RegionalTickFactors _regional_tick_backing;
RegionalTickFactors _regional_tick =>
_regional_tick_backing ??= TickUtils.get_regional_ticks(_security);
int _length;
int _high_tick;
public LadderPriceList() { }
public LadderPriceList(LadderPriceList other) {
_length = other._length;
_high_tick = other._high_tick;
_security = other._security;
spec = other.spec;
}
public event NotifyCollectionChangedEventHandler CollectionChanged;
public SecurityImmutable? security {
get => _security;
set {
if (value == _security) {
return;
}
_security = value;
_regional_tick_backing = null;
}
}
public ContractSpecificationImmutable spec { get; set; }
public long high_tick {
public int high_tick {
get => _high_tick;
set => _high_tick = value;
}
public long low_tick {
public int low_tick {
get => high_tick - length;
set => reset(null, value, null);
}
public double start {
get => _regional_tick.tickup<double>(0, (uint)high_tick);
set => high_tick = _regional_tick.tickdiff(value, 0) ?? high_tick;
get => spec.tickup(0, high_tick);
set => high_tick = spec.tickdiff(value, 0) ?? high_tick;
}
public long length {
public int length {
get => _length;
set {
if (value < 0 || value > _MAX_LENGTH) {
throw new ArgumentException(
$"Value 'v' must be >= 0 and < {_MAX_LENGTH} (actually {value})");
if (value < 0) {
throw new ArgumentException($"Value must be >= 0 (actually {value})");
}
_length = value;
}
}
public int Count {
get {
checked {
return (int)length;
}
}
}
public int Count => (int)length;
public bool IsReadOnly => false;
public double this[int idx] {
get => _regional_tick.tick<double>(0, high_tick - idx);
get => spec.tickup(0, high_tick - idx);
set => throw new NotSupportedException();
}
@@ -94,13 +67,11 @@ namespace mbts.spark {
GetEnumerator();
public int IndexOf(double item) {
var idx = _regional_tick.tickdiff(start, item) ?? -1;
var idx = spec.tickdiff(start, item) ?? -1;
if (idx < 0 || idx >= length) {
return -1;
}
checked {
return (int)idx;
}
return idx;
}
public void Insert(int index, double item) =>
@@ -167,15 +138,15 @@ namespace mbts.spark {
}
}
public void reset(long? high_tick = null, long? low_tick = null, long? length = null) {
public void reset(int? high_tick = null, int? low_tick = null, int? length = null) {
if (!high_tick.HasValue && !low_tick.HasValue && !length.HasValue) {
return;
}
if (length.HasValue && length.Value < 0) {
throw new ArgumentException("Must be >= 0", nameof(length));
}
long new_high_tick = 0;
long new_length = 0;
int new_high_tick = 0;
int new_length = 0;
if (high_tick.HasValue) {
new_high_tick = high_tick.Value;
if (low_tick.HasValue) {
@@ -209,7 +180,8 @@ namespace mbts.spark {
other != null &&
_high_tick == other._high_tick &&
_length == other._length &&
_regional_tick.safe_equals(other._regional_tick);
spec.LowTick.Equals(other.spec.LowTick) &&
spec.PriceBreak.Equals(other.spec.PriceBreak);
public override bool Equals(object obj) =>
Equals(obj as LadderPriceList);
@@ -217,10 +189,13 @@ namespace mbts.spark {
public override int GetHashCode() =>
HashCode.Combine(_high_tick, _length);
double _tick_to_price(long tick) =>
_regional_tick.tick<double>(0, tick);
double _tick_to_price(int tick) =>
spec.tickup(0, tick);
void _add_tick(long tick) {
int? _price_to_tick(double price) =>
spec.tickdiff(price, 0);
void _add_tick(int tick) {
int idx;
if (length == 0) {
_high_tick = tick;
@@ -229,9 +204,7 @@ namespace mbts.spark {
_high_tick = tick;
idx = 0;
} else if (tick == low_tick - 1) {
checked {
idx = (int)length;
}
idx = length;
} else {
throw new ArgumentException($"Must be == {nameof(high_tick)} ({high_tick}) + 1, or == {nameof(low_tick)} ({low_tick}) - 1)");
}
@@ -239,7 +212,7 @@ namespace mbts.spark {
CollectionChanged?.Invoke(this, new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, _tick_to_price(tick), idx));
}
void _remove_tick(long tick) {
void _remove_tick(int tick) {
if (length == 0) {
throw new InvalidOperationException("Cannot remove tick because length is 0");
}
@@ -248,9 +221,7 @@ namespace mbts.spark {
_high_tick--;
idx = 0;
} else if (tick == low_tick) {
checked {
idx = (int)(length - 1);
}
idx = length - 1;
} else {
throw new ArgumentException(
$"Can only remove {nameof(low_tick)} ({low_tick}) or " +
@@ -9,7 +9,6 @@ using mbts.ui;
using mbts.ui.controls;
using mbts.ui.utility.text;
using Spark.Core;
using Spark.Core.Disposables;
using System;
@@ -20,8 +19,6 @@ using System.Windows;
using System.Windows.Media;
namespace mbts.spark {
using RegionalTickFactors = user.settings.RegionalTickFactors;
static class BadgeRender {
// IMPORTANT: the return values for this method MUST BE IN SYNC with the "format" method, else "measure_height" and "LadderRender.measure_row_height" will be broken.
