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35 */
36
37/******************************************************************************
38 * Description: Implementation of the MEETickerTape class.
39 * See MEETickerTape.h for a description.
40 ******************************************************************************/
41
42#include "main/MEETickerTape.h"
43#include "main/StatusTypeIDs.h"
44
45using namespace TPCE;
46
47const int CMEETickerTape::LIMIT_TRIGGER_TRADE_QTY = 375;
48const int CMEETickerTape::RANDOM_TRADE_QTY_1 = 325;
49const int CMEETickerTape::RANDOM_TRADE_QTY_2 = 425;
50
51RNGSEED CMEETickerTape::GetRNGSeed(void) {
52 return (m_rnd.GetSeed());
53}
54
55void CMEETickerTape::SetRNGSeed(RNGSEED RNGSeed) {
56 m_rnd.SetSeed(RNGSeed);
57}
58
59void CMEETickerTape::Initialize(void) {
60 // Set up status and trade types for Market-Feed input
61 //
62 // Submitted
63 strncpy(m_TxnInput.StatusAndTradeType.status_submitted, m_StatusType[eSubmitted].ST_ID_CSTR(),
64 sizeof(m_TxnInput.StatusAndTradeType.status_submitted));
65 // Limit-Buy
66 strncpy(m_TxnInput.StatusAndTradeType.type_limit_buy, m_TradeType[eLimitBuy].TT_ID_CSTR(),
67 sizeof(m_TxnInput.StatusAndTradeType.type_limit_buy));
68 // Limit-Sell
69 strncpy(m_TxnInput.StatusAndTradeType.type_limit_sell, m_TradeType[eLimitSell].TT_ID_CSTR(),
70 sizeof(m_TxnInput.StatusAndTradeType.type_limit_sell));
71 // Stop-Loss
72 strncpy(m_TxnInput.StatusAndTradeType.type_stop_loss, m_TradeType[eStopLoss].TT_ID_CSTR(),
73 sizeof(m_TxnInput.StatusAndTradeType.type_stop_loss));
74}
75
76// Constructor - use default RNG seed
77CMEETickerTape::CMEETickerTape(CMEESUTInterface *pSUT, CMEEPriceBoard *pPriceBoard, CDateTime *pBaseTime,
78 CDateTime *pCurrentTime, const DataFileManager &dfm)
79 : m_pSUT(pSUT), m_pPriceBoard(pPriceBoard), m_BatchIndex(0), m_BatchDuplicates(0), m_rnd(RNGSeedBaseMEETickerTape),
80 m_Enabled(true), m_pBaseTime(pBaseTime), m_pCurrentTime(pCurrentTime), m_StatusType(dfm.StatusTypeDataFile()),
81 m_TradeType(dfm.TradeTypeDataFile()) {
82 Initialize();
83}
84
85// Constructor - RNG seed provided
86CMEETickerTape::CMEETickerTape(CMEESUTInterface *pSUT, CMEEPriceBoard *pPriceBoard, CDateTime *pBaseTime,
87 CDateTime *pCurrentTime, RNGSEED RNGSeed, const DataFileManager &dfm)
88 : m_pSUT(pSUT), m_pPriceBoard(pPriceBoard), m_BatchIndex(0), m_BatchDuplicates(0), m_rnd(RNGSeed), m_Enabled(true),
89 m_pBaseTime(pBaseTime), m_pCurrentTime(pCurrentTime), m_StatusType(dfm.StatusTypeDataFile()),
90 m_TradeType(dfm.TradeTypeDataFile()) {
91 Initialize();
92}
93
94CMEETickerTape::~CMEETickerTape(void) {
95}
96
97bool CMEETickerTape::DisableTicker(void) {
98 m_Enabled = false;
99 return (!m_Enabled);
100}
101
102bool CMEETickerTape::EnableTicker(void) {
103 m_Enabled = true;
104 return (m_Enabled);
105}
106
107void CMEETickerTape::AddEntry(PTickerEntry pTickerEntry) {
108 if (m_Enabled) {
109 AddToBatch(pTickerEntry);
110 AddArtificialEntries();
111 }
112}
113
114void CMEETickerTape::PostLimitOrder(PTradeRequest pTradeRequest) {
115 eTradeTypeID eTradeType;
116 double CurrentPrice = -1.0;
117 PTickerEntry pNewEntry = new TTickerEntry;
118
119 eTradeType = ConvertTradeTypeIdToEnum(pTradeRequest->trade_type_id);
120
121 pNewEntry->price_quote = pTradeRequest->price_quote;
122 strncpy(pNewEntry->symbol, pTradeRequest->symbol, sizeof(pNewEntry->symbol));
123 pNewEntry->trade_qty = LIMIT_TRIGGER_TRADE_QTY;
124
125 CurrentPrice = m_pPriceBoard->GetCurrentPrice(pTradeRequest->symbol).DollarAmount();
126
127 if (((eTradeType == eLimitBuy || eTradeType == eStopLoss) && CurrentPrice <= pTradeRequest->price_quote) ||
128 ((eTradeType == eLimitSell) && CurrentPrice >= pTradeRequest->price_quote)) {
129 // Limit Order is in-the-money.
