inline
time_duration
parse_delimited_time_duration(const std::string& s)
{
unsigned short min=0, sec =0;
int hour =0;
bool is_neg = (s.at(0) == '-');
boost::int64_t fs=0;
int pos = 0;
char_separator<char> sep("-:,.");
tokenizer<char_separator<char> > tok(s,sep);
for(tokenizer<char_separator<char> >::iterator beg=tok.begin(); beg!=tok.end();++beg){
switch(pos) {
case 0: {
hour = boost::lexical_cast<int>(*beg);
break;
}
case 1: {
min = boost::lexical_cast<unsigned short>(*beg);
break;
}
case 2: {
sec = boost::lexical_cast<unsigned short>(*beg);
break;
};
case 3: {
//Works around a bug in MSVC 6 library that does not support
//operator>> thus meaning lexical_cast will fail to compile.
#if (defined(BOOST_MSVC) && (_MSC_VER <= 1200)) // 1200 == VC++ 6.0
fs = _atoi64(beg->c_str());
// msvc wouldn't compile 'time_duration::num_fractional_digits()'
// (required template argument list) as a workaround a temp
// time_duration object was used
time_duration td(hour,min,sec,fs);
int precision = td.num_fractional_digits();
#else
fs = boost::lexical_cast<boost::int64_t>(*beg);
int precision = time_duration::num_fractional_digits();
#endif
int digits = beg->length();
if(digits < precision){
// leading zeros get dropped from the string,
// "1:01:01.1" would yield .000001 instead of .100000
// the power() compensates for the missing decimal places
fs *= power(10, precision - digits);
}
break;
}
}//switch
pos++;
}
if(is_neg) {
return -time_duration(hour, min, sec, fs);
}
else {
return time_duration(hour, min, sec, fs);
}
}
// Jan 31 08:09:01 ...
boost::posix_time::ptime to_time( auth_time const& ai ) {
// year is current
string const& month = ai.mon;
string const& day = ai.day;
string const& time = ai.time;
vector<string> t = rlf_hstring::split( time, ':' );
if( t.size() != 3 ) { // wrong time format
throw runtime_error {"wrong time format\n"};
}
string const& hour = t[0];
string const& minute = t[1];
string const& second = t[2];
time_duration::hour_type hh = string2type<time_duration::hour_type>( hour );
time_duration::min_type mm = string2type<time_duration::min_type>( minute );;
time_duration::sec_type ss = string2type<time_duration::sec_type>( second );
date::month_type m = boost::date_time::month_str_to_ushort<date::month_type>( month );;
date::day_type d = string2type<short unsigned int>( day );;
date::year_type y = day_clock::universal_day().year();
return boost::posix_time::ptime ( date( y, m, d ), time_duration( hh, mm, ss ) );
}
void RunSequence::HandleQuote2( const ou::tf::Quote& quote ) {
m_quote = quote;
ptime dt( quote.DateTime() );
std::cout << dt << " quote: B:" << quote.Bid() << "-A:" << quote.Ask() << std::endl;
static ptime mark( date( 2012, 7, 22 ), time_duration( 21, 7, 5, 368590 ) );
if ( quote.DateTime() == mark ) {
std::cout << dt << " quote " << std::endl;
}
if ( quote.IsValid() ) {
m_quotes.Append( quote );
switch ( m_stateTimeFrame ) {
case EPreOpen:
if ( m_dtOpeningBell <= dt ) {
m_stateTimeFrame = EBellHeard;
}
break;
case EBellHeard:
m_stateTimeFrame = EPauseForQuotes;
break;
case EPauseForQuotes:
if ( m_dtStartTrading <= dt ) {
m_stateTimeFrame = EAfterBell;
}
break;
case EAfterBell:
m_stateTimeFrame = ETrading;
break;
case ETrading:
if ( m_dtCancelTrades <= dt ) {
m_pPosition->CancelOrders();
m_stateTimeFrame = ECancelling;
}
else {
Trade();
}
break;
case ECancelling:
if ( m_dtClosePositions <= dt ) {
m_pPosition->ClosePosition();
m_stateTimeFrame = EClosing;
}
break;
case EGoingNeutral:
assert( false );
break;
case EClosing:
if ( m_dtClosingBell <= dt ) {
m_stateTimeFrame = EAfterHours;
}
break;
case EAfterHours:
break;
}
}
}
boost::posix_time::time_duration Service::GetTimeOfDay( const boost::posix_time::time_duration& value )
{
return
value >= DAY_DURATION ?
