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RecordTranscoder.c
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/*
* The contents of this file are subject to the Mozilla Public License Version
* 2.0 (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
* http://www.mozilla.org/MPL/
*
* Software distributed under the License is distributed on an "AS IS" basis,
* WITHOUT WARRANTY OF ANY KIND, either express or implied. See the License
* for the specific language governing rights and limitations under the
* License.
*
* The Initial Developer of the Original Code is Devexperts LLC.
* Portions created by the Initial Developer are Copyright (C) 2010
* the Initial Developer. All Rights Reserved.
*
* Contributor(s):
*
*/
#include "DXFeed.h"
#include <limits.h>
#include "RecordTranscoder.h"
#include "EventData.h"
#include "DXMemory.h"
#include "EventSubscription.h"
#include "DataStructures.h"
#include "DXAlgorithms.h"
#include "RecordBuffers.h"
#include "ConnectionContextData.h"
#include "DXErrorHandling.h"
#include "ConfigurationDeserializer.h"
/* -------------------------------------------------------------------------- */
/*
* Common fiddling macros and constants
*/
/* -------------------------------------------------------------------------- */
static const dxf_uint_t DX_SEQUENCE_MASK = 0x3FFFFFU;
static const dxf_byte_t DX_SEQUENCE_MS_SHIFT = 22;
static const dxf_uint_t DX_SEQUENCE_MS_MASK = 0x3FFU;
static const dxf_long_t DX_TIME_TO_MS = 1000L;
#define DX_TIME_FIELD_TO_MS(field) (((dxf_long_t)(field)) * DX_TIME_TO_MS) // -> dxf_long_t
#define DX_SEQUENCE_TO_MS(rec) (((rec)->sequence >> DX_SEQUENCE_MS_SHIFT) & DX_SEQUENCE_MS_MASK) // -> dxf_uint_t
#define DX_TIME_SEQ_TO_MS(rec) (DX_TIME_FIELD_TO_MS((rec)->time) + DX_SEQUENCE_TO_MS(rec)) // -> dxf_long_t
#define DX_SEQUENCE(rec) ((rec)->sequence & DX_SEQUENCE_MASK) // -> dxf_uint_t
#define DX_EXCHANGE_FROM_RECORD(rp) ((rp)->suffix == NULL ? 0 : (rp)->suffix[0])
dxf_ulong_t int_to_bits(dxf_int_t value)
{
return (dxf_ulong_t)(dxf_uint_t)value;
}
dxf_ulong_t char_to_bits(dxf_char_t value)
{
size_t leading_zero_bits = CHAR_BIT * (sizeof(dxf_ulong_t) - sizeof(dxf_char_t));
dxf_ulong_t res = ((dxf_ulong_t)value) << leading_zero_bits;
return res >> leading_zero_bits;
}
/* -------------------------------------------------------------------------- */
/*
* Trade flags constants
*/
/* -------------------------------------------------------------------------- */
static const dxf_uint_t DX_TRADE_FLAGS_ETH = 1;
static const dxf_byte_t DX_TRADE_FLAGS_DIR_SHIFT = 1;
static const dxf_uint_t DX_TRADE_FLAGS_DIR_MASK = 0x7;
#define DX_TRADE_GET_DIR(rec) ((dxf_direction_t)(((rec)->flags >> DX_TRADE_FLAGS_DIR_SHIFT) & DX_TRADE_FLAGS_DIR_MASK))
#define DX_TRADE_GET_ETH(rec) (((rec)->flags & DX_TRADE_FLAGS_ETH) == DX_TRADE_FLAGS_ETH)
/* -------------------------------------------------------------------------- */
/*
* Summary flags constants
*/
/* -------------------------------------------------------------------------- */
static const dxf_byte_t DX_SUMMARY_FLAGS_DCPT_SHIFT = 2;
static const dxf_byte_t DX_SUMMARY_FLAGS_PDCPT_SHIFT = 0;
static const dxf_uint_t DX_SUMMARY_FLAGS_CPT_MASK = 0x3;
#define DX_SUMMARY_GET_DCPT(rec) ((dxf_price_type_t)(((rec)->flags >> DX_SUMMARY_FLAGS_DCPT_SHIFT) & DX_SUMMARY_FLAGS_CPT_MASK))
#define DX_SUMMARY_GET_PDCPT(rec) ((dxf_price_type_t)(((rec)->flags >> DX_SUMMARY_FLAGS_PDCPT_SHIFT) & DX_SUMMARY_FLAGS_CPT_MASK))
/* -------------------------------------------------------------------------- */
/*
* Profile flags constants
*/
/* -------------------------------------------------------------------------- */
static const dxf_byte_t DX_PROFILE_FLAGS_TS_SHIFT = 0;
static const dxf_uint_t DX_PROFILE_FLAGS_TS_MASK = 0x3;
static const dxf_byte_t DX_PROFILE_FLAGS_SSR_SHIFT = 2;
static const dxf_uint_t DX_PROFILE_FLAGS_SSR_MASK = 0x3;
#define DX_PROFILE_GET_TS(rec) ((dxf_trading_status_t)(((rec)->flags >> DX_PROFILE_FLAGS_TS_SHIFT) & DX_PROFILE_FLAGS_TS_MASK))
#define DX_PROFILE_GET_SSR(rec) ((dxf_short_sale_restriction_t)(((rec)->flags >> DX_PROFILE_FLAGS_SSR_SHIFT) & DX_PROFILE_FLAGS_SSR_MASK))
/* -------------------------------------------------------------------------- */
/*
* Order index calculation constants
*/
/* -------------------------------------------------------------------------- */
/*
* Index field contains source identifier, optional exchange code and low-end index (virtual id or MMID).
