jspurefix 5.11.3 → 5.11.4

package/dist/generator/market-context.d.ts

@@ -0,0 +1,64 @@
+import { Rng } from './rng';
+import { AssetClass, IInstrumentSpec, ILegSpec } from './instrument-universe';
+export interface IParty {
+    readonly id: string;
+    readonly idSource: string;
+    readonly role: number;
+    readonly desc: string;
+}
+export interface IMarketContextOptions {
+    readonly rng: Rng;
+    readonly instrument?: IInstrumentSpec;
+    readonly assetClass?: AssetClass;
+    readonly asOf?: Date;
+    readonly senderCompId?: string;
+    readonly targetCompId?: string;
+}
+export declare class MarketContext {
+    readonly rng: Rng;
+    readonly instrument: IInstrumentSpec;
+    readonly asOf: Date;
+    readonly side: string;
+    readonly orderQty: number;
+    readonly price: number;
+    readonly lastPx: number;
+    readonly lastQty: number;
+    readonly cumQty: number;
+    readonly leavesQty: number;
+    readonly avgPx: number;
+    readonly tradeDate: Date;
+    readonly transactTime: Date;
+    readonly settlDate: Date;
+    readonly clOrdId: string;
+    readonly origClOrdId: string;
+    readonly orderId: string;
+    readonly execId: string;
+    readonly tradeId: string;
+    readonly account: string;
+    readonly desk: string;
+    readonly senderCompId: string;
+    readonly targetCompId: string;
+    readonly firms: readonly IParty[];
+    readonly traders: readonly IParty[];
+    leg: ILegSpec | null;
+    underlying: IInstrumentSpec | null;
+    private sequence;
+    constructor(options: IMarketContextOptions);
+    current(): {
+        symbol: string;
+        securityId: string;
+        securityIdSource: string;
+        securityType: string;
+        refPx: number;
+        maturityMonthYear?: string;
+    };
+    nextSeq(): number;
+    text(): string;
+    party(index: number): IParty;
+    quantity(max?: number): number;
+    grossAmount(): number;
+    priceNear(centre?: number): number;
+    static midnightUtc(d: Date): Date;
+    static addBusinessDays(from: Date, days: number): Date;
+    static yyyymmdd(d: Date): string;
+}

