Compare commits
12
Commits
| Author | SHA1 | Date | |
|---|---|---|---|
 Jake Norbut
|
9d1b03d1e2 | ||
|
Jake Norbut
|
9a677cf980 | ||
|
Jake Norbut
|
25445d58d0 | ||
|
Jake Norbut
|
0b313a8aa8 | ||
|
Jake Norbut
|
54f954fd4b | ||
|
Jake Norbut
|
980f38ba03 | ||
|
Jake Norbut
|
9eada2724b | ||
|
Jake Norbut
|
b5f53ee918 | ||
|
Jake Norbut
|
efc175f654 | ||
|
Jake Norbut
|
6074afd999 | ||
|
Jake Norbut
|
219dff4055 | ||
|
Jake Norbut
|
9a3b07b622 |
No files matched your search
@@ -1,10 +1 @@
|
||||
IndentWidth: 3
|
||||
BinPackArguments: true
|
||||
BinPackParameters: false
|
||||
AlignAfterOpenBracket: AlwaysBreak
|
||||
AlwaysBreakTemplateDeclarations: true
|
||||
PenaltyReturnTypeOnItsOwnLine: 140
|
||||
---
|
||||
Language: Proto
|
||||
IndentWidth: 2
|
||||
AllowShortFunctionsOnASingleLine: None
|
||||
@@ -1,12 +0,0 @@
|
||||
{
|
||||
"version": 1,
|
||||
"isRoot": true,
|
||||
"tools": {
|
||||
"dotnet-format": {
|
||||
"version": "5.1.225507",
|
||||
"commands": [
|
||||
"dotnet-format"
|
||||
]
|
||||
}
|
||||
}
|
||||
}
|
||||
-251
@@ -1,251 +0,0 @@
|
||||
# Remove the line below if you want to inherit .editorconfig settings from higher directories
|
||||
root = true
|
||||
|
||||
# C# files
|
||||
[*.cs]
|
||||
|
||||
#### Core EditorConfig Options ####
|
||||
|
||||
# Indentation and spacing
|
||||
indent_size = 3
|
||||
indent_style = space
|
||||
tab_width = 3
|
||||
|
||||
# New line preferences
|
||||
end_of_line = crlf
|
||||
insert_final_newline = true
|
||||
|
||||
#### .NET Coding Conventions ####
|
||||
|
||||
# Organize usings
|
||||
dotnet_separate_import_directive_groups = true
|
||||
dotnet_sort_system_directives_first = false
|
||||
file_header_template = unset
|
||||
|
||||
# this. and Me. preferences
|
||||
dotnet_style_qualification_for_event = false:silent
|
||||
dotnet_style_qualification_for_field = false:silent
|
||||
dotnet_style_qualification_for_method = false:silent
|
||||
dotnet_style_qualification_for_property = false:silent
|
||||
|
||||
# Language keywords vs BCL types preferences
|
||||
dotnet_style_predefined_type_for_locals_parameters_members = true:silent
|
||||
dotnet_style_predefined_type_for_member_access = true:silent
|
||||
|
||||
# Parentheses preferences
|
||||
dotnet_style_parentheses_in_arithmetic_binary_operators = always_for_clarity:silent
|
||||
dotnet_style_parentheses_in_other_binary_operators = always_for_clarity:silent
|
||||
dotnet_style_parentheses_in_other_operators = never_if_unnecessary:silent
|
||||
dotnet_style_parentheses_in_relational_binary_operators = always_for_clarity:silent
|
||||
|
||||
# Modifier preferences
|
||||
dotnet_style_require_accessibility_modifiers = for_non_interface_members:silent
|
||||
|
||||
# Expression-level preferences
|
||||
dotnet_style_coalesce_expression = true:suggestion
|
||||
dotnet_style_collection_initializer = true:suggestion
|
||||
dotnet_style_explicit_tuple_names = true:suggestion
|
||||
dotnet_style_null_propagation = true:suggestion
|
||||
dotnet_style_object_initializer = true:suggestion
|
||||
dotnet_style_operator_placement_when_wrapping = beginning_of_line
|
||||
dotnet_style_prefer_auto_properties = true:silent
|
||||
dotnet_style_prefer_compound_assignment = true:suggestion
|
||||
dotnet_style_prefer_conditional_expression_over_assignment = true:silent
|
||||
dotnet_style_prefer_conditional_expression_over_return = true:silent
|
||||
dotnet_style_prefer_inferred_anonymous_type_member_names = true:suggestion
|
||||
dotnet_style_prefer_inferred_tuple_names = true:suggestion
|
||||
dotnet_style_prefer_is_null_check_over_reference_equality_method = true:suggestion
|
||||
dotnet_style_prefer_simplified_boolean_expressions = true:suggestion
|
||||
dotnet_style_prefer_simplified_interpolation = true:suggestion
|
||||
|
||||
# Field preferences
|
||||
dotnet_style_readonly_field = true:suggestion
|
||||
|
||||
# Parameter preferences
|
||||
dotnet_code_quality_unused_parameters = all:suggestion
|
||||
|
||||
# Suppression preferences
|
||||
dotnet_remove_unnecessary_suppression_exclusions = none
|
||||
|
||||
#### C# Coding Conventions ####
|
||||
|
||||
# var preferences
|
||||
csharp_style_var_elsewhere = false:silent
|
||||
csharp_style_var_for_built_in_types = false:silent
|
||||
csharp_style_var_when_type_is_apparent = false:silent
|
||||
|
||||
# Expression-bodied members
|
||||
csharp_style_expression_bodied_accessors = true:silent
|
||||
csharp_style_expression_bodied_constructors = false:silent
|
||||
csharp_style_expression_bodied_indexers = true:silent
|
||||
csharp_style_expression_bodied_lambdas = true:silent
|
||||
csharp_style_expression_bodied_local_functions = false:silent
|
||||
csharp_style_expression_bodied_methods = false:silent
|
||||
csharp_style_expression_bodied_operators = false:silent
|
||||
csharp_style_expression_bodied_properties = true:silent
|
||||
|
||||
# Pattern matching preferences
|
||||
csharp_style_pattern_matching_over_as_with_null_check = true:suggestion
|
||||
csharp_style_pattern_matching_over_is_with_cast_check = true:suggestion
|
||||
csharp_style_prefer_not_pattern = true:suggestion
|
||||
csharp_style_prefer_pattern_matching = true:silent
|
||||
csharp_style_prefer_switch_expression = true:suggestion
|
||||
|
||||
# Null-checking preferences
|
||||
csharp_style_conditional_delegate_call = true:suggestion
|
||||
|
||||
# Modifier preferences
|
||||
csharp_prefer_static_local_function = true:suggestion
|
||||
csharp_preferred_modifier_order = public,private,protected,internal,static,extern,new,virtual,abstract,sealed,override,readonly,unsafe,volatile,async:silent
|
||||
|
||||
# Code-block preferences
|
||||
csharp_prefer_braces = true:silent
|
||||
csharp_prefer_simple_using_statement = true:suggestion
|
||||
|
||||
# Expression-level preferences
|
||||
csharp_prefer_simple_default_expression = true:suggestion
|
||||
csharp_style_deconstructed_variable_declaration = true:suggestion
|
||||
csharp_style_inlined_variable_declaration = true:suggestion
|
||||
csharp_style_pattern_local_over_anonymous_function = true:suggestion
|
||||
csharp_style_prefer_index_operator = true:suggestion
|
||||
csharp_style_prefer_range_operator = true:suggestion
|
||||
csharp_style_throw_expression = true:suggestion
|
||||
csharp_style_unused_value_assignment_preference = discard_variable:suggestion
|
||||
csharp_style_unused_value_expression_statement_preference = discard_variable:silent
|
||||
|
||||
# 'using' directive preferences
|
||||
csharp_using_directive_placement = inside_namespace:silent
|
||||
|
||||
#### C# Formatting Rules ####
|
||||
|
||||
# New line preferences
|
||||
csharp_new_line_before_catch = false
|
||||
csharp_new_line_before_else = false
|
||||
csharp_new_line_before_finally = false
|
||||
csharp_new_line_before_members_in_anonymous_types = true
|
||||
csharp_new_line_before_members_in_object_initializers = true
|
||||
csharp_new_line_before_open_brace = none
|
||||
csharp_new_line_between_query_expression_clauses = true
|
||||
|
||||
# Indentation preferences
|
||||
csharp_indent_block_contents = true
|
||||
csharp_indent_braces = false
|
||||
csharp_indent_case_contents = true
|
||||
csharp_indent_case_contents_when_block = true
|
||||
csharp_indent_labels = one_less_than_current
|
||||
csharp_indent_switch_labels = true
|
||||
|
||||
# Space preferences
|
||||
csharp_space_after_cast = false
|
||||
csharp_space_after_colon_in_inheritance_clause = true
|
||||
csharp_space_after_comma = true
|
||||
csharp_space_after_dot = false
|
||||
csharp_space_after_keywords_in_control_flow_statements = true
|
||||
csharp_space_after_semicolon_in_for_statement = true
|
||||
csharp_space_around_binary_operators = before_and_after
|
||||
csharp_space_around_declaration_statements = false
|
||||
csharp_space_before_colon_in_inheritance_clause = true
|
||||
csharp_space_before_comma = false
|
||||
csharp_space_before_dot = false
|
||||
csharp_space_before_open_square_brackets = false
|
||||
csharp_space_before_semicolon_in_for_statement = false
|
||||
csharp_space_between_empty_square_brackets = false
|
||||
csharp_space_between_method_call_empty_parameter_list_parentheses = false
|
||||
csharp_space_between_method_call_name_and_opening_parenthesis = false
|
||||
csharp_space_between_method_call_parameter_list_parentheses = false
|
||||
csharp_space_between_method_declaration_empty_parameter_list_parentheses = false
|
||||
csharp_space_between_method_declaration_name_and_open_parenthesis = false
|
||||
csharp_space_between_method_declaration_parameter_list_parentheses = false
|
||||
csharp_space_between_parentheses = false
|
||||
csharp_space_between_square_brackets = false
|
||||
|
||||
# Wrapping preferences
|
||||
csharp_preserve_single_line_blocks = true
|
||||
csharp_preserve_single_line_statements = true
|
||||
|
||||
#### Naming styles ####
|
||||
|
||||
# Naming rules
|
||||
|
||||
dotnet_naming_rule.interface_should_be_begins_with_i.severity = suggestion
|
||||
dotnet_naming_rule.interface_should_be_begins_with_i.symbols = interface
|
||||
dotnet_naming_rule.interface_should_be_begins_with_i.style = begins_with_i
|
||||
|
||||
dotnet_naming_rule.types_should_be_pascal_case.severity = suggestion
|
||||
dotnet_naming_rule.types_should_be_pascal_case.symbols = types
|
||||
dotnet_naming_rule.types_should_be_pascal_case.style = pascal_case
|
||||
|
||||
dotnet_naming_rule.non_field_members_should_be_pascal_case.severity = suggestion
|
||||
dotnet_naming_rule.non_field_members_should_be_pascal_case.symbols = non_field_members
|
||||
dotnet_naming_rule.non_field_members_should_be_pascal_case.style = pascal_case
|
||||
|
||||
# Symbol specifications
|
||||
|
||||
dotnet_naming_symbols.interface.applicable_kinds = interface
|
||||
dotnet_naming_symbols.interface.applicable_accessibilities = public, internal, private, protected, protected_internal, private_protected
|
||||
dotnet_naming_symbols.interface.required_modifiers =
|
||||
|
||||
# user types
|
||||
dotnet_naming_symbols.user_types.applicable_kinds = class, struct, interface, enum
|
||||
dotnet_naming_symbols.user_types.applicable_accessibilities = public, internal, private, protected, protected_internal, private_protected
|
||||
dotnet_naming_symbols.user_types.required_modifiers =
|
||||
|
||||
# non_field_members
|
||||
dotnet_naming_symbols.non_field_members.applicable_kinds = property, event, method
|
||||
dotnet_naming_symbols.non_field_members.applicable_accessibilities = public, internal, private, protected, protected_internal, private_protected
|
||||
dotnet_naming_symbols.non_field_members.required_modifiers =
|
||||
|
||||
# public symbols
|
||||
dotnet_naming_symbols.public_symbols.applicable_kinds = property,method,field,event,delegate
|
||||
dotnet_naming_symbols.public_symbols.applicable_accessibilities = public,internal
|
||||
|
||||
# parameters
|
||||
dotnet_naming_symbols.parameters.applicable_kinds = parameter
|
||||
dotnet_naming_symbols.parameters.applicable_accessibilities = public,internal,protected,private,protected_internal,private_internal
|
||||
|
||||
# private symbols
|
||||
dotnet_naming_symbols.private_symbols.applicable_kinds = property,method,field,event,delegate
|
||||
dotnet_naming_symbols.private_symbols.applicable_accessibilities = protected,private
|
||||
|
||||
# Naming styles
|
||||
|
||||
dotnet_naming_style.snake_case.required_prefix =
|
||||
dotnet_naming_style.snake_case.required_suffix =
|
||||
dotnet_naming_style.snake_case.word_separator = _
|
||||
dotnet_naming_style.snake_case.capitalization = all_lower
|
||||
|
||||
dotnet_naming_style.private_snake_case.required_prefix = _
|
||||
dotnet_naming_style.private_snake_case.required_suffix =
|
||||
dotnet_naming_style.private_snake_case.word_separator = _
|
||||
dotnet_naming_style.private_snake_case.capitalization = all_lower
|
||||
|
||||
dotnet_naming_style.user_types.required_prefix =
|
||||
dotnet_naming_style.user_types.required_suffix =
|
||||
dotnet_naming_style.user_types.word_separator =
|
||||
dotnet_naming_style.user_types.capitalization = pascal_case
|
||||
|
||||
dotnet_naming_style.interface.required_prefix = I
|
||||
dotnet_naming_style.interface.required_suffix =
|
||||
dotnet_naming_style.interface.word_separator =
|
||||
dotnet_naming_style.interface.capitalization = pascal_case
|
||||
|
||||
# rules
|
||||
dotnet_naming_rule.user_types.symbols = user_types
|
||||
dotnet_naming_rule.user_types.style = user_types
|
||||
dotnet_naming_rule.user_types.severity = suggestion
|
||||
|
||||
dotnet_naming_rule.interfaces.symbols = interface
|
||||
dotnet_naming_rule.interfaces.style = interface_style
|
||||
dotnet_naming_rule.interfaces.severity = suggestion
|
||||
|
||||
dotnet_naming_rule.public_members_snake_case.symbols = public_symbols
|
||||
dotnet_naming_rule.public_members_snake_case.style = snake_case
|
||||
dotnet_naming_rule.public_members_snake_case.severity = suggestion
|
||||
|
||||
dotnet_naming_rule.private_members_snake_case.symbols = private_symbols
|
||||
dotnet_naming_rule.private_members_snake_case.style = private_snake_case
|
||||
dotnet_naming_rule.private_members_snake_case.severity = suggestion
|
||||
|
||||
dotnet_naming_rule.parameters.symbols = parameters
|
||||
dotnet_naming_rule.parameters.style = snake_case
|
||||
dotnet_naming_rule.parameters.severity = suggestion
|
||||
+2
-18
@@ -1,13 +1,11 @@
|
||||
nohup.out
|
||||
build/
|
||||
.build_proxy/
|
||||
cmake-build-debug/
|
||||
.cache/
|
||||
.ipynb_checkpoints/
|
||||
.idea/
|
||||
.dir-locals.el
|
||||
*.pyc
|
||||
**.vscode
|
||||
.vscode/*
|
||||
!.vscode/*.json
|
||||
.vs
|
||||
obj/
|
||||
*.csproj.user
|
||||
@@ -19,13 +17,10 @@ vcxproj.user
|
||||
src/client/spark/Properties/launchSettings.json
|
||||
compile_commands.json
|
||||
.cquery_cached_index/
|
||||
.cache/*
|
||||
.clangd/*
|
||||
src/client/sparkcmd/Properties/launchSettings.json
|
||||
node_modules
|
||||
paket-files
|
||||
project.lock.json
|
||||
src/.clang-format
|
||||
src/server/sparkd/orderman/perf_analysis/data
|
||||
src/server/sparkd/orderman/perf_analysis/logs/
|
||||
src/server/sparkd/orderman/perf_analysis/trace_data/
|
||||
@@ -39,15 +34,4 @@ trace_data/
|
||||
/doc/user/public/*
|
||||
.ionide/*
|
||||
/.ignore
|
||||
*.rej
|
||||
/build
|
||||
/build.*/*
|
||||
.clangd/
|
||||
*CMakeDeps.cmake
|
||||
/sniper.ipynb
|
||||
/src/.clang-format
|
||||
/src/server/sparkd/cmds/spartan/analysis/.ipynb_checkpoints
|
||||
/src/server/sparkd/cmds/spartan/analysis/data
|
||||
*.tmp/*
|
||||
/.venv*/*
|
||||
.cache/
|
||||
@@ -7,6 +7,3 @@
|
||||
[submodule "docker/windows"]
|
||||
path = docker/windows
|
||||
url = git@bitbucket.org:bluetradesys/windows_docker.git
|
||||
[submodule "src/deribit-crypto-connector-demo-application"]
|
||||
path = src/deribit-crypto-connector-demo-application
|
||||
url = git@gitlab.com:cryptoexchanges1/deribit-crypto-connector-demo-application.git
|
||||
File renamed without changes.
+370
-401
@@ -1,402 +1,371 @@
|
||||
{
|
||||
"version": "0.2.0",
|
||||
"configurations": [
|
||||
{
|
||||
"name": "Spark Local",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"run",
|
||||
"test",
|
||||
"-a",
|
||||
"OutrightVanillaOrder"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "${workspaceRoot}/build/gcc/debug/server/",
|
||||
"environment": [
|
||||
{
|
||||
"name": "TZ",
|
||||
"value": "America/Chicago"
|
||||
}
|
||||
],
|
||||
"externalConsole": false,
|
||||
"MIMode": "gdb",
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "SparkVM Launch",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"-a",
|
||||
"[ilink3]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "Skip STL",
|
||||
"text": "skip -gfi /usr/include/c++/7/bits/*.h",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "LD LIBRARY",
|
||||
"text": "set env LD_LIBRARY_PATH=.",
|
||||
"ignoreFailures": false
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "(gdb) Launch",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/gcc/debug/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"run"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "${workspaceRoot}/build/ninja_debug/src/server/sparkd",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "Client Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
|
||||
"args": [],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "SDK Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
|
||||
"args": [
|
||||
"md",
|
||||
"GLBX",
|
||||
"Future",
|
||||
"CL",
|
||||
"CLZ9",
|
||||
"--user=bts",
|
||||
"--pass="
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Excel Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
|
||||
"args": [
|
||||
"${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Client Tests",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
|
||||
"args": [
|
||||
"test",
|
||||
"ApiUpdateTests"
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Client Attach",
|
||||
"type": "clr",
|
||||
"request": "attach",
|
||||
"processId": "${command:pickProcess}"
|
||||
},
|
||||
{
|
||||
"name": "Spreader Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[spreader]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Admin Service Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[admin_service]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Limiter Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[limiter]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "MD Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[algo]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "Skip STL",
|
||||
"text": "skip -gfi /usr/include/c++/7/bits/*.h",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "SparkVM attach",
|
||||
"type": "cppdbg",
|
||||
"request": "attach",
|
||||
"program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
|
||||
"processId": "${command:pickRemoteProcess}",
|
||||
"MIMode": "gdb",
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Python",
|
||||
"type": "python",
|
||||
"request": "launch",
|
||||
"stopOnEntry": false,
|
||||
"pythonPath": "${config:python.pythonPath}",
|
||||
"program": "${file}",
|
||||
"cwd": "${workspaceRoot}",
|
||||
"env": {},
|
||||
"envFile": "${workspaceRoot}/.env",
|
||||
"args": [
|
||||
"DEBUG"
|
||||
],
|
||||
"debugOptions": [
|
||||
"WaitOnAbnormalExit",
|
||||
"WaitOnNormalExit",
|
||||
"RedirectOutput"
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": ".NET Core Remote Attach",
|
||||
"type": "coreclr",
|
||||
"request": "attach",
|
||||
"processId": "${command:pickRemoteProcess}",
|
||||
"pipeTransport": {
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/home/bts/vsdbg/vsdbg",
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"quoteArgs": true
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
},
|
||||
"justMyCode": true
|
||||
},
|
||||
{
|
||||
"name": ".NET Core Remote Launch",
|
||||
"type": "coreclr",
|
||||
"request": "launch",
|
||||
"program": "/usr/bin/dotnet",
|
||||
"args": [
|
||||
"sparkcmd.dll",
|
||||
"test",
|
||||
"test_join_create_and_takeout_market"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server",
|
||||
"pipeTransport": {
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/home/bts/vsdbg/vsdbg",
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"quoteArgs": true
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
},
|
||||
"justMyCode": false
|
||||
}
|
||||
]
|
||||
{
|
||||
"version": "0.2.0",
|
||||
"configurations": [
|
||||
{
|
||||
"name": "SparkVM Launch",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/ninja_debug/server/sparkd",
|
||||
"args": [
|
||||
"run"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "Skip STL",
|
||||
"text": "skip -gfi /usr/include/c++/7/bits/*.h",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "LD LIBRARY",
|
||||
"text": "set env LD_LIBRARY_PATH=.",
|
||||
"ignoreFailures": false
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "(gdb) Launch",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/ninja_debug/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"run"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "${workspaceRoot}/build/ninja_debug/src/server/sparkd",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "Client Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
|
||||
"args": [],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "SDK Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
|
||||
"args": [
|
||||
"md",
|
||||
"GLBX",
|
||||
"Future",
|
||||
"CL",
|
||||
"CLZ9",
|
||||
"--user=bts",
|
||||
"--pass="
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Excel Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
|
||||
"args": [
|
||||
"${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Client Tests",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
|
||||
"args": [
|
||||
"test",
|
||||
"ApiUpdateTests"
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Client Attach",
|
||||
"type": "clr",
|
||||
"request": "attach",
|
||||
"processId": "${command:pickProcess}"
|
||||
},
|
||||
{
|
||||
"name": "Spreader Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/ninja_debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[spreader]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Admin Service Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[admin_service]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Limiter Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[limiter]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/src/server/sparkd/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "MD Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/ninja_debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[algo]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "Skip STL",
|
||||
"text": "skip -gfi /usr/include/c++/7/bits/*.h",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "SparkVM attach",
|
||||
"type": "cppdbg",
|
||||
"request": "attach",
|
||||
"program": "/home/bts/spark/build/ninja_debug/src/server/sparkd/sparkd",
|
||||
"processId": "${command:pickRemoteProcess}",
|
||||
"MIMode": "gdb",
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Python",
|
||||
"type": "python",
|
||||
"request": "launch",
|
||||
"stopOnEntry": false,
|
||||
"pythonPath": "${config:python.pythonPath}",
|
||||
"program": "${file}",
|
||||
"cwd": "${workspaceRoot}",
|
||||
"env": {},
|
||||
"envFile": "${workspaceRoot}/.env",
|
||||
"args": [
|
||||
"DEBUG"
|
||||
],
|
||||
"debugOptions": [
|
||||
"WaitOnAbnormalExit",
|
||||
"WaitOnNormalExit",
|
||||
"RedirectOutput"
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": ".NET Core Remote Attach",
|
||||
"type": "coreclr",
|
||||
"request": "attach",
|
||||
"processId": "${command:pickRemoteProcess}",
|
||||
"pipeTransport": {
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/home/bts/vsdbg/vsdbg",
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"quoteArgs": true
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
},
|
||||
"justMyCode": true
|
||||
},
|
||||
{
|
||||
"name": ".NET Core Remote Launch",
|
||||
"type": "coreclr",
|
||||
"request": "launch",
|
||||
"program": "/usr/bin/dotnet",
|
||||
"args": [
|
||||
"sparkcmd.dll",
|
||||
"test",
|
||||
"test_join_create_and_takeout_market"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/ninja_debug/server",
|
||||
"pipeTransport": {
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/home/bts/vsdbg/vsdbg",
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"quoteArgs": true
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
},
|
||||
"justMyCode": false
|
||||
},
|
||||
]
|
||||
}
|
||||
+3
-3
@@ -7,9 +7,9 @@
|
||||
"vector": "cpp",
|
||||
"xhash": "cpp",
|
||||
"xstring": "cpp",
|
||||
"system_error": "cpp",
|
||||
"array": "cpp",
|
||||
"string_view": "cpp"
|
||||
"system_error": "cpp",
|
||||
"array": "cpp",
|
||||
"string_view": "cpp"
|
||||
"xutility": "cpp",
|
||||
"*.ipp": "cpp"
|
||||
}
|
||||
File renamed without changes.
+39
-68
@@ -1,94 +1,65 @@
|
||||
cmake_minimum_required(VERSION 3.5)
|
||||
project(spark)
|
||||
|
||||
if(WIN32)
|
||||
set(platform "windows")
|
||||
else()
|
||||
set(platform "linux")
|
||||
endif()
|
||||
if (WIN32)
|
||||
set (platform "windows")
|
||||
else ()
|
||||
set (platform "linux")
|
||||
endif ()
|
||||
|
||||
set(EXTERNALS_ROOT "${CMAKE_SOURCE_DIR}/externals/${platform}")
|
||||
set(SPARK_PYTHON "${EXTERNALS_ROOT}/python")
|
||||
set(SPARK_BIN "${EXTERNALS_ROOT}/bin")
|
||||
set(SPARK_INCLUDE "${EXTERNALS_ROOT}/include")
|
||||
set(SPARK_LIB "${EXTERNALS_ROOT}/lib/${CMAKE_BUILD_TYPE}")
|
||||
set(BUILD_SDK OFF CACHE BOOL "Build the sdk")
|
||||
set (EXTERNALS_ROOT "${CMAKE_SOURCE_DIR}/externals/${platform}")
|
||||
set (SPARK_PYTHON "${EXTERNALS_ROOT}/python")
|
||||
set (SPARK_BIN "${EXTERNALS_ROOT}/bin")
|
||||
set (SPARK_INCLUDE "${EXTERNALS_ROOT}/include")
|
||||
set (SPARK_LIB "${EXTERNALS_ROOT}/lib/${CMAKE_BUILD_TYPE}")
|
||||
|
||||
include_directories(BEFORE SYSTEM ${SPARK_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
|
||||
link_directories(${SPARK_LIB})
|
||||
include_directories (BEFORE SYSTEM ${SPARK_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
|
||||
link_directories (${SPARK_LIB})
|
||||
|
||||
if(WIN32)
|
||||
# flags
|
||||
set(
|
||||
CMAKE_CXX_FLAGS
|
||||
"${CMAKE_CXX_FLAGS} \
|
||||
/MP \
|
||||
/WX /wd4251 /wd4250 /wd4251 /wd4244 /wd4267 /wd4355 /wd4275 /wd4345 \
|
||||
/bigobj \
|
||||
/DCURL_STATICLIB \
|
||||
/D_WINSOCK_DEPRECATED_NO_WARNINGS \
|
||||
/D__TBB_NO_IMPLICIT_LINKAGE \
|
||||
/DBOOST_ALL_NO_LIB \
|
||||
/std:c++17 \
|
||||
/D_SCL_SECURE_NO_WARNINGS /D_CRT_SECURE_NO_WARNINGS /D_WIN32_WINNT=0x0600")
|
||||
set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} /MTd")
|
||||
set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} /MT")
|
||||
set(
|
||||
CMAKE_SHARED_LINKER_FLAGS_RELEASE
|
||||
"${CMAKE_SHARED_LINKER_FLAGS_RELEASE} \
|
||||
/DEBUG \
|
||||
/OPT:REF \
|
||||
/OPT:ICF \
|
||||
/LTCG")
|
||||
if (WIN32)
|
||||
set (CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} \
|
||||
/MP \
|
||||
/WX /wd4251 /wd4250 /wd4251 /wd4244 /wd4267 /wd4355 /wd4275 /wd4345 \
|
||||
/DCURL_STATICLIB \
|
||||
/D_WINSOCK_DEPRECATED_NO_WARNINGS \
|
||||
/D__TBB_NO_IMPLICIT_LINKAGE \
|
||||
/DBOOST_ALL_NO_LIB \
|
||||
/D_SCL_SECURE_NO_WARNINGS /D_CRT_SECURE_NO_WARNINGS /D_WIN32_WINNT=0x0600")
|
||||
|
||||
set (CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} /MTd")
|
||||
set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} /MT")
|
||||
set(CMAKE_SHARED_LINKER_FLAGS_RELEASE "${CMAKE_SHARED_LINKER_FLAGS_RELEASE} /DEBUG /OPT:REF /OPT:ICF /LTCG")
|
||||
|
||||
# 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 ".")
|
||||
else ()
|
||||
# so that sparkd looks for libspark.so in its directory
|
||||
set (CMAKE_BUILD_WITH_INSTALL_RPATH TRUE)
|
||||
set (CMAKE_INSTALL_RPATH ".")
|
||||
|
||||
# flags
|
||||
set(
|
||||
CMAKE_CXX_FLAGS_DEBUG
|
||||
"${CMAKE_CXX_FLAGS_DEBUG} \
|
||||
-fPIC \
|
||||
-Wall \
|
||||
-pedantic \
|
||||
-Wextra \
|
||||
-Werror \
|
||||
-Wno-missing-braces \
|
||||
-Wno-ignored-qualifiers \
|
||||
--std=c++17 -fdiagnostics-color")
|
||||
set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -fno-omit-frame-pointer -DNDEBUG -O3")
|
||||
set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} -DDEBUG")
|
||||
set(CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
|
||||
|
||||
# subdirs
|
||||
set (CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} \
|
||||
-fPIC -Wall -pedantic -Wextra -Werror \
|
||||
-Wno-missing-braces -Wno-ignored-qualifiers \
|
||||
--std=c++17 -fdiagnostics-color")
|
||||
set (CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_DEBUG} -fno-omit-frame-pointer -DNDEBUG -O3")
|
||||
set (CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -Wno-undef")
|
||||
add_subdirectory(src/server/sparkd)
|
||||
add_subdirectory(src/lib)
|
||||
add_subdirectory(src/web)
|
||||
add_subdirectory(doc/user)
|
||||
if(BUILD_SDK)
|
||||
add_subdirectory(src/sdk)
|
||||
endif()
|
||||
add_subdirectory(src/sdk)
|
||||
add_subdirectory(src/data_files)
|
||||
|
||||
add_custom_command(
|
||||
OUTPUT ${CMAKE_BINARY_DIR}/server
|
||||
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/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.13.0.0 ${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)
|
||||
DEPENDS sparkd data_files_dir)
|
||||
|
||||
add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
|
||||
endif()
|
||||
@@ -1,25 +0,0 @@
|
||||
|
||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||
# Visual Studio Version 17
|
||||
VisualStudioVersion = 17.2.32630.192
|
||||
MinimumVisualStudioVersion = 10.0.40219.1
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "SpreaderFrontEnd", "SpreaderFrontEnd\SpreaderFrontEnd.csproj", "{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}"
|
||||
EndProject
|
||||
Global
|
||||
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
||||
Debug|Any CPU = Debug|Any CPU
|
||||
Release|Any CPU = Release|Any CPU
|
||||
EndGlobalSection
|
||||
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
||||
{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
|
||||
{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Debug|Any CPU.Build.0 = Debug|Any CPU
|
||||
{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Release|Any CPU.ActiveCfg = Release|Any CPU
|
||||
{28EE9ABE-BBA6-4587-8BEB-3B0CD979ED22}.Release|Any CPU.Build.0 = Release|Any CPU
|
||||
EndGlobalSection
|
||||
GlobalSection(SolutionProperties) = preSolution
|
||||
HideSolutionNode = FALSE
|
||||
EndGlobalSection
|
||||
GlobalSection(ExtensibilityGlobals) = postSolution
|
||||
SolutionGuid = {3E2EF0DA-32BB-4A7A-9089-B132E1677AA7}
|
||||
EndGlobalSection
|
||||
EndGlobal
|
||||
@@ -1,36 +0,0 @@
|
||||
using System;
|
||||
using System.Linq;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
public class Book : IEquatable<Book> {
|
||||
public Book(BookSide bids = null, BookSide asks = null) {
|
||||
this.bids = bids ?? new BookSide();
|
||||
this.asks = asks ?? new BookSide();
|
||||
}
|
||||
|
||||
public BookSide bids { get; }
|
||||
public BookSide asks { get; }
|
||||
|
||||
public Book Clone() {
|
||||
return new Book(
|
||||
new BookSide(bids.levels.ToList()),
|
||||
new BookSide(asks.levels.ToList()));
|
||||
}
|
||||
|
||||
public bool Equals(Book other) {
|
||||
return other != null && other.bids.Equals(bids) && other.asks.Equals(asks);
|
||||
}
|
||||
|
||||
public override bool Equals(object obj) {
|
||||
return Equals(obj as Book);
|
||||
}
|
||||
|
||||
public override int GetHashCode() {
|
||||
return HashCodeHelper.combine(bids.GetHashCode(), asks.GetHashCode());
|
||||
}
|
||||
|
||||
public override string ToString() {
|
||||
return $"bid: {bids} | ask: {asks}";
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,38 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
public class BookSide : IEquatable<BookSide> {
|
||||
public BookSide() {
|
||||
levels = new List<PriceLevel>();
|
||||
}
|
||||
|
||||
public BookSide(IEnumerable<PriceLevel> levels) {
|
||||
this.levels = levels?.ToList() ?? new List<PriceLevel>();
|
||||
}
|
||||
|
||||
public IList<PriceLevel> levels { get; }
|
||||
|
||||
public BookSide Clone() {
|
||||
return new BookSide(levels.ToList());
|
||||
}
|
||||
|
||||
public bool Equals(BookSide other) {
|
||||
return other != null && levels.SequenceEqual(other.levels);
|
||||
}
|
||||
|
||||
public override bool Equals(object obj) {
|
||||
return Equals(obj as BookSide);
|
||||
}
|
||||
|
||||
public override int GetHashCode() {
|
||||
return levels.Select(l => l.GetHashCode()).Skip(1).Aggregate(
|
||||
levels[0].GetHashCode(), HashCodeHelper.combine);
|
||||
}
|
||||
|
||||
public override string ToString() {
|
||||
return string.Join("; ", levels);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,120 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Diagnostics;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
public class LegCursor {
|
||||
public LegCursor(int leg_size, IList<PriceLevel> levels) {
|
||||
this.leg_size = leg_size;
|
||||
this.levels = levels;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// The [signed] quantity of this leg in the SpreaderContract to which it belongs
|
||||
/// </summary>
|
||||
public int leg_size { get; }
|
||||
|
||||
/// <summary>
|
||||
/// The [unsigned] quantity of this leg in the SpreaderContract to which it belongs
|
||||
/// </summary>
|
||||
public int leg_size_abs {
|
||||
get {
|
||||
return Math.Abs(leg_size);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// The price levels of the underlying BookSide
|
||||
/// </summary>
|
||||
public IList<PriceLevel> levels { get; }
|
||||
|
||||
/// <summary>
|
||||
/// The index of the current level. When <see cref="consume_unit_qty(uint, out List{PriceLevel})"/>
|
||||
/// is called, quantity consumption begins at this level. Once this level's quantity is fully
|
||||
/// consumed, <see cref="cursor"/> is incremented, and <see cref="curr_level_consumed_qty"/>
|
||||
/// is reset to 0.
|
||||
/// </summary>
|
||||
public int cursor { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// The quantity that has been consumed at the current level (i.e., the level at index
|
||||
/// <see cref="cursor"/>)
|
||||
/// </summary>
|
||||
public uint curr_level_consumed_qty { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Consumes the specified quantity of units at the best available price(s)
|
||||
/// </summary>
|
||||
/// <param name="unit_qty">
|
||||
/// The unit quantity to consume
|
||||
/// </param>
|
||||
/// <returns>True if the entire quantity is consumed, otherwise false.</returns>
|
||||
public bool consume_unit_qty(uint unit_qty, out List<PriceLevel> consumed_levels) {
|
||||
consumed_levels = new List<PriceLevel>();
|
||||
uint marg_qty = (uint)(unit_qty * leg_size_abs);
|
||||
var consumed_qty = _consume_raw_qty(marg_qty, ref consumed_levels);
|
||||
Debug.Assert(consumed_qty % leg_size_abs == 0);
|
||||
uint consumed_units = (uint)(consumed_qty / leg_size_abs);
|
||||
return consumed_units == unit_qty;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the number of units (raw_quantity / leg_size_abs) available at the best price
|
||||
/// </summary>
|
||||
public PriceLevel curr_synth_level() {
|
||||
if (cursor >= levels.Count) {
|
||||
return PriceLevel.empty;
|
||||
}
|
||||
|
||||
var curr_level = levels[cursor];
|
||||
Debug.Assert(curr_level.qty >= curr_level_consumed_qty);
|
||||
var curr_level_rem_qty = curr_level.qty - curr_level_consumed_qty;
|
||||
if (curr_level_rem_qty >= leg_size_abs) {
|
||||
return new PriceLevel(
|
||||
price: curr_level.price * leg_size_abs,
|
||||
qty: (uint)(curr_level_rem_qty / leg_size_abs));
|
||||
}
|
||||
|
||||
double unit_cost = curr_level.price * curr_level_rem_qty;
|
||||
var unit_rem = leg_size_abs - curr_level_rem_qty;
|
||||
for (int i = cursor + 1; i < levels.Count; i++) {
|
||||
curr_level = levels[i];
|
||||
if (curr_level.qty >= unit_rem) {
|
||||
unit_cost += curr_level.price * unit_rem;
|
||||
return new PriceLevel(price: unit_cost, qty: 1);
|
||||
}
|
||||
unit_cost += curr_level.price * curr_level.qty;
|
||||
unit_rem -= curr_level.qty;
|
||||
}
|
||||
return PriceLevel.empty;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Consumes as much of the specified [raw] quantity as possible
|
||||
/// </summary>
|
||||
/// <returns>
|
||||
/// The quantity that was actually consumed
|
||||
/// </returns>
|
||||
uint _consume_raw_qty(uint raw_qty, ref List<PriceLevel> dest) {
|
||||
if (levels == null || cursor >= levels.Count) {
|
||||
return 0;
|
||||
}
|
||||
var curr_level = levels[cursor];
|
||||
// Cursor should be incremented when curr_level_consumed_qty == levels[cursor].qty
|
||||
// (i.e., curr_level.qty should never be less than curr_level_consumed_qty)
|
||||
Debug.Assert(curr_level.qty > curr_level_consumed_qty);
|
||||
var curr_level_qty_rem = curr_level.qty - curr_level_consumed_qty;
|
||||
if (curr_level_qty_rem > raw_qty) {
|
||||
curr_level_consumed_qty += raw_qty;
|
||||
dest.Add(new PriceLevel(price: curr_level.price, qty: raw_qty));
|
||||
return raw_qty;
|
||||
}
|
||||
// The input qty is greater than the qty that remains at this level. Consume the rest on
|
||||
// the next level.
|
||||
cursor++;
|
||||
curr_level_consumed_qty = 0;
|
||||
dest.Add(new PriceLevel(price: curr_level.price, qty: curr_level_qty_rem));
|
||||
return curr_level_qty_rem + _consume_raw_qty(raw_qty - curr_level_qty_rem, ref dest);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,44 +0,0 @@
|
||||
using System;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
public struct PriceLevel : IEquatable<PriceLevel> {
|
||||
public PriceLevel(double price, uint qty) {
|
||||
this.price = price;
|
||||
this.qty = qty;
|
||||
}
|
||||
|
||||
public static PriceLevel empty {
|
||||
get {
|
||||
return new PriceLevel(double.NaN, 0);
|
||||
}
|
||||
}
|
||||
|
||||
public double price { get; }
|
||||
public uint qty { get; }
|
||||
|
||||
public PriceLevel subtract_qty(uint value) {
|
||||
System.Diagnostics.Debug.Assert(value <= qty);
|
||||
return new PriceLevel(price, qty - value);
|
||||
}
|
||||
|
||||
public PriceLevel add_qty(uint value) {
|
||||
return new PriceLevel(price, qty + value);
|
||||
}
|
||||
|
||||
public override string ToString() {
|
||||
return $"{price} ({qty})";
|
||||
}
|
||||
|
||||
public bool Equals(PriceLevel other) {
|
||||
return qty == other.qty && price.Equals(other.price);
|
||||
}
|
||||
|
||||
public override bool Equals(object obj) {
|
||||
return obj is PriceLevel other && Equals(other);
|
||||
}
|
||||
|
||||
public override int GetHashCode() {
|
||||
return HashCodeHelper.combine(price.GetHashCode(), qty.GetHashCode());
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,49 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Diagnostics;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
public static class SpreaderBookCalculator {
|
||||
public static Book compute_spreader_book(
|
||||
SpreaderContract contract, IEnumerable<Book> leg_books) {
|
||||
if (contract == null) {
|
||||
throw new ArgumentNullException(nameof(contract));
|
||||
}
|
||||
if (leg_books == null) {
|
||||
throw new ArgumentNullException(nameof(leg_books));
|
||||
}
|
||||
var leg_book_list = leg_books as IList<Book> ?? leg_books.ToList();
|
||||
var synth_book = new SyntheticBook(contract, leg_book_list);
|
||||
return synth_book.to_book();
|
||||
}
|
||||
|
||||
public static BookSide compute_spreader_book_side(
|
||||
SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
|
||||
Debug.Assert(contract.spread_legs.Count == leg_books.Count);
|
||||
var leg_cursors = leg_books.Select((b, i) => new LegCursor(
|
||||
contract.spread_legs[i].qty,
|
||||
contract.spread_legs[i].qty < 0 == is_bid ? b.asks.levels : b.bids.levels)).ToList();
|
||||
var level_qty = leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
|
||||
var result = new BookSide();
|
||||
|
||||
while (level_qty > 0) {
|
||||
double level_price = 0;
|
||||
for (int i = 0; i < leg_cursors.Count; i++) {
|
||||
var lc = leg_cursors[i];
|
||||
bool did_consume = lc.consume_unit_qty(level_qty, out var consumed_levels);
|
||||
Debug.Assert(did_consume);
|
||||
var leg_cost = consumed_levels.Select(l => l.price * l.qty).Sum() / level_qty;
|
||||
if (lc.leg_size < 0) {
|
||||
level_price -= leg_cost;
|
||||
} else {
|
||||
level_price += leg_cost;
|
||||
}
|
||||
}
|
||||
result.levels.Add(new PriceLevel(price: level_price, qty: level_qty));
|
||||
level_qty = leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
|
||||
}
|
||||
return result;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,17 +0,0 @@
|
||||
using System.Collections.Generic;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
class SyntheticBook {
|
||||
public SyntheticBook(SpreaderContract contract, IList<Book> leg_books) {
|
||||
bids = new SyntheticBookSide(contract, leg_books, true);
|
||||
asks = new SyntheticBookSide(contract, leg_books, false);
|
||||
}
|
||||
|
||||
public SyntheticBookSide bids { get; }
|
||||
public SyntheticBookSide asks { get; }
|
||||
|
||||
public Book to_book() {
|
||||
return new Book(bids: bids.to_book_side(), asks: asks.to_book_side());
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,28 +0,0 @@
|
||||
using System.Collections;
|
||||
using System.Collections.Generic;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
class SyntheticBookSide : IEnumerable<PriceLevel> {
|
||||
readonly SpreaderContract _contract;
|
||||
readonly IList<Book> _leg_books;
|
||||
readonly bool _is_bid;
|
||||
|
||||
public SyntheticBookSide(SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
|
||||
_contract = contract;
|
||||
_leg_books = leg_books;
|
||||
_is_bid = is_bid;
|
||||
}
|
||||
|
||||
public BookSide to_book_side() {
|
||||
return new BookSide(this);
|
||||
}
|
||||
|
||||
public IEnumerator<PriceLevel> GetEnumerator() {
|
||||
return new SyntheticBookSideEnumerator(_contract, _leg_books, _is_bid);
|
||||
}
|
||||
|
||||
IEnumerator IEnumerable.GetEnumerator() {
|
||||
return GetEnumerator();
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,59 +0,0 @@
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Diagnostics;
|
||||
using System.Collections;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
class SyntheticBookSideEnumerator : IEnumerator<PriceLevel> {
|
||||
readonly List<LegCursor> _leg_cursors;
|
||||
|
||||
PriceLevel _current;
|
||||
uint _level_qty;
|
||||
|
||||
public SyntheticBookSideEnumerator(
|
||||
SpreaderContract contract, IList<Book> leg_books, bool is_bid) {
|
||||
Debug.Assert(contract.spread_legs.Count == leg_books.Count);
|
||||
_leg_cursors = new List<LegCursor>(leg_books.Count);
|
||||
for (int i = 0; i < leg_books.Count; i++) {
|
||||
_leg_cursors.Add(new LegCursor(
|
||||
contract.spread_legs[i].qty,
|
||||
contract.spread_legs[i].qty < 0 == is_bid ?
|
||||
leg_books[i].asks.levels : leg_books[i].bids.levels));
|
||||
}
|
||||
}
|
||||
|
||||
public PriceLevel Current => _current;
|
||||
|
||||
object IEnumerator.Current => _current;
|
||||
|
||||
public void Dispose() { }
|
||||
|
||||
public bool MoveNext() {
|
||||
_level_qty = _leg_cursors.Select(lc => lc.curr_synth_level().qty).Min();
|
||||
if (_level_qty == 0) {
|
||||
return false;
|
||||
}
|
||||
double level_price = 0;
|
||||
for (int i = 0; i < _leg_cursors.Count; i++) {
|
||||
var lc = _leg_cursors[i];
|
||||
bool did_consume = lc.consume_unit_qty(_level_qty, out var consumed_levels);
|
||||
Debug.Assert(did_consume);
|
||||
var leg_cost = consumed_levels.Select(l => l.price * l.qty).Sum() / _level_qty;
|
||||
if (lc.leg_size < 0) {
|
||||
level_price -= leg_cost;
|
||||
} else {
|
||||
level_price += leg_cost;
|
||||
}
|
||||
}
|
||||
_current = new PriceLevel(price: level_price, qty: _level_qty);
|
||||
return true;
|
||||
}
|
||||
|
||||
public void Reset() {
|
||||
for (int i = 0; i < _leg_cursors.Count; i++) {
|
||||
var lc = _leg_cursors[i];
|
||||
_leg_cursors[i] = new LegCursor(lc.leg_size, lc.levels);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,8 +0,0 @@
|
||||
namespace SpreaderFrontEnd {
|
||||
static class HashCodeHelper {
|
||||
// Copied from https://referencesource.microsoft.com/#System.Numerics/System/Numerics/HashCodeHelper.cs
|
||||
public static int combine(int h1, int h2) {
|
||||
return (((h1 << 5) + h1) ^ h2);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,744 +0,0 @@
|
||||
using System.Windows.Forms;
|
||||
|
||||
namespace SpreaderFrontEnd
|
||||
{
|
||||
partial class LegControl
|
||||
{
|
||||
/// <summary>
|
||||
/// Required designer variable.
|
||||
/// </summary>
|
||||
private System.ComponentModel.IContainer components = null;
|
||||
|
||||
/// <summary>
|
||||
/// Clean up any resources being used.
