fin 0.1.0
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- data/.gitignore +26 -0
- data/HISTORY +27 -0
- data/LICENSE +20 -0
- data/README.rdoc +36 -0
- data/Rakefile +25 -0
- data/VERSION +1 -0
- data/features/order_book.feature +9 -0
- data/features/step_definitions/order_book_steps.rb +0 -0
- data/features/support/env.rb +10 -0
- data/features/support/world.rb +12 -0
- data/lib/fin.rb +13 -0
- data/lib/fin/book.rb +50 -0
- data/lib/fin/book_manager.rb +42 -0
- data/lib/fin/changed_list.rb +49 -0
- data/lib/fin/container_list.rb +33 -0
- data/lib/fin/deal_list.rb +18 -0
- data/lib/fin/indexed_list.rb +74 -0
- data/lib/fin/models/deal.rb +75 -0
- data/lib/fin/models/instrument.rb +78 -0
- data/lib/fin/models/model.rb +39 -0
- data/lib/fin/models/money_limit.rb +81 -0
- data/lib/fin/models/order.rb +45 -0
- data/lib/fin/models/position.rb +57 -0
- data/lib/fin/order_list.rb +17 -0
- data/lib/legacy.rb +443 -0
- data/lib/version.rb +8 -0
- data/spec/fin/book_spec.rb +215 -0
- data/spec/fin/changed_list_spec.rb +16 -0
- data/spec/fin/container_list_spec.rb +63 -0
- data/spec/fin/deal_list_spec.rb +102 -0
- data/spec/fin/indexed_list_spec.rb +20 -0
- data/spec/fin/models/deal_spec.rb +140 -0
- data/spec/fin/models/instrument_spec.rb +54 -0
- data/spec/fin/models/model_spec.rb +109 -0
- data/spec/fin/models/money_limit_spec.rb +143 -0
- data/spec/fin/models/order_spec.rb +67 -0
- data/spec/fin/models/position_spec.rb +74 -0
- data/spec/fin/models/shared_examples.rb +5 -0
- data/spec/fin/order_list_spec.rb +140 -0
- data/spec/fin/shared_examples.rb +355 -0
- data/spec/spec_helper.rb +17 -0
- data/tasks/common.rake +18 -0
- data/tasks/doc.rake +14 -0
- data/tasks/gem.rake +40 -0
- data/tasks/git.rake +34 -0
- data/tasks/spec.rake +16 -0
- data/tasks/version.rake +71 -0
- metadata +155 -0
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require 'fin/models/model'
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module Fin
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# Represents a single deal (trade) for one security
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# Source table: FORTS_FUTTRADE_REPL::deal � c�����
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#
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class Deal < Model
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# Properties as per P2ClientGate API
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prop_accessor [:repl_id, :id], [:repl_rev, :rev],
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[:isin_id, :isin], # i4 ���������� �������� ������������� �����������
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:price, # price d16.5 ����
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:amount, # amount i4 �����, ���-�� ������ �����������
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[:deal_id, :id_deal], # id_deal i8 ����� ������
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[:sess_id, :session_id], # sess_id i4 ������������� ������
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:moment, # moment t ����� ���������� ������.
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:pos, # i4 ���-�� ������� �� ����������� �� ����� ����� ������.
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:nosystem, # i1 1-������������ ������, 0-�������
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[:repo_id, :repo, :id_repo], # i8 ����� ������ ����� ������ ����
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:id_deal_multileg # i8 ����� ������ �� ������
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# ��� ���� ����������� ������ ��� ����� ������:
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prop_accessor :code_sell, # c7 ��� ��������:status_sell,
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:id_ord_sell, # i8 ����� ������ ��������
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:ext_id_sell, # i4 ������� ����� �� ������ ��������
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:comment_sell, # c20 ����������� �� ������ ��������.
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:trust_sell, # i1 ������� �� (�������������� ����������) �� ������ ��������
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:status_sell, # i4 ������ ������ �� ������� ��������
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:hedge_sell, # i1 ������� �������� ������ �� ������� ��������
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:fee_sell, # d26.2 ���� �� ������ ��������
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:login_sell, # c20 ����� ������������ ��������
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:code_rts_sell, # c7 ��� ��� ��������
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:code_buy, # c7 ��� ����������
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:id_ord_buy, # i8 ����� ������ ����������.
