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| Author | SHA1 | Date | |
|---|---|---|---|
 johncolvin-og
|
ea4e599ac6 |
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@@ -1,135 +0,0 @@
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FROM ubuntu:latest
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ARG DEBIAN_FRONTEND=noninteractive
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ENV TZ=America/New_York
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# light deps (should be quick to download/install)
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RUN apt-get update && apt-get install -y \
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ca-certificates \
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curl \
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gnupg \
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liblttng-ust-dev \
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libpcap0.8-dev \
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locales \
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ninja-build \
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software-properties-common \
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sqlite3 \
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tzdata
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# clang
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RUN apt-get update && apt-get install -y \
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clang-13 \
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clang-format-13 \
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clangd-13 \
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clang-15 \
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clang-format-15 \
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clangd-15
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# g++
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RUN apt-get update && apt-get install -y \
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g++-11 \
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g++-12
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# python
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RUN apt-get update && apt-get install -y \
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python3-pip \
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python3-venv \
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&& python3 -m pip install --upgrade pip
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# dotnet
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RUN apt-get update && apt-get install -y \
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dotnet7
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# ssh
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RUN apt-get update && apt-get install -y \
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libssh2-1-dev \
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openssh-server
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# cmake
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RUN \
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curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc 2> /dev/null \
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| gpg --dearmor - | tee /etc/apt/trusted.gpg.d/kitware.gpg > /dev/null \
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&& apt-add-repository "deb https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
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&& apt-get update \
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&& apt-get install -y cmake
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# node
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ARG node_major=18
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RUN mkdir -p /etc/apt/keyrings \
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&& curl -fsSL https://deb.nodesource.com/gpgkey/nodesource-repo.gpg.key \
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| gpg --dearmor -o /etc/apt/keyrings/nodesource.gpg \
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&& echo "deb [signed-by=/etc/apt/keyrings/nodesource.gpg] https://deb.nodesource.com/node_$node_major.x nodistro main" \
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| tee /etc/apt/sources.list.d/nodesource.list \
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&& apt-get update \
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&& apt-get install -y nodejs
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# ccache is done here so that ccache sees clang++ installed, not clang-10
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RUN apt-get update && apt-get install -y \
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ccache
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# emumba (light deps)
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RUN apt-get update && apt-get install -y \
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build-essential \
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doxygen \
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python3-sphinx \
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graphviz \
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libgtest-dev \
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libssl-dev \
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rapidjson-dev \
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zlib1g-dev \
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pkg-config
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|
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# emumba (boost)
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RUN apt-get update && apt-get install -y \
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libboost-filesystem-dev \
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libboost-program-options-dev \
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libboost-test-dev \
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libboost-date-time-dev
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# dev utils
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RUN apt-get update && apt-get install -y \
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fish \
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git-all \
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sudo \
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vim \
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wget
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# set up default executables (update-alternatives)
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RUN \
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update-alternatives --install /usr/bin/clang++ clang++ /usr/bin/clang++-13 100; \
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update-alternatives --install /usr/bin/clang clang /usr/bin/clang-13 100; \
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update-alternatives --install /usr/bin/clang-format clang-format /usr/bin/clang-format-13 100; \
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update-alternatives --install /usr/bin/clangd clangd /usr/bin/clangd-13 100; \
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update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-11 100; \
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update-alternatives --install /usr/bin/gcc gcc /usr/bin/gcc-11 100
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# Add compiler symlinks for ccache
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RUN \
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ln -s /usr/bin/ccache /usr/local/bin/clang; \
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ln -s /usr/bin/ccache /usr/local/bin/clang++; \
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ln -s /usr/bin/ccache /usr/local/bin/clang-13; \
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ln -s /usr/bin/ccache /usr/local/bin/clang++-13; \
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ln -s /usr/bin/ccache /usr/local/bin/clang-15; \
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ln -s /usr/bin/ccache /usr/local/bin/clang++-15; \
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ln -s /usr/bin/ccache /usr/local/bin/gcc; \
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ln -s /usr/bin/ccache /usr/local/bin/g++; \
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ln -s /usr/bin/ccache /usr/local/bin/gcc-11; \
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ln -s /usr/bin/ccache /usr/local/bin/g++-11; \
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ln -s /usr/bin/ccache /usr/local/bin/gcc-12; \
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ln -s /usr/bin/ccache /usr/local/bin/g++-12
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RUN locale-gen en_US.UTF-8
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ARG docker_user="bts"
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ARG docker_uid="1000"
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ARG docker_pass="bts"
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RUN \
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groupadd -g "$docker_uid" "$docker_user" \
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&& useradd \
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-m \
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-u "$docker_uid" \
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-g "$docker_uid" \
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-G sudo \
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--password "$(openssl passwd -1 "$docker_pass")" \
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"$docker_user"
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@@ -1,64 +0,0 @@
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[dev containers]: https://code.visualstudio.com/docs/devcontainers/containers
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[dev containers ext]: https://marketplace.visualstudio.com/items?itemName=ms-vscode-remote.remote-containers
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[docker repo sparkd-dev]: https://hub.docker.com/repository/docker/bluetradingsystems/sparkd-dev/general
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# Sparkd Dev Container
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## How to create a VS Code [Dev Container][dev containers]
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1. Make sure the **[Dev Containers][dev containers ext]** extension is installed
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1. Make sure your Docker image is up to date
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```
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docker pull bluetradingsystems/sparkd-dev:latest
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```
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1. Copy **devcontainer.json** from this folder to **$workspaceFolder/.devcontainer/**.
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1. In the VS Code Command Palette, run **Dev Containers: Reopen in Container**
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---
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## How to create a Sparkd Container in the terminal (without VS Code)
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1. Make sure your Docker image is up to date
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```
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docker pull bluetradingsystems/sparkd-dev:latest
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```
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2. Start the container
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```
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# Replace <cont_name> with a name for the container. The container's
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# "$HOME" dir will be mounted to "$HOME/.sparkd-dev/mounts/<cont_name> on
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# the host
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./start_docker.sh --container <cont_name> --mount-existing
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```
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* *Replace <cont_name> with a name for the container*
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* *The container's `$HOME` dir will be mounted to
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`$HOME/.sparkd-dev/mounts<cont_name>` on the host*<br>
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* *Run: `./start_docker.sh --help` to see additional options*
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3. *(Optional) Attach VS Code to the running container.*<br>
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Run **Dev Containers: Attach to Running Container** from the command palette,
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then select your container in the dropdown
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---
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## How to update the Docker image
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1. Change the image by modifying the Dockerfile (don't tag arbitrary
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images on your machine and push them to our repo on Docker Hub)
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1. After modifying the Dockerfile, (re)build the image
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```
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# Run in this dir
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docker build -t bluetradingsystems/sparkd-dev:latest .
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```
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***Note:** Your docker login must have write permissions to push to the
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[sparkd-dev][docker repo sparkd-dev] repository*
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2. Commit the changes to Dockerfile in git
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3. Push the new image to Docker Hub
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```
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docker push bluetradingsystems/sparkd-dev:latest
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```
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***Note:** The image doesn't have to be on Docker Hub, we can simply build
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it from scratch on our local machines (with the Dockerfile). However, this
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takes time. It is significantly quicker to download a prebuilt image, so we
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store it on a remote repository to save time when setting up a new dev
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machine.*
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@@ -1,123 +0,0 @@
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# ~/.bashrc: executed by bash(1) for non-login shells.
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# see /usr/share/doc/bash/examples/startup-files (in the package bash-doc)
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# for examples
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# If not running interactively, don't do anything
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case $- in
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*i*) ;;
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*) return;;
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esac
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# don't put duplicate lines or lines starting with space in the history.
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# See bash(1) for more options
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HISTCONTROL=ignoreboth
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# append to the history file, don't overwrite it
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shopt -s histappend
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# for setting history length see HISTSIZE and HISTFILESIZE in bash(1)
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HISTSIZE=1000
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HISTFILESIZE=2000
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|
||||
# check the window size after each command and, if necessary,
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# update the values of LINES and COLUMNS.
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shopt -s checkwinsize
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# If set, the pattern "**" used in a pathname expansion context will
|
||||
# match all files and zero or more directories and subdirectories.
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#shopt -s globstar
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|
||||
# make less more friendly for non-text input files, see lesspipe(1)
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[ -x /usr/bin/lesspipe ] && eval "$(SHELL=/bin/sh lesspipe)"
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||||
|
||||
# set variable identifying the chroot you work in (used in the prompt below)
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if [ -z "${debian_chroot:-}" ] && [ -r /etc/debian_chroot ]; then
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debian_chroot=$(cat /etc/debian_chroot)
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fi
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|
||||
# set a fancy prompt (non-color, unless we know we "want" color)
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||||
case "$TERM" in
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xterm-color|*-256color) color_prompt=yes;;
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esac
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||||
# uncomment for a colored prompt, if the terminal has the capability; turned
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||||
# off by default to not distract the user: the focus in a terminal window
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||||
# should be on the output of commands, not on the prompt
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||||
#force_color_prompt=yes
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||||
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||||
if [ -n "$force_color_prompt" ]; then
|
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if [ -x /usr/bin/tput ] && tput setaf 1 >&/dev/null; then
|
||||
# We have color support; assume it's compliant with Ecma-48
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||||
# (ISO/IEC-6429). (Lack of such support is extremely rare, and such
|
||||
# a case would tend to support setf rather than setaf.)
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||||
color_prompt=yes
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||||
else
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||||
color_prompt=
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||||
fi
|
||||
fi
|
||||
|
||||
if [ "$color_prompt" = yes ]; then
|
||||
PS1='${debian_chroot:+($debian_chroot)}\[\033[01;32m\]\u@\h\[\033[00m\]:\[\033[01;34m\]\w\[\033[00m\]\$ '
|
||||
else
|
||||
PS1='${debian_chroot:+($debian_chroot)}\u@\h:\w\$ '
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||||
fi
|
||||
unset color_prompt force_color_prompt
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||||
|
||||
# If this is an xterm set the title to user@host:dir
|
||||
case "$TERM" in
|
||||
xterm*|rxvt*)
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||||
PS1="\[\e]0;${debian_chroot:+($debian_chroot)}\u@\h: \w\a\]$PS1"
|
||||
;;
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||||
*)
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||||
;;
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||||
esac
|
||||
|
||||
# enable color support of ls and also add handy aliases
|
||||
if [ -x /usr/bin/dircolors ]; then
|
||||
test -r ~/.dircolors && eval "$(dircolors -b ~/.dircolors)" || eval "$(dircolors -b)"
|
||||
alias ls='ls --color=auto'
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||||
#alias dir='dir --color=auto'
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||||
#alias vdir='vdir --color=auto'
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||||
|
||||
alias grep='grep --color=auto'
|
||||
alias fgrep='fgrep --color=auto'
|
||||
alias egrep='egrep --color=auto'
|
||||
fi
|
||||
|
||||
# colored GCC warnings and errors
|
||||
#export GCC_COLORS='error=01;31:warning=01;35:note=01;36:caret=01;32:locus=01:quote=01'
|
||||
|
||||
# some more ls aliases
|
||||
alias ll='ls -alF'
|
||||
alias la='ls -A'
|
||||
alias l='ls -CF'
|
||||
|
||||
# Add an "alert" alias for long running commands. Use like so:
|
||||
# sleep 10; alert
|
||||
alias alert='notify-send --urgency=low -i "$([ $? = 0 ] && echo terminal || echo error)" "$(history|tail -n1|sed -e '\''s/^\s*[0-9]\+\s*//;s/[;&|]\s*alert$//'\'')"'
|
||||
|
||||
# Alias definitions.
|
||||
# You may want to put all your additions into a separate file like
|
||||
# ~/.bash_aliases, instead of adding them here directly.
|
||||
# See /usr/share/doc/bash-doc/examples in the bash-doc package.
|
||||
|
||||
if [ -f ~/.bash_aliases ]; then
|
||||
. ~/.bash_aliases
|
||||
fi
|
||||
|
||||
# enable programmable completion features (you don't need to enable
|
||||
# this, if it's already enabled in /etc/bash.bashrc and /etc/profile
|
||||
# sources /etc/bash.bashrc).
|
||||
if ! shopt -oq posix; then
|
||||
if [ -f /usr/share/bash-completion/bash_completion ]; then
|
||||
. /usr/share/bash-completion/bash_completion
|
||||
elif [ -f /etc/bash_completion ]; then
|
||||
. /etc/bash_completion
|
||||
fi
|
||||
fi
|
||||
|
||||
if [[ ! -v XDG_CONFIG_HOME ]]; then
|
||||
export XDG_CONFIG_HOME="$HOME/.config"
|
||||
fi
|
||||
|
||||
export PATH="$HOME/.local/bin:$PATH"
|
||||
@@ -1,25 +0,0 @@
|
||||
if ! set -q XDG_CONFIG_HOME
|
||||
set -g XDG_CONFIG_HOME "$HOME/.config"
|
||||
end
|
||||
set fish_config_home $XDG_CONFIG_HOME/fish
|
||||
if test -f "$fish_config_home/aliases.fish"
|
||||
source "$fish_config_home/aliases.fish"
|
||||
end
|
||||
# enable general colors and case insensitive search in 'less'
|
||||
set -x LESS "$LESS -R -Q -I"
|
||||
set -x LC_ALL en_US.UTF-8
|
||||
# enable syntax highlighting in 'less'
|
||||
# set highlight color scheme in 'less' (fg)(bg)
|
||||
set -g LESS_TERMCAP_md (tput bold)(tput setaf 36)
|
||||
set -g LESS_TERMCAP_me (tput sgr0)
|
||||
set -g LESS_TERMCAP_so (tput setaf 232)(tput setab 49)
|
||||
|
||||
set -q TERM
|
||||
if test $status != 0; or test $TERM = 'xterm'
|
||||
set -g TERM 'xterm-256color'
|
||||
end
|
||||
|
||||
# Fix impossible-to-see navy blue command text color
|
||||
set fish_color_command F8F8F2
|
||||
|
||||
set -g PATH "$HOME/.local/bin" "$PATH"
|
||||
@@ -1,32 +0,0 @@
|
||||
{
|
||||
"image": "bluetradingsystems/sparkd-dev:latest",
|
||||
"initializeCommand": "${localWorkspaceFolder}/docker/sparkd/dev/devcontainer_initialize.sh",
|
||||
"hostRequirements": {
|
||||
"memory": "4gb",
|
||||
"storage": "6gb"
|
||||
},
|
||||
"postCreateCommand": "/home/bts/spark/docker/sparkd/dev/devcontainer_post_create.sh",
|
||||
"containerUser": "bts",
|
||||
"workspaceMount": "source=${localWorkspaceFolder},target=/home/bts/spark,type=bind",
|
||||
"workspaceFolder": "/home/bts/spark",
|
||||
"updateRemoteUserUID": true,
|
||||
"shutdownAction": "none",
|
||||
// Note: If running multiple containers on the same host, each must use a
|
||||
// unique set of ports. Usually we just add 1000 to each port as needed. For
|
||||
// example, if 8000-8003 is taken, go with 9000-9003, then 10000-10003, etc.
|
||||
"runArgs": [
|
||||
"--shm-size",
|
||||
"2gb",
|
||||
"-p",
|
||||
"8000:8000",
|
||||
"-p",
|
||||
"8001:8001",
|
||||
"-p",
|
||||
"8002:8002",
|
||||
"-p",
|
||||
"8003:8003"
|
||||
],
|
||||
"mounts": [
|
||||
"source=${localEnv:HOME}/.sparkd-dev/mounts/sparkd-dev,target=/home/bts,type=bind"
|
||||
]
|
||||
}
|
||||
@@ -1,3 +0,0 @@
|
||||
#!/usr/bin/env bash
|
||||
|
||||
mkdir -p "$HOME/.sparkd-dev/mounts/sparkd-dev"
|
||||
@@ -1,33 +0,0 @@
|
||||
#!/usr/bin/env bash
|
||||
|
||||
this_dir="$(realpath "$(dirname "${BASH_SOURCE[0]}")")"
|
||||
repo_dir="$(cd "$this_dir" && git rev-parse --show-toplevel)"
|
||||
tools_dir="$repo_dir/tools"
|
||||
gen_tag="GENERATED BY $(basename "${BASH_SOURCE[0]}")"
|
||||
|
||||
function copy_if_not_exist() {
|
||||
src="$1"
|
||||
dest="$2"
|
||||
if [[ ! -e "$src" ]]; then
|
||||
echo "Unable to copy $src to $dest. Source file doesn't exist"
|
||||
exit 1
|
||||
fi
|
||||
if [[ ! -e "$dest" ]]; then
|
||||
cp "$src" "$dest"
|
||||
fi
|
||||
}
|
||||
|
||||
# Init bashrc
|
||||
echo "Initializing bashrc"
|
||||
copy_if_not_exist "$this_dir/bashrc" "$HOME/.bashrc"
|
||||
|
||||
# Init fish config
|
||||
echo "Initializing fish config"
|
||||
fish_cfg_dir="$HOME/.config/fish/"
|
||||
mkdir -p "$fish_cfg_dir"
|
||||
exec "$tools_dir/write_tag_block.sh" \
|
||||
--tag "$gen_tag" \
|
||||
--replace \
|
||||
--in-place \
|
||||
--file "$fish_cfg_dir/config.fish" \
|
||||
--text "$(cat "$this_dir/config.fish")"
|
||||
@@ -1,250 +0,0 @@
|
||||
#!/usr/bin/env bash
|
||||
|
||||
function _exit() {
|
||||
if [[ "$#" -gt 1 ]]; then
|
||||
# When there are multiple args, the last arg is the exit code.
|
||||
echo "${@:1:($# - 1)}"
|
||||
exit "${@: -1}"
|
||||
fi
|
||||
echo "$1"
|
||||
exit 0
|
||||
}
|
||||
|
||||
help_text="\
|
||||
Add or update a user's uid
|
||||
|
||||
This script is intended to be run in a Docker container as a means to obtain
|
||||
file permissions in mounted directories owned by the specified UID.
|
||||
|
||||
Usage: set_user.sh [OPTIONS] USER UID
|
||||
|
||||
Positionals:
|
||||
USER The name of the user
|
||||
|
||||
Options:
|
||||
--user USER The name of the user (defaults to 'bts')
|
||||
--uid UID The new uid to give USER (defaults to '1000')
|
||||
--group GROUP The primary group to give USER (defaults to USER)
|
||||
--gid GID The primary gid to give USER (defaults to UID)
|
||||
--pass PASSWORD The password to give USER (defaults to USER, only applies
|
||||
if USER hasn't been created yet)
|
||||
--modify-existing Update UID/GID even if USER already exists
|
||||
-h,--help Print this help message and exit
|
||||
|
||||
"
|
||||
|
||||
function _add_group() {
|
||||
if [[ "$#" -ne 2 ]]; then
|
||||
_exit "'_add_group' requires exactly 2 args (group, gid). Received $#." 1
|
||||
fi
|
||||
local group="$1"
|
||||
local gid="$2"
|
||||
# Check if gid already exists
|
||||
local existing_group=""
|
||||
existing_group="$(getent group "$gid" | cut -d : -f 1)"
|
||||
if [[ -n "$existing_group" ]]; then
|
||||
if [[ "$existing_group" != "$group" ]]; then
|
||||
echo "\
|
||||
The gid '$gid' is already in use by group '$existing_group' (will not rename \
|
||||
the group)"
|
||||
fi
|
||||
return
|
||||
fi
|
||||
|
||||
# Check if group with same name already exists
|
||||
local existing_gid=""
|
||||
existing_gid="$(getent group "$group" | cut -d : -f 3)"
|
||||
if [[ -n "$existing_gid" ]]; then
|
||||
# The group already exists. Only modify if --modify-existing was specified.
|
||||
if [[ "$modify_existing" -eq 0 ]]; then
|
||||
_exit "\
|
||||
The group '$group' already exists with gid '$existing_gid'.
|
||||
Specify --modify-existing to change the gid anyways." 1
|
||||
fi
|
||||
echo "Changing gid for group '$group' from '$existing_gid' to '$gid'"
|
||||
groupmod -g "$gid" "$group"
|
||||
else
|
||||
# The group doesn't exist. Add it
|
||||
echo "Adding group '$group:$gid'"
|
||||
groupadd -g "$gid" "$group"
|
||||
fi
|
||||
}
|
||||
|
||||
function _add_user() {
|
||||
local user="$1"
|
||||
local uid="$2"
|
||||
local group="$3"
|
||||
local gid="$4"
|
||||
local pass="$5"
|
||||
if [[ "$#" -ne 5 ]]; then
|
||||
_exit "'_add_user' requires exactly 5 args (user, uid, group, gid, pass). \
|
||||
Received $#." 1
|
||||
fi
|
||||
|
||||
# Check if uid is being used by another user
|
||||
local existing_user=""
|
||||
existing_user="$(getent passwd "$uid" | cut -d : -f 1)"
|
||||
if [[ -n "$existing_user" ]]; then
|
||||
if [[ "$existing_user" != "$user" ]]; then
|
||||
_exit "The uid '$uid' is already in use by user '$existing_user'." 1
|
||||
fi
|
||||
|
||||
echo "The user '$user' already has the specified uid '$uid'."
|
||||
# Modify gid if necessary
|
||||
local existing_gid=""
|
||||
existing_gid="$(id -g "$user" 2> /dev/null)"
|
||||
if [[ "$existing_gid" = "$gid" ]]; then
|
||||
echo "The user '$user' already has the specified gid '$gid'."
|
||||
return
|
||||
fi
|
||||
|
||||
if [[ "$modify_existing" -eq 0 ]]; then
|
||||
_exit "\
|
||||
The user '$user' is associated with the primary group '$existing_gid'.
|
||||
Specify --modify-existing to change the gid anyways." 1
|
||||
fi
|
||||
|
||||
echo "Changing primary group for '$user' from '$existing_gid' to '$gid'."
|
||||
usermod -g "$gid" "$user"
|
||||
return
|
||||
fi
|
||||
|
||||
# Check if user with same name already exists
|
||||
local existing_uid=""
|
||||
existing_uid="$(id -u "$user" 2> /dev/null)"
|
||||
if [[ -n "$existing_uid" ]]; then
|
||||
if [[ "$existing_uid" = "$uid" ]]; then
|
||||
_exit "The user '$user' already has the specified uid '$uid'" 0
|
||||
fi
|
||||
|
||||
if [[ "$modify_existing" -eq 0 ]]; then
|
||||
_exit "\
|
||||
User '$user' already exists with uid '$existing_uid'.
|
||||
Specify --modify-existing to change the uid anyways." 1
|
||||
fi
|
||||
|
||||
echo "Changing uid for user '$user' from '$existing_uid' to '$uid'"
|
||||
if ! usermod -u "$uid" -g "$gid" "$user"; then
|
||||
_exit "usermod exited with code $?" 1
|
||||
fi
|
||||
return
|
||||
fi
|
||||
|
||||
# The user doesn't exist. Add it
|
||||
echo "Adding user '$user:$uid' (group='$group:$gid', password='$pass')"
|
||||
useradd -m -u "$uid" -g "$gid" -G sudo --password "$(openssl passwd -1 "$pass")" "$user"
|
||||
}
|
||||
|
||||
function _update_fish_dir_perms() {
|
||||
local user="$1"
|
||||
local uid="$2"
|
||||
local gid="$3"
|
||||
# When a fish shell session starts, a temp dir named '/tmp/fish.<user>' is
|
||||
# created with the user's current uid/gid. If such a dir exists for the
|
||||
# specified USER, make sure the uid/gid match the new values.
|
||||
fish_dir="/tmp/fish.$user"
|
||||
if [[ -d "$fish_dir" ]]; then
|
||||
perms="$uid:$gid"
|
||||
existing_perms="$(stat -c %u:%g "$fish_dir")"
|
||||
if [[ "$existing_perms" != "$perms" ]]; then
|
||||
echo "Changing uid:gid for dir '$fish_dir' from '$existing_perms' to '$perms'"
|
||||
chown -R "$perms" "$fish_dir"
|
||||
fi
|
||||
fi
|
||||
}
|
||||
|
||||
user=""
|
||||
group=""
|
||||
pass=""
|
||||
declare -i uid=0
|
||||
declare -i gid=0
|
||||
declare -i modify_existing=0
|
||||
|
||||
while [[ $# -gt 0 ]]; do
|
||||
case "$1" in
|
||||
--user)
|
||||
if [[ -z "$2" ]]; then
|
||||
_exit "USER (--user) must be non-empty" 1
|
||||
elif [[ "$2" = "root" ]]; then
|
||||
_exit "USER (--user) cannot be 'root'" 1
|
||||
fi
|
||||
user="$2"
|
||||
shift 2
|
||||
;;
|
||||
--group)
|
||||
if [[ -z "$2" ]]; then
|
||||
_exit "GROUP (--group) must be non-empty" 1
|
||||
elif [[ "$2" = "root" ]]; then
|
||||
_exit "GROUP (--group) cannot be 'root'" 1
|
||||
fi
|
||||
group="$2"
|
||||
shift 2
|
||||
;;
|
||||
--uid)
|
||||
if [[ -z "$2" ]]; then
|
||||
_exit "UID (--uid) must be non-empty" 1
|
||||
fi
|
||||
uid="$2"
|
||||
shift 2
|
||||
;;
|
||||
--gid)
|
||||
if [[ -z "$2" ]]; then
|
||||
_exit "GID (--gid) must be non-empty" 1
|
||||
fi
|
||||
gid="$2"
|
||||
shift 2
|
||||
;;
|
||||
--pass)
|
||||
if [[ -z "$2" ]]; then
|
||||
_exit "PASS (--pass) must be non-empty" 1
|
||||
fi
|
||||
pass="$2"
|
||||
shift 2
|
||||
;;
|
||||
--modify-existing)
|
||||
modify_existing=1
|
||||
shift 1
|
||||
;;
|
||||
-h)
|
||||
;&
|
||||
--help)
|
||||
_exit "$help_text" 0
|
||||
;;
|
||||
*)
|
||||
if [[ -z "$1" ]]; then
|
||||
_exit "Invalid positional argument '$1'" 1
|
||||
elif [[ -z "$user" ]]; then
|
||||
user="$1"
|
||||
elif [[ -z "$uid" ]]; then
|
||||
uid="$1"
|
||||
else
|
||||
_exit "Unexpected argument '$1'" 1
|
||||
fi
|
||||
shift 1
|
||||
;;
|
||||
esac
|
||||
done
|
||||
|
||||
if [[ -z "$user" ]]; then
|
||||
user="bts"
|
||||
fi
|
||||
|
||||
if [[ $uid -eq 0 ]]; then
|
||||
uid=1000
|
||||
fi
|
||||
|
||||
# In general, a user's primary group/gid matches the user's name/uid.
|
||||
# If group/gid args weren't specified, set them to name/uid.
|
||||
if [[ -z "$group" ]]; then
|
||||
group="$user"
|
||||
fi
|
||||
if [[ $gid -eq 0 ]]; then
|
||||
gid=$uid
|
||||
fi
|
||||
if [[ -z "$pass" ]]; then
|
||||
pass="$user"
|
||||
fi
|
||||
|
||||
_add_group "$group" "$gid"
|
||||
_add_user "$user" "$uid" "$group" "$gid" "$pass"
|
||||
_update_fish_dir_perms "$user" "$uid" "$gid"
|
||||
@@ -1,230 +0,0 @@
|
||||
#!/usr/bin/env bash
|
||||
|
||||
function _exit() {
|
||||
if [[ "$#" -gt 1 ]]; then
|
||||
# When there are multiple args, the last arg is the exit code.
|
||||
echo "${@:1:($# - 1)}"
|
||||
exit "${@: -1}"
|
||||
fi
|
||||
echo "$1"
|
||||
exit 0
|
||||
}
|
||||
|
||||
help_text="\
|
||||
Start a docker dev container
|
||||
Usage: start_docker.sh [OPTIONS] image container
|
||||
|
||||
Positionals:
|
||||
image The image to instantiate
|
||||
container The name for the container
|
||||
|
||||
Options:
|
||||
-u,--user USER The user to add in the container (defaults to 'bts')
|
||||
-p,--pass PASS The password for USER in the container (defaults to USER)
|
||||
-i,--image IMAGE The image to instantiate (defaults to 'bluetradingsystems/sparkd-dev:latest')
|
||||
-c,--container CONT The name for the container
|
||||
-m,--mount MOUNT The name for the folder (outside the container) to create/mount to the home
|
||||
directory in the container. Mount folders are added here: $mount_prefix
|
||||
--mount-existing Mount the specified dir even if it already exists
|
||||
--port <cont_port>:<host_port> OR [<cont_port>:<host_port>,...] Port mapping(s). May be
|
||||
specified multiple times.
|
||||
-h,--help Print this help message and exit
|
||||
|
||||
"
|
||||
|
||||
mount_prefix="$HOME/.sparkd-dev/mounts"
|
||||
declare docker_user=""
|
||||
declare docker_pass=""
|
||||
declare image_name=""
|
||||
declare cont_name=""
|
||||
declare mount_name=""
|
||||
declare -i mount_existing=0
|
||||
declare -a port_mappings=()
|
||||
|
||||
while [[ $# -gt 0 ]]; do
|
||||
case "$1" in
|
||||
-u)
|
||||
;&
|
||||
--user)
|
||||
if [[ -z "$2" ]]; then
|
||||
_exit "User (-u,--user) must be non-empty" 1
|
||||
fi
|
||||
docker_user="$2"
|
||||
shift 2
|
||||
;;
|
||||
-p)
|
||||
;&
|
||||
--pass)
|
||||
if [[ -z "$2" ]]; then
|
||||
_exit "Password (-p,--pass) must be non-empty" 1
|
||||
fi
|
||||
docker_pass="$2"
|
||||
shift 2
|
||||
;;
|
||||
-i)
|
||||
;&
|
||||
--image)
|
||||
if [[ -n "$image_name" ]]; then
|
||||
_exit "Unexpected argument '$1'" 1
|
||||
elif [[ -z "$2" ]]; then
|
||||
_exit "Image (-i,--image) must be non-empty" 1
|
||||
fi
|
||||
image_name="$2"
|
||||
shift 2
|
||||
;;
|
||||
-c)
|
||||
;&
|
||||
--container)
|
||||
if [[ -n "$cont_name" ]]; then
|
||||
_exit "Unexpected argument '$1'" 1
|
||||
elif [[ -z "$2" ]]; then
|
||||
_exit "Container (-c,--container) must be non-empty" 1
|
||||
fi
|
||||
cont_name="$2"
|
||||
shift 2
|
||||
;;
|
||||
--port)
|
||||
# Parse port(s) arg, and append the result to 'port_mappings'
|
||||
# Note: port(s) may be specified in bracketed notation:
|
||||
# [a:b,c:d,...,y:z]
|
||||
next_ports="$(echo "$2" | sed -e 's/\[//g' -e 's/\]//g' -e 's/,/ /g')"
|
||||
if [[ "${#port_mappings[@]}" -gt 0 ]]; then
|
||||
next_ports=" $next_ports"
|
||||
fi
|
||||
port_mappings+=("$next_ports")
|
||||
shift 2
|
||||
;;
|
||||
-m)
|
||||
;&
|
||||
--mount)
|
||||
if [[ -z "$2" ]]; then
|
||||
echo "Mount (-m,--mount) must be non-empty"
|
||||
fi
|
||||
mount_name="$2"
|
||||
shift 2
|
||||
;;
|
||||
--mount-existing)
|
||||
mount_existing=1
|
||||
shift 1
|
||||
;;
|
||||
-h)
|
||||
;&
|
||||
--help)
|
||||
_exit "$help_text" 0
|
||||
;;
|
||||
*)
|
||||
if [[ -z "$1" ]]; then
|
||||
_exit "Invalid positional argument '$1'" "$help_text" 1
|
||||
elif [[ -z "$image_name" ]]; then
|
||||
image_name="$1"
|
||||
elif [[ -z "$cont_name" ]]; then
|
||||
cont_name="$1"
|
||||
else
|
||||
_exit "Unexpected argument '$1'" "$help_text" 1
|
||||
fi
|
||||
shift 1
|
||||
;;
|
||||
esac
|
||||
done
|
||||
|
||||
|
||||
if [[ -z "$image_name" ]]; then
|
||||
image_name="bluetradingsystems/sparkd-dev:latest"
|
||||
fi
|
||||
|
||||
host_name="$(hostname)"
|
||||
if [[ -n "$cont_name" ]]; then
|
||||
host_name="$host_name.$cont_name"
|
||||
fi
|
||||
|
||||
if [[ -z "$mount_name" ]]; then
|
||||
mount_name="$cont_name"
|
||||
fi
|
||||
|
||||
if [[ -z "$mount_name" && -z "$cont_name" ]]; then
|
||||
_exit "Please specify mount (-m,--mount) and/or container (-c,--container)" 1
|
||||
fi
|
||||
|
||||
if [[ -z "$docker_user" ]]; then
|
||||
docker_user="bts"
|
||||
fi
|
||||
|
||||
if [[ "$docker_user" = "root" ]]; then
|
||||
_exit "USER (--user) cannot be 'root'" 1
|
||||
fi
|
||||
|
||||
cont_home="/home/$docker_user"
|
||||
home_src="$mount_prefix/$mount_name"
|
||||
home_tgt="$cont_home"
|
||||
this_dir="$(dirname "$(realpath "${BASH_SOURCE[0]}")")"
|
||||
repo_src="$(cd "$this_dir" && git rev-parse --show-toplevel)"
|
||||
repo_tgt="$cont_home/spark"
|
||||
working_dir="$cont_home"
|
||||
|
||||
if [[ $mount_existing -eq 0 && -e "$home_src" ]]; then
|
||||
# Don't overwrite existing dir (might be mounted in another container)
|
||||
_exit "Mount dir '$home_src' already exists (use --mount-existing to mount \
|
||||
an existing directory)" 1
|
||||
fi
|
||||
|
||||
mkdir -p "$home_src"
|
||||
|
||||
if [[ "${#port_mappings[@]}" -eq 0 ]]; then
|
||||
port_mappings=("8000:8000" "8001:8001" "8002:8002" "8003:8003")
|
||||
fi
|
||||
|
||||
# Adapt port_mappings into args for `docker run` by prepending "-p " to each
|
||||
# item
|
||||
declare -a docker_port_args=()
|
||||
for port_mapping in "${port_mappings[@]}"; do
|
||||
docker_port_args+=("-p $port_mapping")
|
||||
done
|
||||
|
||||
echo "Starting container '$cont_name'
|
||||
image_name : $image_name
|
||||
cont_name : $cont_name
|
||||
home_src : $home_src
|
||||
home_tgt : $home_tgt
|
||||
repo_src : $repo_src
|
||||
repo_tgt : $repo_tgt
|
||||
working dir : $working_dir
|
||||
ports : ${port_mappings[*]}
|
||||
"
|
||||
|
||||
# DON'T wrap $docker_port_args in quotes. We want bash to split args by
|
||||
# whitespace
|
||||
docker run \
|
||||
--net bridge \
|
||||
-h "$host_name" \
|
||||
-e "TZ=America/New_York" \
|
||||
--cap-add=SYS_PTRACE \
|
||||
--security-opt seccomp=unconfined \
|
||||
--name "$cont_name" \
|
||||
-v "$home_src:$home_tgt" \
|
||||
-v "$repo_src:$repo_tgt" \
|
||||
-w "$working_dir" \
|
||||
${docker_port_args[*]} \
|
||||
--shm-size=4024m \
|
||||
-t \
|
||||
-i \
|
||||
-d \
|
||||
-e DISPLAY="$DISPLAY" \
|
||||
"$image_name"
|
||||
|
||||
# Add user w/ same uid and gid as the current user outside of docker, so the
|
||||
# user inside the docker has file permissions in the mounted dir.
|
||||
docker_group="$docker_user"
|
||||
docker_uid="$(id -u "$USER")"
|
||||
docker_gid="$(id -g "$USER")"
|
||||
if [[ -z "$docker_pass" ]]; then
|
||||
docker_pass="$docker_user"
|
||||
fi
|
||||
docker exec -u root -it "$cont_name" "$repo_tgt/docker/sparkd/dev/set_user.sh" \
|
||||
--user "$docker_user" \
|
||||
--uid "$docker_uid" \
|
||||
--group "$docker_group" \
|
||||
--gid "$docker_gid" \
|
||||
--pass "$docker_pass"
|
||||
|
||||
# Run same script VS Code runs to initialize the container
|
||||
docker exec -u "$docker_user" -it "$cont_name" "$repo_tgt/docker/sparkd/dev/devcontainer_post_create.sh"
|
||||
@@ -1,64 +0,0 @@
|
||||
#!/usr/bin/env bash
|
||||
|
||||
function print_help_and_exit() {
|
||||
cat <<EOF
|
||||
Open a shell inside the docker container
|
||||
Usage: docker_shell.sh [OPTIONS] [CONTAINER]
|
||||
|
||||
Options:
|
||||
-u,--user The user to login with in the container (defaults to the current user)
|
||||
-c,--container The container name (may also be specified as positional arg)
|
||||
-h,--help Print this help message and exit
|
||||
|
||||
EOF
|
||||
exit "$1"
|
||||
}
|
||||
|
||||
|
||||
declare docker_user=""
|
||||
declare cont_name=""
|
||||
|
||||
while [[ $# -gt 0 ]]; do
|
||||
case "$1" in
|
||||
-u)
|
||||
;&
|
||||
--user)
|
||||
if [[ -z "$2" ]]; then
|
||||
echo "User (-u,--user) must be non-empty"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
docker_user="$2"
|
||||
shift 2
|
||||
;;
|
||||
-h)
|
||||
;&
|
||||
--help)
|
||||
print_help_and_exit 0
|
||||
;;
|
||||
-c)
|
||||
;&
|
||||
--container)
|
||||
shift 1
|
||||
;&
|
||||
*)
|
||||
if [[ ! -z "$cont_name" ]]; then
|
||||
echo "Unexpected argument '$1'"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
cont_name="$1"
|
||||
shift 1
|
||||
;;
|
||||
esac
|
||||
done
|
||||
|
||||
|
||||
if [[ -z "$cont_name" ]]; then
|
||||
echo "Please specify the container ([-c,--container])"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
|
||||
if [[ -z "$docker_user" ]]; then
|
||||
docker_user="$USER"
|
||||
fi
|
||||
|
||||
docker exec -u "$docker_user" -it "$cont_name" bash
|
||||
@@ -1,233 +0,0 @@
|
||||
#!/usr/bin/env bash
|
||||
|
||||
mount_prefix="$HOME/.spark-dev/mounts"
|
||||
|
||||
function print_help_and_exit() {
|
||||
cat <<EOF
|
||||
Start a docker dev container
|
||||
Usage: start_docker.sh [OPTIONS] image container
|
||||
|
||||
Positionals:
|
||||
image The image to instantiate
|
||||
container The name for the container
|
||||
|
||||
Options:
|
||||
-u,--user USER The user to add in the container (defaults to the current user)
|
||||
-p,--pass PASS The password for USER in the container (defaults to USER)
|
||||
-i,--image IMAGE The image to instantiate
|
||||
-c,--container CONT The name for the container
|
||||
-m,--mount MOUNT The name for the folder (outside the container) to create/mount to the home
|
||||
directory in the container. Mount folders are added here: $mount_prefix
|
||||
--mount-existing Mount the specified dir even if it already exists
|
||||
--port <cont_port>:<host_port> OR [<cont_port>:<host_port>,...] Port mapping(s). May be
|
||||
specified multiple times.
