orders 0.0.2

data/.gitignore

@@ -0,0 +1,24 @@
+## MAC OS
+.DS_Store
+
+## TEXTMATE
+*.tmproj
+tmtags
+
+## EMACS
+*~
+\#*
+.\#*
+
+## VIM
+*.swp
+
+## PROJECT::GENERAL
+coverage
+rdoc
+pkg
+log
+.idea
+.bundle
+
+## PROJECT::SPECIFIC

data/HISTORY

@@ -0,0 +1,11 @@
+== 0.0.0 / 2011-03-18
+
+* Birthday!
+
+== 0.0.1 / 2011-03-18
+
+* Structure created
+
+== 0.0.2 / 2011-03-19
+
+* Namespace renamed to Orders

data/LICENSE

@@ -0,0 +1,20 @@
+Copyright (c) 2010 Arvicco
+
+Permission is hereby granted, free of charge, to any person obtaining
+a copy of this software and associated documentation files (the
+"Software"), to deal in the Software without restriction, including
+without limitation the rights to use, copy, modify, merge, publish,
+distribute, sublicense, and/or sell copies of the Software, and to
+permit persons to whom the Software is furnished to do so, subject to
+the following conditions:
+
+The above copyright notice and this permission notice shall be
+included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

data/README.rdoc

@@ -0,0 +1,26 @@
+= orders
+by:: Arvicco
+url:: http://github.com/arvicco/orders
+
+== DESCRIPTION:
+
+Basic structures used to create DOM models.
+
+== FEATURES/PROBLEMS:
+
+Enclosed structures are used to accumulate, analyse and visualize streams of market
+order data (either in aggregated or full order log form). They are required by the
+client and gateway modules that deal with market order data streams and derived
+artefacts (such as OrderBooks).
+
+Data structures need to be:
+1) memory-efficient
+2) thread-safe (without too much synchronization penalty)
+3) iteration-safe (adding new element while iterating should not raise exception)
+
+== INSTALL:
+
+  $ sudo gem install order_book
+
+== LICENSE:
+Copyright (c) 2011 Arvicco. See LICENSE for details.

data/Rakefile

@@ -0,0 +1,25 @@
+begin
+  require 'rake'
+rescue LoadError
+  require 'rubygems'
+  gem 'rake', '~> 0.8.3.1'
+  require 'rake'
+end
+
+require 'pathname'
+
+BASE_PATH = Pathname.new(__FILE__).dirname
+LIB_PATH =  BASE_PATH + 'lib'
+PKG_PATH =  BASE_PATH + 'pkg'
+DOC_PATH =  BASE_PATH + 'rdoc'
+
+$LOAD_PATH.unshift LIB_PATH.to_s
+require 'version'
+
+NAME = 'orders'
+CLASS_NAME = Orders
+
+# Load rakefile tasks
+Dir['tasks/*.rake'].sort.each { |file| load file }
+
+# Project-specific tasks

data/VERSION

@@ -0,0 +1 @@
+0.0.2

data/features/order_book.feature

@@ -0,0 +1,9 @@
+Feature: something something
+  In order to something something
+  A user something something
+  something something something
+
+  Scenario: something something
+    Given inspiration
+    When I create a sweet new gem
+    Then everyone should see how awesome I am

data/features/support/env.rb

@@ -0,0 +1,10 @@
+$LOAD_PATH.unshift(File.dirname(__FILE__) + '/../../lib')
+
+require 'pathname'
+require 'bundler'
+Bundler.setup
+Bundler.require :cucumber
+
+require 'order_book'
+
+BASE_PATH = Pathname.new(__FILE__).dirname + '../..'

