def process_internal(self, current_time, elapsed):
# If already emitted output => get next order!
self.debug("next_wakeup = %f, curr = %f, elapsed = %f" %
(self.next_wakeup_time, current_time, elapsed))
if not eq_rounded(current_time + elapsed, self.next_wakeup_time):
self.debug(
"self.next_wakeup_time != self.get_current_time() + elapsed")
assert (current_time + elapsed < self.next_wakeup_time)
return self.next_wakeup_time - current_time - elapsed
else:
assert (current_time + elapsed == self.next_wakeup_time)
if self.n_order_to_send <= self.n_orders:
assert (self.prepared_to_send_next_order)
self.debug("Prepared to send next order == True")
self.next_order = self.prepare_order()
self.prepared_to_send_next_order = False
waiting_time = self.next_order.creation_time - current_time - elapsed
self.next_wakeup_time = self.next_order.creation_time
self.debug('waiting time=%f, next_wakeup_time=%f' %
(waiting_time, self.next_wakeup_time))
return waiting_time
else:
self.debug('wait = inf')
self.next_wakeup_time = float('inf')
return float('inf')
def output_function(self, current_time, elapsed):
output = {}
for contract in self.contracts:
pending_orders = self.next_orders_delivery[contract]
if len(pending_orders) > 0:
next_pending_order = heapq.heappop(pending_orders)
assert (current_time + elapsed <=
next_pending_order.wakeup_time)
self.debug(
'Check pending order: %f %f %f' %
(current_time, elapsed, next_pending_order.wakeup_time))
if eq_rounded(current_time + elapsed,
next_pending_order.wakeup_time):
next_order = next_pending_order.order
self.debug("Order ready: %s" % str(next_order))
self.orders_sent.append(next_order.m_orderId)
output['out_order'] = MessageForOrderbook(
self.identifier, current_time + elapsed, next_order)
break
else:
self.debug("Pending Order not ready: %f %f %f" %
(current_time, elapsed,
next_pending_order.wakeup_time))
heapq.heappush(self.next_orders_delivery[contract],
next_pending_order)
# Emit output
return output
def output_function(self, current_time, elapsed):
output = {}
for out_port in ['out_journal']:
# Look for a notification for each LOB table
messages = self.next_notification_delivery[self.contract]
if len(messages) > 0:
next_message = heapq.heappop(messages)
assert (current_time + elapsed <= next_message.wakeup_time)
self.debug('Check notification: %f %f %f' %
(current_time, elapsed, next_message.wakeup_time))
self.debug(str(next_message))
if eq_rounded(current_time + elapsed,
next_message.wakeup_time):
self.debug("Notification ready")
bat_notification = next_message.notification
ob_information = OBInformation(
contract=self.contract,
best_ask=self.bid_ask_table.queue_observer.best_ask(),
best_bid=self.bid_ask_table.queue_observer.best_bid())
ob_notification = OBNotificationCreator.create_from_batable_notification(
bat_notification, ob_information)
output[out_port] = MessageForJournal(
current_time + elapsed, ob_notification)
else:
self.debug(
"Notification not ready: %f %f %f" %
(current_time, elapsed, next_message.wakeup_time))
heapq.heappush(
self.next_notification_delivery[self.contract],
next_message)
self.debug("Emit output = %s" % str(output))
return output
def output_function(self, current_time, elapsed):
output = {}
for output_port in self.output_ports_map.keys():
self.debug("Seach port %s" % output_port)
self.debug("%s" % str(self.next_messages_delivery))
messages = self.next_messages_delivery[output_port]
if len(messages) > 0:
next_message = heapq.heappop(messages)
assert_leq_rounded(current_time + elapsed, next_message.wakeup_time)
self.debug("Check current_time + elapsed == next_message.wakup_time")
if eq_rounded(current_time + elapsed, next_message.wakeup_time):
# self.debug("current_time + elapsed == next_message.wakeup_time")
external_message = next_message.message
external_message.set_time_sent(current_time + elapsed)
# Output through right port
output[self.output_ports_map[output_port]] = external_message
else:
self.debug("%f %f %f" % (current_time, elapsed, next_message.wakeup_time))
self.debug("Emit output = %s" % str(output))
return output
def output_function(self, current_time, elapsed):
output = {}
for output_port in ['out_next', 'out_notify_order']:
self.debug("Seach port %s" % output_port)
self.debug("%s" % str(self.next_messages_delivery))
messages = self.next_messages_delivery[output_port]
if len(messages) > 0:
next_message = heapq.heappop(messages)
assert (current_time + elapsed <= next_message.wakeup_time)
if eq_rounded(current_time + elapsed,
next_message.wakeup_time):
self.debug(
"current_time + elapsed == next_message.wakeup_time")
external_message = next_message.message
external_message.set_time_sent(current_time + elapsed)
output[output_port] = external_message
else:
self.debug(
"%f %f %f" %
(current_time, elapsed, next_message.wakeup_time))
self.debug("Emit output = %s" % str(output))
return output