130 pNewEntry->price_quote = CurrentPrice;
131 // Make sure everything is up to date.
132 m_LimitOrderTimers.ProcessExpiredTimers();
133 // Now post the incoming entry.
134 m_InTheMoneyLimitOrderQ.push(pNewEntry);
135 } else {
136 // Limit Order is not in-the-money.
137 pNewEntry->price_quote = pTradeRequest->price_quote;
138 double TriggerTimeDelay;
139 double fCurrentTime = *m_pCurrentTime - *m_pBaseTime;
140
141 // GetSubmissionTime returns a value relative to time 0, so we
142 // need to substract off the value for the current time to get
143 // the delay time relative to now.
144 TriggerTimeDelay =
145 m_pPriceBoard->GetSubmissionTime(pNewEntry->symbol, fCurrentTime, pNewEntry->price_quote, eTradeType) -
146 fCurrentTime;
147 m_LimitOrderTimers.StartTimer(TriggerTimeDelay, this, &CMEETickerTape::AddLimitTrigger, pNewEntry);
148 }
149}
150
151void CMEETickerTape::AddLimitTrigger(PTickerEntry pTickerEntry) {
152 m_InTheMoneyLimitOrderQ.push(pTickerEntry);
153}
154
155void CMEETickerTape::AddArtificialEntries(void) {
156 TIdent SecurityIndex;
157 TTickerEntry TickerEntry;
158 int TotalEntryCount = 0;
159 static const int PaddingLimit =
160 (max_feed_len / 10) - 1; // NOTE: 10 here represents the ratio of TR to MF transactions
161 static const int PaddingLimitForAll = PaddingLimit; // MAX (trigger+artificial) entries
162 static const int PaddingLimitForTriggers = PaddingLimit; // MAX (triggered) entries
163
164 while (TotalEntryCount < PaddingLimitForTriggers && !m_InTheMoneyLimitOrderQ.empty()) {
165 PTickerEntry pEntry = m_InTheMoneyLimitOrderQ.front();
166 AddToBatch(pEntry);
167 delete pEntry;
168 m_InTheMoneyLimitOrderQ.pop();
169 TotalEntryCount++;
170 }
171
172 while (TotalEntryCount < PaddingLimitForAll) {
173 TickerEntry.trade_qty = (m_rnd.RndPercent(50)) ? RANDOM_TRADE_QTY_1 : RANDOM_TRADE_QTY_2;
174
175 SecurityIndex = m_rnd.RndInt64Range(0, m_pPriceBoard->m_iNumberOfSecurities - 1);
176 TickerEntry.price_quote = (m_pPriceBoard->GetCurrentPrice(SecurityIndex)).DollarAmount();
177 m_pPriceBoard->GetSymbol(SecurityIndex, TickerEntry.symbol, static_cast<INT32>(sizeof(TickerEntry.symbol)));
178
179 AddToBatch(&TickerEntry);
180 TotalEntryCount++;
181 }
182}
183
184void CMEETickerTape::AddToBatch(PTickerEntry pTickerEntry) {
185 // Check to see if this symbol already exists in the batch
186 for (int i = 0; i < m_BatchIndex; i++) {
187 if (strncmp(pTickerEntry->symbol, m_TxnInput.Entries[i].symbol, cSYMBOL_len) == 0) {
188 m_BatchDuplicates++;
189 break;
190 }
191 }
192
193 // Add the ticker to the batch
194 m_TxnInput.Entries[m_BatchIndex++] = *pTickerEntry;
195
196 // Buffer is full, time for Market-Feed.
197 if (max_feed_len == m_BatchIndex) {
198 m_TxnInput.unique_symbols = (max_feed_len - m_BatchDuplicates);
199 m_pSUT->MarketFeed(&m_TxnInput);
200 m_BatchIndex = 0;
201 m_BatchDuplicates = 0;
202 }
203}
204
205eTradeTypeID CMEETickerTape::ConvertTradeTypeIdToEnum(char *pTradeType) {
206 // Convert character trade type to enumeration
207 switch (pTradeType[0]) {
208 case 'T':
209 switch (pTradeType[1]) {
210 case 'L':
211 switch (pTradeType[2]) {
212 case 'B':
213 return (eLimitBuy);
214 case 'S':
215 return (eLimitSell);
216 default:
217 break;
218 }
219 break;
220 case 'M':
221 switch (pTradeType[2]) {
222 case 'B':
223 return (eMarketBuy);
224 case 'S':
225 return (eMarketSell);
226 default:
227 break;
228 }
229 break;
230 case 'S':
231 switch (pTradeType[2]) {
232 case 'L':
233 return (eStopLoss);
234 default:
235 break;
236 }
237 break;
238 default:
239 break;
240 }
241 break;
242 default:
243 break;
244 }
245
246 // Throw exception - should never get here
247 assert(false); // this should never happen
248
249 return eMarketBuy; // silence compiler warning about not all control paths
250 // returning a value
251}
252