int fast_books_update(struct fast_book_set *set)
{
struct fast_message *msg;
memset(set->books_mask, 0, sizeof(set->books_mask));
if (next_increment(set, &msg)) {
if (fast_books_recover(set))
goto fail;
goto done;
}
if (!msg)
goto done;
if (apply_increment(set, NULL, msg))
goto fail;
done:
return 0;
fail:
return -1;
}
static int fast_books_join(struct fast_book_set *set, struct fast_book *book)
{
struct fast_message *inc_buf = NULL;
struct fast_message *tmp_buf;
struct fast_field *field;
struct fast_message *msg;
unsigned long size = 32;
unsigned long pos = 0;
u64 last_msg_seq_num;
u64 msg_seq_num = 0;
unsigned long i;
if (fast_feed_open(set->snp_feeds))
goto fail;
inc_buf = calloc(size, sizeof(struct fast_message));
if (!inc_buf)
goto fail;
book_clear_flags(book, FAST_BOOK_ACTIVE);
while (!book_has_flags(book, FAST_BOOK_ACTIVE)) {
if (next_increment(set, &msg))
goto fail;
if (!msg)
continue;
if (apply_increment(set, NULL, msg))
goto fail;
if (pos >= size) {
size *= 2;
tmp_buf = realloc(inc_buf, size * sizeof(struct fast_message));
if (!tmp_buf)
goto fail;
inc_buf = tmp_buf;
}
if (fast_message_copy(inc_buf + pos, msg)) {
goto fail;
} else
pos++;
if (!msg_seq_num) {
field = fast_get_field(msg, "MsgSeqNum");
if (!field || field_state_empty(field))
goto fail;
msg_seq_num = field->uint_value;
}
if (next_snapshot(set, &msg))
goto fail;
if (!msg)
continue;
field = fast_get_field(msg, "LastMsgSeqNumProcessed");
if (!field || field_state_empty(field))
goto fail;
last_msg_seq_num = field->uint_value;
if (last_msg_seq_num < msg_seq_num)
continue;
if (apply_snapshot(set, book, msg))
goto fail;
}
if (!pos)
goto fail;
for (i = 0; i < pos; i++) {
msg = inc_buf + i;
field = fast_get_field(msg, "MsgSeqNum");
if (!field || field_state_empty(field))
goto fail;
msg_seq_num = field->uint_value;
if (msg_seq_num <= last_msg_seq_num)
continue;
if (apply_increment(set, book, msg))
goto fail;
}
if (fast_feed_close(set->snp_feeds))
goto fail;
fast_message_free(inc_buf, pos);
return 0;
fail:
fast_feed_close(set->snp_feeds);
fast_message_free(inc_buf, pos);
return -1;
}
static int fast_books_join(struct fast_book_set *set, struct fast_book *book)
{
struct fast_message *inc_msg = NULL;
struct fast_message *snp_msg = NULL;
bool snp_received = false;
struct fast_field *field;
struct fast_book *sbook;
struct ob_level *level;
struct ob_order order;
u64 last_msg_seq_num;
u64 msg_num_init = 0;
u64 msg_num_cur = 0;
GList *list;
if (fast_feed_open(set->snp_feeds))
goto fail;
book_clear_flags(book, FAST_BOOK_ACTIVE);
book_add_flags(book, FAST_BOOK_JOIN);
while (!book_has_flags(book, FAST_BOOK_ACTIVE)) {
if (next_increment(set, &inc_msg))
goto fail;
if (inc_msg) {
if (apply_increment(set, NULL, inc_msg))
goto fail;
field = fast_get_field(inc_msg, "MsgSeqNum");
if (!field || field_state_empty(field))
goto fail;
msg_num_cur = field->uint_value;
if (!msg_num_init)
msg_num_init = msg_num_cur;
}
if (!snp_received) {
if (next_snapshot(set, &snp_msg))
goto fail;
}
if (snp_msg) {
field = fast_get_field(snp_msg, "SecurityID");
if (field) {
if (field_state_empty(field))
goto fail;
sbook = fast_book_by_id(set, field->uint_value);
if (!sbook || book->secid != sbook->secid)
continue;
} else {
field = fast_get_field(snp_msg, "Symbol");
if (!field || field_state_empty(field))
goto fail;
sbook = fast_book_by_symbol(set, field->string_value);
if (!sbook || strcmp(sbook->symbol, book->symbol))
continue;
}
field = fast_get_field(snp_msg, "LastMsgSeqNumProcessed");
if (!field || field_state_empty(field))
goto fail;
last_msg_seq_num = field->uint_value;
if (!msg_num_init)
continue;
if (last_msg_seq_num < msg_num_init)
continue;
snp_received = true;
if (last_msg_seq_num > msg_num_cur)
continue;
if (apply_snapshot(set, book, snp_msg))
goto fail;
if (book_has_flags(book, FAST_BOOK_EMPTY))
snp_received = false;
}
}
order.buy = false;
list = g_list_first(book->ob.glasks);
while (list) {
level = g_list_nth_data(list, 0);
list = g_list_next(list);
if (!level->size) {
order.price = level->price;
if (ob_level_delete(&book->ob, &order))
goto fail;
}
}
order.buy = true;
list = g_list_first(book->ob.glbids);
while (list) {
level = g_list_nth_data(list, 0);
list = g_list_next(list);
if (!level->size) {
order.price = level->price;
if (ob_level_delete(&book->ob, &order))
goto fail;
}
}
book_clear_flags(book, FAST_BOOK_JOIN);
if (fast_feed_close(set->snp_feeds))
goto fail;
return 0;
fail:
fast_feed_close(set->snp_feeds);
return -1;
}
