jspurefix 5.11.2 → 5.11.4
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.
- package/.gitattributes +4 -0
- package/dist/buffer/index.d.ts +6 -0
- package/dist/buffer/index.js +6 -0
- package/dist/buffer/index.js.map +1 -1
- package/dist/collections/index.d.ts +1 -0
- package/dist/collections/index.js +16 -0
- package/dist/collections/index.js.map +1 -1
- package/dist/config/winston-logger.js +2 -0
- package/dist/config/winston-logger.js.map +1 -1
- package/dist/dictionary/contained/index.d.ts +3 -0
- package/dist/dictionary/contained/index.js +3 -0
- package/dist/dictionary/contained/index.js.map +1 -1
- package/dist/dictionary/index.d.ts +5 -0
- package/dist/dictionary/index.js +5 -0
- package/dist/dictionary/index.js.map +1 -1
- package/dist/generator/applicability.d.ts +3 -0
- package/dist/generator/applicability.js +48 -0
- package/dist/generator/applicability.js.map +1 -0
- package/dist/generator/case-builder.d.ts +34 -0
- package/dist/generator/case-builder.js +111 -0
- package/dist/generator/case-builder.js.map +1 -0
- package/dist/generator/corpus-store.d.ts +43 -0
- package/dist/generator/corpus-store.js +115 -0
- package/dist/generator/corpus-store.js.map +1 -0
- package/dist/generator/index.d.ts +12 -0
- package/dist/generator/index.js +29 -0
- package/dist/generator/index.js.map +1 -0
- package/dist/generator/instrument-universe.d.ts +54 -0
- package/dist/generator/instrument-universe.js +286 -0
- package/dist/generator/instrument-universe.js.map +1 -0
- package/dist/generator/layout.d.ts +46 -0
- package/dist/generator/layout.js +208 -0
- package/dist/generator/layout.js.map +1 -0
- package/dist/generator/market-context.d.ts +64 -0
- package/dist/generator/market-context.js +119 -0
- package/dist/generator/market-context.js.map +1 -0
- package/dist/generator/outcome.d.ts +16 -0
- package/dist/generator/outcome.js +71 -0
- package/dist/generator/outcome.js.map +1 -0
- package/dist/generator/realistic-generator.d.ts +53 -0
- package/dist/generator/realistic-generator.js +275 -0
- package/dist/generator/realistic-generator.js.map +1 -0
- package/dist/generator/rng.d.ts +12 -0
- package/dist/generator/rng.js +60 -0
- package/dist/generator/rng.js.map +1 -0
- package/dist/generator/scatter.d.ts +50 -0
- package/dist/generator/scatter.js +285 -0
- package/dist/generator/scatter.js.map +1 -0
- package/dist/generator/scenarios.d.ts +13 -0
- package/dist/generator/scenarios.js +139 -0
- package/dist/generator/scenarios.js.map +1 -0
- package/dist/generator/value-conventions.d.ts +15 -0
- package/dist/generator/value-conventions.js +217 -0
- package/dist/generator/value-conventions.js.map +1 -0
- package/dist/index.d.ts +6 -0
- package/dist/index.js +4 -0
- package/dist/index.js.map +1 -1
- package/dist/jsfix-cmd.d.ts +5 -0
- package/dist/jsfix-cmd.js +161 -0
- package/dist/jsfix-cmd.js.map +1 -1
- package/dist/store/fix-msg-ascii-store-resend.js +2 -2
- package/dist/store/fix-msg-ascii-store-resend.js.map +1 -1
- package/dist/store/fix-msg-store-record.d.ts +1 -1
- package/dist/store/fix-msg-store-record.js.map +1 -1
- package/dist/store/index.d.ts +1 -0
- package/dist/store/index.js +1 -0
- package/dist/store/index.js.map +1 -1
- package/dist/transport/index.d.ts +7 -0
- package/dist/transport/index.js +7 -0
- package/dist/transport/index.js.map +1 -1
- package/dist/transport/session/index.d.ts +1 -0
- package/dist/transport/session/index.js +1 -0
- package/dist/transport/session/index.js.map +1 -1
- package/docs/generated-cases.md +237 -0
- package/docs/instrumentation.md +14 -0
- package/docs/scattered-components.md +60 -5
- package/jsfix.test_client.txt +62 -62
- package/jsfix.test_server.txt +72 -72
- package/package.json +5 -2
- package/src/buffer/index.ts +6 -0
- package/src/collections/index.ts +1 -1
- package/src/config/winston-logger.ts +8 -0
- package/src/dictionary/contained/index.ts +3 -0
- package/src/dictionary/index.ts +5 -0
- package/src/generator/applicability.ts +87 -0
- package/src/generator/case-builder.ts +167 -0
- package/src/generator/corpus-store.ts +166 -0
- package/src/generator/index.ts +12 -0
- package/src/generator/instrument-universe.ts +347 -0
- package/src/generator/layout.ts +279 -0
- package/src/generator/market-context.ts +207 -0
- package/src/generator/outcome.ts +102 -0
- package/src/generator/realistic-generator.ts +404 -0
- package/src/generator/rng.ts +92 -0
- package/src/generator/scatter.ts +432 -0
- package/src/generator/scenarios.ts +167 -0
- package/src/generator/value-conventions.ts +295 -0
- package/src/index.ts +12 -0
- package/src/jsfix-cmd.ts +204 -0
- package/src/store/fix-msg-ascii-store-resend.ts +2 -1
- package/src/store/fix-msg-store-record.ts +4 -1
- package/src/store/index.ts +1 -0
- package/src/transport/index.ts +10 -0
- package/src/transport/session/index.ts +1 -0
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{ ILooseObject } from '../collections/collection'\nimport {\n ContainedComponentField,\n ContainedField,\n ContainedFieldType,\n ContainedGroupField,\n ContainedSimpleField,\n IContainedSet\n} from '../dictionary/contained'\nimport { TagType } from '../buffer/tag/tag-type'\n\n/**\n * Where every tag on the wire came from in the dictionary.\n *\n * The parser answers this question from position, which is exactly the assumption the\n * scattered component work is about, so it cannot be the source of truth here. Instead\n * the layout is built by walking the object and the dictionary in lock step with\n * `AsciiEncoder.encodeObject` - same field ordering, same treatment of components,\n * groups and raw data - and consuming one token per emission. The walk is not a parse:\n * it knows what the encoder was about to write before it wrote it.\n *\n * If the two ever disagree the token stream will not line up and `Layout.build` throws,\n * which makes this a standing check that the mirror is still faithful.