algo_order.h File Reference

#include <common/xroad_string.h>
#include <cache/xroad_objects.h>
#include <mdata/engine/mdata_engine.h>
#include <algo/curr_engine/curr_engine.h>

Include dependency graph for algo_order.h:

Go to the source code of this file.

Classes
struct	algo_order_callback_t

Typedefs
typedef struct algo_order_s	algo_order_t

Enumerations
enum	algo_order_state_t {   algo_order_state_initial = 0 , algo_order_state_active = 1 , algo_order_state_middle = 2 , algo_order_state_liquidate = 3 ,   algo_order_state_completed = 4 , algo_order_state_awaiting_cancel = 5 , algo_order_state_canceled = 6 , algo_order_state_awaiting_replace = 7 }

Functions
algo_order_t *	algo_order_create (mdata_engine_t *mdata, algo_order_callback_t callback, xroad_order_t *parent, curr_engine_t *ce, void *ctx, int64_t level_interval)
void	algo_order_destroy (algo_order_t *o)
void	algo_order_stop (algo_order_t *o)
xroad_errno_t	algo_order_cancel (algo_order_t *o)
xroad_errno_t	algo_order_send (algo_order_t *o, xroad_qty_t qty, xroad_qty_t display_qty, int64_t mid_shift, int64_t liq_shift, int64_t agression_level, int32_t pool_size)
xroad_errno_t	algo_order_send_ex (algo_order_t *o, xroad_qty_t qty, xroad_qty_t display_qty, int64_t mid_shift, int64_t liq_shift, int64_t agression_level, int32_t sensitivity, int32_t deviation, xroad_qty_t threshold_qty, int32_t pool_size)
void	algo_order_on_node_object (algo_order_t *order, void *obj)
void *	algo_order_get_ctx (algo_order_t *order)
xroad_qty_t	algo_order_get_qty (algo_order_t *)
algo_order_state_t	algo_order_get_state (algo_order_t *)
void	algo_order_set_state (algo_order_t *o, algo_order_state_t s)
xroad_str_t	algo_order_stat (algo_order_t *o)
xroad_order_t *	algo_order_get_parent (algo_order_t *order)
int32_t	algo_order_exceed_limit (algo_order_t *, xroad_price_t)
xroad_errno_t	algo_order_get_limit (algo_order_t *ao, xroad_price_t *p)
xroad_price_t	algo_order_get_rate (algo_order_t *ao)

Detailed Description

Author

Danil Krivopustov

Enumeration Type Documentation

algo_order_state_t

enum algo_order_state_t

order state

Enumerator
algo_order_state_initial	order is in initial state
algo_order_state_active	order is in active state
algo_order_state_middle	order is in midle state
algo_order_state_liquidate	order is in liquidation state
algo_order_state_completed	order is in completed state
algo_order_state_awaiting_cancel	order is in awaiting cancel state
algo_order_state_canceled	order is in canceled state
algo_order_state_awaiting_replace	order is in awaiting replace state

Function Documentation

algo_order_cancel()

xroad_errno_t algo_order_cancel

(

algo_order_t *

o

)

cancel order. order will be cancelled

Parameters

[in]

o

- order to cancel

Returns

XROAD_OK - cancel operation applied, else failed

algo_order_create()

algo_order_t* algo_order_create	(	mdata_engine_t *	mdata,
		algo_order_callback_t	callback,
		xroad_order_t *	parent,
		curr_engine_t *	ce,
		void *	ctx,
		int64_t	level_interval
	)

create new order

Parameters

[in]	mdata	- order name. Must be unique
[in]	callback	- order callback
[in]	parent	- parent xroad order
[in]	ctx	- order context
[in]	deep_of_book	- book depth (in levels)
[in]	level_interval	- interval between levels (in price levels)

Returns

pointer to order, in case of error - NULL (see errno)

algo_order_destroy()

void algo_order_destroy

(

algo_order_t *

o

)

destroy order

Parameters

[in]	o	- order to destory
[in]	force	- force order destruction (don't wait for exchange ack, if any)

Returns

XROAD_OK - destroy operation applied, else failed

algo_order_exceed_limit()

int32_t algo_order_exceed_limit	(	algo_order_t *	,
		xroad_price_t
	)

check order limit TODO consider move it to callback

Parameters

[in]

o

- algo order

algo_order_get_ctx()

void* algo_order_get_ctx

(

algo_order_t *

order

)

gets context for algo order

Parameters

[in]

o

- algo order

algo_order_get_parent()

xroad_order_t* algo_order_get_parent

(

algo_order_t *

order

)

gets order parent

Parameters

[in]

o

- algo order

algo_order_get_qty()

xroad_qty_t algo_order_get_qty

(

algo_order_t *

)

gets order qty

Parameters

[in]

o

- algo order

algo_order_get_state()

algo_order_state_t algo_order_get_state

(

algo_order_t *

)

gets order state

Parameters

[in]

o

- algo order

algo_order_on_node_object()

void algo_order_on_node_object	(	algo_order_t *	order,
		void *	obj
	)

process node events

Parameters

[in]	obj	- object to process
[in]	from	- object source

algo_order_send()

xroad_errno_t algo_order_send	(	algo_order_t *	o,
		xroad_qty_t	qty,
		xroad_qty_t	display_qty,
		int64_t	mid_shift,
		int64_t	liq_shift,
		int64_t	agression_level,
		int32_t	pool_size
	)

send order

Parameters

[in]	o	- order to replace
[in]	qty	- order new qty
[in]	price	- order new price
[in]	mask	- replace mask (see algo_order_replace_mask_t)

Returns

XROAD_OK - replace operation applied, else failed

algo_order_send_ex()

xroad_errno_t algo_order_send_ex	(	algo_order_t *	o,
		xroad_qty_t	qty,
		xroad_qty_t	display_qty,
		int64_t	mid_shift,
		int64_t	liq_shift,
		int64_t	agression_level,
		int32_t	sensitivity,
		int32_t	deviation,
		xroad_qty_t	threshold_qty,
		int32_t	pool_size
	)

send order

Parameters

[in]	o	- order to replace
[in]	qty	- order new qty
[in]	price	- order new price
[in]	sensitivity	- number of trades with aggression side == order side after which it would execute over spread
[in]	deviation	- max percent of random deviation from display_qty

Returns

XROAD_OK - replace operation applied, else failed

algo_order_set_state()

void algo_order_set_state	(	algo_order_t *	o,
		algo_order_state_t	s
	)

sets order state

Parameters

[in]	o	- algo order
[in]	s	- algo order state

algo_order_stat()

xroad_str_t algo_order_stat

(

algo_order_t *

o

)

gets order statistice

Parameters

[in]

o

- algo order