should be it

external/duckdb/third_party/tpce-tool/main/MEETickerTape.cpp

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+/*
+ * Legal Notice
+ *
+ * This document and associated source code (the "Work") is a part of a
+ * benchmark specification maintained by the TPC.
+ *
+ * The TPC reserves all right, title, and interest to the Work as provided
+ * under U.S. and international laws, including without limitation all patent
+ * and trademark rights therein.
+ *
+ * No Warranty
+ *
+ * 1.1 TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, THE INFORMATION
+ *     CONTAINED HEREIN IS PROVIDED "AS IS" AND WITH ALL FAULTS, AND THE
+ *     AUTHORS AND DEVELOPERS OF THE WORK HEREBY DISCLAIM ALL OTHER
+ *     WARRANTIES AND CONDITIONS, EITHER EXPRESS, IMPLIED OR STATUTORY,
+ *     INCLUDING, BUT NOT LIMITED TO, ANY (IF ANY) IMPLIED WARRANTIES,
+ *     DUTIES OR CONDITIONS OF MERCHANTABILITY, OF FITNESS FOR A PARTICULAR
+ *     PURPOSE, OF ACCURACY OR COMPLETENESS OF RESPONSES, OF RESULTS, OF
+ *     WORKMANLIKE EFFORT, OF LACK OF VIRUSES, AND OF LACK OF NEGLIGENCE.
+ *     ALSO, THERE IS NO WARRANTY OR CONDITION OF TITLE, QUIET ENJOYMENT,
+ *     QUIET POSSESSION, CORRESPONDENCE TO DESCRIPTION OR NON-INFRINGEMENT
+ *     WITH REGARD TO THE WORK.
+ * 1.2 IN NO EVENT WILL ANY AUTHOR OR DEVELOPER OF THE WORK BE LIABLE TO
+ *     ANY OTHER PARTY FOR ANY DAMAGES, INCLUDING BUT NOT LIMITED TO THE
+ *     COST OF PROCURING SUBSTITUTE GOODS OR SERVICES, LOST PROFITS, LOSS
+ *     OF USE, LOSS OF DATA, OR ANY INCIDENTAL, CONSEQUENTIAL, DIRECT,
+ *     INDIRECT, OR SPECIAL DAMAGES WHETHER UNDER CONTRACT, TORT, WARRANTY,
+ *     OR OTHERWISE, ARISING IN ANY WAY OUT OF THIS OR ANY OTHER AGREEMENT
+ *     RELATING TO THE WORK, WHETHER OR NOT SUCH AUTHOR OR DEVELOPER HAD
+ *     ADVANCE NOTICE OF THE POSSIBILITY OF SUCH DAMAGES.
+ *
+ * Contributors
+ * - Doug Johnson
+ */
+
+/******************************************************************************
+ *   Description:        Implementation of the MEETickerTape class.
+ *                       See MEETickerTape.h for a description.
+ ******************************************************************************/
+
+#include "main/MEETickerTape.h"
+#include "main/StatusTypeIDs.h"
+
+using namespace TPCE;
+
+const int CMEETickerTape::LIMIT_TRIGGER_TRADE_QTY = 375;
+const int CMEETickerTape::RANDOM_TRADE_QTY_1 = 325;
+const int CMEETickerTape::RANDOM_TRADE_QTY_2 = 425;
+
+RNGSEED CMEETickerTape::GetRNGSeed(void) {
+	return (m_rnd.GetSeed());
+}
+
+void CMEETickerTape::SetRNGSeed(RNGSEED RNGSeed) {
+	m_rnd.SetSeed(RNGSeed);
+}
+
+void CMEETickerTape::Initialize(void) {
+	// Set up status and trade types for Market-Feed input
+	//
+	// Submitted
+	strncpy(m_TxnInput.StatusAndTradeType.status_submitted, m_StatusType[eSubmitted].ST_ID_CSTR(),
+	        sizeof(m_TxnInput.StatusAndTradeType.status_submitted));
+	// Limit-Buy
+	strncpy(m_TxnInput.StatusAndTradeType.type_limit_buy, m_TradeType[eLimitBuy].TT_ID_CSTR(),
+	        sizeof(m_TxnInput.StatusAndTradeType.type_limit_buy));
+	// Limit-Sell