time_duration(value.hours() % 24, value.minutes(), value.seconds()) :
value
;
}
inline
time_duration
parse_undelimited_time_duration(const std::string& s)
{
int offsets[] = {2,2,2};
int pos = 0, sign = 0;
int hours = 0;
short min=0, sec=0;
// increment one position if the string was "signed"
if(s.at(sign) == '-')
{
++sign;
}
// stlport choked when passing s.substr() to tokenizer
// using a new string fixed the error
std::string remain = s.substr(sign);
boost::offset_separator osf(offsets, offsets+3);
boost::tokenizer<boost::offset_separator> tok(remain, osf);
for(boost::tokenizer<boost::offset_separator>::iterator ti=tok.begin(); ti!=tok.end();++ti){
switch(pos) {
case 0:
{
hours = boost::lexical_cast<int>(*ti);
break;
}
case 1:
{
min = boost::lexical_cast<short>(*ti);
break;
}
case 2:
{
sec = boost::lexical_cast<short>(*ti);
break;
}
};
pos++;
}
if(sign) {
return -time_duration(hours, min, sec);
}
else {
return time_duration(hours, min, sec);
}
}
void aggr_source_discovery::dump_cache(base_stream &out, const cache &c) const {
time_t now = time(0);
for (cache::const_iterator i = c.begin(); i != c.end(); ++i) {
out.xprintf("(%{Addr}, %{Addr}) for %{duration}\n",
i->first.second, i->first.first,
time_duration((now - i->second) * 1000));
}
}
void RunSequence::HandleTrade( const ou::tf::Trade& trade ) {
m_trade = trade;
ptime dt( trade.DateTime() );
std::cout << dt << " trade " << std::endl;
m_trades.Append( trade );
static ptime mark( date( 2012, 7, 22 ), time_duration( 22, 46, 42, 621469 ) );
if ( trade.DateTime() == mark ) {
std::cout << dt << " trade " << std::endl;
}
}
void PerformanceTimer::advance(const std::string& step)
{
BOOST_ASSERT(running());
// if there is an existing step pending then record its duration
recordPendingStep();
// record the start time and add a step
startTime_ = now();
steps_.push_back(std::make_pair(step, time_duration()));
}
TEST_F(DBTableTest, find_data_timestamp) {
std::string fieldName = "fieldName";
createTable(tableName, {"a timestamp"});
insertTable(tableName, "'2015-01-25 12:11:54.88'");
ptime expectedTime(date(2015, 1, 25), time_duration(12, 11, 54, 880000));
dbTable = std::make_shared<DBTable>(tableName);
auto row = dbTable->find("");
ASSERT_THAT(row->getValue("a"), IsAnyPosixTime(expectedTime));
}
RunSequence::RunSequence( const boost::gregorian::date& dateStart )
: m_portfolio( "test" ),
m_stateTimeFrame( EPreOpen ), m_stateTrading( ENeutral ),
m_timeOpeningBell( 19, 0, 0 ),
m_timeCancelTrades( 16, 40, 0 ),
m_timeClosePositions( 16, 45, 0 ),
m_timeClosingBell( 17, 0, 0 ),
m_dtOpeningBell( dateStart, m_timeOpeningBell ),
m_dtStartTrading( m_dtOpeningBell + time_duration( 0, 16, 0 ) ),
m_dtCancelTrades( dateStart + date_duration( 1 ), m_timeCancelTrades ),
m_dtClosePositions( dateStart + date_duration( 1 ), m_timeClosePositions ),
m_dtClosingBell( dateStart + date_duration( 1 ), m_timeClosingBell )
{
}
boost::posix_time::time_duration DBResult::getHour( const std::string& name ) const
{
try
{
string text(getText(name));
if(!text.empty())
{
return duration_from_string(text);
}
}
catch(...)