package/dist/generator/market-context.js

@@ -0,0 +1,119 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.MarketContext = void 0;
+const instrument_universe_1 = require("./instrument-universe");
+const firms = [
+    { id: 'MGSTGB2L', idSource: 'C', role: 1, desc: 'executing firm' },
+    { id: 'CHASGB2L', idSource: 'C', role: 4, desc: 'clearing firm' },
+    { id: 'BARCGB22', idSource: 'C', role: 17, desc: 'contra firm' },
+    { id: 'ABNANL2A', idSource: 'C', role: 13, desc: 'order origination firm' }
+];
+const traders = [
+    { id: 'jhalliday', idSource: 'D', role: 12, desc: 'executing trader' },
+    { id: 'rmcdowall', idSource: 'D', role: 11, desc: 'order origination trader' },
+    { id: 'kbannerjee', idSource: 'D', role: 12, desc: 'executing trader' }
+];
+const accounts = [
+    'ACCT-00417', 'ACCT-01925', 'OMNI-4471', 'SEGR-2210'
+];
+const desks = ['ENERGY', 'MACRO', 'CASH-EQ', 'FICC'];
+const freeText = [
+    'give up to clearer',
+    'client instruction on file',
+    'worked over the close',
+    'cross with house book',
+    'blocked - settle T+2'
+];
+class MarketContext {
+    constructor(options) {
+        var _a, _b, _c, _d;
+        this.leg = null;
+        this.underlying = null;
+        this.sequence = 0;
+        const rng = this.rng = options.rng;
+        this.instrument = (_a = options.instrument) !== null && _a !== void 0 ? _a : instrument_universe_1.InstrumentUniverse.choose(rng, options.assetClass);
+        const inst = this.instrument;
+        this.asOf = (_b = options.asOf) !== null && _b !== void 0 ? _b : new Date();
+        this.side = rng.bool(0.5) ? '1' : '2';
+        const lots = rng.int(1, 40);
+        this.orderQty = lots * inst.lotSize;
+        this.price = rng.around(inst.refPx, 0.004, inst.tick);
+        this.lastPx = rng.around(this.price, 0.002, inst.tick);
+        const filledLots = rng.bool(0.35) ? lots : rng.int(1, Math.max(1, lots - 1));
+        this.cumQty = filledLots * inst.lotSize;
+        this.leavesQty = this.orderQty - this.cumQty;
+        this.lastQty = this.cumQty;
+        this.avgPx = this.lastPx;
+        this.tradeDate = MarketContext.midnightUtc(this.asOf);
+        this.transactTime = new Date(this.asOf.getTime() - rng.int(0, 90) * 1000);
+        this.settlDate = MarketContext.addBusinessDays(this.tradeDate, inst.assetClass === instrument_universe_1.AssetClass.Fx ? 2 : 2);
+        const stamp = MarketContext.yyyymmdd(this.tradeDate);
+        this.clOrdId = `CLORD-${stamp}-${rng.int(10000, 99999)}`;
+        this.origClOrdId = `CLORD-${stamp}-${rng.int(10000, 99999)}`;
+        this.orderId = `ORD-${rng.int(1000000, 9999999)}`;
+        this.execId = `EXE-${rng.int(1000000, 9999999)}`;
+        this.tradeId = `TRD-${stamp}-${rng.int(1000, 9999)}`;
+        this.account = rng.pick(accounts);
+        this.desk = rng.pick(desks);
+        this.senderCompId = (_c = options.senderCompId) !== null && _c !== void 0 ? _c : 'init-comp';
+        this.targetCompId = (_d = options.targetCompId) !== null && _d !== void 0 ? _d : 'accept-comp';
+        this.firms = rng.shuffled(firms);
+        this.traders = rng.shuffled(traders);
+    }
+    current() {
+        const leg = this.leg;
+        if (leg)
+            return leg;
+        const under = this.underlying;
+        if (under)
+            return under;
+        return this.instrument;
+    }
+    nextSeq() {
+        return ++this.sequence;
+    }
+    text() {
+        return this.rng.pick(freeText);
+    }
+    party(index) {
+        const all = [...this.firms, ...this.traders];
+        return all[index % all.length];
+    }
+    quantity(max) {
+        const lot = this.instrument.lotSize;
+        const cap = max != null ? Math.max(1, Math.floor(max / lot)) : 40;
+        return this.rng.int(1, cap) * lot;
+    }
+    grossAmount() {
+        var _a;
+        const multiplier = (_a = this.instrument.contractMultiplier) !== null && _a !== void 0 ? _a : 1;
+        return Number((this.lastQty * this.lastPx * multiplier).toFixed(2));
+    }
+    priceNear(centre) {
+        const inst = this.instrument;
+        const leg = this.leg;
+        const base = centre !== null && centre !== void 0 ? centre : (leg ? leg.refPx : inst.refPx);
+        return this.rng.around(base, 0.006, leg ? 0.01 : inst.tick);
+    }
+    static midnightUtc(d) {
+        return new Date(Date.UTC(d.getUTCFullYear(), d.getUTCMonth(), d.getUTCDate(), 0, 0, 0, 0));
+    }
+    static addBusinessDays(from, days) {
+        const d = new Date(from.getTime());
+        let left = days;
+        while (left > 0) {
+            d.setUTCDate(d.getUTCDate() + 1);
+            const day = d.getUTCDay();
+            if (day !== 0 && day !== 6)
+                left--;
+        }
+        return d;
+    }
+    static yyyymmdd(d) {
+        const m = d.getUTCMonth() + 1;
+        const day = d.getUTCDate();
+        return `${d.getUTCFullYear()}${m < 10 ? '0' : ''}${m}${day < 10 ? '0' : ''}${day}`;
+    }
+}
+exports.MarketContext = MarketContext;
+//# sourceMappingURL=market-context.js.map

package/dist/generator/market-context.js.map

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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"]}

