email-tracker/external/duckdb/third_party/tpce-tool/include/main/TradeGen.h

/*
 * 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
 * - Sergey Vasilevskiy
 * - Doug Johnson
 */

/*
 *   Class that generates trades and holdings for a given set
 *   of customers. It maintains the proper holding information
 *   for every customer while the trades are being generated.
 *
 *   TRADE, TRADE_HISTORY, CASH_TRANSACTION, SETTLEMENT,
 *   HOLDING, HOLDING_HISTORY rows are generated by this class.
 *
 */

#ifndef TRADE_GEN_H
#define TRADE_GEN_H

#include <queue>
#include "utilities/EGenStandardTypes.h"
#include "utilities/Money.h"
#include "MEESecurity.h"
#include "CustomerAccountsAndPermissionsTable.h"
#include "AddressTable.h"
#include "CustomerTable.h"
#include "CustomerTaxRateTable.h"
#include "CustomerSelection.h"
#include "HoldingsAndTradesTable.h"
#include "Brokers.h"
#include "SecurityTable.h"
#include "Person.h"
#include "input/DataFileManager.h"
#include "StatusTypeIDs.h"

using namespace std;

namespace TPCE {

// Maximum number of HOLDING_HISTORY rows that can be output
// for one completed trade.
// Determined by the maximum number of holdings that a trade
// can modify. The maximum number would be a trade with
// the biggest possible quantity modifying holdings each having
// the smallest possible quantity.
//
const int iMaxHoldingHistoryRowsPerTrade = 800 / 100;

// Incomplete trade information generated
// at Trade Order time.
//
typedef struct TTradeInfo {
	TTrade iTradeId;
	eTradeTypeID eTradeType;     // integer representation of the TRADE row T_TT_ID
	eStatusTypeID eTradeStatus;  // integer representation of the TRADE row T_ST_ID
	double PendingTime;          // seconds from StartTime; only for limit orders
	double SubmissionTime;       // seconds from StartTime
	double CompletionTime;       // seconds from StartTime
	TIdent iSymbolIndex;         // stock symbol index in the input flat file
	UINT iSymbolIndexInAccount;  // stock symbol index in the account basket
	int iTradeQty;               // number of shares in the trade
	CMoney fBidPrice;            // bid price for market orders or limit price for limit ones
	CMoney fTradePrice;          // price that the trade completed at
	TIdent iCustomer;            // customer executing this trade
	eCustomerTier iCustomerTier; // customer tier for the customer executing this trade
	TIdent iCustomerAccount;     // customer account in which the trade executes
	bool bIsLifo;                // needed to update holdings
} * PTradeInfo;

// Information about completed trade that is generated once
// for performance
typedef struct TAdditionalTradeInfo {
	//  Current value of trade's positions that are being closed
	//
	CMoney fBuyValue;
	//  Value of trade's positions when they were opened
	//
	CMoney fSellValue;

	//  Broker id of the account for the current completed trade
	//
	TIdent iCurrentBrokerId;

	eTaxStatus eAccountTaxStatus;

	// These fields are needed for correcteness (pricing consistency).
	// They need to be kept in CMoney and only converted to double
	// before copying them into table row structures.
	//
	CMoney Commission;
	CMoney Charge;
	CMoney Tax;
	CMoney SettlementAmount;
} * PAdditionalTradeInfo;

// Customer holding information
// to be able to generate HOLDING table after all trades
// have been generated.
//
typedef struct THoldingInfo {
	TTrade iTradeId;
	int iTradeQty;
	CMoney fTradePrice;
	CDateTime BuyDTS;
	TIdent iSymbolIndex; // stock symbol index in the input flat file - stored
	                     // for performance
} * PHoldingInfo;

// Trade-related table rows.
// HOLDING row is ommitted because it is contained in
// a separate variable.
//
typedef struct TTradeRow {
	TRADE_ROW m_Trade;                      // for the Trade table
	TRADE_REQUEST_ROW m_TradeRequest;       // for the Trade Requests table
	TRADE_HISTORY_ROW m_TradeHistory[3];    // for the Trade History table
	SETTLEMENT_ROW m_Settlement;            // for the Settlement table
	CASH_TRANSACTION_ROW m_CashTransaction; // for the Cash Transaction table
	HOLDING_HISTORY_ROW m_HoldingHistory[iMaxHoldingHistoryRowsPerTrade];
} * PTradeRow;