|
||||
/// </summary>
|
||||
/// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
|
||||
protected override void Dispose(bool disposing)
|
||||
{
|
||||
if (disposing && (components != null))
|
||||
{
|
||||
components.Dispose();
|
||||
}
|
||||
base.Dispose(disposing);
|
||||
}
|
||||
|
||||
#region Component Designer generated code
|
||||
|
||||
/// <summary>
|
||||
/// Required method for Designer support - do not modify
|
||||
/// the contents of this method with the code editor.
|
||||
/// </summary>
|
||||
private void InitializeComponent()
|
||||
{
|
||||
this._combobox_security = new System.Windows.Forms.ComboBox();
|
||||
this.label1 = new System.Windows.Forms.Label();
|
||||
this.label2 = new System.Windows.Forms.Label();
|
||||
this.label3 = new System.Windows.Forms.Label();
|
||||
this.label5 = new System.Windows.Forms.Label();
|
||||
this.groupBox1 = new System.Windows.Forms.GroupBox();
|
||||
this._textbox_quote_qho_length = new System.Windows.Forms.TextBox();
|
||||
this._textbox_quote_insidemarketdistance_towarddistance = new System.Windows.Forms.TextBox();
|
||||
this._textbox_quote_conditional_ticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_quote_throttle_outsideticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_quote_throttle_insideticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_quote_showqty_qty = new System.Windows.Forms.TextBox();
|
||||
this.label11 = new System.Windows.Forms.Label();
|
||||
this._checkbox_quote_insidemarketdistance = new System.Windows.Forms.CheckBox();
|
||||
this.label10 = new System.Windows.Forms.Label();
|
||||
this._checkbox_quote_conditional = new System.Windows.Forms.CheckBox();
|
||||
this.label9 = new System.Windows.Forms.Label();
|
||||
this.label8 = new System.Windows.Forms.Label();
|
||||
this._checkbox_quote_throttle = new System.Windows.Forms.CheckBox();
|
||||
this.label7 = new System.Windows.Forms.Label();
|
||||
this._checkbox_quote_showqty = new System.Windows.Forms.CheckBox();
|
||||
this.label6 = new System.Windows.Forms.Label();
|
||||
this.groupBox2 = new System.Windows.Forms.GroupBox();
|
||||
this._textbox_prehedge_payless_paylessticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_prehedge_payup_payupticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_prehedge_payup_threshold = new System.Windows.Forms.TextBox();
|
||||
this._textbox_prehedge_payless_threshold = new System.Windows.Forms.TextBox();
|
||||
this.label13 = new System.Windows.Forms.Label();
|
||||
this.label14 = new System.Windows.Forms.Label();
|
||||
this.label15 = new System.Windows.Forms.Label();
|
||||
this._checkbox_prehedge_payup = new System.Windows.Forms.CheckBox();
|
||||
this.label16 = new System.Windows.Forms.Label();
|
||||
this._checkbox_prehedge_payless = new System.Windows.Forms.CheckBox();
|
||||
this.groupBox3 = new System.Windows.Forms.GroupBox();
|
||||
this._textbox_posthedge_sizebasedcross_crossticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_posthedge_sizebasedcross_threshold = new System.Windows.Forms.TextBox();
|
||||
this._textbox_posthedge_timesbasedcross_crossticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_posthedge_timesbasedcross_timems = new System.Windows.Forms.TextBox();
|
||||
this._textbox_posthedge_ticksawaycross_crossticks = new System.Windows.Forms.TextBox();
|
||||
this._textbox_posthedge_ticksawaycross_threshold = new System.Windows.Forms.TextBox();
|
||||
this.label20 = new System.Windows.Forms.Label();
|
||||
this.label21 = new System.Windows.Forms.Label();
|
||||
this._checkbox_posthedge_sizebasedcross = new System.Windows.Forms.CheckBox();
|
||||
this.label12 = new System.Windows.Forms.Label();
|
||||
this.label17 = new System.Windows.Forms.Label();
|
||||
this.label18 = new System.Windows.Forms.Label();
|
||||
this._checkbox_posthedge_timebasedcross = new System.Windows.Forms.CheckBox();
|
||||
this.label19 = new System.Windows.Forms.Label();
|
||||
this._checkbox_posthedge_ticksawaycross = new System.Windows.Forms.CheckBox();
|
||||
this._textbox_leg_qty = new System.Windows.Forms.TextBox();
|
||||
this._checkbox_leg_enablequoting = new System.Windows.Forms.CheckBox();
|
||||
this._textbox_leg_leanqtyfactor = new System.Windows.Forms.TextBox();
|
||||
this._combobox_mdtype = new System.Windows.Forms.ComboBox();
|
||||
this._textbox_leg_price_mult = new System.Windows.Forms.TextBox();
|
||||
this.label4 = new System.Windows.Forms.Label();
|
||||
this._label_leanqty_factor = new System.Windows.Forms.Label();
|
||||
this.groupBox1.SuspendLayout();
|
||||
this.groupBox2.SuspendLayout();
|
||||
this.groupBox3.SuspendLayout();
|
||||
this.SuspendLayout();
|
||||
//
|
||||
// _combobox_security
|
||||
//
|
||||
this._combobox_security.DropDownStyle = System.Windows.Forms.ComboBoxStyle.DropDownList;
|
||||
this._combobox_security.FormattingEnabled = true;
|
||||
this._combobox_security.Location = new System.Drawing.Point(157, 15);
|
||||
this._combobox_security.Name = "_combobox_security";
|
||||
this._combobox_security.Size = new System.Drawing.Size(100, 23);
|
||||
this._combobox_security.TabIndex = 0;
|
||||
//
|
||||
// label1
|
||||
//
|
||||
this.label1.AutoSize = true;
|
||||
this.label1.Location = new System.Drawing.Point(16, 23);
|
||||
this.label1.Name = "label1";
|
||||
this.label1.Size = new System.Drawing.Size(49, 15);
|
||||
this.label1.TabIndex = 1;
|
||||
this.label1.Text = "Security";
|
||||
//
|
||||
// label2
|
||||
//
|
||||
this.label2.AutoSize = true;
|
||||
this.label2.Location = new System.Drawing.Point(16, 58);
|
||||
this.label2.Name = "label2";
|
||||
this.label2.Size = new System.Drawing.Size(53, 15);
|
||||
this.label2.TabIndex = 2;
|
||||
this.label2.Text = "Quantity";
|
||||
//
|
||||
// label3
|
||||
//
|
||||
this.label3.AutoSize = true;
|
||||
this.label3.Location = new System.Drawing.Point(16, 128);
|
||||
this.label3.Name = "label3";
|
||||
this.label3.Size = new System.Drawing.Size(89, 15);
|
||||
this.label3.TabIndex = 3;
|
||||
this.label3.Text = "Enable Quoting";
|
||||
//
|
||||
// label5
|
||||
//
|
||||
this.label5.AutoSize = true;
|
||||
this.label5.Location = new System.Drawing.Point(16, 198);
|
||||
this.label5.Name = "label5";
|
||||
this.label5.Size = new System.Drawing.Size(98, 15);
|
||||
this.label5.TabIndex = 5;
|
||||
this.label5.Text = "Market Data Type";
|
||||
//
|
||||
// groupBox1
|
||||
//
|
||||
this.groupBox1.Controls.Add(this._textbox_quote_qho_length);
|
||||
this.groupBox1.Controls.Add(this._textbox_quote_insidemarketdistance_towarddistance);
|
||||
this.groupBox1.Controls.Add(this._textbox_quote_conditional_ticks);
|
||||
this.groupBox1.Controls.Add(this._textbox_quote_throttle_outsideticks);
|
||||
this.groupBox1.Controls.Add(this._textbox_quote_throttle_insideticks);
|
||||
this.groupBox1.Controls.Add(this._textbox_quote_showqty_qty);
|
||||
this.groupBox1.Controls.Add(this.label11);
|
||||
this.groupBox1.Controls.Add(this._checkbox_quote_insidemarketdistance);
|
||||
this.groupBox1.Controls.Add(this.label10);
|
||||
this.groupBox1.Controls.Add(this._checkbox_quote_conditional);
|
||||
this.groupBox1.Controls.Add(this.label9);
|
||||
this.groupBox1.Controls.Add(this.label8);
|
||||
this.groupBox1.Controls.Add(this._checkbox_quote_throttle);
|
||||
this.groupBox1.Controls.Add(this.label7);
|
||||
this.groupBox1.Controls.Add(this._checkbox_quote_showqty);
|
||||
this.groupBox1.Controls.Add(this.label6);
|
||||
this.groupBox1.ForeColor = System.Drawing.Color.Black;
|
||||
this.groupBox1.Location = new System.Drawing.Point(12, 238);
|
||||
this.groupBox1.Name = "groupBox1";
|
||||
this.groupBox1.Size = new System.Drawing.Size(265, 369);
|
||||
this.groupBox1.TabIndex = 6;
|
||||
this.groupBox1.TabStop = false;
|
||||
this.groupBox1.Text = "Quote";
|
||||
//
|
||||
// _textbox_quote_qho_length
|
||||
//
|
||||
this._textbox_quote_qho_length.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_quote_qho_length.Location = new System.Drawing.Point(145, 28);
|
||||
this._textbox_quote_qho_length.Name = "_textbox_quote_qho_length";
|
||||
this._textbox_quote_qho_length.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_quote_qho_length.TabIndex = 6;
|
||||
//
|
||||
// _textbox_quote_insidemarketdistance_towarddistance
|
||||
//
|
||||
this._textbox_quote_insidemarketdistance_towarddistance.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_quote_insidemarketdistance_towarddistance.Location = new System.Drawing.Point(145, 314);
|
||||
this._textbox_quote_insidemarketdistance_towarddistance.Name = "_textbox_quote_insidemarketdistance_towarddistance";
|
||||
this._textbox_quote_insidemarketdistance_towarddistance.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_quote_insidemarketdistance_towarddistance.TabIndex = 15;
|
||||
//
|
||||
// _textbox_quote_conditional_ticks
|
||||
//
|
||||
this._textbox_quote_conditional_ticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_quote_conditional_ticks.Location = new System.Drawing.Point(145, 250);
|
||||
this._textbox_quote_conditional_ticks.Name = "_textbox_quote_conditional_ticks";
|
||||
this._textbox_quote_conditional_ticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_quote_conditional_ticks.TabIndex = 13;
|
||||
//
|
||||
// _textbox_quote_throttle_outsideticks
|
||||
//
|
||||
this._textbox_quote_throttle_outsideticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_quote_throttle_outsideticks.Location = new System.Drawing.Point(145, 186);
|
||||
this._textbox_quote_throttle_outsideticks.Name = "_textbox_quote_throttle_outsideticks";
|
||||
this._textbox_quote_throttle_outsideticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_quote_throttle_outsideticks.TabIndex = 11;
|
||||
//
|
||||
// _textbox_quote_throttle_insideticks
|
||||
//
|
||||
this._textbox_quote_throttle_insideticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_quote_throttle_insideticks.Location = new System.Drawing.Point(145, 156);
|
||||
this._textbox_quote_throttle_insideticks.Name = "_textbox_quote_throttle_insideticks";
|
||||
this._textbox_quote_throttle_insideticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_quote_throttle_insideticks.TabIndex = 10;
|
||||
//
|
||||
// _textbox_quote_showqty_qty
|
||||
//
|
||||
this._textbox_quote_showqty_qty.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_quote_showqty_qty.Location = new System.Drawing.Point(145, 92);
|
||||
this._textbox_quote_showqty_qty.Name = "_textbox_quote_showqty_qty";
|
||||
this._textbox_quote_showqty_qty.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_quote_showqty_qty.TabIndex = 8;
|
||||
//
|
||||
// label11
|
||||
//
|
||||
this.label11.AutoSize = true;
|
||||
this.label11.Location = new System.Drawing.Point(45, 322);
|
||||
this.label11.Name = "label11";
|
||||
this.label11.Size = new System.Drawing.Size(93, 15);
|
||||
this.label11.TabIndex = 16;
|
||||
this.label11.Text = "Toward Distance";
|
||||
//
|
||||
// _checkbox_quote_insidemarketdistance
|
||||
//
|
||||
this._checkbox_quote_insidemarketdistance.AutoSize = true;
|
||||
this._checkbox_quote_insidemarketdistance.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_quote_insidemarketdistance.Location = new System.Drawing.Point(15, 288);
|
||||
this._checkbox_quote_insidemarketdistance.Name = "_checkbox_quote_insidemarketdistance";
|
||||
this._checkbox_quote_insidemarketdistance.Size = new System.Drawing.Size(131, 19);
|
||||
this._checkbox_quote_insidemarketdistance.TabIndex = 14;
|
||||
this._checkbox_quote_insidemarketdistance.Text = "Inside Market Dist.";
|
||||
this._checkbox_quote_insidemarketdistance.UseVisualStyleBackColor = true;
|
||||
this._checkbox_quote_insidemarketdistance.CheckedChanged += new System.EventHandler(this._checkbox_quote_insidemarketdistance_CheckedChanged);
|
||||
//
|
||||
// label10
|
||||
//
|
||||
this.label10.AutoSize = true;
|
||||
this.label10.Location = new System.Drawing.Point(47, 258);
|
||||
this.label10.Name = "label10";
|
||||
this.label10.Size = new System.Drawing.Size(33, 15);
|
||||
this.label10.TabIndex = 14;
|
||||
this.label10.Text = "Ticks";
|
||||
//
|
||||
// _checkbox_quote_conditional
|
||||
//
|
||||
this._checkbox_quote_conditional.AutoSize = true;
|
||||
this._checkbox_quote_conditional.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_quote_conditional.Location = new System.Drawing.Point(15, 224);
|
||||
this._checkbox_quote_conditional.Name = "_checkbox_quote_conditional";
|
||||
this._checkbox_quote_conditional.Size = new System.Drawing.Size(88, 19);
|
||||
this._checkbox_quote_conditional.TabIndex = 12;
|
||||
this._checkbox_quote_conditional.Text = "Conditional";
|
||||
this._checkbox_quote_conditional.UseVisualStyleBackColor = true;
|
||||
this._checkbox_quote_conditional.CheckedChanged += new System.EventHandler(this._checkbox_quote_conditional_CheckedChanged);
|
||||
//
|
||||
// label9
|
||||
//
|
||||
this.label9.AutoSize = true;
|
||||
this.label9.Location = new System.Drawing.Point(45, 194);
|
||||
this.label9.Name = "label9";
|
||||
this.label9.Size = new System.Drawing.Size(77, 15);
|
||||
this.label9.TabIndex = 12;
|
||||
this.label9.Text = "Outside Ticks";
|
||||
//
|
||||
// label8
|
||||
//
|
||||
this.label8.AutoSize = true;
|
||||
this.label8.Location = new System.Drawing.Point(45, 164);
|
||||
this.label8.Name = "label8";
|
||||
this.label8.Size = new System.Drawing.Size(67, 15);
|
||||
this.label8.TabIndex = 11;
|
||||
this.label8.Text = "Inside Ticks";
|
||||
//
|
||||
// _checkbox_quote_throttle
|
||||
//
|
||||
this._checkbox_quote_throttle.AutoSize = true;
|
||||
this._checkbox_quote_throttle.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_quote_throttle.Location = new System.Drawing.Point(15, 130);
|
||||
this._checkbox_quote_throttle.Name = "_checkbox_quote_throttle";
|
||||
this._checkbox_quote_throttle.Size = new System.Drawing.Size(72, 19);
|
||||
this._checkbox_quote_throttle.TabIndex = 9;
|
||||
this._checkbox_quote_throttle.Text = "Throttle";
|
||||
this._checkbox_quote_throttle.UseVisualStyleBackColor = true;
|
||||
this._checkbox_quote_throttle.CheckedChanged += new System.EventHandler(this._checkbox_quote_throttle_CheckedChanged);
|
||||
//
|
||||
// label7
|
||||
//
|
||||
this.label7.AutoSize = true;
|
||||
this.label7.Location = new System.Drawing.Point(45, 100);
|
||||
this.label7.Name = "label7";
|
||||
this.label7.Size = new System.Drawing.Size(53, 15);
|
||||
this.label7.TabIndex = 9;
|
||||
this.label7.Text = "Quantity";
|
||||
//
|
||||
// _checkbox_quote_showqty
|
||||
//
|
||||
this._checkbox_quote_showqty.AutoSize = true;
|
||||
this._checkbox_quote_showqty.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_quote_showqty.Location = new System.Drawing.Point(15, 66);
|
||||
this._checkbox_quote_showqty.Name = "_checkbox_quote_showqty";
|
||||
this._checkbox_quote_showqty.Size = new System.Drawing.Size(108, 19);
|
||||
this._checkbox_quote_showqty.TabIndex = 7;
|
||||
this._checkbox_quote_showqty.Text = "Show Quantity";
|
||||
this._checkbox_quote_showqty.UseVisualStyleBackColor = true;
|
||||
this._checkbox_quote_showqty.CheckedChanged += new System.EventHandler(this._checkbox_quote_showqty_CheckedChanged);
|
||||
//
|
||||
// label6
|
||||
//
|
||||
this.label6.AutoSize = true;
|
||||
this.label6.Location = new System.Drawing.Point(15, 36);
|
||||
this.label6.Name = "label6";
|
||||
this.label6.Size = new System.Drawing.Size(121, 15);
|
||||
this.label6.TabIndex = 6;
|
||||
this.label6.Text = "Queue Holder Length";
|
||||
//
|
||||
// groupBox2
|
||||
//
|
||||
this.groupBox2.Controls.Add(this._textbox_prehedge_payless_paylessticks);
|
||||
this.groupBox2.Controls.Add(this._textbox_prehedge_payup_payupticks);
|
||||
this.groupBox2.Controls.Add(this._textbox_prehedge_payup_threshold);
|
||||
this.groupBox2.Controls.Add(this._textbox_prehedge_payless_threshold);
|
||||
this.groupBox2.Controls.Add(this.label13);
|
||||
this.groupBox2.Controls.Add(this.label14);
|
||||
this.groupBox2.Controls.Add(this.label15);
|
||||
this.groupBox2.Controls.Add(this._checkbox_prehedge_payup);
|
||||
this.groupBox2.Controls.Add(this.label16);
|
||||
this.groupBox2.Controls.Add(this._checkbox_prehedge_payless);
|
||||
this.groupBox2.Location = new System.Drawing.Point(13, 626);
|
||||
this.groupBox2.Name = "groupBox2";
|
||||
this.groupBox2.Size = new System.Drawing.Size(264, 234);
|
||||
this.groupBox2.TabIndex = 7;
|
||||
this.groupBox2.TabStop = false;
|
||||
this.groupBox2.Text = "Pre-Hedge";
|
||||
//
|
||||
// _textbox_prehedge_payless_paylessticks
|
||||
//
|
||||
this._textbox_prehedge_payless_paylessticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_prehedge_payless_paylessticks.Location = new System.Drawing.Point(144, 90);
|
||||
this._textbox_prehedge_payless_paylessticks.Name = "_textbox_prehedge_payless_paylessticks";
|
||||
this._textbox_prehedge_payless_paylessticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_prehedge_payless_paylessticks.TabIndex = 18;
|
||||
//
|
||||
// _textbox_prehedge_payup_payupticks
|
||||
//
|
||||
this._textbox_prehedge_payup_payupticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_prehedge_payup_payupticks.Location = new System.Drawing.Point(144, 187);
|
||||
this._textbox_prehedge_payup_payupticks.Name = "_textbox_prehedge_payup_payupticks";
|
||||
this._textbox_prehedge_payup_payupticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_prehedge_payup_payupticks.TabIndex = 21;
|
||||
//
|
||||
// _textbox_prehedge_payup_threshold
|
||||
//
|
||||
this._textbox_prehedge_payup_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_prehedge_payup_threshold.Location = new System.Drawing.Point(144, 156);
|
||||
this._textbox_prehedge_payup_threshold.Name = "_textbox_prehedge_payup_threshold";
|
||||
this._textbox_prehedge_payup_threshold.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_prehedge_payup_threshold.TabIndex = 20;
|
||||
//
|
||||
// _textbox_prehedge_payless_threshold
|
||||
//
|
||||
this._textbox_prehedge_payless_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_prehedge_payless_threshold.Location = new System.Drawing.Point(144, 59);
|
||||
this._textbox_prehedge_payless_threshold.Name = "_textbox_prehedge_payless_threshold";
|
||||
this._textbox_prehedge_payless_threshold.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_prehedge_payless_threshold.TabIndex = 17;
|
||||
//
|
||||
// label13
|
||||
//
|
||||
this.label13.AutoSize = true;
|
||||
this.label13.Location = new System.Drawing.Point(44, 98);
|
||||
this.label13.Name = "label13";
|
||||
this.label13.Size = new System.Drawing.Size(74, 15);
|
||||
this.label13.TabIndex = 14;
|
||||
this.label13.Text = "Payless Ticks";
|
||||
//
|
||||
// label14
|
||||
//
|
||||
this.label14.AutoSize = true;
|
||||
this.label14.Location = new System.Drawing.Point(44, 195);
|
||||
this.label14.Name = "label14";
|
||||
this.label14.Size = new System.Drawing.Size(69, 15);
|
||||
this.label14.TabIndex = 12;
|
||||
this.label14.Text = "Payup Ticks";
|
||||
//
|
||||
// label15
|
||||
//
|
||||
this.label15.AutoSize = true;
|
||||
this.label15.Location = new System.Drawing.Point(44, 164);
|
||||
this.label15.Name = "label15";
|
||||
this.label15.Size = new System.Drawing.Size(59, 15);
|
||||
this.label15.TabIndex = 11;
|
||||
this.label15.Text = "Threshold";
|
||||
//
|
||||
// _checkbox_prehedge_payup
|
||||
//
|
||||
this._checkbox_prehedge_payup.AutoSize = true;
|
||||
this._checkbox_prehedge_payup.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_prehedge_payup.Location = new System.Drawing.Point(15, 129);
|
||||
this._checkbox_prehedge_payup.Name = "_checkbox_prehedge_payup";
|
||||
this._checkbox_prehedge_payup.Size = new System.Drawing.Size(64, 19);
|
||||
this._checkbox_prehedge_payup.TabIndex = 19;
|
||||
this._checkbox_prehedge_payup.Text = "Pay Up";
|
||||
this._checkbox_prehedge_payup.UseVisualStyleBackColor = true;
|
||||
this._checkbox_prehedge_payup.CheckedChanged += new System.EventHandler(this._checkbox_prehedge_payup_CheckedChanged);
|
||||
//
|
||||
// label16
|
||||
//
|
||||
this.label16.AutoSize = true;
|
||||
this.label16.Location = new System.Drawing.Point(44, 67);
|
||||
this.label16.Name = "label16";
|
||||
this.label16.Size = new System.Drawing.Size(59, 15);
|
||||
this.label16.TabIndex = 9;
|
||||
this.label16.Text = "Threshold";
|
||||
//
|
||||
// _checkbox_prehedge_payless
|
||||
//
|
||||
this._checkbox_prehedge_payless.AutoSize = true;
|
||||
this._checkbox_prehedge_payless.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_prehedge_payless.Location = new System.Drawing.Point(15, 32);
|
||||
this._checkbox_prehedge_payless.Name = "_checkbox_prehedge_payless";
|
||||
this._checkbox_prehedge_payless.Size = new System.Drawing.Size(71, 19);
|
||||
this._checkbox_prehedge_payless.TabIndex = 16;
|
||||
this._checkbox_prehedge_payless.Text = "Pay Less";
|
||||
this._checkbox_prehedge_payless.UseVisualStyleBackColor = true;
|
||||
this._checkbox_prehedge_payless.CheckedChanged += new System.EventHandler(this._checkbox_prehedge_payless_CheckedChanged);
|
||||
//
|
||||
// groupBox3
|
||||
//
|
||||
this.groupBox3.Controls.Add(this._textbox_posthedge_sizebasedcross_crossticks);
|
||||
this.groupBox3.Controls.Add(this._textbox_posthedge_sizebasedcross_threshold);
|
||||
this.groupBox3.Controls.Add(this._textbox_posthedge_timesbasedcross_crossticks);
|
||||
this.groupBox3.Controls.Add(this._textbox_posthedge_timesbasedcross_timems);
|
||||
this.groupBox3.Controls.Add(this._textbox_posthedge_ticksawaycross_crossticks);
|
||||
this.groupBox3.Controls.Add(this._textbox_posthedge_ticksawaycross_threshold);
|
||||
this.groupBox3.Controls.Add(this.label20);
|
||||
this.groupBox3.Controls.Add(this.label21);
|
||||
this.groupBox3.Controls.Add(this._checkbox_posthedge_sizebasedcross);
|
||||
this.groupBox3.Controls.Add(this.label12);
|
||||
this.groupBox3.Controls.Add(this.label17);
|
||||
this.groupBox3.Controls.Add(this.label18);
|
||||
this.groupBox3.Controls.Add(this._checkbox_posthedge_timebasedcross);
|
||||
this.groupBox3.Controls.Add(this.label19);
|
||||
this.groupBox3.Controls.Add(this._checkbox_posthedge_ticksawaycross);
|
||||
this.groupBox3.Location = new System.Drawing.Point(13, 882);
|
||||
this.groupBox3.Name = "groupBox3";
|
||||
this.groupBox3.Size = new System.Drawing.Size(264, 319);
|
||||
this.groupBox3.TabIndex = 8;
|
||||
this.groupBox3.TabStop = false;
|
||||
this.groupBox3.Text = "Post-Hedge";
|
||||
//
|
||||
// _textbox_posthedge_sizebasedcross_crossticks
|
||||
//
|
||||
this._textbox_posthedge_sizebasedcross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_posthedge_sizebasedcross_crossticks.Location = new System.Drawing.Point(144, 276);
|
||||
this._textbox_posthedge_sizebasedcross_crossticks.Name = "_textbox_posthedge_sizebasedcross_crossticks";
|
||||
this._textbox_posthedge_sizebasedcross_crossticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_posthedge_sizebasedcross_crossticks.TabIndex = 30;
|
||||
//
|
||||
// _textbox_posthedge_sizebasedcross_threshold
|
||||
//
|
||||
this._textbox_posthedge_sizebasedcross_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_posthedge_sizebasedcross_threshold.Location = new System.Drawing.Point(144, 246);
|
||||
this._textbox_posthedge_sizebasedcross_threshold.Name = "_textbox_posthedge_sizebasedcross_threshold";
|
||||
this._textbox_posthedge_sizebasedcross_threshold.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_posthedge_sizebasedcross_threshold.TabIndex = 29;
|
||||
//
|
||||
// _textbox_posthedge_timesbasedcross_crossticks
|
||||
//
|
||||
this._textbox_posthedge_timesbasedcross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_posthedge_timesbasedcross_crossticks.Location = new System.Drawing.Point(144, 182);
|
||||
this._textbox_posthedge_timesbasedcross_crossticks.Name = "_textbox_posthedge_timesbasedcross_crossticks";
|
||||
this._textbox_posthedge_timesbasedcross_crossticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_posthedge_timesbasedcross_crossticks.TabIndex = 27;
|
||||
//
|
||||
// _textbox_posthedge_timesbasedcross_timems
|
||||
//
|
||||
this._textbox_posthedge_timesbasedcross_timems.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_posthedge_timesbasedcross_timems.Location = new System.Drawing.Point(144, 152);
|
||||
this._textbox_posthedge_timesbasedcross_timems.Name = "_textbox_posthedge_timesbasedcross_timems";
|
||||
this._textbox_posthedge_timesbasedcross_timems.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_posthedge_timesbasedcross_timems.TabIndex = 26;
|
||||
//
|
||||
// _textbox_posthedge_ticksawaycross_crossticks
|
||||
//
|
||||
this._textbox_posthedge_ticksawaycross_crossticks.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_posthedge_ticksawaycross_crossticks.Location = new System.Drawing.Point(144, 88);
|
||||
this._textbox_posthedge_ticksawaycross_crossticks.Name = "_textbox_posthedge_ticksawaycross_crossticks";
|
||||
this._textbox_posthedge_ticksawaycross_crossticks.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_posthedge_ticksawaycross_crossticks.TabIndex = 24;
|
||||
//
|
||||
// _textbox_posthedge_ticksawaycross_threshold
|
||||
//
|
||||
this._textbox_posthedge_ticksawaycross_threshold.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_posthedge_ticksawaycross_threshold.Location = new System.Drawing.Point(144, 58);
|
||||
this._textbox_posthedge_ticksawaycross_threshold.Name = "_textbox_posthedge_ticksawaycross_threshold";
|
||||
this._textbox_posthedge_ticksawaycross_threshold.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_posthedge_ticksawaycross_threshold.TabIndex = 23;
|
||||
//
|
||||
// label20
|
||||
//
|
||||
this.label20.AutoSize = true;
|
||||
this.label20.Location = new System.Drawing.Point(44, 284);
|
||||
this.label20.Name = "label20";
|
||||
this.label20.Size = new System.Drawing.Size(65, 15);
|
||||
this.label20.TabIndex = 17;
|
||||
this.label20.Text = "Cross Ticks";
|
||||
//
|
||||
// label21
|
||||
//
|
||||
this.label21.AutoSize = true;
|
||||
this.label21.Location = new System.Drawing.Point(44, 254);
|
||||
this.label21.Name = "label21";
|
||||
this.label21.Size = new System.Drawing.Size(59, 15);
|
||||
this.label21.TabIndex = 16;
|
||||
this.label21.Text = "Threshold";
|
||||
//
|
||||
// _checkbox_posthedge_sizebasedcross
|
||||
//
|
||||
this._checkbox_posthedge_sizebasedcross.AutoSize = true;
|
||||
this._checkbox_posthedge_sizebasedcross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_posthedge_sizebasedcross.Location = new System.Drawing.Point(15, 220);
|
||||
this._checkbox_posthedge_sizebasedcross.Name = "_checkbox_posthedge_sizebasedcross";
|
||||
this._checkbox_posthedge_sizebasedcross.Size = new System.Drawing.Size(117, 19);
|
||||
this._checkbox_posthedge_sizebasedcross.TabIndex = 28;
|
||||
this._checkbox_posthedge_sizebasedcross.Text = "Size Based Cross";
|
||||
this._checkbox_posthedge_sizebasedcross.UseVisualStyleBackColor = true;
|
||||
this._checkbox_posthedge_sizebasedcross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_sizebasedcross_CheckedChanged);
|
||||
//
|
||||
// label12
|
||||
//
|
||||
this.label12.AutoSize = true;
|
||||
this.label12.Location = new System.Drawing.Point(44, 96);
|
||||
this.label12.Name = "label12";
|
||||
this.label12.Size = new System.Drawing.Size(65, 15);
|
||||
this.label12.TabIndex = 14;
|
||||
this.label12.Text = "Cross Ticks";
|
||||
//
|
||||
// label17
|
||||
//
|
||||
this.label17.AutoSize = true;
|
||||
this.label17.Location = new System.Drawing.Point(44, 190);
|
||||
this.label17.Name = "label17";
|
||||
this.label17.Size = new System.Drawing.Size(65, 15);
|
||||
this.label17.TabIndex = 12;
|
||||
this.label17.Text = "Cross Ticks";
|
||||
//
|
||||
// label18
|
||||
//
|
||||
this.label18.AutoSize = true;
|
||||
this.label18.Location = new System.Drawing.Point(44, 160);
|
||||
this.label18.Name = "label18";
|
||||
this.label18.Size = new System.Drawing.Size(57, 15);
|
||||
this.label18.TabIndex = 11;
|
||||
this.label18.Text = "Time(ms)";
|
||||
//
|
||||
// _checkbox_posthedge_timebasedcross
|
||||
//
|
||||
this._checkbox_posthedge_timebasedcross.AutoSize = true;
|
||||
this._checkbox_posthedge_timebasedcross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_posthedge_timebasedcross.Location = new System.Drawing.Point(15, 126);
|
||||
this._checkbox_posthedge_timebasedcross.Name = "_checkbox_posthedge_timebasedcross";
|
||||
this._checkbox_posthedge_timebasedcross.Size = new System.Drawing.Size(122, 19);
|
||||
this._checkbox_posthedge_timebasedcross.TabIndex = 25;
|
||||
this._checkbox_posthedge_timebasedcross.Text = "Time Based Cross";
|
||||
this._checkbox_posthedge_timebasedcross.UseVisualStyleBackColor = true;
|
||||
this._checkbox_posthedge_timebasedcross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_timebasedcross_CheckedChanged);
|
||||
//
|
||||
// label19
|
||||
//
|
||||
this.label19.AutoSize = true;
|
||||
this.label19.Location = new System.Drawing.Point(44, 66);
|
||||
this.label19.Name = "label19";
|
||||
this.label19.Size = new System.Drawing.Size(59, 15);
|
||||
this.label19.TabIndex = 9;
|
||||
this.label19.Text = "Threshold";
|
||||
//
|
||||
// _checkbox_posthedge_ticksawaycross
|
||||
//
|
||||
this._checkbox_posthedge_ticksawaycross.AutoSize = true;
|
||||
this._checkbox_posthedge_ticksawaycross.Font = new System.Drawing.Font("Segoe UI", 9F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point);
|
||||
this._checkbox_posthedge_ticksawaycross.Location = new System.Drawing.Point(15, 32);
|
||||
this._checkbox_posthedge_ticksawaycross.Name = "_checkbox_posthedge_ticksawaycross";
|
||||
this._checkbox_posthedge_ticksawaycross.Size = new System.Drawing.Size(119, 19);
|
||||
this._checkbox_posthedge_ticksawaycross.TabIndex = 22;
|
||||
this._checkbox_posthedge_ticksawaycross.Text = "Ticks Away Cross";
|
||||
this._checkbox_posthedge_ticksawaycross.UseVisualStyleBackColor = true;
|
||||
this._checkbox_posthedge_ticksawaycross.CheckedChanged += new System.EventHandler(this._checkbox_posthedge_ticksawaycross_CheckedChanged);
|
||||
//
|
||||
// _textbox_leg_qty
|
||||
//
|
||||
this._textbox_leg_qty.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_leg_qty.Location = new System.Drawing.Point(157, 50);
|
||||
this._textbox_leg_qty.Name = "_textbox_leg_qty";
|
||||
this._textbox_leg_qty.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_leg_qty.TabIndex = 1;
|
||||
this._textbox_leg_qty.Tag = "Double";
|
||||
//
|
||||
// _checkbox_leg_enablequoting
|
||||
//
|
||||
this._checkbox_leg_enablequoting.AutoSize = true;
|
||||
this._checkbox_leg_enablequoting.Location = new System.Drawing.Point(157, 129);
|
||||
this._checkbox_leg_enablequoting.Name = "_checkbox_leg_enablequoting";
|
||||
this._checkbox_leg_enablequoting.Size = new System.Drawing.Size(15, 14);
|
||||
this._checkbox_leg_enablequoting.TabIndex = 3;
|
||||
this._checkbox_leg_enablequoting.UseVisualStyleBackColor = true;
|
||||
//
|
||||
// _textbox_leg_leanqtyfactor
|
||||
//
|
||||
this._textbox_leg_leanqtyfactor.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_leg_leanqtyfactor.Location = new System.Drawing.Point(157, 155);
|
||||
this._textbox_leg_leanqtyfactor.Name = "_textbox_leg_leanqtyfactor";
|
||||
this._textbox_leg_leanqtyfactor.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_leg_leanqtyfactor.TabIndex = 4;
|
||||
//
|
||||
// _combobox_mdtype
|
||||
//
|
||||
this._combobox_mdtype.AutoCompleteCustomSource.AddRange(new string[] {
|
||||
"Merged",
|
||||
"Direct"});
|
||||
this._combobox_mdtype.FormattingEnabled = true;
|
||||
this._combobox_mdtype.Location = new System.Drawing.Point(157, 190);
|
||||
this._combobox_mdtype.Name = "_combobox_mdtype";
|
||||
this._combobox_mdtype.Size = new System.Drawing.Size(100, 23);
|
||||
this._combobox_mdtype.TabIndex = 5;
|
||||
//
|
||||
// _textbox_leg_price_mult
|
||||
//
|
||||
this._textbox_leg_price_mult.BorderStyle = System.Windows.Forms.BorderStyle.FixedSingle;
|
||||
this._textbox_leg_price_mult.Location = new System.Drawing.Point(157, 85);
|
||||
this._textbox_leg_price_mult.Name = "_textbox_leg_price_mult";
|
||||
this._textbox_leg_price_mult.Size = new System.Drawing.Size(100, 23);
|
||||
this._textbox_leg_price_mult.TabIndex = 2;
|
||||
this._textbox_leg_price_mult.Tag = "Double";
|
||||
//
|
||||
// label4
|
||||
//
|
||||
this.label4.AutoSize = true;
|
||||
this.label4.Location = new System.Drawing.Point(16, 93);
|
||||
this.label4.Name = "label4";
|
||||
this.label4.Size = new System.Drawing.Size(87, 15);
|
||||
this.label4.TabIndex = 10;
|
||||
this.label4.Text = "Price Multiplier";
|
||||
//
|
||||
// _label_leanqty_factor
|
||||
//
|
||||
this._label_leanqty_factor.AutoSize = true;
|
||||
this._label_leanqty_factor.Location = new System.Drawing.Point(16, 163);
|
||||
this._label_leanqty_factor.Name = "_label_leanqty_factor";
|
||||
this._label_leanqty_factor.Size = new System.Drawing.Size(90, 15);
|
||||
this._label_leanqty_factor.TabIndex = 4;
|
||||
this._label_leanqty_factor.Text = "Lean Qty Factor";
|
||||
//
|
||||
// LegControl
|
||||
//
|
||||
this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
|
||||
this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
|
||||
this.BackColor = System.Drawing.Color.White;
|
||||
this.Controls.Add(this._textbox_leg_price_mult);
|
||||
this.Controls.Add(this.label4);
|
||||
this.Controls.Add(this._combobox_mdtype);
|
||||
this.Controls.Add(this._textbox_leg_leanqtyfactor);
|
||||
this.Controls.Add(this._checkbox_leg_enablequoting);
|
||||
this.Controls.Add(this._textbox_leg_qty);
|
||||
this.Controls.Add(this.groupBox3);
|
||||
this.Controls.Add(this.groupBox2);
|
||||
this.Controls.Add(this.groupBox1);
|
||||
this.Controls.Add(this.label5);
|
||||
this.Controls.Add(this._label_leanqty_factor);
|
||||
this.Controls.Add(this.label3);
|
||||
this.Controls.Add(this.label2);
|
||||
this.Controls.Add(this.label1);
|
||||
this.Controls.Add(this._combobox_security);
|
||||
this.Name = "LegControl";
|
||||
this.Size = new System.Drawing.Size(291, 1220);
|
||||
this.groupBox1.ResumeLayout(false);
|
||||
this.groupBox1.PerformLayout();
|
||||
this.groupBox2.ResumeLayout(false);
|
||||
this.groupBox2.PerformLayout();
|
||||
this.groupBox3.ResumeLayout(false);
|
||||
this.groupBox3.PerformLayout();
|
||||
this.ResumeLayout(false);
|
||||
this.PerformLayout();
|
||||
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
private ComboBox _combobox_security;
|
||||
private Label label1;
|
||||
private Label label2;
|
||||
private Label label3;
|
||||
private Label label5;
|
||||
private GroupBox groupBox1;
|
||||
private Label label6;
|
||||
private Label label11;
|
||||
private CheckBox _checkbox_quote_insidemarketdistance;
|
||||
private Label label10;
|
||||
private CheckBox _checkbox_quote_conditional;
|
||||
private Label label9;
|
||||
private Label label8;
|
||||
private CheckBox _checkbox_quote_throttle;
|
||||
private Label label7;
|
||||
private CheckBox _checkbox_quote_showqty;
|
||||
private GroupBox groupBox2;
|
||||
private Label label13;
|
||||
private Label label14;
|
||||
private Label label15;
|
||||
private CheckBox _checkbox_prehedge_payup;
|
||||
private Label label16;
|
||||
private CheckBox _checkbox_prehedge_payless;
|
||||
private GroupBox groupBox3;
|
||||
private Label label20;
|
||||
private Label label21;
|
||||
private CheckBox _checkbox_posthedge_sizebasedcross;
|
||||
private Label label12;
|
||||
private Label label17;
|
||||
private Label label18;
|
||||
private CheckBox _checkbox_posthedge_timebasedcross;
|
||||
private Label label19;
|
||||
private CheckBox _checkbox_posthedge_ticksawaycross;
|
||||
private TextBox _textbox_leg_qty;
|
||||
private CheckBox _checkbox_leg_enablequoting;
|
||||
private TextBox _textbox_leg_leanqtyfactor;
|
||||
private ComboBox _combobox_mdtype;
|
||||
private TextBox _textbox_quote_insidemarketdistance_towarddistance;
|
||||
private TextBox _textbox_quote_conditional_ticks;
|
||||
private TextBox _textbox_quote_throttle_outsideticks;
|
||||
private TextBox _textbox_quote_throttle_insideticks;
|
||||
private TextBox _textbox_quote_showqty_qty;
|
||||
private TextBox _textbox_prehedge_payless_paylessticks;
|
||||
private TextBox _textbox_prehedge_payup_payupticks;
|
||||
private TextBox _textbox_prehedge_payup_threshold;
|
||||
private TextBox _textbox_prehedge_payless_threshold;
|
||||
private TextBox _textbox_posthedge_sizebasedcross_crossticks;
|
||||
private TextBox _textbox_posthedge_sizebasedcross_threshold;
|
||||
private TextBox _textbox_posthedge_timesbasedcross_crossticks;
|
||||
private TextBox _textbox_posthedge_timesbasedcross_timems;
|
||||
private TextBox _textbox_posthedge_ticksawaycross_crossticks;
|
||||
private TextBox _textbox_posthedge_ticksawaycross_threshold;
|
||||
private TextBox _textbox_quote_qho_length;
|
||||
private TextBox _textbox_leg_price_mult;
|
||||
private Label label4;
|
||||
private Label _label_leanqty_factor;
|
||||
}
|
||||
}
|
||||
@@ -1,305 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.ComponentModel;
|
||||
using System.Data;
|
||||
using System.Drawing;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using System.Windows.Forms;
|
||||
using System.Diagnostics;
|
||||
using System.Reflection;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
// UI control that represents a spreader leg. This is hidden within the MainSpreaderForm
|
||||
public partial class LegControl : UserControl {
|
||||
private SpreaderLegContract _leg_contract = new SpreaderLegContract();
|
||||
private IEnumerable<string> _securities = new List<string>();
|
||||
public LegControl() {
|
||||
InitializeComponent();
|
||||
}
|
||||
public void initialize(IEnumerable<string> securities, SpreaderLegContract? leg_contract) {
|
||||
_securities = securities;
|
||||
_leg_contract = leg_contract ?? new SpreaderLegContract();
|
||||
_populate_ui();
|
||||
}
|
||||
|
||||
#region Data -> UI
|
||||
|
||||
private void _populate_ui() {
|
||||
_populate_basic();
|
||||
_populate_quote();
|
||||
_populate_prehedge();
|
||||
_populate_posthedge();
|
||||
_initialize_enablement();
|
||||
_assign_events();
|
||||
}
|
||||
|
||||
void _assign_events() {
|
||||
foreach (System.Reflection.FieldInfo fi in GetType().GetFields(BindingFlags.NonPublic
|
||||
| BindingFlags.Public
|
||||
| BindingFlags.Instance)) {
|
||||
if (fi.FieldType == typeof(TextBox)) {
|
||||
object? val = fi.GetValue(this);
|
||||
if (val != null) {
|
||||
TextBox? textbox = val as TextBox;
|
||||
if (textbox != null) {
|
||||
textbox.TextChanged += Textbox_TextChanged;
|
||||
textbox.EnabledChanged += Textbox_EnabledChanged;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void Textbox_EnabledChanged(object? sender, EventArgs e) {
|
||||
}
|
||||
|
||||
private void Textbox_TextChanged(object? sender, EventArgs e) {
|
||||
if (sender != null && sender is TextBox) {
|
||||
TextBox? tb = sender as TextBox;
|
||||
if (tb == null)
|
||||
return;
|
||||
if ("Double".Equals(tb.Tag)) {
|
||||
double res;
|
||||
bool parsed = Double.TryParse(tb.Text, out res);
|
||||
tb.ForeColor = parsed ? Color.Black : Color.Red;
|
||||
} else {
|
||||
UInt32 res;
|
||||
bool parsed = UInt32.TryParse(tb.Text, out res);
|
||||
tb.ForeColor = parsed ? Color.Black : Color.Red;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
void _populate_basic() {
|
||||
// security
|
||||
_combobox_security.Items.Clear();
|
||||
List<string> securities_plus_empty = new List<string>(_securities);
|
||||
securities_plus_empty.Add(String.Empty);
|
||||
_combobox_security.Items.AddRange(securities_plus_empty.ToArray());
|
||||
_combobox_security.Text = _leg_contract.security;
|
||||
// qty etc
|
||||
_textbox_leg_qty.Text = _leg_contract.qty.ToString();
|
||||
_textbox_leg_price_mult.Text = _leg_contract.price_mult.ToString();
|
||||
_checkbox_leg_enablequoting.Checked = _leg_contract.enable_quoting;
|
||||
_textbox_leg_leanqtyfactor.Text = _leg_contract.lean_qty_factor.ToString();
|
||||
_combobox_mdtype.Text = _leg_contract.md_type.ToString();
|
||||
}
|
||||
|
||||
void _populate_quote() {
|
||||
Debug.Assert(_leg_contract.quote_params != null);
|
||||
var qp = _leg_contract.quote_params;
|
||||
_textbox_quote_qho_length.Text = qp.qho_length.ToString();
|
||||
// show qty
|
||||
_checkbox_quote_showqty.Checked = qp.show_qty != null;
|
||||
if (qp.show_qty != null) {
|
||||
_checkbox_quote_showqty.Checked = true;
|
||||
_textbox_quote_showqty_qty.Text = qp.show_qty.show_qty.ToString();
|
||||
}
|
||||
// throttle
|
||||
_checkbox_quote_throttle.Checked = qp.throttle != null;
|
||||
if (qp.throttle != null) {
|
||||
_textbox_quote_throttle_insideticks.Text = qp.throttle.inside_ticks.ToString();
|
||||
_textbox_quote_throttle_outsideticks.Text = qp.throttle.outside_ticks.ToString();
|
||||
}
|
||||
// conditional
|
||||
_checkbox_quote_conditional.Checked = qp.conditional != null;
|
||||
if (qp.conditional != null) {
|
||||
_textbox_quote_conditional_ticks.Text = qp.conditional.ticks.ToString();
|
||||
}
|
||||
// inside market dist.
