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Version 6. #1

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35adb86
Version 6.
zowolski Jun 29, 2016
e1143c7
wtf is padding. small book improvements.
zowolski Jul 8, 2016
f76b617
new structs. sync types with templates_FixBinary_v6.xml.
zowolski Jul 8, 2016
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15 changes: 8 additions & 7 deletions lua/mdp/book_builder.lua
View file
Original file line number Diff line number Diff line change
@@ -163,11 +163,12 @@ local function price_level_alloc(alloc)
end

-- Create a new book
local function new_book(symbol, max_entries)
local function new_book(symbol, depth)
local self = setmetatable({
bid = { nr_entries = 0 },
ask = { nr_entries = 0 },
price_levels = new_price_levels_alloc(max_entries * 2),
price_levels = new_price_levels_alloc(depth * 3),
depth = depth,
symbol = symbol,
next_update = nil,
}, Book)
@@ -184,7 +185,7 @@ local function Book_find_price_level(book_side, level)

for i=1,level do
cur_lev = cur_lev.next_itm
if cur_lev == book_side.entries then
if cur_lev == book_side then
Logger.debug("WRAP-AROUND", "Wrapped around, yikes.")
cur_lev = nil
break
@@ -267,8 +268,8 @@ function Book.insert_new_price_level(self, side, price, size, nr_orders, level)
list_insert_after(new_lev, cur_lev)
book_side.nr_entries = book_side.nr_entries + 1

if book_side.nr_entries > 10 then
Book_prune(self.price_levels, book_side, 10)
if book_side.nr_entries > self.depth then
Book_prune(self.price_levels, book_side, self.depth)
end

book_side.needs_update = level <= 3
@@ -331,7 +332,7 @@ function Book.clear_all_price_levels(self, side)
local cur_level = book_side.next_itm
local alloc = self.price_levels

while cur_level ~= book_side.entries do
while cur_level ~= book_side do
local next_level = cur_level.next_itm
list_remove(cur_level)
price_level_free(alloc, cur_level)
@@ -361,7 +362,7 @@ function Book.remove_price_levels_from(self, side, levels)
local cur_level = book_side.next_itm
local rem = levels

while cur_level ~= book_side.entries and level > 0 do
while cur_level ~= book_side and level > 0 do
local next_level = cur_level.next_itm
list_del(cur_level)
end
159 changes: 156 additions & 3 deletions lua/mdp/pkt_def.lua
View file
Original file line number Diff line number Diff line change
@@ -100,6 +100,49 @@ ffi.cdef[[
int8_t flow_schedule_type;
mdp_price_null_t min_price_increment_amount;
int8_t user_defined_instrument;
uint16_t trading_reference_date;
} __attribute__((__packed__));

struct mdp_instrument_definition_spread {
uint8_t match_event_indicator;
uint32_t tot_num_reports;
uint8_t security_update_action;
uint64_t last_update_time;
uint8_t md_security_trading_status;
int16_t appl_id;
uint8_t market_segment_id;
uint8_t underlying_product;
uint32_t security_exchange;
char security_group[6];
char asset[6];
char symbol[20];
int32_t security_id;
uint8_t security_id_source;
char security_type[6];
char cfi_code[6];
char maturity_month_year[5];
char currency[3];
int8_t security_sub_type;
int8_t user_defined_instrument;
uint8_t match_algorithm;
uint32_t min_trade_vol;
uint32_t max_trade_vol;
int64_t min_price_increment;
int64_t display_factor;
uint8_t price_display_format;
mdp_price_null_t price_ratio;
int8_t tick_rule;
char unit_of_measure[30];
mdp_price_null_t trading_reference_price;
uint8_t settl_price_type;
int32_t open_interest_qty;
int32_t cleared_volume;
mdp_price_null_t high_limit_price;
mdp_price_null_t low_limit_price;
mdp_price_null_t max_price_variation;
uint8_t main_fraction;
uint8_t sub_fraction;
uint16_t trading_reference_date;
} __attribute__((__packed__));