// Container to store holdings
//
typedef list<THoldingInfo> THoldingList;
typedef THoldingList TCustomerHoldingArray[iMaxSecuritiesPerAccount];

class CTradeGen {
	//  RNG class for generation of row data
	//
	CRandom m_rnd;

	// Class used to get address information for a customer
	// to properly calculate tax on a trade
	//
	CAddressTable m_AddressTable;

	//  Class used to select a random customer for whom to perform a trade.
	//
	CCustomerSelection m_CustomerSelection;

	//  Class used to get CUSTOMER table information for a specific customer
	//
	CCustomerTable m_CustomerTable;

	// Class used to calculate T_TAX for the TRADE table
	//
	CCustomerTaxRateTable m_CustTaxrateTable;

	// Class used to get customer account information.
	//
	CCustomerAccountsAndPermissionsTable m_CustomerAccountTable;

	// Class used in determining the basket of securities for an account
	//
	CHoldingsAndTradesTable m_HoldingTable;

	// Class used to generate BROKER table (with consistent YTD columns)
	//
	CBrokersTable m_BrokerTable;

	// Class used to get S_NAME for cash transaction descriptions
	//
	CSecurityTable m_SecurityTable;

	// Class to get the first and last names of a customer
	//
	CPerson m_Person;

	//  Input files for character data generation.
	//
	const CCompanyFile &m_CompanyFile;
	const CSecurityFile &m_SecurityFile;
	const ChargeDataFile_t &m_ChargeFile;                 // CHARGE table from the flat file
	const CommissionRateDataFile_t &m_CommissionRateFile; // COMMISSION_RATE table from the flat file
	const StatusTypeDataFile_t &m_StatusTypeFile;         // STATUS_TYPE table from the flat file
	const TradeTypeDataFile_t &m_TradeTypeFile;           // TRADE_TYPE table from the flat file
	const ExchangeDataFile_t &m_ExchangeFile;             // EXCHANGE table from the flat file

	//  The first customer to generate for this class instance
	//
	TIdent m_iStartFromCustomer;
	//  First account of the StartFromCustomer
	//
	TIdent m_iStartFromAccount;
	// Number of customers for this class instance
	//
	TIdent m_iCustomerCount;
	// Total number of customers in the database
	//
	TIdent m_iTotalCustomers;
	//  Number of customers in one load unit
	//
	int m_iLoadUnitSize;
	//  Number of accounts for customers in one load unit
	//
	int m_iLoadUnitAccountCount;
	//  Number of customers for 1 tpsE
	//
	int m_iScaleFactor;
	//  Number of hours of initial trades to generate
	//
	int m_iHoursOfInitialTrades;

	//  Average number of seconds between two consecutive trades
	//
	double m_fMeanTimeBetweenTrades;

	// Mean delay between Pending and Submission times
	// for an immediatelly triggered (in-the-money) limit order.
	//
	double m_fMeanInTheMoneySubmissionDelay;

	// Time at which to start trade timestamps (time 0 or StartTime).
	// Not changed during the class lifetime.
	//
	// This is the submission (or pending) time of the first trade.
	//
	CDateTime m_StartTime;

	// Current Trade Order time in the simulated
	// time sequence (seconds from StartTime).

	// When this time is further than
	// the priority queue's front, incomplete trades
	// are removed from the priority queue and completed.
	//
	// If this time is before the priority queue front
	// time, new incomplete trades are placed on the queue
	// and this time is incremented.
	//
	double m_CurrentSimulatedTime;

	// Priority queue that contains incomplete trades
	// ordered by their completion time. The queue's
	// front contains trade with the earliest completion
	// time.
	//
	// Template default is to return the biggest value,
	// but we need the smallest (earliest) one. This is
	// why we specify greater<> for the template comparison
	// parameter instead of the default less<>
	priority_queue<TTradeInfo, vector<TTradeInfo>, greater<TTradeInfo>> m_CurrentTrades;

	// Number of trades completed up to now.
	// Does not include aborted trades.
	//
	TTrade m_iCurrentCompletedTrades;

	// Number of total trades needed to generate.
	// Does not include aborted trades.
	//
	TTrade m_iTotalTrades;