\n */\n\nexport interface IToken {\n readonly tag: number\n /** the `tag=value` text exactly as encoded, without the delimiter */\n readonly text: string\n}\n\nexport enum LayoutKind {\n Message = 'message',\n Component = 'component',\n Group = 'group',\n Instance = 'instance',\n Field = 'field'\n}\n\nexport class LayoutNode {\n public readonly children: LayoutNode[] = []\n\n constructor (\n public readonly kind: LayoutKind,\n public readonly name: string,\n public readonly path: string,\n /** for a field, its token; for a group, the token carrying NoXXX */\n public readonly tokenIndex: number = -1,\n public readonly set: IContainedSet | null = null,\n /** a raw data field is written as a Length token and then the data token */\n public readonly extraTokenIndex: number = -1) {\n }\n\n /** token indices below this node, in the order the encoder wrote them */\n public canonical (into: number[] = []): number[] {\n if (this.tokenIndex >= 0) into.push(this.tokenIndex)\n if (this.extraTokenIndex >= 0) into.push(this.extraTokenIndex)\n for (const c of this.children) {\n c.canonical(into)\n }\n return into\n }\n\n public get isLevel (): boolean {\n return this.kind === LayoutKind.Message || this.kind === LayoutKind.Instance\n }\n}\n\n/**\n * split a wire message into tokens. Values containing the delimiter would defeat this,\n * which is why the generator never produces one.\n */\nexport function tokenise (wire: string, delimiter: string): IToken[] {\n const parts = wire.split(delimiter)\n const tokens: IToken[] = []\n for (const p of parts) {\n if (p.length === 0) continue\n const eq = p.indexOf('=')\n if (eq <= 0) continue\n tokens.push({ tag: parseInt(p.substring(0, eq), 10), text: p })\n }\n return tokens\n}\n\nexport function assemble (tokens: readonly IToken[], order: readonly number[], delimiter: string): string {\n let out = ''\n for (const i of order) {\n out += tokens[i].text\n out += delimiter\n }\n return out\n}\n\nexport interface ILayout {\n readonly root: LayoutNode\n readonly tokens: readonly IToken[]\n /** index of the first body token; everything before it is the standard header */\n readonly bodyStart: number\n /** index one past the last body token; everything from here is the trailer */\n readonly bodyEnd: number\n}\n\nexport class Layout {\n private index: number = 0\n\n private constructor (start: number) {\n this.index = start\n }\n\n /**\n * Build the layout of `object` encoded as `wire`.\n *\n * The header and trailer are written by the transmitter rather than from the object,\n * so their extent is discovered rather than walked: the body is located by matching\n * the tag sequence the walk predicts against the token stream.\n */\n public static build (\n wire: string,\n delimiter: string,\n object: ILooseObject,\n set: IContainedSet): ILayout {\n const tokens = tokenise(wire, delimiter)\n const expected = Layout.expectedTags(object, set)\n const bodyStart = Layout.locate(tokens, expected)\n const builder = new Layout(bodyStart)\n const root = new LayoutNode(LayoutKind.Message, set.name, set.name, -1, set)\n builder.walk(object, set, root, set.name)\n return {\n root,\n tokens,\n bodyStart,\n bodyEnd: builder.index\n }\n }\n\n /**\n * the tag sequence the encoder will write for this object, used only to find where\n * the body begins\n */\n private static expectedTags (object: ILooseObject, set: IContainedSet): number[] {\n const out: number[] = []\n const collect = (o: ILooseObject, s: IContainedSet): void => {\n for (const field of Layout.presentFields(o, s)) {\n switch (field.type) {\n case ContainedFieldType.Simple: {\n const sf = field as ContainedSimpleField\n if (sf.definition.tagType === TagType.RawData && o[Layout.lengthName(s, sf)] == null) {\n out.push(Layout.lengthTag(s, sf))\n }\n out.push(sf.definition.tag)\n break\n }\n case ContainedFieldType.Component: {\n const cf = field as ContainedComponentField\n collect(o[cf.name] as ILooseObject, cf.definition)\n break\n }\n case ContainedFieldType.Group: {\n const gf = field as ContainedGroupField\n const nof = gf.definition.noOfField\n if (!nof) break\n out.push(nof.tag)\n const instances = Layout.instancesOf(o, gf)\n for (const instance of instances) {\n collect(instance, gf.definition)\n }\n break\n }\n default:\n break\n }\n }\n }\n collect(object, set)\n return out\n }\n\n private static locate (tokens: readonly IToken[], expected: readonly number[]): number {\n if (expected.length === 0) return 0\n for (let start = 0; start + expected.length <= tokens.length; ++start) {\n let ok = true\n for (let i = 0; i < expected.length; ++i) {\n if (tokens[start + i].tag !== expected[i]) {\n ok = false\n break\n }\n }\n if (ok) return start\n }\n throw new Error('layout walk does not match the encoded message - the mirror of AsciiEncoder has drifted')\n }\n\n /**\n * the fields of `set` that `o` actually carries, in the order the encoder writes them.\n * This is `AsciiEncoder.getFields`, deliberately duplicated rather than shared, because\n * the encoder is a hot path and should not grow a seam for a test tool.\n */\n private static presentFields (o: ILooseObject, set: IContainedSet): ContainedField[] {\n const fields: ContainedField[] = []\n for (const key of Object.keys(o)) {\n const field = set.localNameToField.get(key)\n if (field) fields.push(field)\n }\n fields.sort((a, b) => a.position - b.position)\n return fields\n }\n\n private static instancesOf (o: ILooseObject, gf: ContainedGroupField): ILooseObject[] {\n const nof = gf.definition.noOfField\n const instances = o[gf.name] ?? (nof ? o[nof.name] : null)\n return Array.isArray(instances) ? instances : []\n }\n\n private static lengthField (set: IContainedSet, sf: ContainedSimpleField): ContainedSimpleField | null {\n const prior = set.fields[sf.position - 1]\n if (!prior || prior.type !== ContainedFieldType.Simple) return null\n return prior as ContainedSimpleField\n }\n\n private static lengthName (set: IContainedSet, sf: ContainedSimpleField): string {\n return Layout.lengthField(set, sf)?.name ?? ''\n }\n\n private static lengthTag (set: IContainedSet, sf: ContainedSimpleField): number {\n return Layout.lengthField(set, sf)?.definition.tag ?? 