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:ext_id_buy, # i4 ������� ����� �� ������ ����������
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:comment_buy, # c20 ����������� �� ������ ����������
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:trust_buy, # i1 ������� �� (�������������� ����������) �� ������ ����������
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:status_buy, # i4 ������ ������ �� ������� ����������
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:hedge_buy, # i1 ������� �������� ������ �� ������� ����������
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:fee_buy, # d26.2 ���� �� ������ ����������
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:login_buy, # c20 ����� ������������ ����������
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:code_rts_buy # c7 ��� ��� ����������
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attr_accessor :book
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def self.from_record rec
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new :isin_id => rec.GetValAsLong('isin_id'),
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:deal_id => rec.GetValAsLong('id_deal'),
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:id => rec.GetValAsString('replID').to_i,
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:rev => rec.GetValAsString('replRev').to_i,
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:price => rec.GetValAsString('price').to_f,
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:moment => rec.GetValAsString('moment'),
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:amount => rec.GetValAsString('amount').to_i
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end
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def self.index_for rec
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rec.GetValAsLong('id_deal')
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end
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def index
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@deal_id
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end
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def price= val
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val = val.to_f
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@price = val.round == val ? val.to_i : val
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end
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def inspect
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"#{moment}:#{id}[#{isin}] #{price}>#{amount}"
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end
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alias to_s inspect
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end
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end
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require 'fin/models/model'
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module Fin
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# Represents information about one tradeable security
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# Source table: FORTS_FUTINFO_REPL::fut_sess_contents
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#
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class Instrument < Model
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# Properties as per P2ClientGate API
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prop_accessor [:repl_id, :id], [:repl_rev, :rev],
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[:sess_id, :sess, :session, :session_id], # i4 ����� ������.
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:isin_id, # i4 ���������� �������� ��� �����������.
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:isin, # c25 ���������� ��� �����������
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:short_isin, # c25 ��������� �����������.
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:name, # c75 ������������ �����������.
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:inst_term, # i4 �������� �� �����.
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:code_vcb, # c25 ��� ���������.
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# Not extracted from record yet...
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:is_limited, # i1 ������� ������� ������� � ������.
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:limit_up, # d16.5 ������� ����� ����.
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:limit_down, # d16.5 ������ ����� ����.
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:old_kotir, # d16.5 ����������������� ��������� ���� ���������� ������.
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:buy_deposit, # d16.2 �� ����������.
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:sell_deposit, # d16.2 �� ��������.
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:roundto, # i4 ���������� ������ ����� ������� � ����.
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:min_step, # d16.5 ����������� ��� ����.
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:step_price, # d16.5 ��������� ���� ����.
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:d_pg, # t ���� ��������� ��������� �����������.
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:is_spread, # i1 ������� ��������� �������� � ����������� �����.
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# 1 � ������; 0 � �� ������.
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:coeff, # d9.6 ����������� ������������ ������.
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:d_exp, # t ���� ���������� �����������.
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:is_percent, # i1 ������� ����, ��� ������� ��������� � ���������.
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# 1 - ��������� ���������, 0 � ��������� �� � ���������
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:percent_rate, # d6.2 ���������� ������ ��� ������� ������������ �����
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# �� ���������� ���������.
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:last_cl_quote, # d16.5 ��������� ����� ���������� ��������.
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:signs, # i4 ���� ���������.
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:is_trade_evening, # i1 ������� �������� � �������� ������.
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:ticker, # i4 ���������� �������� ��� �������� �����.
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:state, # i4 ��������� �������� �� �����������
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:price_dir, # i1 ����������� ���� �����������
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:multileg_type, # i1 ��� ������
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:legs_qty, # i4 ���������� ������������ � ������
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:step_price_clr, # d16.5 C�������� ���� ���� ��������� ��������
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:step_price_interclr, # d16.5 ��������� ���� ���� ����. ��������
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:step_price_curr # d16.5 ��������� ������������ ���� ����, ���������� � ������
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def self.from_record rec
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new :isin_id => rec.GetValAsLong('isin_id'),
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:isin => rec.GetValAsString('isin'),
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:short_isin => rec.GetValAsString('short_isin'),
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:name => rec.GetValAsString('name'),
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:inst_term => rec.GetValAsLong('inst_term'),
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:code_vcb => rec.GetValAsString('code_vcb'),
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end
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def self.index_for rec
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rec.GetValAsLong('isin_id')
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end
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def index
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@isin_id
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end
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def price= val
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val = val.to_f
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@price = val.round == val ? val.to_i : val
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end
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def inspect
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"#{name}:#{short_isin}[#{isin}]"
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end
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alias to_s inspect
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end
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end
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module Fin
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# Represents business domain model for a single item (Order, Deal, Instrument, etc...)
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# currently it is only used to extract common functionality from record wrappers,
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# down the road it may be subclassed from ActiveModel
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class Model
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def self.prop_reader *args
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args.each do |arg|
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aliases = [arg].flatten
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name = aliases.shift
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instance_eval do
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attr_reader name
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aliases.each { |ali| alias_method "#{ali}", name }
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end
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end
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end
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def self.prop_accessor *args
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args.each do |arg|
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aliases = [arg].flatten
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name = aliases.shift
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instance_eval do
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attr_accessor name
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aliases.each do |ali|
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alias_method "#{ali}", name
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alias_method "#{ali}=", "#{name}="
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end
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end
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end
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end
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def initialize opts = {}
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opts.each { |key, value| send "#{key}=", value }
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end
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def index
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object_id # TODO: @repl_id?
