Merge pull request #28 from mkipnis/misc_0925

general enhancements

Author: mkipnis

MatchingEngine/src/Market.cpp

@@ -442,9 +442,8 @@ void Market::on_depth_change(const DepthOrderBook *book,
     std::stringstream ss;
     MarketDataIncrementalRefreshLogger::log(ss, md_update->priceDepth);
     LOG4CXX_INFO(logger, "MarketDataIncrementalRefresh : [" <<  ss.str() << "]");
-    std::cout << "Update : " << ss.str() << std::endl;
 
-  int market_data_index = MARKET_DATA_PRICE_DEPTH * 2; // bids and asks
+    int market_data_index = MARKET_DATA_PRICE_DEPTH * 2; // bids and asks
 
   auto current_stats = stats_ptr_->find(book->symbol());
 

MatchingEngine/src/Order.cpp

@@ -105,7 +105,7 @@ void Order::onRejected(const char *reason) {}
 void Order::onFilled(liquibook::book::Quantity fill_qty,
                      liquibook::book::Cost fill_cost) {
   quantityOnMarket_ -= fill_qty;
-  fillCost_ += fill_cost;
+  fillCost_ += (fill_cost * fill_qty);
   quantityFilled_ += fill_qty;
 
   std::stringstream msg;
@@ -243,10 +243,6 @@ void Order::populateExecutionReport(
       executionReport.TimeInForce(FIX::TimeInForce_DAY);
   }
 
-
-  // std::cout << "Transact Time : " << ACE_OS::gettimeofday().msec() << ":" <<
-  // executionReport.TransactTime << std::endl;
-
   if (quantityFilled() > 0)
     executionReport.AvgPx(std::nearbyint(fillCost() / quantityFilled())); // round to the nearest tick
   else

MatchingEngine/src/PriceDepthPublisherService.cpp

@@ -73,30 +73,21 @@ int PriceDepthPublisherService::service()
     //
     // Iterate through the queue and get the latest update
     //
-
-    /*std::cout << "Queue Size : "
-              << _price_depth_publisher_queue_ptr->size()
-              << std::endl;*/
-      
-      std::shared_ptr<DistributedATS::MarketDataUpdate> market_data_update;
+    std::shared_ptr<DistributedATS::MarketDataUpdate> market_data_update;
 
-      std::map<std::string,
-        DistributedATS_MarketDataIncrementalRefresh::MarketDataIncrementalRefresh>
-          latestMarketDataUpdates;
+    std::map<std::string,
+      DistributedATS_MarketDataIncrementalRefresh::MarketDataIncrementalRefresh>
+        latestMarketDataUpdates;
 
-      
-          while (_price_depth_publisher_queue_ptr->pop(market_data_update))
-          {
-              latestMarketDataUpdates[market_data_update->symbol] = market_data_update->priceDepth;
-              
-              std::stringstream ss;
-              MarketDataIncrementalRefreshLogger::log(ss, latestMarketDataUpdates[market_data_update->symbol]);
-              LOG4CXX_INFO(logger, "MarketDataIncrementalRefresh : [" <<  ss.str() << "]");
-              std::cout << "Update : " << ss.str() << std::endl;
+    while (_price_depth_publisher_queue_ptr->pop(market_data_update))
+    {
+        latestMarketDataUpdates[market_data_update->symbol] = market_data_update->priceDepth;
 
-          }
+        std::stringstream ss;
+        MarketDataIncrementalRefreshLogger::log(ss, latestMarketDataUpdates[market_data_update->symbol]);
+        LOG4CXX_INFO(logger, "MarketDataIncrementalRefresh : [" <<  ss.str() << "]");
+    }
 
-
     DistributedATS_MarketDataIncrementalRefresh::MarketDataIncrementalRefresh
         chunkedIncrementalMarketDataRefresh;
 
@@ -132,8 +123,6 @@ int PriceDepthPublisherService::service()
             chunkedIncrementalMarketDataRefresh,
             "MarketDataIncrementalRefresh");
 
-        std::cout << "Publishing chunk of " << chunkedIncrementalMarketDataRefresh.c_NoMDEntries().size() << " updates" << std::endl;
-
         std::stringstream ss;
         MarketDataIncrementalRefreshLogger::log(
             ss, chunkedIncrementalMarketDataRefresh);
@@ -144,7 +133,6 @@ int PriceDepthPublisherService::service()
           if (ret != eprosima::fastdds::dds::RETCODE_OK) {
               LOG4CXX_ERROR(logger, "MarketDataIncrementalRefresh :" << ret);
           }
-
       }
     }
 