0\n }\n\n private walk (o: ILooseObject, set: IContainedSet, parent: LayoutNode, path: string): void {\n for (const field of Layout.presentFields(o, set)) {\n switch (field.type) {\n case ContainedFieldType.Simple: {\n const sf = field as ContainedSimpleField\n let lengthIndex = -1\n if (sf.definition.tagType === TagType.RawData && o[Layout.lengthName(set, sf)] == null) {\n lengthIndex = this.index++\n }\n const dataIndex = this.index++\n // the length and its data are one indivisible unit - separating them would\n // produce a message that is not merely scattered but unparseable\n parent.children.push(new LayoutNode(\n LayoutKind.Field,\n sf.name,\n `${path}.${sf.name}`,\n lengthIndex >= 0 ? lengthIndex : dataIndex,\n null,\n lengthIndex >= 0 ? dataIndex : -1))\n break\n }\n case ContainedFieldType.Component: {\n const cf = field as ContainedComponentField\n const node = new LayoutNode(\n LayoutKind.Component, cf.name, `${path}.${cf.name}`, -1, cf.definition)\n parent.children.push(node)\n this.walk(o[cf.name] as ILooseObject, cf.definition, node, node.path)\n break\n }\n case ContainedFieldType.Group: {\n const gf = field as ContainedGroupField\n const nof = gf.definition.noOfField\n if (!nof) break\n const countIndex = this.index++\n const node = new LayoutNode(\n LayoutKind.Group, gf.name, `${path}.${gf.name}`, countIndex, gf.definition)\n parent.children.push(node)\n const instances = Layout.instancesOf(o, gf)\n for (let i = 0; i < instances.length; ++i) {\n const instance = new LayoutNode(\n LayoutKind.Instance, `${gf.name}[${i}]`, `${node.path}[${i}]`, -1, gf.definition)\n node.children.push(instance)\n this.walk(instances[i], gf.definition, instance, instance.path)\n }\n break\n }\n default:\n break\n }\n }\n }\n}\n"]}
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@@ -0,0 +1,64 @@
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import { Rng } from './rng';
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import { AssetClass, IInstrumentSpec, ILegSpec } from './instrument-universe';
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export interface IParty {
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readonly id: string;
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readonly idSource: string;
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readonly role: number;
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readonly desc: string;
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}
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export interface IMarketContextOptions {
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readonly rng: Rng;
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readonly instrument?: IInstrumentSpec;
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readonly assetClass?: AssetClass;
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readonly asOf?: Date;
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readonly senderCompId?: string;
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readonly targetCompId?: string;
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}
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export declare class MarketContext {
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readonly rng: Rng;
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readonly instrument: IInstrumentSpec;
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readonly asOf: Date;
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readonly side: string;
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readonly orderQty: number;
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readonly price: number;
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readonly lastPx: number;
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readonly lastQty: number;
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readonly cumQty: number;
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readonly leavesQty: number;
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readonly avgPx: number;
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readonly tradeDate: Date;
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readonly transactTime: Date;
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readonly settlDate: Date;
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readonly clOrdId: string;
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readonly origClOrdId: string;
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readonly orderId: string;
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readonly execId: string;
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readonly tradeId: string;
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readonly account: string;
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readonly desk: string;
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readonly senderCompId: string;
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readonly targetCompId: string;
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readonly firms: readonly IParty[];
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readonly traders: readonly IParty[];
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leg: ILegSpec | null;
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underlying: IInstrumentSpec | null;
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private sequence;
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constructor(options: IMarketContextOptions);
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current(): {
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symbol: string;
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securityId: string;
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securityIdSource: string;
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securityType: string;
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refPx: number;
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maturityMonthYear?: string;
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};
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nextSeq(): number;
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text(): string;