static int _line_count_for_style(LadderSettings.BadgeStyle badge_style) => badge_style == LadderSettings.BadgeStyle.Alternate ? 2 : 1;
@@ -76,16 +73,6 @@ namespace mbts.spark {
}
public static int index_of(IList<double> prices, double price, IComparer<double> comparer, bool relative_idx) {
for (int i = 1; i < prices.Count; i++) {
Log.assert(prices[i - 1] > prices[i]);
var c = comparer.Compare(prices[i - 1], prices[i]);
if (c >= 0) {
c = comparer.Compare(prices[i - 1], prices[i]);
} else {
c = comparer.Compare(prices[i - 1], prices[i]);
}
Log.assert(c < 0);
}
var idx = CollectionHelper.binary_search(prices, price, comparer);
if (relative_idx && idx < 0) {
idx = ~idx;
@@ -108,13 +95,30 @@ namespace mbts.spark {
settings.font_size, settings.width, row_height, HorizontalAlignment.Right,
-4, VerticalAlignment.Center, row * row_height, true);
public static GlyphRun[] format_prices(IList<double> prices, double reference_price, bool format_in_tick_terms, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, RegionalTickFactors spec) {
public static IList<double> gen_prices(double mid, int row_count, ContractSpecificationImmutable spec) {
bool is_odd = row_count % 2 == 1;
var result = new double[row_count];
int range = row_count / 2;
int middle = row_count / 2;
result[middle] = mid;
double up = mid, down = mid;
// Starting from the middle iterate out to the edges
for (int x = 1; x <= range; ++x) {
up = spec.tickup(up);
down = spec.tickdown(down);
result[middle - x] = up;
result[middle + x] = down;
}
return result;
}
public static GlyphRun[] format_prices(IList<double> prices, double reference_price, bool format_in_tick_terms, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, ContractSpecificationImmutable spec) {
var result = new GlyphRun[prices.Count];
Parallel.For(0, prices.Count, i =>
result[i] = format_text(spec.format(prices[i] - reference_price, format_in_tick_terms), i, row_height, settings, glyph_context));
return result;
}
public static GlyphRun[] format_prices(IList<double> prices, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, RegionalTickFactors spec, LadderSettings.PriceDisplayFormat price_display_format) {
public static GlyphRun[] format_prices(IList<double> prices, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, ContractSpecificationImmutable spec, LadderSettings.PriceDisplayFormat price_display_format) {
var result = new GlyphRun[prices.Count];
Parallel.For(0, prices.Count, i =>
result[i] = format_text(spec.format(prices[i]), i, row_height, settings, glyph_context, price_display_format));
@@ -139,12 +143,12 @@ namespace mbts.spark {
bool format_in_tick_terms,
double row_height,
LadderColumnSettings settings,
RegionalTickFactors tick) {
ContractSpecificationImmutable spec) {
if (price_list.IsNullOrEmpty()) {
return;
}
render_prices(
price, glyph_context, price_list, row_height, settings, tick,
price, glyph_context, price_list, row_height, settings, spec,
wrt_price, format_in_tick_terms);
}
@@ -154,12 +158,12 @@ namespace mbts.spark {
IList<double> dprices,
double row_height,
LadderColumnSettings settings,
RegionalTickFactors tick,
ContractSpecificationImmutable spec,
double wrt_price,
bool format_in_tick_terms) {
var foreground = settings.foreground.rgb_brush();
//var background = new SolidColorBrush(settings.background.rgb_color());
var fprices = format_prices(dprices, wrt_price, format_in_tick_terms, row_height, settings, glyph_context, tick);
var fprices = format_prices(dprices, wrt_price, format_in_tick_terms, row_height, settings, glyph_context, spec);
using (var dc = price.RenderOpen())
using (_draw_with_clip(dc, settings, row_height, dprices.Count)) {
//dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
@@ -174,11 +178,11 @@ namespace mbts.spark {
IList<double> dprices,
double row_height,
LadderColumnSettings settings,
RegionalTickFactors tick,
ContractSpecificationImmutable spec,
LadderSettings.PriceDisplayFormat price_display_format) {
var foreground = settings.foreground.rgb_brush();
//var background = new SolidColorBrush(settings.background.rgb_color());
var fprices = format_prices(dprices, row_height, settings, glyph_context, tick, price_display_format);
var fprices = format_prices(dprices, row_height, settings, glyph_context, spec, price_display_format);
using (var dc = price.RenderOpen())
using (_draw_with_clip(dc, settings, row_height, dprices.Count)) {
//dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
@@ -211,7 +215,7 @@ namespace mbts.spark {
IList<double> prices,
NativePriceSize[] rungs,
double row_height,
RegionalTickFactors spec,
ContractSpecificationImmutable spec,
LadderColumnSettings settings,
Func<NativePriceSize, string> fmt,
bool lighten_market_cells,
@@ -244,18 +248,17 @@ namespace mbts.spark {
direct_size: aggr.direct_size + rung.direct_size,
implied_size: aggr.implied_size + rung.implied_size),
rung => {
var ticks = spec.count_ticks(rung.price);
//spec.round_to_tick(rung.price);
var ticks = spec.full_ticks_from_zero(rung.price);
return ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
});
foreach (var rung in row_tick_groups) {
//double price = spec.round_to_tick(rung.price);
var ticks = spec.count_ticks(rung.price);
var ticks = spec.full_ticks_from_zero(rung.price);
var price = ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
// prices are in descending order, so get diff from curr_price - price
var tick_diff = spec.tickdiff(curr_price, price).assert_value();
checked {
curr_index += (int)tick_diff;
}
int tick_diff = spec.tickdiff_unchecked(curr_price, price);
curr_index += tick_diff;
curr_price = price;
if (curr_index >= 0 && curr_index < prices.Count) {
if (market_cell_background_brush != null)
@@ -275,7 +278,7 @@ namespace mbts.spark {
IList<double> prices,
IEnumerable<VolumeAtPriceLevelImmutable> data,
double row_height,
RegionalTickFactors spec,
ContractSpecificationImmutable spec,
VolumeColumnSettings settings,
int last_index,
string last_size_and_direction,
@@ -368,32 +371,27 @@ namespace mbts.spark {
public delegate void RenderCell<T>(DrawingContext dc, int row, T data_item);
static void _render_cells<T>(DrawingVisual dv, double row_height, IEnumerable<(double price, T value)> cells, LadderColumnSettings settings, IList<double> prices, RegionalTickFactors spec, RenderCell<T> render_cell) {
static void _render_cells<T>(DrawingVisual dv, double row_height, IEnumerable<(double price, T value)> data, LadderColumnSettings settings, IList<double> prices, ContractSpecificationImmutable spec, RenderCell<T> render_cell) {
using (var dc = dv.RenderOpen())
using (_draw_with_clip(dc, settings, row_height, prices.Count)) {
if (prices.is_null_or_empty() || cells.is_null_or_empty()) {
if (data.is_null_or_empty())
return;
}
var min_price = prices[prices.Count - 1];
var max_price = prices[0];
Log.assert(min_price.is_real() && max_price.is_real() && min_price <= max_price);
var indexed_cells = cells
.Where(item => item.price.is_real() && item.price.is_within_range(min_price, max_price))
.Select(row => {
checked {
return (row.price, row.value, (int)spec.tickdiff(max_price, row.price));
}
});
foreach (var (price, value, idx) in indexed_cells) {
var check_price = spec.tickdown(max_price, idx);
Log.assert(spec.tick_equals(price, check_price));
Log.assert(idx >= 0 && idx < prices.Count);
render_cell(dc, idx, value);
int curr_index = 0;
double curr_price = prices[curr_index];
foreach (var (price, value) in data) {
if (double.IsNaN(price))
continue;
// prices are in descending order, so get diff from curr_price - price
int tick_diff = spec.tickdiff(curr_price, price) ?? 0;
curr_index += tick_diff;
curr_price = price;
if (curr_index >= 0 && curr_index < prices.Count) {
render_cell(dc, curr_index, value);
} else break;
}
}
}
internal static void render_last(DrawingVisual dv, GlyphContext glyph_context, NativePriceSize last, int index, double row_height, LadderColumnSettings settings, Func<uint, string> fmt_value) {
if (fmt_value is null)
fmt_value = FormattingDelegates.default_string<uint>();
@@ -407,18 +405,36 @@ namespace mbts.spark {
internal static void render_piqs(
DrawingVisual dv,
GlyphContext glyph_context,
int origin_index,
IList<double> prices,
IEnumerable<(double price, uint piq)> pvp,
double row_height,
RegionalTickFactors spec,
ContractSpecificationImmutable spec,
LadderColumnSettings settings,
Func<uint, string> fmt_value
) {
fmt_value ??= FormattingDelegates.default_string<uint>();
var fg = settings.foreground.rgb_brush();
_render_cells(dv, row_height, pvp, settings, prices, spec, (dc, row, piq) =>
dc.DrawGlyphRun(
fg, format_text(fmt_value(piq), row, row_height, settings, glyph_context)));
Func<uint, string> fmt_value) {
//
using (var dc = dv.RenderOpen()) {
using (_draw_with_clip(dc, settings, row_height, prices.Count)) {
if (!prices.within_range(origin_index) || pvp.is_null_or_empty())
return;
if (fmt_value is null)
fmt_value = FormattingDelegates.default_string<uint>();
var foreground = settings.foreground.rgb_brush();
int curr_index = origin_index;
double curr_price = prices[curr_index];
foreach (var entry in pvp) {
double price = entry.price;
// prices are in descending order, so get diff from curr_price - price
int tick_diff = spec.tickdiff_unchecked(curr_price, price);
curr_index += tick_diff;
curr_price = price;
if (curr_index >= 0 && curr_index < prices.Count) {
var gr = format_text(fmt_value(entry.piq), curr_index, row_height, settings, glyph_context);
dc.DrawGlyphRun(foreground, gr);
} else break;
}
}
}
}
public static void render_mkt_break(DrawingVisual dv, int index, double row_height, uint color) =>
@@ -59,9 +59,7 @@ namespace bts.shell.manual_fills {
nameof(quantity_display),
() => {
var sec_meta = security.HasValue ? _sec_meta_store.get(security.Value) : null;
return sec_meta?.HasQuantityDisplay ?? false ?