|
||||
-h,--help Print this help message and exit
|
||||
|
||||
EOF
|
||||
exit "$1"
|
||||
}
|
||||
|
||||
|
||||
declare docker_user=""
|
||||
declare docker_pass=""
|
||||
declare image_name=""
|
||||
declare cont_name=""
|
||||
declare mount_name=""
|
||||
declare -i mount_existing=0
|
||||
declare -a port_mappings=()
|
||||
|
||||
while [[ $# -gt 0 ]]; do
|
||||
case "$1" in
|
||||
-u)
|
||||
;&
|
||||
--user)
|
||||
if [[ -z "$2" ]]; then
|
||||
echo "User (-u,--user) must be non-empty"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
docker_user="$2"
|
||||
shift 2
|
||||
;;
|
||||
-p)
|
||||
;&
|
||||
--pass)
|
||||
if [[ -z "$2" ]]; then
|
||||
echo "Password (-p,--pass) must be non-empty"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
docker_pass="$2"
|
||||
shift 2
|
||||
;;
|
||||
-i)
|
||||
;&
|
||||
--image)
|
||||
if [[ -n "$image_name" ]]; then
|
||||
echo "Unexpected argument '$1'"
|
||||
print_help_and_exit 1
|
||||
elif [[ -z "$2" ]]; then
|
||||
echo "Image (-i,--image) must be non-empty"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
image_name="$2"
|
||||
shift 2
|
||||
;;
|
||||
-c)
|
||||
;&
|
||||
--container)
|
||||
if [[ -n "$cont_name" ]]; then
|
||||
echo "Unexpected argument '$1'"
|
||||
print_help_and_exit 1
|
||||
elif [[ -z "$2" ]]; then
|
||||
echo "Container (-c,--container) must be non-empty"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
cont_name="$2"
|
||||
shift 2
|
||||
;;
|
||||
--port)
|
||||
# Parse port(s) arg, and append the result to 'port_mappings'
|
||||
# Note: port(s) may be specified in bracketed notation:
|
||||
# [a:b,c:d,...,y:z]
|
||||
next_ports="$(echo "$2" | sed -e 's/\[//g' -e 's/\]//g' -e 's/,/ /g')"
|
||||
if [[ "${#port_mappings[@]}" -gt 0 ]]; then
|
||||
next_ports=" $next_ports"
|
||||
fi
|
||||
port_mappings+=("$next_ports")
|
||||
shift 2
|
||||
;;
|
||||
-m)
|
||||
;&
|
||||
--mount)
|
||||
if [[ -z "$2" ]]; then
|
||||
echo "Mount (-m,--mount) must be non-empty"
|
||||
fi
|
||||
mount_name="$2"
|
||||
shift 2
|
||||
;;
|
||||
--mount-existing)
|
||||
mount_existing=1
|
||||
shift 1
|
||||
;;
|
||||
-h)
|
||||
;&
|
||||
--help)
|
||||
print_help_and_exit 0
|
||||
;;
|
||||
*)
|
||||
if [[ -z "$1" ]]; then
|
||||
echo "Invalid positional argument '$1'"
|
||||
print_help_and_exit 1
|
||||
elif [[ -z "$image_name" ]]; then
|
||||
image_name="$1"
|
||||
elif [[ -z "$cont_name" ]]; then
|
||||
cont_name="$1"
|
||||
else
|
||||
echo "Unexpected argument '$1'"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
shift 1
|
||||
;;
|
||||
esac
|
||||
done
|
||||
|
||||
|
||||
if [[ -z "$image_name" ]]; then
|
||||
image_name="bluetradingsystems/spark-crypto-dev"
|
||||
fi
|
||||
|
||||
host_name="$(hostname)"
|
||||
if [[ -n "$cont_name" ]]; then
|
||||
host_name="$host_name.$cont_name"
|
||||
fi
|
||||
|
||||
if [[ -z "$mount_name" ]]; then
|
||||
mount_name="$cont_name"
|
||||
fi
|
||||
|
||||
if [[ -z "$mount_name" && -z "$cont_name" ]]; then
|
||||
echo "Please specify mount (-m,--mount) and/or container (-c,--container)"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
|
||||
if [[ -z "$docker_user" ]]; then
|
||||
docker_user="$USER"
|
||||
fi
|
||||
|
||||
home_src=$mount_prefix/$mount_name
|
||||
home_tgt=$HOME
|
||||
repo_src=$(git rev-parse --show-superproject-working-tree)
|
||||
repo_tgt=$HOME/$(basename "$repo_src")
|
||||
working_dir=$HOME
|
||||
|
||||
if [[ $mount_existing -eq 0 && -e "$home_src" ]]; then
|
||||
# Don't overwrite existing dir (might be mounted in another container)
|
||||
echo "Mount dir '$home_src' already exists (use --mount-existing to mount an existing directory)"
|
||||
print_help_and_exit 1
|
||||
fi
|
||||
|
||||
mkdir -p "$home_src"
|
||||
|
||||
if [[ "${#port_mappings[@]}" -eq 0 ]]; then
|
||||
port_mappings=("8000:8000" "8001:8001" "8002:8002" "8003:8003")
|
||||
fi
|
||||
|
||||
# Adapt port_mappings into args for `docker run` by prepending "-p " to each
|
||||
# item
|
||||
declare -a docker_port_args=()
|
||||
for port_mapping in "${port_mappings[@]}"; do
|
||||
docker_port_args+=("-p $port_mapping")
|
||||
done
|
||||
|
||||
echo "Starting container '$cont_name'
|
||||
image_name : $image_name
|
||||
cont_name : $cont_name
|
||||
home_src : $home_src
|
||||
home_tgt : $home_tgt
|
||||
repo_src : $repo_src
|
||||
repo_tgt : $repo_tgt
|
||||
working dir : $working_dir
|
||||
ports : ${port_mappings[*]}
|
||||
"
|
||||
|
||||
# DON'T wrap $docker_port_args in quotes. We want bash to split args by
|
||||
# whitespace
|
||||
docker run \
|
||||
--net bridge \
|
||||
-h "$host_name" \
|
||||
-e "TZ=America/New_York" \
|
||||
--cap-add=SYS_PTRACE \
|
||||
--security-opt seccomp=unconfined \
|
||||
--name "$cont_name" \
|
||||
-v "$home_src:$home_tgt" \
|
||||
-v "$repo_src:$repo_tgt" \
|
||||
-w "$working_dir" \
|
||||
${docker_port_args[*]} \
|
||||
--shm-size=4024m \
|
||||
-t \
|
||||
-i \
|
||||
-d \
|
||||
-e DISPLAY="$DISPLAY" \
|
||||
"$image_name" \
|
||||
bash
|
||||
|
||||
# Add user w/ same uid and gid as the current user outside of docker, so the
|
||||
# user inside the docker has file permissions in the mounted dir.
|
||||
docker_group="$docker_user"
|
||||
docker_user_uid="$(id -u "$USER")"
|
||||
docker_user_gid="$(id -g "$USER")"
|
||||
|
||||
echo "Adding user in container '$cont_name'
|
||||
name : $docker_user
|
||||
uid : $docker_user_uid
|
||||
gid : $docker_user_gid"
|
||||
|
||||
if [[ -z "$docker_pass" ]]; then
|
||||
docker_pass="$docker_user"
|
||||
echo "Giving user '$docker_user' a secure password: $docker_pass"
|
||||
fi
|
||||
|
||||
docker exec -u root -it "$cont_name" groupadd -g "$docker_user_gid" "$docker_group"
|
||||
docker exec -u root -it "$cont_name" useradd -u "$docker_user_uid" -g "$docker_user_gid" "$docker_user"
|
||||
docker exec -u root -it "$cont_name" usermod --password "$(openssl passwd -1 "$docker_pass")" "$docker_user"
|
||||
docker exec -u root -it "$cont_name" usermod -aG sudo "$docker_user"
|
||||
docker exec -u root -it "$cont_name" "$repo_tgt/externals/src/emumba/install_emumba-deribit-connector.sh"
|
||||
+1
-1
Submodule externals updated: 101e97a20c...4a3e40193e.
@@ -3,6 +3,7 @@ namespace mbts.spark {
|
||||
using bts.api;
|
||||
using bts.api.analytics;
|
||||
using bts.collections;
|
||||
using bts.reactive;
|
||||
using bts.utils;
|
||||
|
||||
using mbts;
|
||||
@@ -17,7 +18,6 @@ namespace mbts.spark {
|
||||
using Spark.Core;
|
||||
using Spark.Core.Collections;
|
||||
using Spark.Core.Disposables;
|
||||
using Spark.Core.Reactive;
|
||||
using Spark.ViewModel.Commands;
|
||||
|
||||
using System;
|
||||
|
||||
@@ -1,120 +0,0 @@
|
||||
namespace mbts.spark {
|
||||
using bts;
|
||||
using bts.api;
|
||||
|
||||
using mbts;
|
||||
using mbts.analytics;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Collections;
|
||||
|
||||
// For each vs, it sends the vol surface calc request (_do_periodic_auto_fit)
|
||||
// and then commits the response
|
||||
public class SingleVolSurfaceAutoFitSource : IDisposable {
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly int _vs_id;
|
||||
private readonly ITag<VolSurfaceInput> _vs_input_tag;
|
||||
private readonly ITag<VolSurfaceCalculationResponse> _vs_calc_response_tag;
|
||||
private DateTime _last_req_time = DateTime.MinValue;
|
||||
private TimeSpan _req_period = TimeSpan.MaxValue;
|
||||
private int _req_id = 0;
|
||||
public SingleVolSurfaceAutoFitSource(int vs_id, ThreadedBlackboard bb) {
|
||||
_bb = bb;
|
||||
_vs_id = vs_id;
|
||||
_vs_input_tag = SparkTags.VolSurfaceCommittedInputTag(vs_id);
|
||||
_vs_calc_response_tag = SparkTags.VolSurfaceAutoCalculationResponseTag(vs_id);
|
||||
_bb.subscribe(_vs_input_tag);
|
||||
_bb.subscribe(_vs_calc_response_tag);
|
||||
_bb.subscribe(SparkTags.CurrentUser);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
_bb.timer_callback += _on_bb_timer;
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (tag.Equals(_vs_input_tag))
|
||||
_possibly_autofit();
|
||||
else if (tag.Equals(_vs_calc_response_tag)) {
|
||||
VolSurfaceCalculationResponse calc_resp = data as VolSurfaceCalculationResponse;
|
||||
bts.Log.Gen.info($"SingleVolSurfaceAutoFitSource._on_bb_data vs_id: {_vs_id} " +
|
||||
$"received calculation response");
|
||||
_bb.post(SparkTags.VolSurfaceCommitTag(_vs_id),
|
||||
calc_resp.volsurface_calculation_output.volsurface_input);
|
||||
}
|
||||
}
|
||||
|
||||
private bool _user_has_vs_control() {
|
||||
VolSurfaceInput vs_input = _bb.read_state(_vs_input_tag);
|
||||
string current_user = _bb.read_state(SparkTags.CurrentUser).name;
|
||||
return vs_input != null &&
|
||||
vs_input.surface_settings.core_settings.vs_manager == current_user;
|
||||
}
|
||||
|
||||
private void _on_bb_timer() {
|
||||
_possibly_autofit();
|
||||
}
|
||||
|
||||
private void _possibly_autofit() {
|
||||
var auto_fit_period = _get_auto_fit_periodic();
|
||||
if (!auto_fit_period.HasValue)
|
||||
return;
|
||||
if (DateTime.Now - _last_req_time <= auto_fit_period)
|
||||
return;
|
||||
if (!_user_has_vs_control())
|
||||
return;
|
||||
// auto fit here
|
||||
bts.Log.Gen.info($"SingleVolSurfaceAutoFitSource vs_id: {_vs_id} requesting fit " +
|
||||
$"last_req_time: {_last_req_time} period: {auto_fit_period.Value}");
|
||||
_send_request();
|
||||
}
|
||||
|
||||
private Nullable<TimeSpan> _get_auto_fit_periodic() {
|
||||
VolSurfaceInput vs_input = _bb.read_state(_vs_input_tag);
|
||||
if (vs_input == null)
|
||||
return null;
|
||||
var fit_settings =
|
||||
VolSurfaceDataFunctions.get_market_fit_settings(vs_input.surface_settings);
|
||||
if (fit_settings == null)
|
||||
return null;
|
||||
var auto_fit_setting = fit_settings.vs_auto_fit_settings;
|
||||
if (auto_fit_setting == null)
|
||||
return null;
|
||||
if (auto_fit_setting.auto_fit_region == VolSurfaceEnums.VolCurveFitRegion.None)
|
||||
return null;
|
||||
var time_based_fit_setting = auto_fit_setting.time_based_settings;
|
||||
if (time_based_fit_setting == null)
|
||||
return null;
|
||||
if (!time_based_fit_setting.period_seconds.HasValue)
|
||||
return null;
|
||||
return TimeSpan.FromSeconds(time_based_fit_setting.period_seconds.Value);
|
||||
}
|
||||
|
||||
private void _send_request() {
|
||||
VolSurfaceInput vs_input = _bb.read_state(_vs_input_tag);
|
||||
if (vs_input == null)
|
||||
return;
|
||||
VolCurveMarketFitAction mf_action = new VolCurveMarketFitAction(
|
||||
VolCurveMarketFitAction.ActionType.FitWholeCurve, null, false);
|
||||
VolCurveAction vc_action = new VolCurveAction(mf_action);
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
|
||||
vs_input.surface_parameters.curve_parameters_map.ToDictionary(
|
||||
i => i.Item1,
|
||||
i => vc_action
|
||||
);
|
||||
VolSurfaceCalculationRequest req = new VolSurfaceCalculationRequest(vs_input,
|
||||
_req_id++, action_map, true, true);
|
||||
_last_req_time = DateTime.Now;
|
||||
_bb.post(SparkTags.VolSurfaceAutoCalculationRequestTag(_vs_id), req);
|
||||
}
|
||||
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
_bb.data_callback -= _on_bb_data;
|
||||
_bb.timer_callback -= _on_bb_timer;
|
||||
}
|
||||
#endregion
|
||||
|
||||
}
|
||||
}
|
||||
@@ -4,7 +4,6 @@
|
||||
using bts.api.analytics;
|
||||
|
||||
using mbts.analytics;
|
||||
using mbts.ui;
|
||||
|
||||
using Spark.Core.Protobuf;
|
||||
|
||||
@@ -14,7 +13,6 @@
|
||||
using System.Linq;
|
||||
using System.Reactive.Linq;
|
||||
using System.Threading;
|
||||
using System.Windows;
|
||||
|
||||
// For a single VolSurface this class
|
||||
// 1. Listents to commmits and calls the service to persist data
|
||||
@@ -26,6 +24,7 @@
|
||||
private readonly ITag<VolSurfaceInput> _in_bb_committ_tag;
|
||||
private readonly AnalyticsService _analytics_service;
|
||||
private readonly HighPerformanceTimer _timer = new HighPerformanceTimer();
|
||||
private readonly string _user;
|
||||
private readonly List<IDisposable> _disposables = new List<IDisposable>();
|
||||
private IDictionary<UInt64, VolSurfaceInputSnapshot> _snp_shot_map = new
|
||||
Dictionary<UInt64, VolSurfaceInputSnapshot>();
|
||||
@@ -36,10 +35,10 @@
|
||||
volsurface_id));
|
||||
_volsurface_id = volsurface_id;
|
||||
_bb = threaded_bb;
|
||||
_user = "TEST_USER"; // TODO
|
||||
_in_bb_committ_tag = SparkTags.VolSurfaceCommitTag(volsurface_id);
|
||||
_analytics_service = analytics_service;
|
||||
_bb.subscribe(_in_bb_committ_tag);
|
||||
_bb.subscribe(SparkTags.CurrentUser);
|
||||
_bb.data_callback += _on_bb_data;
|
||||
var vs_sub = _analytics_service.subscribei_volsurfaces()
|
||||
.ObserveOn(SynchronizationContext.Current)
|
||||
@@ -55,10 +54,8 @@
|
||||
private void _on_vss(bts.api.core.Update<VolSurfaceEntryImmutable, UInt64> update) {
|
||||
IEnumerable<VolSurfaceEntryImmutable> all_vss = update.all;
|
||||
var this_vs_vss = all_vss.Where(vs => vs.VsId == _volsurface_id);
|
||||
bts.Log.Gen.info(
|
||||
$"SingleVolSurfaceGateway._on_vss vs_count: {this_vs_vss.Count()} " +
|
||||
$"all: {update.all.Count()} added: {update.added.Count()} " +
|
||||
$"updated: {update.changed.Count()} removed: {update.removed.Count()}");
|
||||
bts.Log.Gen.info(String.Format("SingleVolSurfaceGateway._on_vss count:{0} vs_count:{1}",
|
||||
all_vss.Count(), this_vs_vss.Count()));
|
||||
if (this_vs_vss.Count() == 0) {
|
||||
return;
|
||||
}
|
||||
@@ -86,39 +83,22 @@
|
||||
static VolSurfaceInput _to_vs_input(VolSurfaceEntryImmutable vs) =>
|
||||
ProtobufSerializationHelper.deserialize<VolSurfaceInput>(vs.Volsurface.ToByteArray());
|
||||
|
||||
// private void _show_save_error(string message) {
|
||||
// BTSMessageBox.Show(message, "Vol Save Error", BTSMessageBoxButtons.OK);
|
||||
// }
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
if (_in_bb_committ_tag.Equals(tag)) {
|
||||
try {
|
||||
_timer.start();
|
||||
VolSurfaceInput vs_input = data as VolSurfaceInput;
|
||||
var user_tup = _bb.read_state(SparkTags.CurrentUser);
|
||||
string current_user = user_tup.name;
|
||||
string vs_manager = vs_input.surface_settings.core_settings.vs_manager;
|
||||
if (current_user != vs_manager) {
|
||||
string msg = $"User {current_user} does not have the permission to save vols. " +
|
||||
$"Permission can be obtained via the grid context menu item 'Acquire ownership from {vs_manager}'";
|
||||
BTSMessageBox.Show(msg, "Vol Save Error", BTSMessageBoxButtons.OK);
|
||||
return;
|
||||
}
|
||||
_sanitize_input(ref vs_input);
|
||||
vs_input = VolSurfaceDataFunctions.unset_driver_overrides(vs_input);
|
||||
VolSurfaceUtilityFunctions.save_volsurface(vs_input, _analytics_service, current_user);
|
||||
vs_input.saver_login = _user;
|
||||
VolSurfaceUtilityFunctions.save_volsurface(vs_input, _analytics_service, _user);
|
||||
_timer.stop();
|
||||
Log.Gen.info(String.Format(
|
||||
"SingleVolSurfaceGateway._on_bb_data Time to commit volsurface {0} {1} msecs",
|
||||
_volsurface_id, _timer.lastIntervalTime));
|
||||
var archived_theos = _get_theos();
|
||||
if (archived_theos != null) {
|
||||
_timer.start();
|
||||
if (archived_theos != null)
|
||||
_analytics_service.archive_theos(archived_theos);
|
||||
_timer.stop();
|
||||
Log.Gen.info($"SingleVolSurfaceGateway._on_bb_data archiving theos vs_id: {_volsurface_id} size: " +
|
||||
$"{archived_theos.SecTheo.Count} time: {_timer.lastIntervalTime} msecs");
|
||||
}
|
||||
} catch (Exception ex) {
|
||||
Log.Gen.warn(ex.ToString());
|
||||
_bb.post(SparkTags.MessageDisplayTag,
|
||||
|
||||
@@ -36,11 +36,7 @@ namespace mbts.spark {
|
||||
new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Committed, _vs_id, _bb,
|
||||
a_syms => new SingleVolSurfaceCommittedOutputRetriever(_vs_id, _bb, a_syms)),
|
||||
new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Combined, _vs_id, _bb,
|
||||
a_syms => new SingleVolSurfaceRequestCalculator(
|
||||
SingleVolSurfaceRequestCalculator.RequestType.UI, _vs_id, a_syms, _bb)),
|
||||
new SingleVolSurfaceDataSource(SingleVolSurfaceDataSource.SymbolListType.Combined, _vs_id, _bb,
|
||||
a_syms => new SingleVolSurfaceRequestCalculator(
|
||||
SingleVolSurfaceRequestCalculator.RequestType.AUTO, _vs_id, a_syms, _bb)),
|
||||
a_syms => new SingleVolSurfaceRequestCalculator(_vs_id, a_syms, _bb)),
|
||||
new SingleVolSurfaceMarketImpliedVolSource(_vs_id, _bb),
|
||||
// new SingleVolSurfaceTheoSource(_vs_id, _bb),
|
||||
// TODO: suspending heatmaps for now (12/24/21)
|
||||
@@ -48,7 +44,6 @@ namespace mbts.spark {
|
||||
// server work that can optionally be done on the client
|
||||
new SingleVolSurfaceDataSource (SingleVolSurfaceDataSource.SymbolListType.Committed, _vs_id, _bb,
|
||||
a_syms => new SingleVolSurfaceInterpGreeksPublisher (_vs_id, _bb, a_syms)),
|
||||
new SingleVolSurfaceAutoFitSource(_vs_id, _bb),
|
||||
};
|
||||
}
|
||||
|
||||
|
||||
@@ -18,16 +18,10 @@ namespace mbts.spark {
|
||||
// Pubs :
|
||||
// 1. Calc Resp
|
||||
public class SingleVolSurfaceRequestCalculator : IDisposable {
|
||||
public enum RequestType {
|
||||
UI = 0,
|
||||
AUTO
|
||||
}
|
||||
private readonly RequestType _request_type = RequestType.UI;
|
||||
private readonly int _vs_id;
|
||||
private readonly HashSet<string> _symbols;
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly ITag<VolSurfaceCalculationRequest> _in_bb_request_tag;
|
||||
private readonly ITag<VolSurfaceCalculationRequest> _in_bb_auto_request_tag;
|
||||
private readonly ITag<VolSurfaceNonVolData> _in_bb_nonvol_data_tag;
|
||||
private readonly ITag<VolSurfaceStandardTime> _in_bb_vs_standard_time_tag;
|
||||
private readonly ITag<VolSurfaceEnums.MarketSide> _in_bb_market_impliedvol_side_tag;
|
||||
@@ -36,22 +30,18 @@ namespace mbts.spark {
|
||||
/// data
|
||||
private VolSurfaceOutput _last_output;
|
||||
|
||||
public SingleVolSurfaceRequestCalculator(RequestType request_type,
|
||||
int vs_id, IEnumerable<string> symbols,
|
||||
public SingleVolSurfaceRequestCalculator(int vs_id, IEnumerable<string> symbols,
|
||||
ThreadedBlackboard threaded_bb) {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator cons vs_id: {vs_id} request_type: {request_type}");
|
||||
_request_type = request_type;
|
||||
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator cons vs_id: {vs_id}");
|
||||
_vs_id = vs_id;
|
||||
_symbols = new HashSet<string>(symbols);
|
||||
_bb = threaded_bb;
|
||||
_in_bb_request_tag = SparkTags.VolSurfaceCalculationRequestTag(vs_id);
|
||||
_in_bb_auto_request_tag = SparkTags.VolSurfaceAutoCalculationRequestTag(vs_id);
|
||||
_in_bb_nonvol_data_tag = SparkTags.VolSurfaceNonVolDataTag(vs_id);
|
||||
_in_bb_vs_standard_time_tag = SparkTags.VolSurfaceStandardTimeTag(vs_id);
|
||||
_in_bb_market_impliedvol_side_tag = SparkTags.VolSurfaceMarketImpliedVolSide(vs_id);
|
||||
_in_bb_dirty_tag = SparkTags.VolSurfaceDirtyStateTag(vs_id);
|
||||
_bb.subscribe(_in_bb_request_tag);
|
||||
_bb.subscribe(_in_bb_auto_request_tag);
|
||||
_bb.subscribe(_in_bb_nonvol_data_tag);
|
||||
_bb.subscribe(_in_bb_vs_standard_time_tag);
|
||||
_bb.subscribe(_in_bb_vs_standard_time_tag);
|
||||
@@ -61,21 +51,11 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
private void _on_bb_data(object tag, object data) {
|
||||
switch (_request_type) {
|
||||
case RequestType.UI: {
|
||||
if (_in_bb_request_tag.Equals(tag) || _in_bb_dirty_tag.Equals(tag))
|
||||
_recompute_and_publish(true);
|
||||
else if (_in_bb_nonvol_data_tag.Equals(tag) || _in_bb_vs_standard_time_tag.Equals(tag))
|
||||
_recompute_and_publish(false);
|
||||
break;
|
||||
}
|
||||
case RequestType.AUTO: {
|
||||
if (tag.Equals(_in_bb_auto_request_tag)) {
|
||||
_serve_auto_request();
|
||||
}
|
||||
break;
|
||||
}
|
||||
}
|
||||
if (_in_bb_request_tag.Equals(tag) || _in_bb_dirty_tag.Equals(tag))
|
||||
_recompute_and_publish(true);
|
||||
else if (_in_bb_nonvol_data_tag.Equals(tag) || _in_bb_vs_standard_time_tag.Equals(tag))
|
||||
_recompute_and_publish(false);
|
||||
|
||||
}
|
||||
|
||||
private void _recompute_and_publish(bool is_new_request) {
|
||||
@@ -100,7 +80,7 @@ namespace mbts.spark {
|
||||
nonvol_data.driver_price_map,
|
||||
vs_standard_time, true);
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
|
||||
_post_process_action(_bb, _vs_id, effective_req, aux_data_map);
|
||||
_post_process_action(effective_req, aux_data_map);
|
||||
_last_output = GeneralVolSurfaceCalculator.compute(effective_req.volsurface_input,
|
||||
nonvol_data.contracts,
|
||||
aux_data_map,
|
||||
@@ -109,49 +89,16 @@ namespace mbts.spark {
|
||||
effective_req.cascade_up,
|
||||
effective_req.cascade_down);
|
||||
_timer.stop();
|
||||
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._recompute_and_publish vs_id: {_vs_id} " +
|
||||
$"time: {_timer.lastIntervalTime}");
|
||||
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._recompute_and_publish time: " +
|
||||
$"{_timer.lastIntervalTime}");
|
||||
_bb.post(SparkTags.VolSurfaceCalculationResponseTag(_vs_id),
|
||||
new VolSurfaceCalculationResponse(_last_output, effective_req.request_id));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void _serve_auto_request() {
|
||||
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._serve_auto_request " +
|
||||
$"vs_id: {_vs_id} auto request received");
|
||||
bool is_dirty = _bb.read_state(_in_bb_dirty_tag, false);
|
||||
VolSurfaceNonVolData nonvol_data = _bb.read_state(_in_bb_nonvol_data_tag);
|
||||
VolSurfaceStandardTime vs_standard_time = _bb.read_state(_in_bb_vs_standard_time_tag);
|
||||
VolSurfaceCalculationRequest auto_req = _bb.read_state(_in_bb_auto_request_tag);
|
||||
if (is_dirty || nonvol_data == null || vs_standard_time == null || auto_req == null) {
|
||||
return;
|
||||
}
|
||||
_timer.start();
|
||||
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map =
|
||||
VolSurfaceUtilityFunctions.compute_aux_data(auto_req.volsurface_input,
|
||||
nonvol_data.input,
|
||||
nonvol_data.driver_price_map,
|
||||
vs_standard_time, true);
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map =
|
||||
_post_process_action(_bb, _vs_id, auto_req, aux_data_map);
|
||||
var vs_output = GeneralVolSurfaceCalculator.compute(auto_req.volsurface_input,
|
||||
nonvol_data.contracts,
|
||||
aux_data_map,
|
||||
action_map,
|
||||
null,
|
||||
auto_req.cascade_up,
|
||||
auto_req.cascade_down);
|
||||
_timer.stop();
|
||||
bts.Log.Gen.info($"SingleVolSurfaceRequestCalculator._serve_auto_request vs_id: {_vs_id} " +
|
||||
$"time: {_timer.lastIntervalTime}");
|
||||
_bb.post(SparkTags.VolSurfaceAutoCalculationResponseTag(_vs_id),
|
||||
new VolSurfaceCalculationResponse(vs_output, auto_req.request_id));
|
||||
}
|
||||
|
||||
/// Computes the impl vol if the action is fit to market
|
||||
private static IDictionary<VolSurfaceExpiration, VolCurveAction> _post_process_action(
|
||||
ThreadedBlackboard bb, int vs_id,
|
||||
private IDictionary<VolSurfaceExpiration, VolCurveAction> _post_process_action(
|
||||
VolSurfaceCalculationRequest req,
|
||||
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map) {
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> rv = req.action_map;
|
||||
@@ -162,7 +109,7 @@ namespace mbts.spark {
|
||||
VolCurveAction rep_action = rv.ElementAt(0).Value;
|
||||
if (rep_action.action_type == VolCurveAction.ActionType.FitToMarket) {
|
||||
IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> impl_vol_map =
|
||||
_fill_in_implied_vols(bb, vs_id, req.volsurface_input, req.action_map, aux_data_map,
|
||||
_fill_in_implied_vols(req.volsurface_input, req.action_map, aux_data_map,
|
||||
req.cascade_up, req.cascade_down);
|
||||
rv = impl_vol_map.ToDictionary(kv => kv.Key, kv => new VolCurveAction(
|
||||
new VolCurveMarketFitAction(rep_action.market_fit_action.fit_action, kv.Value,
|
||||
@@ -172,8 +119,7 @@ namespace mbts.spark {
|
||||
return rv;
|
||||
}
|
||||
|
||||
private static IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> _fill_in_implied_vols(
|
||||
ThreadedBlackboard bb, int vs_id,
|
||||
private IDictionary<VolSurfaceExpiration, VolCurveMarketImpliedVolData> _fill_in_implied_vols(
|
||||
VolSurfaceInput vs_inp,
|
||||
IDictionary<VolSurfaceExpiration, VolCurveAction> action_map,
|
||||
IDictionary<VolSurfaceExpiration, VolSurfaceExpirationAuxiliaryData> aux_data_map,
|
||||
@@ -194,15 +140,15 @@ namespace mbts.spark {
|
||||
applicable_exps = applicable_exps.Where(vs_exp => master_exps.Contains(vs_exp));
|
||||
|
||||
VolSurfaceEnums.MarketSide impliedvol_side =
|
||||
SingleVolSurfaceMarketImpliedVolSource._get_market_impliedvol_side(bb, vs_id);
|
||||
SingleVolSurfaceMarketImpliedVolSource._get_market_impliedvol_side(_bb, _vs_id);
|
||||
foreach (VolSurfaceExpiration vs_exp in applicable_exps) {
|
||||
VolSurfaceExpiration md_exp;
|
||||
VolCurveMarketImpliedVolData exp_impl_data =
|
||||
VolSurfaceCoreFunctions.compute_implied_vols(vs_inp, vs_exp, aux_data_map,
|
||||
arg_vs_exp => SingleVolSurfaceMarketImpliedVolSource.get_option_bbo(bb, arg_vs_exp),
|
||||
arg_vs_exp => SingleVolSurfaceMarketImpliedVolSource.get_option_bbo(_bb, arg_vs_exp),
|
||||
impliedvol_side,
|
||||
SingleVolSurfaceMarketImpliedVolSource._ignore_market_implied_vol_source_settings(
|
||||
bb, vs_id),
|
||||
_bb, _vs_id),
|
||||
out md_exp);
|
||||
rv[vs_exp] = exp_impl_data;
|
||||
}
|
||||
|
||||
@@ -160,8 +160,8 @@ namespace mbts.spark {
|
||||
|
||||
public static IEnumerable<bts.api.SecurityTuple> get_vs_sectups(
|
||||
int vs_id, ThreadedBlackboard bb) {
|
||||
var vs_usage_list = bb.read_state(SparkTags.VolSurfaceUsageTag);
|
||||
return (vs_usage_list?.get_sectups(vs_id)).empty_if_null();
|
||||
VolSurfaceUsageListImmutable vs_usage_list = bb.read_state(SparkTags.VolSurfaceUsageTag);
|
||||
return vs_usage_list.get_sectups(vs_id);
|
||||
}
|
||||
|
||||
|
||||
@@ -242,4 +242,4 @@ namespace mbts.spark {
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -270,7 +270,6 @@ namespace mbts.spark {
|
||||
new mbts.analytics.VolSurfaceNonVolInput(exp_param_map.exp_map.ToDictionary()));
|
||||
} else if (_in_bb_req_vol.Equals(tag)) {
|
||||
ClientArchivedVolRequest client_req = _bb.read_state(_in_bb_req_vol);
|
||||
bts.Log.Ui.info($"VolSurfaceBusManager._on_bb_update ClientArchivedVolRequest: {client_req.ToString()}");
|
||||
ArchivedTheoRetrieval ret = client_req.ret;
|
||||
if (ret == null || ret.SecTup == null) {
|
||||
bts.Log.Ui.warn($"VolSurfaceBusManager malformed ArchivedTheoRetrieval");
|
||||
|
||||
@@ -5,7 +5,6 @@ using bts.api;
|
||||
using bts.collections;
|
||||
using System.Linq;
|
||||
using bts.api.orderman;
|
||||
using bts.api.analytics;
|
||||
using bts;
|
||||
|
||||
namespace mbts.spark {
|
||||
@@ -24,8 +23,6 @@ namespace mbts.spark {
|
||||
_order_service = order_service;
|
||||
_bb.subscribe(SparkTags.AllInterpGreeks);
|
||||
_bb.subscribe(SparkTags.SystemContractsTag);
|
||||
_bb.subscribe(SparkTags.CurrentUser);
|
||||
_bb.subscribe(SparkTags.VolSurfaceUsageTag);
|
||||
_bb.data_callback += _on_data;
|
||||
}
|
||||
|
||||
@@ -58,27 +55,6 @@ namespace mbts.spark {
|
||||
return rv;
|
||||
}
|
||||
|
||||
private IReadOnlyDictionary<string, OptionTheoInterpolationData>
|
||||
_filter_for_publish(IReadOnlyDictionary<string, OptionTheoInterpolationData> all_theos) {
|
||||
// find the symbol vs vs_id, get the committed vs, see if it is
|
||||
// owned by the current user, and only then publish it
|
||||
HashSet<string> syms = new HashSet<string>();
|
||||
var usage = _bb.read_state(SparkTags.VolSurfaceUsageTag);
|
||||
string current_user = _bb.read_state(SparkTags.CurrentUser).name;
|
||||
foreach (var u in (usage?.UsageList).empty_if_null()) {
|
||||
VolSurfaceInput vs_input =
|
||||
_bb.read_state(SparkTags.VolSurfaceCommittedInputTag(u.VsId));
|
||||
if (vs_input != null) {
|
||||
if (vs_input.surface_settings.core_settings.vs_manager ==
|
||||
current_user) {
|
||||
syms.Add(u.SecTup.Symbol);
|
||||
}
|
||||
}
|
||||
}
|
||||
return
|
||||
all_theos.Where(kv => syms.Contains(kv.Key)).ToDictionary(kv => kv.Key, kv => kv.Value);
|
||||
}
|
||||
|
||||
private void _publish_data() {
|
||||
SystemContractData sc_data = _bb.read_state(SparkTags.SystemContractsTag, null);
|
||||
IReadOnlyDictionary<string, OptionTheoInterpolationData> all_theos =
|
||||
@@ -88,11 +64,6 @@ namespace mbts.spark {
|
||||
if (sc_data == null || all_theos == null || all_drivers == null)
|
||||
return;
|
||||
_timer.start();
|
||||
all_theos = _filter_for_publish(all_theos);
|
||||
if (all_theos.Count == 0) {
|
||||
bts.Log.Gen.info($"InterpTheosServerPublisher._publish_data all_theos.Count == 0");
|
||||
return;
|
||||
}
|
||||
IDictionary<UInt32, DriverMD> driver_map = _get_drivers(all_drivers, sc_data);
|
||||
IEnumerable<Tuple<SecurityImmutable, TheoPoint>> theo_map = _get_theos(all_theos, sc_data);
|
||||
// assemble it together and send it to the server
|
||||
@@ -115,7 +86,6 @@ namespace mbts.spark {
|
||||
ptp.Vega = is_call ? tp.cvega : tp.pvega;
|
||||
ptp.Theta = is_call ? tp.c_theta : tp.p_theta;
|
||||
ptp.Rho = Double.NaN;
|
||||
ptp.Vol = tp.vol;
|
||||
ptp_list.Add(ptp);
|
||||
}
|
||||
bts.api.orderman.PrecomputedTheos server_theos = new PrecomputedTheos();
|
||||
@@ -126,7 +96,7 @@ namespace mbts.spark {
|
||||
_order_service.set_precomputed_theos(server_theos);
|
||||
_timer.stop();
|
||||
var pub_time = _timer.lastIntervalTime;
|
||||
bts.Log.Gen.info($"InterpTheosServerPublisher._publish_data symbols: {all_theos.Count} " +
|
||||
bts.Log.Gen.info($"InterpTheosServerPublisher._publish_data " +
|
||||
$"size: {server_theos.Theos.Count} comp_time: {comp_time} msecs " +
|
||||
$"pub_time: {pub_time}");
|
||||
}
|
||||
@@ -135,4 +105,4 @@ namespace mbts.spark {
|
||||
_bb.data_callback -= _on_data;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -26,13 +26,13 @@ namespace mbts.spark {
|
||||
_refresh = new(_is_dirty.refresh);
|
||||
_committed_value.Changed += on_committed_changed;
|
||||
_candidate_value.Changed += on_candidate_changed;
|
||||
if (column.type.is_editable()) {
|
||||
_is_dirty.Changed += (o, n) => {
|
||||
Log.Ui.info(
|
||||
$"VolSurface '{expiration}.{column}' is_dirty changed to {n}. " +
|
||||
$"commited: {committed_value}; candidate: {candidate_value}");
|
||||
};
|
||||
}
|
||||
_is_dirty.Changed += (o, n) => {
|
||||
Log.assert(o != n);
|
||||
// TODO: John, this was logged too many times
|
||||
// Log.Ui.info(
|
||||
// $"VolSurface '{expiration}.{column}' is_dirty changed to {n}. " +
|
||||
// $"commited: {committed_value}; candidate: {candidate_value}");
|
||||
};
|
||||
|
||||
void on_committed_changed(object? oldval, object? newval) =>
|
||||
_is_dirty.refresh();
|
||||
|
||||
@@ -29,7 +29,6 @@ namespace mbts.spark.VolSurface {
|
||||
|
||||
class VolSurfaceGridVM : DisposableViewModelBase {
|
||||
readonly VolSurfaceVM _parent;
|
||||
readonly UserTuple _user;
|
||||
readonly ObservableCollection<VolSurfaceDisplayGridExpiration> _expirations = new();
|
||||
readonly DeferrableAction _invalidate_rows;
|
||||
readonly ColumnsModel _columns_model;
|
||||
@@ -42,12 +41,10 @@ namespace mbts.spark.VolSurface {
|
||||
VolSurfaceVM vm,
|
||||
VolSurfaceDisplayModel model,
|
||||
ISet<string> hidden_columns,
|
||||
ISet<VolSurfaceExpiration> hidden_expirations,
|
||||
UserTuple user) {
|
||||
ISet<VolSurfaceExpiration> hidden_expirations) {
|
||||
Log.notnull(hidden_columns);
|
||||
Log.notnull(hidden_expirations);
|
||||
_parent = vm;
|
||||
_user = user;
|
||||
this.model = model;
|
||||
_columns_model = new(create_exp_column_view());
|
||||
_hidden_columns = hidden_columns;
|
||||
@@ -86,7 +83,7 @@ namespace mbts.spark.VolSurface {
|
||||
_columns_model);
|
||||
|
||||
VolSurfaceRowVM row_factory(VolSurfaceDisplayGridExpiration exp) =>
|
||||
new(this, exp, _user);
|
||||
new(this, exp);
|
||||
|
||||
IDisposable connect_row(VolSurfaceRowVM row) {
|
||||
row.request_calculate += request_recalc;
|
||||
|
||||
@@ -1,6 +1,5 @@
|
||||
#nullable enable
|
||||
namespace mbts.spark {
|
||||
using bts;
|
||||
using bts.collections;
|
||||
|
||||
using mbts.spark.VolSurface;
|
||||
@@ -10,7 +9,6 @@ namespace mbts.spark {
|
||||
using mbts.ui.utility;
|
||||
|
||||
using Spark.Core.Disposables;
|
||||
using Spark.Core.Reactive;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
@@ -24,10 +22,6 @@ namespace mbts.spark {
|
||||