* Index field has 2 formats depending on whether source is "special" (see OrderSource.isSpecialSourceId()).
* Note: both formats are IMPLEMENTATION DETAILS, they are subject to change without notice.
* 63..48 47..32 31..16 15..0
* +--------+--------+--------+--------+
* | Source |Exchange| Index | <- "special" order sources (non-printable id with exchange)
* +--------+--------+--------+--------+
* 63..48 47..32 31..16 15..0
* +--------+--------+--------+--------+
* | Source | Index | <- generic order sources (alphanumeric id without exchange)
* +--------+--------+--------+--------+
* Note: when modifying formats track usages of getIndex/setIndex, getSource/setSource and isSpecialSourceId
* methods in order to find and modify all code dependent on current formats.
*/
static const dxf_long_t DX_ORDER_SOURCE_COMPOSITE_BID = dxf_sos_COMPOSITE_BID;
static const dxf_long_t DX_ORDER_SOURCE_COMPOSITE_ASK = dxf_sos_COMPOSITE_ASK;
static const dxf_long_t DX_ORDER_SOURCE_REGIONAL_BID = dxf_sos_REGIONAL_BID;
static const dxf_long_t DX_ORDER_SOURCE_REGIONAL_ASK = dxf_sos_REGIONAL_ASK;
static const dxf_long_t DX_ORDER_SOURCE_AGGREGATE_BID = dxf_sos_AGGREGATE_BID;
static const dxf_long_t DX_ORDER_SOURCE_AGGREGATE_ASK = dxf_sos_AGGREGATE_ASK;
static const dxf_byte_t DX_ORDER_INDEX_SSRC_SHIFT = 48;
static const dxf_byte_t DX_ORDER_INDEX_EXC_SHIFT = 32;
static const dxf_byte_t DX_ORDER_INDEX_TSRC_SHIFT = 32;
/*
* Flags property has several significant bits that are packed into an integer in the following way:
* 31..15 14..11 10..4 3 2 1 0
* +--------+--------+--------+----+----+----+----+
* | | Action |Exchange| Side | Scope |
* +--------+--------+--------+----+----+----+----+
*/
static const dxf_byte_t DX_ORDER_FLAGS_SCOPE_SHIFT = 0;
static const dxf_uint_t DX_ORDER_FLAGS_SCOPE_MASK = 0x03;
static const dxf_byte_t DX_ORDER_FLAGS_SIDE_SHIFT = 2;
static const dxf_uint_t DX_ORDER_FLAGS_SIDE_MASK = 0x03;
static const dxf_byte_t DX_ORDER_FLAGS_EXCHANGE_SHIFT = 4;
static const dxf_uint_t DX_ORDER_FLAGS_EXCHANGE_MASK = 0x7f;
static const dxf_byte_t DX_ORDER_FLAGS_ACTION_SHIFT = 11;
static const dxf_uint_t DX_ORDER_FLAGS_ACTION_MASK = 0x0f;
#define DX_ORDER_FROM_QUOTE_BID_INDEX(e) (((e) == 0 ? DX_ORDER_SOURCE_COMPOSITE_BID : DX_ORDER_SOURCE_REGIONAL_BID) << DX_ORDER_INDEX_SSRC_SHIFT) | (char_to_bits(e) << DX_ORDER_INDEX_EXC_SHIFT)
#define DX_ORDER_FROM_QUOTE_ASK_INDEX(e) (((e) == 0 ? DX_ORDER_SOURCE_COMPOSITE_ASK : DX_ORDER_SOURCE_REGIONAL_ASK) << DX_ORDER_INDEX_SSRC_SHIFT) | (char_to_bits(e) << DX_ORDER_INDEX_EXC_SHIFT)
#define DX_ORDER_FORM_MM_BID_INDEX(mm) ((DX_ORDER_SOURCE_AGGREGATE_BID << DX_ORDER_INDEX_SSRC_SHIFT) | (char_to_bits((mm)->mm_exchange) << DX_ORDER_INDEX_EXC_SHIFT) | (int_to_bits((mm)->mm_id)))
#define DX_ORDER_FORM_MM_ASK_INDEX(mm) ((DX_ORDER_SOURCE_AGGREGATE_ASK << DX_ORDER_INDEX_SSRC_SHIFT) | (char_to_bits((mm)->mm_exchange) << DX_ORDER_INDEX_EXC_SHIFT) | (int_to_bits((mm)->mm_id)))
#define DX_ORDER_INDEX(order, suffix) ((suffix) << DX_ORDER_INDEX_TSRC_SHIFT | int_to_bits(order->index))
#define DX_ORDER_GET_SCOPE(rec) ((dxf_order_scope_t)(((rec)->flags >> DX_ORDER_FLAGS_SCOPE_SHIFT) & DX_ORDER_FLAGS_SCOPE_MASK))
#define DX_ORDER_GET_SIDE(rec) ((dxf_order_side_t)(((rec)->flags >> DX_ORDER_FLAGS_SIDE_SHIFT) & DX_ORDER_FLAGS_SIDE_MASK))
#define DX_ORDER_GET_EXCHANGE(rec) ((dxf_char_t)(((rec)->flags >> DX_ORDER_FLAGS_EXCHANGE_SHIFT) & DX_ORDER_FLAGS_EXCHANGE_MASK))
#define DX_ORDER_GET_ACTION(rec) ((dxf_order_action_t)(((rec)->flags >> DX_ORDER_FLAGS_ACTION_SHIFT) & DX_ORDER_FLAGS_ACTION_MASK))
/* -------------------------------------------------------------------------- */
/*
* TimeAndSale calculation constants
*/
/* -------------------------------------------------------------------------- */
static const dxf_byte_t DX_TNS_FLAGS_TYPE_SHIFT = 0;
static const dxf_uint_t DX_TNS_FLAGS_TYPE_MASK = 0x3;
static const dxf_uint_t DX_TNS_FLAGS_VALID_TICK = 0x4;
static const dxf_uint_t DX_TNS_FLAGS_ETH = 0x08;
static const dxf_uint_t DX_TNS_FLAGS_SPREAD = 0x10;
static const dxf_byte_t DX_TNS_FLAGS_SIDE_SHIFT = 5;
static const dxf_uint_t DX_TNS_FLAGS_SIDE_MASK = 0x3;
static const dxf_byte_t DX_TNS_FLAGS_TTE_SHIFT = 8;
static const dxf_uint_t DX_TNS_FLAGS_TTE_MASK = 0xff;
static const dxf_byte_t DX_TNS_INDEX_TIME_SHIFT = 32;
#define DX_TNS_GET_TYPE(rec) ((dxf_tns_type_t)(((rec)->flags >> DX_TNS_FLAGS_TYPE_SHIFT) & DX_TNS_FLAGS_TYPE_MASK))
#define DX_TNS_GET_VALID_TICK(rec) (((rec)->flags & DX_TNS_FLAGS_VALID_TICK) == DX_TNS_FLAGS_VALID_TICK)
#define DX_TNS_GET_ETH(rec) (((rec)->flags & DX_TNS_FLAGS_ETH) == DX_TNS_FLAGS_ETH)
#define DX_TNS_GET_SPREAD_LEG(rec) (((rec)->flags & DX_TNS_FLAGS_SPREAD) == DX_TNS_FLAGS_SPREAD)
