Exemple #1
0
static void on_error(struct CThostFtdcRspInfoField *rspinfo, int rid, int islast) {
	if (rspinfo && rspinfo->ErrorID != 0)
		xcb_log(XCB_LOG_ERROR, "Error occurred: errorid=%d", rspinfo->ErrorID);
}
Exemple #2
0
static void on_subscribe_market_data(struct ErrorRtnField *rspinfo) {
	if (rspinfo && rspinfo->ErrorID != 0)
		xcb_log(XCB_LOG_ERROR, "Error occurred: errorid=%d", rspinfo->ErrorID);
}
Exemple #3
0
static void on_subscribe_market_data(struct CThostFtdcSpecificInstrumentField *instrument,
	struct CThostFtdcRspInfoField *rspinfo, int rid, int islast) {
	if (rspinfo && rspinfo->ErrorID != 0)
		xcb_log(XCB_LOG_ERROR, "Error occurred: errorid=%d", rspinfo->ErrorID);
}
Exemple #4
0
static void on_front_disconnected(int reason) {
	xcb_log(XCB_LOG_NOTICE, "Front disconnected: reason=%d", reason);
}
Exemple #5
0
static int mm_impvbaw_exec(void *data, void *data2) {
	RAII_VAR(struct msg *, msg, (struct msg *)data, msg_decr);
	dstr *fields = NULL;
	int nfield = 0;
	time_t t;
	dstr spotname;
	double vol;
	NOT_USED(data2);

	fields = dstr_split_len(msg->data, strlen(msg->data), ",", 1, &nfield);
	/* FIXME */
	if (nfield != 19) {
		xcb_log(XCB_LOG_WARNING, "Message '%s' garbled", msg->data);
		goto end;
	}
	t        = (time_t)atoi(fields[1]);
	spotname = dstr_new(fields[11]);
	vol      = atof(fields[5]);
	if (!isnan(vol)) {
		struct mm *mm;
		int flag = 0;

		table_lock(contracts);
		if ((mm = table_get_value(contracts, spotname)) == NULL) {
			if (NEW(mm)) {
				mm->min = mm->max = vol;
				flag = 1;
				table_insert(contracts, spotname, mm);
			} else
				xcb_log(XCB_LOG_WARNING, "Error allocating memory for mm");
		} else {
			if (mm->min > vol) {
				mm->min = vol;
				flag = 1;
			} else if (mm->max < vol) {
				mm->max = vol;
				flag = 1;
			}
			dstr_free(spotname);
		}
		if (mm && flag) {
			struct tm lt;
			char datestr[64], res[512];

			localtime_r(&t, &lt);
			lt.tm_hour = lt.tm_min = lt.tm_sec = 0;
			strftime(datestr, sizeof datestr, "%F %T", &lt);
			snprintf(res, sizeof res, "MM_IMPVBAW,%s.000,%s|%f,%f",
				datestr,
				fields[11],
				mm->min,
				mm->max);
			out2rmp(res);
		}
		table_unlock(contracts);
	}

end:
	dstr_free_tokens(fields, nfield);
	return 0;
}
Exemple #6
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, &lt)->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, &lt));
			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;
}
Exemple #7
0
static inline void load_config(void) {
	/* FIXME */
	if ((cfg = config_load("/etc/xcb/vxo.conf"))) {
		char *cat = category_browse(cfg, NULL);
		struct variable *var;

		while (cat) {
			if (!strcasecmp(cat, "general")) {
				struct variable *var = variable_browse(cfg, cat);

				while (var) {
					if (!strcasecmp(var->name, "inmsg")) {
						if (strcmp(var->value, ""))
							inmsg = var->value;
					} else
						xcb_log(XCB_LOG_WARNING, "Unknown variable '%s' in "
							"category '%s' of vxo.conf", var->name, cat);
					var = var->next;
				}
			} else if (!strcasecmp(cat, "expiries")) {
				var = variable_browse(cfg, cat);
				while (var) {
					char *p;

					if ((p = strrchr(var->name, 'C')) == NULL)
						p = strrchr(var->name, 'P');
					if (p && p != var->name && p != var->name + strlen(var->name) - 1 &&
						((*(p - 1) == '-' && *(p + 1) == '-') ||
						(isdigit(*(p - 1)) && isdigit(*(p + 1))))) {
						dstr spotname, strike;
						struct pd *pd;
						struct scp *scp;