readonly VolSurfaceGridVM _parent;
|
||||
readonly Property<VolSurfaceColumn?> _column;
|
||||
readonly Property<DIYGridSuperHeaderVM?> _super_header;
|
||||
readonly UserTuple _user;
|
||||
readonly Property<bool> _is_open;
|
||||
readonly DelegateProperty<string> _vs_manager;
|
||||
readonly List<IDisposable> _resources = new();
|
||||
|
||||
ICommand? _revert_cmd;
|
||||
ICommand? _shift_selection_cmd;
|
||||
@@ -40,29 +34,21 @@ namespace mbts.spark {
|
||||
ICommand? _copy_all_to_clipboard_cmd;
|
||||
ICommand? _smart_copy_rolls_rates_cmd;
|
||||
ICommand? _import_csv_cmd;
|
||||
ObservantCommand? _acquire_ownership_cmd;
|
||||
|
||||
public VolSurfaceRowContextMenuVM(VolSurfaceGridVM parent, VolSurfaceRowVM row, UserTuple user) {
|
||||
public VolSurfaceRowContextMenuVM(VolSurfaceGridVM parent, VolSurfaceRowVM row) {
|
||||
_parent = parent;
|
||||
_row = row;
|
||||
_user = user;
|
||||
_column = backing<VolSurfaceColumn?>(nameof(column));
|
||||
_super_header = backing<DIYGridSuperHeaderVM?>(nameof(super_header));
|
||||
_vs_manager = backing(
|
||||
nameof(vs_manager),
|
||||
() => _parent.model.get_active_settings()?.core_settings?.vs_manager ?? string.Empty);
|
||||
_is_open = backing(nameof(is_open), false);
|
||||
|
||||
_resources.AddRange(
|
||||
_dispose = Disposable.Create(
|
||||
_column.invalidate_others_on_change(nameof(column_name)),
|
||||
_super_header.invalidate_others_on_change(nameof(group_name)),
|
||||
_is_open.Subscribe(_ => _vs_manager.refresh()),
|
||||
_parent.visible_rows.ObserveSelf()
|
||||
.BufferLatest(TimeSpan.FromSeconds(1))
|
||||
.OnDispatcher()
|
||||
.Subscribe(_ => sync_symbols()));
|
||||
|
||||
_dispose = Disposable.Create(() => _resources.DisposeAll(true));
|
||||
void sync_symbols() {
|
||||
var visible_exps = _parent.visible_rows.Map(r => r.expiration.symbol);
|
||||
symbols.sync_with_models(
|
||||
@@ -178,34 +164,6 @@ namespace mbts.spark {
|
||||
_parent.model.csv_importing_enabled,
|
||||
null);
|
||||
|
||||
public ICommand acquire_ownership_cmd {
|
||||
get {
|
||||
if (_acquire_ownership_cmd is null) {
|
||||
_acquire_ownership_cmd = new(
|
||||
() => {
|
||||
var settings = _parent.model.get_active_settings();
|
||||
if (settings is null) {
|
||||
Log.Ui.error("Unable to acquire volsurface ownership: settings are null.");
|
||||
return;
|
||||
}
|
||||
settings.core_settings.vs_manager = _user.name;
|
||||
_parent.model.set_candidate_settings(settings);
|
||||
});
|
||||
_resources.Add(_vs_manager.observe_current(true)
|
||||
.Subscribe(SelectorObserver.builder(_acquire_ownership_cmd).wrap<string>(
|
||||
curr => curr != _user.name)));
|
||||
}
|
||||
return _acquire_ownership_cmd;
|
||||
}
|
||||
}
|
||||
|
||||
public bool is_open {
|
||||
get => _is_open.Value;
|
||||
set => _is_open.set(value);
|
||||
}
|
||||
|
||||
public string vs_manager => _vs_manager.Value;
|
||||
|
||||
VolSurfaceDisplayGridColumn _assert_model() =>
|
||||
column?.model ?? throw new InvalidOperationException();
|
||||
|
||||
|
||||
@@ -1,7 +1,5 @@
|
||||
#nullable enable
|
||||
namespace mbts.spark.VolSurface {
|
||||
using bts;
|
||||
|
||||
using mbts.ui;
|
||||
using mbts.ui.controls;
|
||||
using mbts.ui.shell;
|
||||
@@ -18,16 +16,14 @@ namespace mbts.spark.VolSurface {
|
||||
readonly VolSurfaceGridVM _parent;
|
||||
readonly VolSurfaceDisplayGridExpiration _exp;
|
||||
readonly Dictionary<string, CellData> _cells = new();
|
||||
readonly UserTuple _user;
|
||||
readonly DeferrableAction _request_calculate;
|
||||
|
||||
VolSurfaceRowContextMenuVM? _context_menu;
|
||||
bool _is_selected;
|
||||
|
||||
public VolSurfaceRowVM(VolSurfaceGridVM parent, VolSurfaceDisplayGridExpiration exp, UserTuple user) {
|
||||
public VolSurfaceRowVM(VolSurfaceGridVM parent, VolSurfaceDisplayGridExpiration exp) {
|
||||
_parent = parent;
|
||||
_exp = exp;
|
||||
_user = user;
|
||||
_request_calculate = new(() => request_calculate?.Invoke());
|
||||
_dispose = Disposable.Create(() => {
|
||||
_cells.Values.DisposeAll();
|
||||
@@ -53,7 +49,7 @@ namespace mbts.spark.VolSurface {
|
||||
}
|
||||
|
||||
public VolSurfaceRowContextMenuVM context_menu =>
|
||||
_context_menu ??= new(_parent, this, _user);
|
||||
_context_menu ??= new(_parent, this);
|
||||
|
||||
public VolSurfaceCellVM get_cell(VolSurfaceDisplayGridColumn column) =>
|
||||
_cells.GetOrAdd(column.unique_col_name, _ => _create_cell(column)).vm;
|
||||
|
||||
+2
-2
@@ -14,7 +14,7 @@ namespace mbts.spark {
|
||||
class VolSurfaceAdvancedSettingsEditorVM : ViewModelBase {
|
||||
readonly VolSurfaceAdvancedSettings _settings;
|
||||
|
||||
public VolSurfaceAdvancedSettingsEditorVM(VolSurfaceAdvancedSettings settings, string vs_name) {
|
||||
public VolSurfaceAdvancedSettingsEditorVM(VolSurfaceAdvancedSettings settings, string vs_name, Action<VolSurfaceAdvancedSettings> commit) {
|
||||
_settings = settings;
|
||||
_settings.theo_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Absolute;
|
||||
_settings.slide_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Percentage;
|
||||
@@ -23,7 +23,7 @@ namespace mbts.spark {
|
||||
if (_settings.precomputed_theo_handles == null)
|
||||
_settings.precomputed_theo_handles = new List<double>();
|
||||
vol_surface_name = vs_name;
|
||||
commit = new DelegateCommand(() => request_commit?.Invoke(ProtobufSerializationHelper.clone(_settings)));
|
||||
this.commit = new DelegateCommand(() => request_commit?.Invoke(ProtobufSerializationHelper.clone(_settings)));
|
||||
}
|
||||
|
||||
public event Action<VolSurfaceAdvancedSettings> request_commit;
|
||||
|
||||
@@ -1,89 +0,0 @@
|
||||
#nullable enable
|
||||
|
||||
namespace mbts.spark {
|
||||
using bts.api.domain;
|
||||
|
||||
using mbts.analytics;
|
||||
using mbts.ui.shell;
|
||||
using mbts.ui.utility;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
|
||||
using VolCurveFitRegion = analytics.VolSurfaceEnums.VolCurveFitRegion;
|
||||
|
||||
public class VolSurfaceAutoFitSettingsVM : DisposableViewModelBase {
|
||||
readonly Property<VolCurveFitRegion> _fit_region;
|
||||
readonly Property<uint?> _period_secs;
|
||||
readonly Property<double?> _driver_points_moved;
|
||||
readonly Property<double?> _atm_points_moved;
|
||||
readonly Property<bool> _is_auto_fit_enabled;
|
||||
|
||||
public VolSurfaceAutoFitSettingsVM() {
|
||||
_fit_region = backing(nameof(fit_region), VolCurveFitRegion.None);
|
||||
_is_auto_fit_enabled = backing(
|
||||
nameof(is_auto_fit_enabled),
|
||||
_fit_region.observe_current(true),
|
||||
r => r != VolCurveFitRegion.None);
|
||||
_period_secs = backing<uint?>(nameof(period_secs), 10);
|
||||
_driver_points_moved = backing<double?>(nameof(driver_points_moved));
|
||||
_atm_points_moved = backing<double?>(nameof(atm_points_moved));
|
||||
_fit_region.Changed += (o, n) => RaisePropertyChanged(nameof(is_auto_fit_enabled));
|
||||
}
|
||||
|
||||
public IEnumerable<VolCurveFitRegion> fit_regions =>
|
||||
EnumHelper.get_values<VolCurveFitRegion>();
|
||||
|
||||
public VolCurveFitRegion fit_region {
|
||||
get => _fit_region.Value;
|
||||
set => _fit_region.set(value);
|
||||
}
|
||||
|
||||
public bool is_auto_fit_enabled => _is_auto_fit_enabled.Value;
|
||||
|
||||
public uint? period_secs {
|
||||
get => _period_secs.Value;
|
||||
set => _period_secs.set(value);
|
||||
}
|
||||
|
||||
public double? driver_points_moved {
|
||||
get => _driver_points_moved.Value;
|
||||
set => _driver_points_moved.set(value);
|
||||
}
|
||||
|
||||
public TickDisplaySettingsImmutable? driver_points_display =>
|
||||
user.settings.TickFactors.pennies.to_api_tick_display_settingsi();
|
||||
|
||||
public double? atm_points_moved {
|
||||
get => _atm_points_moved.Value;
|
||||
set => _atm_points_moved.set(value);
|
||||
}
|
||||
|
||||
public TickDisplaySettingsImmutable? atm_points_display =>
|
||||
user.settings.TickFactors.pennies.to_api_tick_display_settingsi();
|
||||
|
||||
public void load_from(VolSurfaceAutoFitSettings value) {
|
||||
fit_region = value?.auto_fit_region ?? VolCurveFitRegion.None;
|
||||
period_secs = value?.time_based_settings?.period_seconds;
|
||||
driver_points_moved = value?.driver_move_based_settings?.points_moved;
|
||||
atm_points_moved = value?.atm_implied_vol_based_settings?.points_moved;
|
||||
}
|
||||
|
||||
public void assign_to(VolSurfaceAutoFitSettings value) {
|
||||
if (value is null) {
|
||||
throw new ArgumentNullException(nameof(value));
|
||||
}
|
||||
|
||||
value.auto_fit_region = fit_region;
|
||||
value.time_based_settings = new() {
|
||||
period_seconds = period_secs
|
||||
};
|
||||
value.driver_move_based_settings = new() {
|
||||
points_moved = driver_points_moved
|
||||
};
|
||||
value.atm_implied_vol_based_settings = new() {
|
||||
points_moved = atm_points_moved
|
||||
};
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -40,7 +40,6 @@ namespace mbts.spark {
|
||||
vol_model_cubic_spline_vm.load_from(settings.spline_model_settings);
|
||||
vol_model_dual_quadratic_vm.load_from(settings.dualquadratic_model_settings);
|
||||
vol_path_parabolic_vm.load_from(settings.core_settings.volpath_settings.parabolic_vol_path_settings);
|
||||
auto_fit_vm.load_from(settings.core_settings.market_fit_settings.vs_auto_fit_settings);
|
||||
|
||||
init_rotation_vms(call_rotations, _core_settings.call_rotation.strike_vol_movement_pairs);
|
||||
init_rotation_vms(put_rotations, _core_settings.put_rotation.strike_vol_movement_pairs);
|
||||
@@ -106,7 +105,6 @@ namespace mbts.spark {
|
||||
}).ToList();
|
||||
_core_settings.strangle.strike_vol_movement_pairs = strangles.SelectMany(r => new[] { Tuple.Create(r.target_put_strike, r.put_move), Tuple.Create(r.target_call_strike, r.call_move) }).ToList();
|
||||
_core_settings.atm_shift.atm_strike_vol_movement = atm_shifts.Count == 1 ? atm_shifts[0].move : 0;
|
||||
auto_fit_vm.assign_to(_core_settings.market_fit_settings.vs_auto_fit_settings);
|
||||
commit(_settings);
|
||||
}
|
||||
|
||||
@@ -235,7 +233,23 @@ namespace mbts.spark {
|
||||
}
|
||||
}
|
||||
|
||||
public VolSurfaceAutoFitSettingsVM auto_fit_vm { get; } = new();
|
||||
public bool enable_auto_fit {
|
||||
get => _core_settings.market_fit_settings.enable_auto_fit;
|
||||
set {
|
||||
using var _ = detect_property_change();
|
||||
_core_settings.market_fit_settings.enable_auto_fit = value;
|
||||
}
|
||||
}
|
||||
|
||||
public VolSurfaceEnums.VolCurveFitRegion auto_fit_region {
|
||||
get => _core_settings.market_fit_settings.auto_fit_region;
|
||||
set { _core_settings.market_fit_settings.auto_fit_region = value; }
|
||||
}
|
||||
|
||||
public double auto_fit_time_ms {
|
||||
get => _core_settings.market_fit_settings.auto_fit_time_ms;
|
||||
set { _core_settings.market_fit_settings.auto_fit_time_ms = value; }
|
||||
}
|
||||
|
||||
public bool auto_decay_vol_time {
|
||||
get => _core_settings.time_settings.time_mode == VolSurfaceEnums.VolSurfaceTimeMode.AutoDecay;
|
||||
|
||||
@@ -1,6 +1,5 @@
|
||||
#nullable enable
|
||||
namespace mbts.spark {
|
||||
using bts;
|
||||
using bts.api;
|
||||
using bts.collections;
|
||||
|
||||
@@ -28,7 +27,6 @@ namespace mbts.spark {
|
||||
readonly IBus _bus;
|
||||
readonly string _request_id = Guid.NewGuid().ToString();
|
||||
readonly VolSurfaceDisplayModel _model;
|
||||
readonly UserTuple _user;
|
||||
readonly IRaiseCanExecuteChangedCommand _revert_cmd;
|
||||
readonly IRaiseCanExecuteChangedCommand _commit_cmd;
|
||||
readonly IDialogCommand _main_settings_cmd;
|
||||
@@ -40,16 +38,10 @@ namespace mbts.spark {
|
||||
bool _ignore_implied_vol_settings;
|
||||
|
||||
public VolSurfaceVM(
|
||||
VolSurfaceDisplayModel model,
|
||||
int id,
|
||||
IBus bus,
|
||||
VolSurfaceWindowSettings startup_data,
|
||||
UserTuple user
|
||||
) {
|
||||
VolSurfaceDisplayModel model, int id, IBus bus, VolSurfaceWindowSettings startup_data) {
|
||||
_model = model;
|
||||
_vs_id = id;
|
||||
_bus = bus;
|
||||
_user = user;
|
||||
macro_actions = new VolSurfaceMacroActionsVM(_model);
|
||||
globals = new VolSurfaceGlobalParameterVM(_model);
|
||||
|
||||
@@ -57,7 +49,7 @@ namespace mbts.spark {
|
||||
_grid_settings = startup_data.macro_grid_settings ?? new VolSurfaceMacroGridSettings();
|
||||
var hidden_exps_set = startup_data.hidden_exps.empty_if_null().ToHashSet();
|
||||
grid = new VolSurfaceGridVM(
|
||||
this, _model, _grid_settings.hidden_cols(), hidden_exps_set, _user);
|
||||
this, _model, _grid_settings.hidden_cols(), hidden_exps_set);
|
||||
grid.on_selection_changed += _on_grid_selection_changed;
|
||||
_model.publish_grid_settings(_grid_settings);
|
||||
|
||||
@@ -121,24 +113,21 @@ namespace mbts.spark {
|
||||
if (settings == null) {
|
||||
return null;
|
||||
}
|
||||
var vm = new VolSurfaceAdvancedSettingsEditorVM(
|
||||
VolSurfaceUtilityFunctions.clone_proto(settings.advanced_settings),
|
||||
settings.core_settings.vol_surface_name);
|
||||
vm.request_commit += commit_advanced_settings;
|
||||
return new VolSurfaceAdvancedSettingsEditor {
|
||||
DataContext = vm
|
||||
};
|
||||
|
||||
async void commit_advanced_settings(VolSurfaceAdvancedSettings value) {
|
||||
var current_settings = await _get_volsurface_settings();
|
||||
if (current_settings == null) {
|
||||
BTSMessageBox.Show("Error changing settings", "VS Settings");
|
||||
}
|
||||
else {
|
||||
current_settings.advanced_settings = value;
|
||||
_model.set_candidate_settings(current_settings);
|
||||
}
|
||||
}
|
||||
// return new VolSurfaceAdvancedSettingsEditor {
|
||||
// DataContext = new VolSurfaceAdvancedSettingsEditorVM(
|
||||
// VolSurfaceUtilityFunctions.clone_proto(settings.advanced_settings),
|
||||
// settings.core_settings.vol_surface_name,
|
||||
// advanced_settings => {
|
||||
// var current_settings = _get_volsurface_settings();
|
||||
// if (current_settings == null) BTSMessageBox.Show("Error changing settings", "VS Settings", System.Windows.MessageBoxButton.OK, System.Windows.MessageBoxImage.Error, true, true, true);
|
||||
// else {
|
||||
// current_settings.advanced_settings = advanced_settings;
|
||||
// _model.set_candidate_settings(current_settings);
|
||||
// }
|
||||
// }
|
||||
// )
|
||||
// };
|
||||
return null;
|
||||
}
|
||||
|
||||
Window? mk_grid_settings_win() {
|
||||
|
||||
@@ -22,7 +22,7 @@ namespace mbts.spark {
|
||||
// ii. IntepGreeks for each vs
|
||||
public class VolSurfaceInterpGreeksMultiplexer : IDisposable {
|
||||
private readonly ThreadedBlackboard _bb;
|
||||
private readonly ITag<VolSurfaceUsageListImmutable?> _in_bb_vs_usage_tag;
|
||||
private readonly ITag<VolSurfaceUsageListImmutable> _in_bb_vs_usage_tag;
|
||||
private IDictionary<int, ITag<VSTheos>> _vs_theo_tags =
|
||||
new Dictionary<int, ITag<VSTheos>>();
|
||||
private VolSurfaceUsageListImmutable _vs_usage_map =
|
||||
@@ -48,8 +48,8 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
private void _analyze_usages() {
|
||||
_vs_usage_map = _bb.read_state(_in_bb_vs_usage_tag) ??
|
||||
new VolSurfaceUsageList().immutable();
|
||||
_vs_usage_map = _bb.read_state(_in_bb_vs_usage_tag,
|
||||
new VolSurfaceUsageListImmutable(new VolSurfaceUsageList()));
|
||||
bts.Log.Gen.info($"VolSurfaceInterpGreeksMultiplexer._analyze_usages " +
|
||||
$"count: {_vs_usage_map.UsageList.Count()}");
|
||||
foreach (int vs_id in _vs_usage_map.vss()) {
|
||||
|
||||
@@ -9,34 +9,26 @@ namespace mbts.analytics
|
||||
[ProtoBuf.ProtoContract(Name = "VolSurfaceAdvancedSettings")]
|
||||
public class VolSurfaceAdvancedSettings
|
||||
{
|
||||
public static VolSurfaceAdvancedSettings Default =>
|
||||
new() {
|
||||
number_of_cashed_saved_days = double.NaN,
|
||||
precomputed_theo_handles = new(0),
|
||||
theo_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Absolute,
|
||||
precomputed_slide_handles = new(0),
|
||||
slide_handle_measure = VolSurfaceEnums.GeneralChangeMeasure.Percentage,
|
||||
publish_from_client = false,
|
||||
publish_from_client_user = string.Empty,
|
||||
strike_normalization_axis = VolSurfaceEnums.VolCurveStrikeAxis.RawStrike,
|
||||
};
|
||||
|
||||
[ProtoBuf.ProtoMember(1)]
|
||||
[System.ComponentModel.DefaultValue(Double.NaN)]
|
||||
public double number_of_cashed_saved_days;
|
||||
|
||||
[ProtoBuf.ProtoMember(10)]
|
||||
public List<double> precomputed_theo_handles;
|
||||
|
||||
[ProtoBuf.ProtoMember(15)]
|
||||
[System.ComponentModel.DefaultValue(VolSurfaceEnums.GeneralChangeMeasure.Absolute)]
|
||||
public VolSurfaceEnums.GeneralChangeMeasure theo_handle_measure;
|
||||
|
||||
[ProtoBuf.ProtoMember(20)]
|
||||
public List<double> precomputed_slide_handles;
|
||||
|
||||
[ProtoBuf.ProtoMember(25)]
|
||||
[System.ComponentModel.DefaultValue(VolSurfaceEnums.GeneralChangeMeasure.Percentage)]
|
||||
public VolSurfaceEnums.GeneralChangeMeasure slide_handle_measure;
|
||||
|
||||
[ProtoBuf.ProtoMember(30)]
|
||||
//[System.ComponentModel.DefaultValue(false)]
|
||||
public bool publish_from_client;
|
||||
|
||||
[ProtoBuf.ProtoMember(40)]
|
||||
@@ -46,11 +38,5 @@ namespace mbts.analytics
|
||||
[ProtoBuf.ProtoMember(50)]
|
||||
[System.ComponentModel.DefaultValue(VolSurfaceEnums.VolCurveStrikeAxis.RawStrike)]
|
||||
public VolSurfaceEnums.VolCurveStrikeAxis strike_normalization_axis;
|
||||
|
||||
public void ensure_no_nulls() {
|
||||
precomputed_theo_handles ??= new(0);
|
||||
precomputed_slide_handles ??= new(0);
|
||||
publish_from_client_user ??= string.Empty;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -4,11 +4,13 @@ using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
namespace mbts.analytics {
|
||||
namespace mbts.analytics
|
||||
{
|
||||
/// These are the VolSurface settings that are common
|
||||
/// to any Vol Model
|
||||
[ProtoBuf.ProtoContract(Name = "VolSurfaceCoreSettings")]
|
||||
public class VolSurfaceCoreSettings {
|
||||
public class VolSurfaceCoreSettings
|
||||
{
|
||||
[ProtoBuf.ProtoMember(1)]
|
||||
public string vol_surface_name;
|
||||
[ProtoBuf.ProtoMember(2)]
|
||||
@@ -85,7 +87,5 @@ namespace mbts.analytics {
|
||||
get => _time_settings ??= new();
|
||||
set => _time_settings = value;
|
||||
}
|
||||
[ProtoBuf.ProtoMember(240)]
|
||||
public string vs_manager { get; set; } = string.Empty;
|
||||
}
|
||||
}
|
||||
@@ -25,8 +25,7 @@ namespace mbts.analytics {
|
||||
volpath_settings = new(),
|
||||
safety_limits = new(),
|
||||
},
|
||||
polynomial_model_settings = new(),
|
||||
advanced_settings = VolSurfaceAdvancedSettings.Default
|
||||
polynomial_model_settings = new()
|
||||
};
|
||||
|
||||
[ProtoMember(10)]
|
||||
@@ -76,12 +75,9 @@ namespace mbts.analytics {
|
||||
if (core_settings.market_fit_settings == null) {
|
||||
core_settings.market_fit_settings = new VolSurfaceMarketFitSettings();
|
||||
}
|
||||
core_settings.market_fit_settings.vs_auto_fit_settings ??= new();
|
||||
if (core_settings.time_settings == null) {
|
||||
core_settings.time_settings = new VolSurfaceTimeSettings();
|
||||
}
|
||||
advanced_settings ??= VolSurfaceAdvancedSettings.Default;
|
||||
advanced_settings.ensure_no_nulls();
|
||||
return this;
|
||||
}
|
||||
}
|
||||
|
||||
@@ -141,7 +141,6 @@ namespace mbts.analytics
|
||||
|
||||
public enum VolCurveFitRegion
|
||||
{
|
||||
None,
|
||||
ATM,
|
||||
All
|
||||
}
|
||||
@@ -231,4 +230,4 @@ namespace mbts.analytics
|
||||
USE_CALENDAR_FOR_BUSINESS
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -4,9 +4,11 @@ using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
namespace mbts.analytics {
|
||||
namespace mbts.analytics
|
||||
{
|
||||
[ProtoBuf.ProtoContract(Name = "VolSurfaceMarketFitSettings")]
|
||||
public class VolSurfaceMarketFitSettings {
|
||||
public class VolSurfaceMarketFitSettings
|
||||
{
|
||||
/// use one sided market or not
|
||||
[ProtoBuf.ProtoMember(10)]
|
||||
public bool ignore_one_sided_markets;
|
||||
@@ -20,44 +22,19 @@ namespace mbts.analytics {
|
||||
public double graph_update_period_ms = 2500;
|
||||
/// If this is set to true a regression curve is drawn
|
||||
/// and the vol model adheres to that
|
||||
[ProtoBuf.ProtoMember(50)]
|
||||
[ProtoBuf.ProtoMember(50)]
|
||||
public bool use_weighted_regression_fit = false;
|
||||
[ProtoBuf.ProtoMember(55)]
|
||||
public uint regression_order = 4;
|
||||
|
||||
[ProtoBuf.ProtoMember(90)]
|
||||
public VolSurfaceAutoFitSettings vs_auto_fit_settings { get; set; }
|
||||
}
|
||||
|
||||
[ProtoBuf.ProtoContract(Name = "VolSurfaceAutoFitSettings")]
|
||||
public class VolSurfaceAutoFitSettings {
|
||||
// each of these settings can be enabled independently. if they are enabled
|
||||
// then any of them being true will result in an autmatic fit
|
||||
[ProtoBuf.ProtoContract(Name = "TimeBasedSettings")]
|
||||
public class TimeBasedSettings {
|
||||
[ProtoBuf.ProtoMember(10)]
|
||||
public uint? period_seconds { get; set; }
|
||||
}
|
||||
|
||||
[ProtoBuf.ProtoContract(Name = "DriverMoveBasedSettings")]
|
||||
public class DriverMoveBasedSettings {
|
||||
[ProtoBuf.ProtoMember(10)]
|
||||
public double? points_moved { get; set; }
|
||||
}
|
||||
|
||||
[ProtoBuf.ProtoContract(Name = "ATMImpliedVolBasedSettings")]
|
||||
public class ATMImpliedVolBasedSettings {
|
||||
[ProtoBuf.ProtoMember(20)]
|
||||
public double? points_moved { get; set; }
|
||||
// we can do price terms moved as well
|
||||
}
|
||||
[ProtoBuf.ProtoMember(5)]
|
||||
public VolSurfaceEnums.VolCurveFitRegion auto_fit_region;
|
||||
[ProtoBuf.ProtoMember(10)]
|
||||
public TimeBasedSettings time_based_settings = null;
|
||||
[ProtoBuf.ProtoMember(20)]
|
||||
public DriverMoveBasedSettings driver_move_based_settings = null;
|
||||
[ProtoBuf.ProtoMember(30)]
|
||||
public ATMImpliedVolBasedSettings atm_implied_vol_based_settings = null;
|
||||
/// The system auto fits and saves vols if this is
|
||||
/// set to true
|
||||
[ProtoBuf.ProtoMember(60)]
|
||||
public bool enable_auto_fit = false;
|
||||
/// If enable_auto_fit = true, this governs
|
||||
/// how often the system auto-fits
|
||||
[ProtoBuf.ProtoMember(70)]
|
||||
public double auto_fit_time_ms = 30000;
|
||||
[ProtoBuf.ProtoMember(80)]
|
||||
public VolSurfaceEnums.VolCurveFitRegion auto_fit_region = VolSurfaceEnums.VolCurveFitRegion.ATM;
|
||||
}
|
||||
}
|
||||
@@ -475,7 +475,6 @@ namespace mbts.analytics {
|
||||
public static ResultMessage save_volsurface(
|
||||
VolSurfaceInput vs_input, AnalyticsService service, string user = "") {
|
||||
vs_input.saver_login = user;
|
||||
vs_input.surface_settings.core_settings.vs_manager = user;
|
||||
// convert to VolSurfaceEntry
|
||||
var to_save = new VolSurfaceEntry();
|
||||
var serialized_vs = ProtobufSerializationHelper.serialize(vs_input);
|
||||
@@ -596,7 +595,7 @@ namespace mbts.analytics {
|
||||
_greek_getter(g)(t, is_call);
|
||||
|
||||
public static IDictionary<double, IEnumerable<Theos>> hash_strikes(IEnumerable<Theos> theos) =>
|
||||
theos.Map(t => t.strike);
|
||||
theos.Map(t => t.strike);
|
||||
|
||||
static Func<Theos, bool, double> _greek_getter(VolSurfaceGreeks g) =>
|
||||
g switch {
|
||||
|
||||
@@ -40,8 +40,10 @@ namespace mbts.analytics {
|
||||
/// last computed min/max driver for each exp
|
||||
private IDictionary<VolSurfaceExpiration, Tuple<double, double>>
|
||||
_computed_driver_range_map = new Dictionary<VolSurfaceExpiration, Tuple<double, double>>();
|
||||
private readonly IEnumerable<double> _default_abs_moves = config.Configuration.get<bts.config.VolSurface>().default_abs_moves;
|
||||
private readonly IEnumerable<double> _default_abs_moves =
|
||||
new double[] { 300, -200, -125, -100, -75, -50, -25, 0, 25, 50, 75, 100, 125, 200, 300 };
|
||||
private readonly double _cushion_percentage = 25.0;
|
||||
|
||||
public event
|
||||
Action<IDictionary<VolSurfaceExpiration, IEnumerable<Theos>>, double, double> on_theos =
|
||||
(o, vt, tt) => { };
|
||||
@@ -50,7 +52,7 @@ namespace mbts.analytics {
|
||||
(o, vt, tt) => { };
|
||||
|
||||
public VolSurfaceInterpGreeksProducer(int vs_id) {
|
||||
Log.Gen.info($"VolSurfaceInterpGreeksProducer.cons vs_id: {vs_id}, _default_abs_moves: {string.Join(", ", _default_abs_moves)}");
|
||||
Log.Gen.info($"VolSurfaceInterpGreeksProducer.cons vs_id: {vs_id}");
|
||||
_vs_id = vs_id;
|
||||
}
|
||||
|
||||
@@ -70,7 +72,7 @@ namespace mbts.analytics {
|
||||
}
|
||||
|
||||
public void set_vol_data(VolSurfaceInput vs_input) {
|
||||
Log.Gen.info($"VolSurfaceInterpGreeksProducer.set_vol_data vs_id: {_vs_id} precomputed_theo_handles?: {string.Join(", ", (vs_input?.surface_settings?.advanced_settings?.precomputed_theo_handles).empty_if_null())}");
|
||||
Log.Gen.info($"VolSurfaceInterpGreeksProducer.set_vol_data vs_id: {_vs_id}");
|
||||
_vs_input = vs_input != null ? VolSurfaceUtilityFunctions.clone_proto(vs_input) : null;
|
||||
_compute_and_fire(InputType.Vol);
|
||||
}
|
||||
|
||||
@@ -135,10 +135,7 @@ namespace bts {
|
||||
var meta = _security_metadata.get(smd.security);
|
||||
if (meta.HasValue) {
|
||||
exch_secs[smd.id] = new(
|
||||
smd.security,
|
||||
smd.md,
|
||||
meta.Value.HasPriceDisplay ? meta.Value.PriceDisplay : null,
|
||||
meta.Value.HasQuantityDisplay ? meta.Value.QuantityDisplay : null);
|
||||
smd.security, smd.md, meta.Value.PriceDisplay, meta.Value.QuantityDisplay);
|
||||
}
|
||||
}
|
||||
_bus.post(SparkTags.ServerSecuritiesTag, exch_secs);
|
||||
|
||||
@@ -56,7 +56,7 @@ namespace mbts.spark {
|
||||
r => new ReportImmutable?(r),
|
||||
r => r?.Id ?? throw new ArgumentNullException(nameof(r)));
|
||||
_window_factories = new() {
|
||||
new VolSurfaceWindowFactory(this, bus, user.Value),
|
||||
new VolSurfaceWindowFactory(this, bus),
|
||||
new AnalyticsExpirationParametersWindowFactory(this, bus),
|
||||
new SlideReportWindowFactory(this, bus, reports_demuxer.subscribe),
|
||||
new ComboReportWindowFactory(this, bus, reports_demuxer.subscribe),
|
||||
|
||||
-58
@@ -1,58 +0,0 @@
|
||||
<Window
|
||||
x:Class="mbts.ui.shell.VolSurfaceAdvancedSettingsEditor"
|
||||
x:ClassModifier="internal"
|
||||
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
|
||||
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
|
||||
xmlns:c="clr-namespace:mbts.ui.controls"
|
||||
xmlns:cv="clr-namespace:mbts.ui.converters"
|
||||
Title="{Binding vol_surface_name, StringFormat='{}Advanced Settings \'{0}\''}"
|
||||
Style="{StaticResource BTSDialog}"
|
||||
SizeToContent="WidthAndHeight"
|
||||
TextElement.FontSize="10">
|
||||
<StackPanel>
|
||||
<Grid Margin="5" Grid.IsSharedSizeScope="True">
|
||||
<Grid.RowDefinitions>
|
||||
<RowDefinition Height="Auto"/>
|
||||
<RowDefinition Height="Auto"/>
|
||||
<RowDefinition Height="Auto"/>
|
||||
<RowDefinition Height="Auto"/>
|
||||
<RowDefinition Height="Auto"/>
|
||||
</Grid.RowDefinitions>
|
||||
<Grid.ColumnDefinitions>
|
||||
<ColumnDefinition Width="Auto" SharedSizeGroup="label"/>
|
||||
<ColumnDefinition Width="*"/>
|
||||
</Grid.ColumnDefinitions>
|
||||
<GroupBox Grid.ColumnSpan="2" Padding="3">
|
||||
<GroupBox.Header>
|
||||
<TextBlock Text="Theos" FontWeight="Bold"/>
|
||||
</GroupBox.Header>
|
||||
<Grid>
|
||||
<Grid.RowDefinitions>
|
||||
<RowDefinition Height="Auto"/>
|
||||
<RowDefinition Height="Auto"/>
|
||||
</Grid.RowDefinitions>
|
||||
<Grid.ColumnDefinitions>
|
||||
<ColumnDefinition Width="Auto" SharedSizeGroup="label"/>
|
||||
<ColumnDefinition Width="Auto"/>
|
||||
</Grid.ColumnDefinitions>
|
||||
<c:RadioButtonsControl Grid.ColumnSpan="2" Margin="0,0,0,5" ItemsSource="{Binding general_change_measures}" SelectedItem="{Binding theo_handle_measure}" IsEnabled="False"/>
|
||||
<TextBlock Grid.Row="1" Text="Precomputed Handles" VerticalAlignment="Center"/>
|
||||
<TextBox
|
||||
x:Name="PART_Handles"
|
||||
Validation.ErrorTemplate="{x:Null}"
|
||||
Grid.Row="1"
|
||||
Grid.Column="1"
|
||||
Width="160"
|
||||
Margin="5,0,0,0"
|
||||
Text="{Binding precomputed_theo_handles, Converter={x:Static cv:EnumerableDoubleStringConverter.Instance}}" />
|
||||
</Grid>
|
||||
</GroupBox>
|
||||
<TextBlock Visibility="Collapsed" Grid.Row="1" VerticalAlignment="Center" Margin="5,0,0,0" Text="Num Cash Saved Days" />
|
||||
<c:TickUpDownDouble Visibility="Collapsed" Grid.Row="1" Grid.Column="1" HorizontalAlignment="Stretch" Margin="14,5,5,5" Value="{Binding number_of_cash_saved_days}"/>
|
||||
<TextBlock Grid.Row="2" VerticalAlignment="Center" Margin="5,0,0,0" Text="Strike Normalization Axis"/>
|
||||
<ComboBox Grid.Row="2" Grid.Column="1" HorizontalAlignment="Stretch" Margin="14,5,5,5" ItemsSource="{Binding strike_normalization_axes}" SelectedValue="{Binding selected_strike_normalization_axis}"/>
|
||||
<CheckBox Grid.Row="3" Margin="7,0,0,0" Content="Publish From Client" IsChecked="{Binding publish_from_client}"/>
|
||||
</Grid>
|
||||
<c:DialogSkirtOKCancel OKCommand="{Binding commit}" />
|
||||
</StackPanel>
|
||||
</Window>
|
||||
-11
@@ -1,11 +0,0 @@
|
||||
namespace mbts.ui.shell {
|
||||
using System.Windows;
|
||||
|
||||
/// <summary>
|
||||
/// Interaction logic for VolSurfaceAdvancedSettingsEditor.xaml
|
||||
/// </summary>
|
||||
partial class VolSurfaceAdvancedSettingsEditor : Window {
|
||||
public VolSurfaceAdvancedSettingsEditor() =>
|
||||
InitializeComponent();
|
||||
}
|
||||
}
|
||||
@@ -793,106 +793,70 @@
|
||||
Grid.Row="5"
|
||||
Grid.Column="1"
|
||||
Grid.ColumnSpan="4"
|
||||
DataContext="{Binding auto_fit_vm}"
|
||||
Header="Auto Fit"
|
||||
Margin="0,5,0,0"
|
||||
Padding="5">
|
||||
Padding="5"
|
||||
IsEnabled="False">
|
||||
<Grid>
|
||||
<Grid.RowDefinitions>
|
||||
<RowDefinition Height="Auto" />
|
||||
<RowDefinition Height="Auto" />
|
||||
<RowDefinition Height="Auto" />
|
||||
<RowDefinition Height="Auto" />
|
||||
</Grid.RowDefinitions>
|
||||
<Grid.ColumnDefinitions>
|
||||
<ColumnDefinition Width="Auto" />
|
||||
<ColumnDefinition Width="Auto" />
|
||||
<ColumnDefinition Width="*" />
|
||||
</Grid.ColumnDefinitions>
|
||||
<CheckBox
|
||||
Grid.ColumnSpan="2" Content="Enabled" IsChecked="{Binding enable_auto_fit}" />
|
||||
|
||||
<TextBlock Grid.Row="1" Text="Region" Margin="16,5,0,0">
|
||||
<TextBlock.Style>
|
||||
<Style TargetType="TextBlock">
|
||||
<Style.Triggers>
|
||||
<DataTrigger
|
||||
Binding="{Binding enable_auto_fit}"
|
||||
Value="False">
|
||||
<Setter
|
||||
Property="Foreground"
|
||||
Value="Gray" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</TextBlock.Style>
|
||||
</TextBlock>
|
||||
|
||||
<TextBlock Grid.Row="0" Text="Fit Region" />
|
||||
<ComboBox
|
||||
Grid.Row="0"
|
||||
Grid.Column="1"
|
||||
Grid.ColumnSpan="2"
|
||||
Margin="8,0,0,0"
|
||||
VerticalAlignment="Center"
|
||||
ItemsSource="{Binding fit_regions}"
|
||||
SelectedItem="{Binding fit_region}">
|
||||
<ComboBox.ItemTemplate>
|
||||
<DataTemplate>
|
||||
<TextBlock Text="{Binding Converter={x:Static shell:VolSurfaceSettingsEditor.AutoFitRegionDisplayTextConverter}}" />
|
||||
</DataTemplate>
|
||||
</ComboBox.ItemTemplate>
|
||||
</ComboBox>
|
||||
|
||||
<TextBlock
|
||||
Grid.Row="1"
|
||||
Margin="0,5,0,0"
|
||||
Text="Every" />
|
||||
<c:TickUpDownNullableUInt32
|
||||
Grid.Row="1"
|
||||
Grid.Column="1"
|
||||
HorizontalAlignment="Left"
|
||||
VerticalAlignment="Center"
|
||||
Minimum="30"
|
||||
Margin="8,0,0,0"
|
||||
Width="60"
|
||||
Value="{Binding period_secs}"
|
||||
IsEnabled="{Binding is_auto_fit_enabled}" />
|
||||
<TextBlock
|
||||
Grid.Row="1"
|
||||
Grid.Column="2"
|
||||
HorizontalAlignment="Left"
|
||||
Margin="3,5,0,0"
|
||||
Text="secs" />
|
||||
Margin="12,0,0,0"
|
||||
HorizontalAlignment="Stretch"
|
||||
ItemsSource="{Binding auto_fit_region_choices}"
|
||||
SelectedValue="{Binding auto_fit_region}"
|
||||
IsEnabled="{Binding enable_auto_fit}" />
|
||||
|
||||
<TextBlock
|
||||
Grid.Row="2"
|
||||
Margin="0,5,0,0"
|
||||
Text="When Driver moves" />
|
||||
<c:TickUpDownNullableDouble
|
||||
<TextBlock Grid.Row="2" Text="Fit Time" Margin="16,5,0,0">
|
||||
<TextBlock.Style>
|
||||
<Style TargetType="TextBlock">
|
||||
<Style.Triggers>
|
||||
<DataTrigger Binding="{Binding enable_auto_fit}" Value="False">
|
||||
<Setter Property="Foreground" Value="Gray" />
|
||||
</DataTrigger>
|
||||
</Style.Triggers>
|
||||
</Style>
|
||||
</TextBlock.Style>
|
||||
</TextBlock>
|
||||
|
||||
<c:TextBoxDouble
|
||||
Grid.Row="2"
|
||||
Grid.Column="1"
|
||||
ToolTipService.ShowOnDisabled="True"
|
||||
c:TextBoxEx.Suffix="ms"
|
||||
HorizontalAlignment="Left"
|