+	strncpy(m_TxnInput.StatusAndTradeType.type_limit_sell, m_TradeType[eLimitSell].TT_ID_CSTR(),
+	        sizeof(m_TxnInput.StatusAndTradeType.type_limit_sell));
+	// Stop-Loss
+	strncpy(m_TxnInput.StatusAndTradeType.type_stop_loss, m_TradeType[eStopLoss].TT_ID_CSTR(),
+	        sizeof(m_TxnInput.StatusAndTradeType.type_stop_loss));
+}
+
+// Constructor - use default RNG seed
+CMEETickerTape::CMEETickerTape(CMEESUTInterface *pSUT, CMEEPriceBoard *pPriceBoard, CDateTime *pBaseTime,
+                               CDateTime *pCurrentTime, const DataFileManager &dfm)
+    : m_pSUT(pSUT), m_pPriceBoard(pPriceBoard), m_BatchIndex(0), m_BatchDuplicates(0), m_rnd(RNGSeedBaseMEETickerTape),
+      m_Enabled(true), m_pBaseTime(pBaseTime), m_pCurrentTime(pCurrentTime), m_StatusType(dfm.StatusTypeDataFile()),
+      m_TradeType(dfm.TradeTypeDataFile()) {
+	Initialize();
+}
+
+// Constructor - RNG seed provided
+CMEETickerTape::CMEETickerTape(CMEESUTInterface *pSUT, CMEEPriceBoard *pPriceBoard, CDateTime *pBaseTime,
+                               CDateTime *pCurrentTime, RNGSEED RNGSeed, const DataFileManager &dfm)
+    : m_pSUT(pSUT), m_pPriceBoard(pPriceBoard), m_BatchIndex(0), m_BatchDuplicates(0), m_rnd(RNGSeed), m_Enabled(true),
+      m_pBaseTime(pBaseTime), m_pCurrentTime(pCurrentTime), m_StatusType(dfm.StatusTypeDataFile()),
+      m_TradeType(dfm.TradeTypeDataFile()) {
+	Initialize();
+}
+
+CMEETickerTape::~CMEETickerTape(void) {
+}
+
+bool CMEETickerTape::DisableTicker(void) {
+	m_Enabled = false;
+	return (!m_Enabled);
+}
+
+bool CMEETickerTape::EnableTicker(void) {
+	m_Enabled = true;
+	return (m_Enabled);
+}
+
+void CMEETickerTape::AddEntry(PTickerEntry pTickerEntry) {
+	if (m_Enabled) {
+		AddToBatch(pTickerEntry);
+		AddArtificialEntries();
+	}
+}
+
+void CMEETickerTape::PostLimitOrder(PTradeRequest pTradeRequest) {
+	eTradeTypeID eTradeType;
+	double CurrentPrice = -1.0;
+	PTickerEntry pNewEntry = new TTickerEntry;
+
+	eTradeType = ConvertTradeTypeIdToEnum(pTradeRequest->trade_type_id);
+
+	pNewEntry->price_quote = pTradeRequest->price_quote;
+	strncpy(pNewEntry->symbol, pTradeRequest->symbol, sizeof(pNewEntry->symbol));
+	pNewEntry->trade_qty = LIMIT_TRIGGER_TRADE_QTY;
+
+	CurrentPrice = m_pPriceBoard->GetCurrentPrice(pTradeRequest->symbol).DollarAmount();
+
+	if (((eTradeType == eLimitBuy || eTradeType == eStopLoss) && CurrentPrice <= pTradeRequest->price_quote) ||
+	    ((eTradeType == eLimitSell) && CurrentPrice >= pTradeRequest->price_quote)) {
+		// Limit Order is in-the-money.
+		pNewEntry->price_quote = CurrentPrice;
+		// Make sure everything is up to date.
+		m_LimitOrderTimers.ProcessExpiredTimers();
+		// Now post the incoming entry.
+		m_InTheMoneyLimitOrderQ.push(pNewEntry);
+	} else {
+		// Limit Order is not in-the-money.
+		pNewEntry->price_quote = pTradeRequest->price_quote;
+		double TriggerTimeDelay;
+		double fCurrentTime = *m_pCurrentTime - *m_pBaseTime;
+
+		// GetSubmissionTime returns a value relative to time 0, so we
+		// need to substract off the value for the current time to get
+		// the delay time relative to now.