data/features/support/world.rb

@@ -0,0 +1,12 @@
+module SystemHelper
+
+  def windows?
+    RUBY_PLATFORM =~ /mswin|windows|mingw/ || cygwin?
+  end
+
+  def cygwin?
+    RUBY_PLATFORM =~ /cygwin/
+  end
+end
+
+World(WinGui, SystemHelper)

data/lib/legacy.rb

@@ -0,0 +1,443 @@
+# Legacy VCL-based code to be converted into new efficient Ruby code
+
+module VCL
+
+#type
+#  tDuplicates = [:dup_accept, :dup_ignore, :dup_replace]
+#      // ������� ����� "������" � ���������� ��������������� ������������ ���������
+#type  CustomList     = class(tList)
+#        procedure   clear; override;
+#        procedure   freeitem(item: pointer); virtual; abstract;
+#        procedure   freeall; virtual;
+#        procedure   delete(index: longint); virtual;
+#        procedure   remove(item: pointer); virtual;
+#      end;
+  class CustomList < Array
+
+    def clear
+      (0...size).each { freeitem(self[i]) }
+      super
+    end
+
+    def freeall
+      clear
+    end
+
+    def freeitem item
+    end
+
+    # Standard #delete_at instead of #delete
+
+    # Deletes ALL items from arr that are equal to obj.?
+    # No, we need to remove ONE item by "pointer"
+    def remove item #(item: pointer)
+      freeitem item
+      delete item
+    end
+  end # class CustomList
+
+#      // ������� ����� "������������� ������"
+#type  tSortedList     = class(CustomList)
+#        fDuplicates   : tDuplicates;
+#        constructor create;
+#        function    checkitem(item: pointer): boolean; virtual; abstract;
+#        function    compare(item1, item2: pointer): longint; virtual; abstract;
+#        function    search(item: pointer; var index: longint): boolean; virtual;
+#        procedure   add(item: pointer); virtual;
+#        procedure   insert(index: longint; item: pointer); virtual;
+#      end;
+  class SortedList < CustomList
+
+    attr_accessor :duplicates
+
+    def initialize
+      @duplicates = :dup_accept
+      super
+    end
+
+    # Returns true and item's index if item is in the List
+    # Returns false and item's index  if item not found
+    def search item #(item: pointer; var index: longint): boolean
+      result = false
+      l = 0
+      h = size - 1
+      while (l <= h) do
+        i = (l + h) >> 1
+        case compare(self[i], item)
+          when -1
+            l = i + 1
+          when 1
+            h = i - 1
+          when 0
+            h = i - 1
+            result = true
+            l = i if @duplicates == :dup_ignore || @duplicates == :dup_replace
+        end
+      end
+      index = l
+      [result, index]
+    end
+
+    def add item #(item: pointer)
+      if checkitem(item)
+        result, index = search(item)
+        if result
+          case @duplicates
+            when :dup_accept
+              insert(index, item)
+            when :dup_ignore
+              freeitem(item)
+            when :dup_replace
+              freeitem(self[index])
+              self[index] = item
+          end
+        else
+          insert(index, item)
+        end
+      else
+        freeitem(item)
+      end
+    end
+
+    def insert index, item #(index: longint; item: pointer)
+      if checkitem(item)
+        super index, item
+      end
+    end
+  end # class SortedList
+
+#      // ������ ������� �� ����
+#type  tOrderBook      = class(tSortedList)
+#      private
+#        fisin_id      : longint;
+#        fchanged      : boolean;
+#      public
+#        procedure   freeitem(item: pointer); override;
+#        function    checkitem(item: pointer): boolean; override;
+#        function    compare(item1, item2: pointer): longint; override;
+#
+#        procedure   add(item: pointer); override;
+#        procedure   remove(item: pointer); override;
+#
+#        property    isin_id: longint read fisin_id;
+#        property    changed: boolean read fchanged write fchanged;
+#      end;
+  class OrderBook < SortedList
+    attr_accessor :isin_id, :changed
+
+    def initialize isin_id
+      @isin_id = isin_id
+      super()
+    end
+
+    def checkitem item #(item: pointer): boolean
