jspurefix 5.11.2 → 5.11.4

package/src/generator/scatter.ts

@@ -0,0 +1,432 @@
+import { ILayout, LayoutKind, LayoutNode, assemble } from './layout'
+import { FragmentSafety, FragmentSafetyCode } from '../dictionary/fragment-safety'
+import { Rng } from './rng'
+
+/**
+ * Taking a well formed message apart in a way the specification still permits.
+ *
+ * Two facts from `docs/scattered-components.md` are the whole basis of this:
+ *
+ *   Contiguity is only forced where framing exists, and framing only exists where it is
+ *   needed.
+ *
+ * A repeating group is the sole self describing construct in tag value FIX, so a group
+ * run - its `NoXXX` and every instance - is atomic and moves as one block.  Everywhere
+ * else a component's extent is a convention of the dictionary with no wire
+ * representation, so its tags may legally be interleaved with its siblings.
+ *
+ * And, within one group instance, the delimiter must come first.  That is the only other
+ * ordering the wire actually constrains, and it is honoured by pinning.
+ *
+ * Because the result is a permutation of the body's tokens, the encoded length and the
+ * sum of the bytes are both unchanged - so `BodyLength` and `CheckSum` stay correct
+ * without being recomputed.  A scattered message differs from its canonical twin only in
+ * the order of the fields, which is precisely the claim under test.
+ *
+ * ## Depth
+ *
+ * A *site* is one component made non-adjacent within its level.  `--russian-doll n` asks
+ * for n sites, each one level further into the message than the last:
+ *
+ *   1  Instrument scattered in the message body - the shape the shipped repair handles
+ *   2  and again inside a group instance, one level down the structure stack
+ *   3  and again inside a group instance of that instance
+ *
+ * A site one level down is preferred where it genuinely sits *within* the site above -
+ * a component of the scattered component, or a group carried by it - because that is the
+ * russian doll the design note describes.  Where the dictionary offers no such shape, and
+ * standard FIX 4.4 very often does not, the planner settles for a site at the same
+ * structure depth reached through a sibling group instead, and says which it found.  Both
+ * are past what the engine handles: detection is populated only at structure depth 1, so
+ * a component scattered inside any group instance goes unnoticed however it was reached.
+ *
+ * The planner degrades rather than failing.  A message that cannot express three levels
+ * yields two and a note, because which shapes a dictionary can express is a finding in
+ * itself.
+ */
+
+export enum Containment {
+  /** the message body */
+  Root = 'root',
+  /** genuinely inside the site above it - a nested component, or a group it carries */
+  Within = 'within',
+  /** the same structure depth, but reached through a sibling group */
+  Deeper = 'deeper'
+}
+
+export interface IScatterSite {
+  /** dotted path of the level the site sits in - the message body or a group instance */
+  readonly level: string
+  /** dotted path of the component made non-adjacent */
+  readonly component: string
+  /** how this site relates to the one above it */
+  readonly containment: Containment
+  /**
+   * how many group instance bodies enclose the site.  0 is the message body, which is
+   * the only depth today's detection is populated at, so anything above 0 is past what
+   * the engine notices.
+   */
+  readonly structureDepth: number
+  /** how many runs the component was broken into */
+  readonly fragments: number
+  /** tags belonging to the component, in the order they now appear */
+  readonly tags: number[]
+  /**
+   * tags of this component that a *sibling* at the same level also claims.  Phase 0 of
+   * the design note found 57 of these in the QuickFIX FIX50SP2 dictionary, all of them
+   * `Currency(15)` declared both inside `Instrument` and beside it.  No repair
+   * attributing by tag identity can tell which one a scattered tag belonged to, so a
+   * case with a non-empty list here is testing something unanswerable rather than
+   * something broken.
+   */
+  readonly contendedTags: number[]
+}
+
+interface ISiteRef {
+  readonly level: LayoutNode
+  readonly component: LayoutNode
+  readonly containment: Containment
+  readonly structureDepth: number
+}
+
+export interface IScatterPlan {
+  readonly depth: number
+  readonly sites: readonly IScatterSite[]
+}
+
+export interface IScatterResult {
+  readonly wire: string
+  readonly plan: IScatterPlan
+  /** body token order, for a caller that wants to show the move */
+  readonly order: readonly number[]
+}
+
+interface IUnit {
+  /** tokens in the order they should now appear; a group run carries its whole subtree */
+  readonly tokens: number[]
+  /** component nodes of this level enclosing the unit, outermost first */
+  readonly owners: readonly LayoutNode[]
+  readonly node: LayoutNode
+}
+
+/** a level, and the chain of components to scatter within it, outermost first */
+type LevelChains = Map<LayoutNode, LayoutNode[]>
+
+export class Scatterer {
+  constructor (
+    private readonly layout: ILayout,
+    private readonly rng: Rng,
+    private readonly fragments: number = 2) {
+  }
+
+  /**
+   * the deepest chain of scatter sites this message can support, up to `depth`.
