@vuu-ui/vuu-data-test 2.1.19-beta.1 → 2.1.19-beta.2

package/src/simul/reference-data/isin-generator/index.js

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+import { generateCusip } from "./generate-cusip.js";
+const countryCodes = [
+    "AD",
+    "AE",
+    "AF",
+    "AG",
+    "AI",
+    "AL",
+    "AM",
+    "AO",
+    "AQ",
+    "AR",
+    "AS",
+    "AT",
+    "AU",
+    "AW",
+    "AX",
+    "AZ",
+    "BA",
+    "BB",
+    "BD",
+    "BE",
+    "BF",
+    "BG",
+    "BH",
+    "BI",
+    "BJ",
+    "BL",
+    "BM",
+    "BN",
+    "BO",
+    "BQ",
+    "BR",
+    "BS",
+    "BT",
+    "BV",
+    "BW",
+    "BY",
+    "BZ",
+    "CA",
+    "CC",
+    "CD",
+    "CF",
+    "CG",
+    "CH",
+    "CI",
+    "CK",
+    "CL",
+    "CM",
+    "CN",
+    "CO",
+    "CR",
+    "CU",
+    "CV",
+    "CW",
+    "CX",
+    "CY",
+    "CZ",
+    "DE",
+    "DJ",
+    "DK",
+    "DM",
+    "DO",
+    "DZ",
+    "EC",
+    "EE",
+    "EG",
+    "EH",
+    "ER",
+    "ES",
+    "ET",
+    "FI",
+    "FJ",
+    "FK",
+    "FM",
+    "FO",
+    "FR",
+    "GA",
+    "GB",
+    "GD",
+    "GE",
+    "GF",
+    "GG",
+    "GH",
+    "GI",
+    "GL",
+    "GM",
+    "GN",
+    "GP",
+    "GQ",
+    "GR",
+    "GS",
+    "GT",
+    "GU",
+    "GW",
+    "GY",
+    "HK",
+    "HM",
+    "HN",
+    "HR",
+    "HT",
+    "HU",
+    "ID",
+    "IE",
+    "IL",
+    "IM",
+    "IN",
+    "IO",
+    "IQ",
+    "IR",
+    "IS",
+    "IT",
+    "JE",
+    "JM",
+    "JO",
+    "JP",
+    "KE",
+    "KG",
+    "KH",
+    "KI",
+    "KM",
+    "KN",
+    "KP",
+    "KR",
+    "KW",
+    "KY",
+    "KZ",
+    "LA",
+    "LB",
+    "LC",
+    "LI",
+    "LK",
+    "LR",
+    "LS",
+    "LT",
+    "LU",
+    "LV",
+    "LY",
+    "MA",
+    "MC",
+    "MD",
+    "ME",
+    "MF",
+    "MG",
+    "MH",
+    "MK",
+    "ML",
+    "MM",
+    "MN",
+    "MO",
+    "MP",
+    "MQ",
+    "MR",
+    "MS",
+    "MT",
+    "MU",
+    "MV",
+    "MW",
+    "MX",
+    "MY",
+    "MZ",
+    "NA",
+    "NC",
+    "NE",
+    "NF",
+    "NG",
+    "NI",
+    "NL",
+    "NO",
+    "NP",
+    "NR",
+    "NU",
+    "NZ",
+    "OM",
+    "PA",
+    "PE",
+    "PF",
+    "PG",
+    "PH",
+    "PK",
+    "PL",
+    "PM",
+    "PN",
+    "PR",
+    "PS",
+    "PT",
+    "PW",
+    "PY",
+    "QA",
+    "RE",
+    "RO",
+    "RS",
+    "RU",
+    "RW",
+    "SA",
+    "SB",
+    "SC",
+    "SD",
+    "SE",
+    "SG",
+    "SH",
+    "SI",
+    "SJ",
+    "SK",
+    "SL",
+    "SM",
+    "SN",
+    "SO",
+    "SR",
+    "SS",
+    "ST",
+    "SV",
+    "SX",
+    "SY",
+    "SZ",
+    "TC",
+    "TD",
+    "TF",
+    "TG",
+    "TH",
+    "TJ",
+    "TK",
+    "TL",
+    "TM",
+    "TN",
+    "TO",
+    "TR",
+    "TT",
+    "TV",
+    "TW",
+    "TZ",
+    "UA",
+    "UG",
+    "UM",
+    "US",
+    "UY",
+    "UZ",
+    "VA",
+    "VC",
+    "VE",
+    "VG",
+    "VI",
+    "VN",
+    "VU",
+    "WF",
+    "WS",
+    "YE",
+    "YT",
+    "ZA",
+    "ZM",
+    "ZW"
+];
+const isin_generator_cusip = generateCusip();
+const generateIsin = (cusip)=>{
+    const code = countryCodes[Math.floor(Math.random() * countryCodes.length)];
+    const isin = code + cusip + generateIsinCheckDigit(code + cusip + "0");
+    return isin;
+};
+const generateIsinCheckDigit = (isin)=>{
+    if (12 != isin.length) return false;
+    const v = [];
+    for(let i = isin.length - 2; i >= 0; i--){
+        const c = isin.charAt(i);
+        if (isNaN(parseInt(c))) {
+            const letterCode = isin.charCodeAt(i) - 55;
+            v.push(letterCode % 10);
+            if (letterCode > 9) v.push(Math.floor(letterCode / 10));
+        } else v.push(Number(c));
+    }
+    let sum = 0;
+    const l = v.length;
+    for(let i = 0; i < l; i++)if (i % 2 == 0) {
+        const d = 2 * v[i];
+        sum += Math.floor(d / 10);
+        sum += d % 10;
+    } else sum += v[i];
+    return (10 - sum % 10) % 10;
+};
+const isinGenerator = ()=>generateIsin(isin_generator_cusip);
+export { isinGenerator };