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end
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end
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end
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require 'fin/models/model'
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module Fin
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# Represents information about client`s money, vm and various limits
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# Source table: FORTS_ PART_REPL::part � ���������� � ��������� � �������
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#
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class MoneyLimit < Model
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# Properties as per P2ClientGate API
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prop_accessor [:repl_id, :id], [:repl_rev, :rev],
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:client_code, # c7 ��� �������
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:money_old, # d26.2 ����� �� ������ ������
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:money_amount, # d26.2 ����� �����
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:money_free, # d26.2 �������� �����
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:money_blocked, # d26.2 ������������� �����
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:pledge_old, # d26.2 ������� �� ������ ������
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:pledge_amount, # d26.2 ����� �������
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:pledge_free, # d26.2 �������� �������
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:pledge_blocked, # d26.2 ������������� �������
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:vm_reserve, # d26.2 �����, ����������������� ��� ������������ �����
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:vm_intercl, # d26.2 M����, ��������� ��� ���������� � ����. �������
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:fee, # d26.2 ��������� ����
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:fee_reserve, # d26.2 ��������������� ������ ����� ��� ������
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:limit_spot_buy, # d26.2 ����� �� ������� ������.
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:limit_spot_buy_used, # d26.2 �������������� ����� �� ������� ������
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:coeff_go, # d16.5 ����������� ����������� ��
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:coeff_liquidity, # d16.5 ����������� �����������
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:premium, # d26.2 ������
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:premium_order_reserve, # f ������ ������ ��� ������
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# Not extracted from record:
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:is_auto_update_limit, # i1 ������� ������������� ������ �� ��������
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# ������ ��� ������� ����� ��������: 0-���, 1-������.
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:is_auto_update_spot_limit, # i1 ������� ������������� ������� �� ������
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# (�� �������, � �� �������) ��� ������� ����� ��������: 0-���, 1-������.
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:no_fut_discount, # i1 ���������� ������������� ������ ��
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# ���������: 1-������, 0-���.
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:limits_set # i1 ������� �������. 0 � ������ �����������
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def self.from_record rec
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new :repl_id => rec.GetValAsString('replID').to_i,
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:repl_rev => rec.GetValAsString('replRev').to_i,
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:client_code => rec.GetValAsString('client_code'),
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:money_old => rec.GetValAsString('money_old').to_f,
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:money_amount => rec.GetValAsString('money_amount').to_f,
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:money_free => rec.GetValAsString('money_free').to_f,
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:money_blocked => rec.GetValAsString('money_blocked').to_f,
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:pledge_old => rec.GetValAsString('pledge_old').to_f,
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:pledge_amount => rec.GetValAsString('pledge_amount').to_f,
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:pledge_free => rec.GetValAsString('pledge_free').to_f,
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:pledge_blocked => rec.GetValAsString('pledge_blocked').to_f,