#define DX_TNS_GET_SIDE(rec) ((dxf_order_side_t)(((rec)->flags >> DX_TNS_FLAGS_SIDE_SHIFT) & DX_TNS_FLAGS_SIDE_MASK))
#define DX_TNS_GET_TTE(rec) ((dxf_char_t)(((rec)->flags >> DX_TNS_FLAGS_TTE_SHIFT) & DX_TNS_FLAGS_TTE_MASK))
/* -------------------------------------------------------------------------- */
/*
* Candle calculation constants
*/
/* -------------------------------------------------------------------------- */
static const dxf_byte_t DX_CANDLE_INDEX_TIME_SHIFT = 32;
/* -------------------------------------------------------------------------- */
/*
* Candle calculation constants
*/
/* -------------------------------------------------------------------------- */
static const dxf_byte_t DX_GREEKS_INDEX_TIME_SHIFT = 32;
/* -------------------------------------------------------------------------- */
/*
* Series calculation constants
*/
/* -------------------------------------------------------------------------- */
//static const dxf_byte_t DX_SERIES_INDEX_TIME_SHIFT = 32;
/* -------------------------------------------------------------------------- */
/*
* Record transcoder connection context
*/
/* -------------------------------------------------------------------------- */
/* Must be synchronized with dx_event_id_t */
const size_t dx_event_sizes[] = {
sizeof(dxf_trade_t),
sizeof(dxf_quote_t),
sizeof(dxf_summary_t),
sizeof(dxf_profile_t),
sizeof(dxf_order_t),
sizeof(dxf_time_and_sale_t),
sizeof(dxf_candle_t),
sizeof(dxf_trade_t), // As trade ETH
sizeof(dxf_order_t), // As spread order
sizeof(dxf_greeks_t),
sizeof(dxf_theo_price_t),
sizeof(dxf_underlying_t),
sizeof(dxf_series_t),
sizeof(dxf_configuration_t)
};
typedef struct {
struct {
dxf_event_data_t buffer;
int count;
} event_buffers[dx_eid_count];
dxf_connection_t connection;
void* rbcc;
void* dscc;
} dx_record_transcoder_connection_context_t;
void dx_copy_event_params(const dxf_event_params_t* from, dxf_event_params_t* to) {
dx_memcpy(to, from, sizeof(dxf_event_params_t));
}
#define CTX(context) \
((dx_record_transcoder_connection_context_t*)context)
/* -------------------------------------------------------------------------- */
DX_CONNECTION_SUBSYS_INIT_PROTO(dx_ccs_record_transcoder) {
dx_record_transcoder_connection_context_t* context = NULL;
CHECKED_CALL_2(dx_validate_connection_handle, connection, true);
context = dx_calloc(1, sizeof(dx_record_transcoder_connection_context_t));
if (context == NULL) {
return false;
}
context->connection = connection;
if ((context->rbcc = dx_get_record_buffers_connection_context(connection)) == NULL) {
dx_free(context);
return dx_set_error_code(dx_cec_connection_context_not_initialized);
}
if ((context->dscc = dx_get_data_structures_connection_context(connection)) == NULL) {
dx_free(context);
return dx_set_error_code(dx_cec_connection_context_not_initialized);
}
if (!dx_set_subsystem_data(connection, dx_ccs_record_transcoder, context)) {
dx_free(context);
return false;
}
return true;
}
/* -------------------------------------------------------------------------- */
DX_CONNECTION_SUBSYS_DEINIT_PROTO(dx_ccs_record_transcoder) {
int res = true;
dx_record_transcoder_connection_context_t* context = dx_get_subsystem_data(connection, dx_ccs_record_transcoder, &res);
if (context == NULL) {
return res;
}
for (int i = dx_eid_begin; i < dx_eid_count; i++) {
if (context->event_buffers[i].buffer)
dx_free(context->event_buffers[i].buffer);
}
dx_free(context);
return true;
}
/* -------------------------------------------------------------------------- */
DX_CONNECTION_SUBSYS_CHECK_PROTO(dx_ccs_record_transcoder) {
return true;
}
/* -------------------------------------------------------------------------- */
/*
* Event data buffer functions
* some transcoders require separate data structures to be allocated and filled
* based on the record data they receive
*/
/* -------------------------------------------------------------------------- */
void* dx_initialize_event_data_buffer(int count, size_t struct_size,
OUT void** buffer_data, OUT int* buffer_count) {
if (*buffer_count >= count) {
dx_memset(*buffer_data, 0, count * struct_size);
return *buffer_data;
}
if (*buffer_data != NULL) {
dx_free(*buffer_data);
}
*buffer_data = NULL;
*buffer_count = 0;
if ((*buffer_data = dx_calloc(count, struct_size)) != NULL) {
*buffer_count = count;
}
return *buffer_data;
}
dxf_event_data_t dx_get_event_data_buffer(dx_record_transcoder_connection_context_t* context,
dx_event_id_t event_id, int count) {
if (event_id < dx_eid_begin || event_id >= dx_eid_count) {
dx_set_error_code(dx_ec_internal_assert_violation);
return NULL;
}