package/src/simul/reference-data/isin-generator/is-odd.js

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+const isOdd = (value)=>value % 2 === 1;
+export { isOdd };

package/src/simul/reference-data/locations.js

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+const locations = {
+    L: [
+        "London PLC",
+        "XLON/LSE-SETS"
+    ],
+    N: [
+        "Corporation",
+        "XNGS/NAS-GSM"
+    ],
+    AS: [
+        "B.V.",
+        "XAMS/ENA-MAIN"
+    ],
+    OQ: [
+        "Co.",
+        "XNYS/NYS-MAIN"
+    ],
+    PA: [
+        "Paris",
+        "PAR/EUR_FR"
+    ],
+    MI: [
+        "Milan",
+        "MIL/EUR_IT"
+    ],
+    FR: [
+        "Frankfurt",
+        "FR/EUR_DE"
+    ],
+    AT: [
+        "Athens",
+        "AT/EUR_GR"
+    ]
+};
+const suffixes = [
+    "L",
+    "N",
+    "OQ",
+    "AS",
+    "PA",
+    "MI",
+    "FR",
+    "AT"
+];
+export { locations, suffixes };

package/src/simul/reference-data/lotsizes.js

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+const lotsizes = [
+    1,
+    2,
+    5,
+    10,
+    50,
+    50,
+    70,
+    100,
+    100,
+    100,
+    120,
+    150,
+    150,
+    200,
+    500,
+    700,
+    1000,
+    2000,
+    2500,
+    5000,
+    10000
+];
+export { lotsizes };

package/src/simul/reference-data/orderStatus.js

@@ -0,0 +1,6 @@
+const orderStatus = [
+    "NEW",
+    "CANCELLED",
+    "FILLED"
+];
+export { orderStatus };

package/src/simul/reference-data/orders.js

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+import { currencies } from "./currencies.js";
+import { getRic } from "./instruments.js";
+import { random } from "../../data-utils.js";
+import { buildDataColumnMap } from "../../Table.js";
+import { schemas } from "../simul-schemas.js";
+import { sides } from "./sides.js";
+import TableContainer from "../../core/table/TableContainer.js";
+const traders = [
+    "Trader A",
+    "Trader B",
+    "Trader C"
+];
+const orderStatus = [
+    "Filled",
+    "Cancelled",
+    "New",
+    "Partial Exec",
+    "Booked",
+    "All Done"
+];
+const isComplete = (status)=>[
+        "Filled",
+        "All Done",
+        "Booked"
+    ].includes(status);
+const OrderColumnMap = {
+    ccy: 0,
+    created: 1,
+    filledQuantity: 2,
+    lastUpdate: 3,
+    orderId: 4,
+    quantity: 5,
+    ric: 6,
+    side: 7,
+    trader: 8
+};
+const ordersData = [];
+const now = +new Date();
+for(let i = 0; i < 100; i++){
+    const status = orderStatus[random(0, orderStatus.length - 1)];
+    const ccy = currencies[random(0, currencies.length - 1)];
+    const created = now;
+    const lastUpdate = now;
+    const orderId = `ORD${("0000" + i).slice(-4)}`;
+    const quantity = random(1000, 10000);
+    const filledQuantity = isComplete(status) ? quantity : "New" === status ? 0 : random(0, quantity);
+    const ric = getRic("AAP.L");
+    const side = sides[random(0, sides.length - 1)];
+    const trader = traders[random(0, traders.length - 1)];
+    ordersData.push([
+        status,
+        ccy,
+        created,
+        filledQuantity,
+        lastUpdate,
+        orderId,
+        quantity,
+        ric,
+        side,
+        trader
+    ]);
+}
+const ordersTable = TableContainer.createTable(schemas.orders, ordersData, buildDataColumnMap(schemas, "orders"));
+export { OrderColumnMap, ordersData, ordersTable };