|
||||
_checkbox_quote_insidemarketdistance.Checked = qp.inside_market_distance != null;
|
||||
if (qp.inside_market_distance != null) {
|
||||
_textbox_quote_insidemarketdistance_towarddistance.Text = qp.inside_market_distance.ToString();
|
||||
}
|
||||
}
|
||||
|
||||
void _populate_prehedge() {
|
||||
var ph = _leg_contract.pre_hedge_params;
|
||||
// payless
|
||||
_checkbox_prehedge_payless.Checked = ph.payless != null;
|
||||
if (ph.payless != null) {
|
||||
_textbox_prehedge_payless_threshold.Text = ph.payless.threshold.ToString();
|
||||
_textbox_prehedge_payless_paylessticks.Text = ph.payless.payless_ticks.ToString();
|
||||
}
|
||||
// payup
|
||||
_checkbox_prehedge_payup.Checked = ph.payup != null;
|
||||
if (ph.payup != null) {
|
||||
_textbox_prehedge_payup_threshold.Text = ph.payup.threshold.ToString();
|
||||
_textbox_prehedge_payup_payupticks.Text = ph.payup.payup_ticks.ToString();
|
||||
}
|
||||
}
|
||||
|
||||
void _populate_posthedge() {
|
||||
var ph = _leg_contract.post_hedge_params;
|
||||
_checkbox_posthedge_ticksawaycross.Checked = ph.ticks_away_cross != null;
|
||||
// ticks away cross
|
||||
if (ph.ticks_away_cross != null) {
|
||||
_textbox_posthedge_ticksawaycross_threshold.Text = ph.ticks_away_cross.threshold.ToString();
|
||||
_textbox_posthedge_ticksawaycross_crossticks.Text = ph.ticks_away_cross.cross_ticks.ToString();
|
||||
}
|
||||
//time based cross
|
||||
_checkbox_posthedge_timebasedcross.Checked = ph.time_based_cross != null;
|
||||
if (ph.time_based_cross != null) {
|
||||
_textbox_posthedge_timesbasedcross_timems.Text = ph.time_based_cross.time_ms.ToString();
|
||||
_textbox_posthedge_timesbasedcross_crossticks.Text = ph.time_based_cross.cross_ticks.ToString();
|
||||
}
|
||||
// size based cross
|
||||
_checkbox_posthedge_sizebasedcross.Checked = ph.size_based_cross != null;
|
||||
if (ph.size_based_cross != null) {
|
||||
_textbox_posthedge_sizebasedcross_threshold.Text = ph.size_based_cross.threshold.ToString();
|
||||
_textbox_posthedge_sizebasedcross_crossticks.Text = ph.size_based_cross.ToString();
|
||||
}
|
||||
}
|
||||
|
||||
// forces checkbox events so that the text boxes connected to it are enabled/disabled
|
||||
private void _initialize_enablement() {
|
||||
_checkbox_quote_showqty_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_quote_throttle_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_quote_conditional_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_quote_insidemarketdistance_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_prehedge_payless_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_prehedge_payup_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_posthedge_ticksawaycross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_posthedge_timebasedcross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
_checkbox_posthedge_sizebasedcross_CheckedChanged(_checkbox_quote_showqty, new EventArgs());
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region UI -> Data
|
||||
|
||||
public ParsedUIData<SpreaderLegContract> get_data() {
|
||||
SpreaderLegContract rv = new SpreaderLegContract();
|
||||
try {
|
||||
// top part
|
||||
rv.security = _combobox_security.Text;
|
||||
rv.qty = Int32.Parse(_textbox_leg_qty.Text);
|
||||
rv.price_mult = Double.Parse(_textbox_leg_price_mult.Text);
|
||||
rv.enable_quoting = _checkbox_leg_enablequoting.Checked;
|
||||
rv.lean_qty_factor = Double.Parse(_textbox_leg_leanqtyfactor.Text);
|
||||
rv.md_type = SpreaderLegContract.MDType.Merged;
|
||||
// Quote
|
||||
rv.quote_params = new SpreaderLegContract.QuoteParams();
|
||||
rv.quote_params.qho_length = String.IsNullOrEmpty(_textbox_quote_qho_length.Text) ? 0 :
|
||||
UInt32.Parse(_textbox_quote_qho_length.Text);
|
||||
rv.quote_params.show_qty = null;
|
||||
if (_checkbox_quote_showqty.Checked) {
|
||||
rv.quote_params.show_qty = new SpreaderLegContract.QuoteParams.ShowQty();
|
||||
rv.quote_params.show_qty.show_qty = UInt32.Parse(_textbox_quote_showqty_qty.Text);
|
||||
}
|
||||
rv.quote_params.throttle = null;
|
||||
if (_checkbox_quote_throttle.Checked) {
|
||||
rv.quote_params.throttle = new SpreaderLegContract.QuoteParams.Throttle();
|
||||
rv.quote_params.throttle.inside_ticks = UInt32.Parse(_textbox_quote_throttle_insideticks.Text);
|
||||
rv.quote_params.throttle.outside_ticks = UInt32.Parse(_textbox_quote_throttle_outsideticks.Text);
|
||||
}
|
||||
rv.quote_params.conditional = null;
|
||||
if (_checkbox_quote_conditional.Checked) {
|
||||
rv.quote_params.conditional = new SpreaderLegContract.QuoteParams.Conditional();
|
||||
rv.quote_params.conditional.ticks = Int32.Parse(_textbox_quote_conditional_ticks.Text);
|
||||
}
|
||||
rv.quote_params.inside_market_distance = null;
|
||||
if (_checkbox_quote_insidemarketdistance.Checked) {
|
||||
rv.quote_params.inside_market_distance = new SpreaderLegContract.QuoteParams.InsideMarketDistance();
|
||||
rv.quote_params.inside_market_distance.toward_distance =
|
||||
UInt32.Parse(_textbox_quote_insidemarketdistance_towarddistance.Text);
|
||||
}
|
||||
//Pre-Hedge
|
||||
rv.pre_hedge_params = new SpreaderLegContract.PreHedgeParams();
|
||||
rv.pre_hedge_params.payless = null;
|
||||
if (_checkbox_prehedge_payless.Checked) {
|
||||
rv.pre_hedge_params.payless = new SpreaderLegContract.PreHedgeParams.PayLess();
|
||||
rv.pre_hedge_params.payless.threshold = UInt32.Parse(_textbox_prehedge_payless_threshold.Text);
|
||||
rv.pre_hedge_params.payless.payless_ticks =
|
||||
UInt32.Parse(_textbox_prehedge_payless_paylessticks.Text);
|
||||
}
|
||||
rv.pre_hedge_params.payup = null;
|
||||
if (_checkbox_prehedge_payup.Checked) {
|
||||
rv.pre_hedge_params.payup = new SpreaderLegContract.PreHedgeParams.PayUp();
|
||||
rv.pre_hedge_params.payup.threshold = UInt32.Parse(_textbox_prehedge_payup_threshold.Text);
|
||||
rv.pre_hedge_params.payup.payup_ticks = UInt32.Parse(_textbox_prehedge_payup_payupticks.Text);
|
||||
}
|
||||
//Post-Hedge
|
||||
rv.post_hedge_params = new SpreaderLegContract.PostHedgeParams();
|
||||
rv.post_hedge_params.ticks_away_cross = null;
|
||||
if (_checkbox_posthedge_ticksawaycross.Checked) {
|
||||
rv.post_hedge_params.ticks_away_cross = new SpreaderLegContract.PostHedgeParams.TicksAwayCross();
|
||||
rv.post_hedge_params.ticks_away_cross.threshold = UInt32.Parse(_textbox_posthedge_ticksawaycross_threshold.Text);
|
||||
rv.post_hedge_params.ticks_away_cross.cross_ticks = UInt32.Parse(_textbox_posthedge_ticksawaycross_crossticks.Text);
|
||||
}
|
||||
rv.post_hedge_params.time_based_cross = null;
|
||||
if (_checkbox_posthedge_timebasedcross.Checked) {
|
||||
rv.post_hedge_params.time_based_cross = new SpreaderLegContract.PostHedgeParams.TimeBasedCross();
|
||||
rv.post_hedge_params.time_based_cross.time_ms =
|
||||
UInt32.Parse(_textbox_posthedge_timesbasedcross_timems.Text);
|
||||
rv.post_hedge_params.time_based_cross.cross_ticks =
|
||||
UInt32.Parse(_textbox_posthedge_timesbasedcross_crossticks.Text);
|
||||
}
|
||||
rv.post_hedge_params.size_based_cross = null;
|
||||
if (_checkbox_posthedge_sizebasedcross.Checked) {
|
||||
rv.post_hedge_params.size_based_cross = new SpreaderLegContract.PostHedgeParams.SizedBasedCross();
|
||||
rv.post_hedge_params.size_based_cross.threshold = UInt32.Parse(_textbox_posthedge_sizebasedcross_threshold.Text);
|
||||
rv.post_hedge_params.size_based_cross.cross_ticks = UInt32.Parse(_textbox_posthedge_sizebasedcross_crossticks.Text);
|
||||
}
|
||||
}
|
||||
catch(Exception ex) {
|
||||
return new ParsedUIData<SpreaderLegContract>(null, true, ex.Message);
|
||||
}
|
||||
return new ParsedUIData<SpreaderLegContract>(rv, false, String.Empty);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
public SpreaderLegContract get_contract() {
|
||||
return null;
|
||||
}
|
||||
|
||||
#region Checkbox Check Change Events
|
||||
|
||||
private void _checkbox_quote_showqty_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_quote_showqty_qty.Enabled = _checkbox_quote_showqty.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_quote_throttle_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_quote_throttle_insideticks.Enabled = _checkbox_quote_throttle.Checked;
|
||||
_textbox_quote_throttle_outsideticks.Enabled = _checkbox_quote_throttle.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_quote_conditional_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_quote_conditional_ticks.Enabled = _checkbox_quote_conditional.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_quote_insidemarketdistance_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_quote_insidemarketdistance_towarddistance.Enabled = _checkbox_quote_insidemarketdistance.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_prehedge_payless_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_prehedge_payless_threshold.Enabled = _checkbox_prehedge_payless.Checked;
|
||||
_textbox_prehedge_payless_paylessticks.Enabled = _checkbox_prehedge_payless.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_prehedge_payup_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_prehedge_payup_threshold.Enabled = _checkbox_prehedge_payup.Checked;
|
||||
_textbox_prehedge_payup_payupticks.Enabled = _checkbox_prehedge_payup.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_posthedge_ticksawaycross_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_posthedge_ticksawaycross_threshold.Enabled = _checkbox_posthedge_ticksawaycross.Checked;
|
||||
_textbox_posthedge_ticksawaycross_crossticks.Enabled = _checkbox_posthedge_ticksawaycross.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_posthedge_timebasedcross_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_posthedge_timesbasedcross_timems.Enabled = _checkbox_posthedge_timebasedcross.Checked;
|
||||
_textbox_posthedge_timesbasedcross_crossticks.Enabled = _checkbox_posthedge_timebasedcross.Checked;
|
||||
}
|
||||
|
||||
private void _checkbox_posthedge_sizebasedcross_CheckedChanged(object sender, EventArgs e) {
|
||||
_textbox_posthedge_sizebasedcross_threshold.Enabled = _checkbox_posthedge_sizebasedcross.Checked;
|
||||
_textbox_posthedge_sizebasedcross_crossticks.Enabled = _checkbox_posthedge_sizebasedcross.Checked;
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,60 +0,0 @@
|
||||
<root>
|
||||
<xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
|
||||
<xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
|
||||
<xsd:element name="root" msdata:IsDataSet="true">
|
||||
<xsd:complexType>
|
||||
<xsd:choice maxOccurs="unbounded">
|
||||
<xsd:element name="metadata">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" use="required" type="xsd:string" />
|
||||
<xsd:attribute name="type" type="xsd:string" />
|
||||
<xsd:attribute name="mimetype" type="xsd:string" />
|
||||
<xsd:attribute ref="xml:space" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="assembly">
|
||||
<xsd:complexType>
|
||||
<xsd:attribute name="alias" type="xsd:string" />
|
||||
<xsd:attribute name="name" type="xsd:string" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="data">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
|
||||
<xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
|
||||
<xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
|
||||
<xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
|
||||
<xsd:attribute ref="xml:space" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="resheader">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" type="xsd:string" use="required" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
</xsd:choice>
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
</xsd:schema>
|
||||
<resheader name="resmimetype">
|
||||
<value>text/microsoft-resx</value>
|
||||
</resheader>
|
||||
<resheader name="version">
|
||||
<value>2.0</value>
|
||||
</resheader>
|
||||
<resheader name="reader">
|
||||
<value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
|
||||
</resheader>
|
||||
<resheader name="writer">
|
||||
<value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
|
||||
</resheader>
|
||||
</root>
|
||||
@@ -1,152 +0,0 @@
|
||||
using System.Windows.Forms;
|
||||
|
||||
namespace SpreaderFrontEnd
|
||||
{
|
||||
partial class MainSpreaderForm
|
||||
{
|
||||
/// <summary>
|
||||
/// Required designer variable.
|
||||
/// </summary>
|
||||
private System.ComponentModel.IContainer components = null;
|
||||
|
||||
/// <summary>
|
||||
/// Clean up any resources being used.
|
||||
/// </summary>
|
||||
/// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
|
||||
protected override void Dispose(bool disposing)
|
||||
{
|
||||
if (disposing && (components != null))
|
||||
{
|
||||
components.Dispose();
|
||||
}
|
||||
base.Dispose(disposing);
|
||||
}
|
||||
|
||||
#region Windows Form Designer generated code
|
||||
|
||||
/// <summary>
|
||||
/// Required method for Designer support - do not modify
|
||||
/// the contents of this method with the code editor.
|
||||
/// </summary>
|
||||
private void InitializeComponent()
|
||||
{
|
||||
this._button_ok = new System.Windows.Forms.Button();
|
||||
this._button_cancel = new System.Windows.Forms.Button();
|
||||
this._label_spreader_name = new System.Windows.Forms.Label();
|
||||
this._textbox_spreader_name = new System.Windows.Forms.TextBox();
|
||||
this._legcontrol1 = new SpreaderFrontEnd.LegControl();
|
||||
this._legcontrol2 = new SpreaderFrontEnd.LegControl();
|
||||
this._legcontrol3 = new SpreaderFrontEnd.LegControl();
|
||||
this._legcontrol4 = new SpreaderFrontEnd.LegControl();
|
||||
this._legcontrol5 = new SpreaderFrontEnd.LegControl();
|
||||
this.SuspendLayout();
|
||||
//
|
||||
// _button_ok
|
||||
//
|
||||
this._button_ok.Location = new System.Drawing.Point(1231, 1306);
|
||||
this._button_ok.Name = "_button_ok";
|
||||
this._button_ok.Size = new System.Drawing.Size(120, 33);
|
||||
this._button_ok.TabIndex = 4;
|
||||
this._button_ok.Text = "OK";
|
||||
this._button_ok.UseVisualStyleBackColor = false;
|
||||
this._button_ok.Click += new System.EventHandler(this._button_ok_Click);
|
||||
//
|
||||
// _button_cancel
|
||||
//
|
||||
this._button_cancel.Location = new System.Drawing.Point(1380, 1306);
|
||||
this._button_cancel.Name = "_button_cancel";
|
||||
this._button_cancel.Size = new System.Drawing.Size(121, 33);
|
||||
this._button_cancel.TabIndex = 5;
|
||||
this._button_cancel.Text = "Cancel";
|
||||
this._button_cancel.UseVisualStyleBackColor = false;
|
||||
this._button_cancel.Click += new System.EventHandler(this._button_cancel_Click);
|
||||
//
|
||||
// _label_spreader_name
|
||||
//
|
||||
this._label_spreader_name.AutoSize = true;
|
||||
this._label_spreader_name.Location = new System.Drawing.Point(22, 28);
|
||||
this._label_spreader_name.Name = "_label_spreader_name";
|
||||
this._label_spreader_name.Size = new System.Drawing.Size(88, 15);
|
||||
this._label_spreader_name.TabIndex = 6;
|
||||
this._label_spreader_name.Text = "Spreader Name";
|
||||
//
|
||||
// _textbox_spreader_name
|
||||
//
|
||||
this._textbox_spreader_name.Location = new System.Drawing.Point(116, 25);
|
||||
this._textbox_spreader_name.Name = "_textbox_spreader_name";
|
||||
this._textbox_spreader_name.Size = new System.Drawing.Size(343, 23);
|
||||
this._textbox_spreader_name.TabIndex = 0;
|
||||
//
|
||||
// _legcontrol1
|
||||
//
|
||||
this._legcontrol1.BackColor = System.Drawing.Color.White;
|
||||
this._legcontrol1.Location = new System.Drawing.Point(22, 67);
|
||||
this._legcontrol1.Name = "_legcontrol1";
|
||||
this._legcontrol1.Size = new System.Drawing.Size(291, 1220);
|
||||
this._legcontrol1.TabIndex = 1;
|
||||
//
|
||||
// _legcontrol2
|
||||
//
|
||||
this._legcontrol2.BackColor = System.Drawing.Color.White;
|
||||
this._legcontrol2.Location = new System.Drawing.Point(319, 67);
|
||||
this._legcontrol2.Name = "_legcontrol2";
|
||||
this._legcontrol2.Size = new System.Drawing.Size(291, 1220);
|
||||
this._legcontrol2.TabIndex = 2;
|
||||
//
|
||||
// _legcontrol3
|
||||
//
|
||||
this._legcontrol3.BackColor = System.Drawing.Color.White;
|
||||
this._legcontrol3.Location = new System.Drawing.Point(616, 67);
|
||||
this._legcontrol3.Name = "_legcontrol3";
|
||||
this._legcontrol3.Size = new System.Drawing.Size(291, 1220);
|
||||
this._legcontrol3.TabIndex = 3;
|
||||
//
|
||||
// _legcontrol4
|
||||
//
|
||||
this._legcontrol4.BackColor = System.Drawing.Color.White;
|
||||
this._legcontrol4.Location = new System.Drawing.Point(913, 67);
|
||||
this._legcontrol4.Name = "_legcontrol4";
|
||||
this._legcontrol4.Size = new System.Drawing.Size(291, 1220);
|
||||
this._legcontrol4.TabIndex = 4;
|
||||
//
|
||||
// _legcontrol5
|
||||
//
|
||||
this._legcontrol5.BackColor = System.Drawing.Color.White;
|
||||
this._legcontrol5.Location = new System.Drawing.Point(1210, 67);
|
||||
this._legcontrol5.Name = "_legcontrol5";
|
||||
this._legcontrol5.Size = new System.Drawing.Size(291, 1220);
|
||||
this._legcontrol5.TabIndex = 5;
|
||||
//
|
||||
// MainSpreaderForm
|
||||
//
|
||||
this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
|
||||
this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
|
||||
this.ClientSize = new System.Drawing.Size(1517, 1363);
|
||||
this.Controls.Add(this._legcontrol5);
|
||||
this.Controls.Add(this._legcontrol4);
|
||||
this.Controls.Add(this._legcontrol3);
|
||||
this.Controls.Add(this._legcontrol2);
|
||||
this.Controls.Add(this._legcontrol1);
|
||||
this.Controls.Add(this._textbox_spreader_name);
|
||||
this.Controls.Add(this._label_spreader_name);
|
||||
this.Controls.Add(this._button_cancel);
|
||||
this.Controls.Add(this._button_ok);
|
||||
this.Name = "MainSpreaderForm";
|
||||
this.Text = "MainSpreaderForm";
|
||||
this.ResumeLayout(false);
|
||||
this.PerformLayout();
|
||||
|
||||
}
|
||||
|
||||
#endregion
|
||||
private Button _button_ok;
|
||||
private Button _button_cancel;
|
||||
private Label _label_spreader_name;
|
||||
private TextBox _textbox_spreader_name;
|
||||
private LegControl _legcontrol1;
|
||||
private LegControl _legcontrol2;
|
||||
private LegControl _legcontrol3;
|
||||
private LegControl _legcontrol4;
|
||||
private LegControl _legcontrol5;
|
||||
}
|
||||
}
|
||||
@@ -1,81 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.ComponentModel;
|
||||
using System.Data;
|
||||
using System.Drawing;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using System.Windows.Forms;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
// This is the main UI widget. It is passed a list of securities and a SpreaderContract.
|
||||
// The SpreaderContract can be empty (which will be the case when creating a new spreader).
|
||||
// It has 3 public facing members (other than the constructor),
|
||||
// 2 events that tell whether OK or Cancel was hit, respectively,
|
||||
// and get_spreader_contract that returns a ParsedUIData<SpreaderContract>
|
||||
|
||||
public partial class MainSpreaderForm : Form {
|
||||
private IEnumerable<LegControl> _leg_controls;
|
||||
public Action on_OK = () => { };
|
||||
public Action on_cancel = () => { };
|
||||
private readonly IEnumerable<string> _securities;
|
||||
private SpreaderContract _spreader_contract;
|
||||
|
||||
public MainSpreaderForm(IEnumerable<string> securities,
|
||||
SpreaderContract spreader_contract)
|
||||
: base() {
|
||||
InitializeComponent();
|
||||
_leg_controls = new LegControl[] { _legcontrol1, _legcontrol2, _legcontrol3, _legcontrol4, _legcontrol5 };
|
||||
_securities = securities;
|
||||
System.Diagnostics.Debug.Assert(spreader_contract != null);
|
||||
// System.Diagnostics.Debug.Assert(spreader_contract.spread_legs.Count() == SpreaderContract.max_nlegs);
|
||||
_spreader_contract = spreader_contract;
|
||||
_textbox_spreader_name.Text = _spreader_contract.name;
|
||||
for (var i = 0; i < _leg_controls.Count(); i++) {
|
||||
SpreaderLegContract? lc = i < _spreader_contract.spread_legs.Count() ?
|
||||
_spreader_contract.spread_legs.ElementAt(i) : null;
|
||||
_leg_controls.ElementAt(i).initialize(securities, lc);
|
||||
}
|
||||
}
|
||||
|
||||
public ParsedUIData<SpreaderContract> get_spreader_contract() {
|
||||
if (String.IsNullOrEmpty(_textbox_spreader_name.Text)) {
|
||||
return new ParsedUIData<SpreaderContract>(null, true, "Spreader name is not set");
|
||||
}
|
||||
List<SpreaderLegContract> leg_contracts = new List<SpreaderLegContract>();
|
||||
uint i = 0;
|
||||
foreach (LegControl lc in _leg_controls) {
|
||||
i++;
|
||||
var leg_res = lc.get_data();
|
||||
if (leg_res.is_error) {
|
||||
return new ParsedUIData<SpreaderContract>(null, true, $"Leg: {i} is not set correctly");
|
||||
}
|
||||
leg_contracts.Add(leg_res.ui_data);
|
||||
}
|
||||
IEnumerable<SpreaderLegContract> leg_contracts_rv =
|
||||
leg_contracts.Where(l => !String.IsNullOrEmpty(l.security));
|
||||
if (leg_contracts_rv.Count() <= 1) {
|
||||
return new ParsedUIData<SpreaderContract>(
|
||||
null, true, "Spreader needs at least 2 legs");
|
||||
}
|
||||
// check the number of legs
|
||||
return new ParsedUIData<SpreaderContract>(
|
||||
new SpreaderContract(_textbox_spreader_name.Text, leg_contracts_rv), false, String.Empty);
|
||||
}
|
||||
|
||||
private void _button_ok_Click(object sender, EventArgs e) {
|
||||
ParsedUIData<SpreaderContract> ui_data = get_spreader_contract();
|
||||
if (ui_data.is_error) {
|
||||
string err_txt = $"The following error happened \n{ui_data.error_txt}";
|
||||
System.Windows.Forms.MessageBox.Show(err_txt, "Spreader Error", MessageBoxButtons.OK, MessageBoxIcon.Error);
|
||||
return;
|
||||
}
|
||||
on_OK();
|
||||
}
|
||||
|
||||
private void _button_cancel_Click(object sender, EventArgs e) {
|
||||
on_cancel();
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,60 +0,0 @@
|
||||
<root>
|
||||
<xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
|
||||
<xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
|
||||
<xsd:element name="root" msdata:IsDataSet="true">
|
||||
<xsd:complexType>
|
||||
<xsd:choice maxOccurs="unbounded">
|
||||
<xsd:element name="metadata">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" use="required" type="xsd:string" />
|
||||
<xsd:attribute name="type" type="xsd:string" />
|
||||
<xsd:attribute name="mimetype" type="xsd:string" />
|
||||
<xsd:attribute ref="xml:space" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="assembly">
|
||||
<xsd:complexType>
|
||||
<xsd:attribute name="alias" type="xsd:string" />
|
||||
<xsd:attribute name="name" type="xsd:string" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="data">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
|
||||
<xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
|
||||
<xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
|
||||
<xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
|
||||
<xsd:attribute ref="xml:space" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="resheader">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" type="xsd:string" use="required" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
</xsd:choice>
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
</xsd:schema>
|
||||
<resheader name="resmimetype">
|
||||
<value>text/microsoft-resx</value>
|
||||
</resheader>
|
||||
<resheader name="version">
|
||||
<value>2.0</value>
|
||||
</resheader>
|
||||
<resheader name="reader">
|
||||
<value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
|
||||
</resheader>
|
||||
<resheader name="writer">
|
||||
<value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
|
||||
</resheader>
|
||||
</root>
|
||||
@@ -1,20 +0,0 @@
|
||||
namespace SpreaderFrontEnd {
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
|
||||
public class ParsedUIData<T> {
|
||||
public readonly T ui_data;
|
||||
public readonly bool is_error;
|
||||
public readonly string error_txt;
|
||||
|
||||
public ParsedUIData(T ui_data, bool is_error, string error_txt) {
|
||||
this.ui_data = ui_data;
|
||||
this.is_error = is_error;
|
||||
this.error_txt = error_txt;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,18 +0,0 @@
|
||||
using System;
|
||||
using System.Windows.Forms;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
internal static class Program {
|
||||
/// <summary>
|
||||
/// The main entry point for the application.
|
||||
/// </summary>
|
||||
[STAThread]
|
||||
static void Main() {
|
||||
SyntheticBookTest.run();
|
||||
// To customize application configuration such as set high DPI settings or default font,
|
||||
// see https://aka.ms/applicationconfiguration.
|
||||
ApplicationConfiguration.Initialize();
|
||||
Application.Run(new TestForm());
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,35 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
namespace SpreaderFrontEnd
|
||||
{
|
||||
[Serializable]
|
||||
// Represents a spreader contract (anologous ot the protobuf on the C++ side)
|
||||
// We could have generated managed wrappers from the protobuf, but we did not want
|
||||
// to make your build process complicated hence opted for this class.
|
||||
// It is quite simply a wrapper around an enumeration of SpreaderLegContract
|
||||
public class SpreaderContract
|
||||
{
|
||||
public static uint max_nlegs = 5;
|
||||
public string name = String.Empty;
|
||||
public IList<SpreaderLegContract> spread_legs = new List<SpreaderLegContract>();
|
||||
|
||||
public SpreaderContract(string name, IEnumerable<SpreaderLegContract> spread_legs)
|
||||
{
|
||||
this.name = name;
|
||||
this.spread_legs = spread_legs.ToList();
|
||||
}
|
||||
|
||||
public static SpreaderContract empty
|
||||
{
|
||||
get
|
||||
{
|
||||
return new SpreaderContract("UNNAMED",
|
||||
Enumerable.Repeat<SpreaderLegContract>(new SpreaderLegContract(), 5));
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,11 +0,0 @@
|
||||
<Project Sdk="Microsoft.NET.Sdk">
|
||||
|
||||
<PropertyGroup>
|
||||
<OutputType>WinExe</OutputType>
|
||||
<TargetFramework>net6.0-windows</TargetFramework>
|
||||
<Nullable>enable</Nullable>
|
||||
<UseWindowsForms>true</UseWindowsForms>
|
||||
<LanguageVersion>7</LanguageVersion>
|
||||
</PropertyGroup>
|
||||
|
||||
</Project>
|
||||
@@ -1,90 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
namespace SpreaderFrontEnd
|
||||
{
|
||||
[Serializable]
|
||||
// Represents a single leg of the spreader. It is made up of
|
||||
// 1. a main section consisting of the security, qty, price mult etc
|
||||
// 2. Quote parameters
|
||||
// 3. Pre-Hedge parameters
|
||||
// 4. Post-Hedge parameters
|
||||
// It maps pretty directly to the UI (LegControl)
|
||||
public class SpreaderLegContract
|
||||
{
|
||||
public enum MDType {
|
||||
Direct = 0,
|
||||
Merged = 1,
|
||||
}
|
||||
|
||||
public string security = String.Empty;
|
||||
public int qty = 1;
|
||||
public double price_mult = 1;
|
||||
public bool enable_quoting = false;
|
||||
public double lean_qty_factor = 1;
|
||||
public MDType md_type = MDType.Direct;
|
||||
public QuoteParams quote_params = new QuoteParams();
|
||||
public PreHedgeParams pre_hedge_params = new PreHedgeParams();
|
||||
public PostHedgeParams post_hedge_params = new PostHedgeParams();
|
||||
|
||||
public class QuoteParams
|
||||
{
|
||||
public class ShowQty {
|
||||
public UInt32 show_qty = 1;
|
||||
}
|
||||
public class Throttle {
|
||||
public UInt32 inside_ticks = 0;
|
||||
public UInt32 outside_ticks = 0;
|
||||
}
|
||||
public class Conditional {
|
||||
public Int32 ticks = 0;
|
||||
}
|
||||
public class InsideMarketDistance {
|
||||
public UInt32 toward_distance = 0;
|
||||
}
|
||||
public UInt32 qho_length = 0;
|
||||
public ShowQty? show_qty = null;
|
||||
public Throttle? throttle = null;
|
||||
public Conditional? conditional = null;
|
||||
public InsideMarketDistance? inside_market_distance = null;
|
||||
}
|
||||
|
||||
public class PreHedgeParams
|
||||
{
|
||||
public class PayLess {
|
||||
public UInt32 threshold = 0;
|
||||
public UInt32 payless_ticks = 0;
|
||||
}
|
||||
public class PayUp
|
||||
{
|
||||
public UInt32 threshold = 0;
|
||||
public UInt32 payup_ticks = 0;
|
||||
}
|
||||
public PayLess? payless = null;
|
||||
public PayUp? payup = null;
|
||||
}
|
||||
|
||||
public class PostHedgeParams
|
||||
{
|
||||
public class TicksAwayCross {
|
||||
public UInt32 threshold = 0;
|
||||
public UInt32 cross_ticks = 0;
|
||||
}
|
||||
public class TimeBasedCross {
|
||||
public UInt32 time_ms = 0;
|
||||
public UInt32 cross_ticks = 0;
|
||||
}
|
||||
public class SizedBasedCross {
|
||||
public UInt32 threshold = 0;
|
||||
public UInt32 cross_ticks = 0;
|
||||
}
|
||||
public TicksAwayCross? ticks_away_cross = null;
|
||||
public TimeBasedCross? time_based_cross = null;
|
||||
public SizedBasedCross? size_based_cross = null;
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
@@ -1,79 +0,0 @@
|
||||
using System.Windows.Forms;
|
||||
|
||||
namespace SpreaderFrontEnd
|
||||
{
|
||||
partial class TestForm
|
||||
{
|
||||
/// <summary>
|
||||
/// Required designer variable.
|
||||
/// </summary>
|
||||
private System.ComponentModel.IContainer components = null;
|
||||
|
||||
/// <summary>
|
||||
/// Clean up any resources being used.
|
||||
/// </summary>
|
||||
/// <param name="disposing">true if managed resources should be disposed; otherwise, false.</param>
|
||||
protected override void Dispose(bool disposing)
|
||||
{
|
||||
if (disposing && (components != null))
|
||||
{
|
||||
components.Dispose();
|
||||
}
|
||||
base.Dispose(disposing);
|
||||
}
|
||||
|
||||
#region Windows Form Designer generated code
|
||||
|
||||
/// <summary>
|
||||
/// Required method for Designer support - do not modify
|
||||
/// the contents of this method with the code editor.
|
||||
/// </summary>
|
||||
private void InitializeComponent()
|
||||
{
|
||||
this._button_launch_new = new System.Windows.Forms.Button();
|
||||
this._button_load_existing = new System.Windows.Forms.Button();
|
||||
this.SuspendLayout();
|
||||
//
|
||||
// _button_launch_new
|
||||
//
|
||||
this._button_launch_new.Location = new System.Drawing.Point(96, 46);
|
||||
this._button_launch_new.Name = "_button_launch_new";
|
||||
this._button_launch_new.Size = new System.Drawing.Size(169, 26);
|
||||
this._button_launch_new.TabIndex = 0;
|
||||
this._button_launch_new.Text = "Launch New";
|
||||
this._button_launch_new.UseVisualStyleBackColor = true;
|
||||
this._button_launch_new.Click += new System.EventHandler(this._button_launch_new_Click);
|
||||
//
|
||||
// _button_load_existing
|
||||
//
|
||||
this._button_load_existing.Location = new System.Drawing.Point(96, 114);
|
||||
this._button_load_existing.Name = "_button_load_existing";
|
||||
this._button_load_existing.Size = new System.Drawing.Size(169, 26);
|
||||
this._button_load_existing.TabIndex = 1;
|
||||
this._button_load_existing.Text = "Load Existing";
|
||||
this._button_load_existing.UseVisualStyleBackColor = true;
|
||||
this._button_load_existing.Click += new System.EventHandler(this._button_load_existing_Click);
|
||||
//
|
||||
// TestForm
|
||||
//
|
||||
this.AutoScaleDimensions = new System.Drawing.SizeF(7F, 15F);
|
||||
this.AutoScaleMode = System.Windows.Forms.AutoScaleMode.Font;
|
||||
this.ClientSize = new System.Drawing.Size(371, 213);
|
||||
this.Controls.Add(this._button_load_existing);
|
||||
this.Controls.Add(this._button_launch_new);
|
||||
this.FormBorderStyle = System.Windows.Forms.FormBorderStyle.FixedSingle;
|
||||
this.MaximizeBox = false;
|
||||
this.MinimizeBox = false;
|
||||
this.Name = "TestForm";
|
||||
this.SizeGripStyle = System.Windows.Forms.SizeGripStyle.Hide;
|
||||
this.Text = "Test Launcher";
|
||||
this.ResumeLayout(false);
|
||||
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
private Button _button_launch_new;
|
||||
private Button _button_load_existing;
|
||||
}
|
||||
}
|
||||
@@ -1,91 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Windows.Forms;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
// Test class that demostrates how to use the MainSpreaderForm.
|
||||
// It has 2 buttons. "Launch New" launches a brand new spreader (empty UI)
|
||||
// while "Launch Existing" loads the MainSpreaderForm with an existing
|
||||
// spreader (hard coded arbitrary values)
|
||||
public partial class TestForm : Form {
|
||||
private IEnumerable<string> _securities = new string[] {
|
||||
"ZCG23",
|
||||
"ZCH23",
|
||||
"ZCJ23",
|
||||
"ZCL23",
|
||||
"ZCM23"
|
||||
};
|
||||
|
||||
public TestForm() {
|
||||
InitializeComponent();
|
||||
}
|
||||
|
||||
private void _button_launch_new_Click(object sender, EventArgs e) {
|
||||
_show_form(SpreaderContract.empty);
|
||||
}
|
||||
|
||||
private void _button_load_existing_Click(object sender, EventArgs e) {
|
||||
var sc = _generate_test_contract();
|
||||
_show_form(sc);
|
||||
}
|
||||
|
||||
private void _show_form(SpreaderContract spreader_contract) {
|
||||
MainSpreaderForm f = new MainSpreaderForm(_securities, spreader_contract);
|
||||
f.on_OK = () => {
|
||||
MessageBox.Show("Received OK", "OK", MessageBoxButtons.OK, MessageBoxIcon.Information);
|
||||
f.Close();
|
||||
};
|
||||
f.on_cancel = () => {
|
||||
MessageBox.Show("Received Cancel", "Cancel", MessageBoxButtons.OK, MessageBoxIcon.Warning);
|
||||
f.Close();
|
||||
};
|
||||
f.ShowDialog();
|
||||
}
|
||||
|
||||
private SpreaderContract _generate_test_contract() {
|
||||
List<SpreaderLegContract> lcs = new List<SpreaderLegContract>();
|
||||
for (uint i = 0; i < 3; i++) {
|
||||
SpreaderLegContract lc = _generate_test_leg_contract(i);
|
||||
lcs.Add(lc);
|
||||
}
|
||||
SpreaderContract sc = new SpreaderContract("TEST SPREADER", lcs);
|
||||
return sc;
|
||||
}
|
||||
|
||||
private SpreaderLegContract _generate_test_leg_contract(uint idx) {
|
||||
SpreaderLegContract rv = new SpreaderLegContract();
|
||||
rv.security = _securities.ElementAt(0);
|
||||
rv.qty = 1;
|
||||
rv.price_mult = 1;
|
||||
rv.enable_quoting = true;
|
||||
rv.lean_qty_factor = 2;
|
||||
rv.md_type = SpreaderLegContract.MDType.Merged;
|
||||
// quote
|
||||
rv.quote_params = new SpreaderLegContract.QuoteParams();
|
||||
rv.quote_params.qho_length = 0;
|
||||
rv.quote_params.show_qty = new SpreaderLegContract.QuoteParams.ShowQty();
|
||||
rv.quote_params.show_qty.show_qty = 10;
|
||||
rv.quote_params.throttle = new SpreaderLegContract.QuoteParams.Throttle();
|
||||
rv.quote_params.throttle.inside_ticks = 3;
|
||||
rv.quote_params.throttle.outside_ticks = 2;
|
||||
// pre hedge
|
||||
rv.pre_hedge_params = new SpreaderLegContract.PreHedgeParams();
|
||||
rv.pre_hedge_params.payless = new SpreaderLegContract.PreHedgeParams.PayLess();
|
||||
rv.pre_hedge_params.payless.threshold = 1000;
|
||||
rv.pre_hedge_params.payless.payless_ticks = 7;
|
||||
rv.pre_hedge_params.payup = new SpreaderLegContract.PreHedgeParams.PayUp();
|
||||
rv.pre_hedge_params.payup.threshold = 500;
|
||||
rv.pre_hedge_params.payup.payup_ticks = 12;
|
||||
// post hedge
|
||||
rv.post_hedge_params = new SpreaderLegContract.PostHedgeParams();
|
||||
rv.post_hedge_params.ticks_away_cross = new SpreaderLegContract.PostHedgeParams.TicksAwayCross();
|
||||
rv.post_hedge_params.ticks_away_cross.threshold = 10;
|
||||
rv.post_hedge_params.ticks_away_cross.cross_ticks = 3;
|
||||
rv.post_hedge_params.time_based_cross = new SpreaderLegContract.PostHedgeParams.TimeBasedCross();
|
||||
rv.post_hedge_params.time_based_cross.time_ms = 20;
|
||||
rv.post_hedge_params.time_based_cross.cross_ticks = 5;
|
||||
return rv;
|
||||
}
|
||||
}
|
||||
};
|
||||
@@ -1,60 +0,0 @@
|
||||
<root>
|
||||
<xsd:schema id="root" xmlns="" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
|
||||
<xsd:import namespace="http://www.w3.org/XML/1998/namespace" />
|
||||
<xsd:element name="root" msdata:IsDataSet="true">
|
||||
<xsd:complexType>
|
||||
<xsd:choice maxOccurs="unbounded">
|
||||
<xsd:element name="metadata">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" use="required" type="xsd:string" />
|
||||
<xsd:attribute name="type" type="xsd:string" />
|
||||
<xsd:attribute name="mimetype" type="xsd:string" />
|
||||
<xsd:attribute ref="xml:space" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="assembly">
|
||||
<xsd:complexType>
|
||||
<xsd:attribute name="alias" type="xsd:string" />
|
||||
<xsd:attribute name="name" type="xsd:string" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="data">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
|
||||
<xsd:element name="comment" type="xsd:string" minOccurs="0" msdata:Ordinal="2" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" type="xsd:string" use="required" msdata:Ordinal="1" />
|
||||
<xsd:attribute name="type" type="xsd:string" msdata:Ordinal="3" />
|
||||
<xsd:attribute name="mimetype" type="xsd:string" msdata:Ordinal="4" />
|
||||
<xsd:attribute ref="xml:space" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
<xsd:element name="resheader">
|
||||
<xsd:complexType>
|
||||
<xsd:sequence>
|
||||
<xsd:element name="value" type="xsd:string" minOccurs="0" msdata:Ordinal="1" />
|
||||
</xsd:sequence>
|
||||
<xsd:attribute name="name" type="xsd:string" use="required" />
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
</xsd:choice>
|
||||
</xsd:complexType>
|
||||
</xsd:element>
|
||||
</xsd:schema>
|
||||
<resheader name="resmimetype">
|
||||
<value>text/microsoft-resx</value>
|
||||
</resheader>
|
||||
<resheader name="version">
|
||||
<value>2.0</value>
|
||||
</resheader>
|
||||
<resheader name="reader">
|
||||
<value>System.Resources.ResXResourceReader, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
|
||||
</resheader>
|
||||
<resheader name="writer">
|
||||
<value>System.Resources.ResXResourceWriter, System.Windows.Forms, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089</value>
|
||||
</resheader>
|
||||
</root>
|
||||
@@ -1,230 +0,0 @@
|
||||
using System;
|
||||
using System.Diagnostics;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
namespace SpreaderFrontEnd {
|
||||
public static class SyntheticBookTest {
|
||||
/// <summary>
|
||||
/// Run synthetic book computation tests
|
||||
/// </summary>
|
||||
public static int run() {
|
||||
// Seed the test with a standard butterfly spread. Leg size multipliers will be applied to
|
||||
// each leg to generate more variations to test.
|
||||
var legs = new List<SpreaderLegContract> {
|
||||
new SpreaderLegContract() {
|
||||
security = "Leg1Sec",
|
||||
qty = 1
|
||||
},
|
||||
new SpreaderLegContract() {
|
||||
security = "Leg2Sec",
|
||||
qty = -2
|
||||
},
|
||||
new SpreaderLegContract() {
|
||||
security = "Leg3Sec",
|
||||
qty = 1
|
||||
}
|
||||
};
|
||||
var leg_multipliers = new List<int> { 1, -1, 2, -2, 3, -3 };
|
||||
var contract = new SpreaderContract("Test", legs);
|
||||
|
||||
// Define a book (seed) for each leg. Quantities will be added to each price level for each
|
||||
// leg's book to generate more variations to test.
|
||||
var leg1_book = new Book(
|
||||
bids: new BookSide(levels: new List<PriceLevel> {
|
||||
new PriceLevel(price: 3, qty: 10),
|
||||
new PriceLevel(price: 2, qty: 4),
|
||||
new PriceLevel(price: 1, qty: 6)
|
||||
}),
|
||||
asks: new BookSide(levels: new List<PriceLevel> {
|
||||
new PriceLevel(price: 4, qty: 5),
|
||||
new PriceLevel(price: 5, qty: 7),
|
||||
new PriceLevel(price: 6, qty: 8)
|
||||
}));
|
||||
var leg2_book = new Book(
|
||||
bids: new BookSide(levels: new List<PriceLevel> {
|
||||
new PriceLevel(price: 3, qty: 1),
|
||||
new PriceLevel(price: 2, qty: 7),
|
||||
new PriceLevel(price: 1, qty: 2)
|
||||
}),
|
||||
asks: new BookSide(levels: new List<PriceLevel> {
|
||||
new PriceLevel(price: 4, qty: 3),
|
||||
new PriceLevel(price: 5, qty: 3),
|
||||
new PriceLevel(price: 6, qty: 5)
|
||||
}));
|
||||
var leg3_book = new Book(
|
||||
bids: new BookSide(levels: new List<PriceLevel> {
|
||||
new PriceLevel(price: 3, qty: 2),
|
||||
new PriceLevel(price: 2, qty: 1),
|
||||
new PriceLevel(price: 1, qty: 8)
|
||||
}),
|
||||
asks: new BookSide(levels: new List<PriceLevel> {
|
||||
new PriceLevel(price: 4, qty: 4),
|
||||
new PriceLevel(price: 5, qty: 3),
|
||||
new PriceLevel(price: 6, qty: 4)
|
||||
}));
|
||||
var level_qty_additions = new List<uint> { 1, 2, 3, 4 };
|
||||
var leg_books = new List<Book> { leg1_book, leg2_book, leg3_book };
|
||||
|
||||
for (int i = 0; i < leg_multipliers.Count; i++) {
|
||||
var leg_mult = leg_multipliers[i];
|
||||
for (int j = 0; j < contract.spread_legs.Count; j++) {
|
||||
// Apply leg mult
|
||||
contract.spread_legs[j].qty *= leg_mult;
|
||||
foreach (var lqa in level_qty_additions) {
|
||||
foreach(var lb in leg_books) {
|
||||
// Apply qty addition to bid-levels
|
||||
for (int level_idx = 0; level_idx < lb.bids.levels.Count; level_idx++) {
|
||||
var orig_level = lb.bids.levels[level_idx];
|
||||
lb.bids.levels[level_idx] = orig_level.add_qty(lqa);
|
||||
run(leg_books, contract);
|
||||
// Subtract the qty that was just added so each qty addition is applied to
|
||||
// the original level
|
||||
lb.bids.levels[level_idx] = lb.bids.levels[level_idx].subtract_qty(lqa);
|
||||
}
|
||||
|
||||
// Apply qty additions to ask-levels
|
||||
for (int level_idx = 0; level_idx < lb.asks.levels.Count; level_idx++) {
|
||||
var orig_level = lb.asks.levels[level_idx];
|
||||
lb.asks.levels[level_idx] = orig_level.add_qty(lqa);
|
||||
run(leg_books, contract);
|
||||
// Subtract the qty that was just added so each qty addition is applied to
|
||||
// the original level
|
||||
lb.asks.levels[level_idx] = lb.asks.levels[level_idx].subtract_qty(lqa);
|
||||
}
|
||||
}
|
||||
}
|
||||
// Divide by leg_mult so the each mult is applied to the original leg
|
||||
contract.spread_legs[j].qty /= leg_mult;
|
||||
}
|
||||
}
|
||||
return 0;
|
||||
}
|
||||
|
||||
public static void run(List<Book> leg_books, SpreaderContract contract) {
|
||||
var synth_book = SpreaderBookCalculator.compute_spreader_book(contract, leg_books);
|
||||
for (int i = 0; i < contract.spread_legs.Count; i++) {
|
||||
Console.WriteLine($"Leg{i} (qty {contract.spread_legs[i].qty}): {leg_books[i]}");
|
||||
}
|
||||
Console.WriteLine($"Synthetic Book: {synth_book}");
|
||||
var leg_book_tups = _to_leg_book_tuples(leg_books, contract);
|
||||
var expected_book = _compute_synth_book(leg_book_tups);
|
||||
Console.WriteLine($"Expected Book: {expected_book}");
|
||||
Debug.Assert(expected_book.Equals(synth_book));
|
||||
}
|
||||
|
||||
static List<Tuple<Book, int>> _to_leg_book_tuples(List<Book> leg_books, SpreaderContract contract) {
|
||||
Debug.Assert(leg_books.Count == contract.spread_legs.Count);
|
||||
var rv = new List<Tuple<Book, int>>();
|
||||
for (int i = 0; i < leg_books.Count; i++) {
|
||||
rv.Add(Tuple.Create(leg_books[i], contract.spread_legs[i].qty));
|
||||
}
|
||||
return rv;
|
||||
}
|
||||
|
||||
static List<Tuple<BookSide, int>> _to_leg_book_side_tuples(List<Tuple<Book, int>> leg_books, bool is_bid) {
|
||||
var leg_book_tups = new List<Tuple<BookSide, int>>();
|
||||
for (int i = 0; i < leg_books.Count; i++) {
|
||||
var leg_size = leg_books[i].Item2;
|
||||
var leg_book = leg_books[i].Item1;
|
||||
var is_buy_leg = leg_size > 0;
|
||||
var leg_book_side = is_buy_leg == is_bid ? leg_book.bids : leg_book.asks;
|
||||
leg_book_tups.Add(Tuple.Create(leg_book_side, leg_size));
|
||||
}
|
||||
return leg_book_tups;
|
||||
}
|
||||
|
||||
static Book _compute_synth_book(List<Tuple<Book, int>> leg_books) {
|
||||
var leg_bids = _to_leg_book_side_tuples(leg_books, true);
|
||||
var leg_asks = _to_leg_book_side_tuples(leg_books, false);
|
||||
var synth_bids = _compute_synth_book_side(leg_bids);
|
||||
var synth_asks = _compute_synth_book_side(leg_asks);
|
||||
return new Book(synth_bids, synth_asks);
|
||||
}
|
||||
|
||||
// <summary>
|
||||
// Computes the synthetic book in a simple/unoptimized way, to ensure correctness. Books
|
||||
// generated by the 'optimized' routine, which will be used in practice, should match those
|
||||
// generated by this one.