||||
VerticalAlignment="Center"
|
||||
Margin="8,0,0,0"
|
||||
Width="60"
|
||||
Value="{Binding driver_points_moved}"
|
||||
Increment="0.01"
|
||||
TickDisplaySettings="{Binding driver_points_display}"
|
||||
IsEnabled="False"
|
||||
ToolTip="Not yet supported (coming soon)" />
|
||||
<TextBlock
|
||||
Grid.Row="2"
|
||||
Grid.Column="2"
|
||||
HorizontalAlignment="Left"
|
||||
Margin="3,5,0,0"
|
||||
Text="%" />
|
||||
|
||||
<TextBlock
|
||||
Grid.Row="3"
|
||||
Margin="0,5,0,0"
|
||||
Text="When ATM moves" />
|
||||
<c:TickUpDownNullableDouble
|
||||
Grid.Row="3"
|
||||
Grid.Column="1"
|
||||
ToolTipService.ShowOnDisabled="True"
|
||||
HorizontalAlignment="Left"
|
||||
Margin="8,0,0,0"
|
||||
Width="60"
|
||||
Value="{Binding atm_points_moved}"
|
||||
Increment="0.01"
|
||||
TickDisplaySettings="{Binding atm_points_display}"
|
||||
IsEnabled="False"
|
||||
ToolTip="Not yet supported (coming soon)" />
|
||||
<TextBlock
|
||||
Grid.Row="3"
|
||||
Grid.Column="2"
|
||||
HorizontalAlignment="Left"
|
||||
Margin="3,5,0,0"
|
||||
Text="%" />
|
||||
Margin="12,5,0,0"
|
||||
IsEnabled="{Binding enable_auto_fit}"
|
||||
Value="{Binding auto_fit_time_ms}"
|
||||
Template="{StaticResource SuffixTemplate}" />
|
||||
</Grid>
|
||||
</GroupBox>
|
||||
</Grid>
|
||||
|
||||
@@ -1,20 +1,9 @@
|
||||
#nullable enable
|
||||
namespace mbts.ui.shell {
|
||||
using mbts.analytics;
|
||||
using mbts.ui.converters;
|
||||
|
||||
using System.Windows;
|
||||
using System.Windows.Data;
|
||||
|
||||
partial class VolSurfaceSettingsEditor : Window {
|
||||
public VolSurfaceSettingsEditor() =>
|
||||
InitializeComponent();
|
||||
|
||||
public static IValueConverter AutoFitRegionDisplayTextConverter =>
|
||||
ValueConverter.create<VolSurfaceEnums.VolCurveFitRegion, string>(fr =>
|
||||
fr switch {
|
||||
VolSurfaceEnums.VolCurveFitRegion.None => "Disabled",
|
||||
_ => fr.ToString()
|
||||
});
|
||||
}
|
||||
}
|
||||
@@ -262,7 +262,7 @@
|
||||
IsDragAdornerEnabled="False"
|
||||
ContextMenuOpening="_on_context_menu_opening">
|
||||
<c:DIYGrid.ContextMenu>
|
||||
<ContextMenu IsOpen="{Binding is_open}">
|
||||
<ContextMenu>
|
||||
<MenuItem
|
||||
Header="Populate Empty Expirations"
|
||||
Command="{Binding populate_empty_exps_cmd}" />
|
||||
@@ -413,11 +413,6 @@
|
||||
</MenuItem.ItemContainerStyle>
|
||||
</MenuItem>
|
||||
<MenuItem Header="Import CSV..." Command="{Binding import_csv_cmd}" />
|
||||
<MenuItem Command="{Binding acquire_ownership_cmd}">
|
||||
<MenuItem.Header>
|
||||
<TextBlock Text="{Binding vs_manager, StringFormat='Acquire ownership from \'{0}\''}" />
|
||||
</MenuItem.Header>
|
||||
</MenuItem>
|
||||
</ContextMenu>
|
||||
</c:DIYGrid.ContextMenu>
|
||||
<c:DIYGrid.RowStyle>
|
||||
|
||||
@@ -122,7 +122,7 @@
|
||||
}
|
||||
var mouse_pos = Mouse.GetPosition(this);
|
||||
if (!this.ChildAtPoint<VolSurfaceRowView>(mouse_pos, out var row)) {
|
||||
cm.SetCurrentValue(ContextMenu.IsOpenProperty, false);
|
||||
cm.IsOpen = false;
|
||||
return;
|
||||
}
|
||||
var cgs = g.GetColumnGeometry().ToList();
|
||||
|
||||
@@ -1,5 +1,4 @@
|
||||
namespace mbts.spark {
|
||||
using bts;
|
||||
using bts.api;
|
||||
using bts.spark;
|
||||
|
||||
@@ -15,20 +14,14 @@
|
||||
public const string WINDOW_TYPE = "VolSurface";
|
||||
|
||||
readonly VolSurfaceWindowSettings _startup_data;
|
||||
readonly UserTuple _user;
|
||||
|
||||
VolSurfaceVM _vm;
|
||||
VolSurfaceView _view;
|
||||
|
||||
public VolSurfaceWindow(
|
||||
VolSurfaceWindowFactory factory,
|
||||
IBus bus,
|
||||
string vs_name,
|
||||
VolSurfaceWindowSettings startup_data,
|
||||
UserTuple user
|
||||
) : base(vs_name, bus, factory, Icons.vol_surface) {
|
||||
VolSurfaceWindowFactory factory, IBus bus, string vs_name, VolSurfaceWindowSettings startup_data) :
|
||||
base(vs_name, bus, factory, Icons.vol_surface) {
|
||||
_startup_data = startup_data ?? throw new ArgumentNullException(nameof(startup_data));
|
||||
_user = user;
|
||||
this.vs_name = vs_name;
|
||||
_dispose = Disposable.Create(() => Disposable.dispose(ref _vm));
|
||||
}
|
||||
@@ -44,7 +37,7 @@
|
||||
public override UIElement Content => _view;
|
||||
|
||||
public void thread_init() {
|
||||
_vm = new VolSurfaceVM(new (vs_id, _bus, true), vs_id, _bus, _startup_data, _user);
|
||||
_vm = new VolSurfaceVM(new VolSurfaceDisplayModel(vs_id, _bus, true), vs_id, _bus, _startup_data);
|
||||
_view = new VolSurfaceView {
|
||||
DataContext = _vm
|
||||
};
|
||||
|
||||
@@ -1,5 +1,4 @@
|
||||
namespace mbts.spark {
|
||||
using bts;
|
||||
using bts.api;
|
||||
using bts.shell;
|
||||
|
||||
@@ -11,12 +10,10 @@ namespace mbts.spark {
|
||||
|
||||
class VolSurfaceWindowFactory : ShellWindowFactory<VolSurfaceWindowSettings> {
|
||||
readonly IBus _bus;
|
||||
readonly UserTuple _user;
|
||||
|
||||
public VolSurfaceWindowFactory(IShellModule module, IBus bus, UserTuple user)
|
||||
public VolSurfaceWindowFactory(IShellModule module, IBus bus)
|
||||
: base(module, "VolSurface") {
|
||||
_bus = bus;
|
||||
_user = user;
|
||||
_dispose = bus.subscribe(SparkTags.ShowVolSurface).OnDispatcher().Subscribe(
|
||||
async state => _bus.post(SparkTags.ShowWindow, await _create(state)));
|
||||
}
|
||||
@@ -25,7 +22,7 @@ namespace mbts.spark {
|
||||
_create(state);
|
||||
|
||||
async Task<IShellWindow> _create(VolSurfaceWindowSettings state) =>
|
||||
new VolSurfaceWindow(this, _bus, await _lookup_vs_name(state.id), state, _user);
|
||||
new VolSurfaceWindow(this, _bus, await _lookup_vs_name(state.id), state);
|
||||
|
||||
async Task<string> _lookup_vs_name(int vs_id) {
|
||||
var (vol_surfaces, success) = await _bus.subscribe(SparkTags.VolSurfaceListTag).FirstAsyncTask(TimeSpan.FromSeconds(2));
|
||||
|
||||
@@ -176,11 +176,10 @@
|
||||
</usp:DataGridParameterCellTemplateConverter.QuantityMeasureTemplate>
|
||||
</usp:DataGridParameterCellTemplateConverter>
|
||||
<Style x:Key="ExpanderToggleButton" TargetType="ToggleButton">
|
||||
<Setter Property="Foreground" Value="{u:BTSColor ExecutionStrategy.expander_foreground}"/>
|
||||
<Setter Property="Template">
|
||||
<Setter.Value>
|
||||
<ControlTemplate TargetType="ToggleButton">
|
||||
<Grid Background="{u:BTSColor ExecutionStrategy.expander_background}">
|
||||
<Grid Background="Transparent">
|
||||
<Grid.ColumnDefinitions>
|
||||
<ColumnDefinition Width="12" />
|
||||
<ColumnDefinition/>
|
||||
@@ -191,7 +190,7 @@
|
||||
HorizontalAlignment="Center"
|
||||
Margin="0,5,0,0"
|
||||
SnapsToDevicePixels="False"
|
||||
Stroke="{u:BTSColor ExecutionStrategy.arrow_background}"
|
||||
Stroke="#77333333"
|
||||
StrokeThickness="2"
|
||||
VerticalAlignment="Top"
|
||||
/>
|
||||
@@ -200,7 +199,6 @@
|
||||
ContentSource="{TemplateBinding Content}"
|
||||
Margin="3,0,0,0"
|
||||
/>
|
||||
|
||||
</Grid>
|
||||
<ControlTemplate.Triggers>
|
||||
<Trigger Property="IsChecked" Value="True">
|
||||
@@ -213,7 +211,7 @@
|
||||
<Setter Property="Stroke" TargetName="arrow" Value="Black"/>
|
||||
</Trigger>
|
||||
<Trigger Property="IsEnabled" Value="False">
|
||||
<Setter Property="Stroke" TargetName="arrow" Value="{u:BTSColor ExecutionStrategy.arrow_background_selected}"/>
|
||||
<Setter Property="Stroke" TargetName="arrow" Value="#FF707070"/>
|
||||
<Setter Property="Foreground" Value="Gray"/>
|
||||
</Trigger>
|
||||
</ControlTemplate.Triggers>
|
||||
@@ -280,8 +278,7 @@
|
||||
<ColumnDefinition/>
|
||||
</SelectiveScrollingGrid.ColumnDefinitions>
|
||||
<DataGridRowHeader
|
||||
Foreground="{u:BTSColor ExecutionStrategy.expander_foreground}"
|
||||
Background="{u:BTSColor ExecutionStrategy.data_grid_row_header_background}"
|
||||
Background="Transparent"
|
||||
Padding="{Binding section_count, Converter={StaticResource RowHeaderGroupIndentConverter}}"
|
||||
FontWeight="{Binding font_weight, FallbackValue={u:FontWeight Normal}}"
|
||||
SelectiveScrollingGrid.SelectiveScrollingOrientation="Vertical"
|
||||
@@ -320,17 +317,9 @@
|
||||
<Style x:Key="DataGridRowStyle" TargetType="DataGridRow">
|
||||
<Setter Property="BorderThickness" Value="1,0"/>
|
||||
<Setter Property="BorderBrush" Value="Transparent"/>
|
||||
<Setter Property="Background" Value="{u:BTSColor ExecutionStrategy.alternate_column_background}"/>
|
||||
<Setter Property="Template" Value="{StaticResource DataGridRowTemplate}"/>
|
||||
<Setter Property="usp:ExecutionStrategyEditor.RowHasErrors" Value="{Binding has_errors}"/>
|
||||
<Style.Triggers>
|
||||
<Trigger Property="ListBox.AlternationIndex" Value="1">
|
||||
<Setter Property="Background" Value="{u:BTSColor ExecutionStrategy.data_grid_background}"/>
|
||||
</Trigger>
|
||||
<!-- <Trigger Property="ListBox.AlternationIndex" Value="2">
|
||||
<Setter Property="Background" Value="LightBlue"/>
|
||||
<Setter Property="Foreground" Value="Navy"/>
|
||||
</Trigger> -->
|
||||
<DataTrigger Binding="{Binding read_only}" Value="True">
|
||||
<Setter Property="TextElement.Foreground" Value="{u:BTSColor UI.input_disabled_text_dark}"/>
|
||||
<Setter Property="ToolTip">
|
||||
|
||||
@@ -57,7 +57,7 @@ namespace mbts.spark {
|
||||
main_vm.rows.AddRange(parsed_synths.Select(ps => {
|
||||
var sec = ps.result;
|
||||
var r = new SyntheticImportRowVM(orders_model.admin_model.user.id, used_names.Contains) {
|
||||
tick_factors = TickUtils.get_regional_ticks(sec.immutable()).low_tick,
|
||||
tick_factors = TickUtils.get_regional_ticks(sec.ContractSpec).low_tick,
|
||||
name = sec.Synthetic.Name,
|
||||
parsed_synth = ps
|
||||
};
|
||||
|
||||
@@ -56,7 +56,7 @@ namespace mbts.spark {
|
||||
public SyntheticEditorVM(SpreaderModel model, SecurityImmutable synthetic, ExecutionStrategyImmutable strategy, IObservable<bool> security_has_working_orders)
|
||||
: this(synthetic, strategy, false) {
|
||||
ExceptionAssert.InvalidOperation.That(synthetic.Id != 0, "This constructor may only be used for already-existing synthetic securities (id must be non-zero).");
|
||||
_tick_factors = TickUtils.get_regional_ticks(synthetic).low_tick;
|
||||
_tick_factors = TickUtils.get_regional_ticks(synthetic.ContractSpec).low_tick;
|
||||
if (TickUtils.is_integer_tick(synthetic.ContractSpec)) {
|
||||
_use_fractional_ticks = false;
|
||||
_integer_tick_size = DoubleHelper.to_optional_int32(synthetic.ContractSpec.LowTick) ?? 0;
|
||||
@@ -112,7 +112,7 @@ namespace mbts.spark {
|
||||
_set_ticks_automatically = false;
|
||||
_set_quantities_automatically = false;
|
||||
_set_price_mults_automatically = false;
|
||||
_tick_factors = TickUtils.get_regional_ticks(_synthetic.immutable()).low_tick;
|
||||
_tick_factors = TickUtils.get_regional_ticks(_synthetic.ContractSpec).low_tick;
|
||||
} else {
|
||||
_deduce_name();
|
||||
_deduce_ticks();
|
||||
@@ -411,7 +411,7 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
void _deduce_ticks() {
|
||||
_tick_factors = TickUtils.deduce_ticks(leg_tuples.Select(l => l.leg.Security.immutable()));
|
||||
_tick_factors = TickUtils.deduce_ticks(leg_tuples.Select(l => l.leg.Security.ContractSpec));
|
||||
RaisePropertyChanged(nameof(tick_factors));
|
||||
}
|
||||
|
||||
|
||||
@@ -371,7 +371,6 @@
|
||||
<usp:AlgoEditorView
|
||||
DataContext="{Binding selected_definition}"
|
||||
Background="Transparent"
|
||||
Foreground="{u:BTSColor UI.default_text}"
|
||||
BorderBrush="{Binding algo_root, Converter={StaticResource OrderTypeBrushConverter}}"
|
||||
Padding="12,8" />
|
||||
</ScrollViewer>
|
||||
|
||||
@@ -79,7 +79,7 @@ namespace Spark.Trading {
|
||||
meta.Value.Value.PriceDisplay : Security.Defaults.price_display_settingsi;
|
||||
if (security.HasValue) {
|
||||
rv = rv.with(
|
||||
tick_factors: security.Value.tick_factors().to_api_tick_factors());
|
||||
tick_factors: security.spec_or_default().tick_factors().to_api_tick_factors());
|
||||
}
|
||||
return rv;
|
||||
}
|
||||
|
||||
@@ -241,7 +241,7 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
public OrderBookVM? create_orderbook_vm() {
|
||||
var ticks = _owner.spec.count_ticks(real_price);
|
||||
var ticks = _owner.spec.full_ticks_from_zero(real_price);
|
||||
if (!ticks.HasValue) {
|
||||
return null;
|
||||
}
|
||||
|
||||
@@ -191,7 +191,7 @@ namespace mbts.spark {
|
||||
void increment_ticks_per_row() {
|
||||
var tpr = ticks_per_row;
|
||||
for (uint i = 1; i < 100; i++) {
|
||||
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security, ticks_per_row + i);
|
||||
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security.ContractSpec, ticks_per_row + i);
|
||||
if (new_tpr != tpr) {
|
||||
ticks_per_row = new_tpr;
|
||||
break;
|
||||
@@ -201,7 +201,7 @@ namespace mbts.spark {
|
||||
void decrement_ticks_per_row() {
|
||||
var tpr = ticks_per_row;
|
||||
for (uint i = 1; i < tpr; i++) {
|
||||
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security, tpr - i);
|
||||
var new_tpr = TickUtils.fit_ticks_per_row_to_dollars(security.ContractSpec, tpr - i);
|
||||
if (new_tpr != tpr) {
|
||||
ticks_per_row = new_tpr;
|
||||
break;
|
||||
@@ -239,8 +239,7 @@ namespace mbts.spark {
|
||||
// since settings profiles may be shared among ladders
|
||||
// of different securities/tick sizes, the ticks per row setting
|
||||
// may need to be rounded to a number that is a factor of $1.00
|
||||
public uint? rounded_ticks_per_row =>
|
||||
TickUtils.fit_ticks_per_row_to_dollars(_security, ticks_per_row);
|
||||
public uint? rounded_ticks_per_row => TickUtils.fit_ticks_per_row_to_dollars(_security.ContractSpec, ticks_per_row);
|
||||
|
||||
public MarketSizeDisplayVM size_display { get; } = new MarketSizeDisplayVM();
|
||||
public SimpleGridSettingsVM mini_ob { get; } = new SimpleGridSettingsVM(OrderBookGridSettingsManager.hard_column_flags);
|
||||
|
||||
@@ -99,7 +99,7 @@ namespace mbts.spark {
|
||||
IReadOnlyDictionary<uint, OrderSecurity> _cache = DictionaryHelper.empty<uint, OrderSecurity>();
|
||||
ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata> _favorite_algo_metadata_map =
|
||||
ImmutableDictionary<AlgoKey, LadderFavoriteAlgoMetadata>.Empty;
|
||||
RegionalTickFactors? _spec;
|
||||
ContractSpecificationImmutable? _spec;
|
||||
|
||||
LadderVM(
|
||||
IBus bus,
|
||||
@@ -243,9 +243,10 @@ namespace mbts.spark {
|
||||
|
||||
var orders_source = settings.Select(s => s.ticks_per_row).DistinctUntilChanged()
|
||||
.SelectSeries(tpr => {
|
||||
var spec = TickUtils.multiply_tick_size(security.regional_ticks(), tpr);
|
||||
var spec = TickUtils.multiply_tick_size(security.ContractSpec, tpr);
|
||||
var price_comp = Comparer<double>.Create((a, b) =>
|
||||
Comparer<long?>.Default.Compare(spec.count_ticks(a), spec.count_ticks(b)));
|
||||
Comparer<int?>.Default.Compare(
|
||||
spec.full_ticks_from_zero(a), spec.full_ticks_from_zero(b)));
|
||||
return _order_price_source(model.orders, price_comp, p => TickUtils.normalize_price(spec, p));
|
||||
});
|
||||
_day_change.Changed += (o, n) => RaisePropertyChanged(
|
||||
@@ -393,10 +394,9 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
public SecurityImmutable security => _model.security;
|
||||
public RegionalTickFactors spec => _spec ?? (
|
||||
public ContractSpecificationImmutable spec => _spec ?? (
|
||||
_spec = TickUtils.multiply_tick_size(
|
||||
security.regional_ticks(), current_settings?.ticks_per_row ?? 1))
|
||||
?? RegionalTickFactors.Default;
|
||||
security.ContractSpec, current_settings?.ticks_per_row ?? 1)).Value;
|
||||
|
||||
public double display_quantity_divisor { get; }
|
||||
public LadderSettings current_settings { get; private set; }
|
||||
@@ -826,7 +826,7 @@ namespace mbts.spark {
|
||||
if (!price.is_real()) {
|
||||
msg = "not a real number";
|
||||
} else if (settlement.is_real()) {
|
||||
var ticks_from_settle = security.tickdiff(price, settlement);
|
||||
var ticks_from_settle = security.ContractSpec.tickdiff(price, settlement);
|
||||
if (ticks_from_settle.HasValue) {
|
||||
var max_cross = (current_settings?.ladder_order_limits?.max_settlement_cross_ticks)
|
||||
.as_nullable();
|
||||
@@ -858,7 +858,7 @@ namespace mbts.spark {
|
||||
} else {
|
||||
ulong _ = 0;
|
||||
_model.md.get_bbo(ref _, out var bid, out var ask);
|
||||
var mid = TickUtils.mid_tick(security.regional_ticks(), bid.price, ask.price);
|
||||
var mid = TickUtils.mid_tick(security.ContractSpec, bid.price, ask.price);
|
||||
_day_change.set(mid - md.settlement_price);
|
||||
}
|
||||
_volume.set(volume);
|
||||
|
||||
@@ -32,8 +32,6 @@ using System.Windows.Media.Animation;
|
||||
using System.Windows.Threading;
|
||||
|
||||
namespace mbts.spark {
|
||||
using RegionalTickFactors = user.settings.RegionalTickFactors;
|
||||
|
||||
partial class LadderGridHost : Control {
|
||||
static readonly int _initial_row_count;
|
||||
static readonly bool _show_scrollbar;
|
||||
@@ -85,9 +83,10 @@ namespace mbts.spark {
|
||||
bool _price_dirty = false, _piq_dirty = false;
|
||||
LadderPriceList _price_list = new() {
|
||||
length = _initial_row_count,
|
||||
spec = Security.Defaults.ContractSpecificationImmutable
|
||||
};
|
||||
LadderPriceList _pending_price_list = null;
|
||||
IComparer<double> _price_comparer = MathUtils.epsilon_comparer.reverse();
|
||||
IComparer<double> _price_comparer;
|
||||
double _last_origin_price;
|
||||
readonly MarketBreakLines _mkt_break_lines;
|
||||
NativePriceSize _last_trade;
|
||||
@@ -385,16 +384,16 @@ namespace mbts.spark {
|
||||
|
||||
Column[] _columns { get; set; } = Array.Empty<Column>();
|
||||
IEnumerable<Column> _visible_columns => _columns.Where(c => c.settings.show);
|
||||
RegionalTickFactors _spec_backing;
|
||||
RegionalTickFactors _spec {
|
||||
ContractSpecificationImmutable? _spec_backing;
|
||||
ContractSpecificationImmutable _spec {
|
||||
get {
|
||||
if (_spec_backing is not null) {
|
||||
return _spec_backing;
|
||||
if (_spec_backing.HasValue) {
|
||||
return _spec_backing.Value;
|
||||
} else if (_vm != null) {
|
||||
_spec_backing = TickUtils.multiply_tick_size(security.regional_ticks(), _settings?.ticks_per_row ?? 1);
|
||||
return _spec_backing;
|
||||
_spec_backing = TickUtils.multiply_tick_size(security.ContractSpec, _settings?.ticks_per_row ?? 1);
|
||||
return _spec_backing.Value;
|
||||
}
|
||||
return RegionalTickFactors.Default;
|
||||
return Security.Defaults.ContractSpecificationImmutable;
|
||||
}
|
||||
}
|
||||
|
||||
@@ -448,15 +447,6 @@ namespace mbts.spark {
|
||||
return _price_list.high_tick + tick_diff;
|
||||
}
|
||||
|
||||
public bool scroll_to_tick(long tick) {
|
||||
if (tick > int.MaxValue) {
|
||||
Log.Ui.error(
|
||||
$"Unable to scroll to tick {tick} because it exceeds int.MaxValue");
|
||||
return false;
|
||||
}
|
||||
return scroll_to_tick((int)tick);
|
||||
}
|
||||
|
||||
public bool scroll_to_tick(int tick) {
|
||||
if (_vm is null || _settings is null || _scroll_viewer is null) {
|
||||
return false;
|
||||
@@ -470,23 +460,21 @@ namespace mbts.spark {
|
||||
|
||||
// The scrollbar's vertical offset won't change. Find the 'top tick' that will put the
|
||||
// target `tick` in the center of the viewport.
|
||||
checked {
|
||||
var top_tick = (int)_get_target_top_tick(tick);
|
||||
if (_settings.animate_recenter) {
|
||||
var anim = new Int32Animation {
|
||||
From = (int)_price_list.high_tick,
|
||||
To = top_tick,
|
||||
Duration = TimeSpan.FromSeconds(0.15)
|
||||
};
|
||||
var sb = new Storyboard();
|
||||
sb.Children.Add(anim);
|
||||
Storyboard.SetTarget(anim, this);
|
||||
Storyboard.SetTargetProperty(anim, new PropertyPath(TopTickProperty));
|
||||
sb.Begin();
|
||||
} else {
|
||||
_set_scrollbar_range(high_tick: top_tick);
|
||||
_refresh_prices();
|
||||
}
|
||||
var top_tick = (int)_get_target_top_tick(tick);
|
||||
if (_settings.animate_recenter) {
|
||||
var anim = new Int32Animation {
|
||||
From = _price_list.high_tick,
|
||||
To = top_tick,
|
||||
Duration = TimeSpan.FromSeconds(0.15)
|
||||
};
|
||||
var sb = new Storyboard();
|
||||
sb.Children.Add(anim);
|
||||
Storyboard.SetTarget(anim, this);
|
||||
Storyboard.SetTargetProperty(anim, new PropertyPath(TopTickProperty));
|
||||
sb.Begin();
|
||||
} else {
|
||||
_set_scrollbar_range(high_tick: top_tick);
|
||||
_refresh_prices();
|
||||
}
|
||||
return true;
|
||||
}
|
||||
@@ -756,12 +744,12 @@ namespace mbts.spark {
|
||||
internal double price_for_point(Point point) =>
|
||||
_price_for_row(_row_for_point(point));
|
||||
|
||||
static uint? _size_from_row(int row, IList<double> price_list, NativePriceSize[] depth, RegionalTickFactors spec) {
|
||||
static uint? _size_from_row(int row, IList<double> price_list, NativePriceSize[] depth, ContractSpecificationImmutable spec) {
|
||||
if (price_list == null || depth == null) return null;
|
||||
else return row <= price_list.Count ? _size_from_price(price_list[row], depth, spec) : null;
|
||||
}
|
||||
|
||||
static uint? _size_from_price(double price, NativePriceSize[] depth, RegionalTickFactors spec) {
|
||||
static uint? _size_from_price(double price, NativePriceSize[] depth, ContractSpecificationImmutable spec) {
|
||||
if (!double.IsNaN(price) && depth.TryGetFirst(nps => spec.tick_equals(price, nps.price), out NativePriceSize result))
|
||||
return result.size;
|
||||
return null;
|
||||
@@ -1111,16 +1099,10 @@ namespace mbts.spark {
|
||||
Log.assert(_price_dirty);
|
||||
_price_list = new LadderPriceList {
|
||||
length = _initial_row_count,
|
||||
security = security
|
||||
spec = security.ContractSpec
|
||||
};
|
||||
var mid_tick = security.tickdiff(_mkt_break_lines.origin, 0) ?? 0;
|
||||
if (mid_tick > int.MaxValue) {
|
||||
Log.Ui.error(
|
||||
$"Unable to set scrollbar range about mid_tick {mid_tick}: " +
|
||||
$"tick count exceeds int.MaxValue");
|
||||
} else {
|
||||
_set_scrollbar_range(high_tick: (int)mid_tick + (_price_list.Count << 1));
|
||||
}
|
||||
var mid_tick = security.ContractSpec.tickdiff(_mkt_break_lines.origin, 0) ?? 0;
|
||||
_set_scrollbar_range(high_tick: mid_tick + (_price_list.Count << 1));
|
||||
_price_dirty = true;
|
||||
}
|
||||
if (_price_dirty) {
|
||||
@@ -1199,12 +1181,12 @@ namespace mbts.spark {
|
||||
_price_list, _vm.md.settlement_price,
|
||||
_settings.net_change == LadderSettings.NetChangeTerms.Ticks,
|
||||
_settings.row_height, _settings.price_column,
|
||||
_spec);
|
||||
security.ContractSpec);
|
||||
} else {
|
||||
LadderRender.render_prices(
|
||||
_price_vis_tup.visual, _price_vis_tup.glyph_context,
|
||||
_price_list, _settings.row_height,
|
||||
_settings.price_column, _spec,
|
||||
_settings.price_column, security.ContractSpec,
|
||||
_settings.price_display_format);
|
||||
}
|
||||
}
|
||||
@@ -1281,7 +1263,7 @@ namespace mbts.spark {
|
||||
if (!_settings.piq_column.show)
|
||||
return;
|
||||
int origin_index = LadderRender.index_of(_price_list, _mkt_break_lines.origin, _price_comparer);
|
||||
LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
|
||||
LadderRender.render_piqs(_piq_vis_tup.visual, _last_vis_tup.glyph_context, origin_index, _price_list, _vm.price_vs_piq, _settings.row_height, _spec, _settings.piq_column, _fmt_mkt_quantity);
|
||||
}
|
||||
|
||||
void _refresh_sizes() {
|
||||
@@ -1359,7 +1341,7 @@ namespace mbts.spark {
|
||||
return;
|
||||
if (_price_list is null) {
|
||||
_price_list = new LadderPriceList {
|
||||
security = security
|
||||
spec = security.ContractSpec
|
||||
};
|
||||
}
|
||||
_price_list.reset(null, null, _initial_row_count);
|
||||
@@ -1443,7 +1425,7 @@ namespace mbts.spark {
|
||||
_pending_scroll_to_origin |= _settings == null;
|
||||
_invalidate_spec();
|
||||
if (_price_list != null) {
|
||||
_price_list.security = security;
|
||||
_price_list.spec = _spec;
|
||||
}
|
||||
_bid_vis_tup.glyph_context = glyph_context(s.bid_column);
|
||||
_ask_vis_tup.glyph_context = glyph_context(s.ask_column);
|
||||
|
||||
@@ -1,11 +1,9 @@
|
||||
using bts.api;
|
||||
|
||||
namespace mbts.spark {
|
||||
using RegionalTickFactors = user.settings.RegionalTickFactors;
|
||||
|
||||
class LadderPriceLineViewAdapter {
|
||||
public static double bid_line(
|
||||
double bid, double ask, double settlement, RegionalTickFactors spec) {
|
||||
double bid, double ask, double settlement, ContractSpecificationImmutable? spec) {
|
||||
return TickUtils.normalize_price(spec, impl());
|
||||
double impl() {
|
||||
if (!double.IsNaN(bid)) {
|
||||
@@ -19,7 +17,7 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
public static double ask_line(
|
||||
double bid, double ask, double settlement, RegionalTickFactors spec) {
|
||||
double bid, double ask, double settlement, ContractSpecificationImmutable? spec) {
|
||||
return TickUtils.normalize_price(spec, impl());
|
||||
double impl() {
|
||||
if (!double.IsNaN(ask)) {
|
||||
@@ -33,7 +31,7 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
public static double mid_line(
|
||||
double bid, double ask, double settlement, RegionalTickFactors spec) {
|
||||
double bid, double ask, double settlement, ContractSpecificationImmutable? spec) {
|
||||
return TickUtils.normalize_price(spec, impl());
|
||||
double impl() {
|
||||
if (double.IsNaN(bid)) {
|
||||
@@ -45,16 +43,16 @@ namespace mbts.spark {
|
||||
if (double.IsNaN(ask)) {
|
||||
return bid;
|
||||
}
|
||||
if (spec is not null) {
|
||||
return TickUtils.mid_tick(spec, bid, ask);
|
||||
if (spec.HasValue) {
|
||||
return TickUtils.mid_tick(spec.Value, bid, ask);
|
||||
}
|
||||
return bid;
|
||||
}
|
||||
}
|
||||
|
||||
static double _try_tick_down(RegionalTickFactors spec, double value) {
|
||||
if (spec is not null) {
|
||||
return spec.tickdown(value);
|
||||
static double _try_tick_down(ContractSpecificationImmutable? spec, double value) {
|
||||
if (spec.HasValue) {
|
||||
return spec.Value.tickdown(value);
|
||||
}
|
||||
return value;
|
||||
}
|
||||
|
||||
@@ -1,5 +1,4 @@
|
||||
using bts.api;
|
||||
using bts.utils;
|
||||
|
||||
using mbts.utils;
|
||||
|
||||
@@ -9,78 +8,52 @@ using System.Collections.Generic;
|
||||
using System.Collections.Specialized;
|
||||
|
||||
namespace mbts.spark {
|
||||
using RegionalTickFactors = user.settings.RegionalTickFactors;
|
||||
public class LadderPriceList : IReadOnlyList<double>, IList<double>, INotifyCollectionChanged, IEquatable<LadderPriceList> {
|
||||
const long _MAX_LENGTH = int.MaxValue;
|
||||
|
||||
long _length;
|
||||
long _high_tick;
|
||||
SecurityImmutable? _security;
|
||||
RegionalTickFactors _regional_tick_backing;
|
||||
RegionalTickFactors _regional_tick =>
|
||||
_regional_tick_backing ??= TickUtils.get_regional_ticks(_security);
|
||||
int _length;
|
||||
int _high_tick;
|
||||
|
||||
public LadderPriceList() { }
|
||||
|
||||
public LadderPriceList(LadderPriceList other) {
|
||||
_length = other._length;
|
||||
_high_tick = other._high_tick;
|
||||
_security = other._security;
|
||||
spec = other.spec;
|
||||
}
|
||||
|
||||
public event NotifyCollectionChangedEventHandler CollectionChanged;
|
||||
|
||||
public SecurityImmutable? security {
|
||||
get => _security;
|
||||
set {
|
||||
if (value == _security) {
|
||||
return;
|
||||
}
|
||||
_security = value;
|
||||
_regional_tick_backing = null;
|
||||
}
|
||||
}
|
||||
|
||||
public ContractSpecificationImmutable spec { get; set; }
|
||||
|
||||
public long high_tick {
|
||||
public int high_tick {
|
||||
get => _high_tick;
|
||||
set => _high_tick = value;
|
||||
}
|
||||
|
||||
public long low_tick {
|
||||
public int low_tick {
|
||||
get => high_tick - length;
|
||||
set => reset(null, value, null);
|
||||
}
|
||||
|
||||
public double start {
|
||||
get => _regional_tick.tickup<double>(0, (uint)high_tick);
|
||||
set => high_tick = _regional_tick.tickdiff(value, 0) ?? high_tick;
|
||||
get => spec.tickup(0, high_tick);
|
||||
set => high_tick = spec.tickdiff(value, 0) ?? high_tick;
|
||||
}
|
||||
|
||||
public long length {
|
||||
public int length {
|
||||
get => _length;
|
||||
set {
|
||||
if (value < 0 || value > _MAX_LENGTH) {
|
||||
throw new ArgumentException(
|
||||
$"Value 'v' must be >= 0 and < {_MAX_LENGTH} (actually {value})");
|
||||
if (value < 0) {
|
||||
throw new ArgumentException($"Value must be >= 0 (actually {value})");
|
||||
}
|
||||
_length = value;
|
||||
}
|
||||
}
|
||||
|
||||
public int Count {
|
||||
get {
|
||||
checked {
|
||||
return (int)length;
|
||||
}
|
||||
}
|
||||
}
|
||||
public int Count => (int)length;
|
||||
|
||||
public bool IsReadOnly => false;
|
||||
|
||||
public double this[int idx] {
|
||||
get => _regional_tick.tick<double>(0, high_tick - idx);
|
||||
get => spec.tickup(0, high_tick - idx);
|
||||
set => throw new NotSupportedException();
|
||||
}
|
||||
|
||||
@@ -94,13 +67,11 @@ namespace mbts.spark {
|
||||
GetEnumerator();
|
||||
|
||||
public int IndexOf(double item) {
|
||||
var idx = _regional_tick.tickdiff(start, item) ?? -1;
|
||||
var idx = spec.tickdiff(start, item) ?? -1;
|
||||
if (idx < 0 || idx >= length) {
|
||||
return -1;
|
||||
}
|
||||
checked {
|
||||
return (int)idx;
|
||||
}
|
||||
return idx;
|
||||
}
|
||||
|
||||
public void Insert(int index, double item) =>
|
||||
@@ -167,15 +138,15 @@ namespace mbts.spark {
|
||||
}
|
||||
}
|
||||
|
||||
public void reset(long? high_tick = null, long? low_tick = null, long? length = null) {
|
||||
public void reset(int? high_tick = null, int? low_tick = null, int? length = null) {
|
||||
if (!high_tick.HasValue && !low_tick.HasValue && !length.HasValue) {
|
||||
return;
|
||||
}
|
||||
if (length.HasValue && length.Value < 0) {
|
||||
throw new ArgumentException("Must be >= 0", nameof(length));
|
||||
}
|
||||
long new_high_tick = 0;
|
||||
long new_length = 0;
|
||||
int new_high_tick = 0;
|
||||
int new_length = 0;
|
||||
if (high_tick.HasValue) {
|
||||
new_high_tick = high_tick.Value;
|
||||
if (low_tick.HasValue) {
|
||||
@@ -209,7 +180,8 @@ namespace mbts.spark {
|
||||
other != null &&
|
||||
_high_tick == other._high_tick &&
|
||||
_length == other._length &&
|
||||
_regional_tick.safe_equals(other._regional_tick);
|
||||
spec.LowTick.Equals(other.spec.LowTick) &&
|
||||
spec.PriceBreak.Equals(other.spec.PriceBreak);
|
||||
|
||||
public override bool Equals(object obj) =>
|
||||
Equals(obj as LadderPriceList);
|
||||
@@ -217,10 +189,13 @@ namespace mbts.spark {
|
||||
public override int GetHashCode() =>
|
||||
HashCode.Combine(_high_tick, _length);
|
||||
|
||||
double _tick_to_price(long tick) =>
|
||||
_regional_tick.tick<double>(0, tick);
|
||||
double _tick_to_price(int tick) =>
|
||||
spec.tickup(0, tick);
|
||||
|
||||
void _add_tick(long tick) {
|
||||
int? _price_to_tick(double price) =>
|
||||
spec.tickdiff(price, 0);
|
||||
|
||||
void _add_tick(int tick) {
|
||||
int idx;
|
||||
if (length == 0) {
|
||||
_high_tick = tick;
|
||||
@@ -229,9 +204,7 @@ namespace mbts.spark {
|
||||
_high_tick = tick;
|
||||
idx = 0;
|
||||
} else if (tick == low_tick - 1) {
|
||||
checked {
|
||||
idx = (int)length;
|
||||
}
|
||||
idx = length;
|
||||
} else {
|
||||
throw new ArgumentException($"Must be == {nameof(high_tick)} ({high_tick}) + 1, or == {nameof(low_tick)} ({low_tick}) - 1)");
|
||||
}
|
||||
@@ -239,7 +212,7 @@ namespace mbts.spark {
|
||||
CollectionChanged?.Invoke(this, new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, _tick_to_price(tick), idx));
|
||||
}
|
||||
|
||||
void _remove_tick(long tick) {
|
||||
void _remove_tick(int tick) {
|
||||
if (length == 0) {
|
||||
throw new InvalidOperationException("Cannot remove tick because length is 0");
|
||||
}
|
||||
@@ -248,9 +221,7 @@ namespace mbts.spark {
|
||||
_high_tick--;
|
||||
idx = 0;
|
||||
} else if (tick == low_tick) {
|
||||
checked {
|
||||
idx = (int)(length - 1);
|
||||
}
|
||||
idx = length - 1;
|
||||
} else {
|
||||
throw new ArgumentException(
|
||||
$"Can only remove {nameof(low_tick)} ({low_tick}) or " +
|
||||
|
||||
@@ -9,7 +9,6 @@ using mbts.ui;
|
||||
using mbts.ui.controls;
|
||||
using mbts.ui.utility.text;
|
||||
|
||||
using Spark.Core;
|
||||
using Spark.Core.Disposables;
|
||||
|
||||
using System;
|
||||
@@ -20,8 +19,6 @@ using System.Windows;
|
||||
using System.Windows.Media;
|
||||
|
||||
namespace mbts.spark {
|
||||
using RegionalTickFactors = user.settings.RegionalTickFactors;
|
||||
|
||||
static class BadgeRender {
|
||||
// IMPORTANT: the return values for this method MUST BE IN SYNC with the "format" method, else "measure_height" and "LadderRender.measure_row_height" will be broken.