package/src/simul/reference-data/parent-child-orders.js

@@ -0,0 +1,117 @@
+import { Clock } from "@vuu-ui/vuu-utils";
+import TableContainer from "../../core/table/TableContainer.js";
+import { random } from "../../data-utils.js";
+import { buildDataColumnMap } from "../../Table.js";
+import { schemas } from "../simul-schemas.js";
+import { accounts } from "./accounts.js";
+import { algos } from "./algos.js";
+import { instrumentsData } from "./instruments.js";
+import { orderStatus as external_orderStatus_js_orderStatus } from "./orderStatus.js";
+import { sides } from "./sides.js";
+const instrumentMap = buildDataColumnMap(schemas, "instruments");
+const PARENT_ORDER_COUNT = 5000;
+const CHILD_ORDER_COUNT = 20000;
+const avgChildOrderPerOrder = Math.round(CHILD_ORDER_COUNT / PARENT_ORDER_COUNT);
+const childMaxMultiple = 10;
+const clock = new Clock().goBack(120, "minutes");
+const parentOrdersTable = TableContainer.createTable(schemas.parentOrders, [], buildDataColumnMap(schemas, "parentOrders"));
+const childOrdersTable = TableContainer.createTable(schemas.childOrders, [], buildDataColumnMap(schemas, "childOrders"));
+let parentOrderCount = 0;
+let childOrderCount = 0;
+let notifyNewOrders = false;
+function createParentAndChildOrders() {
+    parentOrderCount += 1;
+    const instrument = instrumentsData[random(0, instrumentsData.length - 1)];
+    const orderQuantity = 1000 * random(1, 100);
+    const orderStatus = external_orderStatus_js_orderStatus[random(0, external_orderStatus_js_orderStatus.length - 1)];
+    const filledQty = "FILLED" === orderStatus ? orderQuantity : "NEW" === orderStatus ? 0 : orderQuantity - random(100, orderQuantity);
+    const openQty = orderQuantity - filledQty;
+    const account = accounts[random(0, accounts.length - 1)];
+    const algo = algos[random(0, algos.length - 1)];
+    const averagePrice = 0;
+    const ccy = "GBP";
+    const exchange = instrument[instrumentMap.exchange];
+    const parentOrderIdAsInt = parentOrderCount;
+    const parentOrderId = parentOrderCount.toString().padStart(10, "0");
+    const price = 100;
+    const quantity = orderQuantity;
+    const ric = instrument[instrumentMap.ric];
+    const side = sides[random(0, sides.length - 1)];
+    const status = orderStatus;
+    const volLimit = 100;
+    const lastUpdate = clock.now;
+    const created = clock.now;
+    const numberOfChildOrders = random(0, avgChildOrderPerOrder * random(1, childMaxMultiple));
+    let remainingQty = orderQuantity;
+    for(let j = 0; j < numberOfChildOrders; j++){
+        childOrderCount += 1;
+        const childOrderQuantity = Math.round(remainingQty / (childOrderCount - j));
+        remainingQty -= childOrderQuantity;
+        const childOrderStatus = external_orderStatus_js_orderStatus[random(0, external_orderStatus_js_orderStatus.length - 1)];
+        const childFilledQty = "FILLED" === orderStatus ? childOrderQuantity : "NEW" === childOrderStatus ? 0 : childOrderQuantity - random(100, childOrderQuantity);
+        const childOpenQty = childOrderQuantity - childFilledQty;
+        const averagePrice = 0;
+        const childIdAsInt = childOrderCount;
+        const childId = childOrderCount.toString().padStart(10, "0");
+        const lastUpdate = 0;
+        const price = 100;
+        const strategy = 0;
+        childOrdersTable.insert([
+            account,
+            averagePrice,
+            ccy,
+            exchange,
+            childFilledQty,
+            childId,
+            childIdAsInt,
+            childOpenQty,
+            parentOrderId,
+            price,
+            childOrderQuantity,
+            ric,
+            side,
+            childOrderStatus,
+            strategy,
+            volLimit,
+            lastUpdate,
+            created
+        ], notifyNewOrders);
+    }
+    parentOrdersTable.insert([
+        account,
+        algo,
+        averagePrice,
+        ccy,
+        childOrderCount,
+        exchange,
+        filledQty,
+        parentOrderId,
+        parentOrderIdAsInt,
+        openQty,
+        price,
+        quantity,
+        ric,
+        side,
+        status,
+        volLimit,
+        lastUpdate,
+        created
+    ], notifyNewOrders);
+}
+function createInitialOrders() {
+    for(let i = 0; i < PARENT_ORDER_COUNT; i++){
+        clock.advance(random(0, 100));
+        createParentAndChildOrders();
+    }
+}
+let newOrderInterval;
+function startGeneratingNewOrders() {
+    newOrderInterval = setInterval(createParentAndChildOrders, 100);
+}
+function stopGeneratingNewOrders() {
+    clearInterval(newOrderInterval);
+}
+createInitialOrders();
+clock.showCurrentTime = true;
+notifyNewOrders = true;
+export { childOrdersTable, parentOrdersTable, startGeneratingNewOrders, stopGeneratingNewOrders };