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:vm_reserve => rec.GetValAsString('vm_reserve').to_f,
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+
:vm_intercl => rec.GetValAsString('vm_intercl').to_f,
|
54
|
+
:fee => rec.GetValAsString('vm_intercl').to_f,
|
55
|
+
:fee_reserve => rec.GetValAsString('vm_reserve').to_f,
|
56
|
+
:limit_spot_buy => rec.GetValAsString('vm_reserve').to_f,
|
57
|
+
:limit_spot_buy_used => rec.GetValAsString('vm_reserve').to_f,
|
58
|
+
:coeff_go => rec.GetValAsString('coeff_go').to_f,
|
59
|
+
:coeff_liquidity => rec.GetValAsString('coeff_liquidity').to_f,
|
60
|
+
:premium => rec.GetValAsString('premium').to_f,
|
61
|
+
:premium_order_reserve => rec.GetValAsString('premium_order_reserve').to_f,
|
62
|
+
end
|
63
|
+
|
64
|
+
def self.index_for rec
|
65
|
+
rec.GetValAsLong('replID')
|
66
|
+
end
|
67
|
+
|
68
|
+
def index
|
69
|
+
@repl_id
|
70
|
+
end
|
71
|
+
|
72
|
+
def inspect
|
73
|
+
"Money: Old #{money_old} Amt #{money_amount} Free #{money_free} Blck #{money_blocked} " +
|
74
|
+
"Pledge: Old #{pledge_old} Amt #{pledge_amount} Free #{pledge_free} Blck #{pledge_blocked} " +
|
75
|
+
"VM: Reserve #{vm_reserve} Intercl #{vm_intercl} Fee: #{fee} Reserve #{fee_reserve} " +
|
76
|
+
"Limit Spot: Buy #{limit_spot_buy} Used #{limit_spot_buy_used}"
|
77
|
+
end
|
78
|
+
|
79
|
+
alias to_s inspect
|
80
|
+
end
|
81
|
+
end
|
@@ -0,0 +1,45 @@
|
|
1
|
+
require 'fin/models/model'
|
2
|
+
|
3
|
+
module Fin
|
4
|
+
class Order < Model
|
5
|
+
|
6
|
+
# Properties as per P2ClientGate API
|
7
|
+
prop_accessor [:repl_id, :id], [:repl_rev, :rev],
|
8
|
+
[:isin_id, :isin],
|
9
|
+
:price, # d16.5 ���� ���������
|
10
|
+
:volume, # i8 ����� �������������� ���������
|
11
|
+
[:dir, :buysell], # i1 ����������� ���������: ������� (1) /������� (2)
|
12
|
+
:moment # t ����� ���������� ���������� ���������
|
13
|
+
|
14
|
+
attr_accessor :book
|
15
|
+
|
16
|
+
def self.from_record rec
|
17
|
+
new :isin_id => rec.GetValAsLong('isin_id'),
|
18
|
+
:repl_id => rec.GetValAsString('replID').to_i,
|
19
|
+
:repl_rev => rec.GetValAsString('replRev').to_i,
|
20
|
+
:price => rec.GetValAsString('price').to_f,
|
21
|
+
:volume => rec.GetValAsString('volume').to_f,
|
22
|
+
:moment => rec.GetValAsString('moment'),
|
23
|
+
:dir => rec.GetValAsLong('dir')
|
24
|
+
end
|
25
|
+
|
26
|
+
def self.index_for rec
|
27
|
+
rec.GetValAsLong('replID')
|
28
|
+
end
|
29
|
+
|
30
|
+
def index
|
31
|
+
@repl_id
|
32
|
+
end
|
33
|
+
|
34
|
+
def price= val
|
35
|
+
val = val.to_f
|
36
|
+
@price = val.round == val ? val.to_i : val
|
37
|
+
end
|
38
|
+
|
39
|
+
def inspect
|
40
|
+
"#{repl_id}:#{price}>#{volume}#{dir == 1 ? '+' : '-'}"
|
41
|
+
end
|
42
|
+
|
43
|
+
alias to_s inspect
|
44
|
+
end
|
45
|
+
end
|
@@ -0,0 +1,57 @@
|
|
1
|
+
require 'fin/models/model'
|
2
|
+
|
3
|
+
module Fin
|
4
|
+
# Represents a client`s position for one security
|
5
|
+
# Source table: FORTS_POS_REPL::position
|
6
|
+
#
|
7
|
+
class Position < Model
|
8
|
+
|
9
|
+
# Properties as per P2ClientGate API
|
10
|
+
prop_accessor [:repl_id, :id], [:repl_rev, :rev],
|
11
|
+
[:isin_id, :isin],
|
12
|
+
:client_code,
|
13
|
+
:open_qty,
|
14
|
+
:buys_qty,
|
15
|
+
:sells_qty,
|
16
|
+
:pos,
|
17
|
+
:net_volume_rur,
|
18
|
+
:last_deal_id
|
19
|
+
# isin_id i4 ���������� �������� ������������� �����������
|
20
|
+
# client_code c7 ��� �������
|
21
|
+
# open_qty i4 ���������� ������� �� ������ ������
|
22
|
+
# buys_qty i4 ���������� ��������� ���������� � ���� ������
|
23
|
+
# sells_qty i4 ���������� ��������� ���������� � ���� ������
|
24
|
+
# pos i4 ������� �������
|
25
|
+
# net_volume_rur d26.2
|
26
|
+
# H����-����� �����, � ������, �� ������� ���� ��������� ������.
|
27
|
+
# ������������� ����� � ������ ��������, ������������� � ������ �������������
|
28
|
+
# last_deal_id i8 ������������� ��������� ������
|
29
|
+
|
30
|
+
def self.from_record rec
|
31
|
+
new :isin_id => rec.GetValAsLong('isin_id'),
|
32
|
+
:repl_id => rec.GetValAsString('replID').to_i,
|
33
|
+
:repl_rev => rec.GetValAsString('replRev').to_i,
|
34
|
+
:client_code => rec.GetValAsString('client_code'),
|
35
|
+
:open_qty => rec.GetValAsLong('open_qty'),
|
36
|
+
:buys_qty => rec.GetValAsLong('buys_qty'),
|
37
|
+
:sells_qty => rec.GetValAsLong('sells_qty'),
|
38
|
+
:pos => rec.GetValAsLong('pos'),
|
39
|
+
:last_deal_id => rec.GetValAsString('replID').to_i,
|
40
|
+
:net_volume_rur => rec.GetValAsString('net_volume_rur').to_f
|
41
|
+
end
|
42
|
+
|
43
|
+
def self.index_for rec
|
44
|
+
rec.GetValAsLong('isin_id')
|
45
|
+
end
|
46
|
+
|
47
|
+
def index
|
48
|
+
@isin_id
|
49
|
+
end
|
50
|
+
|
51
|
+
def inspect
|
52
|
+
"#{repl_id}[#{isin_id}] #{pos}, open: #{open_qty}, buys: #{buys_qty}, sells: #{sells_qty}"
|
53
|
+
end
|
54
|
+
|
55
|
+
alias to_s inspect
|
56
|
+
end
|
57
|
+
end
|
@@ -0,0 +1,17 @@
|
|
1
|
+
require 'fin/models/order'
|
2
|
+
require 'fin/book_manager'