+   *
+   * Returns fewer sites than asked for rather than failing: which shapes a dictionary
+   * can actually express is a finding in its own right, and a caller that wanted three
+   * levels is better served by two and a note than by an exception.
+   */
+  public plan (depth: number): ISiteRef[] {
+    for (let want = depth; want >= 1; --want) {
+      const chain = this.findChain(this.layout.root, want, Containment.Root)
+      if (chain) return chain
+    }
+    return []
+  }
+
+  public scatter (depth: number, delimiter: string): IScatterResult {
+    const sites = this.plan(depth)
+    const chains: LevelChains = new Map<LayoutNode, LayoutNode[]>()
+    for (const site of sites) {
+      const existing = chains.get(site.level)
+      if (existing) {
+        existing.push(site.component)
+      } else {
+        chains.set(site.level, [site.component])
+      }
+    }
+    const order = this.orderLevel(this.layout.root, chains)
+    const { tokens, bodyStart, bodyEnd } = this.layout
+    const head: number[] = []
+    for (let i = 0; i < bodyStart; ++i) head.push(i)
+    const tail: number[] = []
+    for (let i = bodyEnd; i < tokens.length; ++i) tail.push(i)
+    const full = [...head, ...order, ...tail]
+    const position = new Map<number, number>()
+    full.forEach((tokenIndex, at) => position.set(tokenIndex, at))
+    return {
+      wire: assemble(tokens, full, delimiter),
+      order,
+      plan: {
+        depth: sites.length,
+        sites: sites.map(site => ({
+          level: site.level.path,
+          component: site.component.path,
+          containment: site.containment,
+          structureDepth: site.structureDepth,
+          contendedTags: Scatterer.contended(site),
+          fragments: Scatterer.runs(site.component.canonical().map(t => position.get(t) ?? -1)),
+          tags: site.component.canonical()
+            .map(t => ({ t, at: position.get(t) ?? -1 }))
+            .sort((a, b) => a.at - b.at)
+            .map(x => tokens[x.t].tag)
+        }))
+      }
+    }
+  }
+
+  /**
+   * tags of the scattered component that a sibling of it, at the same level, also claims
+   */
+  private static contended (site: ISiteRef): number[] {
+    const set = site.level.set
+    if (!set) return []
+    const name = site.component.name
+    const path = site.level.path
+    const out: number[] = []
+    for (const f of FragmentSafety.analyseSet(set, path)) {
+      if (f.code !== FragmentSafetyCode.SiblingTagCollision) continue
+      if (f.path !== path) continue
+      if (!f.owners.includes(name)) continue
+      out.push(f.tag)
+    }
+    return out
+  }
+
+  /**
+   * how many separate runs these positions form once sorted - one if the component is
+   * still contiguous, which is how a plan reports that it failed to achieve anything
+   */
+  private static runs (positions: number[]): number {
+    const sorted = positions.slice().sort((a, b) => a - b)
+    let count = sorted.length > 0 ? 1 : 0
+    for (let i = 1; i < sorted.length; ++i) {
+      if (sorted[i] !== sorted[i - 1] + 1) count++
+    }
+    return count
+  }
+
+  // ---------------------------------------------------------------- planning
+
+  /**
+   * a chain of sites, each one level further into the message than the last
+   */
+  private findChain (
+    level: LayoutNode,
+    depth: number,
+    containment: Containment,
+    structureDepth: number = 0): ISiteRef[] | null {
+    if (depth <= 0) return []
+    const units = this.units(level)
+    for (const candidate of Scatterer.candidates(level, units)) {
+      const site: ISiteRef = { level, component: candidate, containment, structureDepth }
+      if (depth === 1) return [site]
+      const inner = this.findInside(level, candidate, units, depth - 1, structureDepth)
+      if (inner) return [site, ...inner]
+    }
+    // Nothing scatterable at this level.  A market data refresh is the ordinary case:
+    // its body is a handful of loose fields and one group, so every component it has
+    // lives inside an entry.  Descend rather than report the message unscatterable.