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party(index: number): IParty;
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quantity(max?: number): number;
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grossAmount(): number;
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priceNear(centre?: number): number;
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static midnightUtc(d: Date): Date;
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static addBusinessDays(from: Date, days: number): Date;
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static yyyymmdd(d: Date): string;
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}
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.MarketContext = void 0;
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const instrument_universe_1 = require("./instrument-universe");
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const firms = [
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{ id: 'MGSTGB2L', idSource: 'C', role: 1, desc: 'executing firm' },
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{ id: 'CHASGB2L', idSource: 'C', role: 4, desc: 'clearing firm' },
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{ id: 'BARCGB22', idSource: 'C', role: 17, desc: 'contra firm' },
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{ id: 'ABNANL2A', idSource: 'C', role: 13, desc: 'order origination firm' }
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];
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const traders = [
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{ id: 'jhalliday', idSource: 'D', role: 12, desc: 'executing trader' },
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{ id: 'rmcdowall', idSource: 'D', role: 11, desc: 'order origination trader' },
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{ id: 'kbannerjee', idSource: 'D', role: 12, desc: 'executing trader' }
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];
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const accounts = [
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'ACCT-00417', 'ACCT-01925', 'OMNI-4471', 'SEGR-2210'
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];
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const desks = ['ENERGY', 'MACRO', 'CASH-EQ', 'FICC'];
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const freeText = [
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'give up to clearer',
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'client instruction on file',
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'worked over the close',
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'cross with house book',
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'blocked - settle T+2'
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];
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class MarketContext {
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constructor(options) {
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var _a, _b, _c, _d;
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this.leg = null;
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this.underlying = null;
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this.sequence = 0;
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const rng = this.rng = options.rng;
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this.instrument = (_a = options.instrument) !== null && _a !== void 0 ? _a : instrument_universe_1.InstrumentUniverse.choose(rng, options.assetClass);
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const inst = this.instrument;
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+
this.asOf = (_b = options.asOf) !== null && _b !== void 0 ? _b : new Date();
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+
this.side = rng.bool(0.5) ? '1' : '2';
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+
const lots = rng.int(1, 40);
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+
this.orderQty = lots * inst.lotSize;
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40
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+
this.price = rng.around(inst.refPx, 0.004, inst.tick);
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+
this.lastPx = rng.around(this.price, 0.002, inst.tick);
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+
const filledLots = rng.bool(0.35) ? lots : rng.int(1, Math.max(1, lots - 1));
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+
this.cumQty = filledLots * inst.lotSize;
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+
this.leavesQty = this.orderQty - this.cumQty;
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+
this.lastQty = this.cumQty;
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this.avgPx = this.lastPx;
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this.tradeDate = MarketContext.midnightUtc(this.asOf);
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+
this.transactTime = new Date(this.asOf.getTime() - rng.int(0, 90) * 1000);
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+
this.settlDate = MarketContext.addBusinessDays(this.tradeDate, inst.assetClass === instrument_universe_1.AssetClass.Fx ? 2 : 2);
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50
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+
const stamp = MarketContext.yyyymmdd(this.tradeDate);
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+
this.clOrdId = `CLORD-${stamp}-${rng.int(10000, 99999)}`;
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+
this.origClOrdId = `CLORD-${stamp}-${rng.int(10000, 99999)}`;
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+
this.orderId = `ORD-${rng.int(1000000, 9999999)}`;
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+
this.execId = `EXE-${rng.int(1000000, 9999999)}`;
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+
this.tradeId = `TRD-${stamp}-${rng.int(1000, 9999)}`;
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+
this.account = rng.pick(accounts);
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57