{
}
return time_duration(not_a_date_time);
}
inline time_duration hours(boost::int64_t s)
{
return time_duration(aux::microseconds_to_performance_counter(
s * 1000000 * 60 * 60));
}
inline time_duration microsec(boost::int64_t s)
{
return time_duration(aux::microseconds_to_performance_counter(s));
}
inline time_duration hours(boost::int64_t s)
{
return time_duration(aux::microseconds_to_absolutetime(s * 1000000 * 60 * 60));
}
inline time_duration microsec(boost::int64_t s)
{
return time_duration(aux::microseconds_to_absolutetime(s));
}
inline time_duration operator*(int lhs, time_duration rhs)
{ return time_duration(boost::int64_t(lhs * rhs.diff)); }
time_duration operator-(time_duration const& c) { return time_duration(diff - c.diff); }
time_duration operator/(int rhs) const { return time_duration(diff / rhs); }
inline time_duration minutes(boost::int64_t s)
{
return time_duration(s * 1000000 * 60);
}
inline time_duration microsec(boost::int64_t s)
{
return time_duration(s);
}
inline time_duration seconds(boost::int64_t s)
{
return time_duration(s * 1000000);
}
Process::Process(void)
:
m_bIBConnected( false ), m_bIQFeedConnected( false ), m_bSimConnected( false ),
m_contractidUnderlying( 0 ),
m_bWatchingOptions( false ), m_bTrading( false ),
m_bPositionsOpened( false ),
m_dblBaseDelta( 2000.0 ), m_dblBaseDeltaIncrement( 100.0 ),
m_TradingState( ETSFirstPass ),
#ifdef testing
m_sSymbolName( "DELL" ),
m_dtMarketOpen( time_duration( 0, 30, 0 ) ),
m_dtMarketOpeningOrder( time_duration( 0, 31, 0 ) ),
m_dtMarketClosingOrder( time_duration( 23, 56, 0 ) ),
m_dtMarketClose( time_duration( 23, 59, 59 ) ),
#else
m_sSymbolName( "GLD" ),
m_dtMarketOpen( time_duration( 10, 30, 0 ) ),
m_dtMarketOpeningOrder( time_duration( 10, 30, 20 ) ),
m_dtMarketClosingOrder( time_duration( 16, 56, 0 ) ),
m_dtMarketClose( time_duration( 17, 0, 0 ) ),
#endif
m_sPathForSeries( "/strategy/deltaneutral2" ),
m_sDesiredSimTradingDay( "2010-Sep-10 20:10:25.562500" ),
m_bProcessSimTradingDayGroup( false ),
m_tws( new IBTWS( "U215226" ) ), m_iqfeed( new IQFeedProvider() ), m_sim( new SimulationProvider() ),
m_eMode( EModeLive ),
//m_eMode( EModeSimulation )
m_bExecConnected( false ), m_bDataConnected( false ), m_bData2Connected( false ), m_bConnectDone( false )
{
boost::gregorian::date dToday = ou::TimeSource::Instance().Internal().date();
m_dExpiry = ou::tf::options::Next3rdFriday( dToday );
while ( boost::gregorian::date_period( dToday, m_dExpiry ).length().days() < 8 ) { // some say use front month for scalping
boost::gregorian::date_duration dd( 1 );
boost::gregorian::date d = m_dExpiry + dd;
m_dExpiry = ou::tf::options::Next3rdFriday( d );
}
m_contract.currency = "USD";
m_contract.exchange = "SMART";
m_contract.symbol = m_sSymbolName;
// will need to use the expiry date to look at existing positions to see if a calendar spread is needed for rolling over
m_contract.expiry = boost::gregorian::to_iso_string( m_dExpiry );
m_db.SetOnPopulateDatabaseHandler( MakeDelegate( this, &Process::HandlePopulateDatabase ) );
m_idPortfolio = "dn01-" + m_sSymbolName + "-" + m_contract.expiry; // needs to come before database open
// Implement the calendar roll over at some point
// this is where we select which provider we will be working with on this run
// providers need to be registered in order for portfolio/position loading to function properly
// key needs to match to account
ProviderManager::Instance().Register( "ib01", static_cast<pProvider_t>( m_tws ) );
ProviderManager::Instance().Register( "iq01", static_cast<pProvider_t>( m_iqfeed ) );