	// Number of trades initiated up to now. Includes aborted
	// trades.
	// Needed to calculate when to abort a trade at Trade Order time.
	//
	TTrade m_iCurrentInitiatedTrades;

	// Number of trades in an 8-hour workday.
	// Needed to know when to move trading time to the next day.
	//
	int m_iTradesPerWorkDay;

	// 3-dimensional array of double-linked lists each containing
	// one customer holding information.
	//
	// The array is indexed as follows:
	// [AccountId][SecurityIndexWithinAccount]
	//
	// There is no need to index on customer id since the account
	// id is unique across the universe of all customers
	//
	TCustomerHoldingArray *m_pCustomerHoldings;

	// Structure to contain incomplete, but essential
	// trade information generated at Trade Order time.
	//
	TTradeInfo m_NewTrade;

	// Structure to contain trade non-essential information
	// frequently used at Trade Result time.
	//
	TAdditionalTradeInfo m_CompletedTradeInfo;

	// Structure to contain current trade and holding
	// table rows.
	// Filled in GenerateNextTrade() for trade-related
	// tables and in GenerateNextHolding for
	// holding-related tables.
	//
	TTradeRow m_TradeRow;
	HOLDING_ROW m_HoldingRow;

	// Structure to contain HOLDING_SUMMARY rows.
	// Filled in GenerateNextHoldingSummaryRow.
	HOLDING_SUMMARY_ROW m_HoldingSummaryRow;

	// Number of Trade History rows for the current trade in m_TradeRow.
	//
	int m_iTradeHistoryRowCount;

	// Number of Cash Transaction rows for the current trade in m_TradeRow.
	//
	int m_iCashTransactionRowCount;

	// Number of Settlement rows for the current trade in m_TradeRow.
	//
	int m_iSettlementRowCount;

	// Number of Holding History rows. May be more than one
	// if the trade modifies more than one holding.
	//
	int m_iHoldingHistoryRowCount;

	// Security price emulation
	CMEESecurity m_MEESecurity;

	//  Account, security index, and security holding
	//  to use in GenerateNextHolding() to return the next holding.
	//
	int m_iCurrentAccountForHolding;
	int m_iCurrentSecurityForHolding; // index within the account (not input
	                                  // file)
	list<THoldingInfo>::iterator m_pCurrentSecurityHolding;

	//  Account index and security index,
	//  used in GenerateNextHoldingSummaryRecord().
	//
	int m_iCurrentAccountForHoldingSummary;  // index
	int m_iCurrentSecurityForHoldingSummary; // index

	//  Trade ID for the last generated trade.
	//  Positioned at the correct trade id at start.
	//
	TTrade m_iCurrentTradeId;

	//  Current load unit number
	//
	int m_iCurrentLoadUnit;

	///////////////////////////////////////////////////
	// Functions
	///////////////////////////////////////////////////

	// Generate enough trade information to put into
	// the priority queue.
	//
	void GenerateNewTrade();

	// Take the incoplete trade information and
	// generate all the trade-related rows in internal
	// row structures.
	//
	void GenerateCompleteTrade();

	// Generate a random delay (in seconds) between
	// two consecutive trades.
	//
	inline double GenerateDelayBetweenTrades();

	//  Return the list of holdings to modify
	//  by the most recently generated complete trade
	//
	inline THoldingList *GetHoldingListForCurrentTrade();

	//  Return position before the first or the last element
	//  in the holding list (depending on IsLifo flag)
	//
	list<THoldingInfo>::iterator PositionAtHoldingList(THoldingList *pHoldingList, int IsLifo);
	// Update holding information for the customer and trade
	// contained in the internal trade row structure.
	// Set internal buy and sell values.
	//
	void UpdateHoldings();

	// Position internal iterator at the next non-empty holding.
	// Update internal customer/account/security counters as required.
	//
	// Return whether a non-empty holding exists.
	//
	bool FindNextHolding();

	// Position internal indexes to next non-empty list of holdings
	// Return whether non-empty holding list exists.
	//
	bool FindNextHoldingList();

	// Generate a new trade id
	//
	TTrade GenerateNextTradeId();

	// Generate a random trade type
	//
	eTradeTypeID GenerateTradeType();

	// Generate some common fields for the completed trade.
	// Those fields are used more than once so they are stored
	// in a separate structure.
	//
	void GenerateCompletedTradeInfo();