+    for (const u of units) {
+      if (u.node.kind !== LayoutKind.Group) continue
+      for (const instance of u.node.children) {
+        const chain = this.findChain(instance, depth, Containment.Deeper, structureDepth + 1)
+        if (chain) return chain
+      }
+    }
+    return null
+  }
+
+  /**
+   * components of this level worth scattering: at least two units of their own, and at
+   * least one unit of the level left over to put between them
+   */
+  private static candidates (level: LayoutNode, units: readonly IUnit[]): LayoutNode[] {
+    const owned = new Map<LayoutNode, number>()
+    for (const u of units) {
+      for (const owner of u.owners) {
+        owned.set(owner, (owned.get(owner) ?? 0) + 1)
+      }
+    }
+    const out: LayoutNode[] = []
+    for (const [node, count] of owned) {
+      if (count < 2) continue
+      if (count >= units.length) continue
+      out.push(node)
+    }
+    // widest first, so the plan uses the component with the most room to be broken up
+    out.sort((a, b) => (owned.get(b) ?? 0) - (owned.get(a) ?? 0))
+    if (level.kind === LayoutKind.Instance && units.length <= 2) {
+      // the delimiter is pinned, so a level of two units has nothing spare to interleave
+      return []
+    }
+    return out
+  }
+
+  /**
+   * the next site down.  Preference order is the containment order of the design note:
+   * a component nested inside this one, then a group this component carries, then - only
+   * because standard FIX rarely offers either - any group at this level.
+   */
+  private findInside (
+    level: LayoutNode,
+    outer: LayoutNode,
+    units: readonly IUnit[],
+    depth: number,
+    structureDepth: number): ISiteRef[] | null {
+    const inside = units.filter(u => u.owners.includes(outer))
+
+    // a component of the scattered component, scattered among its parent's own tags
+    const nested = new Map<LayoutNode, number>()
+    for (const u of inside) {
+      const at = u.owners.indexOf(outer)
+      for (let i = at + 1; i < u.owners.length; ++i) {
+        const n = u.owners[i]
+        nested.set(n, (nested.get(n) ?? 0) + 1)
+      }
+    }
+    const ordered = Array.from(nested.entries())
+      .filter(([, count]) => count >= 2 && count < inside.length)
+      .sort((a, b) => b[1] - a[1])
+    for (const [node] of ordered) {
+      const site: ISiteRef = { level, component: node, containment: Containment.Within, structureDepth }
+      if (depth === 1) return [site]
+      const deeper = this.findInside(level, node, units, depth - 1, structureDepth)
+      if (deeper) return [site, ...deeper]
+    }
+
+    // a group instance is a level of its own; one carried by the scattered component is
+    // genuinely within it, one carried by a sibling only reaches the same structure depth
+    const carried = units.filter(u => u.node.kind === LayoutKind.Group && u.owners.includes(outer))
+    const siblings = units.filter(u => u.node.kind === LayoutKind.Group && !u.owners.includes(outer))
+    for (const [group, containment] of [
+      ...carried.map(u => [u.node, Containment.Within] as [LayoutNode, Containment]),
+      ...siblings.map(u => [u.node, Containment.Deeper] as [LayoutNode, Containment])
+    ]) {
+      for (const instance of group.children) {
+        const chain = this.findChain(instance, depth, containment, structureDepth + 1)
+        if (chain && chain.length === depth) return chain
+      }
+    }
+    return null
+  }
+
+  // ---------------------------------------------------------------- ordering
+
+  /**
+   * the units of one level: every field is a unit, a component contributes its fields to
+   * the enclosing level rather than a unit of its own, and a whole group run is a single
+   * atomic unit because the wire frames it
+   */
+  private units (level: LayoutNode, chains?: LevelChains): IUnit[] {
+    const out: IUnit[] = []
+    const visit = (node: LayoutNode, owners: LayoutNode[]): void => {
+      for (const child of node.children) {
+        switch (child.kind) {
+          case LayoutKind.Field: {
+            const tokens = [child.tokenIndex]
+            if (child.extraTokenIndex >= 0) tokens.push(child.extraTokenIndex)
+            out.push({ tokens, owners: owners.slice(), node: child })
+            break
+          }
+          case LayoutKind.Component:
+            visit(child, [...owners, child])
+            break
+          case LayoutKind.Group: {
+            const tokens = [child.tokenIndex]
+            for (const instance of child.children) {