						spotname = *(p - 1) == '-'
							? dstr_new_len(var->name, p - var->name - 1)
							: dstr_new_len(var->name, p - var->name);
						strike   = *(p + 1) == '-'
							? dstr_new_len(p + 2, var->name + strlen(var->name) - p - 2)
							: dstr_new_len(p + 1, var->name + strlen(var->name) - p - 1);
						if ((pd = table_get_value(spots, spotname)) == NULL) {
							if (NEW(scp)) {
								scp->strike = atof(strike);
								scp->cvol   = scp->pvol  = NAN;
								scp->cvol2  = scp->pvol2 = NAN;
								scp->cvol3  = scp->pvol3 = NAN;
								if (NEW(pd)) {
									pd->prevxo = pd->prevxo2 = pd->prevxo3 = NAN;
									pd->sep    = *(p - 1) == '-' ? "-" : "";
									pd->dlist  = dlist_new(NULL, scpfree);
									dlist_insert_tail(pd->dlist, scp);
									table_insert(spots, spotname, pd);
								} else
									FREE(scp);
							} else
								dstr_free(spotname);
						} else {
							dlist_iter_t iter = dlist_iter_new(pd->dlist, DLIST_START_HEAD);
							dlist_node_t node;

							while ((node = dlist_next(iter))) {
								scp = (struct scp *)dlist_node_value(node);
								if (scp->strike > atof(strike) ||
									fabs(scp->strike - atof(strike)) <= 0.000001)
									break;
							}
							dlist_iter_free(&iter);
							if (node == NULL || scp->strike > atof(strike)) {
								if (NEW(scp)) {
									scp->strike = atof(strike);
									scp->cvol   = scp->pvol  = NAN;
									scp->cvol2  = scp->pvol2 = NAN;
									scp->cvol3  = scp->pvol3 = NAN;
								}
								if (node == NULL)
									dlist_insert_tail(pd->dlist, scp);
								else
									dlist_insert(pd->dlist, node, scp, 0);
							}
							dstr_free(spotname);
						}
						dstr_free(strike);
					}
					var = var->next;
				}
			}
			cat = category_browse(cfg, cat);
		}
	}
}
Exemple #8
0
static int vxo_exec(void *data, void *data2) {
	RAII_VAR(struct msg *, msg, (struct msg *)data, msg_decr);
	struct msgs *out = (struct msgs *)data2;
	dstr *fields = NULL;
	int nfield = 0;
	double vol, vol2, vol3, spot, strike, r, expiry;
	int sec, msec;
	dstr spotname;
	char *type;
	struct pd *pd;
	struct scp *scp;

	fields = dstr_split_len(msg->data, strlen(msg->data), ",", 1, &nfield);
	/* FIXME */
	if (nfield != 19) {
		xcb_log(XCB_LOG_WARNING, "Message '%s' garbled", msg->data);
		goto end;
	}
	vol      = !strcasecmp(fields[5], "nan") ? NAN : atof(fields[5]);
	vol2     = !strcasecmp(fields[7], "nan") ? NAN : atof(fields[7]);
	vol3     = !strcasecmp(fields[9], "nan") ? NAN : atof(fields[9]);
	if (isnan(vol) && isnan(vol2) && isnan(vol3))
		goto end;
	sec      = atoi(fields[1]);
	msec     = atoi(fields[2]);
	spot     = atof(fields[10]);
	spotname = dstr_new(fields[11]);
	type     = fields[12];
	strike   = atof(fields[13]);
	r        = atof(fields[14]);
	expiry   = atof(fields[15]);
	table_lock(spots);
	if ((pd = table_get_value(spots, spotname)) == NULL) {
		/* can't happen */
		if (NEW(scp) == NULL) {
			xcb_log(XCB_LOG_WARNING, "Error allocating memory for scp");
			table_unlock(spots);
			goto end;
		}
		scp->strike = strike;
		if (!strcasecmp(type, "C")) {
			scp->cvol  = vol;
			scp->pvol  = NAN;
			scp->cvol2 = vol2;
			scp->pvol2 = NAN;
			scp->cvol3 = vol3;
			scp->pvol3 = NAN;
		} else {
			scp->cvol  = NAN;
			scp->pvol  = vol;
			scp->cvol2 = NAN;
			scp->pvol2 = vol2;
			scp->cvol3 = NAN;
			scp->pvol3 = vol3;
		}
		if (NEW(pd) == NULL) {
			xcb_log(XCB_LOG_WARNING, "Error allocating memory for pd");
			FREE(scp);
			table_unlock(spots);
			goto end;
		}
		pd->prevxo = pd->prevxo2 = pd->prevxo3 = NAN;
		pd->sep    = strchr(fields[3], '-') ? "-" : "";
		pd->dlist  = dlist_new(NULL, scpfree);
		dlist_insert_tail(pd->dlist, scp);
		table_insert(spots, spotname, pd);
	} else {
		dlist_iter_t iter = dlist_iter_new(pd->dlist, DLIST_START_HEAD);
		dlist_node_t node;