|
||||
static int _line_count_for_style(LadderSettings.BadgeStyle badge_style) => badge_style == LadderSettings.BadgeStyle.Alternate ? 2 : 1;
|
||||
@@ -76,16 +73,6 @@ namespace mbts.spark {
|
||||
}
|
||||
|
||||
public static int index_of(IList<double> prices, double price, IComparer<double> comparer, bool relative_idx) {
|
||||
for (int i = 1; i < prices.Count; i++) {
|
||||
Log.assert(prices[i - 1] > prices[i]);
|
||||
var c = comparer.Compare(prices[i - 1], prices[i]);
|
||||
if (c >= 0) {
|
||||
c = comparer.Compare(prices[i - 1], prices[i]);
|
||||
} else {
|
||||
c = comparer.Compare(prices[i - 1], prices[i]);
|
||||
}
|
||||
Log.assert(c < 0);
|
||||
}
|
||||
var idx = CollectionHelper.binary_search(prices, price, comparer);
|
||||
if (relative_idx && idx < 0) {
|
||||
idx = ~idx;
|
||||
@@ -108,13 +95,30 @@ namespace mbts.spark {
|
||||
settings.font_size, settings.width, row_height, HorizontalAlignment.Right,
|
||||
-4, VerticalAlignment.Center, row * row_height, true);
|
||||
|
||||
public static GlyphRun[] format_prices(IList<double> prices, double reference_price, bool format_in_tick_terms, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, RegionalTickFactors spec) {
|
||||
public static IList<double> gen_prices(double mid, int row_count, ContractSpecificationImmutable spec) {
|
||||
bool is_odd = row_count % 2 == 1;
|
||||
var result = new double[row_count];
|
||||
int range = row_count / 2;
|
||||
int middle = row_count / 2;
|
||||
result[middle] = mid;
|
||||
double up = mid, down = mid;
|
||||
// Starting from the middle iterate out to the edges
|
||||
for (int x = 1; x <= range; ++x) {
|
||||
up = spec.tickup(up);
|
||||
down = spec.tickdown(down);
|
||||
result[middle - x] = up;
|
||||
result[middle + x] = down;
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
public static GlyphRun[] format_prices(IList<double> prices, double reference_price, bool format_in_tick_terms, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, ContractSpecificationImmutable spec) {
|
||||
var result = new GlyphRun[prices.Count];
|
||||
Parallel.For(0, prices.Count, i =>
|
||||
result[i] = format_text(spec.format(prices[i] - reference_price, format_in_tick_terms), i, row_height, settings, glyph_context));
|
||||
return result;
|
||||
}
|
||||
public static GlyphRun[] format_prices(IList<double> prices, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, RegionalTickFactors spec, LadderSettings.PriceDisplayFormat price_display_format) {
|
||||
public static GlyphRun[] format_prices(IList<double> prices, double row_height, LadderColumnSettings settings, GlyphContext glyph_context, ContractSpecificationImmutable spec, LadderSettings.PriceDisplayFormat price_display_format) {
|
||||
var result = new GlyphRun[prices.Count];
|
||||
Parallel.For(0, prices.Count, i =>
|
||||
result[i] = format_text(spec.format(prices[i]), i, row_height, settings, glyph_context, price_display_format));
|
||||
@@ -139,12 +143,12 @@ namespace mbts.spark {
|
||||
bool format_in_tick_terms,
|
||||
double row_height,
|
||||
LadderColumnSettings settings,
|
||||
RegionalTickFactors tick) {
|
||||
ContractSpecificationImmutable spec) {
|
||||
if (price_list.IsNullOrEmpty()) {
|
||||
return;
|
||||
}
|
||||
render_prices(
|
||||
price, glyph_context, price_list, row_height, settings, tick,
|
||||
price, glyph_context, price_list, row_height, settings, spec,
|
||||
wrt_price, format_in_tick_terms);
|
||||
}
|
||||
|
||||
@@ -154,12 +158,12 @@ namespace mbts.spark {
|
||||
IList<double> dprices,
|
||||
double row_height,
|
||||
LadderColumnSettings settings,
|
||||
RegionalTickFactors tick,
|
||||
ContractSpecificationImmutable spec,
|
||||
double wrt_price,
|
||||
bool format_in_tick_terms) {
|
||||
var foreground = settings.foreground.rgb_brush();
|
||||
//var background = new SolidColorBrush(settings.background.rgb_color());
|
||||
var fprices = format_prices(dprices, wrt_price, format_in_tick_terms, row_height, settings, glyph_context, tick);
|
||||
var fprices = format_prices(dprices, wrt_price, format_in_tick_terms, row_height, settings, glyph_context, spec);
|
||||
using (var dc = price.RenderOpen())
|
||||
using (_draw_with_clip(dc, settings, row_height, dprices.Count)) {
|
||||
//dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
|
||||
@@ -174,11 +178,11 @@ namespace mbts.spark {
|
||||
IList<double> dprices,
|
||||
double row_height,
|
||||
LadderColumnSettings settings,
|
||||
RegionalTickFactors tick,
|
||||
ContractSpecificationImmutable spec,
|
||||
LadderSettings.PriceDisplayFormat price_display_format) {
|
||||
var foreground = settings.foreground.rgb_brush();
|
||||
//var background = new SolidColorBrush(settings.background.rgb_color());
|
||||
var fprices = format_prices(dprices, row_height, settings, glyph_context, tick, price_display_format);
|
||||
var fprices = format_prices(dprices, row_height, settings, glyph_context, spec, price_display_format);
|
||||
using (var dc = price.RenderOpen())
|
||||
using (_draw_with_clip(dc, settings, row_height, dprices.Count)) {
|
||||
//dc.DrawRectangle(background, null, new Rect(0, 0, settings.width, row_count * row_height));
|
||||
@@ -211,7 +215,7 @@ namespace mbts.spark {
|
||||
IList<double> prices,
|
||||
NativePriceSize[] rungs,
|
||||
double row_height,
|
||||
RegionalTickFactors spec,
|
||||
ContractSpecificationImmutable spec,
|
||||
LadderColumnSettings settings,
|
||||
Func<NativePriceSize, string> fmt,
|
||||
bool lighten_market_cells,
|
||||
@@ -244,18 +248,17 @@ namespace mbts.spark {
|
||||
direct_size: aggr.direct_size + rung.direct_size,
|
||||
implied_size: aggr.implied_size + rung.implied_size),
|
||||
rung => {
|
||||
var ticks = spec.count_ticks(rung.price);
|
||||
//spec.round_to_tick(rung.price);
|
||||
var ticks = spec.full_ticks_from_zero(rung.price);
|
||||
return ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
|
||||
});
|
||||
foreach (var rung in row_tick_groups) {
|
||||
//double price = spec.round_to_tick(rung.price);
|
||||
var ticks = spec.count_ticks(rung.price);
|
||||
var ticks = spec.full_ticks_from_zero(rung.price);
|
||||
var price = ticks.HasValue ? spec.tickup(0, ticks.Value) : rung.price;
|
||||
// prices are in descending order, so get diff from curr_price - price
|
||||
var tick_diff = spec.tickdiff(curr_price, price).assert_value();
|
||||
checked {
|
||||
curr_index += (int)tick_diff;
|
||||
}
|
||||
int tick_diff = spec.tickdiff_unchecked(curr_price, price);
|
||||
curr_index += tick_diff;
|
||||
curr_price = price;
|
||||
if (curr_index >= 0 && curr_index < prices.Count) {
|
||||
if (market_cell_background_brush != null)
|
||||
@@ -275,7 +278,7 @@ namespace mbts.spark {
|
||||
IList<double> prices,
|
||||
IEnumerable<VolumeAtPriceLevelImmutable> data,
|
||||
double row_height,
|
||||
RegionalTickFactors spec,
|
||||
ContractSpecificationImmutable spec,
|
||||
VolumeColumnSettings settings,
|
||||
int last_index,
|
||||
string last_size_and_direction,
|
||||
@@ -368,32 +371,27 @@ namespace mbts.spark {
|
||||
|
||||
public delegate void RenderCell<T>(DrawingContext dc, int row, T data_item);
|
||||
|
||||
static void _render_cells<T>(DrawingVisual dv, double row_height, IEnumerable<(double price, T value)> cells, LadderColumnSettings settings, IList<double> prices, RegionalTickFactors spec, RenderCell<T> render_cell) {
|
||||
static void _render_cells<T>(DrawingVisual dv, double row_height, IEnumerable<(double price, T value)> data, LadderColumnSettings settings, IList<double> prices, ContractSpecificationImmutable spec, RenderCell<T> render_cell) {
|
||||
using (var dc = dv.RenderOpen())
|
||||
using (_draw_with_clip(dc, settings, row_height, prices.Count)) {
|
||||
if (prices.is_null_or_empty() || cells.is_null_or_empty()) {
|
||||
if (data.is_null_or_empty())
|
||||
return;
|
||||
}
|
||||
var min_price = prices[prices.Count - 1];
|
||||
var max_price = prices[0];
|
||||
Log.assert(min_price.is_real() && max_price.is_real() && min_price <= max_price);
|
||||
var indexed_cells = cells
|
||||
.Where(item => item.price.is_real() && item.price.is_within_range(min_price, max_price))
|
||||
.Select(row => {
|
||||
checked {
|
||||
return (row.price, row.value, (int)spec.tickdiff(max_price, row.price));
|
||||
}
|
||||
});
|
||||
foreach (var (price, value, idx) in indexed_cells) {
|
||||
var check_price = spec.tickdown(max_price, idx);
|
||||
Log.assert(spec.tick_equals(price, check_price));
|
||||
Log.assert(idx >= 0 && idx < prices.Count);
|
||||
render_cell(dc, idx, value);
|
||||
int curr_index = 0;
|
||||
double curr_price = prices[curr_index];
|
||||
foreach (var (price, value) in data) {
|
||||
if (double.IsNaN(price))
|
||||
continue;
|
||||
// prices are in descending order, so get diff from curr_price - price
|
||||
int tick_diff = spec.tickdiff(curr_price, price) ?? 0;
|
||||
curr_index += tick_diff;
|
||||
curr_price = price;
|
||||
if (curr_index >= 0 && curr_index < prices.Count) {
|
||||
render_cell(dc, curr_index, value);
|
||||
} else break;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
internal static void render_last(DrawingVisual dv, GlyphContext glyph_context, NativePriceSize last, int index, double row_height, LadderColumnSettings settings, Func<uint, string> fmt_value) {
|
||||
if (fmt_value is null)
|
||||
fmt_value = FormattingDelegates.default_string<uint>();
|
||||
@@ -407,18 +405,36 @@ namespace mbts.spark {
|
||||
internal static void render_piqs(
|
||||
DrawingVisual dv,
|
||||
GlyphContext glyph_context,
|
||||
int origin_index,
|
||||
IList<double> prices,
|
||||
IEnumerable<(double price, uint piq)> pvp,
|
||||
double row_height,
|
||||
RegionalTickFactors spec,
|
||||
ContractSpecificationImmutable spec,
|
||||
LadderColumnSettings settings,
|
||||
Func<uint, string> fmt_value
|
||||
) {
|
||||
fmt_value ??= FormattingDelegates.default_string<uint>();
|
||||
var fg = settings.foreground.rgb_brush();
|
||||
_render_cells(dv, row_height, pvp, settings, prices, spec, (dc, row, piq) =>
|
||||
dc.DrawGlyphRun(
|
||||
fg, format_text(fmt_value(piq), row, row_height, settings, glyph_context)));
|
||||
Func<uint, string> fmt_value) {
|
||||
//
|
||||
using (var dc = dv.RenderOpen()) {
|
||||
using (_draw_with_clip(dc, settings, row_height, prices.Count)) {
|
||||
if (!prices.within_range(origin_index) || pvp.is_null_or_empty())
|
||||
return;
|
||||
if (fmt_value is null)
|
||||
fmt_value = FormattingDelegates.default_string<uint>();
|
||||
var foreground = settings.foreground.rgb_brush();
|
||||
int curr_index = origin_index;
|
||||
double curr_price = prices[curr_index];
|
||||
foreach (var entry in pvp) {
|
||||
double price = entry.price;
|
||||
// prices are in descending order, so get diff from curr_price - price
|
||||
int tick_diff = spec.tickdiff_unchecked(curr_price, price);
|
||||
curr_index += tick_diff;
|
||||
curr_price = price;
|
||||
if (curr_index >= 0 && curr_index < prices.Count) {
|
||||
var gr = format_text(fmt_value(entry.piq), curr_index, row_height, settings, glyph_context);
|
||||
dc.DrawGlyphRun(foreground, gr);
|
||||
} else break;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public static void render_mkt_break(DrawingVisual dv, int index, double row_height, uint color) =>
|
||||
|
||||
@@ -59,9 +59,7 @@ namespace bts.shell.manual_fills {
|
||||
nameof(quantity_display),
|
||||
() => {
|
||||
var sec_meta = security.HasValue ? _sec_meta_store.get(security.Value) : null;
|
||||
return sec_meta?.HasQuantityDisplay ?? false ?
|
||||
sec_meta.Value.QuantityDisplay :
|
||||
Security.Defaults.quantity_display_settingsi;
|
||||
return sec_meta?.QuantityDisplay ?? Security.Defaults.quantity_display_settingsi;
|
||||
});
|
||||
// TODO (prob): remove conversion_data. Replace get_qty_display_divisor delegates w/
|
||||
// TickDisplaySettingsImmutable for qty, obtained via ISecurityMetadataStore.
|
||||
|
||||
@@ -31,12 +31,10 @@
|
||||
ItemsSource="{Binding rows_view}"
|
||||
MinRowHeight="17"
|
||||
RowHeaderWidth="22"
|
||||
Background="{u:BTSColor ManualFills.background}"
|
||||
>
|
||||
<!--Row Header Style-->
|
||||
<DataGrid.RowHeaderStyle>
|
||||
<Style TargetType="DataGridRowHeader">
|
||||
<Setter Property="Background" Value="transparent"/>
|
||||
<Setter Property="Content" Value="{Binding}"/>
|
||||
<Setter Property="ContentTemplate">
|
||||
<Setter.Value>
|
||||
@@ -125,12 +123,8 @@
|
||||
<!--Row Style-->
|
||||
<DataGrid.RowStyle>
|
||||
<Style TargetType="DataGridRow">
|
||||
<Setter Property="Background" Value="{u:BTSColor Grid.default_row_background}"/>
|
||||
<Setter Property="IsSelected" Value="{Binding is_selected, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}"/>
|
||||
<Style.Triggers>
|
||||
<Trigger Property="DataGridRow.AlternationIndex" Value="1">
|
||||
<Setter Property="Background" Value="{u:BTSColor Grid.alternate_row_background}"/>
|
||||
</Trigger>
|
||||
<DataTrigger Binding="{Binding IsSelected, RelativeSource={RelativeSource Self}}" Value="True">
|
||||
<Setter Property="Background" Value="{StaticResource SelectedRowBackground}"/>
|
||||
</DataTrigger>
|
||||
|
||||
@@ -73,7 +73,7 @@ namespace Spark.Trading {
|
||||
meta.Value.Value.PriceDisplay : Security.Defaults.price_display_settingsi;
|
||||
if (security.HasValue) {
|
||||
rv = rv.with(
|
||||
tick_factors: security.Value.regional_ticks().low_tick.to_api_tick_factors());
|
||||
tick_factors: security.spec_or_default().tick_factors().to_api_tick_factors());
|
||||
}
|
||||
return rv;
|
||||
}
|
||||
|
||||
@@ -769,7 +769,7 @@ namespace mbts.spark {
|
||||
return;
|
||||
}
|
||||
|
||||
var price_display = TickUtils.get_tick(row.security, price ?? 0).to_api_tick_display_settingsi();
|
||||
var price_display = row.contract_spec?.tick_factors()?.to_api_tick_display_settingsi();
|
||||
var update_desc = OrderUtils.update_description(
|
||||
row.order, price, quantity, price_display, row.quantity_display_settings);
|
||||
Log.Ui.info(
|
||||
|
||||
@@ -179,7 +179,8 @@ namespace mbts.spark {
|
||||
using var _ = detect_property_changes(
|
||||
nameof(spec),
|
||||
nameof(display_quantity_divisor),
|
||||
nameof(quantity_display));
|
||||
nameof(quantity_display),
|
||||
nameof(unit_quantity));
|
||||
_security_md = value;
|
||||
bbo.security_md = value;
|
||||
_payup_bid_cmd.RaiseCanExecuteChanged();
|
||||
@@ -209,6 +210,9 @@ namespace mbts.spark {
|
||||
}
|
||||
}
|
||||
|
||||
public double unit_quantity =>
|
||||
(security?.ContractSpec)?.tick_factors()?.tick_unit_frac() ?? 1;
|
||||
|
||||
public AlgoDefinitionVM algo_vm { get; }
|
||||
public IReadOnlyObservableCollection<AlgoParamRowVM> param_rows { get; }
|
||||
public BBOVM bbo { get; }
|
||||
|
||||
@@ -293,10 +293,7 @@ namespace bts.shell.pnl {
|
||||
return _quantity_display_backing.Value;
|
||||
}
|
||||
if (security.HasValue) {
|
||||
var sec_meta = _sec_meta_store.get(security.Value);
|
||||
if (sec_meta?.HasQuantityDisplay ?? false) {
|
||||
_quantity_display_backing = sec_meta.Value.QuantityDisplay;
|
||||
}
|
||||
_quantity_display_backing = _sec_meta_store.get(security.Value)?.QuantityDisplay;
|
||||
}
|
||||
return _quantity_display_backing ??= Security.Defaults.quantity_display_settingsi;
|
||||
}
|
||||
|
||||
@@ -121,7 +121,7 @@ namespace bts.shell {
|
||||
|
||||
void _on_orders(TableUpdate<(SecurityImmutable? sec, OrderRecordImmutable order), uint> update) {
|
||||
// must update notification_service_data_cache first, some of the predicate/triggers (esp. ToastNotifications) will use the notification_service_data_cache to lookup order-history
|
||||
_data_cache.update(update);
|
||||
_data_cache.update(update.as_iincremental());
|
||||
foreach (var o in update.added.Concat(update.changed))
|
||||
_order_notifications.process_item(o);
|
||||
}
|
||||
|
||||
@@ -1,157 +1,89 @@
|
||||
using bts.api;
|
||||
using bts.api.core;
|
||||
using bts.api.orderman;
|
||||
|
||||
using mbts.spark;
|
||||
using mbts.utils;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
namespace bts.shell {
|
||||
// Any predicate-sound/notifications that need to reference previous data (i.e. notifications based on change/time, or state changes) should use the INotificationServiceDataCache.
|
||||
// The INotificationService updates these caches in its IObservable.OnNext callbacks, just before calling all of the predicate-trigger methods.
|
||||
// Therfore, data referenced through this interface is guarenteed to be up-to-date, and thread safe. It also reduces performance overhead by avoiding redundant bookeeping.
|
||||
// Note: last_order_reset_time can be used by sound/toast-notification sources to avoid sending false-positive notifications for old orders (i.e. all the orders that arrive in the first update on startup/server restart)
|
||||
// --------------------------------------------------------------------------------------------------------------------------------------------
|
||||
// IMPOARTANT!!! The current implementation of this interface is NOT INTENDED FOR GENERAL USE - order_history is NOT THREAD-SAFE
|
||||
interface INotificationServiceDataCache {
|
||||
bool is_first_order_update { get; }
|
||||
IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history { get; }
|
||||
}
|
||||
|
||||
static class NotificationServiceDataCacheExtensions {
|
||||
public static OrderSecurity? get_previous_order_state(this INotificationServiceDataCache notification_service_data_cache, uint key) {
|
||||
if (notification_service_data_cache.order_history.TryGetValue(key, out List<TimeStampedData<OrderSecurity>> l)) {
|
||||
if (l.Count > 1) {
|
||||
return l[l.Count - 2].data;
|
||||
}
|
||||
}
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
struct TimeStampedData<T> {
|
||||
public readonly T data;
|
||||
public readonly DateTime time_stamp;
|
||||
|
||||
public TimeStampedData(T data, DateTime time_stamp) {
|
||||
this.data = data;
|
||||
this.time_stamp = time_stamp;
|
||||
}
|
||||
}
|
||||
|
||||
partial class NotificationService : INotificationService, IDisposable {
|
||||
class DataCache : INotificationServiceDataCache {
|
||||
const int _ORDER_HISTORY_BUFFER_SIZE = 10;
|
||||
const int _TABLE_HISTORY_BUFFER_SIZE = 5;
|
||||
|
||||
readonly Dictionary<uint, OrderSecurity> _order_cache = new Dictionary<uint, OrderSecurity>();
|
||||
readonly Dictionary<uint, List<TimeStampedData<OrderSecurity>>> _order_history = new Dictionary<uint, List<TimeStampedData<OrderSecurity>>>();
|
||||
readonly List<(TableUpdate<(SecurityImmutable?, OrderRecordImmutable), uint>, DateTime)> _table_history = new(_TABLE_HISTORY_BUFFER_SIZE);
|
||||
readonly object _lock = new();
|
||||
|
||||
public IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history => _order_history;
|
||||
|
||||
public bool is_first_order_update { get; private set; }
|
||||
|
||||
internal void update(TableUpdate<(SecurityImmutable? sec, OrderRecordImmutable order), uint> table) {
|
||||
// First, try processing the update per usual (incrementally). If it throws,
|
||||
// then log the exception and reset the state.
|
||||
DateTime now = DateTime.Now;
|
||||
lock (_lock) {
|
||||
_circular_buffer_add(_table_history, (table, now), _TABLE_HISTORY_BUFFER_SIZE);
|
||||
try {
|
||||
impl();
|
||||
return;
|
||||
} catch (Exception ex) {
|
||||
var table_history_desc = _fmt_order_table_history_safe();
|
||||
Log.Ui.error(
|
||||
$"Error processing order update in NotificationService: {ex}.\n" +
|
||||
$"***Last table updates below***\n" +
|
||||
table_history_desc);
|
||||
}
|
||||
// This is the 'escape' path. It really shouldn't throw.
|
||||
reset();
|
||||
}
|
||||
|
||||
void impl() {
|
||||
if (table.state.Count == 0) {
|
||||
_order_cache.Clear();
|
||||
}
|
||||
is_first_order_update = _order_cache.Count == 0 && table.state.Count > 0;
|
||||
foreach (var order in table.removed) {
|
||||
var k = table.key(order);
|
||||
_order_cache.Remove(k);
|
||||
_order_history.Remove(k);
|
||||
}
|
||||
foreach (var ch in table.changes) {
|
||||
var k = table.key(ch.New);
|
||||
_order_cache[k] = ch.New;
|
||||
_order_history[k].Add(new(ch.New, now));
|
||||
}
|
||||
foreach (var order in table.added) {
|
||||
var k = table.key(order);
|
||||
_order_cache[k] = order;
|
||||
var hist = _order_history.GetOrAdd(k, _ => new());
|
||||
_circular_buffer_add(hist, new(order, now), _ORDER_HISTORY_BUFFER_SIZE);
|
||||
}
|
||||
}
|
||||
|
||||
void reset() {
|
||||
_order_cache.Clear();
|
||||
_order_history.Clear();
|
||||
_table_history.Clear();
|
||||
foreach (var (k, order) in table.state) {
|
||||
_order_cache[k] = order;
|
||||
_order_history.GetOrAdd(k, _ => new()).Add(new(order, now));
|
||||
}
|
||||
is_first_order_update = true;
|
||||
}
|
||||
}
|
||||
|
||||
static void _circular_buffer_add<T>(List<T> list, T item, int buffer_size) {
|
||||
Log.assert(buffer_size > 0);
|
||||
if (list.Count > buffer_size - 1) {
|
||||
// Remove oldest items (trim front)
|
||||
list.RemoveRange(
|
||||
0, list.Count - (buffer_size - 1));
|
||||
}
|
||||
list.Add(item);
|
||||
}
|
||||
|
||||
string _fmt_order_table_history_safe() {
|
||||
return _fmt_table_history_safe(_table_history, fmt_order_tup);
|
||||
|
||||
static string fmt_order_tup((SecurityImmutable?, OrderRecordImmutable) order_tup) {
|
||||
var (sec, order) = order_tup;
|
||||
var order_desc = OrderUtils.short_description(order, sec.spec_or_default());
|
||||
var sec_desc = sec?.ToString() ?? ("sid=" + order.security_key().ToString());
|
||||
return $"{sec_desc} {order_desc}";
|
||||
}
|
||||
}
|
||||
|
||||
static string _fmt_table_history_safe<T, TKey>(
|
||||
List<(TableUpdate<T, TKey>, DateTime)> table_history, Func<T, string> fmt_value) where TKey : IEquatable<TKey> {
|
||||
var table_history_desc = new System.Text.StringBuilder();
|
||||
for (int i = 0; i < table_history.Count; i++) {
|
||||
var (table, time_stamp) = table_history[i];
|
||||
table_history_desc.AppendLine(
|
||||
$"Update - {table_history.Count - i}, at {time_stamp:yyyy-MM-dd hh:mm:ss.ffffff}");
|
||||
table_history_desc.AppendLine(_fmt_table_safe(table, fmt_value));
|
||||
}
|
||||
return table_history_desc.ToString();
|
||||
}
|
||||
|
||||
static string _fmt_table_safe<T, TKey>(
|
||||
TableUpdate<T, TKey> table, Func<T, string> fmt_value) where TKey : IEquatable<TKey> {
|
||||
try {
|
||||
return table.description(fmt_value);
|
||||
} catch (Exception ex) {
|
||||
return $"Exception while formatting TableUpdate: ${ex}";
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
using bts.api;
|
||||
using bts.api.orderman;
|
||||
|
||||
using mbts.spark;
|
||||
using mbts.utils;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
|
||||
namespace bts.shell {
|
||||
// Any predicate-sound/notifications that need to reference previous data (i.e. notifications based on change/time, or state changes) should use the INotificationServiceDataCache.
|
||||
// The INotificationService updates these caches in its IObservable.OnNext callbacks, just before calling all of the predicate-trigger methods.
|
||||
// Therfore, data referenced through this interface is guarenteed to be up-to-date, and thread safe. It also reduces performance overhead by avoiding redundant bookeeping.
|
||||
// Note: last_order_reset_time can be used by sound/toast-notification sources to avoid sending false-positive notifications for old orders (i.e. all the orders that arrive in the first update on startup/server restart)
|
||||
// --------------------------------------------------------------------------------------------------------------------------------------------
|
||||
// IMPOARTANT!!! The current implementation of this interface is NOT INTENDED FOR GENERAL USE - order_history is NOT THREAD-SAFE
|
||||
interface INotificationServiceDataCache {
|
||||
DateTime last_order_reset_time { get; }
|
||||
bool is_first_order_update { get; }
|
||||
IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history { get; }
|
||||
}
|
||||
|
||||
static class NotificationServiceDataCacheExtensions {
|
||||
public static OrderSecurity? get_previous_order_state(this INotificationServiceDataCache notification_service_data_cache, uint key) {
|
||||
if (notification_service_data_cache.order_history.TryGetValue(key, out List<TimeStampedData<OrderSecurity>> l)) {
|
||||
if (l.Count > 1) {
|
||||
return l[l.Count - 2].data;
|
||||
}
|
||||
}
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
struct TimeStampedData<T> {
|
||||
public readonly T data;
|
||||
public readonly DateTime time_stamp;
|
||||
|
||||
public TimeStampedData(T data, DateTime time_stamp) {
|
||||
this.data = data;
|
||||
this.time_stamp = time_stamp;
|
||||
}
|
||||
}
|
||||
|
||||
partial class NotificationService : INotificationService, IDisposable {
|
||||
class DataCache : INotificationServiceDataCache {
|
||||
const int _buffer_size = 10;
|
||||
readonly Dictionary<uint, OrderSecurity> _order_cache = new Dictionary<uint, OrderSecurity>();
|
||||
readonly Dictionary<uint, List<TimeStampedData<OrderSecurity>>> _order_history = new Dictionary<uint, List<TimeStampedData<OrderSecurity>>>();
|
||||
|
||||
public IReadOnlyDictionary<uint, List<TimeStampedData<OrderSecurity>>> order_history => _order_history;
|
||||
|
||||
public DateTime last_order_reset_time { get; private set; }
|
||||
public bool is_first_order_update { get; private set; }
|
||||
|
||||
internal void update(IIncrementalUpdate<(SecurityImmutable? sec, OrderRecordImmutable order), uint> data) {
|
||||
DateTime now = DateTime.Now;
|
||||
if (data.removed.Count == _order_cache.Count) {
|
||||
last_order_reset_time = now;
|
||||
_order_cache.Clear();
|
||||
}
|
||||
is_first_order_update = _order_cache.Count == 0 && data.added.Count > 0;
|
||||
foreach (var kv in data.removed) {
|
||||
if (data.added.ContainsKey(kv.Key)) {
|
||||
_order_cache[kv.Key] = kv.Value;
|
||||
_order_history[kv.Key].Add(new TimeStampedData<OrderSecurity>(kv.Value, now));
|
||||
} else {
|
||||
_order_cache.Remove(kv.Key);
|
||||
// TODO: maybe these shouldn't be removed?
|
||||
// if we add delta/time predicates that need to refer to order history, we might need to keep them around
|
||||
// although, if the server is telling us to remove them, perhaps we shouldn't consider such data.
|
||||
_order_history.Remove(kv.Key);
|
||||
}
|
||||
}
|
||||
foreach (var kv in data.added) {
|
||||
if (data.removed.ContainsKey(kv.Key))
|
||||
continue;
|
||||
_order_cache.Add(kv.Key, kv.Value);
|
||||
_order_history.AddOrUpdate(kv.Key,
|
||||
k => new List<TimeStampedData<OrderSecurity>> { new TimeStampedData<OrderSecurity>(kv.Value, now) },
|
||||
(k, l) => {
|
||||
l.Add(new TimeStampedData<OrderSecurity>(kv.Value, now));
|
||||
if (l.Count >= 10)
|
||||
l.RemoveAt(0);
|
||||
});
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -11,8 +11,6 @@ using System.Reactive.Linq;
|
||||
using System.Windows.Input;
|
||||
|
||||
namespace mbts.spark {
|
||||
using RegionalTickFactors = user.settings.RegionalTickFactors;
|
||||
|
||||
class InlineOrderTicketProperties {
|
||||
public readonly InlineUserProperty<double> price;
|
||||
public readonly InlineUserProperty<double> size;
|
||||
@@ -104,7 +102,6 @@ namespace mbts.spark {
|
||||
|
||||
public SecurityImmutable security => _security.Value;
|
||||
public double price { get; set; }
|
||||
public RegionalTickFactors price_tick => security.regional_ticks();
|
||||
public CalculatorLogic<double> size_calculator { get; }
|
||||
public double display_quantity_divisor {
|
||||
get => _display_quantity_divisor;
|
||||
|
||||
@@ -225,7 +225,10 @@ namespace bts.spark {
|
||||
var security = try_get_security(order.Def.SecurityKey);
|
||||
var change_descs = new List<string>(1);
|
||||
|
||||
var price_display = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
|
||||
TickDisplaySettingsImmutable? price_display =
|
||||
security.HasValue && security.Value.HasContractSpec ?