+              // an instance is a level, so it may carry a scatter site of its own
+              for (const t of chains ? this.orderLevel(instance, chains) : instance.canonical()) {
+                tokens.push(t)
+              }
+            }
+            out.push({ tokens, owners: owners.slice(), node: child })
+            break
+          }
+          default:
+            break
+        }
+      }
+    }
+    visit(level, [])
+    return out
+  }
+
+  private orderLevel (level: LayoutNode, chains: LevelChains): number[] {
+    const units = this.units(level, chains)
+    const chain = chains.get(level) ?? []
+    let arranged: IUnit[]
+    if (level.kind === LayoutKind.Instance && units.length > 0) {
+      // the group delimiter has to stay at the front of the instance
+      const pinned = units[0]
+      const rest = units.slice(1)
+      const target = chain.length > 0 ? chain[0] : null
+      if (target && pinned.owners.includes(target)) {
+        // the pinned unit already belongs to the component being scattered, so putting
+        // the other units of the level next is enough to break its run
+        arranged = [pinned, ...this.arrange(rest, chain, true)]
+      } else {
+        arranged = [pinned, ...this.arrange(rest, chain, false)]
+      }
+    } else {
+      arranged = this.arrange(units, chain, false)
+    }
+    const out: number[] = []
+    for (const u of arranged) {
+      for (const t of u.tokens) out.push(t)
+    }
+    return out
+  }
+
+  /**
+   * @param restFirst put the untargeted units before the targeted ones, used when the
+   *   pinned delimiter already belongs to the target
+   */
+  private arrange (units: IUnit[], chain: readonly LayoutNode[], restFirst: boolean): IUnit[] {
+    if (chain.length === 0 || units.length === 0) return units
+    const target = chain[0]
+    const inTarget = units.filter(u => u.owners.includes(target))
+    const rest = units.filter(u => !u.owners.includes(target))
+    if (inTarget.length === 0 || rest.length === 0) return units
+    // deeper sites in the same level are scattered within the target's own units first
+    const ordered = chain.length > 1 ? this.arrange(inTarget, chain.slice(1), false) : inTarget
+    return restFirst
+      ? Scatterer.weave(rest, ordered, this.fragments, this.rng)
+      : Scatterer.weave(ordered, rest, this.fragments, this.rng)
+  }
+
+  /**
+   * break `target` into runs and put pieces of `filler` between them
+   */
+  private static weave (target: IUnit[], filler: IUnit[], fragments: number, rng: Rng): IUnit[] {
+    const f = Math.min(fragments, target.length, filler.length + 1)
+    if (f < 2) return [...target, ...filler]
+    const targetRuns = Scatterer.split(target, f, rng)
+    const fillerRuns = Scatterer.split(filler, f - 1, rng)
+    const out: IUnit[] = []
+    for (let i = 0; i < f; ++i) {
+      out.push(...targetRuns[i])
+      if (i < f - 1) out.push(...fillerRuns[i])
+    }
+    return out
+  }
+
+  private static split (units: IUnit[], parts: number, rng: Rng): IUnit[][] {
+    if (parts <= 1) return [units]
+    const cuts = new Set<number>()
+    let guard = 0
+    while (cuts.size < parts - 1 && guard++ < 100) {
+      cuts.add(rng.int(1, units.length - 1))
+    }
+    const sorted = Array.from(cuts).sort((a, b) => a - b)
+    const out: IUnit[][] = []
+    let from = 0
+    for (const cut of sorted) {
+      out.push(units.slice(from, cut))
+      from = cut
+    }
+    out.push(units.slice(from))
+    while (out.length < parts) out.push([])
+    return out
+  }
+}

package/src/generator/scenarios.ts

@@ -0,0 +1,167 @@
+import { IGeneratorOptions } from './realistic-generator'
+import { AssetClass } from './instrument-universe'
+
+/**
+ * Named shapes of traffic, so that asking for something realistic does not mean
+ * knowing which tags to force on.
+ *
+ * A scenario is only a bundle of generator options - it has no logic of its own, and
+ * anything it does can be done on the command line instead.  Its value is that the
+ * combination which produces a *convincing* message is not obvious: a multileg trade
+ * capture needs legs, sides and parties present together, and a bond one needs the
+ * fixed income half of `Instrument` that the applicability gate would otherwise
+ * suppress.
+ *
+ * Fields are forced by **tag**, not by name, because the name is not portable.  The
+ * repository rendering calls the leg group `TrdInstrmtLegGrp` and QuickFIX calls it
+ * `NoLegs`; both agree it is 555.  A scenario therefore runs against any dictionary
+ * that carries the message at all.