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+
this.desk = rng.pick(desks);
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58
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+
this.senderCompId = (_c = options.senderCompId) !== null && _c !== void 0 ? _c : 'init-comp';
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59
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+
this.targetCompId = (_d = options.targetCompId) !== null && _d !== void 0 ? _d : 'accept-comp';
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60
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+
this.firms = rng.shuffled(firms);
|
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61
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+
this.traders = rng.shuffled(traders);
|
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62
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+
}
|
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63
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+
current() {
|
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64
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+
const leg = this.leg;
|
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65
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+
if (leg)
|
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66
|
+
return leg;
|
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67
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+
const under = this.underlying;
|
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68
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+
if (under)
|
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69
|
+
return under;
|
|
70
|
+
return this.instrument;
|
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71
|
+
}
|
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72
|
+
nextSeq() {
|
|
73
|
+
return ++this.sequence;
|
|
74
|
+
}
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75
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+
text() {
|
|
76
|
+
return this.rng.pick(freeText);
|
|
77
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+
}
|
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78
|
+
party(index) {
|
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79
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+
const all = [...this.firms, ...this.traders];
|
|
80
|
+
return all[index % all.length];
|
|
81
|
+
}
|
|
82
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+
quantity(max) {
|
|
83
|
+
const lot = this.instrument.lotSize;
|
|
84
|
+
const cap = max != null ? Math.max(1, Math.floor(max / lot)) : 40;
|
|
85
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+
return this.rng.int(1, cap) * lot;
|
|
86
|
+
}
|
|
87
|
+
grossAmount() {
|
|
88
|
+
var _a;
|
|
89
|
+
const multiplier = (_a = this.instrument.contractMultiplier) !== null && _a !== void 0 ? _a : 1;
|
|
90
|
+
return Number((this.lastQty * this.lastPx * multiplier).toFixed(2));
|
|
91
|
+
}
|
|
92
|
+
priceNear(centre) {
|
|
93
|
+
const inst = this.instrument;
|
|
94
|
+
const leg = this.leg;
|
|
95
|
+
const base = centre !== null && centre !== void 0 ? centre : (leg ? leg.refPx : inst.refPx);
|
|
96
|
+
return this.rng.around(base, 0.006, leg ? 0.01 : inst.tick);
|
|
97
|
+
}
|
|
98
|
+
static midnightUtc(d) {
|
|
99
|
+
return new Date(Date.UTC(d.getUTCFullYear(), d.getUTCMonth(), d.getUTCDate(), 0, 0, 0, 0));
|
|
100
|
+
}
|
|
101
|
+
static addBusinessDays(from, days) {
|
|
102
|
+
const d = new Date(from.getTime());
|
|
103
|
+
let left = days;
|
|
104
|
+
while (left > 0) {
|
|
105
|
+
d.setUTCDate(d.getUTCDate() + 1);
|
|
106
|
+
const day = d.getUTCDay();
|
|
107
|
+
if (day !== 0 && day !== 6)
|
|
108
|
+
left--;
|
|
109
|
+
}
|
|
110
|
+
return d;
|
|
111
|
+
}
|
|
112
|
+
static yyyymmdd(d) {
|
|
113
|
+
const m = d.getUTCMonth() + 1;
|
|
114
|
+
const day = d.getUTCDate();
|
|
115
|
+
return `${d.getUTCFullYear()}${m < 10 ? '0' : ''}${m}${day < 10 ? '0' : ''}${day}`;
|
|
116
|
+
}
|
|
117
|
+
}
|
|
118
|
+
exports.MarketContext = MarketContext;
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119
|
+
//# sourceMappingURL=market-context.js.map
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@@ -0,0 +1 @@
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1
|
+
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{ Rng } from './rng'\nimport { AssetClass, IInstrumentSpec, ILegSpec, InstrumentUniverse } from './instrument-universe'\n\n/**\n * Everything one generated message agrees about.\n *\n * The old generator drew each field independently, which is why its output never added\n * up - an OrderQty of -483.04 filled at a price of 97319 on a security called `Nunc`.\n * A message is a statement about a single trade, so the trade is decided once, up front,\n * and every field is then read off it.\n *\n * The walker moves this context as it descends: entering a leg group instance sets\n * `leg`, so `LegPrice` is drawn from that leg rather than from the parent.\n */\n\nexport interface IParty {\n readonly id: string\n readonly idSource: string\n readonly role: number\n readonly desc: string\n}\n\nexport interface IMarketContextOptions {\n readonly rng: Rng\n readonly instrument?: IInstrumentSpec\n readonly assetClass?: AssetClass\n /** anchor for every date in the message; defaults to today */\n readonly asOf?: Date\n readonly senderCompId?: string\n readonly targetCompId?: string\n}\n\nconst firms: readonly IParty[] = [\n { id: 'MGSTGB2L', idSource: 'C', role: 1, desc: 'executing firm' },\n { id: 'CHASGB2L', idSource: 'C', role: 4, desc: 'clearing firm' },\n { id: 'BARCGB22', idSource: 'C', role: 17, desc: 'contra firm' },\n { id: 'ABNANL2A', idSource: 'C', role: 13, desc: 'order origination firm' }\n]\n\nconst traders: readonly IParty[] = [\n { id: 'jhalliday', idSource: 'D', role: 12, desc: 'executing trader' },\n { id: 'rmcdowall', idSource: 'D', role: 11, desc: 'order origination trader' },\n { id: 'kbannerjee', idSource: 'D', role: 12, desc: 'executing trader' }\n]\n\nconst accounts: readonly string[] = [\n 