|
3
|
+
|
4
|
+
module Fin
|
5
|
+
# Represents list of ALL Orders, indexed by id (replId)
|
6
|
+
# Its @books is a set of OrderBooks by isin. Each OrderBook lists Orders by price.
|
7
|
+
class OrderList < ContainerList
|
8
|
+
|
9
|
+
include BookManager
|
10
|
+
|
11
|
+
def initialize
|
12
|
+
super :item_type => Fin::Order
|
13
|
+
@book_index = proc { |item| item.price }
|
14
|
+
@book_condition = proc { |item| item.price > 0 }
|
15
|
+
end
|
16
|
+
end
|
17
|
+
end
|
data/lib/legacy.rb
ADDED
@@ -0,0 +1,443 @@
|
|
1
|
+
# Legacy VCL-based code to be converted into new efficient Ruby code
|
2
|
+
|
3
|
+
module VCL
|
4
|
+
|
5
|
+
#type
|
6
|
+
# tDuplicates = [:dup_accept, :dup_ignore, :dup_replace]
|
7
|
+
# // ������� ����� "������" � ���������� ��������������� ������������ ���������
|
8
|
+
#type CustomList = class(tList)
|
9
|
+
# procedure clear; override;
|
10
|
+
# procedure freeitem(item: pointer); virtual; abstract;
|
11
|
+
# procedure freeall; virtual;
|
12
|
+
# procedure delete(index: longint); virtual;
|
13
|
+
# procedure remove(item: pointer); virtual;
|
14
|
+
# end;
|
15
|
+
class CustomList < Array
|
16
|
+
|
17
|
+
def clear
|
18
|
+
(0...size).each { freeitem(self[i]) }
|
19
|
+
super
|
20
|
+
end
|
21
|
+
|
22
|
+
def freeall
|
23
|
+
clear
|
24
|
+
end
|
25
|
+
|
26
|
+
def freeitem item
|
27
|
+
end
|
28
|
+
|
29
|
+
# Standard #delete_at instead of #delete
|
30
|
+
|
31
|
+
# Deletes ALL items from arr that are equal to obj.?
|
32
|
+
# No, we need to remove ONE item by "pointer"
|
33
|
+
def remove item #(item: pointer)
|
34
|
+
freeitem item
|
35
|
+
delete item
|
36
|
+
end
|
37
|
+
end # class CustomList
|
38
|
+
|
39
|
+
# // ������� ����� "������������� ������"
|
40
|
+
#type tSortedList = class(CustomList)
|
41
|
+
# fDuplicates : tDuplicates;
|
42
|
+
# constructor create;
|
43
|
+
# function checkitem(item: pointer): boolean; virtual; abstract;
|
44
|
+
# function compare(item1, item2: pointer): longint; virtual; abstract;
|
45
|
+
# function search(item: pointer; var index: longint): boolean; virtual;
|
46
|
+
# procedure add(item: pointer); virtual;
|
47
|
+
# procedure insert(index: longint; item: pointer); virtual;
|
48
|
+
# end;
|
49
|
+
class SortedList < CustomList
|
50
|
+
|
51
|
+
attr_accessor :duplicates
|
52
|
+
|
53
|
+
def initialize
|
54
|
+
@duplicates = :dup_accept
|
55
|
+
super
|
56
|
+
end
|
57
|
+
|
58
|
+
# Returns true and item's index if item is in the List
|
59
|
+
# Returns false and item's index if item not found
|
60
|
+
def search item #(item: pointer; var index: longint): boolean
|
61
|
+
result = false
|
62
|
+
l = 0
|
63
|
+
h = size - 1
|
64
|
+
while (l <= h) do
|
65
|
+
i = (l + h) >> 1
|
66
|
+
case compare(self[i], item)
|
67
|
+
when -1
|
68
|
+
l = i + 1
|
69
|
+
when 1
|
70
|
+
h = i - 1
|
71
|
+
when 0
|
72
|
+
h = i - 1
|
73
|
+
result = true
|
74
|
+
l = i if @duplicates == :dup_ignore || @duplicates == :dup_replace
|
75
|
+
end
|
76
|
+
end
|
77
|
+
index = l
|
78
|
+
[result, index]
|
79
|
+
end
|
80
|
+
|
81
|
+
def add item #(item: pointer)
|
82
|
+
if checkitem(item)
|
83
|
+
result, index = search(item)
|
84
|
+
if result
|
85
|
+
case @duplicates
|
86
|
+
when :dup_accept
|
87
|
+
insert(index, item)
|
88
|
+
when :dup_ignore
|
89
|
+
freeitem(item)
|
90
|
+