sec_meta.Value.QuantityDisplay :
Security.Defaults.quantity_display_settingsi;
return sec_meta?.QuantityDisplay ?? Security.Defaults.quantity_display_settingsi;
});
// TODO (prob): remove conversion_data. Replace get_qty_display_divisor delegates w/
// TickDisplaySettingsImmutable for qty, obtained via ISecurityMetadataStore.
@@ -31,12 +31,10 @@
ItemsSource="{Binding rows_view}"
MinRowHeight="17"
RowHeaderWidth="22"
Background="{u:BTSColor ManualFills.background}"
>
<!--Row Header Style-->
<DataGrid.RowHeaderStyle>
<Style TargetType="DataGridRowHeader">
<Setter Property="Background" Value="transparent"/>
<Setter Property="Content" Value="{Binding}"/>
<Setter Property="ContentTemplate">
<Setter.Value>
@@ -125,12 +123,8 @@
<!--Row Style-->
<DataGrid.RowStyle>
<Style TargetType="DataGridRow">
<Setter Property="Background" Value="{u:BTSColor Grid.default_row_background}"/>
<Setter Property="IsSelected" Value="{Binding is_selected, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"/>
<Style.Triggers>
<Trigger Property="DataGridRow.AlternationIndex" Value="1">
<Setter Property="Background" Value="{u:BTSColor Grid.alternate_row_background}"/>
</Trigger>
<DataTrigger Binding="{Binding IsSelected, RelativeSource={RelativeSource Self}}" Value="True">
<Setter Property="Background" Value="{StaticResource SelectedRowBackground}"/>
</DataTrigger>
@@ -73,7 +73,7 @@ namespace Spark.Trading {
meta.Value.Value.PriceDisplay : Security.Defaults.price_display_settingsi;
if (security.HasValue) {
rv = rv.with(
tick_factors: security.Value.regional_ticks().low_tick.to_api_tick_factors());
tick_factors: security.spec_or_default().tick_factors().to_api_tick_factors());
}
return rv;
}
@@ -769,7 +769,7 @@ namespace mbts.spark {
return;
}
var price_display = TickUtils.get_tick(row.security, price ?? 0).to_api_tick_display_settingsi();
var price_display = row.contract_spec?.tick_factors()?.to_api_tick_display_settingsi();
var update_desc = OrderUtils.update_description(
row.order, price, quantity, price_display, row.quantity_display_settings);
Log.Ui.info(
@@ -179,7 +179,8 @@ namespace mbts.spark {
using var _ = detect_property_changes(
nameof(spec),
nameof(display_quantity_divisor),
nameof(quantity_display));
nameof(quantity_display),
nameof(unit_quantity));
_security_md = value;
bbo.security_md = value;
_payup_bid_cmd.RaiseCanExecuteChanged();
@@ -209,6 +210,9 @@ namespace mbts.spark {
}
}
public double unit_quantity =>
(security?.ContractSpec)?.tick_factors()?.tick_unit_frac() ?? 1;
public AlgoDefinitionVM algo_vm { get; }
public IReadOnlyObservableCollection<AlgoParamRowVM> param_rows { get; }
public BBOVM bbo { get; }
@@ -293,10 +293,7 @@ namespace bts.shell.pnl {
return _quantity_display_backing.Value;
}
if (security.HasValue) {
var sec_meta = _sec_meta_store.get(security.Value);
if (sec_meta?.HasQuantityDisplay ?? false) {
_quantity_display_backing = sec_meta.Value.QuantityDisplay;
}
_quantity_display_backing = _sec_meta_store.get(security.Value)?.QuantityDisplay;
}
return _quantity_display_backing ??= Security.Defaults.quantity_display_settingsi;
}
@@ -121,7 +121,7 @@ namespace bts.shell {
void _on_orders(TableUpdate<(SecurityImmutable? sec, OrderRecordImmutable order), uint> update) {
// must update notification_service_data_cache first, some of the predicate/triggers (esp. ToastNotifications) will use the notification_service_data_cache to lookup order-history
_data_cache.update(update);
_data_cache.update(update.as_iincremental());
foreach (var o in update.added.Concat(update.changed))
_order_notifications.process_item(o);
}
@@ -1,157 +1,89 @@
using bts.api;
using bts.api.core;
using bts.api.orderman;
using mbts.spark;
using mbts.utils;
using System;
using System.Collections.Generic;
using System.Linq;
namespace bts.shell {
// Any predicate-sound/notifications that need to reference previous data (i.e. notifications based on change/time, or state changes) should use the INotificationServiceDataCache.
// The INotificationService updates these caches in its IObservable.OnNext callbacks, just before calling all of the predicate-trigger methods.
// Therfore, data referenced through this interface is guarenteed to be up-to-date, and thread safe. It also reduces performance overhead by avoiding redundant bookeeping.