|
||||
// </summary>
|
||||
static BookSide _compute_synth_book_side(IEnumerable<Tuple<BookSide, int>> leg_books) {
|
||||
// Clone the books so we can mutate them without changing the input 'leg_books'
|
||||
var leg_books_list = leg_books.Select(lb => Tuple.Create(lb.Item1.Clone(), lb.Item2)).ToList();
|
||||
var levels = new List<PriceLevel>();
|
||||
var top_level = _get_top_level(leg_books_list);
|
||||
while (top_level.qty > 0) {
|
||||
levels.Add(top_level);
|
||||
foreach (var lb in leg_books_list) {
|
||||
_remove_qty_from_top(lb.Item1, (int)(top_level.qty * Math.Abs(lb.Item2)));
|
||||
}
|
||||
top_level = _get_top_level(leg_books_list);
|
||||
}
|
||||
return new BookSide(levels);
|
||||
}
|
||||
|
||||
static PriceLevel _get_top_level(IEnumerable<Tuple<BookSide, int>> leg_books) {
|
||||
var leg_sizes = leg_books.Select(lb => lb.Item2).ToList();
|
||||
var top_levels = leg_books.Select(_get_top_level).ToList();
|
||||
var qty = top_levels.Select(l => l.qty).Min();
|
||||
if (qty == 0) {
|
||||
return PriceLevel.empty;
|
||||
}
|
||||
double price = 0;
|
||||
for (int i = 0; i < top_levels.Count; i++) {
|
||||
var leg_price = top_levels[i].price;
|
||||
var leg_size = leg_sizes[i];
|
||||
if (leg_size < 0) {
|
||||
price -= leg_price;
|
||||
} else {
|
||||
price += leg_price;
|
||||
}
|
||||
}
|
||||
return new PriceLevel(price, qty);
|
||||
}
|
||||
|
||||
static PriceLevel _get_top_level(Tuple<BookSide, int> leg_book) {
|
||||
return _get_top_level(leg_book.Item1, leg_book.Item2);
|
||||
}
|
||||
|
||||
static PriceLevel _get_top_level(BookSide book, int leg_size) {
|
||||
if (book.levels.Count == 0) {
|
||||
return PriceLevel.empty;
|
||||
}
|
||||
var first_level = book.levels.First();
|
||||
var abs_leg_size = Math.Abs(leg_size);
|
||||
if (first_level.qty >= abs_leg_size) {
|
||||
return new PriceLevel(first_level.price * abs_leg_size, (uint)(first_level.qty / abs_leg_size));
|
||||
}
|
||||
double price = first_level.qty * first_level.price;
|
||||
var qty_rem = abs_leg_size - first_level.qty;
|
||||
for (int i = 1; i < book.levels.Count; i++) {
|
||||
var level = book.levels[i];
|
||||
if (level.qty >= qty_rem) {
|
||||
price += qty_rem * level.price;
|
||||
return new PriceLevel(price, 1);
|
||||
}
|
||||
price += level.qty * level.price;
|
||||
qty_rem -= level.qty;
|
||||
}
|
||||
return PriceLevel.empty;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Removes the specified quantity from the top of the book
|
||||
/// </summary>
|
||||
static void _remove_qty_from_top(BookSide book, int qty) {
|
||||
var subtracted_qty = 0;
|
||||
while (subtracted_qty < qty && book.levels.Count > 0) {
|
||||
var first_level = book.levels[0];
|
||||
var qty_to_subtract = qty - subtracted_qty;
|
||||
if (first_level.qty > qty_to_subtract) {
|
||||
first_level = first_level.subtract_qty((uint)qty_to_subtract);
|
||||
book.levels[0] = first_level;
|
||||
return;
|
||||
}
|
||||
book.levels.RemoveAt(0);
|
||||
subtracted_qty += (int)first_level.qty;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,78 +0,0 @@
|
||||
using System;
|
||||
using System.Reflection;
|
||||
using System.Runtime.Serialization.Formatters.Binary;
|
||||
using System.IO;
|
||||
|
||||
namespace SpreaderFrontEnd
|
||||
{
|
||||
public class Utils
|
||||
{
|
||||
public static void bin_serialize<T>(T t, Stream str)
|
||||
{
|
||||
#pragma warning disable SYSLIB0011
|
||||
BinaryFormatter bf = new BinaryFormatter();
|
||||
bf.Serialize(str, t);
|
||||
#pragma warning restore SYSLIB0011
|
||||
}
|
||||
|
||||
public static T bin_deserialize<T>(Stream str)
|
||||
{
|
||||
#pragma warning disable SYSLIB0011
|
||||
BinaryFormatter bf = new BinaryFormatter();
|
||||
T rv = (T)bf.Deserialize(str);
|
||||
#pragma warning restore SYSLIB0011
|
||||
return rv;
|
||||
}
|
||||
|
||||
public static T? basic_deep_clone<T>(T t)
|
||||
{
|
||||
try
|
||||
{
|
||||
MemoryStream str = new MemoryStream();
|
||||
bin_serialize(t, str);
|
||||
str.Position = 0;
|
||||
return bin_deserialize<T>(str);
|
||||
}
|
||||
catch
|
||||
{
|
||||
return default(T);
|
||||
}
|
||||
}
|
||||
|
||||
public static object? CloneObject(object objSource)
|
||||
{
|
||||
//step : 1 Get the type of source object and create a new instance of that type
|
||||
Type typeSource = objSource.GetType();
|
||||
object? objTarget = Activator.CreateInstance(typeSource);
|
||||
//Step2 : Get all the properties of source object type
|
||||
PropertyInfo[] propertyInfo = typeSource.GetProperties(BindingFlags.Public | BindingFlags.NonPublic | BindingFlags.Instance);
|
||||
//Step : 3 Assign all source property to taget object 's properties
|
||||
foreach (PropertyInfo property in propertyInfo)
|
||||
{
|
||||
//Check whether property can be written to
|
||||
if (property.CanWrite)
|
||||
{
|
||||
//Step : 4 check whether property type is value type, enum or string type
|
||||
if (property.PropertyType.IsValueType || property.PropertyType.IsEnum || property.PropertyType.Equals(typeof(System.String)))
|
||||
{
|
||||
property.SetValue(objTarget, property.GetValue(objSource, null), null);
|
||||
}
|
||||
//else property type is object/complex types, so need to recursively call this method until the end of the tree is reached
|
||||
else
|
||||
{
|
||||
object? objPropertyValue = property.GetValue(objSource, null);
|
||||
if (objPropertyValue == null)
|
||||
{
|
||||
property.SetValue(objTarget, null, null);
|
||||
}
|
||||
else
|
||||
{
|
||||
property.SetValue(objTarget, CloneObject(objPropertyValue), null);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
return objTarget;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,23 +0,0 @@
|
||||
{
|
||||
"runtimeTarget": {
|
||||
"name": ".NETCoreApp,Version=v6.0",
|
||||
"signature": ""
|
||||
},
|
||||
"compilationOptions": {},
|
||||
"targets": {
|
||||
".NETCoreApp,Version=v6.0": {
|
||||
"SpreaderFrontEnd/1.0.0": {
|
||||
"runtime": {
|
||||
"SpreaderFrontEnd.dll": {}
|
||||
}
|
||||
}
|
||||
}
|
||||
},
|
||||
"libraries": {
|
||||
"SpreaderFrontEnd/1.0.0": {
|
||||
"type": "project",
|
||||
"serviceable": false,
|
||||
"sha512": ""
|
||||
}
|
||||
}
|
||||
}
|
||||
Binary file not shown.
Binary file not shown.
Binary file not shown.
-15
@@ -1,15 +0,0 @@
|
||||
{
|
||||
"runtimeOptions": {
|
||||
"tfm": "net6.0",
|
||||
"frameworks": [
|
||||
{
|
||||
"name": "Microsoft.NETCore.App",
|
||||
"version": "6.0.0"
|
||||
},
|
||||
{
|
||||
"name": "Microsoft.WindowsDesktop.App",
|
||||
"version": "6.0.0"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
@@ -1,54 +0,0 @@
|
||||
{
|
||||
"FormattingOptions": {
|
||||
"NewLine": "\n",
|
||||
"UseTabs": false,
|
||||
"TabSize": 3,
|
||||
"IndentationSize": 3,
|
||||
"SpacingAfterMethodDeclarationName": false,
|
||||
"SpaceWithinMethodDeclarationParenthesis": false,
|
||||
"SpaceBetweenEmptyMethodDeclarationParentheses": false,
|
||||
"SpaceAfterMethodCallName": false,
|
||||
"SpaceWithinMethodCallParentheses": false,
|
||||
"SpaceBetweenEmptyMethodCallParentheses": false,
|
||||
"SpaceAfterControlFlowStatementKeyword": true,
|
||||
"SpaceWithinExpressionParentheses": false,
|
||||
"SpaceWithinCastParentheses": false,
|
||||
"SpaceWithinOtherParentheses": false,
|
||||
"SpaceAfterCast": false,
|
||||
"SpacesIgnoreAroundVariableDeclaration": false,
|
||||
"SpaceBeforeOpenSquareBracket": false,
|
||||
"SpaceBetweenEmptySquareBrackets": false,
|
||||
"SpaceWithinSquareBrackets": false,
|
||||
"SpaceAfterColonInBaseTypeDeclaration": true,
|
||||
"SpaceAfterComma": true,
|
||||
"SpaceAfterDot": false,
|
||||
"SpaceAfterSemicolonsInForStatement": true,
|
||||
"SpaceBeforeColonInBaseTypeDeclaration": true,
|
||||
"SpaceBeforeComma": false,
|
||||
"SpaceBeforeDot": false,
|
||||
"SpaceBeforeSemicolonsInForStatement": false,
|
||||
"SpacingAroundBinaryOperator": "single",
|
||||
"IndentBraces": false,
|
||||
"IndentBlock": true,
|
||||
"IndentSwitchSection": true,
|
||||
"IndentSwitchCaseSection": true,
|
||||
"LabelPositioning": "oneLess",
|
||||
"WrappingPreserveSingleLine": true,
|
||||
"WrappingKeepStatementsOnSingleLine": true,
|
||||
"NewLinesForBracesInTypes": false,
|
||||
"NewLinesForBracesInMethods": false,
|
||||
"NewLinesForBracesInProperties": false,
|
||||
"NewLinesForBracesInAccessors": false,
|
||||
"NewLinesForBracesInAnonymousMethods": false,
|
||||
"NewLinesForBracesInControlBlocks": false,
|
||||
"NewLinesForBracesInAnonymousTypes": false,
|
||||
"NewLinesForBracesInObjectCollectionArrayInitializers": false,
|
||||
"NewLinesForBracesInLambdaExpressionBody": false,
|
||||
"NewLineForElse": false,
|
||||
"NewLineForCatch": false,
|
||||
"NewLineForFinally": false,
|
||||
"NewLineForMembersInObjectInit": true,
|
||||
"NewLineForMembersInAnonymousTypes": true,
|
||||
"NewLineForClausesInQuery": true
|
||||
}
|
||||
}
|
||||
@@ -1,120 +0,0 @@
|
||||
FROM spark-crypto_18.04
|
||||
|
||||
RUN \
|
||||
DEBIAN_FRONTEND=noninteractive apt-get update \
|
||||
&& apt-get install -y \
|
||||
htop \
|
||||
locales \
|
||||
source-highlight \
|
||||
powerline \
|
||||
fonts-powerline
|
||||
|
||||
|
||||
# Hide these in the .docker directory to avoid conflicts with existing repos on
|
||||
# this computer (in case a parent dir, such as $HOME, is mounted inside a
|
||||
# container)
|
||||
ARG repo_root="/home/john/Documents/repos/.docker"
|
||||
|
||||
# Create dirs for public/private repos
|
||||
USER john
|
||||
RUN \
|
||||
mkdir -p $repo_root/public \
|
||||
&& mkdir -p $repo_root/private
|
||||
|
||||
|
||||
## Get latest fish (build from source)
|
||||
# 1) get build deps
|
||||
USER root
|
||||
RUN \
|
||||
DEBIAN_FRONTEND=noninteractive apt-get update \
|
||||
&& apt-get install -y software-properties-common
|
||||
RUN \
|
||||
apt-add-repository ppa:fish-shell/release-3 \
|
||||
&& sed -i "s/^# deb/deb/g" /etc/apt/sources.list
|
||||
|
||||
RUN DEBIAN_FRONTEND=noninteractive apt-get update && apt-get build-dep -y fish
|
||||
|
||||
|
||||
# 2) Clone repo
|
||||
USER john
|
||||
RUN \
|
||||
cd $repo_root/public \
|
||||
&& git clone https://github.com/fish-shell/fish-shell.git
|
||||
|
||||
RUN \
|
||||
cd $repo_root/public/fish-shell \
|
||||
&& mkdir build \
|
||||
&& cd build \
|
||||
&& cmake -DCMAKE_BUILD_TYPE=Release -DBUILD_DOCS=0 .. \
|
||||
&& cmake --build .
|
||||
|
||||
# Switch to root, rather than running inline w/ sudo cmd, to avoid having to
|
||||
# enter a password
|
||||
USER root
|
||||
RUN \
|
||||
cd $repo_root/public/fish-shell/build \
|
||||
&& make install
|
||||
USER john
|
||||
|
||||
|
||||
## Get oh-my-fish
|
||||
RUN \
|
||||
cd $repo_root/public \
|
||||
&& git clone https://github.com/oh-my-fish/oh-my-fish.git
|
||||
|
||||
RUN \
|
||||
cd $repo_root/public/oh-my-fish \
|
||||
&& ./bin/install --noninteractive --yes
|
||||
|
||||
|
||||
## Get my fish config
|
||||
RUN \
|
||||
cd $repo_root/private \
|
||||
&& git clone https://github.com/johncolvin-og/myfishconfig
|
||||
|
||||
RUN \
|
||||
cd $repo_root/private/myfishconfig \
|
||||
&& cp src/config.fish /home/john/.config/fish/ \
|
||||
&& cp src/aliases.fish /home/john/.config/fish/ \
|
||||
&& cp -r src/functions /home/john/.config/fish/ \
|
||||
&& cp -r src/themes/johncolvin /home/john/.local/share/omf/themes/ \
|
||||
&& fish --command "omf theme johncolvin"
|
||||
|
||||
|
||||
## Get my bash config (back up existing)
|
||||
RUN \
|
||||
cd $repo_root/private \
|
||||
&& git clone https://github.com/johncolvin-og/mybashconfig \
|
||||
&& cd mybashconfig \
|
||||
&& cp src/* /home/john/
|
||||
|
||||
|
||||
# Get vim files/tools
|
||||
USER root
|
||||
RUN \
|
||||
DEBIAN_FRONTEND=noninteractive apt-get update \
|
||||
&& apt-get install -y curl
|
||||
USER john
|
||||
RUN curl -fLo home/john/.vim/autoload/plug.vim --create-dirs \
|
||||
https://raw.githubusercontent.com/junegunn/vim-plug/master/plug.vim
|
||||
|
||||
|
||||
# Some fonts look sketchy if the language isn't set to english:
|
||||
# * The powerline git glyphs in the fish prompt are all displayed as question
|
||||
# marks.
|
||||
#
|
||||
# * The shell confuses the position of the cursor, so characters are left
|
||||
# around when they should have been cleared, and the cursor's home position
|
||||
# is pushed one or two places to the right.
|
||||
#
|
||||
# * Most likely, the bad cursor position is caused by some dependencies the
|
||||
# interpretation of escape sequences have on the language setting. At this
|
||||
# point I don't even care anymore (literally took 8 hours to figure this
|
||||
# out). I just know this shit is needed to make the prompt work correctly.
|
||||
USER root
|
||||
RUN locale-gen "en_US.UTF-8"
|
||||
USER john
|
||||
ENV LANG en_US.UTF-8
|
||||
ENV LANGUAGE en_US:en
|
||||
ENV LC_ALL en_US.UTF-8
|
||||
RUN fc-cache -vf
|
||||
@@ -1,16 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
set this_dir (realpath (dirname (status -f)))
|
||||
set image_working_dir (realpath "$this_dir/../..")
|
||||
|
||||
set image_name $argv[1]
|
||||
if test (count $argv) -eq 0
|
||||
set image_name_cmd "$this_dir/docker_image_name.fish"
|
||||
set image_name (eval $image_name_cmd)
|
||||
end
|
||||
|
||||
docker build \
|
||||
-f "$this_dir/Dockerfile" \
|
||||
-t "$image_name" \
|
||||
"$image_working_dir"
|
||||
|
||||
@@ -1,11 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
if test (count $argv) -gt 0
|
||||
echo $argv
|
||||
exit 0
|
||||
end
|
||||
|
||||
set image_name_cmd (realpath (dirname (status -f)))"/docker_image_name.fish"
|
||||
set image_name (eval $image_name_cmd)
|
||||
echo $image_name
|
||||
|
||||
@@ -1,4 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
echo "$USER""s_"(basename (git rev-parse --show-toplevel))"-dev"
|
||||
|
||||
@@ -1,12 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
set inst_name $argv[1]
|
||||
if test (count $argv) -eq 0
|
||||
set script_dir (realpath (dirname (status -f)))
|
||||
set inst_name (eval $script_dir"/docker_container_name.fish")
|
||||
end
|
||||
|
||||
set working_dir (realpath (pwd))
|
||||
echo $inst_name
|
||||
docker exec -w $working_dir -it "$inst_name" bash
|
||||
|
||||
@@ -1,146 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
function print_help_and_exit
|
||||
echo "\
|
||||
Usage: setup_builds.sh [OPTIONS] compiler build-type
|
||||
|
||||
Positionals:
|
||||
gcc Compile with gcc
|
||||
clang Compile with clang
|
||||
debug Build debug
|
||||
release Build release
|
||||
|
||||
Options:
|
||||
--compiler <clang|gcc> Specify the compiler
|
||||
--type <debug|release> Specify the type of build
|
||||
-f,--force Overwrite existing build directories
|
||||
-h,--help Print this help message and exit
|
||||
|
||||
"
|
||||
exit $argv[1]
|
||||
end
|
||||
|
||||
function assert_dir
|
||||
if test ! -d "$argv[1]"
|
||||
if test -n "$argv[2]"
|
||||
echo "Invalid variable "$argv[2]": '"$argv[1]"' is not a directory"
|
||||
else
|
||||
echo "'"$argv[1]"' is not a directory"
|
||||
end
|
||||
exit 1
|
||||
end
|
||||
end
|
||||
|
||||
# common variables
|
||||
|
||||
set tools_path (realpath (dirname (status -f)))
|
||||
set spartan_path_cmd $tools_path/spartan_path.fish
|
||||
set repo_root (eval $spartan_path_cmd "repo-root")
|
||||
set build_root "$repo_root"/"build"
|
||||
mkdir -p "$build_root"
|
||||
|
||||
# Initialize the build directory. Expected arguments: <compiler>, <build_type>
|
||||
# Note: this method assumes the variables 'repot_root' and 'build_root' have
|
||||
# already been properly initialized
|
||||
function setup_build
|
||||
assert_dir $repo_root
|
||||
assert_dir $build_root
|
||||
set compiler "$argv[1]"
|
||||
set build_type "$argv[2]"
|
||||
|
||||
if test \( -z "$build_type" \) -o \( \( "$build_type" != debug \) -a \( "$build_type" != release \) \)
|
||||
print_help_and_exit 1
|
||||
end
|
||||
|
||||
if test "$build_type" = debug
|
||||
set build_type_arg Debug
|
||||
if test "$compiler" = gcc
|
||||
set compiler_arg "/usr/lib/ccache/g++"
|
||||
else
|
||||
# set compiler_arg "/usr/lib/ccache/clang++"
|
||||
set compiler_arg "clang++"
|
||||
end
|
||||
else if test "$build_type" = release
|
||||
set build_type_arg Release
|
||||
if test "$compiler" = gcc
|
||||
set compiler_arg "g++"
|
||||
else
|
||||
set compiler_arg "clang++"
|
||||
end
|
||||
end
|
||||
|
||||
if test \( -z "$compiler" \) -o \( \( "$compiler" != gcc \) -a \( "$compiler" != clang \) \)
|
||||
print_help_and_exit 1
|
||||
end
|
||||
|
||||
set build_dest $build_root"/"$compiler"/"$build_type
|
||||
|
||||
echo "Set up build: "$compiler" "$build_type
|
||||
|
||||
if test \( -z "$force" \) -a \( -d $build_dest \)
|
||||
echo "The build directory '"$build_dest"' already exists (use -f to overwrite)"
|
||||
return 1
|
||||
end
|
||||
|
||||
rm -rf "$build_dest"
|
||||
mkdir -p "$build_dest"
|
||||
cd "$build_dest"
|
||||
cmake -G Ninja -DCMAKE_BUILD_TYPE=$build_type_arg -DCMAKE_EXPORT_COMPILE_COMMANDS=1 -DCMAKE_CXX_COMPILER=$compiler_arg $repo_root
|
||||
end
|
||||
|
||||
# The while loop below removes arguments (via shift) as it parses them.
|
||||
# Additional information that needs to be extracted from the arguments must be
|
||||
# done so before the loop is executed.
|
||||
|
||||
set i 1
|
||||
while test $i -le (count $argv)
|
||||
switch $argv[$i]
|
||||
case --compiler
|
||||
set i (math "$i + 1")
|
||||
set compiler $argv[$i]
|
||||
case clang
|
||||
set compiler clang
|
||||
case gcc
|
||||
set compiler gcc
|
||||
case --type
|
||||
set i (math "$i + 1")
|
||||
set build_type $argv[$i]
|
||||
case release
|
||||
set build_type release
|
||||
case debug
|
||||
set build_type debug
|
||||
case -f
|
||||
set force 1
|
||||
case --force
|
||||
set force 1
|
||||
case -h
|
||||
print_help_and_exit 0
|
||||
case --help
|
||||
print_help_and_exit 0
|
||||
case '*'
|
||||
print_help_and_exit 1
|
||||
end
|
||||
set i (math "$i + 1")
|
||||
end
|
||||
|
||||
echo "compiler in "$compiler
|
||||
echo "build type in "$build_type
|
||||
if test -n "$compiler"
|
||||
if test -n "$build_type"
|
||||
setup_build $compiler $build_type
|
||||
else
|
||||
# all builds for the specified compiler
|
||||
setup_build $compiler debug
|
||||
setup_build $compiler release
|
||||
end
|
||||
else if test -n "$build_type"
|
||||
# all builds for the specified build type
|
||||
setup_build gcc $build_type
|
||||
setup_build clang $build_type
|
||||
else
|
||||
# all builds
|
||||
setup_build gcc debug
|
||||
setup_build gcc release
|
||||
setup_build clang debug
|
||||
setup_build clang release
|
||||
end
|
||||
@@ -1,153 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
function print_help_and_exit
|
||||
echo "\
|
||||
Usage: setup_builds.sh [OPTIONS] compiler build-type
|
||||
|
||||
Positionals:
|
||||
gcc Compile with gcc
|
||||
clang Compile with clang
|
||||
debug Build debug
|
||||
release Build release
|
||||
|
||||
Options:
|
||||
--compiler <clang|gcc> Specify the compiler
|
||||
--type <debug|release> Specify the type of build
|
||||
-f,--force Overwrite existing build directories
|
||||
-h,--help Print this help message and exit
|
||||
|
||||
"
|
||||
exit $argv[1]
|
||||
end
|
||||
|
||||
function assert_dir
|
||||
if test ! -d "$argv[1]"
|
||||
if test -n "$argv[2]"
|
||||
echo "Invalid variable "$argv[2]": '"$argv[1]"' is not a directory"
|
||||
else
|
||||
echo "'"$argv[1]"' is not a directory"
|
||||
end
|
||||
exit 1
|
||||
end
|
||||
end
|
||||
|
||||
# common variables
|
||||
|
||||
#set tools_path (readlink -f (pwd))
|
||||
#set tools_path (cd (dirname (status --current-filename)); and pwd)
|
||||
set tools_path (realpath (dirname (status -f)))
|
||||
set spartan_path_cmd $tools_path/spartan_path.fish
|
||||
set repo_root (eval $spartan_path_cmd "repo-root")
|
||||
# Don't call 'spartan_path_cmd "build"' bc it returns specific build path
|
||||
# (i.e., for a particular compiler/build type), not the root build path
|
||||
# set build_root (eval $spartan_path_cmd "build")
|
||||
set build_root "$repo_root"/"build"
|
||||
mkdir -p "$build_root"
|
||||
|
||||
# Initialize the build directory. Expected arguments: <compiler>, <build_type>
|
||||
# Note: this method assumes the variables 'repot_root' and 'build_root' have
|
||||
# already been properly initialized
|
||||
function setup_build
|
||||
assert_dir $repo_root
|
||||
assert_dir $build_root
|
||||
set compiler "$argv[1]"
|
||||
set build_type "$argv[2]"
|
||||
|
||||
if test \( -z "$build_type" \) -o \( \( "$build_type" != "debug" \) -a \( "$build_type" != "release" \) \)
|
||||
print_help_and_exit 1
|
||||
end
|
||||
|
||||
if test "$build_type" = "debug"
|
||||
set build_type_arg "Debug"
|
||||
if test "$compiler" = "gcc"
|
||||
set compiler_arg "/usr/lib/ccache/g++"
|
||||
else
|
||||
set compiler_arg "/usr/lib/ccache/clang++"
|
||||
end
|
||||
else if test "$build_type" = "release"
|
||||
set build_type_arg "Release"
|
||||
if test "$compiler" = "gcc"
|
||||
set compiler_arg "g++"
|
||||
else
|
||||
set compiler_arg "clang++"
|
||||
end
|
||||
end
|
||||
|
||||
if test \( -z "$compiler" \) -o \( \( "$compiler" != "gcc" \) -a \( "$compiler" != "clang" \) \)
|
||||
print_help_and_exit 1
|
||||
end
|
||||
|
||||
set build_dest $build_root"/"$compiler"/"$build_type
|
||||
set conan_dest $repo_root"/conan/"$compiler"_"$build_type
|
||||
|
||||
echo "Set up build: "$compiler" "$build_type
|
||||
|
||||
if test \( -z "$force" \) -a \( -d $build_dest \)
|
||||
echo "The build directory '"$build_dest"' already exists (use -f to overwrite)"
|
||||
return 1
|
||||
end
|
||||
|
||||
rm -rf "$build_dest"
|
||||
mkdir -p "$build_dest"
|
||||
mkdir -p "$conan_dest"
|
||||
cd "$build_dest"
|
||||
conan install --build missing --profile $conan_dest $repo_root
|
||||
cmake -G Ninja -DCMAKE_BUILD_TYPE=$build_type_arg -DCMAKE_EXPORT_COMPILE_COMMANDS=1 -DCMAKE_CXX_COMPILER=$compiler_arg $repo_root
|
||||
end
|
||||
|
||||
# The while loop below removes arguments (via shift) as it parses them.
|
||||
# Additional information that needs to be extracted from the arguments must be
|
||||
# done so before the loop is executed.
|
||||
|
||||
set i 1
|
||||
while test $i -le (count $argv)
|
||||
switch $argv[$i]
|
||||
case '--compiler'
|
||||
set i (math "$i + 1")
|
||||
set compiler $argv[$i]
|
||||
case 'clang'
|
||||
set compiler 'clang'
|
||||
case 'gcc'
|
||||
set compiler 'gcc'
|
||||
case '--type'
|
||||
set i (math "$i + 1")
|
||||
set build_type $argv[$i]
|
||||
case 'release'
|
||||
set build_type 'release'
|
||||
case 'debug'
|
||||
set build_type 'debug'
|
||||
case '-f'
|
||||
set force 1
|
||||
case '--force'
|
||||
set force 1
|
||||
case '-h'
|
||||
print_help_and_exit 0
|
||||
case '--help'
|
||||
print_help_and_exit 0
|
||||
case '*'
|
||||
print_help_and_exit 1
|
||||
end
|
||||
set i (math "$i + 1")
|
||||
end
|
||||
|
||||
echo "compiler in "$compiler
|
||||
echo "build type in "$build_type
|
||||
if test -n "$compiler"
|
||||
if test -n "$build_type"
|
||||
setup_build $compiler $build_type
|
||||
else
|
||||
# all builds for the specified compiler
|
||||
setup_build $compiler "debug"
|
||||
setup_build $compiler "release"
|
||||
end
|
||||
else if test -n "$build_type"
|
||||
# all builds for the specified build type
|
||||
setup_build "gcc" $build_type
|
||||
setup_build "clang" $build_type
|
||||
else
|
||||
# all builds
|
||||
setup_build "gcc" "debug"
|
||||
setup_build "gcc" "release"
|
||||
setup_build "clang" "debug"
|
||||
setup_build "clang" "release"
|
||||
end
|
||||
@@ -1,92 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
#basename (git rev-parse --show-toplevel)
|
||||
|
||||
function print_help_and_exit
|
||||
echo "\
|
||||
Print paths to core parts of the repository
|
||||
Usage: sparkd_path.sh SUBCOMMAND
|
||||
|
||||
Subcommands:
|
||||
build Print build path
|
||||
repo-root Print repo root path
|
||||
|
||||
"
|
||||
exit $argv[1]
|
||||
end
|
||||
|
||||
function print_build_help_and_exit
|
||||
echo "\
|
||||
Print build path
|
||||
Usage: sparkd_path.sh build [OPTIONS] compiler build-type
|
||||
|
||||
Positionals:
|
||||
gcc Print gcc build path
|
||||
clang Print clang build path
|
||||
debug Print debug build path
|
||||
release Print release build path
|
||||
|
||||
Options:
|
||||
--compiler <clang|gcc> Specify the compiler
|
||||
--type <debug|release> Specify the type of build
|
||||
-h,--help Print this help message and exit
|
||||
|
||||
"
|
||||
exit $argv[1]
|
||||
end
|
||||
|
||||
function print_repo_root
|
||||
git rev-parse --show-toplevel
|
||||
end
|
||||
|
||||
function run_repo_root
|
||||
print_repo_root
|
||||
end
|
||||
|
||||
function run_build
|
||||
set compiler "gcc"
|
||||
set build_type "release"
|
||||
set i 1
|
||||
while test $i -lt (count $argv)
|
||||
switch $argv[$i]
|
||||
case '--compiler'
|
||||
set i (math "$i + 1")
|
||||
set compiler $argv[$i]
|
||||
case 'clang'
|
||||
set compiler 'clang'
|
||||
case 'gcc'
|
||||
set compiler 'gcc'
|
||||
case '--type'
|
||||
set i (math "$i + 1")
|
||||
set build_type $argv[$i]
|
||||
case 'release'
|
||||
set build_type 'release'
|
||||
case 'debug'
|
||||
set build_type 'debug'
|
||||
'-h'
|
||||
print_build_help_and_exit 0
|
||||
'--help'
|
||||
print_build_help_and_exit 0
|
||||
'*'
|
||||
print_build_help_and_exit 1
|
||||
end
|
||||
set i (math "$i + 1")
|
||||
end
|
||||
if test \( $compiler = "clang" \) -o \( $compiler = "gcc" \)
|
||||
set comp_path $compiler
|
||||
else
|
||||
print_build_help_and_exit 1
|
||||
end
|
||||
set src_root (print_repo_root)
|
||||
set build_root (readlink -f "$src_root""/build")
|
||||
set build_dest $build_root"/"$compiler"/"$build_type
|
||||
echo $build_dest
|
||||
end
|
||||
|
||||
if test "$argv[1]" = "repo-root"
|
||||
print_repo_root $argv[2..-1]
|
||||
else if test "$argv[1]" = "build"
|
||||
run_build $argv[2..-1]
|
||||
else
|
||||
print_help_and_exit 1
|
||||
end
|
||||
@@ -1,43 +0,0 @@
|
||||
#!/usr/bin/env fish
|
||||
|
||||
set image_name $argv[1]
|
||||
set cont_name $argv[2]
|
||||
|
||||
if test (count $argv) -lt 2
|
||||
if test (count $argv) -lt 1
|
||||
set image_name_cmd (realpath (dirname (status -f)))"/docker_image_name.fish"
|
||||
set image_name (eval $image_name_cmd)
|
||||
end
|
||||
set cont_name_cmd (realpath (dirname (status -f)))"/docker_container_name.fish "$image_name
|
||||
set cont_name (eval $cont_name_cmd)
|
||||
end
|
||||
|
||||
set working_dir (realpath (pwd))
|
||||
|
||||
set home_path /home/john
|
||||
set repo_path (git rev-parse --show-toplevel)
|
||||
set repo_path_out /home/john/Documents/repos/bts/(basename $repo_path)
|
||||
set working_dir $repo_path_out
|
||||
|
||||
echo "starting docker instance '"$cont_name"' (image '"$image_name"')"
|
||||
echo "working dir "$working_dir
|
||||
|
||||
docker run \
|
||||
--rm \
|
||||
--net host \
|
||||
-h (hostname) \
|
||||
-e "TZ=America/New_York" \
|
||||
--cap-add=SYS_PTRACE \
|
||||
--security-opt seccomp=unconfined \
|
||||
--name $cont_name \
|
||||
-v $repo_path:$repo_path_out \
|
||||
-u (id -u $USER) \
|
||||
-w $working_dir \
|
||||
--shm-size=4024m \
|
||||
-t \
|
||||
-i \
|
||||
-d \
|
||||
-e DISPLAY="$DISPLAY" \
|
||||
"$image_name" \
|
||||
bash
|
||||
|
||||
@@ -1,513 +0,0 @@
|
||||
{
|
||||
"version": "0.2.0",
|
||||
"configurations": [
|
||||
{
|
||||
"name": "Spark Local",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"run",
|
||||
"test",
|
||||
"-a",
|
||||
"OutrightVanillaOrder"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "${workspaceRoot}/build/gcc/debug/server/",
|
||||
"environment": [
|
||||
{
|
||||
"name": "TZ",
|
||||
"value": "America/Chicago"
|
||||
}
|
||||
],
|
||||
"externalConsole": false,
|
||||
"MIMode": "gdb",
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "SparkVM Launch",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"-a",
|
||||
"[ilink3]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "Skip STL",
|
||||
"text": "skip -gfi /usr/include/c++/7/bits/*.h",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "LD LIBRARY",
|
||||
"text": "set env LD_LIBRARY_PATH=.",
|
||||
"ignoreFailures": false
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "(gdb) Launch",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/gcc/debug/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"run"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "${workspaceRoot}/build/gcc/debug/src/server/sparkd",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "Client Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/spark.exe",
|
||||
"args": [],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "SDK Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/spark_sdk.exe",
|
||||
"args": [
|
||||
"md",
|
||||
"GLBX",
|
||||
"Future",
|
||||
"CL",
|
||||
"CLZ9",
|
||||
"--user=bts",
|
||||
"--pass="
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Excel Launch",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "C:/Program Files/Microsoft Office/Office14/EXCEL.EXE",
|
||||
"args": [
|
||||
"${workspaceRoot}/build/Debug/bin/net471/spark_excel-addin64-packed.xll"
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Client Tests",
|
||||
"type": "clr",
|
||||
"request": "launch",
|
||||
"program": "${workspaceRoot}/build/Debug/bin/net471/sparkcmd.exe",
|
||||
"args": [
|
||||
"test",
|
||||
"ApiUpdateTests"
|
||||
],
|
||||
"cwd": "${workspaceRoot}",
|
||||
"stopAtEntry": false,
|
||||
"externalConsole": true,
|
||||
"requireExactSource": false
|
||||
},
|
||||
{
|
||||
"name": "Client Attach",
|
||||
"type": "clr",
|
||||
"request": "attach",
|
||||
"processId": "${command:pickProcess}"
|
||||
},
|
||||
{
|
||||
"name": "Spreader Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[spreader]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "MD Synthetic Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[md][synthetic]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Spartan Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[spartan_md]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Matcher Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[matcher]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Admin Service Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/src/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[admin_service]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/src/server/sparkd/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Limiter Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/src/server/sparkd/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[limiter]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/src/server/sparkd/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "enable pretty-printer",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "MD Tests",
|
||||
"type": "cppdbg",
|
||||
"request": "launch",
|
||||
"program": "/home/bts/spark/build/gcc/debug/server/sparkd",
|
||||
"args": [
|
||||
"test",
|
||||
"[algo]"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server/",
|
||||
"environment": [],
|
||||
"externalConsole": true,
|
||||
"MIMode": "gdb",
|
||||
"preLaunchTask": "",
|
||||
"logging": {
|
||||
"engineLogging": false
|
||||
},
|
||||
"setupCommands": [
|
||||
{
|
||||
"description": "Enable pretty-printing for gdb",
|
||||
"text": "-enable-pretty-printing",
|
||||
"ignoreFailures": true
|
||||
},
|
||||
{
|
||||
"description": "Skip STL",
|
||||
"text": "skip -gfi /usr/include/c++/7/bits/*.h",
|
||||
"ignoreFailures": true
|
||||
}
|
||||
],
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "SparkVM attach",
|
||||
"type": "cppdbg",
|
||||
"request": "attach",
|
||||
"program": "/home/bts/spark/build/gcc/debug/src/server/sparkd/sparkd",
|
||||
"processId": "${command:pickRemoteProcess}",
|
||||
"MIMode": "gdb",
|
||||
"pipeTransport": {
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/usr/bin/gdb"
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
}
|
||||
},
|
||||
{
|
||||
"name": "Python",
|
||||
"type": "python",
|
||||
"request": "launch",
|
||||
"stopOnEntry": false,
|
||||
"python": "${command:python.interpreterPath}",
|
||||
"program": "${file}",
|
||||
"cwd": "${workspaceRoot}",
|
||||
"env": {},
|
||||
"envFile": "${workspaceRoot}/.env",
|
||||
"args": [
|
||||
"DEBUG"
|
||||
],
|
||||
"debugOptions": [
|
||||
"WaitOnAbnormalExit",
|
||||
"WaitOnNormalExit",
|
||||
"RedirectOutput"
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": ".NET Core Remote Attach",
|
||||
"type": "coreclr",
|
||||
"request": "attach",
|
||||
"processId": "${command:pickRemoteProcess}",
|
||||
"pipeTransport": {
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/home/bts/vsdbg/vsdbg",
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"quoteArgs": true
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
},
|
||||
"justMyCode": true
|
||||
},
|
||||
{
|
||||
"name": ".NET Core Remote Launch",
|
||||
"type": "coreclr",
|
||||
"request": "launch",
|
||||
"program": "/usr/bin/dotnet",
|
||||
"args": [
|
||||
"sparkcmd.dll",
|
||||
"test",
|
||||
"test_join_create_and_takeout_market"
|
||||
],
|
||||
"stopAtEntry": false,
|
||||
"cwd": "/home/bts/spark/build/gcc/debug/server",
|
||||
"pipeTransport": {
|
||||
"pipeProgram": "c:\\program files\\git\\usr\\bin\\ssh.exe",
|
||||
"pipeArgs": [
|
||||
"bts@sparkvm"
|
||||
],
|
||||
"debuggerPath": "/home/bts/vsdbg/vsdbg",
|
||||
"pipeCwd": "${workspaceRoot}",
|
||||
"quoteArgs": true
|
||||
},
|
||||
"sourceFileMap": {
|
||||
"/home/bts/spark/": "${workspaceRoot}"
|
||||
},
|
||||
"justMyCode": false
|
||||
},
|
||||
]
|
||||
}
|
||||
@@ -1,16 +0,0 @@
|
||||
{
|
||||
"files.associations": {
|
||||
"utility": "cpp",
|
||||
"initializer_list": "cpp",
|
||||
"list": "cpp",
|
||||
"type_traits": "cpp",
|
||||
"vector": "cpp",
|
||||
"xhash": "cpp",
|
||||
"xstring": "cpp",
|
||||
"system_error": "cpp",
|
||||
"array": "cpp",
|
||||
"string_view": "cpp",
|
||||
"xutility": "cpp",
|
||||
"*.ipp": "cpp"
|
||||
}
|
||||
}
|
||||
@@ -1,41 +0,0 @@
|
||||
{
|
||||
// See https://go.microsoft.com/fwlink/?LinkId=733558
|
||||
// for the documentation about the tasks.json format
|
||||
"version": "2.0.0",
|
||||
"tasks": [
|
||||
{
|
||||
"label": "Touch CMakeLists.txt",
|
||||
"type": "process",
|
||||
"promptOnClose": false,
|
||||
"isBackground": true,
|
||||
"command": "touch",
|
||||
"args": ["${workspaceRoot}/CMakeLists.txt"],
|
||||
"problemMatcher": [],
|
||||
"presentation": {
|
||||
"echo": false,
|
||||
"revealProblems": "onProblem",
|
||||
"reveal": "silent",
|
||||
"focus": false,
|
||||
"panel": "shared",
|
||||
"showReuseMessage": false,
|
||||
"clear": true
|
||||
}
|
||||
}
|
||||
],
|
||||
"inputs": [
|
||||
{
|
||||
"id": "build_configuration",
|
||||
"type": "pickString",
|
||||
"default": "debug",
|
||||
"description": "Configuration:",
|
||||
"options": ["debug", "release"]
|
||||
},
|
||||
{
|
||||
"id": "compiler",
|
||||
"type": "pickString",
|
||||
"default": "gcc",
|
||||
"description": "Compiler",
|
||||
"options": ["clang", "gcc"]
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -1,107 +0,0 @@
|
||||
{
|
||||
"configurations": [
|
||||
{
|
||||
"name": "Linux",
|
||||
"includePath": [
|
||||
"/usr/include",
|
||||
"/usr/local/include",
|
||||
"${workspaceRoot}",
|
||||
"${workspaceFolder}/src",
|
||||
"${workspaceRoot}/externals/linux/include"
|
||||
],
|
||||
"defines": [],
|
||||
"intelliSenseMode": "clang-x64",
|
||||
"browse": {
|
||||
"path": [
|
||||
"/usr/include",
|
||||
"/usr/local/include",
|
||||
"${workspaceRoot}",
|
||||
"${workspaceFolder}/src",
|
||||
"${workspaceRoot}/externals/linux/include"
|
||||
],
|
||||
"limitSymbolsToIncludedHeaders": true,
|
||||
"databaseFilename": ""
|
||||
},
|
||||
"cStandard": "c11",
|
||||
"cppStandard": "c++17",
|
||||
"compileCommands": "${workspaceFolder}/build/ninja_debug/compile_commands.json"
|
||||
},
|
||||
{
|
||||
"name": "Windows",
|
||||
"intelliSenseMode": "clang-x64",
|
||||
"includePath": [
|
||||
"${workspaceRoot}/src",
|
||||
"${workspaceRoot}/build/src",
|
||||
"${workspaceRoot}/build/ninja_debug/src",
|
||||
"${workspaceRoot}/externals/windows/include",
|
||||
"${workspaceRoot}/externals/linux/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/c++/6",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu/c++/6",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/c++/6/backward",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/local/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include-fixed",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include"
|
||||
],
|
||||
"defines": [
|
||||
"__linux__",
|
||||
"__x86_64__"
|
||||
],
|
||||
"browse": {
|
||||
"path": [
|
||||
"${workspaceRoot}/src",
|
||||
"${workspaceRoot}/build/src",
|
||||
"${workspaceRoot}/build/ninja_debug/src",
|
||||
"${workspaceRoot}/externals/windows/include",
|
||||
"${workspaceRoot}/externals/linux/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/c++/6",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu/c++/6",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/c++/6/backward",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/local/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include-fixed",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/*"
|
||||
],
|
||||
"limitSymbolsToIncludedHeaders": true,
|
||||
"databaseFilename": ""
|
||||
},
|
||||
"cStandard": "c11",
|
||||
"cppStandard": "c++17"
|
||||
},
|
||||
{
|
||||
"name": "WindowsQuick",
|
||||
"intelliSenseMode": "clang-x64",
|
||||
"includePath": [
|
||||
"${workspaceRoot}/src",
|
||||
"${workspaceRoot}/build/src",
|
||||
"${workspaceRoot}/build/ninja_debug/src",
|
||||
"${workspaceRoot}/externals/windows/include",
|
||||
"${workspaceRoot}/externals/linux/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/c++/6",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu/c++/6",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/c++/6/backward",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/local/include",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/lib/gcc/x86_64-linux-gnu/6/include-fixed",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include/x86_64-linux-gnu",
|
||||
"${workspaceRoot}/externals/windows/vscode/usr/include"
|
||||
],
|
||||
"defines": [
|
||||
"__linux__",
|
||||
"__x86_64__"
|
||||
],
|
||||
"browse": {
|
||||
"path": [
|
||||
"${workspaceRoot}/src"
|
||||
],
|
||||
"limitSymbolsToIncludedHeaders": true,
|
||||
"databaseFilename": "${workspaceRoot}/.vscode/browse.vc.db"
|
||||
},
|
||||
"cStandard": "c11",
|
||||
"cppStandard": "c++17"
|
||||
}
|
||||
],
|
||||
"version": 4
|
||||
}
|
||||
@@ -124,17 +124,4 @@ service OrderService {
|
||||
```
|
||||
### C++ Example
|
||||
```cpp
|
||||
#include "lib/api/public/ServiceContext.h"
|
||||
#include "lib/api/services/OrderService.client.pb.h"
|
||||
using namespace bts::api;
|
||||
ServiceContext ctx;
|
||||
auto orders = ctx.locate<orderman::OrderService>();
|
||||
auto unsub = orders.subscribe_fills().subscribe([](const auto& update) {
|
||||
std::cout
|
||||
<< "Added " << update.added().size() << " items, "
|
||||
<< "Removed " << update.removed().size() << " items, "
|
||||
<< "Updated " << update.updated().size() << " items, "
|
||||
<< "Total items " << update.all().size() << std::endl;
|
||||
});
|
||||
std::this_thread::sleep_for(std::chrono::minutes(5));
|
||||
```
|
||||
@@ -1,51 +1,3 @@
|
||||
+++
|
||||
title = "Market Data"
|
||||
+++
|
||||
|
||||
|
||||
Use the MarketDataService to subscribe enumerate all available securities.