	// Generate TRADE row
	//
	void GenerateTradeRow();

	void GenerateTradeCharge();

	void GenerateTradeCommission();

	void GenerateTradeTax();

	// Generate settlement amount for SE_AMT and CT_AMT
	//
	void GenerateSettlementAmount();

	// Generate TRADE_HISTORY rows
	//
	void GenerateTradeHistoryRow();

	// Generate CASH_TRANSACTION row
	//
	void GenerateCashTransactionRow();

	// Generate SETTLEMENT row
	//
	void GenerateSettlementRow();

	// Generate HOLDING_HISTORY row
	//
	void GenerateHoldingHistoryRow(TTrade iHoldingTradeID, // trade id of the original trade
	                               TTrade iTradeTradeID,   // trade id of the modifying trade
	                               int iBeforeQty,         // holding qty now
	                               int iAfterQty);         // holding qty after modification

	// Helper function to get the current customer id
	TIdent GetCurrentCustID() {
		return m_NewTrade.iCustomer;
	}
	// Helper function to get the current customer tier
	int GetCurrentCustTier() {
		return m_NewTrade.iCustomerTier;
	}
	// Helper function to get the current account id
	TIdent GetCurrentAccID() {
		return m_NewTrade.iCustomerAccount;
	}
	// Helper function to get the current trade id
	TTrade GetCurrentTradeID() {
		return m_NewTrade.iTradeId;
	}
	// Helper function to get the current trade bid price
	CMoney GetCurrentBidPrice() {
		return m_NewTrade.fBidPrice;
	}
	// Helper function to get the current trade execution price
	CMoney GetCurrentTradePrice() {
		return m_NewTrade.fTradePrice;
	}
	// Helper function to get the current trade quantity
	int GetCurrentTradeQty() {
		return m_NewTrade.iTradeQty;
	}
	// Helper function to get the current trade type
	eTradeTypeID GetCurrentTradeType() {
		return m_NewTrade.eTradeType;
	}
	// Helper function to get the current trade status
	eStatusTypeID GetCurrentTradeStatus() {
		return m_NewTrade.eTradeStatus;
	}
	// Helper function to get whether the current trade is cash
	int GetCurrentTradeIsCash() {
		return m_TradeRow.m_Trade.T_IS_CASH;
	}
	// Helper function to get the current security symbol index
	TIdent GetCurrentSecurityIndex() {
		return m_NewTrade.iSymbolIndex;
	}
	// Helper function to get the current security index in the account's basket
	// (1-25)
	UINT GetCurrentSecurityAccountIndex() {
		return m_NewTrade.iSymbolIndexInAccount;
	}
	// Helper function to get the current trade pending time
	CDateTime GetCurrentTradePendingTime() {
		CDateTime ReturnTime = m_StartTime;
		int iDays, iMs;

		// submit days separately to avoid int32 overflow in ms after 25 days

		iDays = (int)(m_NewTrade.PendingTime / SecondsPerDay);
		iMs = (int)((m_NewTrade.PendingTime - iDays * SecondsPerDay) * MsPerSecond);
		ReturnTime.Add(iDays, iMs,
		               true); // add days and msec and adjust for weekend

		return ReturnTime;
	}
	// Helper function to get the current trade submission time
	CDateTime GetCurrentTradeSubmissionTime() {
		CDateTime ReturnTime = m_StartTime;
		int iDays, iMs;

		// submit days separately to avoid int32 overflow in ms after 25 days

		iDays = (int)(m_NewTrade.SubmissionTime / SecondsPerDay);
		iMs = (int)((m_NewTrade.SubmissionTime - iDays * SecondsPerDay) * MsPerSecond);
		ReturnTime.Add(iDays, iMs,
		               true); // add days and msec and adjust for weekend

		return ReturnTime;
	}
	// Helper function to get the current trade completion time
	CDateTime GetCurrentTradeCompletionTime() {
		CDateTime ReturnTime = m_StartTime;

		int iDays, iMs;

