/**
* Handle an order replace.
*
* @param recvts the timestamp when the message was received
* @param msgcnt the number of messages received before this message
* @param msgoffset the number of bytes received before this message
* @param msg the message describing the cancel/replace
*/
void handle_message(
time_point recvts, long msgcnt, std::size_t msgoffset,
order_replace_message const& msg) {
JB_LOG(trace) << " " << msgcnt << ":" << msgoffset << " " << msg;
// First we need to find the original order ...
auto position = orders_.find(msg.original_order_reference_number);
if (position == orders_.end()) {
// ... ooops, this should not happen, there is a problem with the
// feed, log the problem and skip the message ...
JB_LOG(warning)
<< "unknown order in handle_message(order_replace_message)"
<< ", id=" << msg.original_order_reference_number
<< ", location=" << msgcnt << ":" << msgoffset << ", msg=" << msg;
return;
}
// ... then we need to make sure the new order is not a duplicate
// ...
auto newpos = orders_.find(msg.new_order_reference_number);
if (newpos != orders_.end()) {
JB_LOG(warning) << "duplicate order in "
<< "handle_message(order_replace_message)"
<< ", id=" << msg.new_order_reference_number
<< ", location=" << msgcnt << ":" << msgoffset
<< ", msg=" << msg;
return;
}
auto& book = books_[position->second.stock];
// ... update the order list and book, but do not make a callback ...
auto update = do_reduce(
position, book, recvts, msgcnt, msgoffset, msg.header,
msg.original_order_reference_number, 0);
// ... now we need to insert the new order ...
orders_.emplace(
msg.new_order_reference_number,
order_data{update.stock, update.buy_sell_indicator, msg.price,
msg.shares});
(void)book.handle_add_order(
update.buy_sell_indicator, msg.price, msg.shares);
// ... adjust the update data structure ...
update.cxlreplx = true;
update.oldpx = update.px;
update.oldqty = -update.qty;
update.px = msg.price;
update.qty = msg.shares;
// ... and invoke the callback ...
callback_(msg.header, book, update);
}
/**
* Refactor code to handle order reductions, i.e., cancels and
* executions
*
* @param recvts the timestamp when the message was received
* @param msgcnt the number of messages received before this message
* @param msgoffset the number of bytes received before this message
* @param header the header of the message that triggered this event
* @param order_reference_number the id of the order being reduced
* @param shares the number of shares to reduce, if 0 reduce all shares
*/
void handle_order_reduction(
time_point recvts, long msgcnt, std::size_t msgoffset,
message_header const& header, std::uint64_t order_reference_number,
std::uint32_t shares) {
// First we need to find the order ...
auto position = orders_.find(order_reference_number);
if (position == orders_.end()) {
// ... ooops, this should not happen, there is a problem with the
// feed, log the problem and skip the message ...
JB_LOG(warning) << "unknown order in handle_order_reduction"
<< ", id=" << order_reference_number
<< ", location=" << msgcnt << ":" << msgoffset
<< ", header=" << header
<< ", order_reference_number=" << order_reference_number
<< ", shares=" << shares;
return;
}
auto& book = books_[position->second.stock];
auto u = do_reduce(
position, book, recvts, msgcnt, msgoffset, header,
order_reference_number, shares);
callback_(header, book, u);
}
bool Generator::reduce() {
tmp_cnt = 0;
label_cnt = 0;
labels.clear();
for_beg.clear();
memset(is_busy, 0, sizeof (is_busy));
top = -1;
stat[++top] = 1;
pair<string, int> nxt;
int cur;
string add;
int id;
string for_begin_label;
pair<string, vector<string> > prod;
vector<Word>::iterator it = src.begin();
while (it != src.end()) {
add = it->type;
cur = stat[top];
nxt = lr1.next_action(cur, add);
if (nxt.second == -1) {
cout << "Error in reduce" << endl;
break;
}
// cout << add << " : ";
if (nxt.first == "r") {
id = nxt.second;
prod = lr1.get_p_by_id(id);
stk[top] = do_reduce(prod, id + 1);
cur = stat[top];
stat[++top] = lr1.next_action(cur, prod.first).second;
} else if (nxt.first == "AC") {
cout << top << endl;
section_text << "pushl\t$0\n";
section_text << "call _exit\n";
section_text.flush();
return true;
} else {
stk[top] = *it;
stat[++top] = nxt.second;
++it;
}
// for (int i = 0; i < top; ++i) cout << " " <<stat[i] <<" " << stk[i].type << " ";
// cout << stat[top];
// cout << endl;
if (top >= 4 && stk[top - 4].x == "for" && stk[top - 1].x == ";") {
//cerr <<stk[top-4].x <<" "<<stk[top-3].x <<" "<<stk[top-2].x <<" "<<stk[top-1].x <<endl;
cerr << "has for" << endl;
for_begin_label = get_new_label();
section_text << for_begin_label << ":\n";
for_beg.push_back(for_begin_label);
section_text.flush();
}
if (top >= 1 && stk[top - 1].x == "if") {
end_flag = get_new_label();
}
if (top >= 1 && stk[top - 1].x == "else") {
section_text << "jmp\t" << end_flag << "\n";
else_flag = get_new_label();
section_text << else_flag << ":\n";
}
}
section_data.close();
section_text.close();
return false;
}