return dx_initialize_event_data_buffer(count, dx_event_sizes[event_id],
(void**)&(context->event_buffers[event_id].buffer), &(context->event_buffers[event_id].count));
}
/* -------------------------------------------------------------------------- */
/*
* Record transcoder macros and prototypes
*/
/* -------------------------------------------------------------------------- */
#define RECORD_TRANSCODER_NAME(struct_name) \
struct_name##_transcoder
typedef int (*dx_record_transcoder_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buffer);
/* -------------------------------------------------------------------------- */
/*
* Record transcoders implementation
*/
/* -------------------------------------------------------------------------- */
static int dx_trade_t_transcoder_impl(dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
dx_trade_t* record_buffer, dx_event_id_t event_id)
{
if (event_id != dx_eid_trade && event_id != dx_eid_trade_eth) {
return dx_set_error_code(dx_ec_internal_assert_violation);
}
dxf_trade_t* event_buffer = (dxf_trade_t*) dx_get_event_data_buffer(context, event_id, 1);
dxf_char_t exchange_code = DX_EXCHANGE_FROM_RECORD(record_params);
if (event_buffer == NULL) {
return false;
}
if (!exchange_code)
dx_set_record_exchange_code(context->dscc, record_params->record_id, exchange_code);
event_buffer->time = DX_TIME_SEQ_TO_MS(record_buffer);
event_buffer->sequence = DX_SEQUENCE(record_buffer);
event_buffer->time_nanos = record_buffer->time_nanos;
event_buffer->exchange_code = record_buffer->exchange_code ? record_buffer->exchange_code : exchange_code;
event_buffer->price = record_buffer->price;
event_buffer->size = record_buffer->size;
if (event_id == dx_eid_trade) {
event_buffer->tick = record_buffer->tick;
}
event_buffer->change = record_buffer->change;
event_buffer->day_id = record_buffer->day_id;
event_buffer->day_volume = record_buffer->day_volume;
event_buffer->day_turnover = record_buffer->day_turnover;
event_buffer->raw_flags = record_buffer->flags;
event_buffer->direction = DX_TRADE_GET_DIR(record_buffer);
event_buffer->is_eth = DX_TRADE_GET_ETH(record_buffer);
event_buffer->scope = (exchange_code == 0 ? dxf_osc_composite : dxf_osc_regional);
return dx_process_event_data(context->connection, event_id, record_params->symbol_name, event_buffer,
event_params);
}
int RECORD_TRANSCODER_NAME(dx_trade_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buffer)
{
return dx_trade_t_transcoder_impl(context, record_params, event_params, (dx_trade_t*)record_buffer, dx_eid_trade);
}
/* -------------------------------------------------------------------------- */
int dx_transcode_quote_to_order_bid (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
dx_quote_t* record_buffer) {
dxf_order_t* event_buffer = (dxf_order_t*)dx_get_event_data_buffer(context, dx_eid_order, 1);
dxf_char_t exchange_code = DX_EXCHANGE_FROM_RECORD(record_params);
if (event_buffer == NULL) {
return false;
}
event_buffer->index = DX_ORDER_FROM_QUOTE_BID_INDEX(exchange_code);
event_buffer->time = DX_TIME_FIELD_TO_MS(record_buffer->bid_time);
if (record_buffer->bid_time > record_buffer->ask_time) {
event_buffer->time += DX_SEQUENCE_TO_MS(record_buffer);
event_buffer->time_nanos = record_buffer->time_nanos;
} else {
event_buffer->time_nanos = 0;
}
event_buffer->sequence = DX_SEQUENCE(record_buffer);
event_buffer->price = record_buffer->bid_price;
event_buffer->size = record_buffer->bid_size;
event_buffer->count = 0;
event_buffer->scope = (exchange_code == 0 ? dxf_osc_composite : dxf_osc_regional);
event_buffer->side = dxf_osd_buy;
event_buffer->exchange_code = (exchange_code == 0 ? record_buffer->bid_exchange_code : exchange_code);
dx_memset(event_buffer->source, 0, sizeof(event_buffer->source));
dxf_const_string_t source = dx_all_special_order_sources[exchange_code == 0 ? dxf_sos_COMPOSITE_BID : dxf_sos_REGIONAL_BID];
dx_copy_string_len(event_buffer->source, source, dx_string_length(source));
event_buffer->market_maker = NULL;
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
/* ---------------------------------- */
int dx_transcode_quote_to_order_ask (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
dx_quote_t* record_buffer) {
dxf_order_t* event_buffer = (dxf_order_t*)dx_get_event_data_buffer(context, dx_eid_order, 1);
dxf_char_t exchange_code = DX_EXCHANGE_FROM_RECORD(record_params);
if (event_buffer == NULL) {
return false;
}
event_buffer->event_flags = 0;
event_buffer->index = DX_ORDER_FROM_QUOTE_ASK_INDEX(exchange_code);
event_buffer->time = DX_TIME_FIELD_TO_MS(record_buffer->ask_time);
if (record_buffer->ask_time > record_buffer->bid_time) {