|
||||
security.Value.ContractSpec.tick_factors().to_api_tick_display_settingsi() : null;
|
||||
|
||||
var price_qty_change_desc = OrderUtils.update_description(
|
||||
order, price, size, price_display);
|
||||
|
||||
|
||||
@@ -74,7 +74,7 @@
|
||||
<usp:PriceEntryControl
|
||||
Grid.ColumnSpan="2"
|
||||
usp:OrderModificationControl.IsDirty="{Binding price_dirty, FallbackValue={x:Null}}"
|
||||
RegionalTick="{Binding price_tick}"
|
||||
ContractSpec="{Binding security.ContractSpec}"
|
||||
Focusable="false"
|
||||
TickDefaultValue="{Binding current_price, Converter={StaticResource TickDefaultPriceConverter}, FallbackValue={u:Double 0}}"
|
||||
Value="{Binding price}"
|
||||
|
||||
@@ -254,14 +254,17 @@ namespace mbts.spark {
|
||||
$"{(order.HasDef ? order.Def.Side.ToString() : "(unknown-side)")} {(order.HasState ? ($@"{spec.format(order.State.Price)} @ {order.State.Quantity}") : "(unknown-price) @ (unknown-quantity)")}";
|
||||
|
||||
public static string short_description(
|
||||
SecurityImmutable security, Side side, double price, double quantity) {
|
||||
var price_display = TickUtils.get_tick(security, price).to_api_tick_display_settingsi();
|
||||
return new StringBuilderEx(
|
||||
SecurityImmutable security, Side side, double price, double quantity) =>
|
||||
new StringBuilderEx(
|
||||
security.ToString(), " ",
|
||||
side.ToString(), " ",
|
||||
price_quantity_description(price, quantity, price_display)
|
||||
price_quantity_description(price, quantity, security.spec_or_default())
|
||||
).ToString();
|
||||
}
|
||||
|
||||
public static string price_quantity_description(
|
||||
double price, double quantity, ContractSpecificationImmutable spec) =>
|
||||
price_quantity_description(
|
||||
price, quantity, spec.tick_factors().to_api_tick_display_settingsi());
|
||||
|
||||
public static string price_quantity_description(
|
||||
double price,
|
||||
|
||||
@@ -90,8 +90,7 @@ namespace mbts {
|
||||
}
|
||||
var sec = order.security;
|
||||
var sec_meta = sec.HasValue ? _sec_meta_store.get(sec.Value) : null;
|
||||
var qty_display = sec_meta?.HasQuantityDisplay ?? false ?
|
||||
sec_meta.Value.QuantityDisplay :
|
||||
var qty_display = sec_meta?.QuantityDisplay ??
|
||||
Security.Defaults.quantity_display_settingsi;
|
||||
return ToastNotifications.order_completed(order, qty_display);
|
||||
}
|
||||
|
||||
@@ -169,7 +169,7 @@ namespace mbts.spark {
|
||||
public static ITag<int> CreateHeatmapTag { get; } = _mk_tag<int>();
|
||||
|
||||
// Publisher: VolSurfaceBlackboardManager
|
||||
// User: VolSurfaceModule
|
||||
// User: VoLSurfaceModule
|
||||
public static ITag<IDictionary<int, string>> VolSurfaceListTag { get; } =
|
||||
_mk_tag<IDictionary<int, string>>();
|
||||
|
||||
@@ -202,17 +202,11 @@ namespace mbts.spark {
|
||||
public static ITag<VolSurfaceCalculationRequest> VolSurfaceCalculationRequestTag(int vs_id) =>
|
||||
_mk_tag<VolSurfaceCalculationRequest, int>(vs_id);
|
||||
|
||||
public static ITag<VolSurfaceCalculationRequest> VolSurfaceAutoCalculationRequestTag(int vs_id) =>
|
||||
_mk_tag<VolSurfaceCalculationRequest, int>(vs_id);
|
||||
|
||||
// Publisher : SingleVolSurfaceRequestCalculator
|
||||
// Data : VolSurfaceCalculationResponse
|
||||
public static ITag<VolSurfaceCalculationResponse> VolSurfaceCalculationResponseTag(int vs_id) =>
|
||||
_mk_tag<VolSurfaceCalculationResponse, int>(vs_id);
|
||||
|
||||
public static ITag<VolSurfaceCalculationResponse> VolSurfaceAutoCalculationResponseTag(int vs_id) =>
|
||||
_mk_tag<VolSurfaceCalculationResponse, int>(vs_id);
|
||||
|
||||
// When the UI intends to save the vol surface (data or input)
|
||||
// Publisher: VolSurfaceDisplayModel
|
||||
public static ITag<VolSurfaceInput> VolSurfaceCommitTag(int vs_id) =>
|
||||
@@ -266,8 +260,8 @@ namespace mbts.spark {
|
||||
|
||||
// List of symbol to volsurface mapping.
|
||||
// Publisher: VolSurfaceBlackboardManager
|
||||
public static ITag<VolSurfaceUsageListImmutable?> VolSurfaceUsageTag { get; } =
|
||||
_mk_tag<VolSurfaceUsageListImmutable?>();
|
||||
public static ITag<VolSurfaceUsageListImmutable> VolSurfaceUsageTag { get; } =
|
||||
_mk_tag<VolSurfaceUsageListImmutable>();
|
||||
|
||||
// The AW2 machinary can compute and publish the theos
|
||||
// right back locally(vs the server doing that) if configured that way.
|
||||
|
||||
@@ -591,9 +591,9 @@ namespace mbts.ui {
|
||||
|
||||
// Disabled
|
||||
public static BTSColor disabled_border => UI.input_disabled_border;
|
||||
public static BTSColor disabled_background => Button.disabled_background;
|
||||
public static BTSColor disabled_foreground => Button.disabled_foreground;
|
||||
public static BTSColor disabled_text => Button.disabled_foreground;
|
||||
public static BTSColor disabled_background => UI.input_disabled_background;
|
||||
public static BTSColor disabled_foreground => normal_foreground;
|
||||
public static BTSColor disabled_text => normal_text;
|
||||
public static BTSColor disabled_glyph => normal_glyph;
|
||||
public static BTSColor disabled_button_border => BTSCoreColors.transparent;
|
||||
public static BTSColor disabled_button_background => BTSCoreColors.transparent;
|
||||
@@ -647,7 +647,8 @@ namespace mbts.ui {
|
||||
public static BTSColor pressed_editable_button_background => pressed_button_background;
|
||||
public static BTSColor pressed_editable_button_border => pressed_button_border;
|
||||
|
||||
public static BTSColor disabled_editable_background => Core.transparent;
|
||||
public static BTSColor disabled_editable_background =>
|
||||
editable_background.blend(disabled_background);
|
||||
|
||||
public static BTSColor disabled_editable_border =>
|
||||
editable_border.blend(disabled_border);
|
||||
@@ -1041,21 +1042,6 @@ namespace mbts.ui {
|
||||
public static BTSColor foreground => UI.default_text;
|
||||
public static BTSColor footer_foreground => foreground;
|
||||
}
|
||||
public static class ExecutionStrategy {
|
||||
public static BTSColor expander_background => Core.transparent;//Grid.dark_column_background;
|
||||
public static BTSColor expander_foreground => UI.default_text;
|
||||
public static BTSColor data_grid_row_header_background => Core.transparent;
|
||||
public static BTSColor data_grid_row_header_foreground => UI.default_text;
|
||||
public static BTSColor data_grid_background => Grid.default_row_background;
|
||||
public static BTSColor default_column_background => Grid.default_row_background;
|
||||
public static BTSColor alternate_column_background => Grid.alternate_row_background;// 0xff494957;
|
||||
public static BTSColor arrow_background => UI.default_text;
|
||||
public static BTSColor arrow_background_selected => UI.alternate_text;
|
||||
|
||||
}
|
||||
public static class ManualFills {
|
||||
public static BTSColor background => UI.common_background;
|
||||
}
|
||||
public static class AlgoStudio {
|
||||
public static BTSColor background => UI.default_background;
|
||||
public static BTSColor foreground => UI.default_foreground;
|
||||
|
||||
@@ -76,11 +76,6 @@
|
||||
<Color x:Key="ComboBox.Pressed.Editable.BackgroundColor">#707070</Color>
|
||||
<Color x:Key="ComboBox.Pressed.Editable.Button.BackgroundColor">#FFC4E0FC</Color>
|
||||
|
||||
<Color x:Key="ComboBox.Disabled.Editable.BackgroundColor">#FFE5E5E5</Color>
|
||||
<Color x:Key="ComboBox.Disabled.Editable.BorderColor">#FFD9D9D9</Color>
|
||||
<Color x:Key="ComboBox.Disabled.Editable.Button.BackgroundColor">#FFE5E5E5</Color>
|
||||
<Color x:Key="ComboBox.Disabled.Editable.Button.BorderColor">#FFD9D9D9</Color>
|
||||
|
||||
<SolidColorBrush x:Key="ComboBox.Static.Background" Color="{StaticResource ComboBox.Static.BackgroundColor}" />
|
||||
<SolidColorBrush x:Key="ComboBox.Static.Foreground" Color="{StaticResource ComboBox.Static.ForegroundColor}" />
|
||||
<SolidColorBrush x:Key="ComboBox.Static.Border" Color="{StaticResource ComboBox.Static.BorderColor}"/>
|
||||
@@ -103,7 +98,7 @@
|
||||
<SolidColorBrush x:Key="ComboBox.Disabled.Border" Color="{StaticResource ComboBoxDisabledBorderColor}"/>
|
||||
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Background" Color="{StaticResource ComboBox.Disabled.Editable.BackgroundColor}" />
|
||||
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Border" Color="{StaticResource ComboBox.Disabled.Editable.BorderColor}" />
|
||||
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Button.Background" Color="{StaticResource ComboBox.Disabled.Editable.Button.BackgroundColor}" />
|
||||
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Button.Background" Color="{StaticResource ComboBox.Disabled.Editable.BackgroundColor}" />
|
||||
<SolidColorBrush x:Key="ComboBox.Disabled.Editable.Button.Border" Color="{StaticResource ComboBox.Disabled.Editable.Button.BorderColor}" />
|
||||
<SolidColorBrush x:Key="ComboBox.Static.Glyph" Color="#FF606060"/>
|
||||
|
||||
|
||||
@@ -35,7 +35,7 @@
|
||||
<Setter Property="Focusable" Value="False"/>
|
||||
<Setter Property="IsTabStop" Value="False"/>
|
||||
<Setter Property="OverridesDefaultStyle" Value="True"/>
|
||||
<Setter Property="Background" Value="{u:BTSColor UI.ScrollBar.thumb_pressed}"/>
|
||||
<Setter Property="Background" Value="{u:BTSColor ScrollBar.thumb_pressed}"/>
|
||||
<Setter Property="Template">
|
||||
<Setter.Value>
|
||||
<ControlTemplate TargetType="Thumb">
|
||||
@@ -224,18 +224,18 @@
|
||||
<VisualState Name="Normal"/>
|
||||
<VisualState Name="MouseOver">
|
||||
<Storyboard>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor ScrollBar.thumb_mouse_over}"/>
|
||||
</Storyboard>
|
||||
</VisualState>
|
||||
<VisualState Name="Pressed">
|
||||
<Storyboard>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_pressed}"/>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor ScrollBar.thumb_pressed}"/>
|
||||
</Storyboard>
|
||||
</VisualState>
|
||||
</VisualStateGroup>
|
||||
</VisualStateManager.VisualStateGroups>
|
||||
<Thumb.Background>
|
||||
<SolidColorBrush Color="{u:BTSColor UI.ScrollBar.thumb_static}"/>
|
||||
<SolidColorBrush Color="{u:BTSColor ScrollBar.thumb_static}"/>
|
||||
</Thumb.Background>
|
||||
</Thumb>
|
||||
</Track.Thumb>
|
||||
@@ -380,18 +380,18 @@
|
||||
<VisualState Name="Normal"/>
|
||||
<VisualState Name="MouseOver">
|
||||
<Storyboard>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{StaticResource u:BTSColor UI.ScrollBar.thumb_mouse_over}"/>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{StaticResource u:BTSColor ScrollBar.thumb_mouse_over}"/>
|
||||
</Storyboard>
|
||||
</VisualState>
|
||||
<VisualState Name="Pressed">
|
||||
<Storyboard>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor UI.ScrollBar.thumb_presseds}"/>
|
||||
<ColorAnimation Storyboard.TargetProperty="Background.Color" BeginTime="0" Duration="0" To="{u:BTSColor ScrollBar.thumb_presseds}"/>
|
||||
</Storyboard>
|
||||
</VisualState>
|
||||
</VisualStateGroup>
|
||||
</VisualStateManager.VisualStateGroups>
|
||||
<Thumb.Background>
|
||||
<SolidColorBrush Color="{u:BTSColor UI.ScrollBar.thumb_static}"/>
|
||||
<SolidColorBrush Color="{u:BTSColor ScrollBar.thumb_static}"/>
|
||||
</Thumb.Background>
|
||||
</Thumb>
|
||||
</Track.Thumb>
|
||||
|
||||
@@ -10,8 +10,8 @@
|
||||
</ResourceDictionary.MergedDictionaries>
|
||||
|
||||
<Style x:Key="LogViewer.TextBox" TargetType="TextBox">
|
||||
<Setter Property="Background" Value="{u:BTSColor UI.TextBox.default_background}" />
|
||||
<Setter Property="Foreground" Value="{u:BTSColor UI.TextBox.default_foreground}" />
|
||||
<Setter Property="Background" Value="{StaticResource TextBox.BackgroundBrush}" />
|
||||
<Setter Property="Foreground" Value="{StaticResource TextBox.ForegroundBrush}" />
|
||||
<Setter Property="BorderThickness" Value="0" />
|
||||
</Style>
|
||||
|
||||
|
||||
@@ -15,16 +15,12 @@ using System.Windows.Controls;
|
||||
using System.Windows.Input;
|
||||
|
||||
namespace mbts.ui.spark {
|
||||
using RegionalTickFactors = user.settings.RegionalTickFactors;
|
||||
using TickDisplaySettings = user.settings.TickDisplaySettings;
|
||||
|
||||
/// <summary>
|
||||
/// Interaction logic for PriceEntryControl.xaml
|
||||
/// </summary>
|
||||
class PriceEntryControl : Control {
|
||||
readonly PropertyUpdateGate _price_text_gate = new PropertyUpdateGate();
|
||||
ContractSpecificationImmutable? _spec;
|
||||
RegionalTickFactors _tick;
|
||||
TextBox _text;
|
||||
IDisposable _text_hooks;
|
||||
double? _raw_value;
|
||||
@@ -57,17 +53,16 @@ namespace mbts.ui.spark {
|
||||
(o, v) => o._update_text(v),
|
||||
(o, v) => {
|
||||
o._raw_value = v;
|
||||
if ((!o._spec.HasValue && o._tick is null) || DoubleHelper.IsNaNOrInfinity(v))
|
||||
if (!o._spec.HasValue || DoubleHelper.IsNaNOrInfinity(v))
|
||||
return v;
|
||||
// Note: the decimal cast here is important bc double-rounding errors can cause the keyboard text to conflict with poorly rounded result, and negate Tick Up/Down commands.
|
||||
// This happens bc the tick up/down commands flush the current text before inc/decrementing.
|
||||
var v_dec = (decimal)v;
|
||||
var rounded = (double)(o._tick?.round_to_tick(v_dec) ?? o._spec.Value.round_to_tick(v_dec));
|
||||
if (MathUtils.epsilon_equals(rounded, v)) {
|
||||
double tick = (double)o._spec.Value.round_to_tick((decimal)v);
|
||||
if (MathUtils.epsilon_equals(tick, v)) {
|
||||
// this value has already been rounded, don't make it re-enter the CoerceValueCallback delegate.
|
||||
return v;
|
||||
}
|
||||
return rounded;
|
||||
return tick;
|
||||
},
|
||||
double.NaN);
|
||||
|
||||
@@ -107,26 +102,6 @@ namespace mbts.ui.spark {
|
||||
public ContractSpecificationImmutable? ContractSpec { get => GetValue(ContractSpecProperty) as ContractSpecificationImmutable?; set => SetValue(ContractSpecProperty, value); }
|
||||
#endregion
|
||||
|
||||
#region RegionalTick
|
||||
public static readonly DependencyProperty RegionalTickProperty =
|
||||
WPFHelper.create_dp<RegionalTickFactors, PriceEntryControl>(
|
||||
nameof(RegionalTick),
|
||||
(o, v) => {
|
||||
o._tick = v;
|
||||
if (o._raw_value.HasValue) {
|
||||
o.SetCurrentValue(ValueProperty, o._raw_value.Value);
|
||||
if (o.AlwaysReformatOnSpecChange)
|
||||
o._update_text();
|
||||
}
|
||||
}, RegionalTickFactors.Default);
|
||||
|
||||
public RegionalTickFactors RegionalTick {
|
||||
get => GetValue(RegionalTickProperty) as RegionalTickFactors;
|
||||
set => SetValue(RegionalTickProperty, value);
|
||||
}
|
||||
#endregion
|
||||
|
||||
|
||||
/// TODO: verify that this control behaves correctly when <see cref="AlwaysReformatOnSpecChange"/> is true (ideally this prop will be removed, and this control will always behave is if the prop is true).
|
||||
/// Because this control is ubiquitious in our application, such verification will require careful, meticulous analysis.
|
||||
/// Until such verification is complete, this boolean property will be used to trigger the behavior, so unsuspecting instances of this control will not be affected.
|
||||
@@ -151,8 +126,6 @@ namespace mbts.ui.spark {
|
||||
double v = Value;
|
||||
if (double.IsNaN(v)) {
|
||||
SetCurrentValue(ValueProperty, TickDefaultValue);
|
||||
} else if (_tick is not null) {
|
||||
SetCurrentValue(ValueProperty, _tick.tickup(v));
|
||||
} else {
|
||||
var spec = ContractSpec;
|
||||
if (spec.HasValue) SetCurrentValue(ValueProperty, spec.Value.tickup(v));
|
||||
@@ -164,8 +137,6 @@ namespace mbts.ui.spark {
|
||||
double v = Value;
|
||||
if (double.IsNaN(v)) {
|
||||
SetCurrentValue(ValueProperty, TickDefaultValue);
|
||||
} else if (_tick is not null) {
|
||||
SetCurrentValue(ValueProperty, _tick.tickdown(v));
|
||||
} else {
|
||||
var spec = ContractSpec;
|
||||
if (spec.HasValue) SetCurrentValue(ValueProperty, spec.Value.tickdown(v));
|
||||
@@ -178,15 +149,7 @@ namespace mbts.ui.spark {
|
||||
|
||||
void _update_text(double v) {
|
||||
if (_text != null)
|
||||
_price_text_gate.try_update(() => {
|
||||
if (_tick is not null) {
|
||||
var settings = TickDisplaySettings.Default;
|
||||
settings.tick_factors = _tick.get_tick_for(v);
|
||||
_text.Text = _tick.format(v, settings);
|
||||
return;
|
||||
}
|
||||
_text.Text = _spec.HasValue ? _spec.Value.format(v, double.NaN, false, string.Empty) : v.ToString();
|
||||
});
|
||||
_price_text_gate.try_update(() => _text.Text = _spec.HasValue ? _spec.Value.format(v, double.NaN, false, string.Empty) : v.ToString());
|
||||
}
|
||||
|
||||
void _update_value() =>
|
||||
|
||||
@@ -485,10 +485,6 @@
|
||||
Width="{TemplateBinding Width}"
|
||||
MinWidth="{TemplateBinding MinWidth}"
|
||||
MaxWidth="{TemplateBinding MaxWidth}"
|
||||
TickUpCommand="{TemplateBinding TickUpCommand}"
|
||||
TickUpCommandParameter="{TemplateBinding TickUpCommandParameter}"
|
||||
TickDownCommand="{TemplateBinding TickDownCommand}"
|
||||
TickDownCommandParameter="{TemplateBinding TickDownCommandParameter}"
|
||||
>
|
||||
<TextBox
|
||||
Name="PART_TextBox"
|
||||
|
||||
@@ -1,7 +1,6 @@
|
||||
#nullable enable
|
||||
namespace mbts.ui.controls {
|
||||
using bts.api.domain;
|
||||
using bts.utils;
|
||||
|
||||
using mbts.ui.extensions;
|
||||
using mbts.ui.utilities;
|
||||
@@ -229,12 +228,6 @@ namespace mbts.ui.controls {
|
||||
get => _explicit_props.value;
|
||||
set => _explicit_props.value = value;
|
||||
}
|
||||
|
||||
bool _has_valid_bounds =>
|
||||
Minimum < Maximum;
|
||||
|
||||
T _default_value =>
|
||||
_has_valid_bounds ? T.Zero.within_range(Minimum, Maximum) : T.Zero;
|
||||
|
||||
public override void OnApplyTemplate() {
|
||||
Disposable.dispose(ref _text_hooks);
|
||||
@@ -279,7 +272,7 @@ namespace mbts.ui.controls {
|
||||
var v = _value_d;
|
||||
if (!v.HasValue) {
|
||||
if (AllowNullTick) {
|
||||
SetCurrentValue(ValueProperty, _default_value);
|
||||
SetCurrentValue(ValueProperty, T.Zero);
|
||||
}
|
||||
return;
|
||||
}
|
||||
@@ -287,10 +280,6 @@ namespace mbts.ui.controls {
|
||||
TickUpDownHelper.nullable_tick_up(v, _increment_d, out var result_d, _maximum_d) :
|
||||
TickUpDownHelper.nullable_tick_down(v, _increment_d, out result_d, _minimum_d)) {
|
||||
var result = NumericCastOutConverter<T>.convert(result_d.assert_value());
|
||||
// Enforce min/max bounds (if bounds are valid)
|
||||
if (_has_valid_bounds) {
|
||||
result = result.within_range(Minimum, Maximum);
|
||||
}
|
||||
SetCurrentValue(ValueProperty, result);
|
||||
CoerceValue(ValueProperty);
|
||||
}
|
||||
|
||||
@@ -8,8 +8,6 @@ using System.Globalization;
|
||||
using System.Windows.Data;
|
||||
|
||||
namespace mbts.ui.converters {
|
||||
using RegionalTickFactors = user.settings.RegionalTickFactors;
|
||||
|
||||
class TickDisplayConverter : IMultiValueConverter {
|
||||
public static TickDisplayConverter Instance => new();
|
||||
|
||||
@@ -26,13 +24,10 @@ namespace mbts.ui.converters {
|
||||
if (values.Length == 2 && values[1] is bts.api.domain.TickDisplaySettingsImmutable tdsi) {
|
||||
return tdsi.to_tick_display_settings().format(price);
|
||||
}
|
||||
var spec = get_val<ContractSpecificationImmutable?>(values, 1);
|
||||
var spec = get_val<ContractSpecificationImmutable?>(values, 1) ??
|
||||
Security.Defaults.ContractSpecificationImmutable;
|
||||
var settings = get_val<mbts.user.settings.TickDisplaySettings>(values, 2);
|
||||
if (spec.HasValue) {
|
||||
return spec.Value.format(price, settings);
|
||||
}
|
||||
var rtick = get_val<RegionalTickFactors>(values, 1) ?? RegionalTickFactors.Default;
|
||||
return rtick.format(price, settings);
|
||||
return spec.format(price, settings);
|
||||
}
|
||||
|
||||
public object[] ConvertBack(object value, Type[] targetTypes, object parameter, CultureInfo culture) =>
|
||||
|
||||
@@ -34,8 +34,7 @@
|
||||
</Style>
|
||||
<Style x:Key="DisabledPlaceholderComboBox" TargetType="ComboBox">
|
||||
<Setter Property="IsEnabled" Value="False"/>
|
||||
<Setter Property="Foreground" Value="{u:BTSColor UI.ComboBox.disabled_foreground}"/>
|
||||
<Setter Property="Background" Value="{u:BTSColor UI.ComboBox.disabled_button_background}"/>
|
||||
<Setter Property="Foreground" Value="Gray"/>
|
||||
<Setter Property="SelectedIndex" Value="0"/>
|
||||
<Setter Property="ItemsSource">
|
||||
<Setter.Value>
|
||||
|
||||
@@ -386,9 +386,9 @@
|
||||
<ControlTemplate x:Key="DataGridRowDefaultTemplate" TargetType="DataGridRow">
|
||||
<Border
|
||||
x:Name="DGR_Border"
|
||||
Background="{TemplateBinding Background}"
|
||||
BorderBrush="{TemplateBinding BorderBrush}"
|
||||
BorderThickness="{TemplateBinding BorderThickness}"
|
||||
Background="{TemplateBinding Background}"
|
||||
SnapsToDevicePixels="True">
|
||||
<u:StateManager.Groups>
|
||||
<u:StateGroupsManager AttachToMembers="True">
|
||||
@@ -408,9 +408,7 @@
|
||||
<Storyboard>
|
||||
<ObjectAnimationUsingKeyFrames
|
||||
Storyboard.TargetName="DGR_Border" Storyboard.TargetProperty="Background">
|
||||
<DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSColor ExecutionStrategy.default_column_background}" />
|
||||
<!-- <DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSColor Core.red}" /> -->
|
||||
<!-- <DiscreteObjectKeyFrame KeyTime="1" Value="{u:BTSColor Core.blue}" /> -->
|
||||
<DiscreteObjectKeyFrame KeyTime="0" Value="{u:BTSColor Grid.alternate_row_background}" />
|
||||
</ObjectAnimationUsingKeyFrames>
|
||||
</Storyboard>
|
||||
</VisualState>
|
||||
@@ -427,8 +425,7 @@
|
||||
HeadersVisibility,
|
||||
ConverterParameter={x:Static DataGridHeadersVisibility.Row},
|
||||
Converter={x:Static DataGrid.HeadersVisibilityConverter},
|
||||
RelativeSource={RelativeSource AncestorType=DataGrid}}"
|
||||
Background="transparent"/>
|
||||
RelativeSource={RelativeSource AncestorType=DataGrid}}" />
|
||||
<DataGridCellsPresenter
|
||||
Grid.Column="1"
|
||||
ItemsPanel="{TemplateBinding ItemsPanel}"
|
||||
@@ -454,7 +451,7 @@
|
||||
<Style TargetType="{x:Type DataGrid}">
|
||||
<Setter Property="UseLayoutRounding" Value="True" />
|
||||
<Setter Property="ColumnHeaderStyle" Value="{StaticResource {x:Type DataGridColumnHeader}}" />
|
||||
<Setter Property="Background" Value="{uc:BTSColor Name=Core.transparent}" />
|
||||
<Setter Property="Background" Value="{uc:BTSColor Name=UI.default_background}" />
|
||||
<Setter Property="AlternationCount" Value="2" />
|
||||
<Setter Property="RowStyle" Value="{StaticResource {x:Type DataGridRow}}" />
|
||||
<Setter Property="AutoGenerateColumns" Value="False" />
|
||||
|
||||
@@ -14,9 +14,6 @@ namespace mbts.spark {
|
||||
uint _bid_size, _ask_size;
|
||||
ulong _time;
|
||||
|
||||
public BBOVM() =>
|
||||
_dispose = Disposable.Create(() => Disposable.dispose(ref _md_poll));
|
||||
|
||||
public SecurityImmutable? security => _security_md?.security;
|
||||
public SecurityMD? security_md {
|
||||
get => _security_md;
|
||||
|
||||
@@ -1,16 +1,11 @@
|
||||
#nullable enable
|
||||
namespace mbts {
|
||||
using bts;
|
||||
using bts.api;
|
||||
using bts.api.domain;
|
||||
using bts.utils;
|
||||
|
||||
using mbts.co2;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Collections.Immutable;
|
||||
using System.Linq;
|
||||
|
||||
public readonly struct SecurityMD : IEquatable<SecurityMD> {
|
||||
public static readonly Func<SecurityMD, uint> key_fn = smd => smd.security.Id;
|
||||
@@ -19,28 +14,21 @@ namespace mbts {
|
||||
SecurityImmutable security,
|
||||
IMDConsumerHandle md,
|
||||
TickDisplaySettingsImmutable? price_display = null,
|
||||
TickDisplaySettingsImmutable? quantity_display = null,
|
||||
IEnumerable<TickDisplayRuleImmutable>? price_display_rules = null) {
|
||||
TickDisplaySettingsImmutable? quantity_display = null) {
|
||||
this.security = security;
|
||||
this.md = md;
|
||||
this.price_display = price_display ?? Security.Defaults.price_display_settingsi;
|
||||
this.quantity_display = quantity_display ??
|
||||
Security.Defaults.quantity_display_settingsi;
|
||||
this.price_display_rules = price_display_rules
|
||||
.empty_if_null()
|
||||
.OrderBy(r => r.MaxValue)
|
||||
.ToImmutableList();
|
||||
// Validate new 'price rules' config (be strict...this is a hotfix to prod)
|
||||
Log.assert(this.price_display_rules.All(r => r.MaxValue.is_real()));
|
||||
Log.assert(this.price_display_rules.Select(r => r.MaxValue).IsDistinct());
|
||||
unit_quantity = 1;
|
||||
}
|
||||
|
||||
public SecurityImmutable security { get; }
|
||||
public uint id => security.Id;
|
||||
public IMDConsumerHandle md { get; }
|
||||
public double unit_quantity { get; }
|
||||
public TickDisplaySettingsImmutable price_display { get; }
|
||||
public TickDisplaySettingsImmutable quantity_display { get; }
|
||||
public ImmutableList<TickDisplayRuleImmutable> price_display_rules { get; }
|
||||
|
||||
public override int GetHashCode() =>
|
||||
(int)security.Id;
|
||||
|
||||
@@ -4,7 +4,6 @@ namespace Spark.Core.Data {
|
||||
using bts;
|
||||
using bts.api;
|
||||
using bts.api.domain;
|
||||
using bts.collections;
|
||||
|
||||
using mbts;
|
||||
using mbts.config;
|
||||
@@ -56,21 +55,7 @@ namespace Spark.Core.Data {
|
||||
}
|
||||
// Can't possibly be null (the delegate above already checked for this)
|
||||
raw_meta = Log.notnull(raw_meta);
|
||||
var meta = convert_raw_metadata(raw_meta);
|
||||
if (sec.ContractCase == Security.ContractOneofCase.Spread
|
||||
&& meta.HasValue
|
||||
&& meta.Value.PriceRules.AtLeast(2)) {
|
||||
// This is a hack to force Deribit Combos to have uniform ticks
|
||||
var rules = meta.Value.PriceRules
|
||||
.Where(r => r.HasTickDisplay && r.TickDisplay.HasTickFactors);
|
||||
if (rules.TryGetMinElement(
|
||||
r => r.TickDisplay.TickFactors.tick_unit_frac(), out var min_tick_rule)) {
|
||||
var mutable_meta = meta.Value.CloneToMutable();
|
||||
mutable_meta.PriceRules.SetItems(new[] { min_tick_rule.CloneToMutable() });
|
||||
meta = mutable_meta.immutable();
|
||||
}
|
||||
}
|
||||
return meta;
|
||||
return convert_raw_metadata(raw_meta);
|
||||
});
|
||||
|
||||
SecurityMetadataImmutable? convert_raw_metadata(SecurityMetadataItem raw_meta) {
|
||||
@@ -81,8 +66,8 @@ namespace Spark.Core.Data {
|
||||
/// Don't mutate the actual object stored in <see cref="_security_metadata"/>
|
||||
var meta = raw_meta.Value.Clone();
|
||||
meta.PriceDisplay ??= Security.Defaults.price_display_settings;
|
||||
// meta.PriceDisplay.TickFactors = sec.spec_or_default()
|
||||
// .tick_factors().to_api_tick_factorsi().CloneToMutable();
|
||||
meta.PriceDisplay.TickFactors = sec.spec_or_default()
|
||||
.tick_factors().to_api_tick_factorsi().CloneToMutable();
|
||||
return new(meta);
|
||||
}
|
||||
}
|
||||
|
||||
@@ -22,9 +22,6 @@ namespace mbts.user.settings {
|
||||
_low_tick_inclusive_end = low_tick_inclusive_end;
|
||||
}
|
||||
|
||||
public static RegionalTickFactors Default =>
|
||||
new(new(10000, 1), new(10000, 1), double.MaxValue);
|
||||
|
||||
public TickFactors low_tick => _low_tick;
|
||||
public TickFactors high_tick => _high_tick;
|
||||
public double low_tick_inclusive_end => _low_tick_inclusive_end;
|
||||
|
||||
@@ -55,20 +55,9 @@ namespace mbts {
|
||||
this TickFactors tick_factors) =>
|
||||
new(tick_factors.to_api_tick_display_settings());
|
||||
|
||||
public static bool is_valid(this TickFactors tick) {
|
||||
if (!tick.tick_unit.is_real_positive() && !tick.tick_base.is_real_positive()) {
|
||||
return false;
|
||||
}
|
||||
var ticks_per_base = tick.tick_base / tick.tick_unit;
|
||||
if (ticks_per_base.is_int()) {
|
||||
return true;
|
||||
}
|
||||
// The Log10 check accounts for [non-perp] futures at Deribit, which use TickFactors 25/10
|
||||
// (e.g., 10.0, 12.5, 15.0, etc.). It was added 11/02/2023, when it replaced the
|
||||
// commented out line below.
|
||||
// return tick.tick_unit > tick.tick_base && tick.tick_base == 1;
|
||||
return tick.tick_unit > tick.tick_base && Math.Log10(tick.tick_base).is_int();
|
||||
}
|
||||
public static bool is_valid(this TickFactors tick) =>
|
||||
(tick.tick_unit > 0 && tick.tick_unit <= (tick.tick_base * 0.5)) ||
|
||||
tick.tick_unit == tick.tick_base;
|
||||
|
||||
public static bool is_valid(this RegionalTickFactors regional_tick) =>
|
||||
regional_tick.low_tick.is_valid() && regional_tick.high_tick.is_valid();
|
||||
@@ -76,10 +65,6 @@ namespace mbts {
|
||||
public static bool is_integer(this TickFactors tick) =>
|
||||
tick.tick_unit == tick.tick_base;
|
||||
|
||||
public static TickFactors tick_factors(this RegionalTickFactors regional_tick, double value) =>
|
||||
value > regional_tick.low_tick_inclusive_end ?
|
||||
regional_tick.high_tick : regional_tick.low_tick;
|
||||
|
||||
public static double tick_unit_frac(this TickFactors tick) =>
|
||||
tick.tick_unit / tick.tick_base;
|
||||
|
||||
@@ -91,21 +76,6 @@ namespace mbts {
|
||||
|
||||
public static double reduced_base(this TickFactors tick) => MathUtils.factor_out(tick.tick_base, 10);
|
||||
|
||||
public static bool tick_equals(this RegionalTickFactors regional_tick, double x, double y) {
|
||||
if (x.is_nan()) {
|
||||
return y.is_nan();
|
||||
}
|
||||
if (y.is_nan()) {
|
||||
return false;
|
||||
}
|
||||
var xtick = regional_tick.tick_factors(x);
|
||||
var ytick = regional_tick.tick_factors(y);
|
||||
return xtick is not null
|
||||
&& ytick is not null
|
||||
&& xtick.Equals(ytick)
|
||||
&& xtick.tick_equals(x, y);
|
||||
}
|
||||
|
||||
public static bool tick_equals(this TickFactors tick, double x, double y) {
|
||||
if (x.is_nan()) {
|
||||
return y.is_nan();
|
||||
@@ -122,35 +92,27 @@ namespace mbts {
|
||||
}
|
||||
var x_units = MathUtils.round_fractional_units(x, tick.tick_unit_frac<T>());
|
||||
var y_units = MathUtils.round_fractional_units(y, tick.tick_unit_frac<T>());
|
||||
return NumericCastConverter<T, long>.convert(x_units) ==
|
||||
NumericCastConverter<T, long>.convert(y_units);
|
||||
return NumericCastConverter<T, int>.convert(x_units) ==
|
||||
NumericCastConverter<T, int>.convert(y_units);
|
||||
}
|
||||
|
||||
public static IEqualityComparer<T> tick_equality_comparer<T>(this TickFactors tick)
|
||||
where T : IFloatingPoint<T> =>
|
||||
EqualityComparer.Create<T>(
|
||||
(a, b) => tick_equals(tick, a, b),
|
||||
x => NumericCastConverter<T, int>.convert(
|
||||
MathUtils.round_fractional_units(x, tick.tick_unit_frac<T>())));
|
||||
x => NumericCastConverter<T, int>.convert(MathUtils.round_fractional_units(x, tick.tick_unit_frac<T>())));
|
||||
|
||||
public static IEqualityComparer<double> tick_equality_comparer(this TickFactors tick) =>
|
||||
EqualityComparer.Create<double>(
|
||||
(a, b) => tick_equals(tick, a, b),
|
||||
x => (int)MathUtils.round_fractional_units(x, tick.tick_unit_frac()));
|
||||
|
||||
public static TickFactors get_tick_for(this RegionalTickFactors rtick, double value) =>
|
||||
value > rtick.low_tick_inclusive_end ? rtick.high_tick : rtick.low_tick;
|
||||
|
||||
public static string format_without_decimal_part(this TickFactors tick, double value) =>
|
||||
format(tick, value, double.NaN, false, _nan_text, true);
|
||||
|
||||
public static string format<T>(this TickFactors tick, T value) where T : IFloatingPointIeee754<T> =>
|
||||
format(tick, value, T.NaN, false, _nan_text);
|
||||
|
||||
public static string format<T>(this RegionalTickFactors regional_tick, T value, bool show_commas)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
format(regional_tick, value, T.NaN, show_commas, _nan_text);
|
||||
|
||||
public static string format<T>(this TickFactors tick, T value, bool show_commas)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
format(tick, value, T.NaN, show_commas, _nan_text);
|
||||
@@ -181,19 +143,6 @@ namespace mbts {
|
||||
value, settings.display_multiplier.as_type<double, T>(), settings.show_commas);
|
||||
}
|
||||
|
||||
public static string format<T>(
|
||||
this RegionalTickFactors regional_tick,
|
||||
T value,
|
||||
T display_multiplier,
|
||||
bool show_commas,
|
||||
string nan_text,
|
||||
bool show_decimal_part = true
|
||||
) where T : IFloatingPointIeee754<T> {
|
||||
var value_d = NumericCastConverter<T, double>.convert(value);
|
||||
return regional_tick.tick_factors(value_d)
|
||||
.format(value, display_multiplier, show_commas, nan_text, show_decimal_part);
|
||||
}
|
||||
|
||||
public static string format<T>(
|
||||
this TickFactors tick,
|
||||
T value,
|
||||
@@ -282,44 +231,33 @@ namespace mbts {
|
||||
_parse(regional_tick, text, display_multiplier, nan_text) :
|
||||
_parse_no_tick(text, display_multiplier, nan_text);
|
||||
|
||||
public static T tick<T>(this TickFactors tick, T value, long count)
|
||||
public static T tick<T>(this TickFactors tick, T value, int count)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
count < 0 ? tick.tickdown(value, (uint)-count) : tick.tickup(value, (ulong)count);
|
||||
count < 0 ? tick.tickdown(value, (uint)-count) : tick.tickup(value, (uint)count);
|
||||
|
||||
public static T tick<T>(this bts.api.domain.TickFactorsImmutable tick, T value, long count)
|
||||
public static T tick<T>(this bts.api.domain.TickFactorsImmutable tick, T value, int count)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
tick.to_tick_factors().tick(value, count);
|
||||
|
||||
public static T tick<T>(
|
||||
this bts.api.domain.TickDisplaySettingsImmutable settings, T value, long count)
|
||||
this bts.api.domain.TickDisplaySettingsImmutable settings, T value, int count)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
settings.HasTickFactors ?