struct mdp_security_status {
@@ -116,10 +159,10 @@ ffi.cdef[[

struct mdp_md_incremental_refresh_book_md_entries {
mdp_price_null_t md_entry_px;
uint32_t md_entry_size;
int32_t md_entry_size;
int32_t security_id;
uint32_t rpt_seq;
uint32_t number_of_orders;
int32_t number_of_orders;
uint8_t md_price_level;
uint8_t md_update_action;
uint8_t md_entry_type;
@@ -129,10 +172,120 @@ ffi.cdef[[
struct mdp_md_incremental_refresh_book {
uint64_t transact_time;
uint8_t match_event_indicator;
uint16_t wtf;
uint8_t __padding__[2];
struct mdp_group_size md_entries_size;
struct mdp_md_incremental_refresh_book_md_entries md_entries[];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_daily_statistics_md_entries {
mdp_price_null_t md_entry_px;
int32_t md_entry_size;
int32_t security_id;
uint32_t rpt_seq;
uint16_t trading_reference_date;
uint8_t settle_price_type;
uint8_t md_update_action;
uint8_t md_entry_type;
uint8_t __padding__[7];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_daily_statistics {
uint64_t transact_time;
uint8_t match_event_indicator;
uint8_t __padding__[2];
struct mdp_group_size md_entries_size;
struct mdp_md_incremental_refresh_daily_statistics_md_entries md_entries[];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_limit_banding_md_entries {
mdp_price_null_t high_limit_price;
mdp_price_null_t low_limit_price;
mdp_price_null_t max_price_variation;
int32_t security_id;
uint32_t rpt_seq;
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_limit_banding {
uint64_t transact_time;
uint8_t match_event_indicator;
uint8_t __padding__[2];
struct mdp_group_size md_entries_size;
struct mdp_md_incremental_refresh_limit_banding_md_entries md_entries[];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_session_statistics_md_entries {
mdp_price_null_t md_entry_px;
int32_t security_id;
uint32_t rpt_seq;
uint8_t open_close_settl_flag;
uint8_t md_update_action;
uint8_t md_entry_type;
uint8_t __padding__[5];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_session_statistics {
uint64_t transact_time;
uint8_t match_event_indicator;
uint8_t __padding__[2];
struct mdp_group_size md_entries_size;
struct mdp_md_incremental_refresh_session_statistics_md_entries md_entries[];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_trade_md_entries {
mdp_price_null_t md_entry_px;
int32_t md_entry_size;
int32_t security_id;
uint32_t rpt_seq;
int32_t number_of_orders;
int32_t trade_id;
uint8_t aggressor_side;
uint8_t md_update_action;
uint8_t __padding__[2];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_trade {
uint64_t transact_time;
uint8_t match_event_indicator;
uint8_t __padding__[2];
struct mdp_group_size md_entries_size;
struct mdp_md_incremental_refresh_trade_md_entries md_entries[];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_volume_md_entries {
int32_t md_entry_size;
int32_t security_id;
uint32_t rpt_seq;
uint8_t md_update_action;
uint8_t __padding__[3];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_volume {
uint64_t transact_time;
uint8_t match_event_indicator;
uint8_t __padding__[2];
struct mdp_group_size md_entries_size;
struct mdp_md_incremental_refresh_volume_md_entries md_entries[];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_trade_summary_md_entries {
mdp_price_null_t md_entry_px;
int32_t md_entry_size;
int32_t security_id;
uint32_t rpt_seq;
int32_t number_of_orders;
uint8_t aggressor_side;
uint8_t md_update_action;
uint8_t __padding__[6];
} __attribute__((__packed__));

struct mdp_md_incremental_refresh_trade_summary {
uint64_t transact_time;
uint8_t match_event_indicator;
uint8_t __padding__[2];
struct mdp_group_size md_entries_size;
struct mdp_md_incremental_refresh_trade_summary_md_entries md_entries[];
// TODO NoOrderIDEntries
} __attribute__((__packed__));

]]

42 changes: 34 additions & 8 deletions lua/mdp/proto_mdp3_sbe.lua
View file
Original file line number Diff line number Diff line change
@@ -50,12 +50,21 @@ local kMDP_SECURITY_STATUS_PTR = ffi.typeof("struct mdp_security_status *")
-- Instrument Definition: Future
local kMDP_INSTRUMENT_DEFINITION_FUTURE = ffi.typeof("struct mdp_instrument_definition_future *")

-- Instrument Definition: Spread
local kMDP_INSTRUMENT_DEFINITION_SPREAD = ffi.typeof("struct mdp_instrument_definition_spread *")

-- char ptr for pointer arithmetic
local kUINT8_PTR = ffi.typeof("uint8_t *")

local kMDP_MD_INCREMENTAL_REFRESH_BOOK_PTR = ffi.typeof("struct mdp_md_incremental_refresh_book *")
local kMDP_MD_INCREMENTAL_REFRESH_DAILY_STATISTICS_PTR = ffi.sizeof("struct mdp_md_incremental_refresh_daily_statistics *")
local kMDP_MD_INCREMENTAL_REFRESH_LIMIT_BANDING_PTR = ffi.typeof("struct mdp_md_incremental_refresh_limit_banding *")
local kMDP_MD_INCREMENTAL_REFRESH_SESSION_STATISTICS_PTR = ffi.typeof("struct mdp_md_incremental_refresh_session_statistics *")
local kMDP_MD_INCREMENTAL_REFRESH_TRADE_PTR = ffi.typeof("struct mdp_md_incremental_refresh_trade *")
local kMDP_MD_INCREMENTAL_REFRESH_VOLUME_PTR = ffi.typeof("struct mdp_md_incremental_refresh_volume *")
local kMDP_MD_INCREMENTAL_REFRESH_TRADE_SUMMARY_PTR = ffi.typeof("struct mdp_md_incremental_refresh_trade_summary *")