event_buffer->time += DX_SEQUENCE_TO_MS(record_buffer);
event_buffer->time_nanos = record_buffer->time_nanos;
} else {
event_buffer->time_nanos = 0;
}
event_buffer->sequence = DX_SEQUENCE(record_buffer);
event_buffer->price = record_buffer->ask_price;
event_buffer->size = record_buffer->ask_size;
event_buffer->count = 0;
event_buffer->scope = (exchange_code == 0 ? dxf_osc_composite : dxf_osc_regional);
event_buffer->side = dxf_osd_sell;
event_buffer->exchange_code = (exchange_code == 0 ? record_buffer->ask_exchange_code : exchange_code);
dx_memset(event_buffer->source, 0, sizeof(event_buffer->source));
dxf_const_string_t source = dx_all_special_order_sources[exchange_code == 0 ? dxf_sos_COMPOSITE_ASK : dxf_sos_REGIONAL_ASK];
dx_copy_string_len(event_buffer->source, source, dx_string_length(source));
event_buffer->market_maker = NULL;
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
/* ---------------------------------- */
int dx_transcode_quote (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
dx_quote_t* record_buffer) {
dxf_quote_t* event_buffer = (dxf_quote_t*)dx_get_event_data_buffer(context, dx_eid_quote, 1);
dxf_char_t exchange_code = DX_EXCHANGE_FROM_RECORD(record_params);
if (event_buffer == NULL) {
return false;
}
if (exchange_code != 0) {
dx_set_record_exchange_code(context->dscc, record_params->record_id, exchange_code);
}
event_buffer->time = DX_TIME_FIELD_TO_MS(record_buffer->bid_time > record_buffer->ask_time ? record_buffer->bid_time : record_buffer->ask_time) + DX_SEQUENCE_TO_MS(record_buffer);
event_buffer->sequence = DX_SEQUENCE(record_buffer);
event_buffer->time_nanos = record_buffer->time_nanos;
event_buffer->bid_time = DX_TIME_FIELD_TO_MS(record_buffer->bid_time);
event_buffer->bid_exchange_code = exchange_code ? exchange_code : record_buffer->bid_exchange_code;
event_buffer->bid_price = record_buffer->bid_price;
event_buffer->bid_size = record_buffer->bid_size;
event_buffer->ask_time = DX_TIME_FIELD_TO_MS(record_buffer->ask_time);
event_buffer->ask_exchange_code = exchange_code ? exchange_code : record_buffer->ask_exchange_code;
event_buffer->ask_price = record_buffer->ask_price;
event_buffer->ask_size = record_buffer->ask_size;
event_buffer->scope = (exchange_code == 0 ? dxf_osc_composite : dxf_osc_regional);
return dx_process_event_data(context->connection, dx_eid_quote, record_params->symbol_name, event_buffer,
event_params);
}
/* ---------------------------------- */
int RECORD_TRANSCODER_NAME(dx_quote_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buffer) {
dxf_event_params_t bid_event_params;
dxf_event_params_t ask_event_params;
dx_copy_event_params(event_params, &bid_event_params);
dx_copy_event_params(event_params, &ask_event_params);
if ((event_params->flags & dxf_ef_snapshot_end) == dxf_ef_snapshot_end) {
bid_event_params.flags = bid_event_params.flags ^ dxf_ef_snapshot_end;
}
if ((event_params->flags & dxf_ef_snapshot_begin) == dxf_ef_snapshot_begin) {
ask_event_params.flags = ask_event_params.flags ^ dxf_ef_snapshot_begin;
}
if (!dx_transcode_quote_to_order_bid(context, record_params, &bid_event_params, (dx_quote_t*)record_buffer)) {
return false;
}
if (!dx_transcode_quote_to_order_ask(context, record_params, &ask_event_params, (dx_quote_t*)record_buffer)) {
return false;
}
if (!dx_transcode_quote(context, record_params, event_params, (dx_quote_t*)record_buffer)) {
return false;
}
return true;
}
/* -------------------------------------------------------------------------- */
int RECORD_TRANSCODER_NAME(dx_summary_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buff) {
dxf_summary_t* event_buffer = (dxf_summary_t*)dx_get_event_data_buffer(context, dx_eid_summary, 1);
dxf_char_t exchange_code = DX_EXCHANGE_FROM_RECORD(record_params);
if (event_buffer == NULL) {
return false;
}
if (exchange_code != 0) {
dx_set_record_exchange_code(context->dscc, record_params->record_id, exchange_code);
}
dx_summary_t* record_buffer = (dx_summary_t*)record_buff;
event_buffer->day_id = record_buffer->day_id;
event_buffer->day_open_price = record_buffer->day_open_price;
event_buffer->day_high_price = record_buffer->day_high_price;
event_buffer->day_low_price = record_buffer->day_low_price;
event_buffer->day_close_price = record_buffer->day_close_price;
event_buffer->prev_day_id = record_buffer->prev_day_id;
event_buffer->prev_day_close_price = record_buffer->prev_day_close_price;
event_buffer->prev_day_volume = record_buffer->prev_day_volume;
event_buffer->open_interest = record_buffer->open_interest;
event_buffer->raw_flags = record_buffer->flags;
event_buffer->exchange_code = exchange_code;
event_buffer->day_close_price_type = DX_SUMMARY_GET_DCPT(record_buffer);