'ACCT-00417', 'ACCT-01925', 'OMNI-4471', 'SEGR-2210'\n]\n\nconst desks: readonly string[] = ['ENERGY', 'MACRO', 'CASH-EQ', 'FICC']\n\nconst freeText: readonly string[] = [\n 'give up to clearer',\n 'client instruction on file',\n 'worked over the close',\n 'cross with house book',\n 'blocked - settle T+2'\n]\n\nexport class MarketContext {\n public readonly rng: Rng\n public readonly instrument: IInstrumentSpec\n public readonly asOf: Date\n\n /** the trade this message describes */\n public readonly side: string\n public readonly orderQty: number\n public readonly price: number\n public readonly lastPx: number\n public readonly lastQty: number\n public readonly cumQty: number\n public readonly leavesQty: number\n public readonly avgPx: number\n\n public readonly tradeDate: Date\n public readonly transactTime: Date\n public readonly settlDate: Date\n\n public readonly clOrdId: string\n public readonly origClOrdId: string\n public readonly orderId: string\n public readonly execId: string\n public readonly tradeId: string\n public readonly account: string\n public readonly desk: string\n public readonly senderCompId: string\n public readonly targetCompId: string\n\n public readonly firms: readonly IParty[]\n public readonly traders: readonly IParty[]\n\n /** set while the walker is inside a leg, cleared on the way out */\n public leg: ILegSpec | null = null\n /** set while the walker is inside an underlying */\n public underlying: IInstrumentSpec | null = null\n\n private sequence: number = 0\n\n constructor (options: IMarketContextOptions) {\n const rng = this.rng = options.rng\n this.instrument = options.instrument ?? InstrumentUniverse.choose(rng, options.assetClass)\n const inst = this.instrument\n this.asOf = options.asOf ?? new Date()\n\n this.side = rng.bool(0.5) ? '1' : '2'\n const lots = rng.int(1, 40)\n this.orderQty = lots * inst.lotSize\n this.price = rng.around(inst.refPx, 0.004, inst.tick)\n this.lastPx = rng.around(this.price, 0.002, inst.tick)\n // a partial fill more often than not, which is what a real execution stream looks like\n const filledLots = rng.bool(0.35) ? lots : rng.int(1, Math.max(1, lots - 1))\n this.cumQty = filledLots * inst.lotSize\n this.leavesQty = this.orderQty - this.cumQty\n this.lastQty = this.cumQty\n this.avgPx = this.lastPx\n\n this.tradeDate = MarketContext.midnightUtc(this.asOf)\n this.transactTime = new Date(this.asOf.getTime() - rng.int(0, 90) * 1000)\n this.settlDate = MarketContext.addBusinessDays(this.tradeDate, inst.assetClass === AssetClass.Fx ? 2 : 2)\n\n const stamp = MarketContext.yyyymmdd(this.tradeDate)\n this.clOrdId = `CLORD-${stamp}-${rng.int(10000, 99999)}`\n this.origClOrdId = `CLORD-${stamp}-${rng.int(10000, 99999)}`\n this.orderId = `ORD-${rng.int(1000000, 9999999)}`\n this.execId = `EXE-${rng.int(1000000, 9999999)}`\n this.tradeId = `TRD-${stamp}-${rng.int(1000, 9999)}`\n this.account = rng.pick(accounts)\n this.desk = rng.pick(desks)\n this.senderCompId = options.senderCompId ?? 'init-comp'\n this.targetCompId = options.targetCompId ?? 'accept-comp'\n\n this.firms = rng.shuffled(firms)\n this.traders = rng.shuffled(traders)\n }\n\n /**\n * the instrument whose fields should be read right now - a leg is described by its own\n * contract, an underlying by the underlying, and anything else by the parent\n */\n public current (): { symbol: string, securityId: string, securityIdSource: string, securityType: string, refPx: number, maturityMonthYear?: string } {\n const leg = this.leg\n if (leg) return leg\n const under = this.underlying\n if (under) return under\n return this.instrument\n }\n\n public nextSeq (): number {\n return ++this.sequence\n }\n\n public text (): string {\n return this.rng.pick(freeText)\n }\n\n public party (index: number): IParty {\n const all = [...this.firms, ...this.traders]\n return all[index % all.length]\n }\n\n /**\n * a quantity that fits the contract - always a whole number of lots, so a message\n * never claims a fraction of a future\n */\n public quantity (max?: number): number {\n const lot = this.instrument.lotSize\n const cap = max != null ? Math.max(1, Math.floor(max / lot)) : 40\n return this.rng.int(1, cap) * lot\n }\n\n /**\n * what the trade is worth - quantity by price, and by the contract multiplier where\n * there is one, so a Brent fill does not report a notional of six dollars\n */\n public grossAmount (): number {\n const multiplier = this.instrument.contractMultiplier ?? 1\n return Number((this.lastQty * this.lastPx * multiplier).toFixed(2))\n }\n\n public priceNear (centre?: number): number {\n const inst = this.instrument\n const leg = this.leg\n const base = centre ?? (leg ? leg.refPx : inst.refPx)\n return this.rng.around(base, 0.006, leg ? 0.01 : inst.tick)\n }\n\n public static midnightUtc (d: Date): Date {\n return new Date(Date.UTC(d.getUTCFullYear(), d.getUTCMonth(), d.getUTCDate(), 0, 0, 0, 0))\n }\n\n public static addBusinessDays (from: Date, days: number): Date {\n const d = new Date(from.getTime())\n let left = days\n while (left > 0) {\n d.setUTCDate(d.getUTCDate() + 1)\n const day = d.getUTCDay()\n if (day !== 0 && day !== 6) left--\n }\n return d\n }\n\n public static yyyymmdd (d: Date): string {\n const m = d.getUTCMonth() + 1\n const day = d.getUTCDate()\n return `${d.getUTCFullYear()}${m < 10 ? '0' : ''}${m}${day < 10 ? '0' : ''}${day}`\n }\n}\n"]}
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import { ILooseObject } from '../collections/collection';
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export declare enum CaseOutcome {
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RoundTrips = "round-trips",
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LosesFields = "loses-fields",
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MisAttributes = "mis-attributes",
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}
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export declare function leaves(o: any, path?: string, into?: Map<string, string>): Map<string, string>;