|
||||
|
||||
```cs
|
||||
using System;
|
||||
using System.Threading;
|
||||
using bts.api;
|
||||
using bts.api.core;
|
||||
|
||||
namespace sample {
|
||||
class Program {
|
||||
static void Main(string[] args) {
|
||||
using var context = new ServiceContext();
|
||||
var md = context.locate<MarketDataService>();
|
||||
using var sub = md.subscribe_securities().Subscribe(update => {
|
||||
foreach (var security in update.added) {
|
||||
Console.WriteLine($"Added security {security.Id}: {security.Symbol}");
|
||||
}
|
||||
});
|
||||
|
||||
Thread.Sleep(TimeSpan.FromMinutes(5));
|
||||
}
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
```cpp
|
||||
#include "lib/api/public/ServiceContext.h"
|
||||
#include "spark/lib/domain_model/Security.h"
|
||||
#include "lib/api/services/MarketDataService.client.pb.h"
|
||||
#include <thread>
|
||||
|
||||
using namespace bts::api;
|
||||
|
||||
int main(int argc, char** argv) {
|
||||
ServiceContext ctx;
|
||||
auto md_service = ctx.locate<bts::api::MarketDataService>();
|
||||
auto sub = md_service.subscribe_securities().subscribe([](const auto& update) {
|
||||
for (const auto& s : update.added()) {
|
||||
std::cout << "Added security: " << s->id() << ": " << s->symbol() << std::endl;
|
||||
}
|
||||
});
|
||||
|
||||
std::this_thread::sleep_for(std::chrono::minutes(5));
|
||||
return 0;
|
||||
}
|
||||
```
|
||||
+++
|
||||
@@ -68,21 +68,12 @@ To update your Spark SDK simply download an unzip a new [spark_sdk.zip](https://
|
||||
|
||||
To preserve the old image so you can go back to it later run `docker tag spark_sdk spark_sdk:your_custom_tag` before loading the new SDK image.
|
||||
|
||||
### Re-build the Dev Container
|
||||
|
||||
If you are using Visual Studio Code you also need to rebuild the dev-container so it picks up the new image.
|
||||
|
||||
#### Inside VSCode
|
||||
To re-build from inside Visual Studio Code. Click the 'Remote Explorer' icon on the left hand side.
|
||||
You should see your spark_sdk project listed under the Containers section. Right click on it and select **rebuild-container**.
|
||||
|
||||
#### Command Line
|
||||
To re-build from the command line run `docker ps -a` and find the row with the spark_sdk image.
|
||||
<!--
|
||||
Then stop, remove and restart spark_sdk.
|
||||
```
|
||||
CONTAINER ID IMAGE COMMAND CREATED STATUS PORTS NAMES
|
||||
54d96cfa3888 spark_sdk "/bin/sh -c 'echo Co…" About a minute ago Up About a minute 127.0.0.1:9000-9001->9000-9001/tcp quizzical_lichterman
|
||||
```
|
||||
Then run `docker rm 54d96cfa3888` (use your container id instead of 54d96cfa3888) or `docker rm quizzical_lichterman` (use your container name).
|
||||
|
||||
c:\bts> docker stop spark_sdk
|
||||
c:\bts> docker rm spark_sdk
|
||||
c:\bts> docker run -d -v %cd%:/sdk --name spark_sdk bluetradingsytems/spark_sdk
|
||||
|
||||
``` -->
|
||||
|
||||
@@ -1 +1 @@
|
||||
set(sources /home/taha/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
|
||||
set(sources /home/ppinto/Dropbox/bts/spark/doc/user/build.sh;content/_index.md;content/bts_spark/Glossary/_index.md;content/bts_spark/Help/_index.md;content/bts_spark/Help/about_spark.png;content/bts_spark/Help/image39.png;content/bts_spark/Help/image58.png;content/bts_spark/Launcher/_index.md;content/bts_spark/Launcher/image38.png;content/bts_spark/Launcher/image68.png;content/bts_spark/Logging-In-to-the-System/_index.md;content/bts_spark/Logging-In-to-the-System/image3.png;content/bts_spark/Logging-In-to-the-System/image64.png;content/bts_spark/Market/_index.md;content/bts_spark/Market/change_securities.png;content/bts_spark/Market/image11.png;content/bts_spark/Market/image14.png;content/bts_spark/Market/image20.png;content/bts_spark/Market/image21.png;content/bts_spark/Market/image23.png;content/bts_spark/Market/image24.png;content/bts_spark/Market/image34.png;content/bts_spark/Market/image49.png;content/bts_spark/Market/image53.png;content/bts_spark/Market/image66.png;content/bts_spark/Market/image69.png;content/bts_spark/Market/market_view.png;content/bts_spark/Market/settings_icon.png;content/bts_spark/Market/time_and_sales.png;content/bts_spark/My-Windows/_index.md;content/bts_spark/My-Windows/image15.png;content/bts_spark/My-Windows/image16.png;content/bts_spark/My-Windows/image37.png;content/bts_spark/Settings/_index.md;content/bts_spark/Settings/image51.png;content/bts_spark/Settings/image9.png;content/bts_spark/Spreader/_index.md;content/bts_spark/Spreader/image10.png;content/bts_spark/Spreader/image13.png;content/bts_spark/Spreader/image18.png;content/bts_spark/Spreader/image19.png;content/bts_spark/Spreader/image28.png;content/bts_spark/Spreader/image29.png;content/bts_spark/Spreader/image31.png;content/bts_spark/Spreader/image35.png;content/bts_spark/Spreader/image40.png;content/bts_spark/Spreader/image43.png;content/bts_spark/Spreader/image54.png;content/bts_spark/Spreader/image55.png;content/bts_spark/Spreader/image56.png;content/bts_spark/Spreader/image6.png;content/bts_spark/Spreader/image7.png;content/bts_spark/Spreader/image70.png;content/bts_spark/Spreader/image72.png;content/bts_spark/Spreader/image8.png;content/bts_spark/Trading/OrderTypes/index.md;content/bts_spark/Trading/_index.md;content/bts_spark/Trading/algo_studio.png;content/bts_spark/Trading/collapse_all_icon.png;content/bts_spark/Trading/cover_algo_control.png;content/bts_spark/Trading/expand_all_icon.png;content/bts_spark/Trading/image1.png;content/bts_spark/Trading/image17.png;content/bts_spark/Trading/image2.png;content/bts_spark/Trading/image25.png;content/bts_spark/Trading/image27.png;content/bts_spark/Trading/image33.png;content/bts_spark/Trading/image42.png;content/bts_spark/Trading/image44.png;content/bts_spark/Trading/image47.png;content/bts_spark/Trading/image48.png;content/bts_spark/Trading/image5.png;content/bts_spark/Trading/image50.png;content/bts_spark/Trading/image52.png;content/bts_spark/Trading/image57.png;content/bts_spark/Trading/image59.png;content/bts_spark/Trading/image60.png;content/bts_spark/Trading/image61.png;content/bts_spark/Trading/image62.png;content/bts_spark/Trading/image73.png;content/bts_spark/Trading/image74.png;content/bts_spark/Trading/join_algo_control.png;content/bts_spark/Trading/ladder.png;content/bts_spark/Trading/ladder_badges.png;content/bts_spark/Trading/ladder_main_part.png;content/bts_spark/Trading/lean_algo_control.png;content/bts_spark/Trading/mini_orderbook.png;content/bts_spark/Trading/oco_algo_control.png;content/bts_spark/Trading/offset_algo_control.png;content/bts_spark/Trading/pnl_calculation.png;content/bts_spark/Trading/pnl_window.png;content/bts_spark/Trading/recreate_icon.png;content/bts_spark/Trading/settings_icon.png;content/bts_spark/Trading/spark_menu_order_book.png;content/bts_spark/Trading/top_algo_control.png;content/bts_spark/Trading/trigger_algo_control.png;content/bts_spark/_index.md;content/release_notes/_index.md;content/system_requirements/_index.md;static/book.js;static/favicon.ico;static/image.js;templates/index.html;templates/page.html;templates/section.html;templates/shortcodes/back_button.html)
|
||||
@@ -1,29 +1,9 @@
|
||||
+++
|
||||
+++
|
||||
title = "Release notes"
|
||||
weight = 3
|
||||
sort_by = "weight"
|
||||
insert_anchor_links = "right"
|
||||
+++
|
||||
## 2.16.2
|
||||
### User Visible Change
|
||||
- Synthetic creation dialog has a "fractional" checkbox next to the tick settings. Users may uncheck this box to enter integer tick sizes, so the synthetic security's prices will be displayed without decimals, or fractional units.
|
||||
## 2.16.1
|
||||
### Bug Fixes
|
||||
- OrderBook's algo state parameters (in the panel on the right side) are sorted alphabetically
|
||||
## 2.16.0
|
||||
### Bug Fixes
|
||||
- Solved an issue that could result in incorrect ladder levels
|
||||
- Solved an issue that could lead to incorrect routing of orders in the event of certain MSGW changes
|
||||
### API Changes
|
||||
- Add C# client side API samples for order entry, position monitoring and market data observation
|
||||
|
||||
## 2.15.10
|
||||
### Bug Fixes
|
||||
- Solved an issue that could cause the user interface to fail when playing some alert sounds
|
||||
### API Changes
|
||||
- Added settlement and position information to the API
|
||||
- Added the ability for user algos to report custom state to the user interface
|
||||
- Added the ability for algos to discover all active securities
|
||||
## 2.15.3
|
||||
### Bug Fixes
|
||||
- Fixed a bug where some CME currency spreads exhibited incorrect tick values
|
||||
@@ -728,4 +708,3 @@ insert_anchor_links = "right"
|
||||
- Start, Day and Total PnL columns are painted with a red or green background color based on if the pnl value is negative or positive respectively
|
||||
- Corrected cash per point values, used in pnl calculations, for a number of products
|
||||
- PnL report will now remember any customizations you make to filtering and/or sorting criteria
|
||||
|
||||
+1
-1
Submodule docker/linux updated: 05967d0f18...0df20ec20a.
+1
-1
Submodule externals updated: 1dffb78a8e...c695e96940.
@@ -1,6 +0,0 @@
|
||||
{
|
||||
"sdk": {
|
||||
"version": "2.1.508",
|
||||
"rollForward": "latestMajor"
|
||||
}
|
||||
}
|
||||
@@ -1,20 +0,0 @@
|
||||
{
|
||||
"FormattingOptions": {
|
||||
"NewLineForCatch": false,
|
||||
"NewLineForClausesInQuery": true,
|
||||
"NewLineForElse": false,
|
||||
"NewLineForFinally": false,
|
||||
"NewLineForMembersInAnonymousTypes": true,
|
||||
"NewLineForMembersInObjectInit": true,
|
||||
"NewLinesForBracesInAccessors": false,
|
||||
"NewLinesForBracesInAnonymousMethods": false,
|
||||
"NewLinesForBracesInAnonymousTypes": false,
|
||||
"NewLinesForBracesInControlBlocks": false,
|
||||
"NewLinesForBracesInLambdaExpressionBody": false,
|
||||
"NewLinesForBracesInMethods": false,
|
||||
"NewLinesForBracesInObjectCollectionArrayInitializers": false,
|
||||
"NewLinesForBracesInProperties": false,
|
||||
"NewLinesForBracesInTypes": false,
|
||||
"TabSize": 3
|
||||
}
|
||||
}
|
||||
@@ -1,17 +0,0 @@
|
||||
astroid==2.7.3
|
||||
autopep8==1.5.7
|
||||
cffi==1.14.6
|
||||
colorama==0.4.4
|
||||
isort==5.9.3
|
||||
lazy-object-proxy==1.6.0
|
||||
mccabe==0.6.1
|
||||
platformdirs==2.3.0
|
||||
protobuf==3.19.1
|
||||
pybars3==0.9.7
|
||||
pycodestyle==2.7.0
|
||||
pycparser==2.20
|
||||
pylint==2.10.2
|
||||
PyMeta3==0.5.1
|
||||
toml==0.10.2
|
||||
wrapt==1.12.1
|
||||
yapf==0.31.0
|
||||
+163
-37
@@ -1,10 +1,10 @@
|
||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||
# Visual Studio Version 16
|
||||
VisualStudioVersion = 16.0.30114.105
|
||||
# Visual Studio 15
|
||||
VisualStudioVersion = 15.0.27130.2024
|
||||
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", "{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}"
|
||||
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{3335AAF0-489D-359D-8305-9B7A44E2C760}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Spark", "src\client\spark\Spark.csproj", "{9A4D4D07-1AB6-4B2B-B111-A4F34D6C267E}"
|
||||
EndProject
|
||||
@@ -12,87 +12,213 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "sparkcmd", "src\client\spar
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_core", "src\client\spark_core\spark_core.csproj", "{6E449EB6-20AC-4FA6-B8D9-10F4BB7E1FEE}"
|
||||
EndProject
|
||||
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ZERO_CHECK", "build\ZERO_CHECK.vcxproj", "{A1B7276B-8F81-3D58-A22E-870AF28DF9B9}"
|
||||
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "ZERO_CHECK", "build\ZERO_CHECK.vcxproj", "{2256015B-E7D5-3614-8F39-814CA68A4444}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_sdk", "src\client\spark_sdk\spark_sdk.csproj", "{6963C314-83C4-4667-B0D0-C2F7AE208C29}"
|
||||
ProjectSection(ProjectDependencies) = postProject
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40} = {9FA60215-26AF-3EB7-AB89-D4F4B126EF40}
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760} = {3335AAF0-489D-359D-8305-9B7A44E2C760}
|
||||
EndProjectSection
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_test", "src\client\spark_test\spark_test.csproj", "{ECD78CC5-138F-4809-A764-2358C2AC2E82}"
|
||||
EndProject
|
||||
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_excel", "src\client\spark_excel\spark_excel.csproj", "{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}"
|
||||
EndProject
|
||||
Global
|
||||
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
||||
Debug|Any CPU = Debug|Any CPU
|
||||
Debug|x64 = Debug|x64
|
||||
Debug|x86 = Debug|x86
|
||||
MinSizeRel|Any CPU = MinSizeRel|Any CPU
|
||||
MinSizeRel|x64 = MinSizeRel|x64
|
||||
MinSizeRel|x86 = MinSizeRel|x86
|
||||
Release|Any CPU = Release|Any CPU
|
||||
Release|x64 = Release|x64
|
||||
Release|x86 = Release|x86
|
||||
RelWithDebInfo|Any CPU = RelWithDebInfo|Any CPU
|
||||
RelWithDebInfo|x64 = RelWithDebInfo|x64
|
||||
RelWithDebInfo|x86 = RelWithDebInfo|x86
|
||||
EndGlobalSection
|
||||
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|Any CPU.ActiveCfg = Debug|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x64.Build.0 = Debug|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Debug|x86.ActiveCfg = Debug|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.MinSizeRel|Any CPU.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.MinSizeRel|Any CPU.Build.0 = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.MinSizeRel|x64.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.MinSizeRel|x64.Build.0 = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.MinSizeRel|x86.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.MinSizeRel|x86.Build.0 = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Release|Any CPU.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Release|x64.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Release|x64.Build.0 = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.Release|x86.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.RelWithDebInfo|Any CPU.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.RelWithDebInfo|Any CPU.Build.0 = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.RelWithDebInfo|x64.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.RelWithDebInfo|x64.Build.0 = Release|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.Debug|x64.Build.0 = Debug|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.MinSizeRel|x64.ActiveCfg = MinSizeRel|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.MinSizeRel|x64.Build.0 = MinSizeRel|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.Release|x64.ActiveCfg = Release|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.Release|x64.Build.0 = Release|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.RelWithDebInfo|x64.ActiveCfg = RelWithDebInfo|x64
|
||||
{9FA60215-26AF-3EB7-AB89-D4F4B126EF40}.RelWithDebInfo|x64.Build.0 = RelWithDebInfo|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.RelWithDebInfo|x86.ActiveCfg = Release|x64
|
||||
{DC9A8975-8211-4FC9-A9BA-C8B9D26AD481}.RelWithDebInfo|x86.Build.0 = Release|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.Debug|Any CPU.ActiveCfg = Debug|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.Debug|x64.Build.0 = Debug|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.Debug|x86.ActiveCfg = Debug|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.MinSizeRel|Any CPU.ActiveCfg = MinSizeRel|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.MinSizeRel|x64.ActiveCfg = MinSizeRel|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.MinSizeRel|x64.Build.0 = MinSizeRel|x64
|
||||
{3335AAF0-489D-359D-8305-9B7A44E2C760}.MinSizeRel|x86.ActiveCfg = MinSizeRel|x64
|
||||
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|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|x64.Build.0 = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|x86.ActiveCfg = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.MinSizeRel|x86.Build.0 = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|Any CPU.ActiveCfg = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|x64.ActiveCfg = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|x64.Build.0 = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.Release|x86.ActiveCfg = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|Any CPU.ActiveCfg = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|Any CPU.Build.0 = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x64.ActiveCfg = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x64.Build.0 = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.ActiveCfg = Release|x64
|
||||
{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.Build.0 = Release|x64
|
||||
EndGlobalSection
|
||||
GlobalSection(SolutionProperties) = preSolution
|
||||
HideSolutionNode = FALSE
|
||||
|
||||
@@ -1,41 +1,41 @@
|
||||
|
||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||
# Visual Studio 15
|
||||
VisualStudioVersion = 15.0.26730.10
|
||||
MinimumVisualStudioVersion = 10.0.40219.1
|
||||
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "sparkd", "src\server\sparkd\sparkd.vcxproj", "{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}"
|
||||
EndProject
|
||||
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
|
||||
EndProject
|
||||
Global
|
||||
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
||||
Debug|x64 = Debug|x64
|
||||
MinSizeRel|x64 = MinSizeRel|x64
|
||||
Release|x64 = Release|x64
|
||||
RelWithDebInfo|x64 = RelWithDebInfo|x64
|
||||
EndGlobalSection
|
||||
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.Build.0 = Debug|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.ActiveCfg = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.Build.0 = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.ActiveCfg = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.Build.0 = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.ActiveCfg = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.Build.0 = Release|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Debug|x64.Build.0 = Debug|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.ActiveCfg = MinSizeRel|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.Build.0 = MinSizeRel|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Release|x64.ActiveCfg = Release|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Release|x64.Build.0 = Release|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.ActiveCfg = RelWithDebInfo|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.Build.0 = RelWithDebInfo|x64
|
||||
EndGlobalSection
|
||||
GlobalSection(SolutionProperties) = preSolution
|
||||
HideSolutionNode = FALSE
|
||||
EndGlobalSection
|
||||
GlobalSection(ExtensibilityGlobals) = postSolution
|
||||
SolutionGuid = {6A7249D7-B40C-4656-9347-60072D0B8FDB}
|
||||
EndGlobalSection
|
||||
EndGlobal
|
||||
|
||||
Microsoft Visual Studio Solution File, Format Version 12.00
|
||||
# Visual Studio 15
|
||||
VisualStudioVersion = 15.0.26730.10
|
||||
MinimumVisualStudioVersion = 10.0.40219.1
|
||||
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "sparkd", "src\server\sparkd\sparkd.vcxproj", "{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}"
|
||||
EndProject
|
||||
Project("{8BC9CEB8-8B4A-11D0-8D11-00A0C91BC942}") = "libspark", "build\src\lib\libspark.vcxproj", "{502FD050-679A-3B50-B438-098500700919}"
|
||||
EndProject
|
||||
Global
|
||||
GlobalSection(SolutionConfigurationPlatforms) = preSolution
|
||||
Debug|x64 = Debug|x64
|
||||
MinSizeRel|x64 = MinSizeRel|x64
|
||||
Release|x64 = Release|x64
|
||||
RelWithDebInfo|x64 = RelWithDebInfo|x64
|
||||
EndGlobalSection
|
||||
GlobalSection(ProjectConfigurationPlatforms) = postSolution
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Debug|x64.Build.0 = Debug|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.ActiveCfg = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.MinSizeRel|x64.Build.0 = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.ActiveCfg = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.Release|x64.Build.0 = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.ActiveCfg = Release|x64
|
||||
{BBBAFD38-312D-4A8D-9AF0-F2BDEE72CE6F}.RelWithDebInfo|x64.Build.0 = Release|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Debug|x64.ActiveCfg = Debug|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Debug|x64.Build.0 = Debug|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.ActiveCfg = MinSizeRel|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.MinSizeRel|x64.Build.0 = MinSizeRel|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Release|x64.ActiveCfg = Release|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.Release|x64.Build.0 = Release|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.ActiveCfg = RelWithDebInfo|x64
|
||||
{502FD050-679A-3B50-B438-098500700919}.RelWithDebInfo|x64.Build.0 = RelWithDebInfo|x64
|
||||
EndGlobalSection
|
||||
GlobalSection(SolutionProperties) = preSolution
|
||||
HideSolutionNode = FALSE
|
||||
EndGlobalSection
|
||||
GlobalSection(ExtensibilityGlobals) = postSolution
|
||||
SolutionGuid = {6A7249D7-B40C-4656-9347-60072D0B8FDB}
|
||||
EndGlobalSection
|
||||
EndGlobal
|
||||
Vendored
+17
@@ -0,0 +1,17 @@
|
||||
{
|
||||
"files.associations": {
|
||||
"chrono": "cpp",
|
||||
"future": "cpp",
|
||||
"system_error": "cpp",
|
||||
"ios": "cpp",
|
||||
"utility": "cpp",
|
||||
"iosfwd": "cpp",
|
||||
"xhash": "cpp",
|
||||
"xstring": "cpp",
|
||||
"xtree": "cpp",
|
||||
"xutility": "cpp",
|
||||
"exception": "cpp",
|
||||
"bitset": "cpp",
|
||||
"xlocale": "cpp"
|
||||
}
|
||||
}
|
||||
@@ -1,6 +1,6 @@
|
||||
<Project>
|
||||
|
||||
<PropertyGroup>
|
||||
<PropertyGroup>
|
||||
<ComputerSpecificConfig>..\..\tools\override\$(computername).props</ComputerSpecificConfig>
|
||||
<SparkRoot>$([System.IO.Path]::GetFullPath($(MSBuildThisFileDirectory)\..\..))</SparkRoot>
|
||||
<SourceRoot>$([System.IO.Path]::GetFullPath($(SparkRoot)\src))</SourceRoot>
|
||||
@@ -12,41 +12,53 @@
|
||||
<EnableDefaultContentItems>False</EnableDefaultContentItems>
|
||||
<ShowMissingItemTypes>false</ShowMissingItemTypes>
|
||||
<Configuration Condition="'$(configuration)'==''">Debug</Configuration>
|
||||
</PropertyGroup>
|
||||
</PropertyGroup>
|
||||
|
||||
<PropertyGroup Label="Output">
|
||||
<PropertyGroup Label="Output">
|
||||
<BaseOutputPath>$(SparkRoot)\build\$(Configuration)</BaseOutputPath>
|
||||
<OutputPath>$(BaseOutputPath)\bin</OutputPath>
|
||||
<BaseIntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</BaseIntermediateOutputPath>
|
||||
<IntermediateOutputPath>$(BaseOutputPath)\obj\$(MSBuildProjectName)</IntermediateOutputPath>
|
||||
<GenDir>$(BaseOutputPath)\gen\$(MSBuildProjectName)</GenDir>
|
||||
</PropertyGroup>
|
||||
</PropertyGroup>
|
||||
|
||||
<Import
|
||||
Project="$(ComputerSpecificConfig)"
|
||||
Condition="Exists($(ComputerSpecificConfig))" />
|
||||
<Import Project="$(ComputerSpecificConfig)" Condition="Exists($(ComputerSpecificConfig))" />
|
||||
|
||||
<PropertyGroup Label="ProtoBuf">
|
||||
<ItemGroup>
|
||||
<AvailableItemName Include="Proto2">
|
||||
<Targets>CompileProto3</Targets>
|
||||
</AvailableItemName>
|
||||
<AvailableItemName Include="Proto3">
|
||||
<Targets>CompileProto3</Targets>
|
||||
</AvailableItemName>
|
||||
<AvailableItemName Include="Proto3Excel">
|
||||
<Targets>CompileProto3Excel</Targets>
|
||||
</AvailableItemName>
|
||||
</ItemGroup>
|
||||
|
||||
<PropertyGroup Label="ProtoBuf">
|
||||
<ProtocPluginBase>$(SparkRoot)\src\lib\api\service_compiler</ProtocPluginBase>
|
||||
<ProtoInclude>$(Externals)\include</ProtoInclude>
|
||||
<protoc>$(Externals)\bin\protoc.exe</protoc>
|
||||
<protogen>$(Externals)\bin\protogen.exe</protogen>
|
||||
</PropertyGroup>
|
||||
</PropertyGroup>
|
||||
|
||||
<ItemDefinitionGroup>
|
||||
<Proto2></Proto2>
|
||||
<ItemDefinitionGroup>
|
||||
<Proto2>
|
||||
</Proto2>
|
||||
<Proto3>
|
||||
<OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
|
||||
<OutCS>%(OutBase)%(FileName).cs</OutCS>
|
||||
<OutCSClient>%(OutBase)%(FileName).client.pb.cs</OutCSClient>
|
||||
<OutCSServer>%(OutBase)%(FileName).server.pb.cs</OutCSServer>
|
||||
<OutCSImmutable>%(OutBase)%(FileName).immutable.pb.cs</OutCSImmutable>
|
||||
<CompileOptions></CompileOptions>
|
||||
<OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
|
||||
<OutCS>%(OutBase)%(FileName).cs</OutCS>
|
||||
<OutCSClient>%(OutBase)%(FileName).client.pb.cs</OutCSClient>
|
||||
<OutCSServer>%(OutBase)%(FileName).server.pb.cs</OutCSServer>
|
||||
<OutCSImmutable>%(OutBase)%(FileName).immutable.pb.cs</OutCSImmutable>
|
||||
<CompileOptions></CompileOptions>
|
||||
</Proto3>
|
||||
<Proto3Excel>
|
||||
<OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
|
||||
<OutCSExcel>%(OutBase)%(FileName).excel.pb.cs</OutCSExcel>
|
||||
<CompileOptions></CompileOptions>
|
||||
</Proto3Excel>
|
||||
</ItemDefinitionGroup>
|
||||
<OutBase>$(IntermediateOutputPath)\gen\%(relativedir)</OutBase>
|
||||
<OutCSExcel>%(OutBase)%(FileName).excel.pb.cs</OutCSExcel>
|
||||
<CompileOptions></CompileOptions>
|
||||
</Proto3Excel>
|
||||
</ItemDefinitionGroup>
|
||||
|
||||
</Project>
|
||||
@@ -1,85 +1,97 @@
|
||||
<Project>
|
||||
|
||||
<Target
|
||||
Name="CompileProto2"
|
||||
Condition="'@(Proto2)'!=''"
|
||||
Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)"
|
||||
Outputs="$(GenDir)\proto2\%(Proto2.filename).cs"
|
||||
AfterTargets="PreBuildEvent">
|
||||
<PropertyGroup>
|
||||
<SourceRelativeFile>$([System.String]::Copy('%(proto2.fullpath)').Replace($(SourceRoot), ''))</SourceRelativeFile>
|
||||
<SourceRelativeDir>$([System.IO.Path]::GetDirectoryName($(SourceRelativeFile)))</SourceRelativeDir>
|
||||
<WorkingDirectory>$(GenDir)\proto2</WorkingDirectory>
|
||||
</PropertyGroup>
|
||||
<MakeDir Directories="$(WorkingDirectory)" />
|
||||
<Copy
|
||||
SourceFiles="%(Proto2.FullPath)"
|
||||
DestinationFolder="$(WorkingDirectory)"
|
||||
SkipUnchangedFiles="True"
|
||||
UseHardLinksIfPossible="True" />
|
||||
<Error
|
||||
Text="protogen.exe does not exist. If you forgot to clone with externals try: git submodule update --init --recursive"
|
||||
Condition="!Exists($(protogen))" />
|
||||
<Exec
|
||||
Command="$(Protogen) %(Proto2.filename)%(proto2.extension) --csharp_out=. -I. -I$(SourceRoot) -I$(Externals)\include"
|
||||
WorkingDirectory="$(WorkingDirectory)" />
|
||||
<ItemGroup>
|
||||
<Compile Include="$(WorkingDirectory)\%(Proto2.filename).cs" />
|
||||
</ItemGroup>
|
||||
</Target>
|
||||
|
||||
<!--
|
||||
Run this after GetAssemblyVersion because it happens after the Xaml compiler
|
||||
and exists in both xaml and non-xaml projects. One of the (many) xaml compile
|
||||
passes wipes out the additional compile includes that we add.
|
||||
-->
|
||||
<Target
|
||||
Name="CompileProto3"
|
||||
AfterTargets="GetAssemblyVersion"
|
||||
Condition="'@(Proto3)'!=''"
|
||||
Inputs="$(protoc);
|
||||
%(Proto3.Identity);$(ProtocPluginBase)\plugin.py;
|
||||
$(ProtocPluginBase)\templates\c#\client.pb.cs;
|
||||
$(ProtocPluginBase)\templates\c#\server.pb.cs;
|
||||
$(ProtocPluginBase)\templates\c#\immutable.pb.cs;"
|
||||
Outputs="%(Proto3.OutCS);%(Proto3.OutCSServer);%(Proto3.OutCSClient);%(Proto3.OutCSImmutable)">
|
||||
<MakeDir Directories="%(Proto3.OutBase)" />
|
||||
|
||||
<Message
|
||||
Importance="High"
|
||||
Text="Generating service %(Proto3.FileName)" />
|
||||
<Exec Command="$(SparkRoot)\.venv\Scripts\activate.bat" />
|
||||
<Exec Command="set PYTHONPATH=$(SparkRoot)\.venv\Scripts\python" />
|
||||
<Exec
|
||||
Command="
|
||||
$(SparkRoot)\tools\build_protos.cmd ^
|
||||
%(Proto3.FullPath) ^
|
||||
--error_format=msvs ^
|
||||
--proto_path=$(SourceRoot) ^
|
||||
--plugin="protoc-gen-service=$(ProtocPluginBase)\plugin.cmd" ^
|
||||
--service_out=lang=c#,strip_out_path=1:%(Proto3.OutBase) ^
|
||||
--csharp_out=%(CompileOptions)%(Proto3.OutBase)"
|
||||
WorkingDirectory="%(relativedir)" />
|
||||
<ItemGroup>
|
||||
<Compile Include="%(Proto3.OutCS)" />
|
||||
<Compile Include="%(Proto3.OutCSClient)" />
|
||||
<Compile Include="%(Proto3.OutCSServer)" />
|
||||
<Compile Include="%(Proto3.OutCSImmutable)" />
|
||||
</ItemGroup>
|
||||
</Target>
|
||||
|
||||
<Target
|
||||
Name="AfterClean"
|
||||
AfterTargets="Clean">
|
||||
<Delete Files="%(Proto3.OutCS)" />
|
||||
<Delete Files="%(Proto3.OutCSClient)" />
|
||||
<Delete Files="%(Proto3.OutCSServer)" />
|
||||
<Delete Files="%(Proto3.OutCSImmutable)" />
|
||||
<Delete Files="$(GenDir)\proto2\*" />
|
||||
</Target>
|
||||
|
||||
<Target
|
||||
Name="Test"
|
||||
DependsOnTargets="Build"></Target>
|
||||
|
||||
</Project>
|
||||
<Project>
|
||||
|
||||
|
||||
|
||||
<Target Name="CompileProto2"
|
||||
Condition="'@(Proto2)'!=''"
|
||||
Inputs="$(MSBuildProjectFile);$(protogen);%(Proto2.FullPath)"
|
||||
Outputs="$(GenDir)\proto2\%(Proto2.filename).cs"
|
||||
AfterTargets="PreBuildEvent">
|
||||
<PropertyGroup>
|
||||
<SourceRelativeFile>$([System.String]::Copy('%(proto2.fullpath)').Replace($(SourceRoot), ''))</SourceRelativeFile>
|
||||
<SourceRelativeDir>$([System.IO.Path]::GetDirectoryName($(SourceRelativeFile)))</SourceRelativeDir>
|
||||
<WorkingDirectory>$(GenDir)\proto2</WorkingDirectory>
|
||||
</PropertyGroup>
|
||||
<MakeDir Directories="$(WorkingDirectory)" />
|
||||
<Copy SourceFiles="%(Proto2.FullPath)" DestinationFolder="$(WorkingDirectory)" SkipUnchangedFiles="True" UseHardLinksIfPossible="True" />
|
||||
<Error Text="protogen.exe does not exist. If you forgot to clone with externals try: git submodule update --init --recursive" Condition="!Exists($(protogen))" />
|
||||
<Exec Command="$(Protogen) %(Proto2.filename)%(proto2.extension) --csharp_out=. -I. -I$(SourceRoot) -I$(Externals)\include"
|
||||
WorkingDirectory="$(WorkingDirectory)" />
|
||||
<ItemGroup>
|
||||
<Compile Include="$(WorkingDirectory)\%(Proto2.filename).cs" />
|
||||
</ItemGroup>
|
||||
</Target>
|
||||
|
||||
<!--
|
||||
Run this after GetAssemblyVersion because it happens after the Xaml compiler
|
||||
and exists in both xaml and non-xaml projects. One of the (many) xaml compile
|
||||
passes wipes out the additional compile includes that we add.
|
||||
-->
|
||||
<Target Name="CompileProto3" AfterTargets="GetAssemblyVersion"
|
||||
Condition="'@(Proto3)'!=''"
|
||||
Inputs="$(protoc);
|
||||
%(Proto3.Identity);$(ProtocPluginBase)\plugin.py;
|
||||
$(ProtocPluginBase)\templates\c#\client.pb.cs;
|
||||
$(ProtocPluginBase)\templates\c#\server.pb.cs;
|
||||
$(ProtocPluginBase)\templates\c#\immutable.pb.cs;"
|
||||
Outputs="%(Proto3.OutCS);%(Proto3.OutCSServer);%(Proto3.OutCSClient);%(Proto3.OutCSImmutable)">
|
||||
<MakeDir Directories="%(Proto3.OutBase)" />
|
||||
|
||||
<Message Importance="High" Text="Generating service %(Proto3.FileName)" />
|
||||
<Exec Command="
|
||||
set PATH=$(spark_build_python_path);%path% &
|
||||
set PYTHONPATH=$(Externals)\python &
|
||||
$(protoc) ^
|
||||
%(Proto3.FullPath) ^
|
||||
--error_format=msvs ^
|
||||
--proto_path=$(protoinc);$(SourceRoot) ^
|
||||
--plugin="protoc-gen-service=$(ProtocPluginBase)\plugin.cmd" ^
|
||||
--service_out=lang=c#,strip_out_path=1:%(Proto3.OutBase) ^
|
||||
--csharp_out=%(CompileOptions)%(Proto3.OutBase)"
|
||||
WorkingDirectory="%(relativedir)" />
|
||||
<ItemGroup>
|
||||
<Compile Include="%(Proto3.OutCS)" />
|
||||
<Compile Include="%(Proto3.OutCSClient)" />
|
||||
<Compile Include="%(Proto3.OutCSServer)" />
|
||||
<Compile Include="%(Proto3.OutCSImmutable)" />
|
||||
</ItemGroup>
|
||||
</Target>
|
||||
|
||||
<Target Name="CompileProto3Excel" AfterTargets="GetAssemblyVersion"
|
||||
Condition="'@(Proto3Excel)'!=''"
|
||||
Inputs="$(protoc);
|
||||
%(Proto3Excel.Identity);$(ProtocPluginBase)\plugin.py;
|
||||
$(ProtocPluginBase)\templates\excel\excel.pb.cs;"
|
||||
Outputs="%(Proto3Excel.OutCSExcel)">
|
||||
<MakeDir Directories="%(Proto3Excel.OutBase)" />
|
||||
|
||||
<Message Importance="High" Text="Generating excel service %(Proto3Excel.FileName)" />
|
||||
<Exec Command="
|
||||
set PATH=$(spark_build_python_path);%path% &
|
||||
set PYTHONPATH=$(Externals)\python &
|
||||
$(protoc) ^
|
||||
%(Proto3Excel.FullPath) ^
|
||||
--error_format=msvs ^
|
||||
--proto_path=$(protoinc);$(SourceRoot) ^
|
||||
--plugin="protoc-gen-service=$(ProtocPluginBase)\plugin.cmd" ^
|
||||
--service_out=lang=excel,strip_out_path=1:%(Proto3Excel.OutBase) ^
|
||||
"
|
||||
WorkingDirectory="%(relativedir)" />
|
||||
<ItemGroup>
|
||||
<Compile Include="%(Proto3Excel.OutCSExcel)" />
|
||||
</ItemGroup>
|
||||
</Target>
|
||||
|
||||
<Target Name="AfterClean" AfterTargets="Clean">
|
||||
<Delete Files="%(Proto3.OutCS)" />
|
||||
<Delete Files="%(Proto3.OutCSClient)" />
|
||||
<Delete Files="%(Proto3.OutCSServer)" />
|
||||
<Delete Files="%(Proto3.OutCSImmutable)" />
|
||||
<Delete Files="$(GenDir)\proto2\*" />
|
||||
<Delete Files="%(Proto3Excel.OutCSExcel)" />
|
||||
</Target>
|
||||
|
||||
<Target Name="Test" DependsOnTargets="Build">
|
||||
</Target>
|
||||
|
||||
</Project>
|
||||
@@ -1,146 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
using mbts.analytics;
|
||||
using mbts.ui;
|
||||
using mbts.ui.shell;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Reactive.Linq;
|
||||
|
||||
class AnalyticsExpirationParametersRowVM : DisposableViewModelBase, ISelectable, IEquatable<AnalyticsExpirationParametersRowVM> {
|
||||
readonly AnalyticsExpirationParameters _committed_value;
|
||||
readonly Property<bool> _is_selected;
|
||||
|
||||
readonly Property<SecurityExpiration> _driver;
|
||||
readonly Property<SecurityExpiration> _deliverable;
|
||||
readonly Property<SecurityExpiration> _roll_schedule;
|
||||
readonly Property<double> _roll_target;
|
||||
readonly Property<double> _riskless_rate;
|
||||
readonly Property<double> _settlement_price;
|
||||
readonly Property<double> _delta_beta;
|
||||
readonly Property<double> _vega_beta;
|
||||
|
||||
readonly Property<bool> _is_driver_dirty;
|
||||
readonly Property<bool> _is_deliverable_dirty;
|
||||
readonly Property<bool> _is_roll_schedule_dirty;
|
||||
readonly Property<bool> _is_roll_target_dirty;
|
||||
readonly Property<bool> _is_riskless_rate_dirty;
|
||||
readonly Property<bool> _is_settlement_price_dirty;
|
||||
readonly Property<bool> _is_delta_beta_dirty;
|
||||
readonly Property<bool> _is_vega_beta_dirty;
|
||||
readonly Property<bool> _is_dirty;
|
||||
|
||||
bool _is_last_row_of_month_group;
|
||||
|
||||
public AnalyticsExpirationParametersRowVM(AnalyticsExpirationParametersVM owner, AnalyticsExpirationParameters committed_value) {
|
||||
this.owner = owner ?? throw new ArgumentNullException(nameof(owner));
|
||||
_committed_value = committed_value ?? throw new ArgumentNullException(nameof(committed_value));
|
||||
security = committed_value.security ?? throw new ArgumentException("security must be non-null", nameof(committed_value));
|
||||
|
||||
_is_selected = backing(nameof(is_selected), false);
|
||||
_is_selected.Changed += (oldval, newval) => is_selected_changed?.Invoke(newval);
|
||||
|
||||
var is_dirty_srcs = new List<IObservable<bool>>();
|
||||
(_driver, _is_driver_dirty) = mk_cell_props(nameof(driver), committed_value.driver_security);
|
||||
(_deliverable, _is_deliverable_dirty) = mk_cell_props(nameof(deliverable), committed_value.deliverable_security);
|
||||
(_roll_schedule, _is_roll_schedule_dirty) = mk_cell_props(nameof(roll_schedule), committed_value.roll_schedule_expiration);
|
||||
(_roll_target, _is_roll_target_dirty) = mk_cell_props(nameof(roll_target), committed_value.roll_target);
|
||||
(_riskless_rate, _is_riskless_rate_dirty) = mk_cell_props(nameof(riskless_rate), committed_value.riskless_rate);
|
||||
(_settlement_price, _is_settlement_price_dirty) = mk_cell_props(nameof(settlement_price), committed_value.settlement_price);
|
||||
(_delta_beta, _is_delta_beta_dirty) = mk_cell_props(nameof(delta_beta), committed_value.delta_beta);
|
||||
(_vega_beta, _is_vega_beta_dirty) = mk_cell_props(nameof(vega_beta), committed_value.vega_beta);
|
||||
|
||||
_is_dirty = backing(
|
||||
nameof(is_dirty),
|
||||
Observable.CombineLatest(is_dirty_srcs).Select(dirties => dirties.Any()).OnDispatcher());
|
||||
|
||||
(Property<T> prop, Property<bool> dirty_prop) mk_cell_props<T>(string name, T orig_val) {
|
||||
var prop = backing(name, orig_val);
|
||||
var dirty_src = prop.observe_current(true).Select(new_val => !Equals(new_val, orig_val));
|
||||
is_dirty_srcs.Add(dirty_src);
|
||||
var dirty_prop = backing($"is_{prop.name}_dirty", dirty_src);
|
||||
return (prop, dirty_prop);
|
||||
}
|
||||
}
|
||||
|
||||
public event Action<bool> is_selected_changed;
|
||||
|
||||
public AnalyticsExpirationParametersVM owner { get; }
|
||||
public SecurityExpiration security { get; }
|
||||
public SecurityExpiration driver { get => _driver.Value; set => _driver.set(value); }
|
||||
public SecurityExpiration deliverable { get => _deliverable.Value; set => _deliverable.set(value); }
|
||||
public SecurityExpiration roll_schedule { get => _roll_schedule.Value; set => _roll_schedule.set(value); }
|
||||
public AnalyticsExpirationParameters original_params => _committed_value;
|
||||
|
||||
public double roll_target { get => _roll_target.Value; set => _roll_target.set(value); }
|
||||
public double riskless_rate { get => _riskless_rate.Value; set => _riskless_rate.set(value); }
|
||||
public double settlement_price { get => _settlement_price.Value; set => _settlement_price.set(value); }
|
||||
public double delta_beta { get => _delta_beta.Value; set => _delta_beta.set(value); }
|
||||
public double vega_beta { get => _vega_beta.Value; set => _vega_beta.set(value); }
|
||||
|
||||
public bool is_driver_dirty => _is_driver_dirty.Value;
|
||||
public bool is_deliverable_dirty => _is_deliverable_dirty.Value;
|
||||
public bool is_roll_schedule_dirty => _is_roll_schedule_dirty.Value;
|
||||
public bool is_roll_target_dirty => _is_roll_target_dirty.Value;
|
||||
public bool is_riskless_rate_dirty => _is_riskless_rate_dirty.Value;
|
||||
public bool is_settlement_price_dirty => _is_settlement_price_dirty.Value;
|
||||
public bool is_delta_beta_dirty => _is_delta_beta_dirty.Value;
|
||||
public bool is_vega_beta_dirty => _is_vega_beta_dirty.Value;
|
||||
public bool is_dirty => _is_dirty.Value;
|
||||
|
||||
public bool is_selected {
|
||||
get => _is_selected.Value;
|
||||
set => _is_selected.set(value);
|
||||
}
|
||||
|
||||
public bool is_last_row_of_month_group {
|
||||
get => _is_last_row_of_month_group;
|
||||
set => Set(ref _is_last_row_of_month_group, value);
|
||||
}
|
||||
|
||||
public AnalyticsExpirationParameters candidate_value => new(
|
||||
security,
|
||||
driver,
|
||||
deliverable.is_empty() ? null : deliverable,
|
||||
roll_schedule.is_empty() ? null : roll_schedule,
|
||||
roll_target,
|
||||
riskless_rate,
|
||||
settlement_price,
|
||||
delta_beta,
|
||||
vega_beta);
|
||||
|
||||
public IObservable<SecurityExpiration> observe_roll_schedule() =>
|
||||
_roll_schedule.observe_current(true);
|
||||
|
||||
public IObservable<bool> observe_roll_schedule_dirty() =>
|
||||
_is_roll_schedule_dirty.observe_current(true);
|
||||
|
||||
public IObservable<bool> observe_is_dirty() =>
|
||||
_is_dirty.observe_current(true);
|
||||
|
||||
public void revert() {
|
||||
driver = _committed_value.driver_security;
|
||||
deliverable = _committed_value.deliverable_security;
|
||||
roll_schedule = _committed_value.roll_schedule_expiration;
|
||||
roll_target = _committed_value.roll_target;
|
||||
riskless_rate = _committed_value.riskless_rate;
|
||||
settlement_price = _committed_value.settlement_price;
|
||||
delta_beta = _committed_value.delta_beta;
|
||||
vega_beta = _committed_value.vega_beta;
|
||||
}
|
||||
|
||||
public override string ToString() =>
|
||||
$"sec: {security}; drv: {driver}; dlv: {deliverable}; roll: {roll_schedule} @ {roll_target}";
|
||||
|
||||
public bool Equals(AnalyticsExpirationParametersRowVM other) =>
|
||||
other is not null &&
|
||||
security.Equals(other.security);
|
||||
|
||||
public override bool Equals(object obj) =>
|
||||
Equals(obj as AnalyticsExpirationParametersRowVM);
|
||||
|
||||
public override int GetHashCode() =>
|
||||
security.GetHashCode();
|
||||
}
|
||||
}
|
||||
@@ -1,19 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
using ProtoBuf;
|
||||
|
||||
[ProtoContract]
|
||||
class AnalyticsExpirationParametersSettings {
|
||||
public const int VERSION = 1;
|
||||
|
||||
public static AnalyticsExpirationParametersSettings Default => new();
|
||||
|
||||
[ProtoMember(10)]
|
||||
public string[] selected_symbols {get;set;}
|
||||
|
||||
[ProtoMember(20)]
|
||||
public bool auto_copy_rates_is_checked {get;set;}
|
||||
|
||||
[ProtoMember(30)]
|
||||
public bool auto_copy_rolls_is_checked {get;set;}
|
||||
}
|
||||
}
|
||||
@@ -1,236 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
using bts.api;
|
||||
using bts.reactive;
|
||||
using bts.utils;
|
||||
|
||||
using mbts;
|
||||
using mbts.analytics;
|
||||
using mbts.collections;
|
||||
using mbts.ui;
|
||||
using mbts.ui.controls;
|
||||
using mbts.ui.shell;
|
||||
using mbts.ui.utility;
|
||||
using mbts.utils;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Collections.Immutable;
|
||||
using System.Collections.ObjectModel;
|
||||
using System.Collections.Specialized;
|
||||
using System.Linq;
|
||||
using System.Reactive;
|
||||
using System.Reactive.Linq;
|
||||
using System.Windows.Controls;
|
||||
using System.Windows.Input;
|
||||
|
||||
class AnalyticsExpirationParametersVM : DisposableViewModelBase, IHandleRowSelection {
|
||||
readonly IBus _bus;
|
||||
readonly ObservableCollection<AnalyticsExpirationParameters> _parameters = new();
|
||||
readonly DeferrableActionWrapper _sync_visible_rows;
|
||||
readonly Property<AnalyticsExpirationParametersRowVM> _copy_row_source;
|
||||
readonly DelegateProperty<bool> _is_dirty;
|
||||
readonly HashSet<AnalyticsExpirationParametersRowVM> _selected_rows = new();
|
||||
|
||||
AnalyticsExpirationParametersMap _parameter_map;
|
||||
bool _auto_copy_rolls_is_checked;
|
||||
bool _auto_copy_rates_is_checked;
|
||||
(ICommand cmd, IDisposable can_exe_sub)? _smart_copy_roll_target_to_selection_cmd;
|
||||
(ICommand cmd, IDisposable can_exe_sub)? _smart_copy_riskless_rate_to_selection_cmd;
|
||||
|
||||
public AnalyticsExpirationParametersVM(IBus bus, AnalyticsExpirationParametersSettings startup_data) {
|
||||
_bus = bus ?? throw new ArgumentNullException(nameof(bus));
|
||||
var selected_symbol_ref_count = new RefCountMap<string>();
|
||||
_sync_visible_rows = new(() =>
|
||||
visible_rows.sync_with(rows.Where(x => selected_symbol_ref_count.ContainsKey(x.security.symbol))));
|
||||
non_options_with_empty = new ObservableAggregateCollection<SecurityExpiration>(
|
||||
new() { SecurityExpiration.empty }, non_options);
|
||||
_copy_row_source = backing<AnalyticsExpirationParametersRowVM>(nameof(copy_row_source));
|
||||
_is_dirty = backing(nameof(is_dirty), () => rows.Any(r => r.is_dirty));
|
||||
|
||||
if (startup_data is not null) {
|
||||
if (!startup_data.selected_symbols.is_null_or_empty()) {
|
||||
selected_symbols.AddRange(startup_data.selected_symbols);
|
||||
}
|
||||
auto_copy_rolls_is_checked = startup_data.auto_copy_rolls_is_checked;
|
||||
auto_copy_rates_is_checked = startup_data.auto_copy_rates_is_checked;
|
||||
}
|
||||
|
||||
commit_cmd = ObservantCommand.create(_commit, out var can_commit_observer);
|
||||
revert_cmd = ObservantCommand.create(_revert, out var can_revert_observer);
|
||||
|
||||
_dispose = Disposable.Create(
|
||||
ObservableAutoWrapper.connect(_parameters, rows, p => new(this, p), r => r.Dispose()),
|
||||
rows.Subscribe((s, e) => _sync_visible_rows.execute()),
|
||||
_bus.subscribe(SparkTags.ExpirationParametersInputTag).OnDispatcher().Subscribe(
|
||||
CompositeObserver.create(
|
||||
Observer.Create<AnalyticsExpirationParametersMap>(_on_parameter_map),
|
||||
can_commit_observer.wrap<bool, AnalyticsExpirationParametersMap>(m => m is not null))),
|
||||
ObservableAutoWrapper.connect_item_hooks(selected_symbols, sym => {
|
||||
if (selected_symbol_ref_count.increment_adds_key(sym)) {
|
||||
_sync_visible_rows.execute();
|
||||
}
|
||||
return Disposable.Create(() => {
|
||||
if (selected_symbol_ref_count.decrement_removes_key(sym)) {
|
||||
_sync_visible_rows.execute();
|
||||
}
|
||||
});
|
||||
}),
|
||||
ObservableAutoWrapper.connect_item_hooks(rows, r => r.observe_is_dirty().Subscribe(_ => _is_dirty.refresh())),
|
||||
_is_dirty.observe_current(true).OnDispatcher().Subscribe(can_revert_observer),
|
||||
Disposable.wrap_collection(rows),
|
||||
Disposable.Create(() => {
|
||||
_smart_copy_roll_target_to_selection_cmd?.can_exe_sub?.Dispose();
|
||||
_smart_copy_riskless_rate_to_selection_cmd?.can_exe_sub?.Dispose();
|
||||
}));
|
||||
}
|
||||
|
||||
public ObservableCollection<SecurityExpiration> non_options { get; } = new();
|
||||
public ObservableCollection<SecurityExpiration> non_options_with_empty { get; } = new();
|
||||
|
||||
public ObservableCollection<AnalyticsExpirationParametersRowVM> rows { get; } = new();
|
||||
public ObservableCollection<AnalyticsExpirationParametersRowVM> visible_rows { get; } = new();
|
||||
public AnalyticsExpirationParametersRowVM copy_row_source {
|
||||
get => _copy_row_source.Value;
|
||||
set => _copy_row_source.set(value);
|
||||
}
|
||||
|
||||
public ObservableCollection<string> symbols { get; } = new();
|
||||
public ObservableCollection<string> selected_symbols { get; } = new();
|
||||
|
||||
public bool is_dirty => _is_dirty.Value;
|
||||
|
||||
public bool auto_copy_rolls_is_checked {
|
||||
get => _auto_copy_rolls_is_checked;
|
||||
set => Set(ref _auto_copy_rolls_is_checked, value);
|
||||
}
|
||||
|
||||
public bool auto_copy_rates_is_checked {
|
||||
get => _auto_copy_rates_is_checked;
|
||||
set => Set(ref _auto_copy_rates_is_checked, value);
|
||||
}
|
||||
|
||||
public ICommand commit_cmd { get; }
|
||||
public ICommand revert_cmd { get; }
|
||||
|
||||
public ICommand copy_driver_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.driver = f.driver);
|
||||
public ICommand copy_deliverable_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.deliverable = f.deliverable);
|
||||
public ICommand copy_roll_schedule_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.roll_schedule = f.roll_schedule);
|
||||
public ICommand copy_roll_target_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.roll_target = f.roll_target);
|
||||
public ICommand copy_riskless_rate_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.riskless_rate = f.riskless_rate);
|
||||
public ICommand copy_settlement_price_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.settlement_price = f.settlement_price);
|
||||
public ICommand copy_delta_beta_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.delta_beta = f.delta_beta);
|
||||
public ICommand copy_vega_beta_to_selection_cmd => _copy_to_selection_cmd((f, t) => t.vega_beta = f.vega_beta);
|
||||
|
||||
public ICommand smart_copy_roll_target_to_selection_cmd =>
|
||||
(_smart_copy_roll_target_to_selection_cmd ??= _smart_copy_to_selection_cmd(
|
||||
(f, t) => t.roll_target = f.roll_target)).cmd;
|
||||
|
||||
public ICommand smart_copy_riskless_rate_to_selection_cmd =>
|
||||
(_smart_copy_riskless_rate_to_selection_cmd ??= _smart_copy_to_selection_cmd(
|
||||
(f, t) => t.riskless_rate = f.riskless_rate)).cmd;
|
||||
|
||||
public void commit(IEnumerable<AnalyticsExpirationParameters> data) =>
|
||||
_bus.post(SparkTags.ExpirationParametersCommitTag, data);
|
||||
|
||||
public IEnumerable<SecurityExpiration> get_smart_copy_roll_exps(
|
||||
AnalyticsExpirationParameters source) =>
|
||||
get_smart_copy_roll_exps(source.roll_schedule_expiration);
|
||||
|
||||
public IEnumerable<SecurityExpiration> get_smart_copy_roll_exps(
|
||||
SecurityExpiration roll_schedule_expiration) {
|
||||
foreach (var (exp, exp_params) in _parameter_map?.exp_map.empty_if_null()) {
|
||||
if (exp_params.roll_schedule_expiration.Equals(roll_schedule_expiration)) {
|
||||
yield return exp;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public AnalyticsExpirationParametersSettings get_state() =>
|
||||
new() {
|
||||
selected_symbols = selected_symbols.Cast<string>().ToArray(),
|
||||
auto_copy_rates_is_checked = auto_copy_rates_is_checked,
|
||||
auto_copy_rolls_is_checked = auto_copy_rolls_is_checked
|
||||
};
|
||||
|
||||
Action<AnalyticsExpirationParametersRowVM> _copy_to_selection(Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) =>
|
||||
from_row => {
|
||||
foreach (var to_row in _selected_rows) {
|
||||
copy_to_row(from_row, to_row);
|
||||
}
|
||||
};
|
||||
|
||||
ICommand _copy_to_selection_cmd(Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) =>
|
||||
Command.create(_copy_to_selection(copy_to_row));
|
||||
|
||||
Action<AnalyticsExpirationParametersRowVM> _smart_copy_to_selection(Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) =>
|
||||
from_row => {
|
||||
foreach (var to_row in _get_smart_copy_roll_target_rows(from_row)) {
|
||||
copy_to_row(from_row, to_row);
|
||||
}
|
||||
};
|
||||
|
||||
(ICommand cmd, IDisposable can_exe_sub) _smart_copy_to_selection_cmd(
|
||||
Action<AnalyticsExpirationParametersRowVM, AnalyticsExpirationParametersRowVM> copy_to_row) {
|
||||
var cmd = ObservantCommand.create(
|
||||
_smart_copy_to_selection(copy_to_row), observe_can_execute, out var can_exe_observer);
|
||||
var can_exe_sub = _copy_row_source.observe_current(true).OnDispatcher().Subscribe(can_exe_observer);
|
||||
return (cmd, can_exe_sub);
|
||||
|
||||
static IObservable<bool> observe_can_execute(AnalyticsExpirationParametersRowVM row) =>
|
||||
row is null ?