when :dup_replace
|
91
|
+
freeitem(self[index])
|
92
|
+
self[index] = item
|
93
|
+
end
|
94
|
+
else
|
95
|
+
insert(index, item)
|
96
|
+
end
|
97
|
+
else
|
98
|
+
freeitem(item)
|
99
|
+
end
|
100
|
+
end
|
101
|
+
|
102
|
+
def insert index, item #(index: longint; item: pointer)
|
103
|
+
if checkitem(item)
|
104
|
+
super index, item
|
105
|
+
end
|
106
|
+
end
|
107
|
+
end # class SortedList
|
108
|
+
|
109
|
+
# // ������ ������� �� ����
|
110
|
+
#type tOrderBook = class(tSortedList)
|
111
|
+
# private
|
112
|
+
# fisin_id : longint;
|
113
|
+
# fchanged : boolean;
|
114
|
+
# public
|
115
|
+
# procedure freeitem(item: pointer); override;
|
116
|
+
# function checkitem(item: pointer): boolean; override;
|
117
|
+
# function compare(item1, item2: pointer): longint; override;
|
118
|
+
#
|
119
|
+
# procedure add(item: pointer); override;
|
120
|
+
# procedure remove(item: pointer); override;
|
121
|
+
#
|
122
|
+
# property isin_id: longint read fisin_id;
|
123
|
+
# property changed: boolean read fchanged write fchanged;
|
124
|
+
# end;
|
125
|
+
class OrderBook < SortedList
|
126
|
+
attr_accessor :isin_id, :changed
|
127
|
+
|
128
|
+
def initialize isin_id
|
129
|
+
@isin_id = isin_id
|
130
|
+
super()
|
131
|
+
end
|
132
|
+
|
133
|
+
def checkitem item #(item: pointer): boolean
|
134
|
+
item.price > 0
|
135
|
+
end
|
136
|
+
|
137
|
+
def compare item1, item2 #(item1, item2: pointer): longint
|
138
|
+
item1.price <=> item2.price
|
139
|
+
end
|
140
|
+
|
141
|
+
def add item #(item: pointer)
|
142
|
+
super item
|
143
|
+
@changed = true
|
144
|
+
end
|
145
|
+
|
146
|
+
def remove item #(item: pointer)
|
147
|
+
super item
|
148
|
+
@changed = true
|
149
|
+
end
|
150
|
+
end # class OrderBook
|
151
|
+
|
152
|
+
# // ������ ��������
|
153
|
+
#type tPriceLists = class(tSortedList)
|
154
|
+
# private
|
155
|
+
# tmp_ordbook : tOrderBook;
|
156
|
+
# public
|
157
|
+
# destructor destroy; override;
|
158
|
+
# procedure freeitem(item: pointer); override;
|
159
|
+
# function checkitem(item: pointer): boolean; override;
|
160
|
+
# function compare(item1, item2: pointer): longint; override;
|
161
|
+
# function searchadditem(isin_id: longint): tOrderBook;
|
162
|
+
# end;
|
163
|
+
#
|
164
|
+
class OrderBookList < SortedList
|
165
|
+
|
166
|
+
def checkitem item #(item: pointer): boolean
|
167
|
+
item
|
168
|
+
end
|
169
|
+
|
170
|
+
def compare(item1, item2) #(item1, item2: pointer): longint
|
171
|
+
item1.isin_id <=> item2.isin_id;
|
172
|
+
end
|
173
|
+
|
174
|
+
def searchadditem(isin_id) #(isin_id: longint): OrderBook
|
175
|
+
order_book = OrderBook.new(isin_id)
|
176
|
+
exists, idx = search(order_book)
|
177
|
+
if exists
|
178
|
+
result = self[idx]
|
179
|
+
else
|
180
|
+
result = order_book
|
181
|
+
insert(idx, result)
|
182
|
+
end
|
183
|
+
result
|
184
|
+
end
|
185
|
+
|
186
|
+
end # class OrderBook
|
187
|
+
|
188
|
+
# // ����� ������� ���������
|
189
|
+
#type OrderList = class(tSortedList)
|
190
|
+
# fOrderBooks : tPriceLists;
|
191
|
+
# constructor create;
|
192
|
+
# destructor destroy; override;
|
193
|
+
# procedure freeitem(item: pointer); override;
|
194
|
+
# function checkitem(item: pointer): boolean; override;
|
195
|
+
# function compare(item1, item2: pointer): longint; override;
|
196
|
+