MatchingEngine/src/SecurityListDataReaderListenerImpl.cpp

@@ -59,9 +59,7 @@ void SecurityListDataReaderListenerImpl::on_data_available(
         std::stringstream ss;
         SecurityListLogger::log(ss, security_list);
         LOG4CXX_INFO(logger, "SecurityList : [" <<  ss.str() << "]");
-        
-        std::cout << "Security:" << ss.str() << std::endl;
-            
+                    
         for (uint32_t sec_index = 0; sec_index < security_list.c_NoRelatedSym().size(); sec_index++)
         {
             std::string instrument = security_list.c_NoRelatedSym()[sec_index].Symbol();

MatchingEngine/src/SecurityListRequestDataWriterListener.h

@@ -27,7 +27,6 @@ class SecurityListRequestDataWriterListener : public eprosima::fastdds::dds::Dat
         if (info.current_count_change > 0)
         {
             matched_ = info.total_count;
-            //std::cout << "[Listener] Publisher Matched: " << matched_ << std::endl;
 
             // Start thread only once
             bool expected = false;
@@ -36,7 +35,6 @@ class SecurityListRequestDataWriterListener : public eprosima::fastdds::dds::Dat
                 std::thread([this, dwr]() {
                     while (!_market_ptr->get_ready_to_trade())
                     {
-                        //std::cout << "[Listener] Publishing Security Lise Exchange " << matched_ << std::endl;
                         _market_ptr->publishSecurityListRequest(dwr);
                         std::this_thread::sleep_for(std::chrono::seconds(1));
                     }
@@ -46,11 +44,6 @@ class SecurityListRequestDataWriterListener : public eprosima::fastdds::dds::Dat
         else if (info.current_count_change == -1)
         {
             matched_ = info.total_count;
-            std::cout << "[Listener] Publisher UnMatched: " << matched_ << std::endl;
-        }
-        else
-        {
-            std::cout << "[Listener] Invalid current_count_change: " << info.current_count_change << std::endl;
         }
     }
 

MiscATS/CryptoCLOB/README.md

@@ -23,8 +23,7 @@ The first matching engine consumes and processes orders from the instrument grou
 ### Starting ATS
 
 ```
-    cd $DATS_HOME/MiscATS/CryptoCLOB/scipts
-    ./start_ats
+BASEDIR_ATS=`pwd`/CryptoCLOB python3 start_ats.py --ats CryptoCLOB/crypto_ats.json
 ```
 
 ## Test client

MiscATS/MultiMatchingEngineATS/README.md

@@ -24,8 +24,7 @@ The first matching engine consumes and processes orders from the instrument grou
 ### Starting ATS
 
 ```
-    cd $DATS_HOME/MiscATS/MultiMatchingEngineATS/scipts
-    ./start_ats
+BASEDIR_ATS=`pwd`/MultiMatchingEngineATS python3 start_ats.py --ats MultiMatchingEngineATS/multi_matching_engine.json
 ```
 
 ## Test client

MiscATS/USTreasuryCLOB/README.md

@@ -25,8 +25,7 @@ The matching engine consumes and processes orders from the instrument group MARK
 ### Starting ATS
 
 ```
-    cd $DATS_HOME/MiscATS/USTreasuryCLOB/scipts
-    ./start_ats
+    BASEDIR_ATS=`pwd`/USTreasuryCLOB python3 start_ats.py --ats USTreasuryCLOB/ust_ats.json
 ```
 
 ## Test client

cmake/DDSConfig.cmake

@@ -10,15 +10,15 @@ if(NOT EXISTS "${DDS_INCLUDE_DIRS}/fastdds/config.hpp")
 
     include(ExternalProject)
 
+
     ExternalProject_Add(ASIO
-	GIT_REPOSITORY https://github.com/chriskohlhoff/asio.git
-    	GIT_TAG asio-1-28-0
-    	UPDATE_DISCONNECTED TRUE
-    	SOURCE_SUBDIR asio
-	INSTALL_DIR ${DDS_INSTALL_PREFIX}
-    	CONFIGURE_COMMAND cd <SOURCE_DIR>/<SOURCE_SUBDIR> && ./autogen.sh && ./configure --prefix=${DDS_INSTALL_PREFIX} --exec-prefix=${DDS_INSTALL_PREFIX} --without-boost
-    	BUILD_COMMAND cd <SOURCE_DIR>/<SOURCE_SUBDIR> && make
-    	INSTALL_COMMAND cd <SOURCE_DIR>/<SOURCE_SUBDIR> && make install
+  	GIT_REPOSITORY https://github.com/chriskohlhoff/asio.git
+  	GIT_TAG asio-1-28-0
+  	UPDATE_DISCONNECTED TRUE
+  	SOURCE_SUBDIR asio
+  	CONFIGURE_COMMAND ""
+  	BUILD_COMMAND ""
+  	INSTALL_COMMAND ${CMAKE_COMMAND} -E copy_directory <SOURCE_DIR>/asio/include ${DDS_INSTALL_PREFIX}/include
     )
 
     ExternalProject_Add(FoonathanMemory