|
||||
settings.TickFactors.tick(value, count) :
|
||||
throw new ArgumentException(
|
||||
"Can't tick because 'settings.HasTickFactors' is false", nameof(settings));
|
||||
|
||||
public static double tick(
|
||||
this RegionalTickFactors regional_tick, double input, long count) =>
|
||||
tick<double>(regional_tick, input, count);
|
||||
|
||||
public static T tick<T>(
|
||||
this RegionalTickFactors regional_tick, T input, long count)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
count > 0 ?
|
||||
tickup(regional_tick, input, (ulong)count) :
|
||||
tickdown(regional_tick, input, (ulong)-count);
|
||||
|
||||
public static T tickup<T>(this TickFactors tick, T input, ulong count = 1)
|
||||
public static T tickup<T>(this TickFactors tick, T input, uint count = 1)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
tickup(tick, input, count, TickUtils.precision_const<T>());
|
||||
|
||||
public static T tickup<T>(this TickFactors tick, T input, ulong count, T precision)
|
||||
public static T tickup<T>(this TickFactors tick, T input, uint count, T precision)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
tickup<T, NumericCastOutConverter<T>>(tick, input, count, precision);
|
||||
|
||||
public static T tickup<T, TFromUInt64>(this TickFactors tick, T input, ulong count, T precision)
|
||||
public static T tickup<T, TFromUInt32>(this TickFactors tick, T input, uint count, T precision)
|
||||
where T : IFloatingPointIeee754<T>
|
||||
where TFromUInt64 : IConverter<ulong, T> {
|
||||
where TFromUInt32 : IConverter<uint, T> {
|
||||
if (!precision.is_real_positive()) {
|
||||
throw new ArgumentException("Must be a real positive number.", nameof(precision));
|
||||
}
|
||||
@@ -332,33 +270,21 @@ namespace mbts {
|
||||
if (ieeer < -precision) {
|
||||
count--;
|
||||
}
|
||||
var result = input + tuf * TFromUInt64.convert(count);
|
||||
var result = input + tuf * TFromUInt32.convert(count);
|
||||
return _round_tick(tuf, result);
|
||||
}
|
||||
|
||||
public static double tickup(
|
||||
this RegionalTickFactors regional_tick, double input, long count = 1) =>
|
||||
count switch {
|
||||
> 0 => tickup<double>(regional_tick, input, (ulong)count),
|
||||
< 0 => tickdown<double>(regional_tick, input, (ulong)-count),
|
||||
0 => input,
|
||||
};
|
||||
|
||||
public static double tickup(
|
||||
this RegionalTickFactors regional_tick, double input, ulong count) =>
|
||||
tickup<double>(regional_tick, input, count);
|
||||
|
||||
public static T tickup<T>(
|
||||
this RegionalTickFactors regional_tick, T input) where T : IFloatingPointIeee754<T> =>
|
||||
regional_tick.tickup(input, 1);
|
||||
|
||||
public static T tickup<T>(
|
||||
this RegionalTickFactors regional_tick, T input, ulong count)
|
||||
this RegionalTickFactors regional_tick, T input, uint count)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
regional_tick.tickup(input, count, TickUtils.precision_const<T>());
|
||||
|
||||
public static T tickup<T>(
|
||||
this RegionalTickFactors regional_tick, T input, ulong count, T precision)
|
||||
this RegionalTickFactors regional_tick, T input, uint count, T precision)
|
||||
where T : IFloatingPointIeee754<T> {
|
||||
if (!precision.is_real_positive()) {
|
||||
throw new ArgumentException("Must be a real positive number.", nameof(precision));
|
||||
@@ -375,33 +301,33 @@ namespace mbts {
|
||||
var ieeer = T.Ieee754Remainder(input, tuf);
|
||||
input -= ieeer;
|
||||
if (ieeer < -precision) count--;
|
||||
val = input + tuf * count.as_type<ulong, T>();
|
||||
val = input + tuf * count.as_type<uint, T>();
|
||||
if (val > ltie) {
|
||||
count -= MathUtils.round_up((ltie - input) / tuf, precision).as_type<T, ulong>();
|
||||
count -= MathUtils.round_up((ltie - input) / tuf, precision).as_type<T, uint>();
|
||||
tuf = regional_tick.high_tick.tick_unit_frac<T>();
|
||||
val = ltie + tuf * count.as_type<ulong, T>();
|
||||
val = ltie + tuf * count.as_type<uint, T>();
|
||||
}
|
||||
} else {
|
||||
tuf = regional_tick.high_tick.tick_unit_frac<T>();
|
||||
var ieeer = T.Ieee754Remainder(input, tuf);
|
||||
input -= ieeer;
|
||||
if (ieeer < -precision) count--;
|
||||
val = input + tuf * count.as_type<ulong, T>();
|
||||
val = input + tuf * count.as_type<uint, T>();
|
||||
}
|
||||
return _round_tick(tuf, val);
|
||||
}
|
||||
|
||||
public static T tickdown<T>(this TickFactors tick, T input, ulong count = 1)
|
||||
public static T tickdown<T>(this TickFactors tick, T input, uint count = 1)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
tickdown(tick, input, count, TickUtils.precision_const<T>());
|
||||
|
||||
public static T tickdown<T>(this TickFactors tick, T input, ulong count, T precision)
|
||||
public static T tickdown<T>(this TickFactors tick, T input, uint count, T precision)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
tickdown<T, NumericCastOutConverter<T>>(tick, input, count, precision);
|
||||
|
||||
public static T tickdown<T, TFromUInt64>(this TickFactors tick, T input, ulong count, T precision)
|
||||
public static T tickdown<T, TFromUInt32>(this TickFactors tick, T input, uint count, T precision)
|
||||
where T : IFloatingPointIeee754<T>
|
||||
where TFromUInt64 : IConverter<ulong, T> {
|
||||
where TFromUInt32 : IConverter<uint, T> {
|
||||
if (!input.is_real()) {
|
||||
return input;
|
||||
}
|
||||
@@ -411,42 +337,30 @@ namespace mbts {
|
||||
if (ieeer > precision) {
|
||||
count--;
|
||||
}
|
||||
var result = input - tuf * TFromUInt64.convert(count);
|
||||
var result = input - tuf * TFromUInt32.convert(count);
|
||||
return _round_tick(tuf, result);
|
||||
}
|
||||
|
||||
public static double tickdown(
|
||||
this RegionalTickFactors regional_tick, double input, long count = 1) =>
|
||||
count switch {
|
||||
> 0 => tickdown<double>(regional_tick, input, (ulong)count),
|
||||
< 0 => tickup<double>(regional_tick, input, (ulong)count),
|
||||
0 => input,
|
||||
};
|
||||
|
||||
public static double tickdown(
|
||||
this RegionalTickFactors regional_tick, double input, ulong count) =>
|
||||
tickdown<double>(regional_tick, input, count);
|
||||
|
||||
public static T tickdown<T>(this RegionalTickFactors regional_tick, T input)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
regional_tick.tickdown(input, 1);
|
||||
|
||||
public static T tickdown<T>(this RegionalTickFactors regional_tick, T input, ulong count)
|
||||
public static T tickdown<T>(this RegionalTickFactors regional_tick, T input, uint count)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
tickdown(regional_tick, input, count, TickUtils.precision_const<T>());
|
||||
|
||||
public static T tickdown<T>(
|
||||
this RegionalTickFactors regional_tick, T input, ulong count, T precision)
|
||||
this RegionalTickFactors regional_tick, T input, uint count, T precision)
|
||||
where T : IFloatingPointIeee754<T> =>
|
||||
tickdown<T, NumericCastOutConverter<T>, NumericCastOutConverter<T>, NumericCastInConverter<T>>(
|
||||
regional_tick, input, count, precision);
|
||||
|
||||
public static T tickdown<T, TFromUInt32, TFromDouble, TToUInt16>(
|
||||
this RegionalTickFactors regional_tick, T input, ulong count, T precision)
|
||||
this RegionalTickFactors regional_tick, T input, uint count, T precision)
|
||||
where T : IFloatingPointIeee754<T>
|
||||
where TFromDouble : IConverter<double, T>
|
||||
where TFromUInt32 : IConverter<ulong, T>
|
||||
where TToUInt16 : IConverter<T, ulong> {
|
||||
where TFromUInt32 : IConverter<uint, T>
|
||||
where TToUInt16 : IConverter<T, uint> {
|
||||
if (!precision.is_real_positive()) {
|
||||
throw new ArgumentException("Must be a real positive number.", nameof(precision));
|
||||
}
|
||||
@@ -509,6 +423,16 @@ namespace mbts {
|
||||
CashPerPoint = 1
|
||||
};
|
||||
|
||||
public static bool try_get_tickdiff(this RegionalTickFactors regional_tick, double minuend, double subtrahend, out int n_low, out int n_high) {
|
||||
if (DoubleHelper.IsNaNOrInfinity(minuend) || DoubleHelper.IsNaNOrInfinity(subtrahend)) {
|
||||
n_low = default;
|
||||
n_high = default;
|
||||
return false;
|
||||
}
|
||||
(n_low, n_high) = tickdiff_unchecked(regional_tick, minuend, subtrahend);
|
||||
return true;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Computes the difference, in tick units, between <paramref name="minuend"/> and <paramref name="subtrahend"/>
|
||||
/// </summary>
|
||||
@@ -517,14 +441,31 @@ namespace mbts {
|
||||
/// </remarks>
|
||||
/// <param name="minuend">The minuend</param>
|
||||
/// <param name="subtrahend">The subtrahend</param>
|
||||
public static long? tickdiff(this RegionalTickFactors regional_tick, double minuend, double subtrahend) {
|
||||
if (!minuend.is_real() || !subtrahend.is_real()) {
|
||||
return null;
|
||||
internal static (int n_low, int n_high) tickdiff_unchecked(this RegionalTickFactors regional_tick, double minuend, double subtrahend) {
|
||||
Log.assert(minuend.is_real() && subtrahend.is_real());
|
||||
|
||||
double ltie = regional_tick.low_tick_inclusive_end;
|
||||
double raw_diff = minuend - subtrahend;
|
||||
|
||||
if (minuend < ltie) {
|
||||
if (subtrahend < ltie) {
|
||||
return ((int)MathUtils.round_fractional_units(raw_diff, regional_tick.low_tick.tick_unit_frac()), 0);
|
||||
}
|
||||
double low_diff = ltie - minuend;
|
||||
double high_diff = raw_diff - low_diff;
|
||||
int n_low = (int)MathUtils.round_fractional_units(low_diff, regional_tick.low_tick.tick_unit_frac());
|
||||
int n_high = (int)MathUtils.round_fractional_units(high_diff, regional_tick.high_tick.tick_unit_frac());
|
||||
return (n_low, n_high);
|
||||
}
|
||||
var minuend_n = TickUtils.count_ticks(regional_tick, minuend);
|
||||
var subtrahend_n = TickUtils.count_ticks(regional_tick, subtrahend);
|
||||
var n = minuend_n - subtrahend_n;
|
||||
return n;
|
||||
|
||||
if (subtrahend < ltie) {
|
||||
double high_diff = minuend - ltie;
|
||||
double low_diff = raw_diff - high_diff;
|
||||
int n_low = (int)MathUtils.round_fractional_units(low_diff, regional_tick.high_tick.tick_unit_frac());
|
||||
int n_high = (int)MathUtils.round_fractional_units(high_diff, regional_tick.high_tick.tick_unit_frac());
|
||||
return (n_low, n_high);
|
||||
}
|
||||
return (0, (int)MathUtils.round_fractional_units(raw_diff, regional_tick.high_tick.tick_unit_frac()));
|
||||
}
|
||||
|
||||
public static double round(this TickFactors tick, double input) =>
|
||||
@@ -561,10 +502,6 @@ namespace mbts {
|
||||
new(tick_base ?? tick_factors.tick_base, tick_unit ?? tick_factors.tick_unit);
|
||||
|
||||
static char _separator(TickFactors tick) {
|
||||
if (tick.tick_base == 1 && tick.tick_unit > tick.tick_base &&
|
||||
MathUtils.is_int(tick.tick_unit / tick.tick_base)) {
|
||||
return '.';
|
||||
}
|
||||
double tb_log10 = Math.Log10(tick.tick_base);
|
||||
return tb_log10 >= 1 && tb_log10 % 1 == 0 ? '.' : '-';
|
||||
}
|
||||
@@ -671,8 +608,7 @@ namespace mbts {
|
||||
if (negate) {
|
||||
value = -value;
|
||||
}
|
||||
var text = tick.tick_unit == 25 && tick.tick_base == 10 ?
|
||||
deribit_future_impl() : core_impl();
|
||||
var text = core_impl();
|
||||
if (!settings.show_zero_integer) {
|
||||
// Hide the integer if its zero. This could be better optimized,
|
||||
// but speed shouldn't be an issue, so it doesn't seem worth the time/effort.
|
||||
@@ -726,37 +662,6 @@ namespace mbts {
|
||||
return "Overflow";
|
||||
}
|
||||
}
|
||||
|
||||
string deribit_future_impl() {
|
||||
try {
|
||||
// TODO: Replace this hack with a suitable long term solution
|
||||
//
|
||||
// The hack: [non-perp] futures at Deribit tick in units of '2.5' (e.g., 10.0, 12.5,
|
||||
// 15.0, etc.). However, this battle-tested impl is predicated on the tick base being
|
||||
// a multiple of the tick unit. So, to avoid changing key battle-tested logic, let's
|
||||
// do the following:
|
||||
// 1) Round the value to the nearest multiple of '2.5' (the tick size)
|
||||
// 2) Format the rounded value with normal tick factors (unit 5, base 10),
|
||||
// (ticks of the sort this method was designed to expect).
|
||||
var tuf = tick.tick_unit_frac<T>();
|
||||
var total_ticks = value / tuf;
|
||||
long total_ticks_l = NumericCastConverter<T, long>.convert(value / tuf);
|
||||
var rounded_total_ticks = NumericCastConverter<long, T>.convert(total_ticks_l);
|
||||
var rem = value - (rounded_total_ticks * tuf);
|
||||
var unit_rem = rem / tuf;
|
||||
Log.assert(unit_rem <= T.One && unit_rem >= T.Zero);
|
||||
// Check if unit_rem closer to T.One, or T.Zero. Round accordingly
|
||||
if (T.One - unit_rem <= unit_rem - T.Zero) {
|
||||
// round up
|
||||
rounded_total_ticks++;
|
||||
}
|
||||
var rounded_val = tuf * rounded_total_ticks;
|
||||
return _format_tick(new TickFactors(10, 5), rounded_val, settings);
|
||||
} catch (OverflowException ex) {
|
||||
Log.Ui.warn($"Arithmetic overflow exception in format_tick (tick:{tick}, value:{value}):{ex}");
|
||||
return "Overflow";
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
static T _round_tick<T>(T tick_unit_frac, T input) where T : IFloatingPointIeee754<T> =>
|
||||
|
||||
@@ -1,62 +1,34 @@
|
||||
using bts.api;
|
||||
using bts.utils;
|
||||
|
||||
using mbts;
|
||||
using mbts.spark;
|
||||
using mbts.user.settings;
|
||||
|
||||
using Spark.Core.Data;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
namespace bts.data.ticks {
|
||||
class TickFactorsFactory {
|
||||
static readonly RegionalTickFactors _default_rtf = new RegionalTickFactors(new TickFactors(1000, 1), new TickFactors(1000, 1), double.MaxValue);
|
||||
readonly Dictionary<uint, RegionalTickFactors> _sec_ticks = new();
|
||||
readonly Dictionary<SpecKey, RegionalTickFactors> _spec_ticks = new();
|
||||
readonly Dictionary<SpecKey, RegionalTickFactors> _exchange_ticks = new Dictionary<SpecKey, RegionalTickFactors>();
|
||||
|
||||
public RegionalTickFactors default_rtf => _default_rtf;
|
||||
|
||||
public RegionalTickFactors get(ContractSpecification spec) =>
|
||||
_spec_ticks.GetOrAdd(new SpecKey(spec), _create_rtf);
|
||||
_exchange_ticks.GetOrAdd(new SpecKey(spec), _create_rtf);
|
||||
|
||||
public RegionalTickFactors get(ContractSpecificationImmutable spec) =>
|
||||
_spec_ticks.GetOrAdd(new SpecKey(spec), _create_rtf);
|
||||
_exchange_ticks.GetOrAdd(new SpecKey(spec), _create_rtf);
|
||||
|
||||
public RegionalTickFactors get(SecurityImmutable security) =>
|
||||
security.HasContractSpec ? get(security.ContractSpec) : _default_rtf;
|
||||
|
||||
public RegionalTickFactors get(SecurityImmutable? security) =>
|
||||
security.HasValue ?
|
||||
_sec_ticks.GetOrAdd(security.Value.Id, _ => _create_rtf(security.Value)) :
|
||||
_default_rtf;
|
||||
|
||||
static RegionalTickFactors _create_rtf(SecurityImmutable? security) {
|
||||
var meta = SecurityMetadataStore.instance.get(security.Value);
|
||||
return meta?.PriceRules?.Any() ?? false ?
|
||||
_create_rtf(meta.Value.PriceRules.ToList()) :
|
||||
_create_rtf(new SpecKey(security.Value.spec_or_default()));
|
||||
}
|
||||
|
||||
static RegionalTickFactors _create_rtf(
|
||||
IList<api.domain.TickDisplayRuleImmutable> rules) {
|
||||
if (rules.is_null_or_empty()) {
|
||||
throw new ArgumentException("Rules is null or empty", nameof(rules));
|
||||
}
|
||||
if (rules.Count > 2) {
|
||||
throw new ArgumentException("Rules cannot have more than 2 items (backwards compatibility)");
|
||||
}
|
||||
var low_tick = rules[0].TickDisplay.TickFactors;
|
||||
var high_tick_idx = rules.Count > 1 ? 1 : 0;
|
||||
var high_tick = rules[high_tick_idx].TickDisplay.TickFactors;
|
||||
var low_tick_end = rules.Count > 1 ? rules[0].MaxValue : double.MaxValue;
|
||||
return new(low_tick.to_tick_factors(), high_tick.to_tick_factors(), low_tick_end);
|
||||
}
|
||||
security.HasValue ? get(security.Value) : _default_rtf;
|
||||
|
||||
static RegionalTickFactors _create_rtf(SpecKey key) {
|
||||
double tick_base = key.denominator;
|
||||
if (tick_base == 0) {
|
||||
// Tick in pennies if units are < 1 (i.e., fractional)
|
||||
tick_base = key.low_tick > 1 && key.high_tick > 1 ? 1 : 100;
|
||||
// indicates tick is a decimal
|
||||
tick_base = 100;
|
||||
}
|
||||
return _create_rtf(key.low_tick, key.high_tick, key.price_break, tick_base, key.display_digits);
|
||||
}
|
||||
@@ -134,20 +106,8 @@ namespace bts.data.ticks {
|
||||
static TickFactors _inflate_to_base(TickFactors tick_factors, double new_base) =>
|
||||
new TickFactors(new_base, tick_factors.tick_unit * new_base / tick_factors.tick_base);
|
||||
|
||||
static bool _check_tick_size(double tick_size) {
|
||||
if (!tick_size.is_real_positive()) {
|
||||
return false;
|
||||
}
|
||||
if (tick_size <= 0.5 || tick_size.is_int()) {
|
||||
return true;
|
||||
}
|
||||
// Check if tick size represents quarters (i.e., `tick_size=0.25 * 10^c` for some int c).
|
||||
// Note: this check is designed specifically to support (non-perp) futures at Deribit
|
||||
if (Math.Log10(tick_size / 0.25).is_int()) {
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
static bool _check_tick_size(double tick_size) =>
|
||||
tick_size > 0 && (tick_size <= 0.5 || MathUtils.is_int(tick_size));
|
||||
|
||||
struct SpecKey : IEquatable<SpecKey> {
|
||||
public readonly uint denominator, display_digits;
|
||||
|
||||
@@ -1,15 +1,13 @@
|
||||
using bts;
|
||||
using bts.api;
|
||||
using bts.data.ticks;
|
||||
using bts.utils;
|
||||
|
||||
using mbts.co2;
|
||||
using mbts.user.settings;
|
||||
|
||||
using Spark.Core;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Diagnostics.Contracts;
|
||||
using System.Linq;
|
||||
using System.Numerics;
|
||||
|
||||
@@ -38,9 +36,6 @@ namespace mbts.spark {
|
||||
public static IComparer<double> price_comparer(this ContractSpecificationImmutable spec) =>
|
||||
MathUtils.epsilon_comparer.wrap<double, double>(p => spec.round_to_tick(p));
|
||||
|
||||
public static IComparer<double> price_comparer(this RegionalTickFactors rtick) =>
|
||||
MathUtils.epsilon_comparer.wrap<double, double>(p => rtick.round_to_tick(p));
|
||||
|
||||
public static double ticksize(this ContractSpecificationImmutable spec, double price) {
|
||||
if (!spec.LowTick.is_real_positive()) {
|
||||
return spec.HighTick;
|
||||
@@ -53,23 +48,8 @@ namespace mbts.spark {
|
||||
}
|
||||
}
|
||||
|
||||
public static double ticksize(this RegionalTickFactors rtick, double price) {
|
||||
var low_tick = rtick.low_tick.tick_unit_frac();
|
||||
var high_tick = rtick.high_tick.tick_unit_frac();
|
||||
var price_break = rtick.low_tick_inclusive_end;
|
||||
if (!low_tick.is_real_positive()) {
|
||||
return high_tick;
|
||||
} else if (!high_tick.is_real_positive()) {
|
||||
return low_tick;
|
||||
} else if (!price.is_real() || !price_break.is_real()) {
|
||||
return low_tick;
|
||||
} else {
|
||||
return price > price_break ? high_tick : low_tick;
|
||||
}
|
||||
}
|
||||
|
||||
public static string format(this ContractSpecificationImmutable spec, double price, bool in_tick_terms) =>
|
||||
in_tick_terms ?
|
||||
in_tick_terms ?
|
||||
_get(spec).format_without_decimal_part(price / spec.ticksize(price)) :
|
||||
_get(spec).format(price);
|
||||
|
||||
@@ -107,13 +87,18 @@ namespace mbts.spark {
|
||||
return rv;
|
||||
}
|
||||
|
||||
public static long? tickdiff(this ContractSpecificationImmutable spec, double x, double y) =>
|
||||
get_regional_ticks(spec).tickdiff(x, y);
|
||||
public static int? tickdiff(this ContractSpecificationImmutable spec, double x, double y) {
|
||||
if (get_regional_ticks(spec).try_get_tickdiff(x, y, out int n_low, out int n_high))
|
||||
return n_low + n_high;
|
||||
return null;
|
||||
}
|
||||
|
||||
public static long? tickdiff(this SecurityImmutable sec, double x, double y) =>
|
||||
get_regional_ticks(sec).tickdiff(x, y);
|
||||
public static int tickdiff_unchecked(this ContractSpecificationImmutable spec, double x, double y) {
|
||||
(int n_low, int n_high) = get_regional_ticks(spec).tickdiff_unchecked(x, y);
|
||||
return n_low + n_high;
|
||||
}
|
||||
|
||||
public static double mid_tick(RegionalTickFactors spec, double bid, double ask) {
|
||||
public static double mid_tick(ContractSpecificationImmutable spec, double bid, double ask) {
|
||||
double raw_mid;
|
||||
if (double.IsNaN(bid)) {
|
||||
if (double.IsNaN(ask)) return double.NaN;
|
||||
@@ -129,8 +114,8 @@ namespace mbts.spark {
|
||||
raw_mid - (raw_mid % tick_size);
|
||||
}
|
||||
|
||||
public static TickFactors deduce_ticks(IEnumerable<SecurityImmutable> securities) {
|
||||
var ticks = new HashSet<TickFactors>(securities.Select(_get).SelectMany(rtf => new[] { rtf.low_tick, rtf.high_tick }));
|
||||
public static TickFactors deduce_ticks(IEnumerable<ContractSpecification> contract_specs) {
|
||||
var ticks = new HashSet<TickFactors>(contract_specs.Select(_get).SelectMany(rtf => new[] { rtf.low_tick, rtf.high_tick }));
|
||||
switch (ticks.Count) {
|
||||
case 0: return _exchange_ticks.default_rtf.low_tick;
|
||||
case 1: return ticks.First();
|
||||
@@ -141,27 +126,30 @@ namespace mbts.spark {
|
||||
}
|
||||
}
|
||||
|
||||
public static TickFactors tick_factors(this SecurityImmutable sec) =>
|
||||
_get(sec).low_tick;
|
||||
public static RegionalTickFactors get_tick_factors(ContractSpecificationImmutable spec) =>
|
||||
_get(spec);
|
||||
|
||||
public static TickFactors tick_factors(this ContractSpecificationImmutable spec) =>
|
||||
_get(spec).low_tick;
|
||||
|
||||
public static double tickup(this ContractSpecificationImmutable spec, double value) =>
|
||||
_get(spec).tickup(value);
|
||||
|
||||
public static double tickup(this ContractSpecificationImmutable spec, double value, long count) {
|
||||
public static double tickup(this ContractSpecificationImmutable spec, double value, int count) {
|
||||
uint bl = 3;
|
||||
var res = value * bl;
|
||||
if (count == 0) return value;
|
||||
if (count < 0) return _get(spec).tickdown(value, (ulong)-count);
|
||||
else return _get(spec).tickup(value, (ulong)count);
|
||||
if (count < 0) return _get(spec).tickdown(value, (uint)(-count));
|
||||
else return _get(spec).tickup(value, (uint)count);
|
||||
}
|
||||
|
||||
public static double tickdown(this ContractSpecificationImmutable spec, double value) =>
|
||||
_get(spec).tickdown(value);
|
||||
|
||||
public static double tickdown(this ContractSpecificationImmutable spec, double value, long count) {
|
||||
public static double tickdown(this ContractSpecificationImmutable spec, double value, int count) {
|
||||
if (count == 0) return value;
|
||||
if (count < 0) return _get(spec).tickup(value, (ulong)-count);
|
||||
else return _get(spec).tickdown(value, (ulong)count);
|
||||
if (count < 0) return _get(spec).tickup(value, (uint)(-count));
|
||||
else return _get(spec).tickdown(value, (uint)count);
|
||||
}
|
||||
|
||||
public static bool tick_equals<T>(
|
||||
@@ -180,7 +168,7 @@ namespace mbts.spark {
|
||||
x => (int)MathUtils.round_fractional_units(x, contract.LowTick));
|
||||
|
||||
public static IEqualityComparer<T> tick_equality_comparer<T>(
|
||||
this ContractSpecificationImmutable contract) where T : IFloatingPoint<T> =>
|
||||
this ContractSpecificationImmutable contract) where T : IFloatingPoint<T> =>
|
||||
EqualityComparer.Create<T>(
|
||||
(a, b) => tick_equals(contract, a, b),
|
||||
x => (int)MathUtils.round_fractional_units(
|
||||
@@ -189,126 +177,88 @@ namespace mbts.spark {
|
||||
public static int compare_tick_fallback_to_double(this ContractSpecificationImmutable contract, double x, double y) =>
|
||||
tick_equals(contract, x, y) ? 0 : x.CompareTo(y);
|
||||
|
||||
public static double round_to_tick(this ContractSpecificationImmutable spec, double value) =>
|
||||
round_to_tick(spec.ticksize(value), value);
|
||||
|
||||
public static decimal round_to_tick(this ContractSpecificationImmutable spec, decimal value) =>
|
||||
round_to_tick((decimal)spec.ticksize((double)value), value);
|
||||
|
||||
public static double round_to_tick(this RegionalTickFactors rtick, double value) =>
|
||||
round_to_tick(rtick.ticksize(value), value);
|
||||
|
||||
public static decimal round_to_tick(this RegionalTickFactors rtick, decimal value) =>
|
||||
round_to_tick((decimal)rtick.ticksize((double)value), value);
|
||||
|
||||
public static double round_to_tick(double tick_size, double value) {
|
||||
public static double round_to_tick(this ContractSpecificationImmutable spec, double value) {
|
||||
double intpart = (long)value;
|
||||
double floatpart = value % 1;
|
||||
floatpart = ((int)Math.Round(floatpart / tick_size)) * tick_size;
|
||||
double tick = spec.ticksize(value);
|
||||
floatpart = ((int)Math.Round(floatpart / tick)) * tick;
|
||||
return intpart + floatpart;
|
||||
}
|
||||
|
||||
public static decimal round_to_tick(decimal tick_size, decimal value) {
|
||||
if (tick_size == (decimal)2.5) {
|
||||
// This is a special case for [non-perp] futures at Deribit, which tick in 25/10
|
||||
// (unit/base). While this code looks harmless enough, and should work for all ticks in
|
||||
// theory, let's be extra safe and only apply the change to a specific case (when
|
||||
// tick_size == 2.5).
|
||||
// Note: Making the ticks code work for such a wide range of tick factors was no easy
|
||||
// task, and involved overcoming a plethora of obscure rounding errors along the way.
|
||||
var n_ticks = value / tick_size;
|
||||
var simple_round = tick_size * n_ticks;
|
||||
return simple_round;
|
||||
}
|
||||
public static decimal round_to_tick(this ContractSpecificationImmutable spec, decimal value) {
|
||||
decimal intpart = (long)value;
|
||||
decimal floatpart = value % 1;
|
||||
floatpart = ((int)(floatpart / tick_size)) * tick_size;
|
||||
decimal tick = (decimal)spec.ticksize((double)value);
|
||||
floatpart = ((int)(floatpart / tick)) * tick;
|
||||
return intpart + floatpart;
|
||||
}
|
||||
|
||||
public static long? count_ticks(this RegionalTickFactors rtick, double value) {
|
||||
if (!rtick.is_valid()) {
|
||||
public static int? full_ticks_from_zero(this ContractSpecificationImmutable spec, double value) =>
|
||||
full_ticks_from(spec, 0, value);
|
||||
|
||||
public static int? full_ticks_from(this ContractSpecificationImmutable spec, double origin, double value) {
|
||||
if (!value.is_real() || !origin.is_real())
|
||||
return null;
|
||||
if (value < origin) {
|
||||
if (spec.LowTick.is_real_positive()) {
|
||||
if (spec.HighTick.is_real_positive() && spec.PriceBreak < origin && spec.PriceBreak > value) {
|
||||
var ticks_to_break = MathUtils.round_up((spec.PriceBreak - origin) / spec.HighTick, _precision_const);
|
||||
var low_ticks_remainder = MathUtils.round_up((value - spec.PriceBreak) / spec.LowTick, _precision_const);
|
||||
return (int)(ticks_to_break + low_ticks_remainder);
|
||||
} else {
|
||||
return (int)MathUtils.round_up((value - origin) / spec.LowTick, _precision_const);
|
||||
}
|
||||
} else if (spec.HighTick.is_real_positive()) {
|
||||
return (int)MathUtils.round_up((value - origin) / spec.HighTick, _precision_const);
|
||||
}
|
||||
} else {
|
||||
if (spec.HighTick.is_real_positive()) {
|
||||
if (spec.LowTick.is_real_positive() && spec.PriceBreak > origin && spec.PriceBreak < value) {
|
||||
var ticks_to_break = MathUtils.round_down((spec.PriceBreak - origin) / spec.LowTick, _precision_const);
|
||||
var high_ticks_remainder = MathUtils.round_down((value - spec.PriceBreak) / spec.HighTick, _precision_const);
|
||||
return (int)(ticks_to_break + high_ticks_remainder);
|
||||
} else {
|
||||
return (int)MathUtils.round_down(value / spec.HighTick, _precision_const);
|
||||
}
|
||||
} else if (spec.LowTick.is_real_positive()) {
|
||||
return (int)MathUtils.round_down(value / spec.LowTick, _precision_const);
|
||||
}
|
||||
}
|
||||
var n = _count_ticks(
|
||||
rtick.low_tick.tick_unit_frac(),
|
||||
rtick.low_tick_inclusive_end,
|
||||
rtick.high_tick.tick_unit_frac(),
|
||||
0,
|
||||
value);
|
||||
var orig_n = n;
|
||||
// Enforce proper rounding
|
||||
var rounded_val = rtick.round_to_tick(value);
|
||||
var half_tick = rtick.get_tick_for(value).tick_unit_frac() / 2;
|
||||
if (n < 0 && (value - rounded_val) > half_tick) {
|
||||
++n;
|
||||
} else if (n > 0 && (rounded_val - value) > half_tick) {
|
||||
--n;
|
||||
}
|
||||
Log.assert(n == orig_n);
|
||||
return n;
|
||||
return null;
|
||||
}
|
||||
|
||||
public static RegionalTickFactors get_regional_ticks(ContractSpecificationImmutable? spec) =>
|
||||
spec.HasValue ? _get(spec.Value) : _exchange_ticks.default_rtf;
|
||||
|
||||
public static RegionalTickFactors regional_ticks(this SecurityImmutable security) =>
|
||||
_exchange_ticks.get(security);
|
||||
public static RegionalTickFactors get_regional_ticks(SecurityImmutable security) =>
|
||||
get_regional_ticks(security.spec_or_default());
|
||||
|
||||
public static RegionalTickFactors get_regional_ticks(SecurityImmutable? security) =>
|
||||
_exchange_ticks.get(security);
|
||||
|
||||
public static TickFactors get_tick(SecurityImmutable? security, double value) {
|
||||
var rtick = get_regional_ticks(security);
|
||||
var tick = rtick.low_tick_inclusive_end > value ? rtick.high_tick : rtick.low_tick;
|
||||
return tick;
|
||||
public static ContractSpecificationImmutable multiply_tick_size(ContractSpecificationImmutable spec, uint factor) {
|
||||
factor = fit_ticks_per_row_to_dollars(spec, factor);
|
||||
return spec.with(low_tick: spec.LowTick * factor, high_tick: spec.HighTick * factor);
|
||||
}
|
||||
|
||||
public static RegionalTickFactors multiply_tick_size(RegionalTickFactors spec, uint factor) {
|
||||
factor = _fit_ticks_per_row_to_dollars(spec, factor) ?? 1;
|
||||
return new(
|
||||
new(spec.low_tick.tick_base, spec.low_tick.tick_unit * factor),
|
||||
new(spec.high_tick.tick_base, spec.high_tick.tick_unit * factor),
|
||||
spec.low_tick_inclusive_end);
|
||||
public static double normalize_price(ContractSpecificationImmutable spec, double price) {
|
||||
var ticks = spec.full_ticks_from_zero(price);
|
||||
return ticks.HasValue ? spec.tickup(0, ticks.Value) : price;
|
||||
}
|
||||
|
||||
public static double normalize_price(RegionalTickFactors rtick, double price) {
|
||||
if (!price.is_real()) {
|
||||
return price;
|
||||
}
|
||||
var ticks = rtick.count_ticks(price);
|
||||
if (!ticks.HasValue) {
|
||||
return price;
|
||||
}
|
||||
var normalized = rtick.tick(0, ticks.Value);
|
||||
var tick = price > rtick.low_tick_inclusive_end ? rtick.high_tick : rtick.low_tick;
|
||||
// Diff should always be < 1/2 tick
|
||||
Log.assert((normalized - price).abs() < tick.tick_unit_frac() * 0.5);
|
||||
return normalized;
|
||||
public static double normalize_price(ContractSpecificationImmutable? spec, double price) {
|
||||
return spec.HasValue ? normalize_price(spec.Value, price) : price;
|
||||
}
|
||||
|
||||
public static uint fit_ticks_per_row_to_dollars(SecurityImmutable sec, uint ticks_per_row) =>
|
||||
_fit_ticks_per_row_to_dollars(sec, ticks_per_row) ?? 1;
|
||||
public static uint fit_ticks_per_row_to_dollars(ContractSpecificationImmutable spec, uint ticks_per_row) =>
|
||||
_fit_ticks_per_row_to_dollars(spec, ticks_per_row) ?? 1;
|
||||
|
||||
public static uint fit_ticks_per_row_to_dollars(RegionalTickFactors rtick, uint ticks_per_row) =>
|
||||
_fit_ticks_per_row_to_dollars(rtick, ticks_per_row) ?? 1;
|
||||
|
||||
static uint? _fit_ticks_per_row_to_dollars(SecurityImmutable sec, uint ticks_per_row) =>
|
||||
_fit_ticks_per_row_to_dollars(sec.regional_ticks(), ticks_per_row);
|
||||
|
||||
static uint? _fit_ticks_per_row_to_dollars(RegionalTickFactors tf, uint ticks_per_row) {
|
||||
static uint? _fit_ticks_per_row_to_dollars(ContractSpecificationImmutable spec, uint ticks_per_row) {
|
||||
if (ticks_per_row == 0)
|
||||
return null;
|
||||
// it is assumed that low tick will be the same as high tick;
|
||||
// however, best to double check - return null if this isn't the case (let the caller decide what to do).
|
||||
var tf = get_tick_factors(spec);
|
||||
if (!tf.low_tick.Equals(tf.high_tick) || !tf.is_valid() || tf.low_tick.is_integer())
|
||||
return null;
|
||||
var ticks_per_dollar = (uint)(tf.low_tick.tick_base / tf.low_tick.tick_unit);
|
||||
// Note: this check was introduced specifically to account for [non-perp] Futures at
|
||||
// Deribit, which use TickFactors 25/10 (e.g., 10.0, 12.5, 15.0, etc.).
