113 lines
4.2 KiB
C++
113 lines
4.2 KiB
C++
/*
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* Legal Notice
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*
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* This document and associated source code (the "Work") is a part of a
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* benchmark specification maintained by the TPC.
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*
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* The TPC reserves all right, title, and interest to the Work as provided
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* under U.S. and international laws, including without limitation all patent
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* and trademark rights therein.
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*
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* No Warranty
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*
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* 1.1 TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, THE INFORMATION
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* CONTAINED HEREIN IS PROVIDED "AS IS" AND WITH ALL FAULTS, AND THE
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* AUTHORS AND DEVELOPERS OF THE WORK HEREBY DISCLAIM ALL OTHER
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* WARRANTIES AND CONDITIONS, EITHER EXPRESS, IMPLIED OR STATUTORY,
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* INCLUDING, BUT NOT LIMITED TO, ANY (IF ANY) IMPLIED WARRANTIES,
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* DUTIES OR CONDITIONS OF MERCHANTABILITY, OF FITNESS FOR A PARTICULAR
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* PURPOSE, OF ACCURACY OR COMPLETENESS OF RESPONSES, OF RESULTS, OF
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* WORKMANLIKE EFFORT, OF LACK OF VIRUSES, AND OF LACK OF NEGLIGENCE.
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* ALSO, THERE IS NO WARRANTY OR CONDITION OF TITLE, QUIET ENJOYMENT,
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* QUIET POSSESSION, CORRESPONDENCE TO DESCRIPTION OR NON-INFRINGEMENT
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* WITH REGARD TO THE WORK.
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* 1.2 IN NO EVENT WILL ANY AUTHOR OR DEVELOPER OF THE WORK BE LIABLE TO
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* ANY OTHER PARTY FOR ANY DAMAGES, INCLUDING BUT NOT LIMITED TO THE
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* COST OF PROCURING SUBSTITUTE GOODS OR SERVICES, LOST PROFITS, LOSS
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* OF USE, LOSS OF DATA, OR ANY INCIDENTAL, CONSEQUENTIAL, DIRECT,
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* INDIRECT, OR SPECIAL DAMAGES WHETHER UNDER CONTRACT, TORT, WARRANTY,
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* OR OTHERWISE, ARISING IN ANY WAY OUT OF THIS OR ANY OTHER AGREEMENT
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* RELATING TO THE WORK, WHETHER OR NOT SUCH AUTHOR OR DEVELOPER HAD
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* ADVANCE NOTICE OF THE POSSIBILITY OF SUCH DAMAGES.
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*
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* Contributors
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* - Doug Johnson
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*/
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/******************************************************************************
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* Description: Class that implements the ticker tape functionality of
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* the market. This class handles the batching up of
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* individual ticker entries into a batch suitable for the
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* Market-Feed transaction. For each "real" trade result
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* that gets added to the ticker, a number of artificial
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* entries are padded into the batch.
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******************************************************************************/
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#ifndef MEE_TICKER_TAPE_H
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#define MEE_TICKER_TAPE_H
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#include "utilities/EGenUtilities_stdafx.h"
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#include "TxnHarnessStructs.h"
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#include "TimerWheel.h"
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#include "MEESUTInterface.h"
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#include "MEEPriceBoard.h"
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#include "input/DataFileTypes.h"
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namespace TPCE {
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class CMEETickerTape {
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private:
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CMEESUTInterface *m_pSUT;
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CMEEPriceBoard *m_pPriceBoard;
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TMarketFeedTxnInput m_TxnInput;
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INT32 m_BatchIndex;
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INT32 m_BatchDuplicates;
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CRandom m_rnd;
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bool m_Enabled;
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const StatusTypeDataFile_t &m_StatusType;
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const TradeTypeDataFile_t &m_TradeType;
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static const int LIMIT_TRIGGER_TRADE_QTY;
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static const int RANDOM_TRADE_QTY_1;
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static const int RANDOM_TRADE_QTY_2;
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CTimerWheel<TTickerEntry, CMEETickerTape, 900, 1000> m_LimitOrderTimers; // Size wheel for 900 seconds with 1,000
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// millisecond resolution.
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queue<PTickerEntry> m_InTheMoneyLimitOrderQ;
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CDateTime *m_pBaseTime;
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CDateTime *m_pCurrentTime;
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void AddToBatch(PTickerEntry pTickerEntry);
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void AddArtificialEntries(void);
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void AddLimitTrigger(PTickerEntry pTickerEntry);
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// Performs initialization common to all constructors.
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void Initialize(void);
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public:
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// Constructor - use default RNG seed
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CMEETickerTape(CMEESUTInterface *pSUT, CMEEPriceBoard *pPriceBoard, CDateTime *pBaseTime, CDateTime *pCurrentTime,
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const DataFileManager &inputFiles);
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// Constructor - RNG seed provided
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CMEETickerTape(CMEESUTInterface *pSUT, CMEEPriceBoard *pPriceBoard, CDateTime *pBaseTime, CDateTime *pCurrentTime,
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RNGSEED RNGSeed, const DataFileManager &inputFiles);
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~CMEETickerTape(void);
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void AddEntry(PTickerEntry pTickerEntry);
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void PostLimitOrder(PTradeRequest pTradeRequest);
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bool DisableTicker(void);
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bool EnableTicker(void);
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eTradeTypeID ConvertTradeTypeIdToEnum(char *pTradeType);
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RNGSEED GetRNGSeed(void);
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void SetRNGSeed(RNGSEED RNGSeed);
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};
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} // namespace TPCE
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#endif // MEE_TICKER_TAPE_H
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