package/dist/generator/outcome.d.ts

@@ -0,0 +1,16 @@
+import { ILooseObject } from '../collections/collection';
+export declare enum CaseOutcome {
+    RoundTrips = "round-trips",
+    LosesFields = "loses-fields",
+    MisAttributes = "mis-attributes",
+    Rejected = "rejected"
+}
+export interface IOutcome {
+    readonly outcome: CaseOutcome;
+    readonly missing: string[];
+    readonly added: string[];
+    readonly changed: string[];
+}
+export declare function leaves(o: any, path?: string, into?: Map<string, string>): Map<string, string>;
+export declare function classify(canonical: ILooseObject | null, scattered: ILooseObject | null): IOutcome;
+export declare function describeOutcome(o: IOutcome): string;

package/dist/generator/outcome.js

@@ -0,0 +1,71 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.CaseOutcome = void 0;
+exports.leaves = leaves;
+exports.classify = classify;
+exports.describeOutcome = describeOutcome;
+var CaseOutcome;
+(function (CaseOutcome) {
+    CaseOutcome["RoundTrips"] = "round-trips";
+    CaseOutcome["LosesFields"] = "loses-fields";
+    CaseOutcome["MisAttributes"] = "mis-attributes";
+    CaseOutcome["Rejected"] = "rejected";
+})(CaseOutcome || (exports.CaseOutcome = CaseOutcome = {}));
+function leaves(o, path = '', into = new Map()) {
+    if (o === null || o === undefined || typeof o !== 'object' || o instanceof Date || Buffer.isBuffer(o)) {
+        into.set(path, JSON.stringify(o));
+        return into;
+    }
+    for (const key of Object.keys(o)) {
+        leaves(o[key], `${path}.${key}`, into);
+    }
+    return into;
+}
+function classify(canonical, scattered) {
+    if (!scattered) {
+        return { outcome: CaseOutcome.Rejected, missing: [], added: [], changed: [] };
+    }
+    const a = leaves(canonical);
+    const b = leaves(scattered);
+    const missing = [];
+    const added = [];
+    const changed = [];
+    for (const [k, v] of a) {
+        const other = b.get(k);
+        if (other === undefined) {
+            missing.push(k);
+        }
+        else if (other !== v) {
+            changed.push(k);
+        }
+    }
+    for (const k of b.keys()) {
+        if (!a.has(k))
+            added.push(k);
+    }
+    missing.sort();
+    added.sort();
+    changed.sort();
+    if (missing.length === 0 && added.length === 0 && changed.length === 0) {
+        return { outcome: CaseOutcome.RoundTrips, missing, added, changed };
+    }
+    if (added.length > 0 || changed.length > 0) {
+        return { outcome: CaseOutcome.MisAttributes, missing, added, changed };
+    }
+    return { outcome: CaseOutcome.LosesFields, missing, added, changed };
+}
+function describeOutcome(o) {
+    switch (o.outcome) {
+        case CaseOutcome.RoundTrips:
+            return 'round trips - the scattered ordering parses to the same object';
+        case CaseOutcome.LosesFields:
+            return `loses ${o.missing.length} field(s): ${o.missing.join(', ')}`;
+        case CaseOutcome.MisAttributes:
+            return `mis-attributes ${o.added.length + o.changed.length} value(s): ${[...o.added, ...o.changed].join(', ')}`;
+        case CaseOutcome.Rejected:
+            return 'rejected - the parser refused a legal ordering';
+        default:
+            return 'unknown';
+    }
+}
+//# sourceMappingURL=outcome.js.map

package/dist/generator/outcome.js.map

@@ -0,0 +1 @@
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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"]}