ProviderManager::Instance().Register( "sim01", static_cast<pProvider_t>( m_sim ) );
std::string sDbName;
switch ( m_eMode ) {
case EModeSimulation:
sDbName = ":memory:";
m_pExecutionProvider = m_sim;
m_pDataProvider = m_sim;
break;
case EModeLive:
sDbName = "TradeGldOptions.db";
m_pExecutionProvider = m_tws;
m_pDataProvider = m_tws;
break;
}
m_db.Open( sDbName );
m_pExecutionProvider->OnConnected.Add( MakeDelegate( this, &Process::HandleOnExecConnected ) );
m_pExecutionProvider->OnDisconnected.Add( MakeDelegate( this, &Process::HandleOnExecDisconnected ) );
m_pDataProvider->OnConnected.Add( MakeDelegate( this, &Process::HandleOnDataConnected ) );
m_pDataProvider->OnDisconnected.Add( MakeDelegate( this, &Process::HandleOnDataDisconnected ) );
m_iqfeed->OnConnected.Add( MakeDelegate( this, &Process::HandleOnData2Connected ) );
m_iqfeed->OnDisconnected.Add( MakeDelegate( this, &Process::HandleOnData2Disconnected ) );
}
inline time_duration hours(boost::int64_t s)
{
return time_duration(s * 1000000 * 60 * 60);
}
//! Convert a tm struct to a ptime ignoring is_dst flag
inline
ptime ptime_from_tm(const std::tm& timetm) {
boost::gregorian::date d = boost::gregorian::date_from_tm(timetm);
return ptime(d, time_duration(timetm.tm_hour, timetm.tm_min, timetm.tm_sec));
}
time_duration operator+(time_duration const& c) { return time_duration(diff + c.diff); }
time_duration operator*(const double rhs) const
{
return time_duration( boost::int64_t (diff * rhs) );
}
inline time_duration operator*(time_duration lhs, int rhs)
{ return time_duration(boost::int64_t(lhs.diff * rhs)); }
inline
time_duration
parse_undelimited_time_duration(const std::string& s)
{
int precision = 0;
{
// msvc wouldn't compile 'time_duration::num_fractional_digits()'
// (required template argument list) as a workaround, a temp
// time_duration object was used
time_duration tmp(0,0,0,1);
precision = tmp.num_fractional_digits();
}
// 'precision+1' is so we grab all digits, plus the decimal
int offsets[] = {2,2,2, precision+1};
int pos = 0, sign = 0;
int hours = 0;
short min=0, sec=0;
boost::int64_t fs=0;
// increment one position if the string was "signed"
if(s.at(sign) == '-')
{
++sign;
}
// stlport choked when passing s.substr() to tokenizer
// using a new string fixed the error
std::string remain = s.substr(sign);
/* We do not want the offset_separator to wrap the offsets, we
* will never want to process more than:
* 2 char, 2 char, 2 char, frac_sec length.
* We *do* want the offset_separator to give us a partial for the
* last characters if there were not enough provided in the input string. */
bool wrap_off = false;
bool ret_part = true;
boost::offset_separator osf(offsets, offsets+4, wrap_off, ret_part);
typedef boost::tokenizer<boost::offset_separator,
std::basic_string<char>::const_iterator,
std::basic_string<char> > tokenizer;
typedef boost::tokenizer<boost::offset_separator,
std::basic_string<char>::const_iterator,
std::basic_string<char> >::iterator tokenizer_iterator;
tokenizer tok(remain, osf);
for(tokenizer_iterator ti=tok.begin(); ti!=tok.end();++ti){
switch(pos) {
case 0:
{
hours = boost::lexical_cast<int>(*ti);
break;
}
case 1:
{
min = boost::lexical_cast<short>(*ti);
break;
}
case 2:
{
sec = boost::lexical_cast<short>(*ti);
break;
}
case 3:
{
std::string char_digits(ti->substr(1)); // digits w/no decimal
int digits = static_cast<int>(char_digits.length());
//Works around a bug in MSVC 6 library that does not support
//operator>> thus meaning lexical_cast will fail to compile.