		while ((node = dlist_next(iter))) {
			scp = (struct scp *)dlist_node_value(node);
			if (scp->strike > strike || fabs(scp->strike - strike) <= 0.000001)
				break;
		}
		if (node && fabs(scp->strike - strike) <= 0.000001) {
			if (!strcasecmp(type, "C")) {
				scp->cvol  = vol;
				scp->cvol2 = vol2;
				scp->cvol3 = vol3;
			} else {
				scp->pvol  = vol;
				scp->pvol2 = vol2;
				scp->pvol3 = vol3;
			}
		} else {
			/* can't happen */
			if (NEW(scp) == NULL) {
				xcb_log(XCB_LOG_WARNING, "Error allocating memory for scp");
				table_unlock(spots);
				goto end;
			}
			scp->strike = strike;
			if (!strcasecmp(type, "C")) {
				scp->cvol  = vol;
				scp->pvol  = NAN;
				scp->cvol2 = vol2;
				scp->pvol2 = NAN;
				scp->cvol3 = vol3;
				scp->pvol3 = NAN;
			} else {
				scp->cvol  = NAN;
				scp->pvol  = vol;
				scp->cvol2 = NAN;
				scp->pvol2 = vol2;
				scp->cvol3 = NAN;
				scp->pvol3 = vol3;
			}
			if (node == NULL)
				dlist_insert_tail(pd->dlist, scp);
			else
				dlist_insert(pd->dlist, node, scp, 0);
		}
		dlist_iter_rewind_head(iter, pd->dlist);
		while ((node = dlist_next(iter))) {
			scp = (struct scp *)dlist_node_value(node);
			if (scp->strike > spot || fabs(scp->strike - spot) <= 0.000001)
				break;
		}
		dlist_iter_free(&iter);
		if (node && dlist_node_prev(node)) {
			struct scp *scp1 = (struct scp *)dlist_node_value(node);
			struct scp *scp2 = (struct scp *)dlist_node_value(dlist_node_prev(node));
			double vxo = NAN, vxo2 = NAN, vxo3 = NAN;
			int flag1, flag2, flag3;

			if (!isnan(scp1->cvol) && !isnan(scp1->pvol) && !isnan(scp2->cvol) && !isnan(scp2->pvol))
				vxo  = ((scp1->cvol + scp1->pvol) / 2) *
					(spot - scp2->strike) / (scp1->strike - scp2->strike) +
					((scp2->cvol + scp2->pvol) / 2) *
					(scp1->strike - spot) / (scp1->strike - scp2->strike);
			if (!isnan(scp1->cvol2) && !isnan(scp1->pvol2) && !isnan(scp2->cvol2) && !isnan(scp2->pvol2))
				vxo2 = ((scp1->cvol2 + scp1->pvol2) / 2) *
					(spot - scp2->strike) / (scp1->strike - scp2->strike) +
					((scp2->cvol2 + scp2->pvol2) / 2) *
					(scp1->strike - spot) / (scp1->strike - scp2->strike);
			if (!isnan(scp1->cvol3) && !isnan(scp1->pvol3) && !isnan(scp2->cvol3) && !isnan(scp2->pvol3))
				vxo3 = ((scp1->cvol3 + scp1->pvol3) / 2) *
					(spot - scp2->strike) / (scp1->strike - scp2->strike) +
					((scp2->cvol3 + scp2->pvol3) / 2) *
					(scp1->strike - spot) / (scp1->strike - scp2->strike);
			if ((flag1 = (isnan(pd->prevxo) && !isnan(vxo)) || (!isnan(pd->prevxo) && isnan(vxo)) ||
				(!isnan(pd->prevxo) && !isnan(vxo) && fabs(pd->prevxo - vxo) > 0.000001) ? 1 : 0))
				pd->prevxo  = vxo;
			if ((flag2 = (isnan(pd->prevxo2) && !isnan(vxo2)) || (!isnan(pd->prevxo2) && isnan(vxo2)) ||
				(!isnan(pd->prevxo2) && !isnan(vxo2) && fabs(pd->prevxo2 - vxo2) > 0.000001) ? 1 : 0))
				pd->prevxo2 = vxo2;
			if ((flag3 = (isnan(pd->prevxo3) && !isnan(vxo3)) || (!isnan(pd->prevxo3) && isnan(vxo3)) ||
				(!isnan(pd->prevxo3) && !isnan(vxo3) && fabs(pd->prevxo3 - vxo3) > 0.000001) ? 1 : 0))
				pd->prevxo3 = vxo3;
			if (flag1 || flag2 || flag3) {
				char *res;