# function searchadditem(isin_id: longint): tOrderBook;
|
197
|
+
# function addrecord(isin_id: longint; const id, rev: int64; const price, volume: double; buysell: longint): boolean;
|
198
|
+
# function delrecord(const id: int64): boolean;
|
199
|
+
# procedure clearbyrev(const rev: int64);
|
200
|
+
# end;
|
201
|
+
class OrderList < SortedList
|
202
|
+
attr_accessor :books
|
203
|
+
|
204
|
+
def initialize
|
205
|
+
super
|
206
|
+
@books = OrderBookList.new
|
207
|
+
end
|
208
|
+
|
209
|
+
def freeitem item #(item: pointer)
|
210
|
+
item.order_book.remove(item) if item.order_book
|
211
|
+
end
|
212
|
+
|
213
|
+
def checkitem item #(item: pointer): boolean
|
214
|
+
item
|
215
|
+
end
|
216
|
+
|
217
|
+
def compare(item1, item2) #: pointer): longint
|
218
|
+
item1.id <=> item2.id
|
219
|
+
end
|
220
|
+
|
221
|
+
def searchadditem isin_id #(isin_id: longint): OrderBook
|
222
|
+
@books.searchadditem(isin_id)
|
223
|
+
end
|
224
|
+
|
225
|
+
def addrecord isin_id, id, rev, price, volume, buysell #(isin_id: longint; const id, rev: int64; const price, volume: double; buysell: longint): boolean
|
226
|
+
item = OrderItem.new
|
227
|
+
item.id = id
|
228
|
+
result, idx = search(item)
|
229
|
+
if result
|
230
|
+
item = self[idx]
|
231
|
+
|
232
|
+
if item.price != price # �������, ��� ���� ����������
|
233
|
+
item.order_book.remove(item) if item.order_book # ������� �� �������
|
234
|
+
if price > 0
|
235
|
+
item.order_book = searchadditem(isin_id) unless item.order_book
|
236
|
+
item.order_book.add(item) if item.order_book # ��������� � ������
|
237
|
+
else
|
238
|
+
item.order_book = nil;
|
239
|
+
end
|
240
|
+
end
|
241
|
+
|
242
|
+
item.rev = rev
|
243
|
+
item.price = price
|
244
|
+
item.volume = volume
|
245
|
+
item.buysell = buysell
|
246
|
+
else
|
247
|
+
item.rev = rev
|
248
|
+
item.price = price
|
249
|
+
item.volume = volume
|
250
|
+
item.buysell = buysell
|
251
|
+
|
252
|
+
if (item.price > 0)
|
253
|
+
item.order_book = searchadditem(isin_id)
|
254
|
+
item.order_book.add(item) if item.order_book # ��������� � ������
|
255
|
+
else
|
256
|
+
item.order_book = nil
|
257
|
+
end
|
258
|
+
insert(idx, item) # ��������� � ����� �������
|
259
|
+
end
|
260
|
+
end
|
261
|
+
|
262
|
+
def delrecord id #(const id: int64): boolean
|
263
|
+
item = OrderItem.new
|
264
|
+
item.id = id
|
265
|
+
result, idx = search(item)
|
266
|
+
delete_at(idx) if result # ������� �� ����� �������
|
267
|
+
end
|
268
|
+
|
269
|
+
# Delete all records with rev less than given
|
270
|
+
def clearbyrev rev #(const rev: int64)
|
271
|
+
(size-1).downto(0) do |i|
|
272
|
+
delete_at(i) if self[i].rev < rev # ������� �� ����� �������
|
273
|
+
end
|
274
|
+
end
|
275
|
+
|
276
|
+
end #class OrderList
|
277
|
+
|
278
|
+
# // ������� "������ � �������"
|
279
|
+
#type pOrderItem = ^tOrderItem;
|
280
|
+
# tOrderItem = record
|
281
|
+
# id : int64;
|
282
|
+
# rev : int64;
|
283
|
+
# price : double; // ����
|
284
|
+
# volume : double; // ���-��
|
285
|
+
# buysell : longint; // �������(1)/�������(2)
|
286
|
+
# order_book : tOrderBook;
|
287
|
+
# end;
|
288
|
+
class OrderItem
|
289
|
+
attr_accessor :id, :rev, :price, :volume, :buysell, :order_book
|
290
|
+
|
291
|
+
def inspect
|
292
|
+
"#{id}:#{price}>#{volume}#{buysell == 1 ? '+' : '-'}"