+      item.price > 0
+    end
+
+    def compare item1, item2 #(item1, item2: pointer): longint
+      item1.price <=> item2.price
+    end
+
+    def add item #(item: pointer)
+      super item
+      @changed = true
+    end
+
+    def remove item #(item: pointer)
+      super item
+      @changed = true
+    end
+  end # class OrderBook
+
+#      // ������ ��������
+#type  tPriceLists     = class(tSortedList)
+#      private
+#        tmp_ordbook   : tOrderBook;
+#      public
+#        destructor  destroy; override;
+#        procedure   freeitem(item: pointer); override;
+#        function    checkitem(item: pointer): boolean; override;
+#        function    compare(item1, item2: pointer): longint; override;
+#        function    searchadditem(isin_id: longint): tOrderBook;
+#      end;
+#
+  class OrderBookList < SortedList
+
+    def checkitem item #(item: pointer): boolean
+      item
+    end
+
+    def compare(item1, item2) #(item1, item2: pointer): longint
+      item1.isin_id <=> item2.isin_id;
+    end
+
+    def searchadditem(isin_id) #(isin_id: longint): OrderBook
+      order_book = OrderBook.new(isin_id)
+      exists, idx = search(order_book)
+      if exists
+        result = self[idx]
+      else
+        result = order_book
+        insert(idx, result)
+      end
+      result
+    end
+
+  end # class OrderBook
+
+#      // ����� ������� ���������
+#type  OrderList  = class(tSortedList)
+#        fOrderBooks   : tPriceLists;
+#        constructor create;
+#        destructor  destroy; override;
+#        procedure   freeitem(item: pointer); override;
+#        function    checkitem(item: pointer): boolean; override;
+#        function    compare(item1, item2: pointer): longint; override;
+#        function    searchadditem(isin_id: longint): tOrderBook;
+#        function    addrecord(isin_id: longint; const id, rev: int64; const price, volume: double; buysell: longint): boolean;
+#        function    delrecord(const id: int64): boolean;
+#        procedure   clearbyrev(const rev: int64);
+#      end;
+  class OrderList < SortedList
+    attr_accessor :order_books
+
+    def initialize
+      super
+      @order_books = OrderBookList.new
+    end
+
+    def freeitem item #(item: pointer)
+      item.order_book.remove(item) if item.order_book
+    end
+
+    def checkitem item #(item: pointer): boolean
+      item
+    end
+
+    def compare(item1, item2) #: pointer): longint
+      item1.id <=> item2.id
+    end
+
+    def searchadditem isin_id #(isin_id: longint): OrderBook
+      @order_books.searchadditem(isin_id)
+    end
+
+    def addrecord isin_id, id, rev, price, volume, buysell #(isin_id: longint; const id, rev: int64; const price, volume: double; buysell: longint): boolean
+      item = OrderBookItem.new
+      item.id = id
+      result, idx = search(item)
+      if result
+        item = self[idx]
+
+        if item.price != price # �������, ��� ���� ����������
+          item.order_book.remove(item) if item.order_book # ������� �� �������
+          if price > 0
+            item.order_book = searchadditem(isin_id) unless item.order_book
+            item.order_book.add(item) if item.order_book # ��������� � ������
+          else
+            item.order_book = nil;
+          end
+        end
+
+        item.rev = rev
+        item.price = price
+        item.volume = volume
+        item.buysell = buysell
+      else
+        item.rev = rev
+        item.price = price
+        item.volume = volume
+        item.buysell = buysell
+
+        if (item.price > 0)
+          item.order_book = searchadditem(isin_id)
+          item.order_book.add(item) if item.order_book # ��������� � ������
+        else
+          item.order_book = nil
+        end
+        insert(idx, item) # ��������� � ����� �������
+      end
+    end
+
+    def delrecord id #(const id: int64): boolean
+      item = OrderBookItem.new
+      item.id = id
+      result, idx = search(item)
+      delete_at(idx) if result # ������� �� ����� �������
+    end
+
+    # Delete all records with rev less than given
+    def clearbyrev rev #(const rev: int64)