// Note: last_order_reset_time can be used by sound/toast-notification sources to avoid sending false-positive notifications for old orders (i.e. all the orders that arrive in the first update on startup/server restart)
// --------------------------------------------------------------------------------------------------------------------------------------------
// IMPOARTANT!!! The current implementation of this interface is NOT INTENDED FOR GENERAL USE - order_history is NOT THREAD-SAFE
interface INotificationServiceDataCache {
bool is_first_order_update { get; }
IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history { get; }
}
static class NotificationServiceDataCacheExtensions {
public static OrderSecurity? get_previous_order_state(this INotificationServiceDataCache notification_service_data_cache, uint key) {
if (notification_service_data_cache.order_history.TryGetValue(key, out List<TimeStampedData<OrderSecurity>> l)) {
if (l.Count > 1) {
return l[l.Count - 2].data;
}
}
return null;
}
}
struct TimeStampedData<T> {
public readonly T data;
public readonly DateTime time_stamp;
public TimeStampedData(T data, DateTime time_stamp) {
this.data = data;
this.time_stamp = time_stamp;
}
}
partial class NotificationService : INotificationService, IDisposable {
class DataCache : INotificationServiceDataCache {
const int _ORDER_HISTORY_BUFFER_SIZE = 10;
const int _TABLE_HISTORY_BUFFER_SIZE = 5;
readonly Dictionary<uint, OrderSecurity> _order_cache = new Dictionary<uint, OrderSecurity>();
readonly Dictionary<uint, List<TimeStampedData<OrderSecurity>>> _order_history = new Dictionary<uint, List<TimeStampedData<OrderSecurity>>>();
readonly List<(TableUpdate<(SecurityImmutable?, OrderRecordImmutable), uint>, DateTime)> _table_history = new(_TABLE_HISTORY_BUFFER_SIZE);
readonly object _lock = new();
public IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history => _order_history;
public bool is_first_order_update { get; private set; }
internal void update(TableUpdate<(SecurityImmutable? sec, OrderRecordImmutable order), uint> table) {
// First, try processing the update per usual (incrementally). If it throws,
// then log the exception and reset the state.
DateTime now = DateTime.Now;
lock (_lock) {
_circular_buffer_add(_table_history, (table, now), _TABLE_HISTORY_BUFFER_SIZE);
try {
impl();
return;
} catch (Exception ex) {
var table_history_desc = _fmt_order_table_history_safe();
Log.Ui.error(
$"Error processing order update in NotificationService: {ex}.\n" +
$"***Last table updates below***\n" +
table_history_desc);
}
// This is the 'escape' path. It really shouldn't throw.
reset();
}
void impl() {
if (table.state.Count == 0) {
_order_cache.Clear();
}
is_first_order_update = _order_cache.Count == 0 && table.state.Count > 0;
foreach (var order in table.removed) {
var k = table.key(order);
_order_cache.Remove(k);
_order_history.Remove(k);
}
foreach (var ch in table.changes) {
var k = table.key(ch.New);
_order_cache[k] = ch.New;
_order_history[k].Add(new(ch.New, now));
}
foreach (var order in table.added) {
var k = table.key(order);
_order_cache[k] = order;
var hist = _order_history.GetOrAdd(k, _ => new());
_circular_buffer_add(hist, new(order, now), _ORDER_HISTORY_BUFFER_SIZE);
}
}
void reset() {
_order_cache.Clear();
_order_history.Clear();
_table_history.Clear();
foreach (var (k, order) in table.state) {
_order_cache[k] = order;
_order_history.GetOrAdd(k, _ => new()).Add(new(order, now));
}
is_first_order_update = true;
}
}
static void _circular_buffer_add<T>(List<T> list, T item, int buffer_size) {
Log.assert(buffer_size > 0);
if (list.Count > buffer_size - 1) {
// Remove oldest items (trim front)
list.RemoveRange(
0, list.Count - (buffer_size - 1));
}
list.Add(item);
}
string _fmt_order_table_history_safe() {
return _fmt_table_history_safe(_table_history, fmt_order_tup);
static string fmt_order_tup((SecurityImmutable?, OrderRecordImmutable) order_tup) {
var (sec, order) = order_tup;
var order_desc = OrderUtils.short_description(order, sec.spec_or_default());
var sec_desc = sec?.ToString() ?? ("sid=" + order.security_key().ToString());
return $"{sec_desc} {order_desc}";
}
}
static string _fmt_table_history_safe<T, TKey>(
List<(TableUpdate<T, TKey>, DateTime)> table_history, Func<T, string> fmt_value) where TKey : IEquatable<TKey> {
var table_history_desc = new System.Text.StringBuilder();
for (int i = 0; i < table_history.Count; i++) {
var (table, time_stamp) = table_history[i];
table_history_desc.AppendLine(
$"Update - {table_history.Count - i}, at {time_stamp:yyyy-MM-dd hh:mm:ss.ffffff}");
table_history_desc.AppendLine(_fmt_table_safe(table, fmt_value));
}
return table_history_desc.ToString();
}
static string _fmt_table_safe<T, TKey>(
TableUpdate<T, TKey> table, Func<T, string> fmt_value) where TKey : IEquatable<TKey> {
try {
return table.description(fmt_value);
} catch (Exception ex) {
return $"Exception while formatting TableUpdate: ${ex}";
}
}
}
}
}
using bts.api;
using bts.api.orderman;
using mbts.spark;
using mbts.utils;
using System;
using System.Collections.Generic;
namespace bts.shell {
// Any predicate-sound/notifications that need to reference previous data (i.e. notifications based on change/time, or state changes) should use the INotificationServiceDataCache.
// The INotificationService updates these caches in its IObservable.OnNext callbacks, just before calling all of the predicate-trigger methods.
// Therfore, data referenced through this interface is guarenteed to be up-to-date, and thread safe. It also reduces performance overhead by avoiding redundant bookeeping.
// Note: last_order_reset_time can be used by sound/toast-notification sources to avoid sending false-positive notifications for old orders (i.e. all the orders that arrive in the first update on startup/server restart)
// --------------------------------------------------------------------------------------------------------------------------------------------
// IMPOARTANT!!! The current implementation of this interface is NOT INTENDED FOR GENERAL USE - order_history is NOT THREAD-SAFE
interface INotificationServiceDataCache {
DateTime last_order_reset_time { get; }
bool is_first_order_update { get; }
IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history { get; }
}
static class NotificationServiceDataCacheExtensions {
public static OrderSecurity? get_previous_order_state(this INotificationServiceDataCache notification_service_data_cache, uint key) {
if (notification_service_data_cache.order_history.TryGetValue(key, out List<TimeStampedData<OrderSecurity>> l)) {
if (l.Count > 1) {
return l[l.Count - 2].data;
}
}
return null;
}
}
struct TimeStampedData<T> {
public readonly T data;
public readonly DateTime time_stamp;
public TimeStampedData(T data, DateTime time_stamp) {
this.data = data;
this.time_stamp = time_stamp;
}
}
partial class NotificationService : INotificationService, IDisposable {
class DataCache : INotificationServiceDataCache {
const int _buffer_size = 10;
readonly Dictionary<uint, OrderSecurity> _order_cache = new Dictionary<uint, OrderSecurity>();
readonly Dictionary<uint, List<TimeStampedData<OrderSecurity>>> _order_history = new Dictionary<uint, List<TimeStampedData<OrderSecurity>>>();
public IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history => _order_history;
public DateTime last_order_reset_time { get; private set; }
public bool is_first_order_update { get; private set; }
internal void update(IIncrementalUpdate<(SecurityImmutable? sec, OrderRecordImmutable order), uint> data) {
DateTime now = DateTime.Now;
if (data.removed.Count == _order_cache.Count) {
last_order_reset_time = now;
_order_cache.Clear();
}
is_first_order_update = _order_cache.Count == 0 && data.added.Count > 0;
foreach (var kv in data.removed) {
if (data.added.ContainsKey(kv.Key)) {
_order_cache[kv.Key] = kv.Value;
_order_history[kv.Key].Add(new TimeStampedData<OrderSecurity>(kv.Value, now));
} else {
_order_cache.Remove(kv.Key);
// TODO: maybe these shouldn't be removed?