|
||||
Observable.Return(false) :
|
||||
row.observe_roll_schedule()
|
||||
.CombineLatest(row.observe_roll_schedule_dirty(), (rs, rs_dirty) => (rs, rs_dirty))
|
||||
.Select(tup => !tup.rs.is_empty() && !tup.rs_dirty)
|
||||
.OnDispatcher();
|
||||
}
|
||||
|
||||
IEnumerable<AnalyticsExpirationParametersRowVM> _get_smart_copy_roll_target_rows(AnalyticsExpirationParametersRowVM row) {
|
||||
var target_exps = get_smart_copy_roll_exps(
|
||||
row.original_params.roll_schedule_expiration)
|
||||
.ToHashSet();
|
||||
return rows.Where(r => target_exps.Contains(r.security));
|
||||
}
|
||||
|
||||
void _commit() {
|
||||
if (_parameter_map is null) {
|
||||
// Don't commit before [any] data has been received from the server
|
||||
return;
|
||||
}
|
||||
var new_params = rows.Select(r => r.candidate_value).ToImmutableList();
|
||||
_bus.post(SparkTags.ExpirationParametersCommitTag, new_params);
|
||||
}
|
||||
|
||||
void _revert() {
|
||||
foreach (var r in rows) {
|
||||
r.revert();
|
||||
}
|
||||
}
|
||||
|
||||
void _on_parameter_map(AnalyticsExpirationParametersMap parameter_map) {
|
||||
bool is_first_update = _parameter_map is null;
|
||||
_parameter_map = parameter_map ?? throw new ArgumentNullException(nameof(parameter_map));
|
||||
_parameters.sync_with(parameter_map.get_sorted_exps().Select(parameter_map.get_parameter));
|
||||
non_options.sync_with(parameter_map.get_sorted_exps().Where(exp => exp.security_type != SecurityType.Option));
|
||||
|
||||
// Set `is_last_row_of_month_group` for each row
|
||||
foreach (var exp_rows in rows.GroupBy(r => r.security.expiration.Month)) {
|
||||
var sorted_exp_rows = exp_rows.OrderBy(r => r.security.expiration).ToList();
|
||||
foreach (var row in sorted_exp_rows.Take(sorted_exp_rows.Count - 1)) {
|
||||
row.is_last_row_of_month_group = false;
|
||||
}
|
||||
sorted_exp_rows.Last().is_last_row_of_month_group = true;
|
||||
}
|
||||
|
||||
symbols.sync_with(_parameters.Select(p => p.security.symbol).Distinct().Ordered());
|
||||
using var _ = _sync_visible_rows.defer_execution();
|
||||
if (is_first_update) {
|
||||
// select all symbols on first update
|
||||
selected_symbols.sync_with(symbols);
|
||||
}
|
||||
}
|
||||
|
||||
public void row_selection_changed(SelectionChangedEventArgs e) =>
|
||||
RowSelectionHelper.apply_changes(_selected_rows, e);
|
||||
}
|
||||
}
|
||||
@@ -1,547 +0,0 @@
|
||||
<UserControl
|
||||
x:Class="mbts.ui.shell.AnalyticsExpirationParametersView"
|
||||
x:ClassModifier="internal"
|
||||
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
|
||||
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
|
||||
xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
|
||||
xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
|
||||
xmlns:c="clr-namespace:mbts.ui.controls"
|
||||
xmlns:u="clr-namespace:mbts.ui"
|
||||
xmlns:cv="clr-namespace:mbts.ui.converters"
|
||||
xmlns:shell="clr-namespace:mbts.ui.shell"
|
||||
Background="{StaticResource CommonBackground}">
|
||||
<UserControl.Resources>
|
||||
<cv:DoubleTextConverter x:Key="DoubleTextConverter" />
|
||||
<cv:DoubleTextConverter
|
||||
x:Key="RisklessRateConverter"
|
||||
Multiplier="100" />
|
||||
<shell:ExpTextConverter
|
||||
x:Key="ExpirationTextConverter"
|
||||
ShowSymbol="True"
|
||||
MapExp="True" />
|
||||
<DataTemplate x:Key="ExpirationTemplate">
|
||||
<TextBlock Text="{Binding Converter={StaticResource ExpirationTextConverter}}">
|
||||
<TextBlock.Style>
|
||||
<Style TargetType="TextBlock">
|
||||
<Style.Triggers>
|
||||
<Trigger
|
||||
Property="Text"
|
||||
Value="None">
|
||||
<Setter
|
||||
Property="FontStyle"
|
||||
Value="Italic" />
|
||||
<Setter
|
||||
Property="Foreground"
|
||||
Value="Gray" />
|
||||
</Trigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</TextBlock.Style>
|
||||
</TextBlock>
|
||||
</DataTemplate>
|
||||
|
||||
<ContextMenu x:Key="DriverContextMenu">
|
||||
<MenuItem
|
||||
Header="Copy Driver to Selection"
|
||||
Command="{Binding owner.copy_driver_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
<ContextMenu x:Key="DeliverableContextMenu">
|
||||
<MenuItem
|
||||
Header="Copy Deliverable to Selection"
|
||||
Command="{Binding owner.copy_deliverable_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
<ContextMenu x:Key="RollScheduleContextMenu">
|
||||
<MenuItem
|
||||
Header="Copy Roll Schedule to Selection"
|
||||
Command="{Binding owner.copy_roll_schedule_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
<ContextMenu x:Key="RollTargetContextMenu">
|
||||
<MenuItem
|
||||
Header="Copy Roll Target to Selection"
|
||||
Command="{Binding owner.copy_roll_target_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
<MenuItem
|
||||
Header="Smart Copy Roll Target"
|
||||
Command="{Binding owner.smart_copy_roll_target_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
<ContextMenu x:Key="RisklessRateContextMenu">
|
||||
<MenuItem
|
||||
Header="Copy Riskless Rate to Selection"
|
||||
Command="{Binding owner.copy_riskless_rate_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
<ContextMenu x:Key="SettlementPriceContextMenu">
|
||||
<MenuItem
|
||||
Header="{Binding security}"
|
||||
HeaderStringFormat="Copy '{0}' Settlement to Selection"
|
||||
Command="{Binding owner.copy_settlement_price_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
<ContextMenu x:Key="DeltaBetaContextMenu">
|
||||
<MenuItem
|
||||
Header="Copy Delta Beta to Selection"
|
||||
Command="{Binding owner.copy_delta_beta_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
<ContextMenu x:Key="VegaBetaContextMenu">
|
||||
<MenuItem
|
||||
Header="Copy Vega Beta to Selection"
|
||||
Command="{Binding owner.copy_vega_beta_to_selection_cmd}"
|
||||
CommandParameter="{Binding}"
|
||||
/>
|
||||
</ContextMenu>
|
||||
</UserControl.Resources>
|
||||
<Grid>
|
||||
<Grid.Resources>
|
||||
<cv:BooleanToVisibilityConverter x:Key="TrueVisibilityConverter" />
|
||||
<cv:BooleanToVisibilityConverter x:Key="FalseVisibilityConverter" VisibilityForFalse="Visible" VisibilityForTrue="Collapsed" />
|
||||
</Grid.Resources>
|
||||
<Grid.RowDefinitions>
|
||||
<RowDefinition Height="Auto" />
|
||||
<RowDefinition Height="*" />
|
||||
<RowDefinition Height="Auto" />
|
||||
</Grid.RowDefinitions>
|
||||
|
||||
<StackPanel
|
||||
Grid.Row="0"
|
||||
Orientation="Horizontal"
|
||||
Margin="0,5,0,5">
|
||||
|
||||
<c:ComboCheckBox
|
||||
ItemsSource="{Binding symbols}"
|
||||
SelectedItems="{Binding selected_symbols}"
|
||||
HorizontalAlignment="Left"
|
||||
Margin="5,2,2,2"
|
||||
TextBlock.Foreground="Black"
|
||||
HeaderContent="Symbols"
|
||||
ShowSelectAll="True"
|
||||
/>
|
||||
|
||||
<WrapPanel>
|
||||
<TextBlock Margin="5,5,0,0" Text="Auto copy rolls:" />
|
||||
<CheckBox Margin="5,5,10,0" IsChecked="{Binding auto_copy_rolls_is_checked}" />
|
||||
</WrapPanel>
|
||||
<WrapPanel>
|
||||
<TextBlock Margin='0,5,0,0' Text="Auto copy rates:" />
|
||||
<CheckBox Margin="5,5,0,0" IsChecked="{Binding auto_copy_rates_is_checked}" />
|
||||
</WrapPanel>
|
||||
</StackPanel>
|
||||
<c:DataGridEx
|
||||
x:Name="_grid"
|
||||
Grid.Row="1"
|
||||
ItemsSource="{Binding visible_rows}"
|
||||
AlternatingRowBackground="{u:BTSColor MarketData.driver_background}"
|
||||
VerticalGridLinesBrush="Gray"
|
||||
EnableRowVirtualization="True"
|
||||
EnableColumnVirtualization="True"
|
||||
CanUserAddRows="False"
|
||||
AutoGenerateColumns="False"
|
||||
CanUserReorderColumns="False"
|
||||
CanUserSortColumns="False"
|
||||
CanUserDeleteRows="False"
|
||||
RowHeaderWidth="0"
|
||||
GridLinesVisibility="Vertical"
|
||||
SelectionUnit="FullRow"
|
||||
SelectedUnits="{Binding selected_rows}"
|
||||
PreviewMouseRightButtonUp="_grid_PreviewMouseRightButtonUp">
|
||||
<DataGrid.Resources>
|
||||
<Style TargetType="{x:Type DataGridCell}" BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter Property="BorderThickness" Value="1" />
|
||||
<Style.Triggers>
|
||||
<Trigger
|
||||
Property="IsSelected"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="Background"
|
||||
Value="{u:BTSColor Grid.grid_selection_background}" />
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="{u:BTSColor Grid.grid_selection_background}" />
|
||||
</Trigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGrid.Resources>
|
||||
<DataGrid.RowStyle>
|
||||
<Style TargetType="DataGridRow">
|
||||
<Setter Property="IsSelected" Value="{Binding is_selected, Mode=TwoWay}"/>
|
||||
<Setter Property="Background" Value="Transparent"/>
|
||||
<Style.Triggers>
|
||||
<Trigger
|
||||
Property="IsSelected"
|
||||
Value="true">
|
||||
<Setter
|
||||
Property="Background"
|
||||
Value="{u:BTSColor Grid.grid_selection_background}" />
|
||||
</Trigger>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_last_row_of_month_group}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderThickness"
|
||||
Value="0,0,0,1" />
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Black" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGrid.RowStyle>
|
||||
<DataGrid.ColumnHeaderStyle>
|
||||
<Style TargetType="DataGridColumnHeader">
|
||||
<Setter
|
||||
Property="Background"
|
||||
Value="{u:BTSColor Name=header}" />
|
||||
<Setter
|
||||
Property="Foreground"
|
||||
Value="{u:BTSColor Name=header_text}" />
|
||||
<Setter
|
||||
Property="HorizontalContentAlignment"
|
||||
Value="Center" />
|
||||
<Setter
|
||||
Property="BorderThickness"
|
||||
Value="0,0,1,0" />
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Black" />
|
||||
<Setter
|
||||
Property="Padding"
|
||||
Value="3" />
|
||||
<Setter
|
||||
Property="MinWidth"
|
||||
Value="80" />
|
||||
</Style>
|
||||
</DataGrid.ColumnHeaderStyle>
|
||||
<DataGrid.Columns>
|
||||
<DataGridTextColumn
|
||||
Header="Security"
|
||||
Binding="{Binding security, Converter={StaticResource ExpirationTextConverter}}"
|
||||
IsReadOnly="True">
|
||||
<DataGridTextColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="Background"
|
||||
Value="{u:BTSColor Name=header}" />
|
||||
<Setter
|
||||
Property="Foreground"
|
||||
Value="{u:BTSColor Name=header_text}" />
|
||||
<Setter
|
||||
Property="BorderThickness"
|
||||
Value="0" />
|
||||
<Setter
|
||||
Property="VerticalContentAlignment"
|
||||
Value="Center" />
|
||||
<Setter
|
||||
Property="Padding"
|
||||
Value="3" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding security.security_type}"
|
||||
Value="OPTION">
|
||||
<Setter
|
||||
Property="Foreground"
|
||||
Value="{u:BTSColor Name=header_text}" />
|
||||
</DataTrigger>
|
||||
<DataTrigger
|
||||
Binding="{Binding security.security_type}"
|
||||
Value="FUTURE">
|
||||
<Setter
|
||||
Property="Foreground"
|
||||
Value="Gold" />
|
||||
</DataTrigger>
|
||||
<DataTrigger
|
||||
Binding="{Binding security.security_type}"
|
||||
Value="UNSET">
|
||||
<Setter
|
||||
Property="Foreground"
|
||||
Value="PaleGreen" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTextColumn.CellStyle>
|
||||
</DataGridTextColumn>
|
||||
<DataGridTemplateColumn
|
||||
Header="Driver"
|
||||
MinWidth="105">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource DriverContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_driver_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<ComboBox
|
||||
ItemsSource="{Binding DataContext.non_options, RelativeSource={RelativeSource AncestorType=c:DataGridEx}}"
|
||||
ItemTemplate="{StaticResource ExpirationTemplate}"
|
||||
SelectedItem="{Binding driver, UpdateSourceTrigger=PropertyChanged}"
|
||||
Margin="2" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
<DataGridTemplateColumn
|
||||
Header="Deliverable"
|
||||
MinWidth="105">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource DeliverableContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_deliverable_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<ComboBox
|
||||
ItemsSource="{Binding DataContext.non_options_with_empty, RelativeSource={RelativeSource AncestorType=c:DataGridEx}}"
|
||||
ItemTemplate="{StaticResource ExpirationTemplate}"
|
||||
SelectedItem="{Binding deliverable, UpdateSourceTrigger=PropertyChanged}"
|
||||
Margin="2" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
<DataGridTemplateColumn
|
||||
Header="Roll Schedule"
|
||||
MinWidth="105">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource RollScheduleContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_roll_schedule_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<ComboBox
|
||||
ItemsSource="{Binding DataContext.non_options_with_empty, RelativeSource={RelativeSource AncestorType=c:DataGridEx}}"
|
||||
ItemTemplate="{StaticResource ExpirationTemplate}"
|
||||
SelectedItem="{Binding roll_schedule, UpdateSourceTrigger=PropertyChanged}"
|
||||
Margin="2" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
<DataGridTemplateColumn Header="Roll Target $">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource RollTargetContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_roll_target_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<TextBlock
|
||||
Text="{Binding roll_target, Converter={StaticResource DoubleTextConverter}}"
|
||||
VerticalAlignment="Center"
|
||||
Margin="2,0,2,0"
|
||||
ContextMenu="{StaticResource RollTargetContextMenu}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
<DataGridTemplateColumn.CellEditingTemplate>
|
||||
<DataTemplate>
|
||||
<TextBox
|
||||
Text="{Binding roll_target, Converter={StaticResource DoubleTextConverter}}"
|
||||
Margin="2" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellEditingTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
<DataGridTemplateColumn Header="Riskless Rate %">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource RisklessRateContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_riskless_rate_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<TextBlock
|
||||
Text="{Binding riskless_rate, Converter={StaticResource RisklessRateConverter}}"
|
||||
VerticalAlignment="Center"
|
||||
Margin="2,0,2,0"
|
||||
ContextMenu="{StaticResource RisklessRateContextMenu}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
<DataGridTemplateColumn.CellEditingTemplate>
|
||||
<DataTemplate>
|
||||
<TextBox Text="{Binding riskless_rate, Converter={StaticResource RisklessRateConverter}}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellEditingTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
<DataGridTemplateColumn Header="Settlement Price $">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource SettlementPriceContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_settlement_price_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<TextBlock
|
||||
Text="{Binding settlement_price, Converter={StaticResource DoubleTextConverter}}"
|
||||
VerticalAlignment="Center"
|
||||
Margin="2,0,2,0"
|
||||
ContextMenu="{StaticResource SettlementPriceContextMenu}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
<DataGridTemplateColumn.CellEditingTemplate>
|
||||
<DataTemplate>
|
||||
<TextBox Text="{Binding settlement_price, Converter={StaticResource DoubleTextConverter}}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellEditingTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
|
||||
<DataGridTemplateColumn Header="Delta Beta">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource DeltaBetaContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_delta_beta_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<TextBlock
|
||||
Text="{Binding delta_beta, Converter={StaticResource DoubleTextConverter}}"
|
||||
VerticalAlignment="Center"
|
||||
Margin="2,0,2,0"
|
||||
ContextMenu="{StaticResource DeltaBetaContextMenu}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
<DataGridTemplateColumn.CellEditingTemplate>
|
||||
<DataTemplate>
|
||||
<TextBox Text="{Binding delta_beta, Converter={StaticResource DoubleTextConverter}}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellEditingTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
|
||||
<DataGridTemplateColumn Header="Vega Beta">
|
||||
<DataGridTemplateColumn.CellStyle>
|
||||
<Style
|
||||
TargetType="DataGridCell"
|
||||
BasedOn="{StaticResource {x:Type DataGridCell}}">
|
||||
<Setter
|
||||
Property="ContextMenu"
|
||||
Value="{StaticResource VegaBetaContextMenu}" />
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding is_vega_beta_dirty}"
|
||||
Value="True">
|
||||
<Setter
|
||||
Property="BorderBrush"
|
||||
Value="Red" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</DataGridTemplateColumn.CellStyle>
|
||||
<DataGridTemplateColumn.CellTemplate>
|
||||
<DataTemplate>
|
||||
<TextBlock
|
||||
Text="{Binding vega_beta, Converter={StaticResource DoubleTextConverter}}"
|
||||
VerticalAlignment="Center"
|
||||
Margin="2,0,2,0"
|
||||
ContextMenu="{StaticResource VegaBetaContextMenu}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellTemplate>
|
||||
<DataGridTemplateColumn.CellEditingTemplate>
|
||||
<DataTemplate>
|
||||
<TextBox Text="{Binding vega_beta, Converter={StaticResource DoubleTextConverter}}" />
|
||||
</DataTemplate>
|
||||
</DataGridTemplateColumn.CellEditingTemplate>
|
||||
</DataGridTemplateColumn>
|
||||
|
||||
</DataGrid.Columns>
|
||||
</c:DataGridEx>
|
||||
</Grid>
|
||||
</UserControl>
|
||||
@@ -1,76 +0,0 @@
|
||||
namespace mbts.ui.shell {
|
||||
using bts.api;
|
||||
|
||||
using mbts.spark;
|
||||
using mbts.ui.controls;
|
||||
using mbts.ui.extensions;
|
||||
|
||||
using System;
|
||||
using System.Windows;
|
||||
using System.Windows.Controls;
|
||||
using System.Windows.Controls.Primitives;
|
||||
using System.Windows.Data;
|
||||
using System.Windows.Input;
|
||||
|
||||
/// <summary>
|
||||
/// Interaction logic for AnalyticsExpirationParametersView.xaml
|
||||
/// </summary>
|
||||
partial class AnalyticsExpirationParametersView : UserControl {
|
||||
IDisposable _context_menu_op;
|
||||
IDisposable _data_context_hooks;
|
||||
|
||||
public AnalyticsExpirationParametersView() {
|
||||
InitializeComponent();
|
||||
DataContextChanged += on_data_context_changed;
|
||||
void on_data_context_changed(object sender, DependencyPropertyChangedEventArgs e) {
|
||||
Disposable.dispose(ref _data_context_hooks);
|
||||
if (e.NewValue is IHandleRowSelection hrs) {
|
||||
hrs.row_selection_changed(new(Selector.SelectionChangedEvent, Array.Empty<object>(), _grid.SelectedItems));
|
||||
_data_context_hooks = _grid.SubscribeSelectionChanged((s, e) => hrs.row_selection_changed(e));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
void _grid_PreviewMouseRightButtonUp(object sender, MouseButtonEventArgs e) {
|
||||
Disposable.dispose(ref _context_menu_op);
|
||||
if (e.OriginalSource is not FrameworkElement el || DataContext is not AnalyticsExpirationParametersVM vm) {
|
||||
return;
|
||||
}
|
||||
var cell = el.find_ancestor_of_type<DataGridCell>();
|
||||
if (cell?.ContextMenu is not ContextMenu cm || cell.DataContext is not AnalyticsExpirationParametersRowVM row) {
|
||||
return;
|
||||
}
|
||||
vm.copy_row_source = row;
|
||||
cm.DataContext = row;
|
||||
cm.IsOpen = true;
|
||||
_context_menu_op = cm.SubscribeClosed((s, e) => vm.copy_row_source = null);
|
||||
e.Handled = true;
|
||||
}
|
||||
}
|
||||
|
||||
class ExpTextConverter : IValueConverter {
|
||||
public ExpTextConverter() {
|
||||
NullOrEmptyText = "None";
|
||||
}
|
||||
|
||||
public bool ShowType { get; set; }
|
||||
public bool ShowSymbol { get; set; }
|
||||
public bool MapExp { get; set; }
|
||||
public string NullOrEmptyText { get; set; }
|
||||
|
||||
public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
|
||||
var exp = value as SecurityExpiration;
|
||||
if (exp == null || exp.is_empty()) {
|
||||
return NullOrEmptyText;
|
||||
}
|
||||
return ShowSymbol ?
|
||||
SecurityFormatter.format_future(exp.symbol, exp.expiration) :
|
||||
DateFormatter.Format(exp.expiration, DateFormat.MonthCodeLastDigitYear);
|
||||
}
|
||||
|
||||
public object ConvertBack(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture) {
|
||||
throw new NotImplementedException();
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
@@ -1,48 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
using bts.api;
|
||||
using bts.spark;
|
||||
|
||||
using mbts.ui;
|
||||
using mbts.ui.shell;
|
||||
|
||||
using System.Collections.Generic;
|
||||
using System.Windows;
|
||||
using System.Windows.Input;
|
||||
|
||||
class AnalyticsExpirationParametersWindow : SparkWindow<AnalyticsExpirationParametersSettings>, ISharedWindow {
|
||||
public const string WINDOW_TYPE = "AnalyticsExpirationParameters";
|
||||
|
||||
readonly AnalyticsExpirationParametersSettings _init_settings;
|
||||
List<SparkCommand> _commands;
|
||||
|
||||
AnalyticsExpirationParametersVM _vm;
|
||||
AnalyticsExpirationParametersView _view;
|
||||
|
||||
public AnalyticsExpirationParametersWindow(
|
||||
IBus bus, AnalyticsExpirationParametersWindowFactory factory, AnalyticsExpirationParametersSettings settings)
|
||||
: base("Analytics Exp Params", bus, factory) {
|
||||
_init_settings = settings;
|
||||
_dispose = Disposable.Create(() => _vm?.Dispose());
|
||||
}
|
||||
|
||||
public override string window_type => WINDOW_TYPE;
|
||||
public string thread_id => WINDOW_TYPE;
|
||||
|
||||
public override AnalyticsExpirationParametersSettings SaveState =>
|
||||
_vm?.get_state();
|
||||
|
||||
public override UIElement Content =>
|
||||
_view;
|
||||
|
||||
public override IEnumerable<SparkCommand> Commands => _commands.empty_if_null();
|
||||
|
||||
public void thread_init() {
|
||||
_vm = new AnalyticsExpirationParametersVM(_bus, _init_settings);
|
||||
_view = new AnalyticsExpirationParametersView { DataContext = _vm };
|
||||
_commands = new() {
|
||||
new SparkCommandCommand("Commit", Icons.Disk, _vm.commit_cmd, new KeyGesture(Key.S, ModifierKeys.Control)),
|
||||
new SparkCommandCommand("Revert", Icons.UndoCircular, _vm.revert_cmd, new KeyGesture(Key.Z, ModifierKeys.Control)),
|
||||
};
|
||||
}
|
||||
}
|
||||
}
|
||||
-30
@@ -1,30 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
using bts.api;
|
||||
using bts.shell;
|
||||
using bts.spark;
|
||||
|
||||
using mbts.ui;
|
||||
|
||||
using System;
|
||||
using System.Reactive.Linq;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
class AnalyticsExpirationParametersWindowFactory : ShellWindowFactory<AnalyticsExpirationParametersSettings> {
|
||||
readonly IBus _bus;
|
||||
|
||||
public AnalyticsExpirationParametersWindowFactory(IShellModule module, IBus bus)
|
||||
: base(module, SparkCommands.show_vol_surface.title) {
|
||||
_bus = bus;
|
||||
_dispose = bus.subscribe(SparkTags.show_analytics_exp_params).OnDispatcher().Subscribe(_show);
|
||||
}
|
||||
|
||||
public override Task<IShellWindow> load(AnalyticsExpirationParametersSettings state) =>
|
||||
Task.FromResult(_create(state));
|
||||
|
||||
void _show(AnalyticsExpirationParametersSettings _) =>
|
||||
_bus.post(SparkTags.ShowWindow, _create(new()));
|
||||
|
||||
IShellWindow _create(AnalyticsExpirationParametersSettings startup_data) =>
|
||||
new AnalyticsExpirationParametersWindow(_bus, this, startup_data);
|
||||
}
|
||||
}
|
||||
@@ -1,40 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
using bts.api;
|
||||
|
||||
using mbts;
|
||||
using mbts.analytics;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
class AnalyticsParametersUIModel : IDisposable {
|
||||
AnalyticsExpirationParametersMap _curr_val = null;
|
||||
readonly IBus _bus;
|
||||
readonly IDisposable _sub;
|
||||
|
||||
public event Action<AnalyticsExpirationParametersMap> on_expiration_parameters;
|
||||
|
||||
public AnalyticsParametersUIModel(IBus bus) {
|
||||
_bus = bus;
|
||||
_sub = _bus.subscribe(SparkTags.ExpirationParametersInputTag)
|
||||
.Subscribe(d => on_expiration_parameters?.Invoke(d));
|
||||
}
|
||||
|
||||
public void commit(IEnumerable<AnalyticsExpirationParameters> data) =>
|
||||
_bus.post(SparkTags.ExpirationParametersCommitTag, data);
|
||||
|
||||
public IEnumerable<mbts.SecurityExpiration> get_smart_copy_roll_exps(AnalyticsExpirationParameters source) {
|
||||
if (_curr_val != null) {
|
||||
foreach (var kv in _curr_val.exp_map)
|
||||
if (kv.Value.roll_schedule_expiration.Equals(source.roll_schedule_expiration))
|
||||
yield return kv.Key;
|
||||
}
|
||||
}
|
||||
|
||||
public void Dispose() =>
|
||||
_sub.Dispose();
|
||||
}
|
||||
}
|
||||
@@ -1,101 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
using bts;
|
||||
using mbts.analytics;
|
||||
using bts.api.analytics;
|
||||
using System.Reactive.Linq;
|
||||
using bts.api;
|
||||
using System.Threading;
|
||||
|
||||
namespace mbts.spark {
|
||||
// 1. Reads exp params from the network and publishes
|
||||
// it to the BB
|
||||
// 2. Listens to ExpirationParametersCommitTag and
|
||||
// writes the calls into persistence to save the data
|
||||
public class AnalyticsParametersManager : IDisposable {
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private AnalyticsService _analytics_service;
|
||||
private List<IDisposable> _disposables = new List<IDisposable>();
|
||||
private IDictionary<mbts.SecurityExpiration, AnalyticsExpirationParameters>
|
||||
_data = new Dictionary<mbts.SecurityExpiration, AnalyticsExpirationParameters>();
|
||||
private readonly ITag<IEnumerable<AnalyticsExpirationParameters>>
|
||||
_in_bb_exp_params_commit_tag = SparkTags.ExpirationParametersCommitTag;
|
||||
private readonly ITag<SystemContractData> _in_contracts_tag = SparkTags.SystemContractsTag;
|
||||
private readonly ITag<AnalyticsExpirationParametersMap> _out_exp_params_tag =
|
||||
SparkTags.ExpirationParametersInputTag;
|
||||
private HighPerformanceTimer _timer = new HighPerformanceTimer();
|
||||
|
||||
public AnalyticsParametersManager(ThreadedBlackboard bb,
|
||||
AnalyticsService analytics_server) {
|
||||
_bb = bb;
|
||||
_analytics_service = analytics_server;
|
||||
var exp_params_sub = _analytics_service.subscribei_exp_parameters()
|
||||
.ObserveOn(SynchronizationContext.Current)
|
||||
.Subscribe(_on_exp_parameters);
|
||||
_disposables.Add(exp_params_sub);
|
||||
_bb.subscribe(_in_bb_exp_params_commit_tag);
|
||||
_bb.subscribe(_in_contracts_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_in_contracts_tag.Equals(tag)) {
|
||||
_assemble_and_publish();
|
||||
} else if (_in_bb_exp_params_commit_tag == tag) {
|
||||
// listens to the commit tag and saves it
|
||||
IEnumerable<AnalyticsExpirationParameters> exp_params =
|
||||
data as IEnumerable<AnalyticsExpirationParameters>;
|
||||
exp_params = exp_params.Where(e => e.security.expiration.Date >=
|
||||
DateTime.Now.Date.Subtract(TimeSpan.FromDays(1)));
|
||||
bts.Log.Gen.info(
|
||||
String.Format("AnalyticsParametersManager._on_bb_data received commit count:{0}",
|
||||
exp_params.Count()));
|
||||
ExpirationParameterEntryList to_save = new ExpirationParameterEntryList();
|
||||
to_save.ParamList.AddRange(exp_params.Select(i => i.to_exp_param_entry()));
|
||||
_timer.start();
|
||||
_analytics_service.set_exp_parameters(to_save);
|
||||
_timer.stop();
|
||||
bts.Log.Gen.info(
|
||||
String.Format("AnalyticsParametersManager saved exp_params count:{0} t:{1} msecs",
|
||||
exp_params.Count(), _timer.lastIntervalTime));
|
||||
}
|
||||
}
|
||||
|
||||
void _on_exp_parameters(bts.api.core.Update<ExpirationParameterEntryListImmutable, int> update) {
|
||||
_data = new Dictionary<mbts.SecurityExpiration, AnalyticsExpirationParameters>();
|
||||
bts.Log.Gen.info(String.Format("AnalyticsParametersManager._on_exp_parameters received count:{0}",
|
||||
update.all.Count()));
|
||||
bts.Log.assert(update.all.Count() == 0 || update.all.Count() == 1);
|
||||
foreach (ExpirationParameterEntryListImmutable l in update.all) {
|
||||
foreach (ExpirationParameterEntryImmutable e in l.ParamList) {
|
||||
AnalyticsExpirationParameters new_entry = new AnalyticsExpirationParameters(e);
|
||||
_data[new_entry.security] = new_entry;
|
||||
}
|
||||
break;
|
||||
}
|
||||
Log.Gen.info($"AnalyticsParametersManager._on_exp_parameters count: {_data.Count}");
|
||||
_assemble_and_publish();
|
||||
// _bb.post(_out_exp_params_tag, new AnalyticsExpirationParametersMap(_data));
|
||||
}
|
||||
|
||||
private void _assemble_and_publish() {
|
||||
if (_data != null) {
|
||||
SystemContractData sc_data = _bb.read_state(_in_contracts_tag);
|
||||
if (sc_data != null) {
|
||||
_bb.post(_out_exp_params_tag, new AnalyticsExpirationParametersMap(_data, sc_data));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
foreach (IDisposable d in _disposables) {
|
||||
d.Dispose();
|
||||
}
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,44 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
|
||||
namespace mbts.spark
|
||||
{
|
||||
/// UI (VolSurfaceDisplayModel) publishes this to the request calculator
|
||||
/// (This is published in response to user typing in, or any of the macro
|
||||
/// actions on the right)
|
||||
public class VolSurfaceCalculationRequest : ICloneable
|
||||
{
|
||||
public readonly VolSurfaceInput volsurface_input;
|
||||
public readonly int request_id;
|
||||
public readonly IDictionary<VolSurfaceExpiration, VolCurveAction> action_map;
|
||||
public readonly bool cascade_up, cascade_down;
|
||||
|
||||
public VolSurfaceCalculationRequest(VolSurfaceInput this_volsurface_input, int this_request_id)
|
||||
: this(this_volsurface_input, this_request_id, new Dictionary<VolSurfaceExpiration, VolCurveAction>())
|
||||
{ }
|
||||
|
||||
public VolSurfaceCalculationRequest(VolSurfaceInput this_volsurface_input, int this_request_id,
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> this_action_map,
|
||||
bool this_cascade_up = false, bool this_cascade_down = false)
|
||||
{
|
||||
request_id = this_request_id;
|
||||
volsurface_input = VolSurfaceUtilityFunctions.clone_proto(this_volsurface_input);
|
||||
action_map = this_action_map;
|
||||
cascade_up = this_cascade_up;
|
||||
cascade_down = this_cascade_down;
|
||||
}
|
||||
|
||||
public object Clone()
|
||||
{
|
||||
return new VolSurfaceCalculationRequest(VolSurfaceUtilityFunctions.clone_proto(volsurface_input),
|
||||
request_id,
|
||||
action_map != null ? new Dictionary<VolSurfaceExpiration, VolCurveAction>(action_map) : null,
|
||||
cascade_up, cascade_down);
|
||||
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,25 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
|
||||
namespace mbts.spark
|
||||
{
|
||||
public class VolSurfaceCalculationResponse : ICloneable
|
||||
{
|
||||
public readonly VolSurfaceOutput volsurface_calculation_output;
|
||||
public readonly int request_id;
|
||||
public VolSurfaceCalculationResponse(VolSurfaceOutput this_volsurface_calculation_output, int this_request_id)
|
||||
{
|
||||
request_id = this_request_id;
|
||||
volsurface_calculation_output = this_volsurface_calculation_output;
|
||||
}
|
||||
|
||||
public object Clone()
|
||||
{
|
||||
return new VolSurfaceCalculationResponse(volsurface_calculation_output != null ? volsurface_calculation_output.Clone() as VolSurfaceOutput : null, request_id);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,205 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using mbts.analytics;
|
||||
using bts.api;
|
||||
using bts.api.analytics;
|
||||
|
||||
public class DriverMD {
|
||||
public readonly DriverCalculationType calc_type = DriverCalculationType.Direct;
|
||||
public readonly Nullable<SecurityImmutable> driver_security = null;
|
||||
public readonly VolSurfaceMDUnit md = null;
|
||||
public readonly Nullable<double> calculated_driver = null;
|
||||
public static DriverMD empty = new DriverMD(
|
||||
DriverCalculationType.Direct, null, null, null);
|
||||
public DriverMD(DriverCalculationType calc_type,
|
||||
Nullable<SecurityImmutable> driver_security,
|
||||
VolSurfaceMDUnit md,
|
||||
Nullable<double> calculated_driver) {
|
||||
this.calc_type = calc_type;
|
||||
this.driver_security = driver_security;
|
||||
this.md = md;
|
||||
this.calculated_driver = calculated_driver;
|
||||
}
|
||||
public DriverMD(SecurityImmutable driver_security,
|
||||
VolSurfaceMDUnit md)
|
||||
:
|
||||
this(DriverCalculationType.Direct, driver_security, md, null) {
|
||||
|
||||
}
|
||||
public DriverMD(double driver)
|
||||
:
|
||||
this(DriverCalculationType.TimeWeightedInterp, null, null, driver) {
|
||||
}
|
||||
public double get_driver() {
|
||||
switch (calc_type) {
|
||||
case DriverCalculationType.Direct:
|
||||
return VolSurfaceCoreFunctions.get_driver(md);
|
||||
case DriverCalculationType.TimeWeightedInterp:
|
||||
return calculated_driver.HasValue ? calculated_driver.Value : Double.NaN;
|
||||
}
|
||||
return Double.NaN;
|
||||
}
|
||||
}
|
||||
|
||||
namespace mbts.spark {
|
||||
// Publishes the driver prices for expirations of a single option (this is not AW2 specific)
|
||||
// f(AnalyticsExpirationParametersMap, SystemContractData) -> OptionDriverPriceMap
|
||||
// This is constructed by the ResourceAllocator
|
||||
public class SingleOptionDriverPricePublisher {
|
||||
private readonly SecurityTuple _sec_tup;
|
||||
private ThreadedBlackboard _bb;
|
||||
// tags
|
||||
private ITag<AnalyticsExpirationParametersMap> _in_bb_exp_params_tag =
|
||||
SparkTags.ExpirationParametersInputTag;
|
||||
private ITag<SystemContractData> _in_bb_contracts_tag =
|
||||
SparkTags.SystemContractsTag;
|
||||
private OptionDriverPriceMap _last_published;
|
||||
private readonly PerfStatsLogger _logger;
|
||||
private readonly TimeSpan _fire_period = TimeSpan.FromMilliseconds(300);
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||||
private DateTime _last_fire_time = DateTime.MinValue;
|
||||
|
||||
public SingleOptionDriverPricePublisher(SecurityTuple sec_tup,
|
||||
ThreadedBlackboard bb) {
|
||||
bts.Log.Gen.info($"SingleOptionDriverPricePublisher initialized st:{sec_tup}");
|
||||
_sec_tup = sec_tup;
|
||||
_bb = bb;
|
||||
_logger = new PerfStatsLogger(50, 50,
|
||||
$"SingleOptionDriverPricePublisher_{sec_tup.security_name}_{GetHashCode()}");
|
||||
_last_published = new OptionDriverPriceMap(sec_tup.security_name,
|
||||
new Dictionary<SecurityExpiration, DriverMD>());
|
||||
_bb.subscribe(_in_bb_exp_params_tag);
|
||||
_bb.subscribe(_in_bb_contracts_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_bb.timer_callback += _on_bb_timer;
|
||||
_compute_and_fire();
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_in_bb_exp_params_tag == tag || _in_bb_contracts_tag == tag) {
|
||||
_on_bb_timer();
|
||||
}
|
||||
}
|
||||
|
||||
private void _on_bb_timer() {
|
||||
if (DateTime.Now - _last_fire_time >= _fire_period) {
|
||||
_last_fire_time = DateTime.Now;
|
||||
_compute_and_fire();
|
||||
}
|
||||
}
|
||||
|
||||
private void _compute_and_fire() {
|
||||
_logger.start_default_timer();
|
||||
AnalyticsExpirationParametersMap param_map = _bb.read_state(_in_bb_exp_params_tag);
|
||||
SystemContractData sc_data = _bb.read_state(_in_bb_contracts_tag);
|
||||
if (param_map == null || sc_data == null) {
|
||||
return;
|
||||
}
|
||||
IDictionary<mbts.SecurityExpiration, mbts.SecurityExpiration> driver_map =
|
||||
param_map.get_option_to_driver_map(_sec_tup.security_name);
|
||||
// look up the market data
|
||||
IDictionary<SecurityExpiration, DriverMD> res =
|
||||
new Dictionary<SecurityExpiration, DriverMD>();
|
||||
foreach (var kv in driver_map) {
|
||||
SecurityExpiration option_exp = kv.Key;
|
||||
SecurityExpiration driver = kv.Value;
|
||||
if (_direct_valid_driver(driver)) {
|
||||
Tuple<SecurityImmutable, VolSurfaceMDUnit> md_tup = sc_data.get_exp_md(driver);
|
||||
// to deal with expired expirations
|
||||
if (md_tup != null) {
|
||||
res.Add(option_exp, new DriverMD(md_tup.Item1, md_tup.Item2));
|
||||
}
|
||||
} else {
|
||||
// SecurityTuple driver_sectup = _get_option_driver(driver_map, option_exp);
|
||||
// bts.Log.Gen.info("SingleOptionDriverPricePublisher._compute_and_fire " +
|
||||
// $"option_exp: {option_exp} driver: {driver_sectup}");
|
||||
//
|
||||
double interp_pr = interp_driver(sc_data, driver_map, option_exp);
|
||||
res.Add(option_exp, new DriverMD(interp_pr));
|
||||
}
|
||||
// for exps with interp_drivers (right represented by invalid driver) find the
|
||||
// neighboring option's future. then find the nearest 2 future exps (nearest
|
||||
// to this option's exp) and do a tim weighted interp
|
||||
// if not neighboring driver then calculate it from the spot
|
||||
}
|
||||
if (_is_different(res)) {
|
||||
_last_published = new OptionDriverPriceMap(_sec_tup.security_name, res);
|
||||
var to_fire = new OptionDriverPriceMap(_sec_tup.security_name, res);
|
||||
bts.Log.Gen.info("SingleOptionDriverPricePublisher._compute_and_fire \n" +
|
||||
$"map:{to_fire.log_string()}");
|
||||
_logger.stop_default_timer();
|
||||
_bb.post(SparkTags.OptionDriverBBOTag(_sec_tup.security_name),
|
||||
new OptionDriverPriceMap(_sec_tup.security_name, res));
|
||||
}
|
||||
}
|
||||
|
||||
// compares the new values to the previous
|
||||
private bool _is_different(IDictionary<SecurityExpiration, DriverMD> new_dic) {
|
||||
Func<DriverMD, DriverMD, bool> is_dmd_diff = (d1, d2) => {
|
||||
bool eq = VolSurfaceUtilityFunctions.compare_doubles(d1.get_driver(), d2.get_driver());
|
||||
return !eq;
|
||||
};
|
||||
new_dic.Difference(_last_published.exp_price_map, out var ex_left, out var ex_right, out var overlap);
|
||||
return ex_left.Count() != 0 || ex_right.Count() != 0 ||
|
||||
overlap.Where(v => is_dmd_diff(v.Value.left, v.Value.right)).Count() > 0;
|
||||
}
|
||||
|
||||
#region driver interp
|
||||
private static bool _direct_valid_driver(SecurityExpiration driver_exp) {
|
||||
return driver_exp != null && /*driver_exp.expiration >= DateTime.Now.Date &&*/
|
||||
(driver_exp.security_tuple.security_type == SecurityType.Future ||
|
||||
driver_exp.security_tuple.security_type == SecurityType.Stock);
|
||||
}
|
||||
// returns the driver sectup (it assumes all expirations of this option sectup
|
||||
// are being driven by the same sectup)
|
||||
public static SecurityTuple get_driver_sectup(
|
||||
IDictionary<mbts.SecurityExpiration, mbts.SecurityExpiration> driver_map,
|
||||
SecurityExpiration exp) {
|
||||
foreach (var kv in driver_map) {
|
||||
SecurityExpiration driver = kv.Value;
|
||||
if (_direct_valid_driver(driver) &&
|
||||
exp.security_tuple.Equals(kv.Key.security_tuple)) {
|
||||
return driver.security_tuple;
|
||||
}
|
||||
}
|
||||
return null;
|
||||
}
|
||||
|
||||
public static Tuple<SecurityExpiration, SecurityExpiration>
|
||||
find_neighbors(SystemContractData sc_data,
|
||||
SecurityTuple sec_tup, DateTime exp) {
|
||||
var exps = sc_data.exp_map.Where(
|
||||
kv => sec_tup.Equals(kv.Key.security_tuple)).Select(kv => kv.Key);
|
||||
if (exps == null) {
|
||||
return null;
|
||||
}
|
||||
SecurityExpiration low, high;
|
||||
VolSurfaceUtilityFunctions.find_neighbors(exps, exp,
|
||||
(t, p) => t.expiration.Subtract(p).TotalMilliseconds, out low, out high);
|
||||
return Tuple.Create(low, high);
|
||||
}
|
||||
|
||||
public static double interp_driver(SystemContractData sc_data,
|
||||
IDictionary<SecurityExpiration, SecurityExpiration> driver_map,
|
||||
SecurityExpiration option_exp) {
|
||||
SecurityTuple driver_sectup = get_driver_sectup(driver_map, option_exp);
|
||||
if (driver_sectup == null)
|
||||
return Double.NaN;
|
||||
var ngh_drivers = find_neighbors(sc_data, driver_sectup, option_exp.expiration);
|
||||
if (ngh_drivers == null || ngh_drivers.Item1 == null || ngh_drivers.Item2 == null)
|
||||
return Double.NaN;
|
||||
var low = sc_data.get_exp_md(ngh_drivers.Item1);
|
||||
var high = sc_data.get_exp_md(ngh_drivers.Item2);
|
||||
if (low == null || low.Item2 == null)
|
||||
return Double.NaN;
|
||||
if (high == null || high.Item2 == null)
|
||||
return Double.NaN;
|
||||
// finally we have the value we need, interp it now
|
||||
return VolSurfaceCoreFunctions.linear_interpolate_time(
|
||||
ngh_drivers.Item1.expiration, VolSurfaceCoreFunctions.get_driver(low.Item2),
|
||||
ngh_drivers.Item2.expiration, VolSurfaceCoreFunctions.get_driver(high.Item2),
|
||||
option_exp.expiration);
|
||||
}
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||||
#endregion
|
||||
}
|
||||
}
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||||
@@ -1,47 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
using mbts.analytics;
|
||||
|
||||
namespace mbts.spark {
|
||||
// UNUSED
|
||||
// This class is held by the SingleVolSurfaceClientPrecomputedTheosPublisher
|
||||
// and acts as a buffer for publishing values. If wait_for_theo_confirmation
|
||||
// setting is true, it publshes an alert tag, otherwise publishes the theos
|
||||
// directly
|
||||
public class SingleVolSurfaceClientTheosPublishHelper {
|
||||
private readonly int _vs_id;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private int _n_updates = 0;
|
||||
|
||||
public SingleVolSurfaceClientTheosPublishHelper(int vs_id, ThreadedBlackboard bb) {
|
||||
bts.Log.assert(false);
|
||||
_vs_id = vs_id;
|
||||
_bb = bb;
|
||||
}
|
||||
|
||||
public void publish(IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> exp_theo_map) {
|
||||
if (_n_updates == 0)
|
||||
/// If its the first theos send it rightaway
|
||||
_bb.post(SparkTags.VolSurfaceInterpGreeksTag(_vs_id), exp_theo_map);
|
||||
else {
|
||||
if (_is_theo_acceptance_confirmation_on)
|
||||
_bb.post(SparkTags.VolSurfaceTheoAlertTag,
|
||||
new VolSurfaceTheoAlertData(Guid.NewGuid().ToString(), _vs_id, exp_theo_map));
|
||||
else
|
||||
_bb.post(SparkTags.VolSurfaceInterpGreeksTag(_vs_id), exp_theo_map);
|
||||
}
|
||||
_n_updates++;
|
||||
}
|
||||
|
||||
private bool _is_theo_acceptance_confirmation_on {
|
||||
get {
|
||||
// in edge this was in a TC2 setting
|
||||
return false;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,78 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
using bts.api;
|
||||
|
||||
namespace mbts.spark {
|
||||
// Publishes the vol outputs for a single vol surface.