|
293
|
+
end
|
294
|
+
|
295
|
+
alias to_s inspect
|
296
|
+
end
|
297
|
+
|
298
|
+
#######################
|
299
|
+
# New hierarchy:
|
300
|
+
#######################
|
301
|
+
|
302
|
+
# Abstract (equivalent of SortedList)
|
303
|
+
# ������� ����� "������������� ������"
|
304
|
+
class SortedHash < Hash
|
305
|
+
|
306
|
+
def free item
|
307
|
+
end
|
308
|
+
|
309
|
+
def check item
|
310
|
+
true
|
311
|
+
end
|
312
|
+
|
313
|
+
def index item
|
314
|
+
item.object_id
|
315
|
+
end
|
316
|
+
|
317
|
+
# Adds new item only if it passes check...
|
318
|
+
# TODO: What to do with the item it should have replaced?!
|
319
|
+
def add item
|
320
|
+
self[index item] = item if check item
|
321
|
+
# check item ? super : free key # delete key
|
322
|
+
end
|
323
|
+
|
324
|
+
def remove item
|
325
|
+
free item
|
326
|
+
delete index item
|
327
|
+
end
|
328
|
+
|
329
|
+
def clear
|
330
|
+
each_value { |item| free item }
|
331
|
+
super
|
332
|
+
end
|
333
|
+
end # SortedHash
|
334
|
+
|
335
|
+
# Represents DOM (OrderBook) for one security
|
336
|
+
# ������ ������� �� ����
|
337
|
+
class DOM < SortedHash
|
338
|
+
attr_accessor :isin_id, :changed
|
339
|
+
|
340
|
+
def initialize isin_id
|
341
|
+
@isin_id = isin_id
|
342
|
+
@changed = false
|
343
|
+
super
|
344
|
+
end
|
345
|
+
|
346
|
+
def index item
|
347
|
+
item.price
|
348
|
+
end
|
349
|
+
|
350
|
+
def check item
|
351
|
+
item.price > 0
|
352
|
+
end
|
353
|
+
|
354
|
+
def add item
|
355
|
+
@changed = true # Marking DOM as changed
|
356
|
+
super
|
357
|
+
end
|
358
|
+
|
359
|
+
def remove item
|
360
|
+
@changed = true # Marking DOM as changed
|
361
|
+
super
|
362
|
+
end
|
363
|
+
end # class DOM
|
364
|
+
|
365
|
+
|
366
|
+
# Represents Hash of DOMs (OrderBooks) indexed by isin_id
|
367
|
+
# ������ ��������
|
368
|
+
class DOMHash < SortedHash
|
369
|
+
|
370
|
+
def index item
|
371
|
+
item.isin_id
|
372
|
+
end
|
373
|
+
|
374
|
+
# Always return DOM for isin_id, create one on spot if need be
|
375
|
+
def [] isin_id
|
376
|
+
super || add(DOM.new isin_id)
|
377
|
+
end
|
378
|
+
end # class DOMHash
|
379
|
+
|
380
|
+
# Represents Hash of all aggregated orders by (repl) id
|
381
|
+
# ����� ������� ���������
|
382
|
+
class OrderHash < SortedHash
|
383
|
+
attr_accessor :books
|
384
|
+
|
385
|
+
def index item
|
386
|
+
item.id
|
387
|
+
end
|
388
|
+
|
389
|
+
def initialize
|
390
|
+
super
|
391
|
+
@books = DOMHash.new
|
392
|
+
end
|
393
|
+
|
394
|
+
# We need to clear item from its order book before scrapping it
|
395
|
+
def free item
|
396
|
+
item.order_book.remove item if item.order_book
|
397
|
+
end
|
398
|
+
|
399
|
+
# Rebooks item to a correct order book, given its price
|
400
|
+
def rebook item, book
|
401
|
+
if (item.price > 0)
|
402
|
+
# item represents new aggr_order with price
|
403
|
+
item.order_book = book unless item.order_book
|
404
|
+
book.add item # ��������� � ������
|
405
|
+
else
|
406
|
+
# item clears previous aggr_order for given price
|
407
|
+
item.order_book = nil
|
408
|
+
end
|
409
|
+
end
|
410
|
+
|
411
|
+
# process_record
|
412
|
+
def addrecord isin_id, id, rev, price, volume, buysell
|
413
|
+
item = self[id] || OrderItem.new
|
414
|
+
|
415
|
+
price_changed = item.price != price # �������, ��� ���� ����������
|
416
|
+
|
417
|
+
item.id = id
|
418
|
+
item.rev = rev
|
419
|
+
item.price = price
|
420
|
+
item.volume = volume
|
421
|
+
item.buysell = buysell
|
422
|
+
|
423
|
+
if price_changed
|
424
|
+
if self[id] # item is already here
|
425
|
+
item.order_book.remove item if item.order_book # free item - ������� �� �������
|
426
|
+
else # new item
|
427
|
+
add item
|
428
|
+
end
|
429
|
+
rebook item, @books[isin_id]
|
430
|
+
end
|
431
|
+
end
|
432
|
+
|
433
|
+
def delrecord id
|
434
|
+
remove self[id] if self[id]
|
435
|
+
end
|
436
|
+
|
437
|
+
# Clear all records with rev less than given
|
438
|
+
def clearbyrev rev #(const rev: int64)
|
439
|
+
each_value { |item| remove item if item.rev < rev } # ������� �� ����� �������
|
440
|
+
end
|
441
|
+
end # class OrderHash
|
442
|
+
|
443
|
+
end # module
|