				if ((res = ALLOC(4096))) {
					time_t t = (time_t)sec;
					struct tm lt;
					char datestr[64];
					int off;

					strftime(datestr, sizeof datestr, "%F %T", localtime_r(&t, &lt));
					snprintf(res, 4096, "VXO,%s.%03d,%s|%f,%f,%f",
						datestr,
						msec,
						spotname,
						vxo,
						vxo2,
						vxo3);
					out2rmp(res);
					off = snprintf(res, 4096, "VXO,%d,%d,%s,",
						sec,
						msec,
						spotname);
					iter = dlist_iter_new(pd->dlist, DLIST_START_HEAD);
					while ((node = dlist_next(iter))) {
						scp = (struct scp *)dlist_node_value(node);
						off += snprintf(res + off, 4096 - off, "%.f,%f,%f,%f,",
							scp->strike,
							vxo,
							vxo2,
							vxo3);
					}
					dlist_iter_free(&iter);
					snprintf(res + off, 4096 - off, "%.2f,%f,%f,%s",
						spot,
						r,
						expiry,
						pd->sep);
					if (out2msgs(res, out) == -1)
						FREE(res);
				}
			}
		}
		dstr_free(spotname);
	}
	table_unlock(spots);

end:
	dstr_free_tokens(fields, nfield);
	return 0;
}
Exemple #9
0
static int greeks2_exec(void *data, void *data2) {
	RAII_VAR(struct msg *, msg, (struct msg *)data, msg_decr);
	dstr *fields = NULL;
	int nfield = 0;
	time_t t;
	char *contract, *type;
	double spot, strike, r, vol, vol2, vol3, expiry;
	int steps;
	NOT_USED(data2);

	fields = dstr_split_len(msg->data, strlen(msg->data), ",", 1, &nfield);
	/* FIXME */
	if (nfield != 19) {
		xcb_log(XCB_LOG_WARNING, "Message '%s' garbled", msg->data);
		goto end;
	}
	t        = (time_t)atoi(fields[1]);
	contract = fields[3];
	type     = fields[12];
	spot     = atof(fields[10]);
	strike   = atof(fields[13]);
	r        = atof(fields[14]);
	vol      = atof(fields[5]);
	vol2     = atof(fields[7]);
	vol3     = atof(fields[9]);
	expiry   = atof(fields[15]);
	steps    = atoi(fields[18]);
	if (!isnan(vol) || !isnan(vol2) || !isnan(vol3)) {
		double delta, gamma, theta, vega, rho;
		double delta2, gamma2, theta2, vega2, rho2;
		double delta3, gamma3, theta3, vega3, rho3;
		struct tm lt;
		char datestr[64], res[512];

		if (isnan(vol))
			delta = gamma = theta = vega = rho = NAN;
		else {
			if (!strcasecmp(type, "C"))
				bi_amer_call_greeks(spot, strike, r, r, vol, expiry, steps,
					&delta, &gamma, &theta, &vega, &rho);
			else
				bi_amer_put_greeks (spot, strike, r, r, vol, expiry, steps,
					&delta, &gamma, &theta, &vega, &rho);
		}
		if (isnan(vol2))
			delta2 = gamma2 = theta2 = vega2 = rho2 = NAN;
		else if (fabs(vol2 - vol) <= 0.000001) {
			delta2 = delta;
			gamma2 = gamma;
			theta2 = theta;
			vega2  = vega;
			rho2   = rho;
		} else {
			if (!strcasecmp(type, "C"))
				bi_amer_call_greeks(spot, strike, r, r, vol2, expiry, steps,
					&delta2, &gamma2, &theta2, &vega2, &rho2);
			else
				bi_amer_put_greeks (spot, strike, r, r, vol2, expiry, steps,
					&delta2, &gamma2, &theta2, &vega2, &rho2);
		}
		if (isnan(vol3))
			delta3 = gamma3 = theta3 = vega3 = rho3 = NAN;
		else if (fabs(vol3 - vol) <= 0.000001) {
			delta3 = delta;
			gamma3 = gamma;
			theta3 = theta;
			vega3  = vega;
			rho3   = rho;
		} else {
			if (!strcasecmp(type, "C"))
				bi_amer_call_greeks(spot, strike, r, r, vol3, expiry, steps,
					&delta3, &gamma3, &theta3, &vega3, &rho3);
			else
				bi_amer_put_greeks (spot, strike, r, r, vol3, expiry, steps,
					&delta3, &gamma3, &theta3, &vega3, &rho3);
		}
		strftime(datestr, sizeof datestr, "%F %T", localtime_r(&t, &lt));
		snprintf(res, sizeof res, "GREEKS2,%s.%03d,%s|%.2f,%f,%f,%f,%f,%f,%.2f,%f,%f,%f,%f,%f,%.2f,%f,%f,%f,%f,%f",
			datestr,
			atoi(fields[2]),
			contract,
			atof(fields[4]),
			delta,
			gamma,
			theta,
			vega,
			rho,
			atof(fields[6]),
			delta2,
			gamma2,
			theta2,
			vega2,
			rho2,
			atof(fields[8]),
			delta3,
			gamma3,
			theta3,
			vega3,
			rho3);
		out2rmp(res);
	}