package/dist/generator/realistic-generator.d.ts

@@ -0,0 +1,53 @@
+import { ILooseObject } from '../collections/collection';
+import { FixDefinitions, MessageDefinition } from '../dictionary/definition';
+import { MarketContext } from './market-context';
+import { AssetClass, IInstrumentSpec } from './instrument-universe';
+export interface IGeneratorOptions {
+    readonly seed?: number;
+    readonly density?: number;
+    readonly asOf?: Date;
+    readonly instrument?: string | IInstrumentSpec;
+    readonly assetClass?: AssetClass;
+    readonly maxDepth?: number;
+    readonly maxGroupInstances?: number;
+    readonly include?: readonly string[];
+    readonly exclude?: readonly string[];
+    readonly senderCompId?: string;
+    readonly targetCompId?: string;
+}
+export interface IGeneratedMessage {
+    readonly msgType: string;
+    readonly name: string;
+    readonly object: ILooseObject;
+    readonly market: MarketContext;
+    readonly definition: MessageDefinition;
+}
+export declare class RealisticGenerator {
+    readonly definitions: FixDefinitions;
+    readonly options: IGeneratorOptions;
+    private readonly rng;
+    private readonly density;
+    private readonly maxDepth;
+    private readonly maxGroupInstances;
+    private readonly forced;
+    private readonly forcedTags;
+    private readonly suppressed;
+    private assetClass;
+    constructor(definitions: FixDefinitions, options?: IGeneratorOptions);
+    generate(msgType: string): IGeneratedMessage;
+    private resolveInstrument;
+    private build;
+    private simple;
+    private component;
+    private group;
+    private enter;
+    private probability;
+    private componentProbability;
+    private groupProbability;
+    private instances;
+    private isForced;
+    private static hasOwnSimple;
+    private static carriesAny;
+    private static rawFollows;
+    private static dot;
+}