// if we add delta/time predicates that need to refer to order history, we might need to keep them around
// although, if the server is telling us to remove them, perhaps we shouldn't consider such data.
_order_history.Remove(kv.Key);
}
}
foreach (var kv in data.added) {
if (data.removed.ContainsKey(kv.Key))
continue;
_order_cache.Add(kv.Key, kv.Value);
_order_history.AddOrUpdate(kv.Key,
k => new List<TimeStampedData<OrderSecurity>> { new TimeStampedData<OrderSecurity>(kv.Value, now) },
(k, l) => {
l.Add(new TimeStampedData<OrderSecurity>(kv.Value, now));
if (l.Count >= 10)
l.RemoveAt(0);
});
}
}
}
}
}
@@ -11,8 +11,6 @@ using System.Reactive.Linq;
using System.Windows.Input;
namespace mbts.spark {
using RegionalTickFactors = user.settings.RegionalTickFactors;
class InlineOrderTicketProperties {
public readonly InlineUserProperty<double> price;
public readonly InlineUserProperty<double> size;
@@ -104,7 +102,6 @@ namespace mbts.spark {
public SecurityImmutable security => _security.Value;
public double price { get; set; }
public RegionalTickFactors price_tick => security.regional_ticks();
public CalculatorLogic<double> size_calculator { get; }
public double display_quantity_divisor {
get => _display_quantity_divisor;
@@ -225,7 +225,10 @@ namespace bts.spark {
var security = try_get_security(order.Def.SecurityKey);
var change_descs = new List<string>(1);
var price_display = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
TickDisplaySettingsImmutable? price_display =
security.HasValue && security.Value.HasContractSpec ?
security.Value.ContractSpec.tick_factors().to_api_tick_display_settingsi() : null;
var price_qty_change_desc = OrderUtils.update_description(
order, price, size, price_display);
@@ -74,7 +74,7 @@
<usp:PriceEntryControl
Grid.ColumnSpan="2"
usp:OrderModificationControl.IsDirty="{Binding price_dirty, FallbackValue={x:Null}}"
RegionalTick="{Binding price_tick}"
ContractSpec="{Binding security.ContractSpec}"
Focusable="false"
TickDefaultValue="{Binding current_price, Converter={StaticResource TickDefaultPriceConverter}, FallbackValue={u:Double 0}}"
Value="{Binding price}"
+8 -5
View File
@@ -254,14 +254,17 @@ namespace mbts.spark {
$"{(order.HasDef ? order.Def.Side.ToString() : "(unknown-side)")} {(order.HasState ? ($@"{spec.format(order.State.Price)} @ {order.State.Quantity}") : "(unknown-price) @ (unknown-quantity)")}";
public static string short_description(
SecurityImmutable security, Side side, double price, double quantity) {
var price_display = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
return new StringBuilderEx(
SecurityImmutable security, Side side, double price, double quantity) =>
new StringBuilderEx(
security.ToString(), " ",
side.ToString(), " ",
price_quantity_description(price, quantity, price_display)
price_quantity_description(price, quantity, security.spec_or_default())
).ToString();
}
public static string price_quantity_description(
double price, double quantity, ContractSpecificationImmutable spec) =>
price_quantity_description(
price, quantity, spec.tick_factors().to_api_tick_display_settingsi());
public static string price_quantity_description(
double price,
@@ -90,8 +90,7 @@ namespace mbts {
}
var sec = order.security;
var sec_meta = sec.HasValue ? _sec_meta_store.get(sec.Value) : null;
var qty_display = sec_meta?.HasQuantityDisplay ?? false ?
sec_meta.Value.QuantityDisplay :
var qty_display = sec_meta?.QuantityDisplay ??
Security.Defaults.quantity_display_settingsi;
return ToastNotifications.order_completed(order, qty_display);
}
@@ -190,24 +190,13 @@ namespace mbts.analytics {
}
}
void _compute_swipe_sum() {
swipe_sum_puts = 0;
swipe_sum_calls = 0;
swipe_sum_net = 0;
foreach (var (row, exps) in _visible_selected_cells) {
foreach (var exp in exps) {
var (p, c, n) = row.get_cell_values(exp);
if (!p.is_nan()) {
swipe_sum_puts += p;
}
if (!c.is_nan()) {
swipe_sum_calls += c;
}
if (!n.is_nan()) {
swipe_sum_net += n;
}
}
}
}
void _compute_swipe_sum() =>
(swipe_sum_puts, swipe_sum_calls, swipe_sum_net) = _visible_selected_cells
.SelectMany(tup =>
tup.exps.Select(exp => {
var (p, c, n) = tup.row.get_cell_values(exp);
return (p.if_nan(0), c.if_nan(0), n.if_nan(0));
}))
.Sum();
}
}
+20 -32
View File
@@ -1,5 +1,4 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0-windows</TargetFramework>
<UseWPF>true</UseWPF>
@@ -22,39 +21,33 @@
<RootNamespace>bts</RootNamespace>
<TreatWarningsAsErrors>true</TreatWarningsAsErrors>
<WarningsAsErrors />
<Version>$(major).$(minor).$(patch)</Version>
<Version Condition="'$(version)'=='..'">1.0.0</Version>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="CommandLineParser" Version="2.9.1" />
<PackageReference Include="GitVersion.MsBuild" Version="5.12.0">
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
<PrivateAssets>all</PrivateAssets>
</PackageReference>
<PackageReference Include="Google.Protobuf" Version="3.24.3" />
<PackageReference Include="IronPython" Version="3.4.1" />
<PackageReference Include="MathNet.Numerics" Version="5.0.0" />
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.2.0" />
<PackageReference Include="NAudio" Version="2.0.1" />
<PackageReference Include="NUnit" Version="3.13.3" />
<PackageReference Include="NUnit3TestAdapter" Version="4.2.1" />
<PackageReference Include="Newtonsoft.Json" Version="13.0.1" />
<PackageReference Include="OxyPlot.Core" Version="2.1.2" />
<PackageReference Include="OxyPlot.Wpf" Version="2.1.2" />
<PackageReference Include="protobuf-net" Version="3.2.26" />
<PackageReference Include="System.Composition" Version="7.0.0-preview.2.22152.2" />
<PackageReference Include="System.Composition.AttributedModel" Version="7.0.0-preview.2.22152.2" />
<PackageReference Include="System.Composition.Hosting" Version="7.0.0-preview.2.22152.2" />
<PackageReference Include="System.Composition.TypedParts" Version="7.0.0-preview.2.22152.2" />
<PackageReference Include="System.Reactive" Version="6.0.0" />
<PackageReference Include="System.Reactive.Core" Version="6.0.0" />
<PackageReference Include="System.Reactive.Interfaces" Version="6.0.0" />
<PackageReference Include="System.Reactive.Linq" Version="6.0.0" />
<PackageReference Include="System.Reactive.PlatformServices" Version="6.0.0" />
</ItemGroup>
<ItemGroup>
