static int sse50etf_exec(void *data, void *data2) {
RAII_VAR(struct msg *, msg, (struct msg *)data, msg_decr);
Quote *quote = (Quote *)msg->data;
struct wp *wp;
NOT_USED(data2);
if (isnan(cru) || isnan(ecc)) {
xcb_log(XCB_LOG_WARNING, "No valid value for CRU or ECC");
goto end;
}
table_lock(contracts);
if ((wp = table_get_value(contracts, quote->thyquote.m_cHYDM)) &&
(isnan(wp->price) || fabs(wp->price - quote->thyquote.m_dZXJ) > 0.000001)) {
table_iter_t iter;
table_node_t node;
double sum = 0.0;
time_t t = (time_t)quote->thyquote.m_nTime;
struct tm lt;
char datestr[64], res[512];
if (wp->type == 2) {
table_unlock(contracts);
goto end;
}
wp->price = quote->thyquote.m_dZXJ;
iter = table_iter_new(contracts);
while ((node = table_next(iter))) {
wp = table_node_value(node);
if (isnan(wp->price)) {
xcb_log(XCB_LOG_WARNING, "No price info for '%s'", table_node_key(node));
table_iter_free(&iter);
table_unlock(contracts);
goto end;
}
sum += wp->weight * wp->price;
}
table_iter_free(&iter);
strftime(datestr, sizeof datestr, "%F %T", localtime_r(&t, <));
snprintf(res, sizeof res, "SSE50ETF,%s.%03d|%f",
datestr,
quote->m_nMSec,
(sum + ecc) / cru);
out2rmp(res);
}
table_unlock(contracts);
end:
return 0;
}
static int impvbaw_exec(void *data, void *data2) {
RAII_VAR(struct msg *, msg, (struct msg *)data, msg_decr);
Quote *quote = (Quote *)msg->data;
struct msgs *out = (struct msgs *)data2;
dstr contract;
float last;
char *p;
table_node_t node;
contract = dstr_new(quote->thyquote.m_cHYDM);
if (!strcmp(contract, "") || (fabs(quote->thyquote.m_dZXJ) <= 0.000001 &&
fabs(quote->thyquote.m_dMRJG1) <= 0.000001 &&
fabs(quote->thyquote.m_dMCJG1) <= 0.000001)) {
xcb_log(XCB_LOG_WARNING, "Invalid quote: '%d,%d,%s,%.2f,%.2f,%.2f'",
quote->thyquote.m_nTime,
quote->m_nMSec,
contract,
quote->thyquote.m_dZXJ,
quote->thyquote.m_dMRJG1,
quote->thyquote.m_dMCJG1);
goto end;
}
/* FIXME */
if (!strncasecmp(contract, "IO", 2) || !strncasecmp(contract, "HO", 2) ||
!strncasecmp(contract, "00", 2) || !strncasecmp(contract, "60", 2))
goto end;
last = quote->thyquote.m_dZXJ;
if ((p = strrchr(contract, 'C')) == NULL)
p = strrchr(contract, 'P');
/* FIXME: option quote */
if (p && p != contract && p != contract + dstr_length(contract) - 1 &&
((*(p - 1) == '-' && *(p + 1) == '-') || (isdigit(*(p - 1)) && isdigit(*(p + 1))))) {
dstr spotname, type, strike;
float spot;
struct prices *prices;
double expiry, vol, vol2, vol3;
struct tm lt;
char *res;
spotname = *(p - 1) == '-' ? dstr_new_len(contract, p - contract - 1) :
dstr_new_len(contract, p - contract);
type = dstr_new_len(p, 1);
strike = *(p + 1) == '-' ? dstr_new_len(p + 2, contract + dstr_length(contract) - p - 2) :
dstr_new_len(p + 1, contract + dstr_length(contract) - p - 1);
table_rwlock_rdlock(spots);
if ((node = table_find(spots, spotname)) == NULL) {
table_rwlock_unlock(spots);
dstr_free(strike);
dstr_free(type);
dstr_free(spotname);
goto end;
}
spot = table_node_float(node);
table_rwlock_unlock(spots);
if (fabs(spot) <= 0.000001) {
xcb_log(XCB_LOG_WARNING, "The price of spot '%s' be zero", spotname);
dstr_free(strike);
dstr_free(type);
dstr_free(spotname);
goto end;
}