local kMDP_VERSION_SUPPORTED = 5
local kMDP_VERSION_SUPPORTED = 6

-- Update action constants
local kUPDATE_ACTION_NEW = 0
@@ -70,7 +79,7 @@ local kCHANNEL_RESET = 4
local kADMIN_HEARTBEAT = 12
local kADMIN_LOGOUT = 16
local kMD_INSTRUMENT_DEFINITION_FUTURE = 27
local kMD_INSTURMENT_DEFINITION_SPREAD = 29
local kMD_INSTRUMENT_DEFINITION_SPREAD = 29
local kSECURITY_STATUS = 30
local kMD_INCREMENTAL_REFRESH_BOOK = 32
local kMD_INCREMENTAL_REFRESH_DAILY_STATS = 33
@@ -105,7 +114,7 @@ local function handle_admin_logout(mdstate, msg_hdr)
return true
end

local function handle_instrument_definition(mdstate, msg_hdr)
local function handle_instrument_definition_future(mdstate, msg_hdr)
local idf = cast_payload(msg_hdr, kMDP_INSTRUMENT_DEFINITION_FUTURE)

Logger.info("INSTRUMENT-DEFINITION-FUTURE", "Symbol: %s Group: %s Asset: %s Currency: %s SettlCurrency: %s Units of %d %s",
@@ -115,7 +124,19 @@ local function handle_instrument_definition(mdstate, msg_hdr)
ffi.string(idf.currency, 3),
ffi.string(idf.settl_currency, 3),
tonumber(idf.unit_of_measure_quantity),
ffi.strong(idf.unit_of_measure, 30))
ffi.string(idf.unit_of_measure, 30))

return true
end

local function handle_instrument_definition_spread(mdstate, msg_hdr)
local idf = cast_payload(msg_hdr, kMDP_INSTRUMENT_DEFINITION_SPREAD)

Logger.info("INSTRUMENT-DEFINITION-SPREAD", "Symbol: %s Group: %s Asset: %s Currency: %s",
ffi.string(idf.symbol, 20),
ffi.string(idf.security_group, 6),
ffi.string(idf.asset, 6),
ffi.string(idf.currency, 3))

return true
end
@@ -175,9 +196,10 @@ end

local function handle_incremental_refresh(mdstate, msg_hdr)
local md_inc = cast_payload(msg_hdr, kMDP_MD_INCREMENTAL_REFRESH_BOOK_PTR)
local num_in_group = md_inc.md_entries_size.num_in_group

if md_inc.md_entries_size.num_in_group > 0 then
for i = 0,md_inc.md_entries_size.num_in_group-1 do
if num_in_group > 0 then
for i = 0,num_in_group-1 do
local entry = md_inc.md_entries[i]
if entry.md_update_action == kUPDATE_ACTION_NEW then
mdstate.on_new_price_level(mdstate, entry)
@@ -232,7 +254,7 @@ end

-- Given the current message header and the remaining bytes, return the next message header
local function get_next_message_header(cur_msg_hdr, bytes_remain)
if bytes_remain <= cur_msg_hdr.msg_size then
if bytes_remain <= cur_msg_hdr.msg_size + kMDP_MESSAGE_HDR_LEN then
return nil, 0
else
return ffi.cast(kMDP_MESSAGE_HDR_PTR, ffi.cast(kUINT8_PTR, cur_msg_hdr) + cur_msg_hdr.msg_size), bytes_remain - cur_msg_hdr.msg_size
@@ -302,7 +324,9 @@ function MarketDataHandler.on_message(self, ll_payload)
elseif hdr.template_id == kSECURITY_STATUS then
handle_security_status(self, hdr)
elseif hdr.template_id == kMD_INSTRUMENT_DEFINITION_FUTURE then
handle_instrument_definition(self, hdr)
handle_instrument_definition_future(self, hdr)
elseif hdr.template_id == kMD_INSTRUMENT_DEFINITION_SPREAD then
handle_instrument_definition_spread(self, hdr)
elseif hdr.template_id == kADMIN_HEARTBEAT then
handle_heartbeat(self, hdr)
elseif hdr.template_id == kSNAPSHOT_FULL_REFRESH then
@@ -319,6 +343,8 @@ function MarketDataHandler.on_message(self, ll_payload)
handle_incremental_refresh_daily_stats(self, hdr)
elseif hdr.template_id == kMD_INCREMENTAL_REFRESH_LIMITS_BANDING then
handle_incremental_refresh_limits_banding(self, hdr)
elseif hdr.template_id == kMD_INCREMENTAL_REFRESH_TRADE then
handle_incremental_refresh_trade(self, hdr)
else
handle_unhandled(self, hdr)
end