package/src/simul/reference-data/priceStrategies.js

@@ -0,0 +1,8 @@
+const priceStrategies = [
+    "Peg to near touch",
+    "Limit",
+    "Strategy 3",
+    "Strategy 4",
+    "Strategy 5"
+];
+export { priceStrategies };

package/src/simul/reference-data/prices.js

@@ -0,0 +1,78 @@
+import { buildDataColumnMap } from "../../Table.js";
+import { BaseUpdateGenerator } from "../../UpdateGenerator.js";
+import { schemas } from "../simul-schemas.js";
+import { InstrumentColumnMap, instrumentsData } from "./instruments.js";
+import { random } from "../../data-utils.js";
+import constituents from "../../basket/reference-data/constituents.js";
+import TableContainer from "../../core/table/TableContainer.js";
+const { bid: prices_bid, bidSize: prices_bidSize, ask: prices_ask, askSize: prices_askSize } = buildDataColumnMap(schemas, "prices");
+const pricesUpdateGenerator = new BaseUpdateGenerator({
+    bid: prices_bid,
+    bidSize: prices_bidSize,
+    ask: prices_ask,
+    askSize: prices_askSize
+});
+const now = Date.now();
+const prices_lastUpdate = now;
+const prices_created = now;
+const pricesData = instrumentsData.map((instrument)=>{
+    const spread = random(0, 10);
+    const ric = instrument[InstrumentColumnMap.ric];
+    const priceSeed = 100;
+    const ask = priceSeed + spread / 2;
+    const askSize = random(1000, 3000);
+    const bid = priceSeed - spread / 2;
+    const bidSize = random(1000, 3000);
+    const close = priceSeed + random(0, 1) / 10;
+    const last = priceSeed + random(0, 1) / 10;
+    const open = priceSeed + random(0, 1) / 10;
+    const phase = "C";
+    const scenario = "close";
+    const lastUpdate = now;
+    const created = now;
+    return [
+        ask,
+        askSize,
+        bid,
+        bidSize,
+        close,
+        last,
+        open,
+        phase,
+        ric,
+        scenario,
+        lastUpdate,
+        created
+    ];
+});
+for (const [, , , lastTrade, ric] of constituents){
+    const priceSeed = parseFloat(String(lastTrade));
+    if (!isNaN(priceSeed)) {
+        const spread = random(0, 10);
+        const ask = priceSeed + spread / 2;
+        const askSize = random(1000, 3000);
+        const bid = priceSeed - spread / 2;
+        const bidSize = random(1000, 3000);
+        const close = priceSeed + random(0, 1) / 10;
+        const last = priceSeed + random(0, 1) / 10;
+        const open = priceSeed + random(0, 1) / 10;
+        const phase = "C";
+        const scenario = "close";
+        pricesData.push([
+            ask,
+            askSize,
+            bid,
+            bidSize,
+            close,
+            last,
+            open,
+            phase,
+            ric,
+            scenario,
+            prices_lastUpdate,
+            prices_created
+        ]);
+    }
+}
+const pricesTable = TableContainer.createTable(schemas.prices, pricesData, buildDataColumnMap(schemas, "prices"), pricesUpdateGenerator);
+export { pricesData, pricesTable };

package/src/simul/reference-data/sides.js

@@ -0,0 +1,5 @@
+const sides = [
+    "BUY",
+    "SELL"
+];
+export { sides };