<ProjectReference Include="..\spark_api\spark_api.csproj" />
<ProjectReference Include="..\spark_core\spark_core.csproj" />
<PackageReference Include="System.Reactive.Core" Version="5.0.0" />
<PackageReference Include="System.Reactive.Interfaces" Version="5.0.0" />
<PackageReference Include="System.Reactive.Linq" Version="5.0.0" />
<PackageReference Include="System.Reactive.PlatformServices" Version="5.0.0" />
<PackageReference Include="CommandLineParser" Version="2.9.1" />
<ProjectReference Include="../spark_api/spark_api.csproj" />
<ProjectReference Include="../spark_core/spark_core.csproj" />
<PackageReference Include="Google.Protobuf" Version="3.21.4" />
<PackageReference Include="IronPython" Version="2.7.12" />
<PackageReference Include="NAudio" Version="2.0.1" />
<PackageReference Include="Newtonsoft.Json" Version="13.0.1" />
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.2.0" />
<PackageReference Include="NUnit" Version="3.13.3" />
<PackageReference Include="NUnit3TestAdapter" Version="4.2.1" />
<PackageReference Include="System.Reactive" Version="5.0.0" />
<PackageReference Include="protobuf-net" Version="3.1.17" />
<PackageReference Include="OxyPlot.Core" Version="2.1.2" />
<PackageReference Include="OxyPlot.Wpf" Version="2.1.2" />
</ItemGroup>
<ItemGroup>
@@ -62,20 +55,15 @@
<Resource Include="**/*.png" />
<ConfigDefaults Include="../../lib/config/defaults/*.conf" />
</ItemGroup>
<ItemGroup>
<Resource Remove="logo.ico" />
</ItemGroup>
<ItemGroup>
<Content Include="logo.ico" />
</ItemGroup>
<ItemGroup>
<EmbeddedResource Include="Sounds/game_sound_correct.wav" />
<EmbeddedResource Include="Sounds/whistle.wav" />
</ItemGroup>
<Target Name="diagnostic" AfterTargets="PreBuildEvent" />
</Project>
+3 -9
View File
@@ -169,7 +169,7 @@ namespace mbts.spark {
public static ITag<int> CreateHeatmapTag { get; } = _mk_tag<int>();
// Publisher: VolSurfaceBlackboardManager
// User: VolSurfaceModule
// User: VoLSurfaceModule
public static ITag<IDictionary<int, string>> VolSurfaceListTag { get; } =
_mk_tag<IDictionary<int, string>>();
@@ -202,17 +202,11 @@ namespace mbts.spark {
public static ITag<VolSurfaceCalculationRequest> VolSurfaceCalculationRequestTag(int vs_id) =>
_mk_tag<VolSurfaceCalculationRequest, int>(vs_id);
public static ITag<VolSurfaceCalculationRequest> VolSurfaceAutoCalculationRequestTag(int vs_id) =>
_mk_tag<VolSurfaceCalculationRequest, int>(vs_id);
// Publisher : SingleVolSurfaceRequestCalculator
// Data : VolSurfaceCalculationResponse
public static ITag<VolSurfaceCalculationResponse> VolSurfaceCalculationResponseTag(int vs_id) =>
_mk_tag<VolSurfaceCalculationResponse, int>(vs_id);
public static ITag<VolSurfaceCalculationResponse> VolSurfaceAutoCalculationResponseTag(int vs_id) =>
_mk_tag<VolSurfaceCalculationResponse, int>(vs_id);
// When the UI intends to save the vol surface (data or input)
// Publisher: VolSurfaceDisplayModel
public static ITag<VolSurfaceInput> VolSurfaceCommitTag(int vs_id) =>
@@ -266,8 +260,8 @@ namespace mbts.spark {
// List of symbol to volsurface mapping.
// Publisher: VolSurfaceBlackboardManager
public static ITag<VolSurfaceUsageListImmutable?> VolSurfaceUsageTag { get; } =
_mk_tag<VolSurfaceUsageListImmutable?>();
public static ITag<VolSurfaceUsageListImmutable> VolSurfaceUsageTag { get; } =
_mk_tag<VolSurfaceUsageListImmutable>();
// The AW2 machinary can compute and publish the theos
// right back locally(vs the server doing that) if configured that way.
@@ -591,9 +591,9 @@ namespace mbts.ui {
// Disabled
public static BTSColor disabled_border => UI.input_disabled_border;
public static BTSColor disabled_background => Button.disabled_background;
public static BTSColor disabled_foreground => Button.disabled_foreground;
public static BTSColor disabled_text => Button.disabled_foreground;
public static BTSColor disabled_background => UI.input_disabled_background;
public static BTSColor disabled_foreground => normal_foreground;
public static BTSColor disabled_text => normal_text;
public static BTSColor disabled_glyph => normal_glyph;
public static BTSColor disabled_button_border => BTSCoreColors.transparent;
public static BTSColor disabled_button_background => BTSCoreColors.transparent;
@@ -647,7 +647,8 @@ namespace mbts.ui {
public static BTSColor pressed_editable_button_background => pressed_button_background;
public static BTSColor pressed_editable_button_border => pressed_button_border;
public static BTSColor disabled_editable_background => Core.transparent;
public static BTSColor disabled_editable_background =>
editable_background.blend(disabled_background);
public static BTSColor disabled_editable_border =>
editable_border.blend(disabled_border);
@@ -1041,21 +1042,6 @@ namespace mbts.ui {
public static BTSColor foreground => UI.default_text;
public static BTSColor footer_foreground => foreground;
}
public static class ExecutionStrategy {
public static BTSColor expander_background => Core.transparent;//Grid.dark_column_background;
public static BTSColor expander_foreground => UI.default_text;
public static BTSColor data_grid_row_header_background => Core.transparent;
public static BTSColor data_grid_row_header_foreground => UI.default_text;
public static BTSColor data_grid_background => Grid.default_row_background;
public static BTSColor default_column_background => Grid.default_row_background;
public static BTSColor alternate_column_background => Grid.alternate_row_background;// 0xff494957;
public static BTSColor arrow_background => UI.default_text;
public static BTSColor arrow_background_selected => UI.alternate_text;
}
public static class ManualFills {
public static BTSColor background => UI.common_background;
}
public static class AlgoStudio {
public static BTSColor background => UI.default_background;
public static BTSColor foreground => UI.default_foreground;
+1 -6
View File
@@ -76,11 +76,6 @@
<Color x:Key="ComboBox.Pressed.Editable.BackgroundColor">#707070</Color>
<Color x:Key="ComboBox.Pressed.Editable.Button.BackgroundColor">#FFC4E0FC</Color>
<Color x:Key="ComboBox.Disabled.Editable.BackgroundColor">#FFE5E5E5</Color>
<Color x:Key="ComboBox.Disabled.Editable.BorderColor">#FFD9D9D9</Color>
<Color x:Key="ComboBox.Disabled.Editable.Button.BackgroundColor">#FFE5E5E5</Color>
<Color x:Key="ComboBox.Disabled.Editable.Button.BorderColor">#FFD9D9D9</Color>
