fin 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- 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,
|
53
|
+
: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
|