demo-spread.c

This example generates a Bid/Ask spread based on the incoming Last price for a symbol.

Note

This example has been written using the legacy API.

Sample Configuraiton:

symbols    /DEMO/*
spread     TEST 2.0

Source code:

/*
 *    Transformer - Sample Module
 *
 *    Copyright CAPLIN Systems Ltd 2000-2006
 *
 *    This module generates a number of symbols with Bid/Ask values
 *    spread as configured.
 *
 *    Example configuration:
 *
 *    symbols  /DEMO/MSFT
 *    spread   TEST  2
 *
 *    If an update is received for /DEMO/MSFT with Last = 2
 *    then a record called /DEMO/MSFT-TEST will be published with Ask = 4, Bid = 1
 *
 */


#include "transformer.h"



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

static char      **spread       = NULL;
static int         spread_num   = 0;



static void        demo_recv_update(int feed, ds_data_t *pkt, time_t arr_tim, 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);

    /* Add configuration option to obtain spread suffix and scaling factor. We use an array of
       strings to simplify the code. Normally, one would use config groups.
       n = spread suffix 1
       n+1 = spread factor 1 (for bid, inverted for ask)
       n+2 = spread suffix 2
       n+3 = spread factor 2
       ....       
    */
    ds_config_add_array_option("spread","Configuration of the spread",DS_CONFIG_STR_ARRAY,&spread,&spread_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;
    }

    /* Check to see if any spread symbols are defined or if there's an odd number defined */
    if ( spread_num == 0 || spread_num % 2 ) {
        ds_printf_time(rtas_log,"(%s) Invalid spread configuration\n",module_name);
        return;
    }

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

    return;
}


static void demo_recv_update(int feed, ds_data_t *pkt, time_t arr_tim, int id, void *data)
{
    char         subject_buf[1024];
    ds_data_t   *dsdata;
    char        *last_str;
    double       last;
    int          i;

    /* Loop over the number of defined spreads */
    for ( i = 0; i < spread_num ; i += 2 ) {
        /* Generate the spread symbol name */
        snprintf(subject_buf,sizeof(subject_buf),"%s-%s",pkt->subject,spread[i]);

        /* Create a new update packet for the spread record */
        dsdata = ds_init_data(subject_buf,DS_RECORD_TYPE,F_CREATEPARENT|F_CREATEOBJECT);

        /* Obtain the Last within the update */
        last_str = packet_get_field_byname(pkt,"dLast");

        /* If there was a Last field present then do something */
        if ( last_str != NULL ) {
            last = atof(last_str);
 
            if ( last != 0.0 ) {            /* Basic sanity checking */                
                /* Now calculate the spread lasts */
                ds_add_record_float(dsdata,"dBid",last / atof(spread[i+1]));
                ds_add_record_float(dsdata,"dAsk",last * atof(spread[i+1]));

                /* And publish the generated spread to DataSource and cache in the Transformer */
                packet_contrib(dsdata,NULL,PACKET_NOLISTEN|PACKET_PUBLISH|PACKET_STORE|PACKET_FREE);
            }
        }
    }     
    return;
}