package/dist/generator/realistic-generator.js

@@ -0,0 +1,275 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.RealisticGenerator = void 0;
+const contained_1 = require("../dictionary/contained");
+const tag_type_1 = require("../buffer/tag/tag-type");
+const rng_1 = require("./rng");
+const market_context_1 = require("./market-context");
+const value_conventions_1 = require("./value-conventions");
+const instrument_universe_1 = require("./instrument-universe");
+const applicability_1 = require("./applicability");
+const coreSets = /^(Instrument|InstrumentLeg|UnderlyingInstrument|OrderQtyData|Parties|NestedParties[0-9]?|InstrmtLegGrp|TrdInstrmtLegGrp|InstrmtMDReqGrp|MDIncGrp|MDFullGrp)$/;
+const legSet = /Leg(s|Grp|$|[A-Z])|InstrmtLeg/;
+const underlyingSet = /Und(erlying|Instrmt)/;
+class RealisticGenerator {
+    constructor(definitions, options = {}) {
+        var _a, _b, _c, _d, _e, _f;
+        this.definitions = definitions;
+        this.options = options;
+        this.assetClass = instrument_universe_1.AssetClass.Equity;
+        this.rng = new rng_1.Rng((_a = options.seed) !== null && _a !== void 0 ? _a : 0x5eed);
+        this.density = (_b = options.density) !== null && _b !== void 0 ? _b : 1.0;
+        this.maxDepth = (_c = options.maxDepth) !== null && _c !== void 0 ? _c : 6;
+        this.maxGroupInstances = (_d = options.maxGroupInstances) !== null && _d !== void 0 ? _d : 2;
+        const include = (_e = options.include) !== null && _e !== void 0 ? _e : [];
+        this.forcedTags = include.filter(s => /^[0-9]+$/.test(s)).map(s => parseInt(s, 10));
+        this.forced = new Set(include.filter(s => !/^[0-9]+$/.test(s)));
+        this.suppressed = new Set((_f = options.exclude) !== null && _f !== void 0 ? _f : []);
+    }
+    generate(msgType) {
+        var _a, _b;
+        const definition = this.definitions.message.get(msgType);
+        if (!definition) {
+            throw new Error(`definitions do not contain type ${msgType}`);
+        }
+        const instrument = this.resolveInstrument();
+        const market = new market_context_1.MarketContext({
+            rng: this.rng,
+            instrument,
+            assetClass: this.options.assetClass,
+            asOf: this.options.asOf,
+            senderCompId: this.options.senderCompId,
+            targetCompId: this.options.targetCompId
+        });
+        const conventions = new value_conventions_1.ValueConventions(market);
+        this.assetClass = market.instrument.assetClass;
+        const state = { path: [], depth: 0, instance: 0, mustInclude: this.forcedTags };
+        const object = (_a = this.build(definition, market, conventions, state)) !== null && _a !== void 0 ? _a : {};
+        return {
+            msgType: (_b = definition.msgType) !== null && _b !== void 0 ? _b : msgType,
+            name: definition.name,
+            object,
+            market,
+            definition
+        };
+    }
+    resolveInstrument() {
+        const wanted = this.options.instrument;
+        if (!wanted)
+            return undefined;
+        if (typeof wanted !== 'string')
+            return wanted;
+        const found = instrument_universe_1.InstrumentUniverse.byName(wanted);
+        if (!found) {
+            throw new Error(`no instrument named ${wanted} - try one of ${instrument_universe_1.InstrumentUniverse.all.map(i => i.symbol).join(', ')}`);
+        }
+        return found;
+    }
+    build(set, market, conventions, state) {
+        const o = {};
+        const fields = set.fields;
+        for (let i = 0; i < fields.length; ++i) {
+            const field = fields[i];
+            switch (field.type) {
+                case contained_1.ContainedFieldType.Simple:
+                    this.simple(o, set, field, i, conventions, state);
+                    break;
+                case contained_1.ContainedFieldType.Component:
+                    this.component(o, field, market, conventions, state);
+                    break;
+                case contained_1.ContainedFieldType.Group:
+                    this.group(o, field, market, conventions, state);
+                    break;
+                default:
+                    break;
+            }
+        }
+        return Object.keys(o).length > 0 ? o : null;
+    }
+    simple(o, set, sf, index, conventions, state) {
+        const definition = sf.definition;
+        if (definition.tagType === tag_type_1.TagType.Length && RealisticGenerator.rawFollows(set, index)) {
+            return;
+        }
+        const dotted = RealisticGenerator.dot(state.path, sf.name);
+        if (this.suppressed.has(dotted) || this.suppressed.has(sf.name))
+            return;
+        const must = state.mustInclude.includes(definition.tag);
+        if (!must && !sf.required && !this.isForced(dotted, sf.name)) {
+            if (!(0, applicability_1.fieldApplies)(sf.name, this.assetClass))
+                return;
+            if (!this.rng.bool(this.probability(sf)))
+                return;
+        }
+        const fieldContext = { path: state.path, instance: state.instance };
+        const value = conventions.value(definition, fieldContext);
+        if (value != null && value !== '') {
+            o[sf.name] = value;
+        }
+    }
+    component(o, cf, market, conventions, state) {
+        const name = cf.name;
+        if (name === 'StandardHeader' || name === 'StandardTrailer')
+            return;
+        const dotted = RealisticGenerator.dot(state.path, name);
+        if (this.suppressed.has(dotted) || this.suppressed.has(name))
+            return;
+        const definition = cf.definition;
+        const carries = RealisticGenerator.carriesAny(definition, state.mustInclude);
+        if (!cf.required && !carries && !this.isForced(dotted, name)) {
+            if (state.depth >= this.maxDepth)
+                return;
+            if (!(0, applicability_1.setApplies)(name, this.assetClass))