+      (size-1).downto(0) do |i|
+        delete_at(i) if self[i].rev < rev # ������� �� ����� �������
+      end
+    end
+
+  end #class OrderList
+
+#      // ������� "������ � �������"
+#type  pOrderBookItem  = ^tOrderBookItem;
+#      tOrderBookItem  = record
+#        id         : int64;
+#        rev        : int64;
+#        price         : double;  // ����
+#        volume        : double;  // ���-��
+#        buysell       : longint; // �������(1)/�������(2)
+#        order_book      : tOrderBook;
+#      end;
+  class OrderBookItem
+    attr_accessor :id, :rev, :price, :volume, :buysell, :order_book
+
+    def inspect
+      "#{id}:#{price}>#{volume}#{buysell == 1 ? '+' : '-'}"
+    end
+
+    alias to_s inspect
+  end
+
+  #######################
+  # New hierarchy:
+  #######################
+
+  # Abstract (equivalent of SortedList)
+  # ������� ����� "������������� ������"
+  class SortedHash < Hash
+
+    def free item
+    end
+
+    def check item
+      true
+    end
+
+    def index item
+      item.object_id
+    end
+
+    # Adds new item only if it passes check...
+    # TODO: What to do with the item it should have replaced?!
+    def add item
+      self[index item] = item if check item
+#      check item ? super : free key # delete key
+    end
+
+    def remove item
+      free item
+      delete index item
+    end
+
+    def clear
+      each_value { |item| free item }
+      super
+    end
+  end # SortedHash
+
+  # Represents DOM (OrderBook) for one security
+  # ������ ������� �� ����
+  class DOM < SortedHash
+    attr_accessor :isin_id, :changed
+
+    def initialize isin_id
+      @isin_id = isin_id
+      @changed = false
+      super
+    end
+
+    def index item
+      item.price
+    end
+
+    def check item
+      item.price > 0
+    end
+
+    def add item
+      @changed = true # Marking DOM as changed
+      super
+    end
+
+    def remove item
+      @changed = true # Marking DOM as changed
+      super
+    end
+  end # class DOM
+
+
+  # Represents Hash of DOMs (OrderBooks) indexed by isin_id
+  #      ������ ��������
+  class DOMHash < SortedHash
+
+    def index item
+      item.isin_id
+    end
+
+    # Always return DOM for isin_id, create one on spot if need be
+    def [] isin_id
+      super || add(DOM.new isin_id)
+    end
+  end # class DOMHash
+
+  # Represents Hash of all aggregated orders by (repl) id
+  #    ����� ������� ���������
+  class OrderHash < SortedHash
+    attr_accessor :order_books
+
+    def index item
+      item.id
+    end
+
+    def initialize
+      super
+      @order_books = DOMHash.new
+    end
+
+    # We need to clear item from its order book before scrapping it
+    def free item
+      item.order_book.remove item if item.order_book
+    end
+
+    # Rebooks item to a correct order book, given its price
+    def rebook item, book
+      if (item.price > 0)
+        # item represents new aggr_order with price
+        item.order_book = book unless item.order_book
+        book.add item # ��������� � ������
+      else
+        # item clears previous aggr_order for given price
+        item.order_book = nil
+      end
+    end
+
+    # process_record
+    def addrecord isin_id, id, rev, price, volume, buysell
+      item = self[id] || OrderBookItem.new
+
+      price_changed = item.price != price # �������, ��� ���� ����������
+
+      item.id = id
+      item.rev = rev
+      item.price = price
+      item.volume = volume
+      item.buysell = buysell
+
+      if price_changed
+        if self[id] # item is already here
+          item.order_book.remove item if item.order_book # free item - ������� �� �������
+        else # new item
+          add item
+        end
+        rebook item, @order_books[isin_id]
+      end
+    end
+
+    def delrecord id
+      remove self[id] if self[id]
+    end
+
+    # Clear all records with rev less than given
+    def clearbyrev rev #(const rev: int64)
+      each_value { |item| remove item if item.rev < rev } # ������� �� ����� �������
+    end
+  end # class OrderHash
+
+end # module