void Reporter::printCurrentOrderBook(std::ostream& os) const
{
StrStream strstream;
auto cap = strstream.capacity() - 128;
const auto nbBids = bids_.size();
const auto nbAsks = asks_.size();
os << "Full Bids/Asks:\n";
auto i = 0U;
while (1)
{
StrStream strstream_tmp;
if (i < nbBids)
{
Limit bid = bids_[i];
strstream_tmp << i;
strstream_tmp.append(6, ' ');
strstream_tmp << ": " << getQty(bid) << " @ " << getPrice(bid);
strstream_tmp.append(40, ' ');
if (i < nbAsks)
{
Limit ask = asks_[i];
strstream_tmp << getQty(ask) << " @ " << getPrice(ask) << '\n';
}
else
{
strstream_tmp << "empty\n";
}
}
else
{
strstream_tmp << i;
strstream_tmp.append(6, ' ');
strstream_tmp << ": empty";
strstream_tmp.append(40, ' ');
if (i < nbAsks)
{
Limit ask = asks_[i];
strstream_tmp << getQty(ask) << " @ " << getPrice(ask) << '\n';
}
else
{
strstream << strstream_tmp;
strstream << "empty\n";
break;
}
}
if (strstream.length() + strstream_tmp.length() > cap)
{
os.rdbuf()->sputn(strstream.c_str(), strstream.length());
strstream.clear();
}
strstream << strstream_tmp;
++i;
}
os.rdbuf()->sputn(strstream.c_str(), strstream.length());
os.flush();
}
void Reporter::printMidQuotesAndTrades(std::ostream& os, Errors& errors)
{
StrStream strstream;
if (unlikely(bids_.begin() == bids_.end() || asks_.begin() == asks_.end()))
{
strstream << "NAN" << '\n';
}
else if (receivedNewTrade_)
{
strstream << getQty(currentTrade_) << '@' << getPrice(currentTrade_) << '\n';
receivedNewTrade_ = false;
detectCross_ = false;
}
else if (unlikely(getPrice(*bids_.begin()) >= getPrice(*asks_.begin())))
{
if (likely(!detectCross_)) detectCross_ = true;
else
{
strstream << "Cross BID (" << getPrice(*bids_.begin()) << ")/ASK(" << getPrice(*asks_.begin()) << ')' << '\n';
++errors.bestBidEqualOrUpperThanBestAsk;
}
}
else
{
Price midQuote = (getPrice(*bids_.begin())+getPrice(*asks_.begin()))/2;
strstream << midQuote << '\n';
}
os.rdbuf()->sputn(strstream.c_str(), strstream.length());
os.flush();
}
void Reporter::printErrors(std::ostream& os, Errors& errors, const int verbose)
{
StrStream strstream;
strstream << "Summary:";
// Parsing (not really errors)
if (unlikely(errors.commentedLines))
{
strstream << "\n [" << errors.commentedLines << "] commented lines";
}
if (unlikely(errors.blankLines))
{
strstream << "\n [" << errors.blankLines << "] blank lines";
}
auto nbErrors = errors.nbErrors();
if (unlikely(nbErrors > 0))
{
strstream << "\nFound " << nbErrors << " error:";
// Parsing
if (unlikely(errors.corruptedMessages))
{
strstream << "\n [" << errors.corruptedMessages << "] corrupted messages";
}
if (unlikely(errors.IncompleteMessages))
{
strstream << "\n [" << errors.IncompleteMessages << "] incomplete messages";
}
if (unlikely(errors.wrongActions))
{
strstream << "\n [" << errors.wrongActions << "] wrong actions";
}
if (unlikely(errors.wrongSides))
{
strstream << "\n [" << errors.wrongSides << "] wrong sides";
}
if (unlikely(errors.negativeOrderIds))
{
strstream << "\n [" << errors.negativeOrderIds << "] negative orderIds";
}
if (unlikely(errors.negativeQuantities))
{
strstream << "\n [" << errors.negativeQuantities << "] negative quantities";
}
if (unlikely(errors.negativePrices))
{