+		TriggerTimeDelay =
+		    m_pPriceBoard->GetSubmissionTime(pNewEntry->symbol, fCurrentTime, pNewEntry->price_quote, eTradeType) -
+		    fCurrentTime;
+		m_LimitOrderTimers.StartTimer(TriggerTimeDelay, this, &CMEETickerTape::AddLimitTrigger, pNewEntry);
+	}
+}
+
+void CMEETickerTape::AddLimitTrigger(PTickerEntry pTickerEntry) {
+	m_InTheMoneyLimitOrderQ.push(pTickerEntry);
+}
+
+void CMEETickerTape::AddArtificialEntries(void) {
+	TIdent SecurityIndex;
+	TTickerEntry TickerEntry;
+	int TotalEntryCount = 0;
+	static const int PaddingLimit =
+	    (max_feed_len / 10) - 1;                        // NOTE: 10 here represents the ratio of TR to MF transactions
+	static const int PaddingLimitForAll = PaddingLimit; // MAX (trigger+artificial) entries
+	static const int PaddingLimitForTriggers = PaddingLimit; // MAX (triggered) entries
+
+	while (TotalEntryCount < PaddingLimitForTriggers && !m_InTheMoneyLimitOrderQ.empty()) {
+		PTickerEntry pEntry = m_InTheMoneyLimitOrderQ.front();
+		AddToBatch(pEntry);
+		delete pEntry;
+		m_InTheMoneyLimitOrderQ.pop();
+		TotalEntryCount++;
+	}
+
+	while (TotalEntryCount < PaddingLimitForAll) {
+		TickerEntry.trade_qty = (m_rnd.RndPercent(50)) ? RANDOM_TRADE_QTY_1 : RANDOM_TRADE_QTY_2;
+
+		SecurityIndex = m_rnd.RndInt64Range(0, m_pPriceBoard->m_iNumberOfSecurities - 1);
+		TickerEntry.price_quote = (m_pPriceBoard->GetCurrentPrice(SecurityIndex)).DollarAmount();
+		m_pPriceBoard->GetSymbol(SecurityIndex, TickerEntry.symbol, static_cast<INT32>(sizeof(TickerEntry.symbol)));
+
+		AddToBatch(&TickerEntry);
+		TotalEntryCount++;
+	}
+}
+
+void CMEETickerTape::AddToBatch(PTickerEntry pTickerEntry) {
+	// Check to see if this symbol already exists in the batch
+	for (int i = 0; i < m_BatchIndex; i++) {
+		if (strncmp(pTickerEntry->symbol, m_TxnInput.Entries[i].symbol, cSYMBOL_len) == 0) {
+			m_BatchDuplicates++;
+			break;
+		}
+	}
+
+	// Add the ticker to the batch
+	m_TxnInput.Entries[m_BatchIndex++] = *pTickerEntry;
+
+	// Buffer is full, time for Market-Feed.
+	if (max_feed_len == m_BatchIndex) {
+		m_TxnInput.unique_symbols = (max_feed_len - m_BatchDuplicates);
+		m_pSUT->MarketFeed(&m_TxnInput);
+		m_BatchIndex = 0;
+		m_BatchDuplicates = 0;
+	}
+}
+
+eTradeTypeID CMEETickerTape::ConvertTradeTypeIdToEnum(char *pTradeType) {
+	// Convert character trade type to enumeration
+	switch (pTradeType[0]) {
+	case 'T':
+		switch (pTradeType[1]) {
+		case 'L':
+			switch (pTradeType[2]) {
+			case 'B':
+				return (eLimitBuy);
+			case 'S':
+				return (eLimitSell);
+			default:
+				break;
+			}
+			break;
+		case 'M':
+			switch (pTradeType[2]) {
+			case 'B':
+				return (eMarketBuy);
+			case 'S':
+				return (eMarketSell);
+			default:
+				break;
+			}
+			break;
+		case 'S':
+			switch (pTradeType[2]) {
+			case 'L':
+				return (eStopLoss);
+			default:
+				break;
+			}
+			break;
+		default:
+			break;
+		}
+		break;
+	default:
+		break;
+	}
+
+	// Throw exception - should never get here
+	assert(false); // this should never happen
+
+	return eMarketBuy; // silence compiler warning about not all control paths
+	                   // returning a value
+}