|
||||
if (ticks_per_dollar == 0) {
|
||||
return null;
|
||||
}
|
||||
// if ticks_per_row is greater than ticks_per_dollar, round to a multiple of ticks_per_dollar
|
||||
if (ticks_per_row > ticks_per_dollar) {
|
||||
return (uint)(ticks_per_dollar * Math.Floor((double)(ticks_per_row / ticks_per_dollar)));
|
||||
@@ -333,61 +283,7 @@ namespace mbts.spark {
|
||||
return null;
|
||||
}
|
||||
|
||||
static long? _count_ticks(
|
||||
double low_tick, double price_break, double high_tick, double from, double to) {
|
||||
if (!from.is_real() || !to.is_real()) {
|
||||
return null;
|
||||
}
|
||||
var has_low = low_tick.is_real_positive();
|
||||
var has_high = high_tick.is_real_positive();
|
||||
if (!has_low) {
|
||||
if (!has_high) {
|
||||
return null;
|
||||
}
|
||||
low_tick = high_tick;
|
||||
} else if (!has_high) {
|
||||
high_tick = low_tick;
|
||||
}
|
||||
if (price_break.is_nan()) {
|
||||
// Take price_break out of play
|
||||
price_break = double.PositiveInfinity;
|
||||
}
|
||||
// Allow core impl to assume: 'from <= to'
|
||||
(from, to) = (from, to).ordered(out var negate);
|
||||
var n_ticks = _count_asc_ticks(low_tick, high_tick, from, to, price_break);
|
||||
return negate ? -n_ticks : n_ticks;
|
||||
}
|
||||
|
||||
static long _count_asc_ticks(
|
||||
double low_tick, double high_tick, double from, double to, double price_break) {
|
||||
Contract.Requires(from <= to);
|
||||
Contract.Requires(low_tick.is_real_positive() && high_tick.is_real_positive());
|
||||
Log.assert(from <= to);
|
||||
checked {
|
||||
if (to <= price_break) {
|
||||
// All ticks are below price_break
|
||||
return count_single_tick_sz(low_tick, from, to);
|
||||
}
|
||||
if (from >= price_break) {
|
||||
// All ticks are above price_break
|
||||
return count_single_tick_sz(high_tick, from, to);
|
||||
}
|
||||
// Ticks cross the price break. Compute low and high ticks separately
|
||||
var low_ticks = count_single_tick_sz(low_tick, from, price_break);
|
||||
var high_ticks = count_single_tick_sz(high_tick, price_break, to);
|
||||
var total_ticks = low_ticks + high_ticks;
|
||||
return total_ticks;
|
||||
|
||||
static long count_single_tick_sz(
|
||||
double tick_sz, double from, double to) {
|
||||
var from_n = (long)MathUtils.round_fractional_units(from, tick_sz);
|
||||
var to_n = (long)MathUtils.round_fractional_units(to, tick_sz);
|
||||
return to_n - from_n;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
static RegionalTickFactors _get(SecurityImmutable sec) => _exchange_ticks.get(sec);
|
||||
static RegionalTickFactors _get(ContractSpecification spec) => _exchange_ticks.get(spec);
|
||||
static RegionalTickFactors _get(ContractSpecificationImmutable spec) => _exchange_ticks.get(spec);
|
||||
|
||||
public static class CompareUtils {
|
||||
|
||||
@@ -1,4 +1,4 @@
|
||||
namespace Spark.Core.Reactive {
|
||||
namespace bts.reactive {
|
||||
using System;
|
||||
|
||||
public static class ObserverExtensions {
|
||||
|
||||
@@ -1,4 +1,4 @@
|
||||
namespace Spark.Core.Reactive {
|
||||
namespace bts.reactive {
|
||||
using System;
|
||||
using System.Reactive;
|
||||
|
||||
@@ -23,7 +23,7 @@ namespace Spark.Core.Reactive {
|
||||
throw new ArgumentNullException(nameof(selector));
|
||||
}
|
||||
|
||||
return new SelectorObserver<TOuter, TInner>(observer, selector);
|
||||
return new AnonymousObserver<TOuter>(outer_val => observer.OnNext(selector(outer_val)), observer.OnError, observer.OnCompleted);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,29 +0,0 @@
|
||||
#nullable enable
|
||||
|
||||
namespace Spark.Core.Reactive {
|
||||
using System;
|
||||
|
||||
public static class SelectorObserver {
|
||||
public static SelectorObserverBuilder<T> builder<T>(IObserver<T> observer) =>
|
||||
new(observer);
|
||||
}
|
||||
|
||||
public class SelectorObserver<T, TResult> : IObserver<T> {
|
||||
readonly IObserver<TResult> _observer;
|
||||
readonly Func<T, TResult> _selector;
|
||||
|
||||
public SelectorObserver(IObserver<TResult> observer, Func<T, TResult> selector) {
|
||||
_observer = observer;
|
||||
_selector = selector;
|
||||
}
|
||||
|
||||
public void OnCompleted() =>
|
||||
_observer.OnCompleted();
|
||||
|
||||
public void OnError(Exception error) =>
|
||||
_observer.OnError(error);
|
||||
|
||||
public void OnNext(T value) =>
|
||||
_observer.OnNext(_selector(value));
|
||||
}
|
||||
}
|
||||
@@ -1,15 +0,0 @@
|
||||
#nullable enable
|
||||
|
||||
namespace Spark.Core.Reactive {
|
||||
using System;
|
||||
|
||||
public class SelectorObserverBuilder<TResult> {
|
||||
readonly IObserver<TResult> _observer;
|
||||
|
||||
public SelectorObserverBuilder(IObserver<TResult> observer) =>
|
||||
_observer = observer;
|
||||
|
||||
public SelectorObserver<T, TResult> wrap<T>(Func<T, TResult> selector) =>
|
||||
new(_observer, selector);
|
||||
}
|
||||
}
|
||||
@@ -1,7 +1,5 @@
|
||||
namespace bts.utils {
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Numerics;
|
||||
|
||||
public static class TupleExtensions {
|
||||
public static (T1, T2, T3, T4) with<T1, T2, T3, T4>(this (T1, T2) tuple, T3 value3, T4 value4) =>
|
||||
@@ -38,20 +36,5 @@
|
||||
|
||||
public static bool none(this (bool, bool, bool, bool) tuple) =>
|
||||
!tuple.any();
|
||||
|
||||
public static T sum<T>(this (T, T) vals) where T : IAdditionOperators<T, T, T> =>
|
||||
vals.Item1 + vals.Item2;
|
||||
|
||||
public static (T, T) ordered<T>(this (T, T) vals, IComparer<T> comparer = null) where T : IComparable<T> {
|
||||
comparer ??= Comparer<T>.Default;
|
||||
return comparer.Compare(vals.Item1, vals.Item2) < 0 ?
|
||||
(vals.Item2, vals.Item1) : vals;
|
||||
}
|
||||
|
||||
public static (T, T) ordered<T>(this (T, T) vals, out bool negated, IComparer<T> comparer = null) where T : IComparable<T> {
|
||||
comparer ??= Comparer<T>.Default;
|
||||
return (negated = comparer.Compare(vals.Item1, vals.Item2) > 0) ?
|
||||
(vals.Item2, vals.Item1) : vals;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -3,17 +3,12 @@ using bts.resources;
|
||||
using bts.test;
|
||||
using bts.utils;
|
||||
using bts.utils.proto;
|
||||
|
||||
using mbts;
|
||||
using mbts.spark;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
namespace bts.tests.security {
|
||||
using RegionalTickFactors = mbts.user.settings.RegionalTickFactors;
|
||||
|
||||
static class TickTestHelper {
|
||||
public static IEnumerable<double> generate_test_prices(double tick_size, int radius = 200, double origin_price = 0) {
|
||||
Assert.That(radius > 0);
|
||||
@@ -34,98 +29,54 @@ namespace bts.tests.security {
|
||||
});
|
||||
}
|
||||
|
||||
public static IEnumerable<double> generate_test_prices(IEnumerable<double> price_base_set, IEnumerable<double> adjustments) {
|
||||
price_base_set = price_base_set.Where(p => p < long.MaxValue && p > long.MinValue);
|
||||
return price_base_set.Concat(
|
||||
adjustments.SelectMany(
|
||||
a => price_base_set
|
||||
.Where(p => a > 0 ?
|
||||
(long.MaxValue - p > a) :
|
||||
(long.MinValue + a) < a)
|
||||
.Select(p => p + a)));
|
||||
}
|
||||
public static IEnumerable<double> generate_test_prices(IEnumerable<double> price_base_set, IEnumerable<double> adjustments) =>
|
||||
price_base_set.Concat(
|
||||
adjustments.SelectMany(a => price_base_set.Select(p => p + a)));
|
||||
|
||||
public static IEnumerable<ContractSpecificationImmutable> read_contract_specs(string file_path) =>
|
||||
StreamHelper.ReadProtos<ContractSpecification>(ResourceHelper.LoadResource(file_path)).Select(s => new ContractSpecificationImmutable(s));
|
||||
|
||||
public static long? full_ticks_from_zero(ContractSpecificationImmutable tick, double value) =>
|
||||
count_ticks(tick.LowTick, tick.HighTick, tick.PriceBreak, value);
|
||||
|
||||
public static long? count_ticks(RegionalTickFactors tick, double value) =>
|
||||
count_ticks(
|
||||
tick.low_tick.tick_unit / tick.low_tick.tick_base,
|
||||
tick.high_tick.tick_unit / tick.high_tick.tick_base,
|
||||
tick.low_tick_inclusive_end,
|
||||
value);
|
||||
|
||||
public static long? count_ticks(double low_tick_sz, double high_tick_sz, double price_break, double value) {
|
||||
public static int? full_ticks_from_zero(ContractSpecificationImmutable tick, double value) {
|
||||
if (!value.is_real())
|
||||
return null;
|
||||
if (MathUtils.marginal_equals(value, 0, TickUtils.precision_const<double>()))
|
||||
return 0;
|
||||
bool low_tick_valid = low_tick_sz.is_real_positive();
|
||||
bool high_tick_valid = high_tick_sz.is_real_positive();
|
||||
if (!low_tick_valid || !high_tick_valid) {
|
||||
bool low_tick_valid = tick.LowTick.is_real_positive();
|
||||
bool high_tick_valid = tick.HighTick.is_real_positive();
|
||||
if (low_tick_valid) {
|
||||
if (high_tick_valid) {
|
||||
return count_ticks(value, high_tick_sz);
|
||||
if (value < 0) {
|
||||
if (tick.PriceBreak > value) {
|
||||
if (tick.PriceBreak >= 0) {
|
||||
return (int)MathUtils.round_up(value / tick.LowTick, TickUtils.precision_const<double>());
|
||||
} else {
|
||||
var high_ticks = (int)MathUtils.round_up(tick.PriceBreak / tick.HighTick, TickUtils.precision_const<double>());
|
||||
var low_ticks = (int)MathUtils.round_up((value - tick.PriceBreak) / tick.LowTick, TickUtils.precision_const<double>());
|
||||
return high_ticks + low_ticks;
|
||||
}
|
||||
} else {
|
||||
return (int)MathUtils.round_up(value / (tick.PriceBreak.is_real() ? tick.HighTick : tick.LowTick), TickUtils.precision_const<double>());
|
||||
}
|
||||
} else {
|
||||
if (tick.PriceBreak < value) {
|
||||
if (tick.PriceBreak <= 0) {
|
||||
return (int)MathUtils.round_down(value / tick.HighTick, TickUtils.precision_const<double>());
|
||||
} else {
|
||||
var low_ticks = (int)MathUtils.round_down(tick.PriceBreak / tick.LowTick, TickUtils.precision_const<double>());
|
||||
var high_ticks = (int)MathUtils.round_down((value - tick.PriceBreak) / tick.HighTick, TickUtils.precision_const<double>());
|
||||
return low_ticks + high_ticks;
|
||||
}
|
||||
} else {
|
||||
return (int)MathUtils.round_down(value / (tick.PriceBreak.is_real() ? tick.LowTick : tick.HighTick), TickUtils.precision_const<double>());
|
||||
}
|
||||
}
|
||||
} else {
|
||||
return (int)MathUtils.round_down_abs(value / tick.LowTick, TickUtils.precision_const<double>());
|
||||
}
|
||||
return low_tick_valid ? count_ticks(value, low_tick_sz) : null;
|
||||
}
|
||||
|
||||
// Both low and high ticks are valid
|
||||
if (!price_break.is_real()) {
|
||||
// Default to low_tick_sz if price_break isn't a factor
|
||||
return count_ticks(value, low_tick_sz);
|
||||
}
|
||||
if (value < 0) {
|
||||
if (price_break <= value) {
|
||||
// price_break <= value < 0
|
||||
return count_ticks(value, high_tick_sz);
|
||||
}
|
||||
if (price_break >= 0) {
|
||||
// value < 0 <= price_break
|
||||
return count_ticks(value, low_tick_sz);
|
||||
}
|
||||
// value < price_break < 0
|
||||
return count_ticks(price_break, high_tick_sz)
|
||||
+ count_ticks(value - price_break, low_tick_sz);
|
||||
}
|
||||
|
||||
if (price_break < value) {
|
||||
if (price_break <= 0) {
|
||||
// price_break <= 0 < value
|
||||
return count_ticks(value, high_tick_sz);
|
||||
}
|
||||
// 0 < price_break < value
|
||||
return count_ticks(price_break, low_tick_sz)
|
||||
+ count_ticks(value - price_break, high_tick_sz);
|
||||
}
|
||||
// 0 < value <= price_break
|
||||
return count_ticks(value, low_tick_sz);
|
||||
}
|
||||
|
||||
public static long count_ticks(double value, double tick_sz) {
|
||||
Log.assert(tick_sz.is_real_positive());
|
||||
Log.assert(value.is_real());
|
||||
return value < 0 ?
|
||||
-count_positive_ticks(-value, tick_sz) :
|
||||
count_positive_ticks(value, tick_sz);
|
||||
|
||||
static long count_positive_ticks(double value, double tick_sz) {
|
||||
Log.assert(tick_sz.is_real_positive());
|
||||
Log.assert(value.is_real_positive());
|
||||
if (value == 0) {
|
||||
return 0;
|
||||
}
|
||||
var n = (long)Math.Floor(value / tick_sz);
|
||||
Log.assert(n >= 0);
|
||||
var rounded_val = n * tick_sz;
|
||||
var diff = value - rounded_val;
|
||||
Log.assert(diff >= 0);
|
||||
if (diff >= tick_sz / 2) {
|
||||
n++;
|
||||
}
|
||||
return n;
|
||||
} else if (high_tick_valid) {
|
||||
return (int)MathUtils.round_down_abs(value / tick.HighTick, TickUtils.precision_const<double>());
|
||||
} else {
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
@@ -160,21 +111,6 @@ namespace bts.tests.security {
|
||||
return partial_tick;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Determines if the first tick in the specified direction should be a partial tick (to correct a rounding discrepency).
|
||||
/// If this is so, it asserts that ticking up/down once in that direction corrects the rounding discrepency as expected.
|
||||
/// </summary>
|
||||
public static int check_partial_tick(
|
||||
RegionalTickFactors tick, double value, double rounded_value, bool ticking_up) {
|
||||
var partial_tick = count_partial_tick(value, rounded_value, ticking_up);
|
||||
if (partial_tick != 0)
|
||||
Assert.That(MathUtils.marginal_equals(
|
||||
tick.tickup(value, ticking_up ? partial_tick : -partial_tick),
|
||||
rounded_value,
|
||||
TickUtils.precision_const<double>()));
|
||||
return partial_tick;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Determines if the first tick in the specified direction should be a partial tick (to correct a rounding discrepency).
|
||||
/// </summary>
|
||||
|
||||
@@ -1,11 +1,9 @@
|
||||
using bts.api;
|
||||
using bts.test;
|
||||
using bts.utils;
|
||||
|
||||
using mbts;
|
||||
using mbts.spark;
|
||||
using mbts.user.settings;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
@@ -32,7 +30,7 @@ namespace bts.tests.security {
|
||||
// Hide leading zeros (with positive tick)
|
||||
res = tf.format(1.25, settings.with(pad_with_leading_zeros: false));
|
||||
Assert.IsTrue(res == "1.25");
|
||||
|
||||
|
||||
// Test with a non-decimal tick type: quarters of quarters of eigths
|
||||
tf = new TickFactors(3200, 25);
|
||||
// Show leading zeros
|
||||
@@ -49,7 +47,7 @@ namespace bts.tests.security {
|
||||
res = tf.format(1D + 100.0 / 3200.0, settings.with(pad_with_leading_zeros: false));
|
||||
Assert.IsTrue(res == "1-100");
|
||||
}
|
||||
|
||||
|
||||
[Test]
|
||||
public void test_show_zero_integer() {
|
||||
var settings = TickDisplaySettings.Default;
|
||||
@@ -81,44 +79,44 @@ namespace bts.tests.security {
|
||||
// The 'show_zero_integer' setting should bear no effect.
|
||||
res = tf.format(-1.25, settings.with(show_zero_integer: false));
|
||||
Assert.IsTrue(res == "-1.25");
|
||||
|
||||
|
||||
// Test with a non-decimal tick type: quarters of quarters of eigths
|
||||
tf = new TickFactors(3200, 25);
|
||||
// Hide zero integer (with positive tick)
|
||||
res = tf.format(25.0 / 3200.0, settings.with(show_zero_integer: false));
|
||||
res = tf.format(25.0/3200.0, settings.with(show_zero_integer: false));
|
||||
Assert.IsTrue(res == "0025");
|
||||
// Hide zero integer (with positive integer, non-zero tick).
|
||||
// The 'show_zero_integer' setting should bear no effect.
|
||||
res = tf.format(1 + 25.0 / 3200.0, settings.with(show_zero_integer: false));
|
||||
res = tf.format(1 + 25.0/3200.0, settings.with(show_zero_integer: false));
|
||||
Assert.IsTrue(res == "1-0025");
|
||||
|
||||
|
||||
// Hide zero integer (with negative tick)
|
||||
res = tf.format(-25.0 / 3200.0, settings.with(show_zero_integer: false));
|
||||
res = tf.format(-25.0/3200.0, settings.with(show_zero_integer: false));
|
||||
Assert.IsTrue(res == "-0025");
|
||||
// Hide zero integer (with negative tick, non-zero integer).
|
||||
// The 'show_zero_integer' setting should bear no effect.
|
||||
res = tf.format(-1 - 25.0 / 3200.0, settings.with(show_zero_integer: false));
|
||||
res = tf.format(-1 - 25.0/3200.0, settings.with(show_zero_integer: false));
|
||||
Assert.IsTrue(res == "-1-0025");
|
||||
|
||||
// Hide zero integer (with negative tick), and hide leading zeros
|
||||
res = tf.format(-25.0 / 3200.0, settings.with(show_zero_integer: false, pad_with_leading_zeros: false));
|
||||
res = tf.format(-25.0/3200.0, settings.with(show_zero_integer: false, pad_with_leading_zeros: false));
|
||||
Assert.IsTrue(res == "-25");
|
||||
// Hide zero integer (with negative integer, non-zero tick), and hide leading zeros.
|
||||
// The 'show_zero_integer' setting should bear no effect.
|
||||
res = tf.format(-1 - 25.0 / 3200.0, settings.with(show_zero_integer: false, pad_with_leading_zeros: false));
|
||||
res = tf.format(-1 - 25.0/3200.0, settings.with(show_zero_integer: false, pad_with_leading_zeros: false));
|
||||
Assert.IsTrue(res == "-1-25");
|
||||
|
||||
// Hide zero integer (with negative tick)
|
||||
res = tf.format(-25.0 / 3200.0, settings.with(show_zero_integer: false));
|
||||
res = tf.format(-25.0/3200.0, settings.with(show_zero_integer: false));
|
||||
// This isn't pretty, but it's logical: a negative number,
|
||||
// greater than -1, in tick form.
|
||||
Assert.IsTrue(res == "-0025");
|
||||
// Hide zero integer (with negative tick), and hide leading zeros
|
||||
res = tf.format(-25.0 / 3200.0, settings.with(show_zero_integer: false, pad_with_leading_zeros: false));
|
||||
res = tf.format(-25.0/3200.0, settings.with(show_zero_integer: false, pad_with_leading_zeros: false));
|
||||
// Should be the same as above, except without the leading zeros in the tick part.
|
||||
Assert.IsTrue(res == "-25");
|
||||
}
|
||||
|
||||
|
||||
[Test]
|
||||
public void test_tick_increment() {
|
||||
var from_sec_files = SecurityFiles.all().SelectMany(SecurityTestHelper.read_securities).Select(s => s.ContractSpec);
|
||||
@@ -148,29 +146,26 @@ namespace bts.tests.security {
|
||||
}
|
||||
|
||||
void _test_tick_increment(ContractSpecificationImmutable tick, IEnumerable<double> prices) {
|
||||
_test_tick_increment(TickUtils.get_regional_ticks(tick), prices);
|
||||
}
|
||||
|
||||
void _test_tick_increment(RegionalTickFactors tick, IEnumerable<double> prices) {
|
||||
var low_tick_sz = tick.low_tick.tick_unit_frac();
|
||||
var high_tick_sz = tick.high_tick.tick_unit_frac();
|
||||
Assert.That(!(low_tick_sz < 0));
|
||||
Assert.That(!(high_tick_sz < 0));
|
||||
var price_break = tick.low_tick_inclusive_end;
|
||||
Assert.That(!(tick.LowTick < 0));
|
||||
Assert.That(!(tick.HighTick < 0));
|
||||
foreach (var p in prices) {
|
||||
var expected_ticks_from_zero = TickTestHelper.count_ticks(tick, p);
|
||||
var actual_ticks_from_zero = TickUtils.count_ticks(tick, p);
|
||||
var expected_ticks_from_zero = TickTestHelper.full_ticks_from_zero(tick, p);
|
||||
var actual_ticks_from_zero = TickUtils.full_ticks_from_zero(tick, p);
|
||||
if (expected_ticks_from_zero != actual_ticks_from_zero) {
|
||||
expected_ticks_from_zero = TickTestHelper.full_ticks_from_zero(tick, p);
|
||||
actual_ticks_from_zero = TickUtils.full_ticks_from_zero(tick, p);
|
||||
}
|
||||
Assert.That(expected_ticks_from_zero == actual_ticks_from_zero,
|
||||
$"Expected ticks from zero to be '{expected_ticks_from_zero}', actually '{actual_ticks_from_zero}' " +
|
||||
$"(low/high/pricebreak: {tick.low_tick}/{tick.high_tick}/{price_break}, price: {p}).");
|
||||
$"(low/high/pricebreak: {tick.LowTick}/{tick.HighTick}/{tick.PriceBreak}, price: {p}).");
|
||||
if (expected_ticks_from_zero.HasValue) {
|
||||
Assert.That(p.is_real());
|
||||
_test_tick_increment(tick, p - 1, p);
|
||||
if (price_break.is_real() && price_break != double.MaxValue && price_break != double.MinValue) {
|
||||
if (tick.PriceBreak.is_real() && tick.PriceBreak != double.MaxValue && tick.PriceBreak != double.MinValue) {
|
||||
// test both sides of the break with a few adjustments
|
||||
foreach (var adjustment in new[] { 1, low_tick_sz, high_tick_sz }) {
|
||||
_test_tick_increment(tick, p, price_break + adjustment);
|
||||
_test_tick_increment(tick, p, price_break - adjustment);
|
||||
foreach (var adjustment in new[] { 1, tick.LowTick, tick.HighTick }) {
|
||||
_test_tick_increment(tick, p, tick.PriceBreak + adjustment);
|
||||
_test_tick_increment(tick, p, tick.PriceBreak - adjustment);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -195,50 +190,6 @@ namespace bts.tests.security {
|
||||
}
|
||||
}
|
||||
|
||||
void _test_tick_increment(RegionalTickFactors tick, double from, double to) {
|
||||
if (!from.is_real() || !to.is_real())
|
||||
return;
|
||||
var (min, max) = MathUtils.get_outliers(from, to);
|
||||
var price_break = tick.low_tick_inclusive_end;
|
||||
var low_tick_sz = tick.low_tick.tick_unit / tick.low_tick.tick_base;
|
||||
var high_tick_sz = tick.high_tick.tick_unit / tick.high_tick.tick_base;
|
||||
if (price_break.is_real()) {
|
||||
if (min >= price_break) {
|
||||
_test_tick_increment(tick, high_tick_sz, min, max);
|
||||
} else if (max <= price_break) {
|
||||
_test_tick_increment(tick, low_tick_sz, min, max);
|
||||
} else {
|
||||
_test_tick_increment_across_break(tick, min, max);
|
||||
}
|
||||
} else {
|
||||
_test_tick_increment(tick, low_tick_sz, min, max);
|
||||
}
|
||||
}
|
||||
|
||||
void _test_tick_increment_across_break(RegionalTickFactors tick, double min, double max) {
|
||||
var price_break = tick.low_tick_inclusive_end;
|
||||
var low_tick_sz = tick.low_tick.tick_unit / tick.low_tick.tick_base;
|
||||
var high_tick_sz = tick.high_tick.tick_unit / tick.high_tick.tick_base;
|
||||
Assert.That(min < price_break);
|
||||
Assert.That(max > price_break);
|
||||
// 2 tick counts are used to determine the number of ticks between min and max,
|
||||
// 1) number of ticks from min to the price break
|
||||
// 2) number of ticks from the price break to max
|
||||
// if either min/max is beyond epsilon away from a real tick,
|
||||
// a partial tick is used to correct the rounding error.
|
||||
Assert.That(TickTestHelper.round_ticks(low_tick_sz, price_break - min, out var rounded_min, out var min_ticks_to_break));
|
||||
Assert.That(TickTestHelper.round_ticks(high_tick_sz, max - price_break, out var rounded_max, out var max_ticks_to_break));
|
||||
rounded_min = price_break - rounded_min;
|
||||
rounded_max = price_break + rounded_max;
|
||||
int min_partial_tick = TickTestHelper.check_partial_tick(tick, min, rounded_min, true);
|
||||
int max_partial_tick = TickTestHelper.check_partial_tick(tick, max, rounded_max, false);
|
||||
// assert that ticking up/down between min/max behaves expectedly.
|
||||
var batch_tick_up_result = tick.tickup(min, min_ticks_to_break + max_ticks_to_break + min_partial_tick);
|
||||
Assert.That(MathUtils.marginal_equals(batch_tick_up_result, rounded_max, TickUtils.precision_const<double>()));
|
||||
var batch_tick_down_result = tick.tickdown(max, min_ticks_to_break + max_ticks_to_break + max_partial_tick);
|
||||
Assert.That(MathUtils.marginal_equals(batch_tick_down_result, rounded_min, TickUtils.precision_const<double>()));
|
||||
}
|
||||
|
||||
void _test_tick_increment_across_break(ContractSpecificationImmutable spec, double min, double max) {
|
||||
Assert.That(min < spec.PriceBreak);
|
||||
Assert.That(max > spec.PriceBreak);
|
||||
@@ -271,19 +222,5 @@ namespace bts.tests.security {
|
||||
Assert.That(MathUtils.marginal_equals(rounded_max, spec.tickup(min, full_ticks + min_partial_tick), TickUtils.precision_const<double>()));
|
||||
Assert.That(MathUtils.marginal_equals(rounded_min, spec.tickup(max, -(full_ticks + max_partial_tick)), TickUtils.precision_const<double>()));
|
||||
}
|
||||
|
||||
void _test_tick_increment(RegionalTickFactors tick, double tick_size, double min, double max) {
|
||||
// min round/partial tick
|
||||
Assert.That(TickTestHelper.round_ticks(tick_size, min, out var rounded_min, out var rounded_min_ticks));
|
||||
var min_partial_tick = TickTestHelper.check_partial_tick(tick, min, rounded_min, true);
|
||||
// max round/partial tick
|
||||
Assert.That(TickTestHelper.round_ticks(tick_size, max, out var rounded_max, out var rounded_max_ticks));
|
||||
var max_partial_tick = TickTestHelper.check_partial_tick(tick, max, rounded_max, false);
|
||||
var full_ticks = rounded_max_ticks - rounded_min_ticks;
|
||||
Assert.That(MathUtils.marginal_equals(rounded_max, tick.tickup(min, full_ticks + min_partial_tick), TickUtils.precision_const<double>()));
|
||||
if (!MathUtils.marginal_equals(rounded_min, tick.tickup(max, -(full_ticks + max_partial_tick)), TickUtils.precision_const<double>())) {
|
||||
Assert.That(MathUtils.marginal_equals(rounded_min, tick.tickup(max, -(full_ticks + max_partial_tick)), TickUtils.precision_const<double>()));
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1 +1 @@
|
||||
set(sources api/analytics/ExpirationDriver.proto;api/analytics/TimeWeightedInterpolatedDriver.proto;api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/domain/Currency.proto;api/domain/SecurityCriteria.proto;api/domain/SecurityCriteriaClause.proto;api/domain/SecurityExpiration.proto;api/domain/SecurityMetadata.proto;api/domain/SecurityMetadataCollection.proto;api/domain/SecurityMetadataItem.proto;api/domain/SecurityType.proto;api/domain/TickDisplayRule.proto;api/domain/TickDisplaySettings.proto;api/domain/TickFactors.proto;api/domain/Venue.proto;api/io/URL.proto;api/md/MarketDataSubscriptionParams.proto;api/md/binance/BinanceDepthStreamParams.proto;api/md/binance/BinanceMarketDataSubscriptionParams.proto;api/md/deribit/DeribitMarketDataSubscriptionParams.proto;api/md/ftx/FTXDepthStreamParams.proto;api/md/ftx/FTXMarketDataSubscriptionParams.proto;api/md/glbx/GlbxMarketDataSubscriptionParams.proto;api/md/huobi/HuobiMarketDataSubscriptionParams.proto;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/AnalyticsService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MarketDataService.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/SecurityMetadataCollection.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/algo_types.proto;config/protos/cme_reference_data.proto;config/protos/exchange_sim_cfg.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/market_data.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/ports.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spartan.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/symbols.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/protos/ui.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;io/QueryParams.cpp;io/URL.cpp;io/http/CurlHandle.cpp;io/http/HTTPClient.cpp;io/http/HTTPHeaders.cpp;io/http/HTTPRequest.cpp;io/http/HTTPResponse.cpp;io/websocket/WebsocketClient.cpp;io/websocket/WebsocketClientConfiguration.cpp;io/websocket/WebsocketError.cpp;io/websocket/WebsocketMessage.cpp;io/websocket/WebsocketSSLClientInternal.cpp;io/websocket/tests/WebsocketClientTests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/CCApiDepthWalker.cpp;md/CCApiListenerAdaptor.cpp;md/CCApiRequestor.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MarketDataLine truncated
|
||||
set(sources api/analytics/ExpirationDriver.proto;api/analytics/TimeWeightedInterpolatedDriver.proto;api/apicore.proto;api/apigateway.proto;api/apioptions.proto;api/core/ApiClientInterop.cpp;api/core/ApiServerInterop.cpp;api/domain/Currency.proto;api/domain/SecurityCriteria.proto;api/domain/SecurityCriteriaClause.proto;api/domain/SecurityExpiration.proto;api/domain/SecurityMetadata.proto;api/domain/SecurityMetadataCollection.proto;api/domain/SecurityMetadataItem.proto;api/domain/SecurityType.proto;api/domain/TickDisplaySettings.proto;api/domain/TickFactors.proto;api/domain/Venue.proto;api/io/URL.proto;api/md/MarketDataSubscriptionParams.proto;api/md/binance/BinanceDepthStreamParams.proto;api/md/binance/BinanceMarketDataSubscriptionParams.proto;api/md/deribit/DeribitMarketDataSubscriptionParams.proto;api/md/ftx/FTXDepthStreamParams.proto;api/md/ftx/FTXMarketDataSubscriptionParams.proto;api/md/glbx/GlbxMarketDataSubscriptionParams.proto;api/md/huobi/HuobiMarketDataSubscriptionParams.proto;api/public/ApiServer.cpp;api/public/ClientChannel.cpp;api/public/QuickbusClientChannel.cpp;api/public/ServerChannel.cpp;api/public/ServiceContext.cpp;api/service_helpers/AdminServiceUtils.cpp;api/service_helpers/AlgoServiceUtils.cpp;api/service_helpers/PositionUtilities.cpp;api/services/AdminService.proto;api/services/AlgoDefinitionService.proto;api/services/AlgoService.proto;api/services/AnalyticsService.proto;api/services/ApiUnitTestService.proto;api/services/AuthService.proto;api/services/BasePositionService.proto;api/services/ErrorReportService.proto;api/services/HelloService.proto;api/services/MBOService.proto;api/services/MarginService.proto;api/services/MarketDataAuxiliaryService.proto;api/services/MarketDataRelay.proto;api/services/MarketDataService.proto;api/services/MoneyFileService.proto;api/services/OrderService.proto;api/services/OutOfProcessURLListener.proto;api/services/PersistenceService.proto;api/services/PositionService.proto;api/services/ShellDiagnosticService.proto;api/services/ShellLatencyService.proto;api/services/SyntheticSecurityService.proto;api/test/ApiTests.cpp;api/test/HelloServiceServer.cpp;config/ConfigCheck.cpp;config/ConfigDownloader.cpp;config/ConfigErrorCollector.cpp;config/ConfigLog.cpp;config/ConfigPropertyEvaluator.cpp;config/ConfigValueQueue.cpp;config/ConfigurationException.cpp;config/ConfigurationState.cpp;config/PreprocessInputStream.cpp;config/config.cpp;config/defaults/MarketData.conf;config/defaults/Ports.conf;config/defaults/SecurityMetadataCollection.conf;config/defaults/Symbols.conf;config/defaults/cme_reference_data.conf;config/defaults/edge.conf;config/defaults/jetfix.conf;config/defaults/keycode.conf;config/defaults/logging.conf;config/defaults/orderman_cfg.conf;config/defaults/orders_fills_cleanup.conf;config/defaults/position_cfg.conf;config/defaults/span.conf;config/defaults/spreader.conf;config/defaults/testkeys.conf;config/defaults/threads.conf;config/defaults/toggles.conf;config/extensions/extensions.proto;config/invalid/invalid.proto;config/protos/algo_types.proto;config/protos/cme_reference_data.proto;config/protos/exchange_sim_cfg.proto;config/protos/jetfix.proto;config/protos/keycode.proto;config/protos/logging.proto;config/protos/market_data.proto;config/protos/mercury_cfg.proto;config/protos/orderman_cfg.proto;config/protos/orders_fills_cleanup.proto;config/protos/perflog_cfg.proto;config/protos/ports.proto;config/protos/position_cfg.proto;config/protos/quickbus_cfg.proto;config/protos/span.proto;config/protos/spartan.proto;config/protos/spreader.proto;config/protos/subprocess.proto;config/protos/symbols.proto;config/protos/system.proto;config/protos/testkeys.proto;config/protos/threads.proto;config/protos/toggles.proto;config/protos/ui.proto;config/tests/HTTPServer.cpp;config/tests/config_ref_tests.cpp;config/tests/config_tests.cpp;config/text_format/text_format.cpp;domain_model/Security.cpp;domain_model/Security.proto;domain_model/SecurityTests.cpp;domain_model/sod.cpp;domain_model/tests/domain_tests.cpp;expression/BooleanGrammar.cpp;expression/ExpressionEvaluator.cpp;expression/ParserExceptions.cpp;expression/Value.cpp;expression/tests/expression_parser_tests.cpp;io/QueryParams.cpp;io/URL.cpp;io/http/CurlHandle.cpp;io/http/HTTPClient.cpp;io/http/HTTPHeaders.cpp;io/http/HTTPRequest.cpp;io/http/HTTPResponse.cpp;io/websocket/WebsocketClient.cpp;io/websocket/WebsocketClientConfiguration.cpp;io/websocket/WebsocketError.cpp;io/websocket/WebsocketMessage.cpp;io/websocket/WebsocketSSLClientInternal.cpp;io/websocket/tests/WebsocketClientTests.cpp;logging/LoggerHub.cpp;logging/Sink.cpp;logging/logging.cpp;logging/tests/logging_tests.cpp;md/CCApiDepthWalker.cpp;md/CCApiListenerAdaptor.cpp;md/CCApiRequestor.cpp;md/Diag/MDPeriodicDumper.cpp;md/Diag/ShmDumper.cpp;md/MBOProcessor.cpp;md/MBOServiceServer.cpp;md/MDClient.cpp;md/MDConsumer.cpp;md/MDConsumerHandle.cpp;md/MDConsumerInterop.cpp;md/MDProducer.cpp;md/MDProducerHandle.cpp;md/MarketDataError.cpp;md/MarketDataGateway.cpLine truncated
|
||||
@@ -1,13 +1,12 @@
|
||||
syntax = "proto3";
|
||||
package bts.api.domain;
|
||||
|
||||
import "lib/api/domain/TickDisplayRule.proto";
|
||||
import "lib/api/domain/TickDisplaySettings.proto";
|
||||
|
||||
option csharp_namespace = "bts.api.domain";
|
||||
option cc_enable_arenas=true;
|
||||
|
||||
message SecurityMetadata {
|
||||
bts.api.domain.TickDisplaySettings price_display = 1;
|
||||
bts.api.domain.TickDisplaySettings quantity_display = 2;
|
||||
repeated bts.api.domain.TickDisplayRule price_rules = 3;
|
||||
}
|
||||
@@ -1,11 +0,0 @@
|
||||
syntax = "proto3";
|
||||
package bts.api.domain;
|
||||
|
||||
import "lib/api/domain/TickDisplaySettings.proto";
|
||||
|
||||
option csharp_namespace = "bts.api.domain";
|
||||
|
||||
message TickDisplayRule {
|
||||
TickDisplaySettings tick_display = 1;
|
||||
double max_value = 2;
|
||||
}
|
||||
@@ -4,7 +4,6 @@
|
||||
#include <set>
|
||||
#include <unordered_set>
|
||||
#include <vector>
|
||||
#include <map>
|
||||
|
||||
namespace bts {
|
||||
namespace api {
|
||||
@@ -56,14 +55,8 @@ class StatefulPublisher {
|
||||
}
|
||||
}
|
||||
void erase(TKey m) {
|
||||
// there is an assumption that we are not dealing with that within a
|
||||
// transaction, add_or_update and erase is called just once a key
|
||||
if (_has_key(m)) {
|
||||
_erased.insert(m);
|
||||
if (_keep_state)
|
||||
_state_data.erase(m);
|
||||
else
|
||||
_state.erase(m);
|
||||
}
|
||||
}
|
||||
void flush() {
|
||||
|
||||
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