table_lock(optns);
if ((node = table_find(optns, contract)) == NULL) {
if (NEW(prices)) {
prices->prelast = last;
prices->prebid1 = quote->thyquote.m_dMRJG1;
prices->preask1 = quote->thyquote.m_dMCJG1;
prices->prespot = spot;
table_insert(optns, dstr_new(contract), prices);
} else
xcb_log(XCB_LOG_WARNING, "Error allocating memory for prices");
} else {
prices = (struct prices *)table_node_value(node);
if (fabs(prices->prelast - last) <= 0.000001 &&
fabs(prices->prebid1 - quote->thyquote.m_dMRJG1) <= 0.000001 &&
fabs(prices->preask1 - quote->thyquote.m_dMCJG1) <= 0.000001 &&
fabs(prices->prespot - spot) <= 0.000001) {
table_unlock(optns);
dstr_free(strike);
dstr_free(type);
dstr_free(spotname);
goto end;
} else {
prices->prelast = last;
prices->prebid1 = quote->thyquote.m_dMRJG1;
prices->preask1 = quote->thyquote.m_dMCJG1;
prices->prespot = spot;
}
}
table_unlock(optns);
if ((node = table_find(expiries, contract)))
expiry = table_node_double(node);
else {
char *month;
struct timeval tv;
int diff;
xcb_log(XCB_LOG_WARNING, "No exact expiry date for '%s'", contract);
month = spotname + dstr_length(spotname) - 2;
gettimeofday(&tv, NULL);
if ((diff = atoi(month) - localtime_r(&tv.tv_sec, <)->tm_mon - 1) < 0)
diff += 12;
if (diff == 0)
diff = 1;
expiry = diff / 12.0;
}
/* FIXME: last price */
if (fabs(last) <= 0.000001)
vol = NAN;
else
vol = impv_baw(spot, atof(strike), r, r, expiry, last,
!strcasecmp(type, "C") ? AMER_CALL : AMER_PUT);
/* FIXME: bid price 1 */
if (fabs(quote->thyquote.m_dMRJG1) <= 0.000001)
vol2 = NAN;
else if (fabs(quote->thyquote.m_dMRJG1 - last) <= 0.000001)
vol2 = vol;
else
vol2 = impv_baw(spot, atof(strike), r, r, expiry, quote->thyquote.m_dMRJG1,
!strcasecmp(type, "C") ? AMER_CALL : AMER_PUT);
/* FIXME: ask price 1 */
if (fabs(quote->thyquote.m_dMCJG1) <= 0.000001)
vol3 = NAN;
else if (fabs(quote->thyquote.m_dMCJG1 - last) <= 0.000001)
vol3 = vol;
else
vol3 = impv_baw(spot, atof(strike), r, r, expiry, quote->thyquote.m_dMCJG1,
!strcasecmp(type, "C") ? AMER_CALL : AMER_PUT);
if ((res = ALLOC(512))) {
time_t t = (time_t)quote->thyquote.m_nTime;
char datestr[64];
strftime(datestr, sizeof datestr, "%F %T", localtime_r(&t, <));
snprintf(res, 512, "IMPVBAW,%s.%03d,%s|%.2f,%f,%.2f,%f,%.2f,%f,%.2f",
datestr,
quote->m_nMSec,
contract,
last,
vol,
quote->thyquote.m_dMRJG1,
vol2,
quote->thyquote.m_dMCJG1,
vol3,
spot);
out2rmp(res);
snprintf(res, 512, "IMPVBAW,%d,%d,%s,%.2f,%f,%.2f,%f,%.2f,%f,%.2f,%s,%s,%s,%f,%f,%d,0,0",
quote->thyquote.m_nTime,
quote->m_nMSec,
contract,
last,
vol,
quote->thyquote.m_dMRJG1,
vol2,
quote->thyquote.m_dMCJG1,
vol3,
spot,
spotname,
type,
strike,
r,
expiry,
quote->thyquote.m_nCJSL);
if (out2msgs(res, out) == -1)
FREE(res);
} else
xcb_log(XCB_LOG_WARNING, "Error allocating memory for result");
dstr_free(strike);
dstr_free(type);
dstr_free(spotname);
/* future quote */
} else {
table_rwlock_wrlock(spots);
if ((node = table_find(spots, contract)) == NULL) {
if ((node = table_insert_raw(spots, contract)))
table_set_float(node, last);
} else {
table_set_float(node, last);
dstr_free(contract);
}
table_rwlock_unlock(spots);
return 0;
}
end:
dstr_free(contract);
return 0;
}