strstream << "\n [" << errors.negativePrices << "] negative prices";
}
if (unlikely(errors.missingActions))
{
strstream << "\n [" << errors.missingActions << "] missing actions";
}
if (unlikely(errors.missingOrderIds))
{
strstream << "\n [" << errors.missingOrderIds << "] missing orderIds";
}
if (unlikely(errors.missingSides))
{
strstream << "\n [" << errors.missingSides << "] missing sides";
}
if (unlikely(errors.missingQuantities))
{
strstream << "\n [" << errors.missingQuantities << "] missing quantities";
}
if (unlikely(errors.missingPrices))
{
strstream << "\n [" << errors.missingPrices << "] missing prices";
}
if (unlikely(errors.zeroOrderIds))
{
strstream << "\n [" << errors.zeroOrderIds << "] zero orderIds";
}
if (unlikely(errors.zeroQuantities))
{
strstream << "\n [" << errors.zeroQuantities << "] zero quantities";
}
if (unlikely(errors.zeroPrices))
{
strstream << "\n [" << errors.zeroPrices << "] zero prices";
}
if (unlikely(errors.outOfBoundsOrderIds))
{
strstream << "\n [" << errors.outOfBoundsOrderIds << "] out of bounds orderIds";
}
if (unlikely(errors.outOfBoundsQuantities))
{
strstream << "\n [" << errors.outOfBoundsQuantities << "] out of bounds quantities";
}
if (unlikely(errors.outOfBoundsPrices))
{
strstream << "\n [" << errors.outOfBoundsPrices << "] out of bounds prices";
}
// Order Management
if (unlikely(errors.duplicateOrderIds))
{
strstream << "\n [" << errors.duplicateOrderIds << "] duplicate OrderIds";
}
if (unlikely(errors.modifiesWithUnknownOrderId))
{
strstream << "\n [" << errors.modifiesWithUnknownOrderId << "] modifies with unknown OrderIds";
}
if (unlikely(errors.modifiesNotMatchedPrice))
{
strstream << "\n [" << errors.modifiesNotMatchedPrice << "] modifies with not matched order price";
}
if (unlikely(errors.cancelsWithUnknownOrderId))
{
strstream << "\n [" << errors.cancelsWithUnknownOrderId << "] cancels with unknown OrderIds";
}
if (unlikely(errors.cancelsNotMatchedQtyOrPrice))
{
strstream << "\n [" << errors.cancelsNotMatchedQtyOrPrice << "] cancels with not matched order price";
}
if (unlikely(errors.bestBidEqualOrUpperThanBestAsk))
{
strstream << "\n [" << errors.bestBidEqualOrUpperThanBestAsk << "] best bid equal or upper than best ask";
}
}
else
{
strstream << "\nNo error found";
}
auto nbCriticalErrors = errors.nbCriticalErrors();
if (unlikely(nbCriticalErrors > 0))
{
strstream << "\nFound [" << nbCriticalErrors << "] critical error:";
if (unlikely(errors.modifiesLimitQtyTooLow))
{
strstream << "\n [" << errors.modifiesLimitQtyTooLow << "] modifies with limit quantity too low";
}
if (unlikely(errors.modifiesLimitNotFound))
{
strstream << "\n [" << errors.modifiesLimitNotFound << "] modifies limit not found";
}
if (unlikely(errors.cancelsLimitQtyTooLow))
{
strstream << "\n [" << errors.cancelsLimitQtyTooLow << "] cancels with limit quantity too low";
}
if (unlikely(errors.cancelsLimitNotFound))
{
strstream << "\n [" << errors.cancelsLimitNotFound << "] cancels limit not found";
}
}
else
{
strstream << "\nNo critical error found";
}
strstream << '\n';
if (unlikely(verbose))
strstream << "Summary length: " << strstream.length() << '\n';
os.rdbuf()->sputn(strstream.c_str(), strstream.length());
os.flush();
}