<SolidColorBrush x:Key="ComboBox.Static.Background" Color="{StaticResource ComboBox.Static.BackgroundColor}" />
<SolidColorBrush x:Key="ComboBox.Static.Foreground" Color="{StaticResource ComboBox.Static.ForegroundColor}" />
<SolidColorBrush x:Key="ComboBox.Static.Border" Color="{StaticResource ComboBox.Static.BorderColor}"/>
@@ -103,7 +98,7 @@
<SolidColorBrush x:Key="ComboBox.Disabled.Border" Color="{StaticResource ComboBoxDisabledBorderColor}"/>
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Background" Color="{StaticResource ComboBox.Disabled.Editable.BackgroundColor}" />
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Border" Color="{StaticResource ComboBox.Disabled.Editable.BorderColor}" />
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Button.Background" Color="{StaticResource ComboBox.Disabled.Editable.Button.BackgroundColor}" />
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Button.Background" Color="{StaticResource ComboBox.Disabled.Editable.BackgroundColor}" />
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Button.Border" Color="{StaticResource ComboBox.Disabled.Editable.Button.BorderColor}" />
<SolidColorBrush x:Key="ComboBox.Static.Glyph" Color="#FF606060"/>
@@ -35,7 +35,7 @@
<Setter Property="Focusable" Value="False"/>
<Setter Property="IsTabStop" Value="False"/>
<Setter Property="OverridesDefaultStyle" Value="True"/>
<Setter Property="Background" Value="{u:BTSColor UI.ScrollBar.thumb_pressed}"/>
<Setter Property="Background" Value="{u:BTSColor ScrollBar.thumb_pressed}"/>
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="Thumb">
@@ -224,18 +224,18 @@
<VisualState Name="Normal"/>
<VisualState Name="MouseOver">
<Storyboard>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor ScrollBar.thumb_mouse_over}"/>
</Storyboard>
</VisualState>
<VisualState Name="Pressed">
<Storyboard>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_pressed}"/>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor ScrollBar.thumb_pressed}"/>
</Storyboard>
</VisualState>
</VisualStateGroup>
</VisualStateManager.VisualStateGroups>
<Thumb.Background>
<SolidColorBrush Color="{u:BTSColor UI.ScrollBar.thumb_static}"/>
<SolidColorBrush Color="{u:BTSColor ScrollBar.thumb_static}"/>
</Thumb.Background>
</Thumb>
</Track.Thumb>
@@ -380,18 +380,18 @@
<VisualState Name="Normal"/>
<VisualState Name="MouseOver">
<Storyboard>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{StaticResource u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{StaticResource u:BTSColor ScrollBar.thumb_mouse_over}"/>
</Storyboard>
</VisualState>
<VisualState Name="Pressed">
<Storyboard>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_presseds}"/>
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor ScrollBar.thumb_presseds}"/>
</Storyboard>
</VisualState>
</VisualStateGroup>
</VisualStateManager.VisualStateGroups>
<Thumb.Background>
<SolidColorBrush Color="{u:BTSColor UI.ScrollBar.thumb_static}"/>
<SolidColorBrush Color="{u:BTSColor ScrollBar.thumb_static}"/>
</Thumb.Background>
</Thumb>
</Track.Thumb>
@@ -10,8 +10,8 @@
</ResourceDictionary.MergedDictionaries>
<Style x:Key="LogViewer.TextBox" TargetType="TextBox">
<Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}" />
<Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}" />
<Setter Property="Background" Value="{StaticResource TextBox.BackgroundBrush}" />
<Setter Property="Foreground" Value="{StaticResource TextBox.ForegroundBrush}" />
<Setter Property="BorderThickness" Value="0" />
</Style>
@@ -15,16 +15,12 @@ using System.Windows.Controls;
using System.Windows.Input;
namespace mbts.ui.spark {
using RegionalTickFactors = user.settings.RegionalTickFactors;
using TickDisplaySettings = user.settings.TickDisplaySettings;
/// <summary>
/// Interaction logic for PriceEntryControl.xaml
/// </summary>
class PriceEntryControl : Control {
readonly PropertyUpdateGate _price_text_gate = new PropertyUpdateGate();
ContractSpecificationImmutable? _spec;
RegionalTickFactors _tick;
TextBox _text;
IDisposable _text_hooks;
double? _raw_value;
@@ -57,17 +53,16 @@ namespace mbts.ui.spark {
(o, v) => o._update_text(v),
(o, v) => {
o._raw_value = v;
if ((!o._spec.HasValue && o._tick is null) || DoubleHelper.IsNaNOrInfinity(v))
if (!o._spec.HasValue || DoubleHelper.IsNaNOrInfinity(v))
return v;
// Note: the decimal cast here is important bc double-rounding errors can cause the keyboard text to conflict with poorly rounded result, and negate Tick Up/Down commands.
// This happens bc the tick up/down commands flush the current text before inc/decrementing.
var v_dec = (decimal)v;
var rounded = (double)(o._tick?.round_to_tick(v_dec) ?? o._spec.Value.round_to_tick(v_dec));
if (MathUtils.epsilon_equals(rounded, v)) {
double tick = (double)o._spec.Value.round_to_tick((decimal)v);
if (MathUtils.epsilon_equals(tick, v)) {
// this value has already been rounded, don't make it re-enter the CoerceValueCallback delegate.
return v;
}
return rounded;
return tick;
},
double.NaN);
@@ -107,26 +102,6 @@ namespace mbts.ui.spark {
public ContractSpecificationImmutable? ContractSpec { get => GetValue(ContractSpecProperty) as ContractSpecificationImmutable?; set => SetValue(ContractSpecProperty, value); }
#endregion
#region RegionalTick
public static readonly DependencyProperty RegionalTickProperty =
WPFHelper.create_dp<RegionalTickFactors, PriceEntryControl>(
nameof(RegionalTick),
(o, v) => {
o._tick = v;
if (o._raw_value.HasValue) {
o.SetCurrentValue(ValueProperty, o._raw_value.Value);
if (o.AlwaysReformatOnSpecChange)
o._update_text();
}
}, RegionalTickFactors.Default);
public RegionalTickFactors RegionalTick {
get => GetValue(RegionalTickProperty) as RegionalTickFactors;
set => SetValue(RegionalTickProperty, value);
}
#endregion
/// TODO: verify that this control behaves correctly when <see cref="AlwaysReformatOnSpecChange"/> is true (ideally this prop will be removed, and this control will always behave is if the prop is true).
/// Because this control is ubiquitious in our application, such verification will require careful, meticulous analysis.
/// Until such verification is complete, this boolean property will be used to trigger the behavior, so unsuspecting instances of this control will not be affected.