event_buffer->prev_day_close_price_type = DX_SUMMARY_GET_PDCPT(record_buffer);
event_buffer->scope = (exchange_code == 0 ? dxf_osc_composite : dxf_osc_regional);
return dx_process_event_data(context->connection, dx_eid_summary, record_params->symbol_name, event_buffer,
event_params);
}
/* -------------------------------------------------------------------------- */
int RECORD_TRANSCODER_NAME(dx_profile_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buff) {
dxf_profile_t* event_buffer = (dxf_profile_t*)dx_get_event_data_buffer(context, dx_eid_profile, 1);
if (event_buffer == NULL) {
return false;
}
dx_profile_t* record_buffer = (dx_profile_t*)record_buff;
event_buffer->beta = record_buffer->beta;
event_buffer->eps = record_buffer->eps;
event_buffer->div_freq = record_buffer->div_freq;
event_buffer->exd_div_amount = record_buffer->exd_div_amount;
event_buffer->exd_div_date = record_buffer->exd_div_date;
event_buffer->high_52_week_price = record_buffer->high_price_52;
event_buffer->low_52_week_price = record_buffer->low_price_52;
event_buffer->shares = record_buffer->shares;
event_buffer->free_float = record_buffer->free_float;
event_buffer->high_limit_price = record_buffer->high_limit_price;
event_buffer->low_limit_price = record_buffer->low_limit_price;
event_buffer->halt_start_time = DX_TIME_FIELD_TO_MS(record_buffer->halt_start_time);
event_buffer->halt_end_time = DX_TIME_FIELD_TO_MS(record_buffer->halt_end_time);
event_buffer->raw_flags = record_buffer->flags;
if (record_buffer->description != NULL) {
event_buffer->description = dx_create_string_src(record_buffer->description);
if (event_buffer->description && !dx_store_string_buffer(context->rbcc, event_buffer->description))
return false;
}
if (record_buffer->status_reason != NULL) {
event_buffer->status_reason = dx_create_string_src(record_buffer->status_reason);
if (event_buffer->status_reason && !dx_store_string_buffer(context->rbcc, event_buffer->status_reason))
return false;
}
event_buffer->trading_status = DX_PROFILE_GET_TS(record_buffer);
event_buffer->ssr = DX_PROFILE_GET_SSR(record_buffer);
return dx_process_event_data(context->connection, dx_eid_profile, record_params->symbol_name, event_buffer,
event_params);
}
/* -------------------------------------------------------------------------- */
int dx_transcode_market_maker_to_order_bid (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
dx_market_maker_t* record_buffer) {
dxf_order_t* event_buffer = (dxf_order_t*)dx_get_event_data_buffer(context, dx_eid_order, 1);
if (event_buffer == NULL) {
return false;
}
dxf_char_t exchange_code = (dxf_char_t)record_buffer->mm_exchange;
dx_set_record_exchange_code(context->dscc, record_params->record_id, exchange_code);
event_buffer->event_flags = event_params->flags;
event_buffer->index = DX_ORDER_FORM_MM_BID_INDEX(record_buffer);
event_buffer->time = DX_TIME_FIELD_TO_MS(record_buffer->mmbid_time);
event_buffer->scope = dxf_osc_aggregate;
dx_memset(event_buffer->source, 0, sizeof(event_buffer->source));
dxf_const_string_t source = dx_all_special_order_sources[dxf_sos_AGGREGATE_BID];
dx_copy_string_len(event_buffer->source, source, dx_string_length(source));
if (IS_FLAG_SET(event_buffer->event_flags, dxf_ef_remove_event)) {
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
event_buffer->sequence = 0;
event_buffer->price = record_buffer->mmbid_price;
event_buffer->size = record_buffer->mmbid_size;
event_buffer->count = record_buffer->mmbid_count;
event_buffer->side = dxf_osd_buy;
event_buffer->exchange_code = record_buffer->mm_exchange;
event_buffer->market_maker = dx_decode_from_integer(record_buffer->mm_id);
if (!IS_FLAG_SET(record_params->flags, dxf_ef_remove_event) &&
(event_buffer->market_maker == NULL || !dx_store_string_buffer(context->rbcc, event_buffer->market_maker))) {
return false;
}
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
/* ---------------------------------- */
int dx_transcode_market_maker_to_order_ask (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
dx_market_maker_t* record_buffer) {
dxf_order_t* event_buffer = (dxf_order_t*)dx_get_event_data_buffer(context, dx_eid_order, 1);
if (event_buffer == NULL) {
return false;
}
dxf_char_t exchange_code = (dxf_char_t)record_buffer->mm_exchange;
dx_set_record_exchange_code(context->dscc, record_params->record_id, exchange_code);
event_buffer->event_flags = event_params->flags;
event_buffer->index = DX_ORDER_FORM_MM_ASK_INDEX(record_buffer);
event_buffer->time = DX_TIME_FIELD_TO_MS(record_buffer->mmask_time);
event_buffer->scope = dxf_osc_aggregate;
dx_memset(event_buffer->source, 0, sizeof(event_buffer->source));
