ADD: Add fixed price helper class

Author: threecgreen

CHANGELOG.md

@@ -5,6 +5,7 @@
 - Added `SystemMsg` and `ErrorMsg` records for use in live data
 - Added `strike_price`, `strike_price_currency`, and `instrument_class` to `InstrumentDefMsg`
 - Renamed `BatchJob.cost` to `cost_usd` and value now expressed as US dollars
+- Added `FixedPx` helper class for formatting fixed prices
 - Added `instrument_class`, `strike_price`, and `strike_price_currency` to definition schema
 - Added additional `condition` variants for `DatasetConditionDetail` (degraded, pending, missing)
 - Added additional member `last_modified_date` to `DatasetConditionDetail` Added `has_mixed_schema`, `has_mixed_stype_in`, and `ts_out` to `Metadata` to support live data

cmake/SourcesAndHeaders.cmake

@@ -7,6 +7,7 @@ set(headers
   include/databento/dbn_file_store.hpp
   include/databento/enums.hpp
   include/databento/exceptions.hpp
+  include/databento/fixed_price.hpp
   include/databento/flag_set.hpp
   include/databento/historical.hpp
   include/databento/ireadable.hpp
@@ -36,6 +37,7 @@ set(sources
   src/enums.cpp
   src/exceptions.cpp
   src/dbn_file_store.cpp
+  src/fixed_price.cpp
   src/historical.cpp
   src/live.cpp
   src/live_blocking.cpp

include/databento/constants.hpp

@@ -7,6 +7,8 @@ namespace databento {
 static constexpr auto kApiVersion = 0;
 static constexpr auto kApiVersionStr = "0";
 static constexpr auto kApiKeyLength = 32;
+// The decimal scaler of fixed prices.
+static constexpr std::int64_t kFixedPriceScale = 1000000000;
 // The sentinel value for a null or undefined price.
 static constexpr auto kUndefPrice = std::numeric_limits<std::int64_t>::max();
 // The sentinel value for a null or undefined order size.

include/databento/fixed_price.hpp

@@ -0,0 +1,25 @@
+#pragma once
+
+#include <cstdint>
+#include <sstream>
+#include <string>
+
+#include "databento/constants.hpp"
+
+namespace databento {
+// A fixed-precision price.
+struct FixPx {
+  bool IsUndefined() const { return val == databento::kUndefPrice; }
+
+  std::int64_t val;
+};
+
+std::ostream& operator<<(std::ostream& stream, FixPx fix_px);
+
+// Convert a fixed-precision price to a formatted string.
+inline std::string PxToString(std::int64_t px) {
+  std::ostringstream ss;
+  ss << FixPx{px};
+  return ss.str();
+}
+}  // namespace databento

src/fixed_price.cpp

@@ -0,0 +1,22 @@
+#include "databento/fixed_price.hpp"
+
+#include <iomanip>
+
+namespace databento {
+std::ostream& operator<<(std::ostream& stream, FixPx fix_px) {
+  if (fix_px.IsUndefined()) {
+    stream << "kUndefPrice";
+    return stream;
+  }
+  const bool price_neg = (fix_px.val < 0);
+  const int64_t fixed_price_abs = price_neg ? -fix_px.val : fix_px.val;
+  const int64_t price_integer = fixed_price_abs / kFixedPriceScale;
+  const int64_t price_fraction = fixed_price_abs % kFixedPriceScale;
+  if (price_neg) {
+    stream << '-';
+  }
+  stream << price_integer << '.' << std::setw(9) << std::setfill('0')
+         << price_fraction;
+  return stream;
+}
+}  // namespace databento

src/record.cpp

@@ -4,6 +4,7 @@
 
 #include "databento/enums.hpp"
 #include "databento/exceptions.hpp"  // InvalidArgumentError
+#include "databento/fixed_price.hpp"
 #include "stream_op_helper.hpp"
 