@@ -151,8 +126,6 @@ namespace mbts.ui.spark {
double v = Value;
if (double.IsNaN(v)) {
SetCurrentValue(ValueProperty, TickDefaultValue);
} else if (_tick is not null) {
SetCurrentValue(ValueProperty, _tick.tickup(v));
} else {
var spec = ContractSpec;
if (spec.HasValue) SetCurrentValue(ValueProperty, spec.Value.tickup(v));
@@ -164,8 +137,6 @@ namespace mbts.ui.spark {
double v = Value;
if (double.IsNaN(v)) {
SetCurrentValue(ValueProperty, TickDefaultValue);
} else if (_tick is not null) {
SetCurrentValue(ValueProperty, _tick.tickdown(v));
} else {
var spec = ContractSpec;
if (spec.HasValue) SetCurrentValue(ValueProperty, spec.Value.tickdown(v));
@@ -178,15 +149,7 @@ namespace mbts.ui.spark {
void _update_text(double v) {
if (_text != null)
_price_text_gate.try_update(() => {
if (_tick is not null) {
var settings = TickDisplaySettings.Default;
settings.tick_factors = _tick.get_tick_for(v);
_text.Text = _tick.format(v, settings);
return;
}
_text.Text = _spec.HasValue ? _spec.Value.format(v, double.NaN, false, string.Empty) : v.ToString();
});
_price_text_gate.try_update(() => _text.Text = _spec.HasValue ? _spec.Value.format(v, double.NaN, false, string.Empty) : v.ToString());
}
void _update_value() =>
@@ -485,10 +485,6 @@
Width="{TemplateBinding Width}"
MinWidth="{TemplateBinding MinWidth}"
MaxWidth="{TemplateBinding MaxWidth}"
TickUpCommand="{TemplateBinding TickUpCommand}"
TickUpCommandParameter="{TemplateBinding TickUpCommandParameter}"
TickDownCommand="{TemplateBinding TickDownCommand}"
TickDownCommandParameter="{TemplateBinding TickDownCommandParameter}"
>
<TextBox
Name="PART_TextBox"
@@ -1,7 +1,6 @@
#nullable enable
namespace mbts.ui.controls {
using bts.api.domain;
using bts.utils;
using mbts.ui.extensions;
using mbts.ui.utilities;
@@ -229,12 +228,6 @@ namespace mbts.ui.controls {
get => _explicit_props.value;
set => _explicit_props.value = value;
}
bool _has_valid_bounds =>
Minimum < Maximum;
T _default_value =>
_has_valid_bounds ? T.Zero.within_range(Minimum, Maximum) : T.Zero;
public override void OnApplyTemplate() {
Disposable.dispose(ref _text_hooks);
@@ -279,7 +272,7 @@ namespace mbts.ui.controls {
var v = _value_d;
if (!v.HasValue) {
if (AllowNullTick) {
SetCurrentValue(ValueProperty, _default_value);
SetCurrentValue(ValueProperty, T.Zero);
}
return;
}
@@ -287,10 +280,6 @@ namespace mbts.ui.controls {
TickUpDownHelper.nullable_tick_up(v, _increment_d, out var result_d, _maximum_d) :
TickUpDownHelper.nullable_tick_down(v, _increment_d, out result_d, _minimum_d)) {
var result = NumericCastOutConverter<T>.convert(result_d.assert_value());
// Enforce min/max bounds (if bounds are valid)
if (_has_valid_bounds) {
result = result.within_range(Minimum, Maximum);
}
SetCurrentValue(ValueProperty, result);
CoerceValue(ValueProperty);
}
@@ -8,8 +8,6 @@ using System.Globalization;
using System.Windows.Data;
namespace mbts.ui.converters {
using RegionalTickFactors = user.settings.RegionalTickFactors;
class TickDisplayConverter : IMultiValueConverter {
public static TickDisplayConverter Instance => new();
@@ -26,13 +24,10 @@ namespace mbts.ui.converters {
if (values.Length == 2 && values[1] is bts.api.domain.TickDisplaySettingsImmutable tdsi) {
return tdsi.to_tick_display_settings().format(price);
}
var spec = get_val<ContractSpecificationImmutable?>(values, 1);
var spec = get_val<ContractSpecificationImmutable?>(values, 1) ??
Security.Defaults.ContractSpecificationImmutable;
var settings = get_val<mbts.user.settings.TickDisplaySettings>(values, 2);
if (spec.HasValue) {
return spec.Value.format(price, settings);
}
var rtick = get_val<RegionalTickFactors>(values, 1) ?? RegionalTickFactors.Default;
return rtick.format(price, settings);
return spec.format(price, settings);
}
public object[] ConvertBack(object value, Type[] targetTypes, object parameter, CultureInfo culture) =>
@@ -34,8 +34,7 @@
</Style>
<Style x:Key="DisabledPlaceholderComboBox" TargetType="ComboBox">
<Setter Property="IsEnabled" Value="False"/>
<Setter Property="Foreground" Value="{u:BTSColor UI.ComboBox.disabled_foreground}"/>
<Setter Property="Background" Value="{u:BTSColor UI.ComboBox.disabled_button_background}"/>
<Setter Property="Foreground" Value="Gray"/>
<Setter Property="SelectedIndex" Value="0"/>
<Setter Property="ItemsSource">
<Setter.Value>
@@ -386,9 +386,9 @@
<ControlTemplate x:Key="DataGridRowDefaultTemplate" TargetType="DataGridRow">
<Border
x:Name="DGR_Border"
Background="{TemplateBinding Background}"
BorderBrush="{TemplateBinding BorderBrush}"
BorderThickness="{TemplateBinding BorderThickness}"
Background="{TemplateBinding Background}"
SnapsToDevicePixels="True">
<u:StateManager.Groups>
<u:StateGroupsManager AttachToMembers="True">
@@ -408,9 +408,7 @@
<Storyboard>
<ObjectAnimationUsingKeyFrames
Storyboard.TargetName="DGR_Border" Storyboard.TargetProperty="Background">
<DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSColor ExecutionStrategy.default_column_background}" />
<!-- <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSColor Core.red}" /> -->
<!-- <DiscreteObjectKeyFrame KeyTime="1" Value="{u:BTSColor Core.blue}" /> -->
<DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSColor Grid.alternate_row_background}" />
</ObjectAnimationUsingKeyFrames>
</Storyboard>
</VisualState>
@@ -427,8 +425,7 @@
HeadersVisibility,
ConverterParameter={x:Static DataGridHeadersVisibility.Row},
Converter={x:Static DataGrid.HeadersVisibilityConverter},
RelativeSource={RelativeSource AncestorType=DataGrid}}"
Background="transparent"/>
RelativeSource={RelativeSource AncestorType=DataGrid}}" />
<DataGridCellsPresenter
Grid.Column="1"
ItemsPanel="{TemplateBinding ItemsPanel}"
@@ -454,7 +451,7 @@
<Style TargetType="{x:Type DataGrid}">
<Setter Property="UseLayoutRounding" Value="True" />
<Setter Property="ColumnHeaderStyle" Value="{StaticResource {x:Type DataGridColumnHeader}}" />
<Setter Property="Background" Value="{uc:BTSColor Name=Core.transparent}" />
<Setter Property="Background" Value="{uc:BTSColor Name=UI.default_background}" />
<Setter Property="AlternationCount" Value="2" />
<Setter Property="RowStyle" Value="{StaticResource {x:Type DataGridRow}}" />
<Setter Property="AutoGenerateColumns" Value="False" />
@@ -14,9 +14,6 @@ namespace mbts.spark {
uint _bid_size, _ask_size;
ulong _time;
public BBOVM() =>
_dispose = Disposable.Create(() => Disposable.dispose(ref _md_poll));
public SecurityImmutable? security => _security_md?.security;
public SecurityMD? security_md {
get => _security_md;
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