dstr *dstr_split_len(const char *str, size_t length, const char *sep, size_t seplength, int *count) {
int slots = 5, i, nelems = 0, start = 0;
dstr *tokens;
/* FIXME */
if (str == NULL || sep == NULL)
return NULL;
if (length < 0 || seplength < 1)
return NULL;
if ((tokens = ALLOC(slots * sizeof *tokens)) == NULL)
return NULL;
if (length == 0) {
*count = 0;
return tokens;
}
for (i = 0; i < length - seplength + 1; ++i) {
/* make sure there is room for the next and final ones */
if (slots < nelems + 2) {
slots *= 2;
if (RESIZE(tokens, slots * sizeof *tokens) == NULL)
goto err;
}
if ((seplength == 1 && str[i] == sep[0]) || !memcmp(str + i, sep, seplength)) {
if ((tokens[nelems] = dstr_new_len(str + start, i - start)) == NULL)
goto err;
++nelems;
start = i + seplength;
i += seplength - 1;
}
}
/* add the final one */
if ((tokens[nelems] = dstr_new_len(str + start, length - start)) == NULL)
goto err;
++nelems;
*count = nelems;
return tokens;
err:
for (i = 0; i < nelems; ++i)
dstr_free(tokens[i]);
FREE(tokens);
*count = 0;
return NULL;
}
dstr dstr_new(const char *str) {
size_t length = str ? strlen(str) : 0;
return dstr_new_len(str, length);
}
dstr *dstr_split_args(const char *line, int *argc) {
const char *p = line;
dstr current = NULL;
dstr *argv = NULL;
*argc = 0;
for (;;) {
while (*p && isspace(*p))
++p;
if (*p) {
int inq = 0; /* 1 if in quotes */
int insq = 0; /* 1 if in single quotes */
int done = 0;
if (current == NULL)
current = dstr_new_len("", 0);
while (!done) {
/* FIXME */
if (inq) {
if (*p == '\\' && *(p + 1) == 'x' &&
is_hex_digit(*(p + 2)) && is_hex_digit(*(p + 3))) {
unsigned char byte = 16 * hex_digit_to_int(*(p + 2)) +
hex_digit_to_int(*(p + 3));
p += 3;
current = dstr_cat_len(current, (char *)&byte, 1);
} else if (*p == '\\' && *(p + 1)) {
char c;
++p;
switch (*p) {
case 'a':
c = '\a';
break;
case 'b':
c = '\b';
break;
case 'n':
c = '\n';
break;
case 'r':
c = '\r';
break;
case 't':
c = '\t';
break;
default:
c = *p;
break;
}
current = dstr_cat_len(current, &c, 1);
} else if (*p == '"') {
/* closing quote must be followed by a space or not at all */
if (*(p + 1) && !isspace(*(p + 1)))
goto err;
done = 1;
/* unterminated quotes */
} else if (*p == '\0')
goto err;
else
current = dstr_cat_len(current, p, 1);
} else if (insq) {
if (*p == '\\' && *(p + 1) == '\'') {
++p;
current = dstr_cat_len(current, "'", 1);
} else if (*p == '\'') {
/* closing quote must be followed by a space or not at all */
if (*(p + 1) && !isspace(*(p + 1)))
goto err;
done = 1;
/* unterminated quotes */
} else if (*p == '\0')
goto err;
else
current = dstr_cat_len(current, p, 1);
} else
switch (*p) {
case ' ':
case '\0':
case '\n':
case '\r':
case '\t':
done = 1;
break;
case '"':
inq = 1;
break;
case '\'':
insq = 1;
break;
default:
current = dstr_cat_len(current, p, 1);
break;
}
if (*p)
++p;
}
if (RESIZE(argv, (*argc + 1) * sizeof (char *)) == NULL)
goto err;
argv[*argc] = current;
++*argc;
current = NULL;
} else
return argv;
}
err:
{
int i;
for (i = 0; i < *argc; ++i)
dstr_free(argv[i]);
FREE(argv);
if (current)
dstr_free(current);
return NULL;
}
}
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;
}
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);
}
}
}