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export declare function classify(canonical: ILooseObject | null, scattered: ILooseObject | null): IOutcome;
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exports.leaves = leaves;
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exports.classify = classify;
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exports.describeOutcome = describeOutcome;
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var CaseOutcome;
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(function (CaseOutcome) {
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CaseOutcome["RoundTrips"] = "round-trips";
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CaseOutcome["LosesFields"] = "loses-fields";
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CaseOutcome["MisAttributes"] = "mis-attributes";
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CaseOutcome["Rejected"] = "rejected";
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})(CaseOutcome || (exports.CaseOutcome = CaseOutcome = {}));
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function leaves(o, path = '', into = new Map()) {
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if (o === null || o === undefined || typeof o !== 'object' || o instanceof Date || Buffer.isBuffer(o)) {
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return into;
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function classify(canonical, scattered) {
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return { outcome: CaseOutcome.Rejected, missing: [], added: [], changed: [] };
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}
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const a = leaves(canonical);
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const b = leaves(scattered);
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return { outcome: CaseOutcome.RoundTrips, missing, added, changed };
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}
|
|
52
|
+
if (added.length > 0 || changed.length > 0) {
|
|
53
|
+
return { outcome: CaseOutcome.MisAttributes, missing, added, changed };
|
|
54
|
+
}
|
|
55
|
+
return { outcome: CaseOutcome.LosesFields, missing, added, changed };
|
|
56
|
+
}
|
|
57
|
+
function describeOutcome(o) {
|
|
58
|
+
switch (o.outcome) {
|
|
59
|
+
case CaseOutcome.RoundTrips:
|
|
60
|
+
return 'round trips - the scattered ordering parses to the same object';
|
|
61
|
+
case CaseOutcome.LosesFields:
|
|
62
|
+
return `loses ${o.missing.length} field(s): ${o.missing.join(', ')}`;
|
|
63
|
+
case CaseOutcome.MisAttributes:
|
|
64
|
+
return `mis-attributes ${o.added.length + o.changed.length} value(s): ${[...o.added, ...o.changed].join(', ')}`;
|
|
65
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+
case CaseOutcome.Rejected:
|
|
66
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+
return 'rejected - the parser refused a legal ordering';
|
|
67
|
+
default:
|
|
68
|
+
return 'unknown';
|
|
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|
+
}
|
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|
+
}
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+
//# sourceMappingURL=outcome.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"outcome.js","sourceRoot":"","sources":["../../src/generator/outcome.ts"],"names":[],"mappings":";;;AA6CA,wBASC;AAED,4BA8BC;AAED,0CAaC;AAjFD,IAAY,WASX;AATD,WAAY,WAAW;IAErB,yCAA0B,CAAA;IAE1B,2CAA4B,CAAA;IAE5B,+CAAgC,CAAA;IAEhC,oCAAqB,CAAA;AACvB,CAAC,EATW,WAAW,2BAAX,WAAW,QAStB;AAgBD,SAAgB,MAAM,CAAE,CAAM,EAAE,OAAe,EAAE,EAAE,OAA4B,IAAI,GAAG,EAAkB;IACtG,IAAI,CAAC,KAAK,IAAI,IAAI,CAAC,KAAK,SAAS,IAAI,OAAO,CAAC,KAAK,QAAQ,IAAI,CAAC,YAAY,IAAI,IAAI,MAAM,CAAC,QAAQ,CAAC,CAAC,CAAC,EAAE,CAAC;QACtG,IAAI,CAAC,GAAG,CAAC,IAAI,EAAE,IAAI,CAAC,SAAS,CAAC,CAAC,CAAC,CAAC,CAAA;QACjC,OAAO,IAAI,CAAA;IACb,CAAC;IACD,KAAK,MAAM,GAAG,IAAI,MAAM,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC;QACjC,MAAM,CAAC,CAAC,CAAC,GAAG,CAAC,EAAE,GAAG,IAAI,IAAI,GAAG,EAAE,EAAE,IAAI,CAAC,CAAA;IACxC,CAAC;IACD,OAAO,IAAI,CAAA;AACb,CAAC;AAED,SAAgB,QAAQ,CAAE,SAA8B,EAAE,SAA8B;IACtF,IAAI,CAAC,SAAS,EAAE,CAAC;QACf,OAAO,EAAE,OAAO,EAAE,WAAW,CAAC,QAAQ,EAAE,OAAO,EAAE,EAAE,EAAE,KAAK,EAAE,EAAE,EAAE,OAAO,EAAE,EAAE,EAAE,CAAA;IAC/E,CAAC;IACD,MAAM,CAAC,GAAG,MAAM,CAAC,SAAS,CAAC,CAAA;IAC3B,MAAM,CAAC,GAAG,MAAM,CAAC,SAAS,CAAC,CAAA;IAC3B,MAAM,OAAO,GAAa,EAAE,CAAA;IAC5B,MAAM,KAAK,GAAa,EAAE,CAAA;IAC1B,MAAM,OAAO,GAAa,EAAE,CAAA;IAC5B,KAAK,MAAM,CAAC,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,EAAE,CAAC;QACvB,MAAM,KAAK,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAA;QACtB,IAAI,KAAK,KAAK,SAAS,EAAE,CAAC;YACxB,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,CAAA;QACjB,CAAC;aAAM,IAAI,KAAK,KAAK,CAAC,EAAE,CAAC;YACvB,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,CAAA;QACjB,CAAC;IACH,CAAC;IACD,KAAK,MAAM,CAAC,IAAI,CAAC,CAAC,IAAI,EAAE,EAAE,CAAC;QACzB,IAAI,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;YAAE,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC,CAAA;IAC9B,CAAC;IACD,OAAO,CAAC,IAAI,EAAE,CAAA;IACd,KAAK,CAAC,IAAI,EAAE,CAAA;IACZ,OAAO,CAAC,IAAI,EAAE,CAAA;IACd,IAAI,OAAO,CAAC,MAAM,KAAK,CAAC,IAAI,KAAK,CAAC,MAAM,KAAK,CAAC,IAAI,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACvE,OAAO,EAAE,OAAO,EAAE,WAAW,CAAC,UAAU,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,CAAA;IACrE,CAAC;IACD,IAAI,KAAK,CAAC,MAAM,GAAG,CAAC,IAAI,OAAO,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;QAC3C,OAAO,EAAE,OAAO,EAAE,WAAW,CAAC,aAAa,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,CAAA;IACxE,CAAC;IACD,OAAO,EAAE,OAAO,EAAE,WAAW,CAAC,WAAW,EAAE,OAAO,EAAE,KAAK,EAAE,OAAO,EAAE,CAAA;AACtE,CAAC;AAED,SAAgB,eAAe,CAAE,CAAW;IAC1C,QAAQ,CAAC,CAAC,OAAO,EAAE,CAAC;QAClB,KAAK,WAAW,CAAC,UAAU;YACzB,OAAO,gEAAgE,CAAA;QACzE,KAAK,WAAW,CAAC,WAAW;YAC1B,OAAO,SAAS,CAAC,CAAC,OAAO,CAAC,MAAM,cAAc,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,IAAI,CAAC,EAAE,CAAA;QACtE,KAAK,WAAW,CAAC,aAAa;YAC5B,OAAO,kBAAkB,CAAC,CAAC,KAAK,CAAC,MAAM,GAAG,CAAC,CAAC,OAAO,CAAC,MAAM,cAAc,CAAC,GAAG,CAAC,CAAC,KAAK,EAAE,GAAG,CAAC,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,EAAE,CAAA;QACjH,KAAK,WAAW,CAAC,QAAQ;YACvB,OAAO,gDAAgD,CAAA;QACzD;YACE,OAAO,SAAS,CAAA;IACpB,CAAC;AACH,CAAC","sourcesContent":["import { ILooseObject } from '../collections/collection'\n\n/**\n * What the engine did with a scattered message, stated more precisely than \"the objects\n * differ\".