demo-calcvalue.c

This example demonstrates how to calculate a derived field from input data. An interest is registered in a selection of symbols, and a Mid price is derived from the incoming Bid Ask values.

Note

This example has been written using the legacy API.

Sample configuration:

symbols     /DEMO/*

Source code:

/*
 *    Transformer - Sample Module
 *
 *    Copyright CAPLIN Systems Ltd 2000-2006
 *
 *    This module demonstrates how to calculate a derived field from input data. We take in
 *    symbols and based on the Bid and Ask calculate a "Mid" price which is simply the
 *    midpoint between the two. 
 *
 *    Once the value has been calculated, the update is published into DataSource, passed
 *    onto subsequent modules and cached within the Transformer core memory.
 *
 */


#include "transformer.h"



static char            **symbols      = NULL;
static int               symbols_num  = 0;
static tf_handle_t     **handles      = NULL;



static int               demo_recv_update(tf_handle_t *handle, int feed, ds_data_t *pkt, int flags,  int id, void *data);


void mod_init(char *module_name)
{
    char         buf[FILENAME_MAX+1];
    int          i;


    /* Add config option for the symbols we want to receive */
    ds_config_add_array_option("symbols","Symbols to process",DS_CONFIG_STR_ARRAY,&symbols,&symbols_num);

    /* Load a config file based on the name of the module */
    snprintf(buf,sizeof(buf),"%s.conf",module_name);
    mod_config_parse_file(buf);

    /* Check whether any symbols are required, if not then log this condition to the main Transformer
       log file
    */
    if ( symbols_num == 0 ) {
        ds_printf_time(rtas_log,"(%s) No symbols required\n",module_name);
        return;
    }

    handles = calloc(symbols_num, sizeof(handles[0]));

    /* Now register an interest in the symbols */
    for ( i = 0; i < symbols_num; i++ ) {
        handles[i] = tf_add_listener(symbols[i], 0, demo_recv_update, NULL, NULL, 0, NULL, NULL);
    }

    return;
}



void mod_exit()
{
    int         i;

    /* We have to loop over all known symbols */
    for ( i = 0; i < symbols_num; i++ ) {
        tf_handle_delete(handles[i]);
        free(symbols[i]);
    }
    if ( symbols ) {
        free(symbols);
    }
 
    return;
}


static int demo_recv_update(tf_handle_t *handle, int feed, ds_data_t *pkt, int flags,  int id, void *data)
{
    ds_data_t   *dsdata;
    char        *bid_str, *ask_str;
    double       bid,ask;

 
    /* Pick out the Bid and Ask field updates within this received update */
    if ( ( bid_str = packet_get_field_byname(pkt,"dBestBid") ) != NULL ) {
        if  ( ( ask_str = packet_get_field_byname(pkt,"dBestAsk") ) != NULL ) {
            bid = atof(bid_str);
            ask  = atof(ask_str);


            /* Create a new ds_data_t object for our calculated Mid value */
            dsdata = ds_init_data(pkt->subject,DS_RECORD_TYPE,F_CREATEPARENT|F_CREATEOBJECT);
            /* Add the field into our new ds_data_t object */
            ds_add_record_float(dsdata,"Mid", ( ask - bid ) / 2. + bid );

            /* We should now add the calculated Mid value into the incoming packet. This
             * permits modules which run after this one to access the value and also to
             * be published onto DataSource and onto any connected Liberator (see above)
             * Using packet_merge() rather than say, ds_add_data_float() ensures that
             * we only have one copy of a field in an update. We could alternately have
             * used packet_update_field_byname().
             */
            packet_merge(pkt,dsdata,NULL);

            /* Cache the newly generated Mid value in the Transformer core memory */
            packet_contrib(dsdata,NULL,PACKET_NOLISTEN|PACKET_STORE|PACKET_FREE);           
        } 
    } 
    return 1;
}