+                return;
+            if (!this.rng.bool(this.componentProbability(name, state.depth)))
+                return;
+        }
+        const restore = this.enter(name, market, state.instance);
+        const child = this.build(definition, market, conventions, {
+            path: [...state.path, name],
+            depth: state.depth + 1,
+            instance: state.instance,
+            mustInclude: state.mustInclude.filter(t => definition.containedTag[t])
+        });
+        restore();
+        if (child) {
+            o[name] = child;
+        }
+    }
+    group(o, gf, market, conventions, state) {
+        var _a;
+        const name = gf.name;
+        const dotted = RealisticGenerator.dot(state.path, name);
+        if (this.suppressed.has(dotted) || this.suppressed.has(name))
+            return;
+        const definition = gf.definition;
+        const carries = RealisticGenerator.carriesAny(definition, state.mustInclude);
+        if (!gf.required && !carries && !this.isForced(dotted, name)) {
+            if (state.depth >= this.maxDepth)
+                return;
+            if (!(0, applicability_1.setApplies)(name, this.assetClass))
+                return;
+            if (!this.rng.bool(this.groupProbability(name, state.depth)))
+                return;
+        }
+        const isLegs = legSet.test(name) || legSet.test(definition.name);
+        const legs = market.instrument.legs;
+        const count = isLegs && legs && legs.length > 0
+            ? legs.length
+            : this.instances(state.depth);
+        const delimiter = (_a = definition.firstSimple) === null || _a === void 0 ? void 0 : _a.definition.tag;
+        const inherited = state.mustInclude.filter(t => definition.containedTag[t]);
+        const must = delimiter ? [delimiter, ...inherited] : inherited;
+        const instances = [];
+        for (let i = 0; i < count; ++i) {
+            const restore = this.enter(name, market, i);
+            const instance = this.build(definition, market, conventions, {
+                path: [...state.path, name],
+                depth: state.depth + 1,
+                instance: i,
+                mustInclude: must
+            });
+            restore();
+            if (instance && RealisticGenerator.hasOwnSimple(instance, definition)) {
+                instances.push(instance);
+            }
+        }
+        if (instances.length > 0) {
+            o[name] = instances;
+        }
+    }
+    enter(name, market, instance) {
+        var _a;
+        const wasLeg = market.leg;
+        const wasUnderlying = market.underlying;
+        const legs = market.instrument.legs;
+        if (legSet.test(name) && legs && legs.length > 0) {
+            market.leg = legs[instance % legs.length];
+        }
+        else if (underlyingSet.test(name)) {
+            market.underlying = (_a = market.underlying) !== null && _a !== void 0 ? _a : instrument_universe_1.InstrumentUniverse.choose(this.rng, market.instrument.assetClass === instrument_universe_1.AssetClass.Spread ? instrument_universe_1.AssetClass.Future : instrument_universe_1.AssetClass.Equity);
+        }
+        else {
+            return () => { };
+        }
+        return () => {
+            market.leg = wasLeg;
+            market.underlying = wasUnderlying;
+        };
+    }
+    probability(sf) {
+        const tag = sf.definition.tag;
+        let base;
+        if (value_conventions_1.ValueConventions.knows(tag)) {
+            base = 0.75;
+        }
+        else if (tag < 500) {
+            base = 0.3;
+        }
+        else {
+            base = 0.08;
+        }
+        return Math.min(1, base * this.density);
+    }
+    componentProbability(name, depth) {
+        if (coreSets.test(name))
+            return Math.min(1, 0.9 * Math.max(0.5, this.density));
+        return Math.min(1, (0.45 / (depth + 1)) * this.density);
+    }
+    groupProbability(name, depth) {
+        if (coreSets.test(name))
+            return Math.min(1, 0.8 * Math.max(0.5, this.density));
+        return Math.min(1, (0.35 / (depth + 1)) * this.density);
+    }
+    instances(depth) {
+        const cap = Math.max(1, this.maxGroupInstances - depth + 1);
+        return this.rng.int(1, Math.min(this.maxGroupInstances, cap));
+    }
+    isForced(dotted, name) {
+        if (this.forced.has(dotted) || this.forced.has(name))
+            return true;
+        for (const f of this.forced) {
+            if (f.startsWith(`${dotted}.`))
+                return true;
+        }
+        return false;
+    }
+    static hasOwnSimple(o, set) {
+        for (const field of set.fields) {
+            switch (field.type) {
+                case contained_1.ContainedFieldType.Simple:
+                    if (o[field.name] != null && o[field.name] !== '')
+                        return true;
+                    break;
+                case contained_1.ContainedFieldType.Component: {
+                    const cf = field;
+                    const child = o[cf.name];
+                    if (child && RealisticGenerator.hasOwnSimple(child, cf.definition))
+                        return true;
+                    break;
+                }
+                default:
+                    break;
+            }
+        }
+        return false;
+    }
+    static carriesAny(set, tags) {
+        for (const t of tags) {
+            if (set.containedTag[t])
+                return true;
+        }
+        return false;
+    }
+    static rawFollows(set, index) {
+        const next = set.fields[index + 1];
+        if (!next || next.type !== contained_1.ContainedFieldType.Simple)
+            return false;
+        return next.definition.tagType === tag_type_1.TagType.RawData;
+    }
+    static dot(path, name) {
+        return path.length > 0 ? `${path.join('.')}.${name}` : name;
+    }
+}
+exports.RealisticGenerator = RealisticGenerator;
+//# sourceMappingURL=realistic-generator.js.map