+ */
+
+export interface IScenario {
+  readonly name: string
+  readonly description: string
+  /** as it appears on the wire in tag 35 */
+  readonly msgType: string
+  readonly options: IGeneratorOptions
+}
+
+const NoLegs = '555'
+const NoSides = '552'
+const NoPartyIDs = '453'
+const NoUnderlyings = '711'
+const NoMDEntries = '268'
+const NoAllocs = '78'
+const NoRelatedSym = '146'
+
+const scenarios: readonly IScenario[] = [
+  {
+    name: 'spread-trade-capture',
+    description: 'ICE Brent calendar spread, parent plus two legs, both sides with parties',
+    msgType: 'AE',
+    options: {
+      instrument: 'BRN JAN26-FEB26',
+      include: [NoLegs, NoSides, NoPartyIDs],
+      density: 0.5,
+      maxGroupInstances: 2
+    }
+  },
+  {
+    name: 'crack-spread-capture',
+    description: 'ICE Brent/Gasoil crack spread trade capture with legs and underlyings',
+    msgType: 'AE',
+    options: {
+      instrument: 'BRN-GAS CRACK',
+      include: [NoLegs, NoSides, NoPartyIDs, NoUnderlyings],
+      density: 0.5,
+      maxGroupInstances: 2
+    }
+  },
+  {
+    name: 'equity-fill',
+    description: 'partial fill on a listed equity order, with the executing parties',
+    msgType: '8',
+    options: {
+      instrument: 'AAPL',
+      assetClass: AssetClass.Equity,
+      include: [NoPartyIDs],
+      density: 0.5
+    }
+  },
+  {
+    name: 'equity-order',
+    description: 'plain new order single into a lit venue',
+    msgType: 'D',
+    options: {
+      instrument: 'VOD.L',
+      assetClass: AssetClass.Equity,
+      density: 0.4
+    }
+  },
+  {
+    name: 'future-order',
+    description: 'new order single on a listed future, give-up parties attached',
+    msgType: 'D',
+    options: {
+      instrument: 'BRN',
+      assetClass: AssetClass.Future,
+      include: [NoPartyIDs],
+      density: 0.45
+    }
+  },
+  {
+    name: 'bond-trade-capture',
+    description: 'treasury trade capture - the one case where the fixed income half of Instrument belongs',
+    msgType: 'AE',
+    options: {
+      instrument: 'US91282CLW12',
+      assetClass: AssetClass.Bond,
+      include: [NoSides, NoPartyIDs],
+      density: 0.6
+    }
+  },
+  {
+    name: 'option-order',
+    description: 'listed option order carrying strike and expiry',
+    msgType: 'D',
+    options: {
+      instrument: 'ESZ5 C6000',
+      assetClass: AssetClass.Option,
+      density: 0.45
+    }
+  },
+  {
+    name: 'md-incremental',
+    description: 'incremental market data refresh, several entries against one book',
+    msgType: 'X',
+    options: {
+      instrument: 'ESZ5',
+      assetClass: AssetClass.Future,
+      include: [NoMDEntries],
+      density: 0.35,
+      maxGroupInstances: 4
+    }
+  },
+  {
+    name: 'md-request',
+    description: 'market data request over a small watch list',
+    msgType: 'V',
+    options: {
+      assetClass: AssetClass.Equity,
+      include: [NoRelatedSym],
+      density: 0.6,
+      maxGroupInstances: 3
+    }
+  },
+  {
+    name: 'block-allocation',
+    description: 'allocation instruction breaking a block across accounts',
+    msgType: 'J',
+    options: {
+      instrument: 'AAPL',
+      assetClass: AssetClass.Equity,
+      include: [NoAllocs, NoPartyIDs],
+      density: 0.45,
+      maxGroupInstances: 3
+    }
+  }
+]
+
+export const Scenarios = {
+  all: scenarios,
+
+  get (name: string): IScenario | undefined {
+    return scenarios.find(s => s.name === name)
+  },
+
+  names (): string[] {
+    return scenarios.map(s => s.name)
+  },
+
+  describe (): string {
+    const width = Math.max(...scenarios.map(s => s.name.length))
+    return scenarios
+      .map(s => `  ${s.name.padEnd(width)}  ${s.msgType.padEnd(2)}  ${s.description}`)
+      .join('\n')
+  }
+}