|
||||
// Despite of the name Retriever, this class computes the vols
|
||||
// - f (vs_input, aux_data, securities) -> vs_output
|
||||
// and publishes it
|
||||
// Subs :
|
||||
// 1. Committed VS Input
|
||||
// 3. VS Nonvol Data
|
||||
// Pubs :
|
||||
// 1. VS Out
|
||||
public class SingleVolSurfaceCommittedOutputRetriever : IDisposable {
|
||||
private readonly int _vs_id;
|
||||
private readonly ITag<VolSurfaceInput> _in_bb_vs_input_tag;
|
||||
private readonly ITag<VolSurfaceNonVolData> _in_bb_nonvol_data_tag;
|
||||
private readonly ITag<VolSurfaceStandardTime> _in_vs_standard_time_tag;
|
||||
private readonly ITag<VolSurfaceOutput> _out_bb_computed_vol_tag;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
|
||||
private readonly PerfStatsLogger _logger = new PerfStatsLogger(50, 100);
|
||||
private readonly string _log_id;
|
||||
|
||||
public SingleVolSurfaceCommittedOutputRetriever(int vs_id,
|
||||
ThreadedBlackboard threaded_bb, IEnumerable<string> symbols) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceCommittedOutputRetriever cons vs_id:{vs_id} tid:{_tid()}");
|
||||
_vs_id = vs_id;
|
||||
_bb = threaded_bb;
|
||||
_in_bb_vs_input_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
|
||||
_in_bb_nonvol_data_tag = SparkTags.VolSurfaceNonVolDataTag(vs_id);
|
||||
_in_vs_standard_time_tag = SparkTags.VolSurfaceStandardTimeTag(vs_id);
|
||||
_out_bb_computed_vol_tag = SparkTags.VolSurfaceCommittedOutputTag(vs_id);
|
||||
_log_id = String.Format("SingleVolSurfaceCommittedOutputRetriever_{0}", vs_id);
|
||||
_bb.subscribe(_in_bb_vs_input_tag);
|
||||
_bb.subscribe(_in_bb_nonvol_data_tag);
|
||||
_bb.subscribe(_in_vs_standard_time_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_recompute_and_publish();
|
||||
}
|
||||
private static int _tid() { return VolSurfaceTroubleshootingFunctions.tid(); }
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_in_bb_vs_input_tag.Equals(tag) || _in_bb_nonvol_data_tag.Equals(tag) ||
|
||||
_in_vs_standard_time_tag.Equals(tag))
|
||||
_recompute_and_publish(tag);
|
||||
}
|
||||
|
||||
private void _recompute_and_publish(object tag = null) {
|
||||
VolSurfaceInput vs_input = _bb.read_state(_in_bb_vs_input_tag);
|
||||
VolSurfaceNonVolData vs_nonvol_data = _bb.read_state(_in_bb_nonvol_data_tag);
|
||||
VolSurfaceStandardTime vs_standard_time = _bb.read_state(_in_vs_standard_time_tag);
|
||||
if (vs_input != null && vs_nonvol_data != null && vs_standard_time != null) {
|
||||
_timer.start();
|
||||
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map =
|
||||
VolSurfaceUtilityFunctions.compute_aux_data(vs_input,
|
||||
vs_nonvol_data.input, vs_nonvol_data.driver_price_map, vs_standard_time);
|
||||
VolSurfaceOutput vs_output = GeneralVolSurfaceCalculator.compute(
|
||||
vs_input, vs_nonvol_data.contracts, aux_data_map);
|
||||
_timer.stop();
|
||||
var tag_str = tag == null ? "Null" : tag.ToString();
|
||||
bts.Log.Gen.info($"SingleVolSurfaceCommittedOutputRetriever._recompute_and_publish " +
|
||||
$"vs_id: {_vs_id} time:{_timer.lastIntervalTime} ms tag:{tag_str} " +
|
||||
$"tid:{_tid()}"); //output: {vs_output.log_string()}*/");
|
||||
_logger.log(_log_id, _log_id, _timer.lastIntervalTime);
|
||||
_bb.post(_out_bb_computed_vol_tag, vs_output);
|
||||
}
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() { _bb.data_callback -= _on_bb_data; }
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,98 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
using bts;
|
||||
using bts.utils;
|
||||
using bts.api;
|
||||
|
||||
|
||||
namespace mbts.spark {
|
||||
/// Listens to the input (either committed or candidate depending on the arg)
|
||||
/// and creates the actual source that is immutable wrt the symbol list.
|
||||
/// (Making the real sources immutable wrt to the symbol list simplifies
|
||||
/// things a lot. Symbol lists rarely every change, but its a pain to
|
||||
/// handle such changes)
|
||||
public class SingleVolSurfaceDataSource : IDisposable {
|
||||
public enum SymbolListType {
|
||||
Committed,
|
||||
Candidate,
|
||||
Combined,
|
||||
}
|
||||
private readonly SymbolListType _list_type;
|
||||
private readonly int _vs_id;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly Func<IEnumerable<string>, IDisposable> _create_func;
|
||||
private readonly ITag<VolSurfaceInput> _in_bb_committed_data_tag;
|
||||
private readonly ITag<VolSurfaceCalculationRequest> _in_bb_calc_req_tag;
|
||||
|
||||
private HashSet<string> _option_symbols = new HashSet<string>();
|
||||
private IDisposable _source = null;
|
||||
|
||||
public SingleVolSurfaceDataSource(SymbolListType list_type, int vs_id, ThreadedBlackboard threaded_bb,
|
||||
Func<IEnumerable<string>, IDisposable> create_func) {
|
||||
Log.Gen.info(String.Format("SingleVolSurfaceDataSource constructed vs_id {0}", vs_id));
|
||||
_list_type = list_type;
|
||||
_vs_id = vs_id;
|
||||
_bb = threaded_bb;
|
||||
_create_func = create_func;
|
||||
_in_bb_committed_data_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
|
||||
_in_bb_calc_req_tag = SparkTags.VolSurfaceCalculationRequestTag(vs_id);
|
||||
_bb.subscribe(_in_bb_committed_data_tag);
|
||||
_bb.subscribe(_in_bb_calc_req_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_recompute();
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_in_bb_committed_data_tag.Equals(tag) || _in_bb_calc_req_tag.Equals(tag))
|
||||
_recompute();
|
||||
}
|
||||
|
||||
private void _recompute() {
|
||||
VolSurfaceCalculationRequest vs_calc_req = _bb.read_state(_in_bb_calc_req_tag);
|
||||
VolSurfaceInput vs_comm_inp = _bb.read_state(_in_bb_committed_data_tag);
|
||||
if (_list_type == SymbolListType.Candidate) {
|
||||
if (vs_calc_req != null && vs_calc_req.volsurface_input != null) {
|
||||
HashSet<string> new_sym_map = new HashSet<string>(VolSurfaceDataFunctions.get_symbols(vs_calc_req.volsurface_input));
|
||||
_create_if_needed(new_sym_map);
|
||||
}
|
||||
} else if (_list_type == SymbolListType.Committed) {
|
||||
if (vs_comm_inp != null) {
|
||||
HashSet<string> new_sym_map = new HashSet<string>(VolSurfaceDataFunctions.get_symbols(vs_comm_inp));
|
||||
_create_if_needed(new_sym_map);
|
||||
}
|
||||
} else if (_list_type == SymbolListType.Combined) {
|
||||
List<string> new_sym_list = new List<string>();
|
||||
if (vs_calc_req != null && vs_calc_req.volsurface_input != null)
|
||||
new_sym_list.AddRange(VolSurfaceDataFunctions.get_symbols(vs_calc_req.volsurface_input));
|
||||
if (vs_comm_inp != null)
|
||||
new_sym_list.AddRange(VolSurfaceDataFunctions.get_symbols(vs_comm_inp));
|
||||
_create_if_needed(new HashSet<string>(new_sym_list));
|
||||
}
|
||||
}
|
||||
|
||||
private void _create_if_needed(HashSet<string> new_sym_map) {
|
||||
if (!CollectionHelper.hashset_equals(_option_symbols, new_sym_map)) {
|
||||
_option_symbols = new HashSet<string>(new_sym_map);
|
||||
if (_source != null)
|
||||
_source.Dispose();
|
||||
_source = _create_func(_option_symbols);
|
||||
_bb.post(SparkTags.AquireTag(Guid.NewGuid().ToString()),
|
||||
new SymbolResourceAllocationUnit(
|
||||
_option_symbols.Select(i => new mbts.SecurityTuple(SecurityType.Option, i, Venue.Unset)), this, true));
|
||||
}
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
if (_source != null)
|
||||
_source.Dispose();
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
}
|
||||
#endregion
|
||||
|
||||
}
|
||||
}
|
||||
@@ -1,145 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
using bts;
|
||||
using bts.api.analytics;
|
||||
using System.Reactive.Linq;
|
||||
using System.Threading;
|
||||
using bts.api;
|
||||
using System.Collections;
|
||||
|
||||
namespace mbts.spark {
|
||||
// For a single VolSurface this class
|
||||
// 1. Listents to commmits and calls the service to persist data
|
||||
// 2. Gathers the vol surface input from the nw and publishes it
|
||||
// 3. Gathers the vol surface list and publishes it
|
||||
public class SingleVolSurfaceGateway : IDisposable {
|
||||
private readonly int _volsurface_id;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
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>();
|
||||
|
||||
public SingleVolSurfaceGateway(int volsurface_id, ThreadedBlackboard threaded_bb,
|
||||
AnalyticsService analytics_service) {
|
||||
bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway created for vs_id:{0}",
|
||||
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.data_callback += _on_bb_data;
|
||||
var vs_sub = _analytics_service.subscribei_volsurfaces()
|
||||
.ObserveOn(SynchronizationContext.Current)
|
||||
.Subscribe(_on_vss);
|
||||
_disposables.Add(vs_sub);
|
||||
}
|
||||
|
||||
private void _log_basic_vs_info(VolSurfaceInput vs_inp) {
|
||||
bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway vs_id:{0} vs:{1}",
|
||||
vs_inp.surface_settings.core_settings.vol_surface_id, vs_inp.log_string()));
|
||||
}
|
||||
|
||||
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(String.Format("SingleVolSurfaceGateway._on_vss count:{0} vs_count:{1}",
|
||||
all_vss.Count(), this_vs_vss.Count()));
|
||||
if (this_vs_vss.Count() == 0) {
|
||||
return;
|
||||
}
|
||||
VolSurfaceEntryImmutable vs = this_vs_vss.MaxElement(vs => vs.SaveTime);
|
||||
VolSurfaceInput vs_input = _to_vs_input(vs);
|
||||
_log_basic_vs_info(vs_input);
|
||||
_bb.post(
|
||||
SparkTags.VolSurfaceCommittedInputTag(_volsurface_id), vs_input);
|
||||
_update_publish_snapshots(this_vs_vss);
|
||||
}
|
||||
|
||||
private void _update_publish_snapshots(IEnumerable<VolSurfaceEntryImmutable> vss) {
|
||||
foreach (VolSurfaceEntryImmutable vse in vss) {
|
||||
if (!_snp_shot_map.ContainsKey(vse.SaveTime)) {
|
||||
VolSurfaceInputSnapshot snp = new VolSurfaceInputSnapshot(vse);
|
||||
_snp_shot_map.Add(vse.SaveTime, snp);
|
||||
}
|
||||
}
|
||||
bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway._update_publish_snapshots count:{0}",
|
||||
_snp_shot_map.Count));
|
||||
_bb.post(SparkTags.VolSurfaceInputSnapshotListTag(_volsurface_id),
|
||||
_snp_shot_map.Values);
|
||||
}
|
||||
|
||||
static VolSurfaceInput _to_vs_input(VolSurfaceEntryImmutable vs) {
|
||||
byte[] vs_bytes = vs.Volsurface.ToByteArray();
|
||||
return
|
||||
mbts.analytics.VolSurfaceUtilityFunctions.deserialize_proto<VolSurfaceInput>(vs_bytes);
|
||||
}
|
||||
|
||||
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;
|
||||
_sanitize_input(ref vs_input);
|
||||
vs_input = VolSurfaceDataFunctions.unset_driver_overrides(vs_input);
|
||||
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)
|
||||
_analytics_service.archive_theos(archived_theos);
|
||||
} catch (Exception ex) {
|
||||
Log.Gen.warn(ex.ToString());
|
||||
_bb.post(SparkTags.MessageDisplayTag,
|
||||
new MessageDisplayData("Vol Surface Addition",
|
||||
String.Format("Could not create Vol Surface, Error : {0}", ex.Message)));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void _sanitize_input(ref VolSurfaceInput vs_input) {
|
||||
vs_input.surface_settings.core_settings.time_settings = vs_input.surface_settings.core_settings.time_settings ?? new VolSurfaceTimeSettings() { time_mode = VolSurfaceEnums.VolSurfaceTimeMode.Manual };
|
||||
if (vs_input.surface_settings.core_settings.master_slave_relationships != null)
|
||||
foreach (VolSurfaceSymbolRelationship vssr in vs_input.surface_settings.core_settings.master_slave_relationships)
|
||||
_force_distinct_connected_symbols(vssr);
|
||||
if (vs_input.surface_settings.core_settings.implied_vol_marketdata_relationships != null)
|
||||
foreach (VolSurfaceSymbolRelationship vssr in vs_input.surface_settings.core_settings.implied_vol_marketdata_relationships)
|
||||
_force_distinct_connected_symbols(vssr);
|
||||
}
|
||||
|
||||
private void _force_distinct_connected_symbols(VolSurfaceSymbolRelationship vssr) {
|
||||
var distinct_syms = vssr.connected_symbols.Distinct().ToList();
|
||||
if (distinct_syms.Count != vssr.connected_symbols.Count)
|
||||
vssr.connected_symbols = distinct_syms;
|
||||
}
|
||||
|
||||
private ArchivedTheoList _get_theos() {
|
||||
var cand_theos = SingleVolSurfaceTheoSource.compute_cand_theos(_volsurface_id, _bb);
|
||||
SystemContractData sc_data = _bb.read_state(SparkTags.SystemContractsTag);
|
||||
var rv = SingleVolSurfaceTheoSource.convert_to_id_map(cand_theos, sc_data);
|
||||
rv.SaveTime = VolSurfaceUtilityFunctions.get_unix_epoch_msecs();
|
||||
var sec_tups = SingleVolSurfaceTheoSource.get_vs_sectups(_volsurface_id, _bb);
|
||||
rv.SecTups.AddRange(sec_tups);
|
||||
return rv;
|
||||
}
|
||||
|
||||
#region Disposable
|
||||
public void Dispose() {
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
_disposables.ForEach(d => d.Dispose());
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,194 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
using System.Collections.Concurrent;
|
||||
using System.IO;
|
||||
using System.IO.Compression;
|
||||
using bts;
|
||||
using bts.api;
|
||||
using mbts.ui.converters;
|
||||
|
||||
namespace mbts.spark {
|
||||
// This class gathers all the inputs needed to calculate InterpGreeks, pass it to
|
||||
// VolSurfacePrecomputedTheosProducer, and publishes the InterpGreeks to the bus
|
||||
// (called SingleVolSurfaceClientPrecomputedTheosPublisher in Edge)
|
||||
// It listens to
|
||||
// a. vol surface inputs
|
||||
// b. exp params (roll, rates etc)
|
||||
// c. securities (exp, strikes) for options in the vs
|
||||
// d. driver prices for options in vs
|
||||
// and passes the data above to VolSurfacePrecomputedTheosProducer where
|
||||
// the real calculations take place.
|
||||
public class SingleVolSurfaceInterpGreeksPublisher : IDisposable {
|
||||
private readonly int _vs_id;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private HashSet<string> _all_symbols;
|
||||
private VolSurfaceInterpGreeksProducer _theo_producer;
|
||||
private readonly ITag<VolSurfaceInput> _in_vs_input_tag;
|
||||
private readonly ITag<VolSurfaceNonVolInput> _in_vs_nonvol_input_tag;
|
||||
private readonly ITag<VolSurfaceStrikeMap> _in_vs_contracts_tag;
|
||||
private ITag<IReadOnlyDictionary<string, OptionDriverPriceMap>>
|
||||
_in_all_syms_driver_price_tag = SparkTags.AllOptionDriverBBOTag;
|
||||
private readonly ITag<VolSurfaceStandardTime> _in_vs_standard_time_tag;
|
||||
private readonly ITag<bool> _in_ui_up_tag;
|
||||
private readonly string _user;
|
||||
private readonly PerfStatsLogger _logger;
|
||||
|
||||
public SingleVolSurfaceInterpGreeksPublisher(int vs_id,
|
||||
ThreadedBlackboard threaded_bb, IEnumerable<string> symbols) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceInterpGreeksPublisher cons {vs_id}");
|
||||
_vs_id = vs_id;
|
||||
_bb = threaded_bb;
|
||||
_all_symbols = new HashSet<string>(symbols);
|
||||
_logger = new PerfStatsLogger(10, 100,
|
||||
$"SingleVolSurfaceInterpGreeksPublisher_{vs_id}");
|
||||
_theo_producer = new VolSurfaceInterpGreeksProducer(vs_id);
|
||||
// TODO
|
||||
_user = String.Empty; // get current user from somewhere (ask John)
|
||||
_theo_producer.on_theos += _theo_producer_on_theos;
|
||||
_theo_producer.on_vols += _theo_producer_on_vols;
|
||||
_in_vs_input_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
|
||||
_in_vs_nonvol_input_tag = SparkTags.VolSurfaceNonVolInputTag;
|
||||
_in_vs_contracts_tag = SparkTags.VolSurfaceContractsTag(vs_id);
|
||||
_in_vs_standard_time_tag = SparkTags.VolSurfaceStandardTimeTag(vs_id);
|
||||
_in_ui_up_tag = SparkTags.VolSurfaceActiveUITag(_vs_id);
|
||||
_bb.subscribe(_in_vs_input_tag);
|
||||
_bb.subscribe(_in_vs_nonvol_input_tag);
|
||||
_bb.subscribe(_in_vs_contracts_tag);
|
||||
_bb.subscribe(_in_all_syms_driver_price_tag);
|
||||
_bb.subscribe(_in_vs_standard_time_tag);
|
||||
_bb.subscribe(_in_ui_up_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_init();
|
||||
}
|
||||
|
||||
// reading all the data from the bus and setting up the producer
|
||||
private void _init() {
|
||||
var vs_inp = _bb.read_state(_in_vs_input_tag);
|
||||
if (vs_inp != null)
|
||||
_theo_producer.set_vol_data(vs_inp);
|
||||
var vs_nonvol_input = _bb.read_state(_in_vs_nonvol_input_tag);
|
||||
if (vs_nonvol_input != null)
|
||||
_theo_producer.set_nonvol_parameters((vs_nonvol_input).exp_input_map);
|
||||
_set_contracts();
|
||||
_read_and_set_drivers();
|
||||
var vs_standard_time = _bb.read_state(_in_vs_standard_time_tag);
|
||||
if (vs_standard_time != null)
|
||||
_theo_producer.set_system_vol_time(vs_standard_time);
|
||||
}
|
||||
|
||||
private void _read_and_set_drivers() {
|
||||
var all_sym_price_map = _bb.read_state(_in_all_syms_driver_price_tag);
|
||||
IDictionary<VolSurfaceExpiration, DriverMD> exp_price_map =
|
||||
OptionDriverPriceMap.get_vs_price_map(all_sym_price_map,
|
||||
(s) => _all_symbols.Contains(s));
|
||||
_theo_producer.set_driver_price(
|
||||
exp_price_map.ToDictionary(kv => kv.Key, kv => kv.Value.get_driver()));
|
||||
}
|
||||
|
||||
#region Blackboard Callbacks
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_in_vs_input_tag.Equals(tag)) {
|
||||
var vs_inp = _bb.read_state(_in_vs_input_tag);
|
||||
_theo_producer.set_vol_data(vs_inp);
|
||||
} else if (_in_vs_nonvol_input_tag.Equals(tag)) {
|
||||
var vs_nonvol_input = _bb.read_state(_in_vs_nonvol_input_tag);
|
||||
if (vs_nonvol_input != null)
|
||||
_theo_producer.set_nonvol_parameters((vs_nonvol_input).exp_input_map);
|
||||
} else if (_in_vs_contracts_tag.Equals(tag))
|
||||
_set_contracts();
|
||||
else if (_in_all_syms_driver_price_tag.Equals(tag))
|
||||
_read_and_set_drivers();
|
||||
else if (_in_vs_standard_time_tag.Equals(tag))
|
||||
_theo_producer.set_system_vol_time(_bb.read_state(_in_vs_standard_time_tag));
|
||||
}
|
||||
|
||||
private void _set_contracts() {
|
||||
// in edge this used to filter exps that were active in TC2
|
||||
var all_contracts = _bb.read_state(_in_vs_contracts_tag);
|
||||
if (all_contracts != null) {
|
||||
_theo_producer.set_contracts(all_contracts.strike_map);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
private void _log_data<T>(
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<T>> theos,
|
||||
DateTime exp_filter,
|
||||
string prefix,
|
||||
Func<T, string> log_func,
|
||||
Comparison<T> sort_func) {
|
||||
string rv = prefix + "\n";
|
||||
foreach (var kv in theos) {
|
||||
var exp = kv.Key;
|
||||
if (exp.expiration != exp_filter) {
|
||||
continue;
|
||||
}
|
||||
var sorted = new List<T>(kv.Value);
|
||||
sorted.Sort(sort_func);
|
||||
foreach (var t in sorted) {
|
||||
rv += "\n" + $"exp: {exp} {log_func(t)}";
|
||||
}
|
||||
}
|
||||
Log.Gen.info(rv);
|
||||
}
|
||||
|
||||
private void _log_vol_matrix(
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<VolMatrix>> vols,
|
||||
DateTime exp_filter) {
|
||||
_log_data(vols, exp_filter, "InterpGreeks VolMatrix", (t) => t.log_string(),
|
||||
(t1, t2) => {
|
||||
var rv = t1.expiration.CompareTo(t2.expiration);
|
||||
if (rv == 0)
|
||||
rv = t1.strike.CompareTo(t2.strike);
|
||||
if (rv == 0)
|
||||
rv = t1.driver.CompareTo(t2.driver);
|
||||
return rv;
|
||||
});
|
||||
}
|
||||
|
||||
private void _log_theos(
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos,
|
||||
DateTime exp_filter) {
|
||||
_log_data(theos, exp_filter, "InterpGreeks Theos", (t) => t.log_string(),
|
||||
(t1, t2) => {
|
||||
var rv = t1.expiration.CompareTo(t2.expiration);
|
||||
if (rv == 0)
|
||||
rv = t1.strike.CompareTo(t2.strike);
|
||||
if (rv == 0)
|
||||
rv = t1.driver.CompareTo(t2.driver);
|
||||
return rv;
|
||||
});
|
||||
}
|
||||
|
||||
private int _n_updates = 0;
|
||||
private void _theo_producer_on_theos(
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> exp_theo_map,
|
||||
double vol_compute_time, double theo_compute_time) {
|
||||
Log.Gen.info("SingleVolSurfaceInterpGreeksPublisher._theo_producer_on_theos " +
|
||||
$"vs_id: {_vs_id} n_updates: {++_n_updates} " +
|
||||
$"vol_compute_time: {vol_compute_time} " +
|
||||
$"theo_compute_time: {theo_compute_time}");
|
||||
_logger.log_default(theo_compute_time);
|
||||
_bb.post(SparkTags.VolSurfaceInterpGreeksTag(_vs_id), exp_theo_map);
|
||||
}
|
||||
|
||||
private void _theo_producer_on_vols(
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<mbts.analytics.VolMatrix>> exp_vol_map,
|
||||
double vol_compute_time, double theo_compute_time) {
|
||||
Log.Gen.info("SingleVolSurfaceInterpGreeksPublisher._theo_producer_on_vols " +
|
||||
$"vs_id: {_vs_id} vol_compute_time: {vol_compute_time} " +
|
||||
$"theo_compute_time: {theo_compute_time}");
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,74 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using bts.api.analytics;
|
||||
using bts.api;
|
||||
|
||||
namespace mbts.spark {
|
||||
public class SingleVolSurfaceManager : IDisposable {
|
||||
private readonly int _vs_id;
|
||||
private IEnumerable<IDisposable> _resources;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly AnalyticsService _analytics_service;
|
||||
private ITag<bool> _vs_activation_tag;
|
||||
private bool _activated = false;
|
||||
|
||||
public SingleVolSurfaceManager(int vs_id, ThreadedBlackboard t_bb,
|
||||
AnalyticsService analytics_service) {
|
||||
var tid = System.Threading.Thread.CurrentThread.ManagedThreadId;
|
||||
bts.Log.Ui.info($"SingleVolSurfaceManager.cons vs_id:{vs_id} tid:{tid}");
|
||||
_vs_id = vs_id;
|
||||
_bb = t_bb;
|
||||
_analytics_service = analytics_service;
|
||||
_vs_activation_tag = SparkTags.VolSurfaceActiveUITag(vs_id);
|
||||
_bb.subscribe(_vs_activation_tag);
|
||||
_bb.data_callback += _on_data;
|
||||
}
|
||||
|
||||
private void _spin_resources() {
|
||||
bts.Log.Ui.info($"SingleVolSurfaceManager._spin_resources vs_id:{_vs_id}");
|
||||
_resources = new IDisposable[]
|
||||
{
|
||||
new SingleVolSurfaceGateway(_vs_id, _bb, _analytics_service),
|
||||
new SingleVolSurfaceTimeSource(_vs_id,_bb),
|
||||
new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Combined,
|
||||
_vs_id, _bb, syms => new SingleVolSurfaceNonVolDataSource(_vs_id, syms, _bb)),
|
||||
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(_vs_id, a_syms, _bb)),
|
||||
new SingleVolSurfaceMarketImpliedVolSource(_vs_id, _bb),
|
||||
// new SingleVolSurfaceTheoSource(_vs_id, _bb),
|
||||
// TODO: suspending heatmaps for now (12/24/21)
|
||||
// new SingleVolSurfaceHeatmapManager (vs_id, t_bb),
|
||||
// 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)),
|
||||
};
|
||||
}
|
||||
|
||||
private void _on_data(object tag, object data) {
|
||||
if (_vs_activation_tag.Equals(tag)) {
|
||||
if (_activated) {
|
||||
// TODO: not cleaning up recources
|
||||
return;
|
||||
}
|
||||
bool is_activation_signal = data is Boolean && (Boolean)data;
|
||||
if (is_activation_signal) {
|
||||
_activated = true;
|
||||
_spin_resources();
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
private bool _is_disposed = false;
|
||||
public void Dispose() {
|
||||
if (!_is_disposed) {
|
||||
_is_disposed = true;
|
||||
_resources.ToList().ForEach(d => d.Dispose());
|
||||
}
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,236 +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;
|
||||
|
||||
/// This class publishes the market implied vols for the
|
||||
/// selected expiration.
|
||||
public class SingleVolSurfaceMarketImpliedVolSource : IDisposable {
|
||||
// This keeps the last computed exp and its bbo
|
||||
#region MD caching
|
||||
private class CachedExpMD {
|
||||
public SecurityExpiration exp = SecurityExpiration.empty;
|
||||
public IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> k_md_map =
|
||||
new Dictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>>();
|
||||
private bool _has_changed(
|
||||
SecurityExpiration new_exp,
|
||||
IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> new_k_md_map) {
|
||||
if (new_exp != exp) {
|
||||
return true;
|
||||
}
|
||||
if (k_md_map.Count() != new_k_md_map.Count) {
|
||||
return true;
|
||||
}
|
||||
foreach (var kv in k_md_map) {
|
||||
Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit> k_md;
|
||||
if (!new_k_md_map.TryGetValue(kv.Key, out k_md)) {
|
||||
return true;
|
||||
}
|
||||
if (!kv.Value.Item1.Equals(k_md.Item1) ||
|
||||
!kv.Value.Item2.Equals(k_md.Item2)) {
|
||||
return true;
|
||||
}
|
||||
}
|
||||
return false;
|
||||
}
|
||||
public bool set(
|
||||
SecurityExpiration new_exp,
|
||||
IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> new_k_md_map) {
|
||||
bool has_changed = _has_changed(new_exp, new_k_md_map);
|
||||
if (has_changed) {
|
||||
exp = new_exp;
|
||||
k_md_map = new_k_md_map;
|
||||
}
|
||||
return has_changed;
|
||||
}
|
||||
}
|
||||
#endregion
|
||||
private readonly int _vs_id;
|
||||
private readonly ITag<IReadOnlyDictionary<uint, SecurityMD>> _in_bb_sec_map_tag;
|
||||
private readonly ITag<mbts.analytics.VolSurfaceOutput> _in_bb_committed_output_tag;
|
||||
private readonly ITag<VolSurfaceCalculationResponse> _in_bb_calc_resp_tag;
|
||||
private readonly ITag<bool> _in_bb_inp_dirty_tag;
|
||||
private readonly ITag<Tuple<VolSurfaceDisplayGridExpiration, bool>>
|
||||
_in_bb_selected_exp_tag;
|
||||
private readonly ITag<mbts.analytics.VolSurfaceEnums.MarketSide>
|
||||
_in_bb_market_impliedvol_side_tag;
|
||||
private readonly ITag<bool> _in_bb_ignore_market_implied_vol_source_settings_tag;
|
||||
private CachedExpMD _cached_exp_md = new CachedExpMD();
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
|
||||
private readonly PerfStatsLogger _logger = new PerfStatsLogger(50, 50);
|
||||
private TimeSpan _compute_period = TimeSpan.FromMilliseconds(333);
|
||||
private bool _is_dirty = true;
|
||||
|
||||
public SingleVolSurfaceMarketImpliedVolSource(int vs_id, ThreadedBlackboard bb) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceMarketImpliedVolSource cons vs_id:{vs_id}");
|
||||
_vs_id = vs_id;
|
||||
_bb = bb;
|
||||
_in_bb_sec_map_tag = SparkTags.SecuritiesTag;
|
||||
_in_bb_committed_output_tag = SparkTags.VolSurfaceCommittedOutputTag(vs_id);
|
||||
_in_bb_calc_resp_tag = SparkTags.VolSurfaceCalculationResponseTag(vs_id);
|
||||
_in_bb_inp_dirty_tag = SparkTags.VolSurfaceDirtyStateTag(vs_id);
|
||||
_in_bb_selected_exp_tag = SparkTags.VolSurfaceGridSelectionTag(_vs_id);
|
||||
_in_bb_market_impliedvol_side_tag = SparkTags.VolSurfaceMarketImpliedVolSide(_vs_id);
|
||||
_in_bb_ignore_market_implied_vol_source_settings_tag =
|
||||
SparkTags.VolSurfaceIgnoreImpliedVolSettingsTag(vs_id);
|
||||
_bb.subscribe(_in_bb_committed_output_tag);
|
||||
_bb.subscribe(_in_bb_calc_resp_tag);
|
||||
_bb.subscribe(_in_bb_inp_dirty_tag);
|
||||
_bb.subscribe(_in_bb_selected_exp_tag);
|
||||
_bb.subscribe(_in_bb_market_impliedvol_side_tag);
|
||||
_bb.subscribe(_in_bb_ignore_market_implied_vol_source_settings_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_bb.timer_callback += _on_bb_timer;
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (tag != null)
|
||||
if (_in_bb_committed_output_tag.Equals(tag) ||
|
||||
_in_bb_calc_resp_tag.Equals(tag) ||
|
||||
_in_bb_inp_dirty_tag.Equals(tag) || _in_bb_selected_exp_tag.Equals(tag) ||
|
||||
_in_bb_market_impliedvol_side_tag.Equals(tag) ||
|
||||
_in_bb_ignore_market_implied_vol_source_settings_tag.Equals(tag))
|
||||
_is_dirty = true;
|
||||
}
|
||||
|
||||
private void _check_bbo_change() {
|
||||
var sc_data = _bb.read_state(SparkTags.SystemContractsTag);
|
||||
Tuple<VolSurfaceDisplayGridExpiration, bool> sel_exp_tup =
|
||||
_bb.read_state(_in_bb_selected_exp_tag);
|
||||
if (sc_data == null || sel_exp_tup == null) {
|
||||
return;
|
||||
}
|
||||
VolSurfaceExpiration new_sel_exp = sel_exp_tup.Item1.ToVSExp();
|
||||
var new_md = sc_data.get_option_bbo_vsexp(new_sel_exp);
|
||||
bool bbo_dirty = _cached_exp_md.set(new_md.Item1, new_md.Item2);
|
||||
_is_dirty = _is_dirty || bbo_dirty;
|
||||
}
|
||||
|
||||
private DateTime _last_publish_time = DateTime.MinValue;
|
||||
private void _on_bb_timer() {
|
||||
if (DateTime.Now - _last_publish_time >= _compute_period) {
|
||||
_check_bbo_change();
|
||||
if (_is_dirty)
|
||||
_recompute_and_publish();
|
||||
_is_dirty = false;
|
||||
_last_publish_time = DateTime.Now;
|
||||
}
|
||||
}
|
||||
|
||||
private void _recompute_and_publish() {
|
||||
Tuple<VolSurfaceDisplayGridExpiration, bool> sel_exp =
|
||||
_bb.read_state(_in_bb_selected_exp_tag);
|
||||
VolSurfaceOutput vs_output = _resolve_curr_cand();
|
||||
if (vs_output != null && vs_output.volsurface_input != null &&
|
||||
vs_output.aux_data_map != null &&
|
||||
sel_exp != null && sel_exp.Item1 != null) {
|
||||
var impliedvol_side = _get_market_impliedvol_side(_bb, _vs_id);
|
||||
VolSurfaceExpiration orig_exp = new VolSurfaceExpiration() {
|
||||
symbol = sel_exp.Item1.symbol,
|
||||
expiration = sel_exp.Item1.expiration
|
||||
};
|
||||
_timer.start();
|
||||
VolSurfaceExpiration md_exp;
|
||||
VolCurveMarketImpliedVolData exp_impl_vol_map =
|
||||
VolSurfaceCoreFunctions.compute_implied_vols(
|
||||
vs_output.volsurface_input,
|
||||
orig_exp, vs_output.aux_data_map,
|
||||
arg_exp => _get_bbo(arg_exp),
|
||||
impliedvol_side,
|
||||
_ignore_market_implied_vol_source_settings(_bb, _vs_id),
|
||||
out md_exp);
|
||||
_timer.stop();
|
||||
_logger.log("SingleVolSurfaceMarketImpliedVolSource",
|
||||
"SingleVolSurfaceMarketImpliedVolSource",
|
||||
_timer.lastIntervalTime);
|
||||
if (exp_impl_vol_map is null) {
|
||||
return;
|
||||
}
|
||||
bts.Log.Gen.info(
|
||||
$"SingleVolSurfaceMarketImpliedVolSource._recompute_and_publish " +
|
||||
exp_impl_vol_map.log_string());
|
||||
_bb.post(SparkTags.VolSurfaceMarketImpliedVolTag(_vs_id),
|
||||
new Dictionary<VolSurfaceExpiration,
|
||||
Tuple<VolSurfaceExpiration, VolCurveMarketImpliedVolData>>() {
|
||||
{ orig_exp, Tuple.Create(md_exp, exp_impl_vol_map) }
|
||||
});
|
||||
}
|
||||
}
|
||||
|
||||
// Returns the candidate or committed VolSurface depending
|
||||
private VolSurfaceOutput _resolve_curr_cand() {
|
||||
bool is_dirty = _bb.read_state(_in_bb_inp_dirty_tag, false);
|
||||
if (is_dirty) {
|
||||
VolSurfaceCalculationResponse vs_resp = _bb.read_state(_in_bb_calc_resp_tag);
|
||||
return vs_resp != null ? vs_resp.volsurface_calculation_output : null;
|
||||
} else
|
||||
return _bb.read_state(_in_bb_committed_output_tag);
|
||||
}
|
||||
|
||||
private IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>>
|
||||
_get_bbo(VolSurfaceExpiration vs_exp) {
|
||||
return get_option_bbo(_bb, vs_exp);
|
||||
}
|
||||
|
||||
private static bool _normalize_bbo = true;
|
||||
#region Static helpers
|
||||
|
||||
// for some markets (crypto ie), the options prices are not in
|
||||
// the same terms as strikes, ie strikes are in USD whereras the
|
||||
// option prices are in BTC
|
||||
internal static double get_option_price_mult(
|
||||
ThreadedBlackboard bb,
|
||||
VolSurfaceExpiration option_exp) {
|
||||
var driver_map = bb.read_state(SparkTags.AllOptionDriverBBOTag);
|
||||
if (driver_map != null &&
|
||||
driver_map.TryGetValue(option_exp.symbol, out var sym_map)) {
|
||||
var vs_md = sym_map.get_driver_md(option_exp.expiration);
|
||||
return vs_md.get_driver();
|
||||
}
|
||||
return Double.NaN;
|
||||
}
|
||||
internal static
|
||||
IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>>
|
||||
get_option_bbo(ThreadedBlackboard bb, VolSurfaceExpiration vs_exp) {
|
||||
var sc_data = bb.read_state(SparkTags.SystemContractsTag);
|
||||
IDictionary<double, Tuple<VolSurfaceMDUnit, VolSurfaceMDUnit>> rv =
|
||||
sc_data.get_option_bbo_vsexp(vs_exp).Item2;
|
||||
double mult = get_option_price_mult(bb, vs_exp);
|
||||
if (_normalize_bbo)
|
||||
return rv.ToDictionary(kv => kv.Key, kv =>
|
||||
Tuple.Create(kv.Value.Item1.mult_price(mult),
|
||||
kv.Value.Item2.mult_price(mult)));
|
||||
return rv;
|
||||
}
|
||||
|
||||
internal static bool _ignore_market_implied_vol_source_settings(
|
||||
ThreadedBlackboard bb, int vs_id) {
|
||||
return bb.read_state(
|
||||
SparkTags.VolSurfaceIgnoreImpliedVolSettingsTag(vs_id), false);
|
||||
}
|
||||
|
||||
internal static VolSurfaceEnums.MarketSide
|
||||
_get_market_impliedvol_side(ThreadedBlackboard bb, int vs_id) {
|
||||
return bb.read_state(
|
||||
SparkTags.VolSurfaceMarketImpliedVolSide(vs_id),
|
||||
VolSurfaceEnums.MarketSide.Mid);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
_bb.timer_callback -= _on_bb_timer;
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,91 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
|
||||
using mbts.analytics;
|
||||
using bts.api;
|
||||
using System.Linq;
|
||||
|
||||
namespace mbts.spark {
|
||||
// f (SystemContractData,
|
||||
// VolSurfaceNonVolInput,
|
||||
// IDictionary<mbts.analytics.VolSurfaceExpiration, double>) -> VolSurfaceNonVolData
|
||||
// Subs :
|
||||
// 1. Securities (SystemContractsTag)
|
||||
// 2. NonVolInput (VolSurfaceNonVolInputTag)
|
||||
// 3. Driver prices (VolSurfaceOptionDriverTag)
|
||||
// Publishes :
|
||||
// 1. VolSurfaceNonVolData which is simply a union of the 3 inputs
|
||||
// 2. VolSurfaceStrikeMap
|
||||
public class SingleVolSurfaceNonVolDataSource : IDisposable {
|
||||
private readonly int _vs_id;
|
||||
private readonly IEnumerable<string> _option_symbols;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly ITag<SystemContractData> _in_bb_contract_data_tag;
|
||||
private readonly ITag<VolSurfaceNonVolInput> _in_bb_vs_nonvol_input_tag;
|
||||
private readonly ITag<IReadOnlyDictionary<string, OptionDriverPriceMap>> _in_bb_all_driver_price_tag;
|
||||
private readonly ITag<mbts.analytics.VolSurfaceNonVolData> _out_bb_vs_nonvol_data_tag;
|
||||
private readonly ITag<mbts.analytics.VolSurfaceStrikeMap> _out_bb_vs_contracts_tag;
|
||||
|
||||
public SingleVolSurfaceNonVolDataSource(int vs_id, IEnumerable<string> option_symbols,
|
||||
ThreadedBlackboard bb) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceNonVolDataSource vs_id:{vs_id}");
|
||||
_vs_id = vs_id;
|
||||
_option_symbols = option_symbols;
|
||||
_bb = bb;
|
||||
_in_bb_contract_data_tag = SparkTags.SystemContractsTag;
|
||||
_in_bb_vs_nonvol_input_tag = SparkTags.VolSurfaceNonVolInputTag;
|
||||
_in_bb_all_driver_price_tag = SparkTags.AllOptionDriverBBOTag;
|
||||
_out_bb_vs_nonvol_data_tag = SparkTags.VolSurfaceNonVolDataTag(vs_id);
|
||||
_out_bb_vs_contracts_tag = SparkTags.VolSurfaceContractsTag(vs_id);
|
||||
_bb.subscribe(_in_bb_contract_data_tag);
|
||||
_bb.subscribe(_in_bb_vs_nonvol_input_tag);
|
||||
_bb.subscribe(_in_bb_all_driver_price_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_init();
|
||||
}
|
||||
|
||||
private void _init() {
|
||||
_publish_vs_strike_map();
|
||||
_recompute_and_fire();
|
||||
}
|
||||
|
||||
private void _publish_vs_strike_map() {
|
||||
SystemContractData sc_data = _bb.read_state(_in_bb_contract_data_tag);
|
||||
if (sc_data != null) {
|
||||
var k_map = new VolSurfaceStrikeMap(_option_symbols, sc_data);
|
||||
bts.Log.Gen.info($"SingleVolSurfaceNonVolDataSource vs_id:{_vs_id} " +
|
||||
"publishing strike_map sz:{k_map.strike_map.Count()}");
|
||||
_bb.post(_out_bb_vs_contracts_tag, new VolSurfaceStrikeMap(_option_symbols, sc_data));
|
||||
}
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_in_bb_contract_data_tag.Equals(tag)) {
|
||||
_publish_vs_strike_map();
|
||||
_recompute_and_fire();
|
||||
} else if (_in_bb_vs_nonvol_input_tag.Equals(tag) ||
|
||||
_in_bb_all_driver_price_tag.Equals(tag))
|
||||
_recompute_and_fire();
|
||||
}
|
||||
|
||||
private void _recompute_and_fire() {
|
||||
SystemContractData sc_data = _bb.read_state(_in_bb_contract_data_tag);
|
||||
VolSurfaceNonVolInput vs_nonvol_input = _bb.read_state(_in_bb_vs_nonvol_input_tag);
|
||||
var all_sym_price_map = _bb.read_state(_in_bb_all_driver_price_tag);
|
||||
var exp_price_map = OptionDriverPriceMap.get_vs_price_map(
|
||||
all_sym_price_map, (s) => _option_symbols.Contains(s));
|
||||
if (sc_data != null && vs_nonvol_input != null && exp_price_map != null) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceNonVolDataSource vs_id:{_vs_id} " +
|
||||
"publishing VolSurfaceNonVolData");
|
||||
_bb.post(_out_bb_vs_nonvol_data_tag,
|
||||
new VolSurfaceNonVolData(
|
||||
vs_nonvol_input, exp_price_map,
|
||||
new VolSurfaceStrikeMap(_option_symbols, sc_data).strike_map));
|
||||
}
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() { _bb.data_callback -= _on_bb_data; }
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,168 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
using bts.api;
|
||||
|
||||
using mbts.analytics;
|
||||
|
||||
namespace mbts.spark {
|
||||
// All local changes to the VolSurface that trigger calculations
|
||||
// are handled here.