dxf_const_string_t source = dx_all_special_order_sources[dxf_sos_AGGREGATE_ASK];
dx_copy_string_len(event_buffer->source, source, dx_string_length(source));
if (IS_FLAG_SET(event_buffer->event_flags, dxf_ef_remove_event)) {
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
event_buffer->sequence = 0;
event_buffer->price = record_buffer->mmask_price;
event_buffer->size = record_buffer->mmask_size;
event_buffer->count = record_buffer->mmask_count;
event_buffer->side = dxf_osd_sell;
event_buffer->exchange_code = record_buffer->mm_exchange;
event_buffer->market_maker = dx_decode_from_integer(record_buffer->mm_id);
if (!IS_FLAG_SET(record_params->flags, dxf_ef_remove_event) &&
(event_buffer->market_maker == NULL || !dx_store_string_buffer(context->rbcc, event_buffer->market_maker))) {
return false;
}
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
/* ---------------------------------- */
int RECORD_TRANSCODER_NAME(dx_market_maker_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buffer) {
dxf_event_params_t bid_event_params;
dxf_event_params_t ask_event_params;
dx_copy_event_params(event_params, &bid_event_params);
dx_copy_event_params(event_params, &ask_event_params);
if ((event_params->flags & dxf_ef_snapshot_end) == dxf_ef_snapshot_end) {
bid_event_params.flags = bid_event_params.flags ^ dxf_ef_snapshot_end;
}
if ((event_params->flags & dxf_ef_snapshot_begin) == dxf_ef_snapshot_begin) {
ask_event_params.flags = ask_event_params.flags ^ dxf_ef_snapshot_begin;
}
if (!dx_transcode_market_maker_to_order_bid(context, record_params, &bid_event_params, (dx_market_maker_t*)record_buffer)) {
return false;
}
if (!dx_transcode_market_maker_to_order_ask(context, record_params, &ask_event_params, (dx_market_maker_t*)record_buffer)) {
return false;
}
return true;
}
/* ---------------------------------- */
#define MAX_SUFFIX_LEN_FOR_INDEX 4
dxf_long_t suffix_to_long(dxf_const_string_t suffix)
{
if (suffix == NULL)
return 0;
size_t suffix_length = dx_string_length(suffix);
if (suffix_length == 0)
return 0;
size_t i = 0;
dxf_long_t ret = 0;
if (suffix_length > MAX_SUFFIX_LEN_FOR_INDEX)
i = suffix_length - MAX_SUFFIX_LEN_FOR_INDEX;
for (; i < suffix_length; i++) {
dxf_long_t ch = (dxf_long_t)suffix[i] & 0xFF;
ret = (ret << 8) | ch;
}
return ret;
}
int RECORD_TRANSCODER_NAME(dx_order_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buff) {
dxf_order_t* event_buffer = (dxf_order_t*)dx_get_event_data_buffer(context, dx_eid_order, 1);
dxf_const_string_t suffix = record_params->suffix;
dxf_long_t src = suffix_to_long(suffix);
if (event_buffer == NULL) {
return false;
}
dx_order_t* record_buffer = (dx_order_t*)record_buff;
dx_memset(event_buffer->source, 0, sizeof(event_buffer->source));
dx_copy_string_len(event_buffer->source, suffix, dx_string_length(suffix));
event_buffer->event_flags = event_params->flags;
event_buffer->index = DX_ORDER_INDEX(record_buffer, src);
event_buffer->time = DX_TIME_SEQ_TO_MS(record_buffer);
event_buffer->scope = DX_ORDER_GET_SCOPE(record_buffer);
event_buffer->exchange_code = DX_ORDER_GET_EXCHANGE(record_buffer);
if (IS_FLAG_SET(event_buffer->event_flags, dxf_ef_remove_event)) {
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
event_buffer->sequence = DX_SEQUENCE(record_buffer);
event_buffer->time_nanos = record_buffer->time_nanos;
event_buffer->action = DX_ORDER_GET_ACTION(record_buffer);
event_buffer->action_time = record_buffer->action_time;
event_buffer->order_id = record_buffer->order_id;
event_buffer->aux_order_id = record_buffer->aux_order_id;
event_buffer->price = record_buffer->price;
event_buffer->size = record_buffer->size;
event_buffer->executed_size = record_buffer->executed_size;
event_buffer->count = record_buffer->count;
event_buffer->trade_id = record_buffer->trade_id;
event_buffer->trade_price = record_buffer->trade_price;
event_buffer->trade_size = record_buffer->trade_size;
event_buffer->side = DX_ORDER_GET_SIDE(record_buffer);
event_buffer->market_maker = dx_decode_from_integer(record_buffer->mmid);
if (event_buffer->market_maker != NULL && !dx_store_string_buffer(context->rbcc, event_buffer->market_maker)) {
return false;
}
return dx_process_event_data(context->connection, dx_eid_order, record_params->symbol_name, event_buffer,
event_params);
}
/* -------------------------------------------------------------------------- */
int RECORD_TRANSCODER_NAME(dx_time_and_sale_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buff) {
dxf_time_and_sale_t* event_buffer = (dxf_time_and_sale_t*)dx_get_event_data_buffer(context, dx_eid_time_and_sale, 1);
dxf_char_t exchange_code = DX_EXCHANGE_FROM_RECORD(record_params);