#if (defined(BOOST_MSVC) && (_MSC_VER <= 1200)) // 1200 == VC++ 6.0
// _atoi64 is an MS specific function
if(digits >= precision) {
// drop excess digits
fs = _atoi64(char_digits.substr(0, precision).c_str());
}
else if(digits == 0) {
fs = 0; // just in case _atoi64 doesn't like an empty string
}
else {
fs = _atoi64(char_digits.c_str());
}
#else
if(digits >= precision) {
// drop excess digits
fs = boost::lexical_cast<boost::int64_t>(char_digits.substr(0, precision));
}
else if(digits == 0) {
fs = 0; // lexical_cast doesn't like empty strings
}
else {
fs = boost::lexical_cast<boost::int64_t>(char_digits);
}
#endif
if(digits < precision){
// trailing zeros get dropped from the string,
// "1:01:01.1" would yield .000001 instead of .100000
// the power() compensates for the missing decimal places
fs *= power(10, precision - digits);
}
break;
}
default: break;
};
pos++;
}
if(sign) {
return -time_duration(hours, min, sec, fs);
}
else {
return time_duration(hours, min, sec, fs);
}
}
inline time_duration operator-(ptime lhs, ptime rhs)
{ return time_duration(lhs.time - rhs.time); }
inline
time_duration
str_from_delimited_time_duration(const std::basic_string<char_type>& s)
{
unsigned short min=0, sec =0;
int hour =0;
bool is_neg = (s.at(0) == '-');
boost::int64_t fs=0;
int pos = 0;
typedef typename std::basic_string<char_type>::traits_type traits_type;
typedef boost::char_separator<char_type, traits_type> char_separator_type;
typedef boost::tokenizer<char_separator_type,
typename std::basic_string<char_type>::const_iterator,
std::basic_string<char_type> > tokenizer;
typedef typename boost::tokenizer<char_separator_type,
typename std::basic_string<char_type>::const_iterator,
typename std::basic_string<char_type> >::iterator tokenizer_iterator;
char_type sep_chars[5] = {'-',':',',','.'};
char_separator_type sep(sep_chars);
tokenizer tok(s,sep);
for(tokenizer_iterator beg=tok.begin(); beg!=tok.end();++beg){
switch(pos) {
case 0: {
hour = boost::lexical_cast<int>(*beg);
break;
}
case 1: {
min = boost::lexical_cast<unsigned short>(*beg);
break;
}
case 2: {
sec = boost::lexical_cast<unsigned short>(*beg);
break;
};
case 3: {
int digits = static_cast<int>(beg->length());
//Works around a bug in MSVC 6 library that does not support
//operator>> thus meaning lexical_cast will fail to compile.
#if (defined(BOOST_MSVC) && (_MSC_VER < 1300))
// msvc wouldn't compile 'time_duration::num_fractional_digits()'
// (required template argument list) as a workaround a temp
// time_duration object was used
time_duration td(hour,min,sec,fs);
int precision = td.num_fractional_digits();
// _atoi64 is an MS specific function
if(digits >= precision) {
// drop excess digits
fs = _atoi64(beg->substr(0, precision).c_str());
}
else {
fs = _atoi64(beg->c_str());
}
#else
int precision = time_duration::num_fractional_digits();
if(digits >= precision) {
// drop excess digits
fs = boost::lexical_cast<boost::int64_t>(beg->substr(0, precision));
}
else {
fs = boost::lexical_cast<boost::int64_t>(*beg);
}
#endif
if(digits < precision){
// trailing zeros get dropped from the string,
// "1:01:01.1" would yield .000001 instead of .100000
// the power() compensates for the missing decimal places
fs *= power(10, precision - digits);
}
break;
}
default: break;
}//switch
pos++;
}
if(is_neg) {
return -time_duration(hour, min, sec, fs);
}
else {
return time_duration(hour, min, sec, fs);
}
}