|
||||
// Subs :
|
||||
// 1. VS Calc Req
|
||||
// 2. VS Nonvol Data
|
||||
// 3. Dirty
|
||||
// Pubs :
|
||||
// 1. Calc Resp
|
||||
public class SingleVolSurfaceRequestCalculator : IDisposable {
|
||||
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<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;
|
||||
private readonly ITag<bool> _in_bb_dirty_tag;
|
||||
private HighPerformanceTimer _timer = new HighPerformanceTimer();
|
||||
/// data
|
||||
private VolSurfaceOutput _last_output;
|
||||
|
||||
public SingleVolSurfaceRequestCalculator(int vs_id, IEnumerable<string> symbols,
|
||||
ThreadedBlackboard threaded_bb) {
|
||||
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_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_nonvol_data_tag);
|
||||
_bb.subscribe(_in_bb_vs_standard_time_tag);
|
||||
_bb.subscribe(_in_bb_vs_standard_time_tag);
|
||||
_bb.subscribe(_in_bb_dirty_tag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_recompute_and_publish(true);
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
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) {
|
||||
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);
|
||||
if (is_dirty && nonvol_data != null) {
|
||||
_timer.start();
|
||||
VolSurfaceCalculationRequest curr_req = _bb.read_state(_in_bb_request_tag),
|
||||
effective_req = null;
|
||||
if (is_new_request)
|
||||
effective_req = curr_req;
|
||||
else {
|
||||
if (_last_output != null)
|
||||
effective_req =
|
||||
new VolSurfaceCalculationRequest(_last_output.volsurface_input, curr_req.request_id);
|
||||
}
|
||||
if (effective_req != null) {
|
||||
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map =
|
||||
VolSurfaceUtilityFunctions.compute_aux_data(effective_req.volsurface_input,
|
||||
nonvol_data.input,
|
||||
nonvol_data.driver_price_map,
|
||||
vs_standard_time, true);
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
|
||||
_post_process_action(effective_req, aux_data_map);
|
||||
_last_output = GeneralVolSurfaceCalculator.compute(effective_req.volsurface_input,
|
||||
nonvol_data.contracts,
|
||||
aux_data_map,
|
||||
action_map,
|
||||
null,
|
||||
effective_req.cascade_up,
|
||||
effective_req.cascade_down);
|
||||
_timer.stop();
|
||||
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._recompute_and_publish time:" +
|
||||
$"{_timer.lastIntervalTime} vs_output:{_last_output.log_string()}");
|
||||
_bb.post(SparkTags.VolSurfaceCalculationResponseTag(_vs_id),
|
||||
new VolSurfaceCalculationResponse(_last_output, effective_req.request_id));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// Computes the impl vol if the action is fit to market
|
||||
private IDictionary<VolSurfaceExpiration, VolCurveAction> _post_process_action(
|
||||
VolSurfaceCalculationRequest req,
|
||||
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map) {
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> rv = req.action_map;
|
||||
/// TODO : VolCurveAction needs to be structured better. The UI enforces that
|
||||
/// all exps have the same action, but the structure doesnt. So here the UI
|
||||
/// constraint is flowing in
|
||||
if (rv != null && rv.Count > 0) {
|
||||
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(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,
|
||||
rep_action.market_fit_action.use_weighted_regression)));
|
||||
}
|
||||
}
|
||||
return rv;
|
||||
}
|
||||
|
||||
private IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> _fill_in_implied_vols(
|
||||
VolSurfaceInput vs_inp,
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map,
|
||||
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map,
|
||||
bool cascade_up, bool cascade_down) {
|
||||
IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> rv =
|
||||
new Dictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData>();
|
||||
VolCurveAction rep_action = action_map.ElementAt(0).Value;
|
||||
HashSet<VolSurfaceExpiration> master_exps =
|
||||
VolSurfaceUtilityFunctions.get_master_expirations(vs_inp, true);
|
||||
IEnumerable<VolSurfaceExpiration> applicable_exps;
|
||||
if (cascade_up || cascade_down)
|
||||
applicable_exps =
|
||||
VolSurfaceUtilityFunctions.get_exp_list_from_cascade(
|
||||
vs_inp.surface_parameters.curve_parameters_map.Select(t => t.Item1),
|
||||
action_map.Keys, cascade_up, cascade_down);
|
||||
else
|
||||
applicable_exps = action_map.Keys;
|
||||
applicable_exps = applicable_exps.Where(vs_exp => master_exps.Contains(vs_exp));
|
||||
|
||||
VolSurfaceEnums.MarketSide impliedvol_side =
|
||||
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),
|
||||
impliedvol_side,
|
||||
SingleVolSurfaceMarketImpliedVolSource._ignore_market_implied_vol_source_settings(
|
||||
_bb, _vs_id),
|
||||
out md_exp);
|
||||
rv[vs_exp] = exp_impl_data;
|
||||
}
|
||||
return rv;
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
private bool _disposed = false;
|
||||
public void Dispose() {
|
||||
if (!_disposed) {
|
||||
_disposed = true;
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
}
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,245 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
using bts;
|
||||
using bts.api;
|
||||
using bts.api.analytics;
|
||||
|
||||
namespace mbts.spark {
|
||||
// Publishes the committed and candidate greeks in the
|
||||
// form of VolSurfaceTheoData
|
||||
// (this was the data that was published in the winform syncfusion grid,
|
||||
// with the candidate/committed next to each other)
|
||||
// Subs :
|
||||
// 1. Comm Vol Output
|
||||
// 2. Cand Calc Response
|
||||
// 3. Is Dirty (ie a pending change?)
|
||||
// 4. Detailed Window State
|
||||
// Pubs :
|
||||
// 1. VolSurfaceTheoData (cand and comm theos)
|
||||
public class SingleVolSurfaceTheoSource : IDisposable {
|
||||
private readonly int _vs_id;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly ITag<VolSurfaceOutput> _in_committed_vol_output_tag;
|
||||
private readonly ITag<VolSurfaceCalculationResponse> _in_candidate_vol_output_tag;
|
||||
private readonly ITag<bool> _in_input_dirty_tag;
|
||||
private readonly ITag<bool> _in_window_state_tag;
|
||||
private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
|
||||
private bool _is_dirty = true;
|
||||
private static readonly IDictionary<VolSurfaceExpiration, IEnumerable<Theos>>
|
||||
_empty_theos = new Dictionary<VolSurfaceExpiration, IEnumerable<Theos>>();
|
||||
private VolSurfaceTheoData _last_data =
|
||||
new VolSurfaceTheoData(new Dictionary<VolSurfaceExpiration, HashSet<double>>(),
|
||||
_empty_theos, _empty_theos, false);
|
||||
private uint _n_comps = 0;
|
||||
|
||||
public SingleVolSurfaceTheoSource(int vs_id, ThreadedBlackboard threaded_bb) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceTheoSource cons vs_id:{vs_id}");
|
||||
_vs_id = vs_id;
|
||||
_bb = threaded_bb;
|
||||
_in_committed_vol_output_tag = SparkTags.VolSurfaceCommittedOutputTag(_vs_id);
|
||||
_in_candidate_vol_output_tag = SparkTags.VolSurfaceCalculationResponseTag(_vs_id);
|
||||
_in_input_dirty_tag = SparkTags.VolSurfaceDirtyStateTag(_vs_id);
|
||||
_in_window_state_tag = SparkTags.VolSurfaceTheoWindowStateTag(_vs_id);
|
||||
_bb.subscribe(_in_committed_vol_output_tag);
|
||||
_bb.subscribe(_in_candidate_vol_output_tag);
|
||||
_bb.subscribe(_in_input_dirty_tag);
|
||||
_bb.subscribe(_in_window_state_tag);
|
||||
_bb.data_callback += _on_data;
|
||||
_bb.timer_callback += _on_timer;
|
||||
// (TODO) forcing computing of theos by publishing an
|
||||
// active theos window tag, remove it
|
||||
_bb.post(_in_window_state_tag, true);
|
||||
}
|
||||
|
||||
#region Blackboard
|
||||
private void _on_data(object tag, object data) {
|
||||
if (_in_candidate_vol_output_tag.Equals(tag) ||
|
||||
_in_committed_vol_output_tag.Equals(tag) ||
|
||||
_in_input_dirty_tag.Equals(tag) || _in_window_state_tag.Equals(tag)) {
|
||||
_is_dirty = true;
|
||||
}
|
||||
}
|
||||
|
||||
private void _on_timer() {
|
||||
if (_is_dirty) {
|
||||
// publishes new values when there is an
|
||||
// 1. theos window up
|
||||
// 2. waiting candidate change
|
||||
_compute_and_publish(_is_active_candidate(), _is_active_theos_window());
|
||||
_is_dirty = false;
|
||||
}
|
||||
}
|
||||
#endregion
|
||||
|
||||
private void _compute_and_publish(bool is_active_candidate,
|
||||
bool is_active_theos_window) {
|
||||
VolSurfaceCalculationResponse calc_resp =
|
||||
_bb.read_state(_in_candidate_vol_output_tag);
|
||||
VolSurfaceOutput candidate_output =
|
||||
calc_resp != null ? calc_resp.volsurface_calculation_output : null,
|
||||
committed_output = _bb.read_state(_in_committed_vol_output_tag);
|
||||
IDictionary<VolSurfaceExpiration, HashSet<double>> secs =
|
||||
_get_securities(committed_output, candidate_output);
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> comm_theo_map =
|
||||
_empty_theos, cand_theo_map = _empty_theos;
|
||||
if (is_active_theos_window) {
|
||||
comm_theo_map = _compute_theos(committed_output, secs);
|
||||
if (is_active_candidate)
|
||||
cand_theo_map = _compute_theos(candidate_output, secs);
|
||||
} else {
|
||||
if (is_active_candidate)
|
||||
cand_theo_map = _compute_theos(candidate_output, secs);
|
||||
}
|
||||
var new_data = new VolSurfaceTheoData(secs, comm_theo_map,
|
||||
cand_theo_map, is_active_candidate);
|
||||
if (_is_valid_update(new_data))
|
||||
_bb.post(SparkTags.VolSurfaceTheoOutputTag(_vs_id), new_data);
|
||||
}
|
||||
|
||||
private bool _is_valid_update(VolSurfaceTheoData new_data) {
|
||||
bool is_spurious = _last_data.committed_theo_map.Count == 0 &&
|
||||
_last_data.candidate_theo_map.Count == 0 &&
|
||||
new_data.committed_theo_map.Count == 0 &&
|
||||
new_data.candidate_theo_map.Count == 0;
|
||||
_last_data = new_data;
|
||||
return !is_spurious;
|
||||
}
|
||||
|
||||
private IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> _compute_theos(
|
||||
VolSurfaceOutput vs_output,
|
||||
IDictionary<VolSurfaceExpiration, HashSet<double>> exp_strikes) {
|
||||
if (vs_output != null) {
|
||||
_timer.start();
|
||||
var exp_volmat_map = VolSurfaceVolMatrixCalculator.generate_volmatrix(
|
||||
vs_output.volsurface_input,
|
||||
exp_strikes.ToDictionary(kv => kv.Key,
|
||||
kv => kv.Value as IEnumerable<double>),
|
||||
vs_output.aux_data_map,
|
||||
new double[] { 0.0 }, false, true, false, false, false);
|
||||
_timer.stop();
|
||||
_n_comps++;
|
||||
Log.Gen.info($"SingleVolSurfaceTheoSource._compute_theos vs_id:{_vs_id} " +
|
||||
$"vol time:{ _timer.lastIntervalTime} msecs n_comps: {_n_comps}");
|
||||
_timer.start();
|
||||
var theo_map = VolSurfaceTheoCalculator.compute_standard_greeks(
|
||||
vs_output.volsurface_input.surface_settings, exp_volmat_map, true);
|
||||
_timer.stop();
|
||||
Log.Gen.info($"SingleVolSurfaceTheoSource._compute_theos vs_id:{_vs_id} " +
|
||||
$"theo time:{ _timer.lastIntervalTime} msecs n_comps: {_n_comps}");
|
||||
return theo_map;
|
||||
}
|
||||
return new Dictionary<VolSurfaceExpiration, IEnumerable<Theos>>();
|
||||
}
|
||||
|
||||
// plucks the data off the bus, computes the theos and returns it
|
||||
public static IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> compute_cand_theos(
|
||||
int vs_id, ThreadedBlackboard bb) {
|
||||
VolSurfaceCalculationResponse calc_resp =
|
||||
bb.read_state(SparkTags.VolSurfaceCalculationResponseTag(vs_id));
|
||||
VolSurfaceOutput vs_output =
|
||||
calc_resp != null ? calc_resp.volsurface_calculation_output : null;
|
||||
IDictionary<VolSurfaceExpiration, HashSet<double>> exp_strikes =
|
||||
VolSurfaceUtilityFunctions.get_contracts(vs_output);
|
||||
if (vs_output != null && exp_strikes != null) {
|
||||
var exp_volmat_map = VolSurfaceVolMatrixCalculator.generate_volmatrix(
|
||||
vs_output.volsurface_input,
|
||||
exp_strikes.ToDictionary(kv => kv.Key,
|
||||
kv => kv.Value as IEnumerable<double>),
|
||||
vs_output.aux_data_map,
|
||||
new double[] { 0.0 }, false, true, false, false, false);
|
||||
var theo_map = VolSurfaceTheoCalculator.compute_standard_greeks(
|
||||
vs_output.volsurface_input.surface_settings, exp_volmat_map, true);
|
||||
return theo_map;
|
||||
}
|
||||
return new Dictionary<VolSurfaceExpiration, IEnumerable<Theos>>();
|
||||
}
|
||||
|
||||
public static IEnumerable<bts.api.SecurityTuple> get_vs_sectups(
|
||||
int vs_id, ThreadedBlackboard bb) {
|
||||
VolSurfaceUsageListImmutable vs_usage_list = bb.read_state(SparkTags.VolSurfaceUsageTag);
|
||||
return vs_usage_list.get_sectups(vs_id);
|
||||
}
|
||||
|
||||
|
||||
// old -> new transformation, this is slow ! transforms data from one
|
||||
// form to another
|
||||
public static ArchivedTheoList
|
||||
convert_to_id_map(IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos,
|
||||
SystemContractData sc_data) {
|
||||
Func<Theos, PutOrCall, uint, ArchivedSecurityTheo> mk_theo = (t, cp, id) => {
|
||||
ArchivedSecurityTheo rv = new ArchivedSecurityTheo();
|
||||
rv.Id = id;
|
||||
rv.Driver = t.driver;
|
||||
rv.Vol = t.vol;
|
||||
if (cp == PutOrCall.Call) {
|
||||
rv.Theo = t.call;
|
||||
rv.Theo = t.cdelta;
|
||||
} else {
|
||||
rv.Theo = t.put;
|
||||
rv.Theo = t.pdelta;
|
||||
}
|
||||
return rv;
|
||||
};
|
||||
Func<string, DateTime, double, Tuple<uint?, uint?>> get_id = (s, e, k) => {
|
||||
foreach (Venue v in Enum.GetValues(typeof(Venue))) {
|
||||
var rv = sc_data.get_option_sec_id(v, s, e, k);
|
||||
if (rv != null)
|
||||
return rv;
|
||||
}
|
||||
return null;
|
||||
};
|
||||
var rv = new List<ArchivedSecurityTheo>();
|
||||
foreach (var exp_kv in theos) {
|
||||
var exp = exp_kv.Key;
|
||||
foreach (var t in exp_kv.Value) {
|
||||
var strike = t.strike;
|
||||
var cp_id = get_id(exp.symbol, exp.expiration, strike);
|
||||
if (cp_id != null) {
|
||||
if (cp_id.Item1.HasValue) {
|
||||
var c_theo = mk_theo(t, PutOrCall.Call, cp_id.Item1.Value);
|
||||
rv.Add(c_theo);
|
||||
}
|
||||
if (cp_id.Item2.HasValue) {
|
||||
var p_theo = mk_theo(t, PutOrCall.Call, cp_id.Item2.Value);
|
||||
rv.Add(p_theo);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
ArchivedTheoList rv_list = new ArchivedTheoList();
|
||||
rv_list.SecTheo.AddRange(rv);
|
||||
return rv_list;
|
||||
}
|
||||
|
||||
private IDictionary<VolSurfaceExpiration, HashSet<double>> _get_securities(
|
||||
VolSurfaceOutput commited_output, VolSurfaceOutput candidate_output) {
|
||||
if (candidate_output != null)
|
||||
/// candidate output wins if its active
|
||||
return VolSurfaceUtilityFunctions.get_contracts(candidate_output);
|
||||
else if (commited_output != null)
|
||||
return VolSurfaceUtilityFunctions.get_contracts(commited_output);
|
||||
else
|
||||
return new Dictionary<VolSurfaceExpiration, HashSet<double>>();
|
||||
}
|
||||
|
||||
/// If the details window is not active, the calculations are suspended
|
||||
private bool _is_active_theos_window() {
|
||||
return _bb.read_state(_in_window_state_tag, false);
|
||||
}
|
||||
|
||||
private bool _is_active_candidate() {
|
||||
return _bb.read_state(_in_input_dirty_tag, false);
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
_bb.data_callback -= _on_data;
|
||||
_bb.timer_callback -= _on_timer;
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,34 +0,0 @@
|
||||
using System;
|
||||
|
||||
using mbts.analytics;
|
||||
|
||||
namespace mbts.spark {
|
||||
public class SingleVolSurfaceTimeSource : IDisposable {
|
||||
private readonly int _vs_id;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly TimeSpan _publish_period = TimeSpan.FromMinutes(VolSurfaceConstants.vol_time_sample_mins);
|
||||
private DateTime _last_publish_time = DateTime.MinValue;
|
||||
|
||||
public SingleVolSurfaceTimeSource(int vs_id, ThreadedBlackboard bb) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceTimeSource cons vs_id:{vs_id}");
|
||||
_vs_id = vs_id;
|
||||
_bb = bb;
|
||||
_bb.timer_callback += _on_timer;
|
||||
}
|
||||
|
||||
private void _on_timer() {
|
||||
if (DateTime.Now - _last_publish_time >= _publish_period) {
|
||||
_last_publish_time = DateTime.Now;
|
||||
VolSurfaceStandardTime time = VolSurfaceStandardTime.get_local_default();
|
||||
bts.Log.Gen.info($"SingleVolSurfaceTimeSource vs_id:{_vs_id} posting time:{time.ToString()}");
|
||||
_bb.post(SparkTags.VolSurfaceStandardTimeTag(_vs_id), time);
|
||||
}
|
||||
}
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
_bb.timer_callback -= _on_timer;
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -1,86 +0,0 @@
|
||||
using mbts.spark;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using bts.api;
|
||||
using System.Linq;
|
||||
|
||||
namespace mbts.analytics {
|
||||
|
||||
// Thin class that assembles all symbol based data published on different
|
||||
// tags, into IReadOnlyDictionary of symbol vs data publsihed under one tag
|
||||
public class SymbolAggregationPublisher<TData> : IDisposable {
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly ITag<SystemContractData> _sc_data_tag;
|
||||
Func<string, ITag<TData>> _get_tag;
|
||||
ITag<IReadOnlyDictionary<string, TData>> _out_tag;
|
||||
private Dictionary<string, ITag<TData>> _tag_map =
|
||||
new Dictionary<string, ITag<TData>>();
|
||||
private HashSet<object> _obj_tags = new HashSet<object>();
|
||||
private bool _dirty = true;
|
||||
public SymbolAggregationPublisher(
|
||||
ThreadedBlackboard bb,
|
||||
Func<string, ITag<TData>> get_tag,
|
||||
ITag<IReadOnlyDictionary<string, TData>> out_tag) {
|
||||
_bb = bb;
|
||||
_get_tag = get_tag;
|
||||
_out_tag = out_tag;
|
||||
_sc_data_tag = SparkTags.SystemContractsTag;
|
||||
_bb.subscribe(SparkTags.SystemContractsTag);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_bb.timer_callback += _on_timer;
|
||||
_handle_sc_data();
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_sc_data_tag.Equals(tag)) {
|
||||
_handle_sc_data();
|
||||
} else {
|
||||
if (_obj_tags.Contains(tag)) {
|
||||
_dirty = true;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void _handle_sc_data() {
|
||||
var sc_data = _bb.read_state(_sc_data_tag);
|
||||
if (sc_data == null) {
|
||||
return;
|
||||
}
|
||||
foreach (var st in sc_data.sectup_map) {
|
||||
// this is not correct since it is assuming symbol/name is
|
||||
// unique across securty_tuples
|
||||
string symbol = st.security_name;
|
||||
if (!_tag_map.ContainsKey(symbol)) {
|
||||
var symbol_tag = _get_tag(symbol);
|
||||
_tag_map.Add(symbol, symbol_tag);
|
||||
_obj_tags.Add(symbol_tag);
|
||||
_bb.subscribe(symbol_tag);
|
||||
_dirty = true;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void _on_timer() {
|
||||
if (_dirty) {
|
||||
_dirty = false;
|
||||
Dictionary<string, TData> output = new Dictionary<string, TData>();
|
||||
foreach (var kv in _tag_map) {
|
||||
var symbol = kv.Key;
|
||||
var symbol_tag = kv.Value;
|
||||
TData symbol_data = _bb.read_state(symbol_tag);
|
||||
output.Add(symbol, symbol_data);
|
||||
}
|
||||
IReadOnlyDictionary<string, TData> ro_output = output;
|
||||
bts.Log.Gen.info($"SymbolAggregationPublisher._on_timer publishing " +
|
||||
$"tag: {_out_tag} sz: {ro_output.Count}");
|
||||
_bb.post(_out_tag, ro_output);
|
||||
}
|
||||
}
|
||||
|
||||
public void Dispose() {
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
_bb.timer_callback -= _on_timer;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,257 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using System.Threading;
|
||||
using mbts.analytics;
|
||||
using bts.api;
|
||||
using bts;
|
||||
using bts.api.analytics;
|
||||
using bts.api.core;
|
||||
using bts.api.position;
|
||||
using mbts;
|
||||
using System.Reactive.Linq;
|
||||
using System.Collections;
|
||||
using mbts.spark;
|
||||
using System.DirectoryServices.ActiveDirectory;
|
||||
// using mbts.bb;
|
||||
|
||||
namespace mbts.spark {
|
||||
internal class ResourceAllocator : IDisposable {
|
||||
private List<IDisposable> _disps = new List<IDisposable>();
|
||||
private Dictionary<SecurityTuple, SingleOptionDriverPricePublisher> _option_driver_map =
|
||||
new Dictionary<SecurityTuple, SingleOptionDriverPricePublisher>();
|
||||
ThreadedBlackboard _bb;
|
||||
public ResourceAllocator(IBus bus, ThreadedBlackboard bb) {
|
||||
bts.Log.Gen.info("ResourceAllocator started");
|
||||
_bb = bb;
|
||||
var s = bus.subscribe(SparkTags.SystemContractsTag).OnDispatcher().Subscribe(_on_data);
|
||||
_disps.Add(s);
|
||||
}
|
||||
private void _on_data(SystemContractData d) {
|
||||
bts.Log.Gen.info(String.Format("ResourceAllocator._on_data sz: {0}", d.sec_md_map.Count()));
|
||||
foreach (SecurityTuple sec_tup in d.get_options()) {
|
||||
if (!_option_driver_map.ContainsKey(sec_tup)) {
|
||||
bts.Log.Gen.info($"ResourceAllocator._on_data allocating SingleOptionDriverPricePublisher for '{sec_tup}'");
|
||||
_option_driver_map.Add(sec_tup, new SingleOptionDriverPricePublisher(sec_tup, _bb));
|
||||
}
|
||||
}
|
||||
}
|
||||
public void Dispose() {
|
||||
_disps.ForEach(d => d.Dispose());
|
||||
}
|
||||
}
|
||||
// This is the anologous to the QuoteSetBlackboardManager. There
|
||||
// is only instance of this per running app and it does the folliwing
|
||||
// 1. Publishes
|
||||
// - SystemContractsData
|
||||
// - Vol Surface symbol usage tag (VolSurfaceUsageTag)
|
||||
// - Vol Surface List tag (VolSurfaceListTag)
|
||||
// - Vol Surface Non Vol Input (config + exp_params) (VolSurfaceNonVolInputTag)
|
||||
// - Activation Tag for newly created VS's (VolSurfaceActivationTag) (retired)
|
||||
// 2. Listens to the activation tag (also published by the UI) and
|
||||
// creates the SingleVolSurfaceManager for the VS
|
||||
public class VolSurfaceBusManager : IDisposable {
|
||||
private ThreadedBlackboard _bb;
|
||||
private bts.api.analytics.AnalyticsService _analytics_service;
|
||||
// in tags
|
||||
private readonly ITag<SystemContractData> _in_scdata_tag =
|
||||
SparkTags.SystemContractsTag;
|
||||
private readonly ITag<VolSurfaceSettings> _in_bb_create_tag = SparkTags.VolSurfaceCreateTag;
|
||||
private readonly ITag<int> _in_bb_delete_tag = SparkTags.VolSurfaceDeleteTag;
|
||||
private readonly ITag<AnalyticsExpirationParametersMap> _in_bb_exp_params_tag =
|
||||
SparkTags.ExpirationParametersInputTag;
|
||||
private readonly ITag<ClientArchivedVolRequest> _in_bb_req_vol = SparkTags.RequestArchivedVols;
|
||||
// state
|
||||
private SystemContractData _contract_data = null;
|
||||
private IDictionary<int, SingleVolSurfaceManager> _vs_manager_map =
|
||||
new Dictionary<int, SingleVolSurfaceManager>();
|
||||
private Queue<mbts.analytics.VolSurfaceSettings> _waiting_creations =
|
||||
new Queue<mbts.analytics.VolSurfaceSettings>();
|
||||
private bts.api.IBus _bus;
|
||||
private List<IDisposable> _subs = new List<IDisposable>();
|
||||
private HighPerformanceTimer _timer = new HighPerformanceTimer();
|
||||
|
||||
public VolSurfaceBusManager(bts.api.IBus bus,
|
||||
bts.api.analytics.AnalyticsService analytics_service) {
|
||||
bts.Log.Ui.info("VSBusManager cons tid:{VolSurfaceTroubleshootingFunctions.tid()}");
|
||||
_bus = bus;
|
||||
_bb = new ThreadedBlackboard(bus);
|
||||
_analytics_service = analytics_service;
|
||||
// subs to bb
|
||||
_bb.subscribe(_in_scdata_tag);
|
||||
_bb.subscribe(_in_bb_create_tag);
|
||||
_bb.subscribe(_in_bb_delete_tag);
|
||||
_bb.subscribe(_in_bb_exp_params_tag);
|
||||
_bb.subscribe(_in_bb_req_vol);
|
||||
_bb.data_callback += _on_bb_update;
|
||||
_bb.timer_callback += _on_timer;
|
||||
// sub to service
|
||||
var vs_sub = _analytics_service.subscribei_volsurfaces()
|
||||
.ObserveOn(SynchronizationContext.Current)
|
||||
.Subscribe(_on_vss);
|
||||
var vs_usage_sub = _analytics_service.subscribei_volsurface_usage()
|
||||
.ObserveOn(SynchronizationContext.Current)
|
||||
.Subscribe(_on_vs_usage_update);
|
||||
_subs.Add(vs_sub);
|
||||
_subs.Add(vs_usage_sub);
|
||||
_subs.Add(new AnalyticsParametersManager(_bb, _analytics_service));
|
||||
_subs.Add(new ResourceAllocator(bus, _bb));
|
||||
_subs.Add(new SymbolAggregationPublisher<OptionDriverPriceMap>(
|
||||
_bb, (sym) => SparkTags.OptionDriverBBOTag(sym),
|
||||
SparkTags.AllOptionDriverBBOTag));
|
||||
_subs.Add(new SymbolAggregationPublisher<OptionTheoInterpolationData>(
|
||||
_bb, (sym) => SparkTags.SymbolInterpGreeksTag(sym),
|
||||
SparkTags.AllInterpGreeks));
|
||||
_subs.Add(new LiveTheoPublisher(_bb));
|
||||
_subs.Add(new VolSurfaceInterpGreeksMultiplexer(_bb));
|
||||
//_subs.Add(new AnalyticsServiceTester(_bb));
|
||||
// TODO: temporatily publish values
|
||||
VolSurfaceUsageList ulist = new VolSurfaceUsageList();
|
||||
ulist.UsageList.Add(new VolSurfaceUsageEntry() {
|
||||
VsId = 6,
|
||||
SecTup = new bts.api.SecurityTuple() {
|
||||
Type = SecurityType.Option,
|
||||
Venue = VolSurfaceTemp.get_default_venue(SecurityType.Option, "BTC"),
|
||||
Symbol = "BTC"
|
||||
}
|
||||
});
|
||||
ulist.UsageList.Add(new VolSurfaceUsageEntry() {
|
||||
VsId = 7,
|
||||
SecTup = new bts.api.SecurityTuple() {
|
||||
Type = SecurityType.Option,
|
||||
Venue = VolSurfaceTemp.get_default_venue(SecurityType.Option, "ETH"),
|
||||
Symbol = "ETH"
|
||||
}
|
||||
});
|
||||
_bb.post(SparkTags.VolSurfaceUsageTag, new VolSurfaceUsageListImmutable(ulist));
|
||||
}
|
||||
|
||||
void _on_vs_usage_update(Update<VolSurfaceUsageListImmutable, int> update) {
|
||||
// TODO
|
||||
return;
|
||||
// int vs_count = update.all.Count();
|
||||
// Log.Gen.info($"VSBusManager._on_vs_usage_update " +
|
||||
// $"tid:{Thread.CurrentThread.ManagedThreadId} count:{update.all.Count()}");
|
||||
// Log.assert(vs_count <= 1);
|
||||
// if (update.all.TryGetSingle(out var to_write)) {
|
||||
// _bb.post(SparkTags.VolSurfaceUsageTag, to_write);
|
||||
// }
|
||||
}
|
||||
|
||||
void _on_vss(bts.api.core.Update<VolSurfaceEntryImmutable, UInt64> update) {
|
||||
bts.Log.Gen.info(String.Format("VSBusManager._on_vss tid:{0} count:{1}",
|
||||
System.Threading.Thread.CurrentThread.ManagedThreadId, update.all.Count()));
|
||||
IDictionary<int, string> to_publish = new Dictionary<int, string>();
|
||||
// publish a dictionary of vs id vs vs names
|
||||
foreach (VolSurfaceEntryImmutable vs in update.all) {
|
||||
to_publish[vs.VsId] = vs.VsName;
|
||||
}
|
||||
_bb.post(SparkTags.VolSurfaceListTag, to_publish);
|
||||
_init_vss(to_publish.Keys);
|
||||
}
|
||||
|
||||
private void _init_vss(IEnumerable<int> vs_ids) {
|
||||
// we consider every vs in the db as "activated" which might prove to be expensive
|
||||
// (will take care of it later)
|
||||
foreach (var vs_id in vs_ids) {
|
||||
if (!_vs_manager_map.ContainsKey(vs_id)) {
|
||||
_vs_manager_map.Add(vs_id, new SingleVolSurfaceManager(
|
||||
vs_id, _bb, _analytics_service));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void _on_bb_update(object tag, object data) {
|
||||
if (_in_scdata_tag.Equals(tag)) {
|
||||
_contract_data = _bb.read_state(_in_scdata_tag);
|
||||
}
|
||||
if (_in_bb_create_tag.Equals(tag)) {
|
||||
// creations are written in a queue and handled later in the timer
|
||||
// callback
|
||||
mbts.analytics.VolSurfaceSettings vs_settings = data as mbts.analytics.VolSurfaceSettings;
|
||||
bts.Log.Gen.info(String.Format("VSBusManager._on_bb_update received vs creation tag vs:{0}",
|
||||
VolSurfaceUtilityFunctions.serialize_proto_to_text(vs_settings)));
|
||||
_waiting_creations.Enqueue(vs_settings);
|
||||
} else if (_in_bb_delete_tag.Equals(tag)) {
|
||||
int vs_id = (int)data;
|
||||
try {
|
||||
IntWrapper vs_id_w = new IntWrapper();
|
||||
vs_id_w.Data = vs_id;
|
||||
_analytics_service.delete_volsurface(vs_id_w);
|
||||
} catch (Exception ex) {
|
||||
Log.Gen.error(String.Format("Vol Surface deletion failed with exception:{0}", ex.Message));
|
||||
_bb.post(SparkTags.MessageDisplayTag,
|
||||
new MessageDisplayData("Vol Surface Deletion",
|
||||
String.Format("Could not delete Vol Surface, Error : {0}", ex.Message)));
|
||||
}
|
||||
} else if (_in_bb_exp_params_tag.Equals(tag)) {
|
||||
AnalyticsExpirationParametersMap exp_param_map = data as AnalyticsExpirationParametersMap;
|
||||
// TODO, add whatever else is needed to AnalyticsExpirationParametersMap -> VolSurfaceNonVolInputTag
|
||||
_bb.post(SparkTags.VolSurfaceNonVolInputTag,
|
||||
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);
|
||||
ArchivedTheoRetrieval ret = client_req.ret;
|
||||
if (ret == null || ret.SecTup == null) {
|
||||
bts.Log.Ui.warn($"VolSurfaceBusManager malformed ArchivedTheoRetrieval");
|
||||
ArchivedTheoList empty = new ArchivedTheoList();
|
||||
_bb.post(SparkTags.ResponseArchivedVols, Tuple.Create(client_req, empty));
|
||||
return;
|
||||
}
|
||||
bts.Log.Ui.info($"VolSurfaceBusManager ArchivedTheoRetrieval id: {client_req.id} save_time: {ret.SaveTime} " +
|
||||
$"sec_tup: {ret.SecTup.Venue}_{ret.SecTup.Type}_{ret.SecTup.Symbol}");
|
||||
_timer.start();
|
||||
ArchivedTheoList arch_theos = _analytics_service.get_archived_theos(ret);
|
||||
_timer.stop();
|
||||
bts.Log.Ui.info($"VolSurfaceBusManager ArchivedTheoRetrieval time: {_timer.lastIntervalTime} " +
|
||||
$"n_entries: {arch_theos.SecTheo.Count}");
|
||||
_bb.post(SparkTags.ResponseArchivedVols, Tuple.Create(client_req, arch_theos));
|
||||
}
|
||||
}
|
||||
|
||||
private int _timer_count = 0;
|
||||
private void _on_timer() {
|
||||
Action<string> report_err = (string err_txt) => {
|
||||
Log.Gen.error(String.Format("VSBusManager, creation failed with message:{0}", err_txt));
|
||||
_bb.post(SparkTags.MessageDisplayTag, new MessageDisplayData("Vol Surface Addition",
|
||||
String.Format("Could not create Vol Surface, Error : {0}", err_txt)));
|
||||
};
|
||||
bts.Log.Gen.diag(String.Format("VSBusManager._on_timer tid:{0} count:{1}",
|
||||
System.Threading.Thread.CurrentThread.ManagedThreadId, _timer_count++));
|
||||
if (_waiting_creations.Count == 0) {
|
||||
return;
|
||||
}
|
||||
if (_contract_data == null) {
|
||||
return;
|
||||
}
|
||||
mbts.analytics.VolSurfaceSettings vs_settings = _waiting_creations.Dequeue();
|
||||
IDictionary<string, IEnumerable<DateTime>> exp_map = _contract_data.get_option_expirations(VolSurfaceDataFunctions.get_symbols(vs_settings), false);
|
||||
VolSurfaceInput vs_input = mbts.analytics.VolSurfaceDataFunctions.get_default_vs_input(vs_settings, exp_map);
|
||||
var reply = _analytics_service.get_new_volsurface_id(new VoidMessage());
|
||||
if (!reply.Ok) {
|
||||
report_err("Could not obtain new ID");
|
||||
return;
|
||||
}
|
||||
bts.Log.Gen.info(String.Format("VSBusManager, successfully obtained new vs_id:{0}", reply.NewId));
|
||||
vs_input.surface_settings.core_settings.vol_surface_id = reply.NewId;
|
||||
_timer.start();
|
||||
ResultMessage res = VolSurfaceUtilityFunctions.save_volsurface(vs_input, _analytics_service);
|
||||
_timer.stop();
|
||||
if (!res.Success) {
|
||||
report_err(res.ErrorMessage);
|
||||
return;
|
||||
}
|
||||
Log.Gen.info(String.Format("VSBusManager, successfully created vol surface, vs_id:{0} ts:{1} msecs",
|
||||
vs_input.surface_settings.core_settings.vol_surface_id,
|
||||
_timer.lastIntervalTime.ToString()));
|
||||
_bb.post(SparkTags.VolSurfaceActivationTag(reply.NewId), true, false);
|
||||
}
|
||||
|
||||
public void Dispose() {
|
||||
_subs.ForEach(s => s.Dispose());
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
@@ -1,30 +0,0 @@
|
||||
using bts.api.analytics;
|
||||
|
||||
using mbts.analytics;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
namespace mbts.spark {
|
||||
/// Conveniance wrapper around the VolSurfaceInputSnapshotListStream rows
|
||||
public class VolSurfaceInputSnapshot {
|
||||
public readonly int volsurface_id;
|
||||
public readonly int transaction_id;
|
||||
public readonly DateTime save_time_utc;
|
||||
public readonly string save_marker;
|
||||
public readonly byte[] data;
|
||||
|
||||
public VolSurfaceInputSnapshot(bts.api.analytics.VolSurfaceEntryImmutable vs) {
|
||||
volsurface_id = vs.VsId;
|
||||
transaction_id = 0;
|
||||
save_time_utc = VolSurfaceUtilityFunctions.from_unix_epoch_msecs(vs.SaveTime);
|
||||
data = vs.Volsurface.ToByteArray();
|
||||
save_marker = save_time_utc.ToShortDateString() + " " +
|
||||
save_time_utc.ToLocalTime().ToLongTimeString();
|
||||
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,26 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
|
||||
namespace mbts.spark
|
||||
{
|
||||
public class VolSurfaceTheoAlertData
|
||||
{
|
||||
public readonly string guid;
|
||||
public readonly int vs_id;
|
||||
public readonly IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos;
|
||||
|
||||
public VolSurfaceTheoAlertData(string guid,
|
||||
int vs_id,
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> theos)
|
||||
{
|
||||
this.guid = guid;
|
||||
this.vs_id = vs_id;
|
||||
this.theos = theos;
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
@@ -1,69 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
using mbts.analytics;
|
||||
|
||||
namespace mbts.spark
|
||||
{
|
||||
public class VolSurfaceTheoData
|
||||
{
|
||||
/// This is the set of all contracts in the
|
||||
public readonly IDictionary<VolSurfaceExpiration, HashSet<double>> all_contracts;
|
||||
public readonly Dictionary<VolSurfaceExpiration, Dictionary<double, Theos>> committed_theo_map, candidate_theo_map;
|
||||
private readonly bool _is_dirty;
|
||||
|
||||
public VolSurfaceTheoData(IDictionary<VolSurfaceExpiration, HashSet<double>> this_all_contracts,
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> this_committed_theo_map,
|
||||
IDictionary<VolSurfaceExpiration, IEnumerable<Theos>> this_candidate_theo_map,
|
||||
bool this_is_dirty)
|
||||
{
|
||||
all_contracts = this_all_contracts;
|
||||
committed_theo_map = this_committed_theo_map.ToDictionary(kv => kv.Key, kv => kv.Value.ToDictionary(i => i.strike, i => i));
|
||||
candidate_theo_map = this_candidate_theo_map.ToDictionary(kv => kv.Key, kv => kv.Value.ToDictionary(i => i.strike, i => i));
|
||||
_is_dirty = this_is_dirty;
|
||||
}
|
||||
|
||||
// TODO
|
||||
// public IBlueRowCollection get_rows()
|
||||
// {
|
||||
// List<IBlueRow> rows = new List<IBlueRow>();
|
||||
// IBlueTableSchema schema = new VolSurfaceTheoPointRow(-1, String.Empty, true, null, null, _is_dirty).schema;
|
||||
// foreach (KeyValuePair<VolSurfaceExpiration, HashSet<double>> kvp in all_contracts)
|
||||
// {
|
||||
// VolSurfaceExpiration exp = kvp.Key;
|
||||
// Dictionary<double, Theos> exp_comm_map, exp_cand_map;
|
||||
// committed_theo_map.TryGetValue(exp, out exp_comm_map);
|
||||
// candidate_theo_map.TryGetValue(exp, out exp_cand_map);
|
||||
// foreach (double k in kvp.Value)
|
||||
// {
|
||||
// Theos committed_tp = null, candidate_tp = null;
|
||||
// committed_tp = (exp_comm_map != null && exp_comm_map.TryGetValue(k, out committed_tp)) ? committed_tp : null;
|
||||
// if (_is_dirty)
|
||||
// candidate_tp = (exp_cand_map != null && exp_cand_map.TryGetValue(k, out candidate_tp)) ? candidate_tp : null;
|
||||
// rows.Add(new VolSurfaceTheoPointRow(rows.Count, exp.symbol, true, committed_tp, candidate_tp, _is_dirty));
|
||||
// rows.Add(new VolSurfaceTheoPointRow(rows.Count, exp.symbol, false, committed_tp, candidate_tp, _is_dirty));
|
||||
// }
|
||||
// }
|
||||
// return new SequentialIDBlueTable(schema, rows.ToArray());
|
||||
// }
|
||||
|
||||
public IEnumerable<VolSurfaceExpiration> get_all_expirations() { return all_contracts.Keys; }
|
||||
|
||||
// TODO
|
||||
// public ExpStrikeKeyedData<Theos> get_exp_mapped_data(string option_sym, bool is_cand)
|
||||
// {
|
||||
// ExpStrikeKeyedData<Theos> rv = new ExpStrikeKeyedData<Theos>();
|
||||
// IDictionary<VolSurfaceExpiration, Dictionary<double, Theos>> map = is_cand ? candidate_theo_map : committed_theo_map;
|
||||
// if (map != null)
|
||||
// foreach (KeyValuePair<VolSurfaceExpiration, Dictionary<double, Theos>> kv in map)
|
||||
// {
|
||||
// VolSurfaceExpiration exp = kv.Key;
|
||||
// if (exp.symbol == option_sym)
|
||||
// rv.set_data_for_expiration(exp.expiration, kv.Value);
|
||||
// }
|
||||
// return rv;
|
||||
// }
|
||||
}
|
||||
}
|
||||
@@ -1,13 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
enum AxisPosition {
|
||||
None,
|
||||
TopLeftToRight,
|
||||
TopRightToLeft,
|
||||
BottomLeftToRight,
|
||||
BottomRightToLeft,
|
||||
LeftTopToBottom,
|
||||
LeftBottomToTop,
|
||||
RightTopToBottom,
|
||||
RightBottomToTop
|
||||
}
|
||||
}
|
||||
@@ -1,12 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
enum DateTimeIntervalType {
|
||||
Auto,
|
||||
Seconds,
|
||||
Minutes,
|
||||
Hours,
|
||||
Days,
|
||||
Weeks,
|
||||
Months,
|
||||
Years
|
||||
}
|
||||
}
|
||||
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