if (event_buffer == NULL) {
return false;
}
dx_time_and_sale_t* record_buffer = (dx_time_and_sale_t*)record_buff;
event_buffer->event_flags = event_params->flags;
event_buffer->index = (int_to_bits(record_buffer->time) << DX_TNS_INDEX_TIME_SHIFT) | int_to_bits(record_buffer->sequence);
event_buffer->time = DX_TIME_SEQ_TO_MS(record_buffer);
if (IS_FLAG_SET(event_buffer->event_flags, dxf_ef_remove_event)) {
return dx_process_event_data(context->connection, dx_eid_time_and_sale, record_params->symbol_name, event_buffer,
event_params);
}
event_buffer->exchange_code = record_buffer->exchange_code;
event_buffer->price = record_buffer->price;
event_buffer->size = record_buffer->size;
event_buffer->bid_price = record_buffer->bid_price;
event_buffer->ask_price = record_buffer->ask_price;
event_buffer->exchange_sale_conditions = dx_decode_from_integer(record_buffer->exchange_sale_conditions);
if (event_buffer->exchange_sale_conditions && !dx_store_string_buffer(context->rbcc, event_buffer->exchange_sale_conditions)) {
return false;
}
event_buffer->raw_flags = record_buffer->flags;
if (record_buffer->buyer != NULL) {
event_buffer->buyer = dx_create_string_src(record_buffer->buyer);
if (event_buffer->buyer && !dx_store_string_buffer(context->rbcc, event_buffer->buyer)) {
return false;
}
}
if (record_buffer->seller != NULL) {
event_buffer->seller = dx_create_string_src(record_buffer->seller);
if (event_buffer->seller && !dx_store_string_buffer(context->rbcc, event_buffer->seller)) {
return false;
}
}
event_buffer->side = DX_TNS_GET_SIDE(record_buffer);
event_buffer->type = DX_TNS_GET_TYPE(record_buffer);
event_buffer->is_valid_tick = DX_TNS_GET_VALID_TICK(record_buffer);
event_buffer->is_eth_trade = DX_TNS_GET_ETH(record_buffer);
event_buffer->trade_through_exempt = DX_TNS_GET_TTE(record_buffer);
event_buffer->is_spread_leg = DX_TNS_GET_SPREAD_LEG(record_buffer);
event_buffer->scope = (exchange_code == 0 ? dxf_osc_composite : dxf_osc_regional);
return dx_process_event_data(context->connection, dx_eid_time_and_sale, record_params->symbol_name, event_buffer,
event_params);
}
/* -------------------------------------------------------------------------- */
int RECORD_TRANSCODER_NAME(dx_candle_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buff) {
dxf_candle_t* event_buffer = (dxf_candle_t*)dx_get_event_data_buffer(context, dx_eid_candle, 1);
if (event_buffer == NULL) {
return false;
}
dx_candle_t* record_buffer = (dx_candle_t*)record_buff;
event_buffer->event_flags = event_params->flags;
event_buffer->index = (int_to_bits(record_buffer->time) << DX_CANDLE_INDEX_TIME_SHIFT) | int_to_bits(record_buffer->sequence);
event_buffer->time = DX_TIME_SEQ_TO_MS(record_buffer);
if (IS_FLAG_SET(event_buffer->event_flags, dxf_ef_remove_event)) {
return dx_process_event_data(context->connection, dx_eid_candle, record_params->symbol_name, event_buffer,
event_params);
}
event_buffer->sequence = DX_SEQUENCE(record_buffer);
event_buffer->count = record_buffer->count;
event_buffer->open = record_buffer->open;
event_buffer->high = record_buffer->high;
event_buffer->low = record_buffer->low;
event_buffer->close = record_buffer->close;
event_buffer->volume = record_buffer->volume;
event_buffer->vwap = record_buffer->vwap;
event_buffer->bid_volume = record_buffer->bid_volume;
event_buffer->ask_volume = record_buffer->ask_volume;
event_buffer->imp_volatility = record_buffer->imp_volatility;
event_buffer->open_interest = record_buffer->open_interest;
return dx_process_event_data(context->connection, dx_eid_candle, record_params->symbol_name, event_buffer,
event_params);
}
/* -------------------------------------------------------------------------- */
int RECORD_TRANSCODER_NAME(dx_trade_eth_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buffer) {
return dx_trade_t_transcoder_impl(context, record_params, event_params, (dx_trade_t*)record_buffer, dx_eid_trade_eth);
}
/* -------------------------------------------------------------------------- */
int RECORD_TRANSCODER_NAME(dx_spread_order_t) (dx_record_transcoder_connection_context_t* context,
const dx_record_params_t* record_params,
const dxf_event_params_t* event_params,
void* record_buff) {
dxf_order_t* event_buffer = (dxf_order_t*)dx_get_event_data_buffer(context, dx_eid_order, 1);
dxf_const_string_t suffix = record_params->suffix;
dxf_long_t src = suffix_to_long(suffix);
if (event_buffer == NULL) {
return false;
}
dx_spread_order_t* record_buffer = (dx_spread_order_t*)record_buff;
dx_memset(event_buffer->source, 0, sizeof(event_buffer->source));
dx_copy_string_len(event_buffer->source, suffix, dx_string_length(suffix));