end:
	dstr_free_tokens(fields, nfield);
	return 0;
}
Exemple #10
0
/* FIXME */
static void *q_thread(void *data) {
	struct crss *crss = (struct crss *)data;
	char buf[64];
	dstr rid, res = NULL;
	db_iterator_t *it;
	const char *key, *value;
	size_t klen, vlen;

	snprintf(buf, sizeof buf, "%p,", crss->c);
	rid = dstr_new(buf);
	rid = dstr_cat(rid, crss->rid);
	it = db_iterator_create(db, db_ro);
	db_iterator_seek(it, crss->start, dstr_length(crss->start));
	/* seek failed */
	if (!db_iterator_valid(it)) {
		res = dstr_new(crss->rid);
		res = dstr_cat(res, ",1\r\n\r\n");
		pthread_spin_lock(&crss->c->lock);
		if (net_try_write(crss->c->fd, res, dstr_length(res), 10, NET_NONBLOCK) == -1)
			xcb_log(XCB_LOG_WARNING, "Writing to client '%p': %s", crss->c, strerror(errno));
		pthread_spin_unlock(&crss->c->lock);
		goto end;
	}
	key = db_iterator_key(it, &klen);
	while (memcmp(key, crss->stop, dstr_length(crss->stop)) <= 0) {
		if (crss->cancel)
			break;
		if (!strcmp(crss->match, "") || strstr(key, crss->match)) {
			value = db_iterator_value(it, &vlen);
			res = dstr_new(crss->rid);
			res = dstr_cat(res, ",0,");
			res = dstr_cat_len(res, key, klen);
			res = dstr_cat(res, ",");
			res = dstr_cat_len(res, value, vlen);
			res = dstr_cat(res, "\r\n");
			pthread_spin_lock(&crss->c->lock);
			if (net_try_write(crss->c->fd, res, dstr_length(res), 10, NET_NONBLOCK) == -1) {
				xcb_log(XCB_LOG_WARNING, "Writing to client '%p': %s",
					crss->c, strerror(errno));
				pthread_spin_unlock(&crss->c->lock);
				goto end;
			}
			pthread_spin_unlock(&crss->c->lock);
			dstr_free(res);
		}
		db_iterator_next(it);
		if (!db_iterator_valid(it) || crss->cancel)
			break;
		key = db_iterator_key(it, &klen);
	}
	res = dstr_new(crss->rid);
	res = dstr_cat(res, ",1\r\n\r\n");
	pthread_spin_lock(&crss->c->lock);
	if (net_try_write(crss->c->fd, res, dstr_length(res), 10, NET_NONBLOCK) == -1)
		xcb_log(XCB_LOG_WARNING, "Writing to client '%p': %s", crss->c, strerror(errno));
	pthread_spin_unlock(&crss->c->lock);

end:
	db_iterator_destroy(&it);
	dstr_free(res);
	table_lock(rids);
	table_remove(rids, rid);
	table_unlock(rids);
	dstr_free(rid);
	client_decr(crss->c);
	dstr_free(crss->rid);
	dstr_free(crss->match);
	dstr_free(crss->start);
	dstr_free(crss->stop);
	FREE(crss);
	return NULL;
}
Exemple #11
0
/* FIXME */
void s_command(client c) {
	dstr pkey, skey;
	int i;
	dlist_t dlist;
	struct kvd *kvd;