		// submit days separately to avoid int32 overflow in ms after 25 days

		iDays = (int)(m_NewTrade.CompletionTime / SecondsPerDay);
		iMs = (int)((m_NewTrade.CompletionTime - iDays * SecondsPerDay) * MsPerSecond);
		ReturnTime.Add(iDays, iMs,
		               true); // add days and msec and adjust for weekend

		return ReturnTime;
	}
	// Helper function to get the current trade's is_lifo flag
	bool GetCurrentTradeIsLifo() {
		return m_NewTrade.bIsLifo;
	}
	// Helper function to get the current trade's sell value
	CMoney GetCurrentTradeSellValue() {
		return m_CompletedTradeInfo.fSellValue;
	}
	// Helper function to get the current trade's buy value
	CMoney GetCurrentTradeBuyValue() {
		return m_CompletedTradeInfo.fBuyValue;
	}
	// Helper function to get the current account broker id
	TIdent GetCurrentBrokerId() {
		return m_CompletedTradeInfo.iCurrentBrokerId;
	}
	// Helper function to get the current account tax status
	eTaxStatus GetCurrentTaxStatus() {
		return m_CompletedTradeInfo.eAccountTaxStatus;
	}
	// Helper function to get the current trade's charge amount
	CMoney GetCurrentTradeCharge() {
		return m_CompletedTradeInfo.Charge;
	}
	// Helper function to get the current trade's commission amount
	CMoney GetCurrentTradeCommission() {
		return m_CompletedTradeInfo.Commission;
	}
	// Helper function to get the current trade's tax amount
	CMoney GetCurrentTradeTax() {
		return m_CompletedTradeInfo.Tax;
	}
	// Helper function to get the current trade's settlement amount
	CMoney GetCurrentSettlementAmount() {
		return m_CompletedTradeInfo.SettlementAmount;
	}

public:
	// Constructor
	//
	CTradeGen(const DataFileManager &dfm, TIdent iCustomerCount, TIdent iStartFromCustomer, TIdent iTotalCustomers,
	          UINT iLoadUnitSize, UINT iScaleFactor, UINT iHoursOfInitialTrades, bool bCacheEnabled = false);

	// Destructor
	//
	~CTradeGen();

	// Generate one Trade Result and return the
	// resulting trade. This function will generate
	// a new incomplete trade (Trade Order) if needed
	// and put it onto the priority queue.
	// It will also update the holding information
	// as needed.
	//
	// Returns whether there is another trade to return.
	//
	bool GenerateNextTrade();

	// Generate next HOLDING_SUMMARY record.
	// Returns whether there is another HOLDING_SUMMARY record to return.
	//
	bool GenerateNextHoldingSummaryRow();

	// Generate next holding row.
	// This function will check internal state and
	// throw an exception if not all trades
	// have been generated.
	//
	// Returns whether there is another HOLDING row to return.
	//
	bool GenerateNextHolding();

	//  Initialize next load unit and prepare it for
	//  GenerateNextTrade/GenerateNextHolding calls.
	//  The first load unit doesn't have to be initialized.
	//
	//  Return whether the next load unit exists
	//
	bool InitNextLoadUnit();

	// Accessors for internal row structures.
	//
	const TRADE_ROW &GetTradeRow() {
		return m_TradeRow.m_Trade;
	}
	int GetTradeHistoryRowCount() {
		return m_iTradeHistoryRowCount;
	}
	const TRADE_HISTORY_ROW &GetTradeHistoryRow(int i) {
		return m_TradeRow.m_TradeHistory[i];
	}
	int GetSettlementRowCount() {
		return m_iSettlementRowCount;
	}
	const SETTLEMENT_ROW &GetSettlementRow() {
		return m_TradeRow.m_Settlement;
	}
	int GetCashTransactionRowCount() {
		return m_iCashTransactionRowCount;
	}
	const CASH_TRANSACTION_ROW &GetCashTransactionRow() {
		return m_TradeRow.m_CashTransaction;
	}
	const HOLDING_ROW &GetHoldingRow() {
		return m_HoldingRow;
	}
	int GetHoldingHistoryRowCount() {
		return m_iHoldingHistoryRowCount;
	}
	const HOLDING_HISTORY_ROW &GetHoldingHistoryRow(int i) {
		return m_TradeRow.m_HoldingHistory[i];
	}
	const HOLDING_SUMMARY_ROW &GetHoldingSummaryRow() {
		return m_HoldingSummaryRow;
	}

	bool GenerateNextBrokerRecord() {
		return m_BrokerTable.GenerateNextRecord();
	}
	const BROKER_ROW &GetBrokerRow() {
		return m_BrokerTable.GetRow();
	}
};

} // namespace TPCE

#endif // TRADE_GEN_H