\n *\n * The distinction earns its place because the two failures found so far are not equally\n * serious, and an application can defend against only one of them:\n *\n * - **loses fields** — the scattered parse is a strict subset of the canonical one.\n * Data is missing, but nothing present is false. An application checking for the\n * fields it needs will notice.\n * - **mis-attributes** — the scattered parse contains something the canonical one does\n * not: a value moved into a component that never carried it, or a value changed.\n * Nothing looks wrong, and no amount of care at the application catches it.\n *\n * Keeping them apart is also what lets a corpus entry record an expectation sharp enough\n * to be worth freezing. \"Differs\" would pass for the wrong reason.\n */\n\nexport enum CaseOutcome {\n /** the scattered ordering parses to the same object - the engine handled it */\n RoundTrips = 'round-trips',\n /** parses, but with fields dropped; every value present is still correct */\n LosesFields = 'loses-fields',\n /** parses, and carries a value the message did not say - the dangerous one */\n MisAttributes = 'mis-attributes',\n /** refused outright, which for a legal ordering is a defect, but a loud one */\n Rejected = 'rejected'\n}\n\nexport interface IOutcome {\n readonly outcome: CaseOutcome\n /** leaf paths the canonical parse has and the scattered one does not */\n readonly missing: string[]\n /** leaf paths the scattered parse has and the canonical one does not */\n readonly added: string[]\n /** leaf paths in both, disagreeing */\n readonly changed: string[]\n}\n\n/**\n * every leaf of an object as `path -> json`, so two parses can be compared without\n * caring how the tree is shaped\n */\nexport function leaves (o: any, path: string = '', into: Map<string, string> = new Map<string, string>()): Map<string, string> {\n if (o === null || o === undefined || typeof o !== 'object' || o instanceof Date || Buffer.isBuffer(o)) {\n into.set(path, JSON.stringify(o))\n return into\n }\n for (const key of Object.keys(o)) {\n leaves(o[key], `${path}.${key}`, into)\n }\n return into\n}\n\nexport function classify (canonical: ILooseObject | null, scattered: ILooseObject | null): IOutcome {\n if (!scattered) {\n return { outcome: CaseOutcome.Rejected, missing: [], added: [], changed: [] }\n }\n const a = leaves(canonical)\n const b = leaves(scattered)\n const missing: string[] = []\n const added: string[] = []\n const changed: string[] = []\n for (const [k, v] of a) {\n const other = b.get(k)\n if (other === undefined) {\n missing.push(k)\n } else if (other !== v) {\n changed.push(k)\n }\n }\n for (const k of b.keys()) {\n if (!a.has(k)) added.push(k)\n }\n missing.sort()\n added.sort()\n changed.sort()\n if (missing.length === 0 && added.length === 0 && changed.length === 0) {\n return { outcome: CaseOutcome.RoundTrips, missing, added, changed }\n }\n if (added.length > 0 || changed.length > 0) {\n return { outcome: CaseOutcome.MisAttributes, missing, added, changed }\n }\n return { outcome: CaseOutcome.LosesFields, missing, added, changed }\n}\n\nexport function describeOutcome (o: IOutcome): string {\n switch (o.outcome) {\n case CaseOutcome.RoundTrips:\n return 'round trips - the scattered ordering parses to the same object'\n case CaseOutcome.LosesFields:\n return `loses ${o.missing.length} field(s): ${o.missing.join(', ')}`\n case CaseOutcome.MisAttributes:\n return `mis-attributes ${o.added.length + o.changed.length} value(s): ${[...o.added, ...o.changed].join(', ')}`\n case CaseOutcome.Rejected:\n return 'rejected - the parser refused a legal ordering'\n default:\n return 'unknown'\n }\n}\n"]}
|
|
@@ -0,0 +1,53 @@
|
|
|
1
|
+
import { ILooseObject } from '../collections/collection';
|
|
2
|
+
import { FixDefinitions, MessageDefinition } from '../dictionary/definition';
|
|
3
|
+
import { MarketContext } from './market-context';
|
|
4
|
+
import { AssetClass, IInstrumentSpec } from './instrument-universe';
|
|
5
|
+
export interface IGeneratorOptions {
|
|
6
|
+
readonly seed?: number;
|
|
7
|
+
readonly density?: number;
|
|
8
|
+
readonly asOf?: Date;
|
|
9
|
+
readonly instrument?: string | IInstrumentSpec;
|
|
10
|
+
readonly assetClass?: AssetClass;
|
|
11
|
+
readonly maxDepth?: number;
|
|
12
|
+
readonly maxGroupInstances?: number;
|
|
13
|
+
readonly include?: readonly string[];
|
|
14
|
+
readonly exclude?: readonly string[];
|
|
15
|
+
readonly senderCompId?: string;
|
|
16
|
+
readonly targetCompId?: string;
|
|
17
|
+
}
|
|
18
|
+
export interface IGeneratedMessage {
|
|
19
|
+
readonly msgType: string;
|
|
20
|
+
readonly name: string;
|
|
21
|
+
readonly object: ILooseObject;
|
|
22
|
+
readonly market: MarketContext;
|
|
23
|
+
readonly definition: MessageDefinition;
|
|
24
|
+
}
|
|
25
|
+
export declare class RealisticGenerator {
|
|
26
|
+
readonly definitions: FixDefinitions;
|
|
27
|
+
readonly options: IGeneratorOptions;
|
|
28
|
+
private readonly rng;
|
|
29
|
+
private readonly density;
|
|
30
|
+
private readonly maxDepth;
|
|
31
|
+
private readonly maxGroupInstances;
|
|
32
|
+
private readonly forced;
|
|
33
|
+
private readonly forcedTags;
|
|
34
|
+
private readonly suppressed;
|
|
35
|
+
private assetClass;
|
|
36
|
+
constructor(definitions: FixDefinitions, options?: IGeneratorOptions);
|
|
37
|
+
generate(msgType: string): IGeneratedMessage;
|
|
38
|
+
private resolveInstrument;
|
|
39
|
+
private build;
|
|
40
|
+
private simple;
|
|
41
|
+
private component;
|
|
42
|
+
private group;
|
|
43
|
+
private enter;
|
|
44
|
+
private probability;
|
|
45
|
+
private componentProbability;
|
|
46
|
+
private groupProbability;
|
|
47
|
+
private instances;
|
|
48
|
+
private isForced;
|
|
49
|
+
private static hasOwnSimple;
|
|
50
|
+
private static carriesAny;
|
|
51
|
+
private static rawFollows;
|
|
52
|
+
private static dot;
|
|
53
|
+
}
|