	if (dstr_length(c->argv[0]) == 1) {
		add_reply_error(c, "index can't be empty\r\n");
		return;
	}
	pkey = dstr_new(c->argv[0] + 1);
	skey = dstr_new(pkey);
	if (c->argc > 1)
		for (i = 1; i < c->argc; ++i) {
			skey = dstr_cat(skey, ",");
			skey = dstr_cat(skey, c->argv[i]);
		}
	table_lock(cache);
	if ((dlist = table_get_value(cache, pkey))) {
		dlist_iter_t iter = dlist_iter_new(dlist, DLIST_START_HEAD);
		dlist_node_t node;

		/* FIXME: still has room to improve */
		while ((node = dlist_next(iter))) {
			kvd = (struct kvd *)dlist_node_value(node);
			if (dstr_length(kvd->key) >= dstr_length(skey) &&
				!memcmp(kvd->key, skey, dstr_length(skey))) {
				dstr *fields = NULL;
				int nfield = 0;
				dstr res, contracts = NULL;

				fields = dstr_split_len(kvd->key, dstr_length(kvd->key), ",", 1, &nfield);
				res = dstr_new(fields[0]);
				if (nfield > 1) {
					contracts = dstr_new(fields[1]);
					for (i = 2; i < nfield; ++i) {
						contracts = dstr_cat(contracts, ",");
						contracts = dstr_cat(contracts, fields[i]);
					}
				}
				dstr_free_tokens(fields, nfield);
				fields = NULL, nfield = 0;
				fields = dstr_split_len(kvd->u.value, dstr_length(kvd->u.value),
					",", 1, &nfield);
				res = dstr_cat(res, ",");
				res = dstr_cat(res, fields[0]);
				if (contracts) {
					res = dstr_cat(res, ",");
					res = dstr_cat(res, contracts);
				}
				for (i = 1; i < nfield; ++i) {
					res = dstr_cat(res, ",");
					res = dstr_cat(res, fields[i]);
				}
				res = dstr_cat(res, "\r\n");
				pthread_spin_lock(&c->lock);
				if (!(c->flags & CLIENT_CLOSE_ASAP)) {
					if (net_try_write(c->fd, res, dstr_length(res),
						10, NET_NONBLOCK) == -1) {
						xcb_log(XCB_LOG_WARNING, "Writing to client '%p': %s",
							c, strerror(errno));
						if (++c->eagcount >= 3) {
							client_free_async(c);
							pthread_spin_unlock(&c->lock);
							dstr_free(contracts);
							dstr_free(res);
							dstr_free_tokens(fields, nfield);
							table_unlock(cache);
							dstr_free(skey);
							dstr_free(pkey);
							return;
						}
					} else if (c->eagcount)
						c->eagcount = 0;
				}
				pthread_spin_unlock(&c->lock);
				dstr_free(contracts);
				dstr_free(res);
				dstr_free_tokens(fields, nfield);
			}
		}
		dlist_iter_free(&iter);
	}
	table_unlock(cache);
	table_rwlock_wrlock(subscribers);
	if ((dlist = table_get_value(subscribers, pkey)) == NULL) {
		if (NEW(kvd)) {
			kvd->key     = skey;
			kvd->u.dlist = dlist_new(NULL, NULL);
			dlist_insert_tail(kvd->u.dlist, c);
			dlist = dlist_new(cmpkvd, kdfree);
			dlist_insert_sort(dlist, kvd);
			table_insert(subscribers, pkey, dlist);
		} else {
			add_reply_error(c, "error allocating memory for kvd\r\n");
			dstr_free(skey);
			dstr_free(pkey);
		}
	} else {
		if (NEW(kvd)) {
			dlist_node_t node;

			kvd->key     = skey;
			kvd->u.dlist = dlist_new(NULL, NULL);
			if ((node = dlist_find(dlist, kvd)) == NULL) {
				dlist_insert_tail(kvd->u.dlist, c);
				dlist_insert_sort(dlist, kvd);
			} else {
				kdfree(kvd);
				kvd = (struct kvd *)dlist_node_value(node);
				if (dlist_find(kvd->u.dlist, c) == NULL)
					dlist_insert_tail(kvd->u.dlist, c);
			}
		} else {
			add_reply_error(c, "error allocating memory for kvd\r\n");
			dstr_free(skey);
		}
		dstr_free(pkey);
	}
	table_rwlock_unlock(subscribers);
}