func (s *SimLogger) BeforeBookUpdate(book sim.Book, operation sim.SimOperation) {
tobOld := book.GetTop(operation.GetOptionId(), operation.GetSide(), s.supernodeLevels)
s.tobOld = make([]sim.PriceLevel, len(tobOld))
for i, pl := range tobOld {
s.tobOld[i] = pl.Clone()
}
s.efhLogger.BeforeBookUpdate(book, operation)
}
func (hlc *HwLimChecker) AfterBookUpdate(book sim.Book, operation sim.SimOperation) {
opa, ok := operation.(*sim.OperationAdd)
if !ok || operation.GetOptionId().Invalid() {
return
}
if opa.Independent() {
if book.NumOptions() == supernodes {
log.Fatalf("reached hw supernodes limit (%d)\n", supernodes)
}
}
tob := book.GetTop(operation.GetOptionId(), operation.GetSide(), 0)
if len(tob) > supernodeLevels {
log.Fatalf("book (oid %d, side %s) has %d levels (>%d)",
operation.GetOptionId(), operation.GetSide(),
len(tob), supernodeLevels)
}
}
func (l *TobLogger) BeforeBookUpdate(book sim.Book, operation sim.SimOperation) {
errs.Check(l.consumeOps != 0)
if l.hasOldTob {
return
}
l.lastOptionId = operation.GetOptionId()
if l.lastOptionId.Invalid() {
return
}
switch operation.GetSide() {
case packet.MarketSideBid:
l.bid.Check = true
case packet.MarketSideAsk:
l.ask.Check = true
default:
log.Fatalln("wrong operation side")
}
l.bid.update(book, l.lastOptionId, false)
l.ask.update(book, l.lastOptionId, false)
l.hasOldTob = true
}
func (s *SimLogger) accessedLevels(operation sim.SimOperation) (levels int) {
levels = SimLoggerUpperSupernodeLevels
if s.supernodeLevels <= levels {
return s.supernodeLevels
}
if operation.GetPrice() == 0 {
// TODO hw can skip SN access at all
return
}
lenOld, lenNew := len(s.tobOld), len(s.tobNew)
if lenOld < levels {
return
}
if lenOld == lenNew {
for i := 0; i < levels; i++ {
if !s.tobOld[i].Equals(s.tobNew[i]) {
return
}
}
}
return s.supernodeLevels
}
func (s *SimLogger) AfterBookUpdate(book sim.Book, operation sim.SimOperation) {
if operation.GetOptionId().Valid() && s.supernodeLevels > 1 {
var emptyPrice uint32
if operation.GetSide() == packet.MarketSideAsk {
emptyPrice -= 1
}
printablePriceLevel := func(pls []sim.PriceLevel, pos int) (price uint32, size int) {
if pos < len(pls) {
price = uint32(pls[pos].Price())
size = pls[pos].Size(sim.SizeKindDefault)
} else if operation.GetSide() == packet.MarketSideAsk {
price = emptyPrice
}
return
}
s.tobNew = book.GetTop(operation.GetOptionId(), operation.GetSide(), s.supernodeLevels)
for i := 0; i < s.accessedLevels(operation); i++ {
priceOld, sizeOld := printablePriceLevel(s.tobOld, i)
priceNew, sizeNew := printablePriceLevel(s.tobNew, i)
s.printfln("SN_OLD_NEW %02d %08x %08x %08x %08x", i, sizeOld, priceOld, sizeNew, priceNew)
}
}
s.efhLogger.AfterBookUpdate(book, operation)
}
func (o *observer) OperationAppliedToOrders(op sim.SimOperation) {
sess := op.GetMessage().Session.Index()
//errs.Check(sess < 4, sess)
//errs.Check(sess < 32, sess)
var key uint64
var delta int
switch o := op.(type) {
case *sim.OperationAdd:
key = uint64(sess)<<32 | uint64(o.OrderId.ToUint32())
delta = 1
case *sim.OperationRemove:
key = uint64(sess)<<32 | uint64(o.GetOrigOrderId().ToUint32())
delta = -1
}
for _, ohs := range o.analyzer.orderHashStat {
keyHash := ohs.f(key)
ohs.bucketSize[keyHash] += delta
if ohs.bucketSize[keyHash] > ohs.maxBucketSize[keyHash] {
ohs.maxBucketSize[keyHash] = ohs.bucketSize[keyHash]
} else if ohs.bucketSize[keyHash] == 0 {
delete(ohs.bucketSize, keyHash)
}
}
}
func (o *observer) AfterBookUpdate(book sim.Book, op sim.SimOperation) {
oid := op.GetOptionId()
if oid.Invalid() {
return
}
o.analyzer.optionIds[oid.ToUint64()] = struct{}{}
bs := o.analyzer.book(oid, op.GetSide())
//bookSize := len(book.GetTop(oid, op.GetSide(), 0))
b := book.GetTop(oid, op.GetSide(), 0)
bookSize := len(b)
if bs.maxLevels < bookSize {
//log.Printf("%d %s %d: %v\n", oid, op.GetSide(), bookSize, b)
bs.maxLevels = bookSize
}
}
func (s *SimLogger) OperationAppliedToOrders(operation sim.SimOperation) {
type ordrespLogInfo struct {
notFound, addOp int
orderId packet.OrderId
optionId packet.OptionId
side, price, size int
ordlSuffix string
}
type orduLogInfo struct {
orderId packet.OrderId
optionId packet.OptionId
side, price, size int
}
var or ordrespLogInfo
var ou orduLogInfo
switch op := operation.(type) {
case *sim.OperationAdd:
var oid packet.OptionId
if op.Independent() {
oid = op.GetOptionId()
}
or = ordrespLogInfo{
addOp: 1,
orderId: op.OrderId,
optionId: oid,
ordlSuffix: fmt.Sprintf(" %012x", oid.ToUint64()),
}
ou = orduLogInfo{
orderId: or.orderId,
optionId: op.GetOptionId(),
price: op.GetPrice(),
size: op.GetNewSize(sim.SizeKindDefault),
}
if op.GetSide() == packet.MarketSideAsk {
ou.side = 1
}
case *sim.OperationRemove, *sim.OperationUpdate:
if operation.GetOptionId().Invalid() {
or = ordrespLogInfo{notFound: 1}
} else {
newSize := operation.GetNewSize(sim.SizeKindDefault)
or = ordrespLogInfo{
optionId: operation.GetOptionId(),
price: operation.GetPrice(),
size: newSize - operation.GetDefaultSizeDelta(),
}
if operation.GetSide() == packet.MarketSideAsk {
or.side = 1
}
if newSize != 0 {
ou = orduLogInfo{
optionId: or.optionId,
side: or.side,
price: or.price,
size: newSize,
}
}
}
or.orderId = operation.GetOrigOrderId()
ou.orderId = or.orderId
default:
errs.Check(false)
}
s.printfln("ORDL %d %016x%s", or.addOp, or.orderId.ToUint64(), or.ordlSuffix)
s.printfln("ORDRESP %d %d %d %08x %08x %012x %016x", or.notFound, or.addOp, or.side, or.size, or.price, or.optionId.ToUint64(), or.orderId.ToUint64())
if operation.GetOptionId().Valid() {
s.printfln("ORDU %016x %012x %d %08x %08x", ou.orderId.ToUint64(), ou.optionId.ToUint64(), ou.side, ou.price, ou.size)
}
}