 using databento::Record;
@@ -194,7 +195,7 @@ std::ostream& operator<<(std::ostream& stream, const Mbp1Msg& mbp_msg) {
       .SetSpacer("\n    ")
       .Build()
       .AddField("hd", mbp_msg.hd)
-      .AddField("price", mbp_msg.price)
+      .AddField("price", FixPx{mbp_msg.price})
       .AddField("size", mbp_msg.size)
       .AddField("action", mbp_msg.action)
       .AddField("side", mbp_msg.side)
@@ -219,7 +220,7 @@ std::ostream& operator<<(std::ostream& stream, const Mbp10Msg& mbp_msg) {
       .SetSpacer("\n    ")
       .Build()
       .AddField("hd", mbp_msg.hd)
-      .AddField("price", mbp_msg.price)
+      .AddField("price", FixPx{mbp_msg.price})
       .AddField("size", mbp_msg.size)
       .AddField("action", mbp_msg.action)
       .AddField("side", mbp_msg.side)
@@ -255,7 +256,7 @@ std::ostream& operator<<(std::ostream& stream, const MboMsg& mbo_msg) {
       .Build()
       .AddField("hd", mbo_msg.hd)
       .AddField("order_id", mbo_msg.order_id)
-      .AddField("price", mbo_msg.price)
+      .AddField("price", FixPx{mbo_msg.price})
       .AddField("size", mbo_msg.size)
       .AddField("flags", mbo_msg.flags)
       .AddField("channel_id", mbo_msg.channel_id)
@@ -272,8 +273,8 @@ std::ostream& operator<<(std::ostream& stream, const BidAskPair& ba_pair) {
       .SetSpacer(" ")
       .SetTypeName("BidAskPair")
       .Build()
-      .AddField("bid_px", ba_pair.bid_px)
-      .AddField("ask_px", ba_pair.ask_px)
+      .AddField("bid_px", FixPx{ba_pair.bid_px})
+      .AddField("ask_px", FixPx{ba_pair.ask_px})
       .AddField("bid_sz", ba_pair.bid_sz)
       .AddField("ask_sz", ba_pair.ask_sz)
       .AddField("bid_ct", ba_pair.bid_ct)
@@ -289,7 +290,7 @@ std::ostream& operator<<(std::ostream& stream, const TradeMsg& trade_msg) {
       .SetTypeName("TradeMsg")
       .Build()
       .AddField("hd", trade_msg.hd)
-      .AddField("price", trade_msg.price)
+      .AddField("price", FixPx{trade_msg.price})
       .AddField("size", trade_msg.size)
       .AddField("action", trade_msg.action)
       .AddField("side", trade_msg.side)
@@ -309,10 +310,10 @@ std::ostream& operator<<(std::ostream& stream, const OhlcvMsg& ohlcv_msg) {
       .SetTypeName("OhlcvMsg")
       .Build()
       .AddField("hd", ohlcv_msg.hd)
-      .AddField("open", ohlcv_msg.open)
-      .AddField("high", ohlcv_msg.high)
-      .AddField("low", ohlcv_msg.low)
-      .AddField("close", ohlcv_msg.close)
+      .AddField("open", FixPx{ohlcv_msg.open})
+      .AddField("high", FixPx{ohlcv_msg.high})
+      .AddField("low", FixPx{ohlcv_msg.low})
+      .AddField("close", FixPx{ohlcv_msg.close})
       .AddField("volume", ohlcv_msg.volume)
       .Finish();
 }
@@ -327,18 +328,18 @@ std::ostream& operator<<(std::ostream& stream,
       .Build()
       .AddField("hd", instr_def_msg.hd)
       .AddField("ts_recv", instr_def_msg.ts_recv)
-      .AddField("min_price_increment", instr_def_msg.min_price_increment)
+      .AddField("min_price_increment", FixPx{instr_def_msg.min_price_increment})
       .AddField("display_factor", instr_def_msg.display_factor)
       .AddField("expiration", instr_def_msg.expiration)
       .AddField("activation", instr_def_msg.activation)
-      .AddField("high_limit_price", instr_def_msg.high_limit_price)
-      .AddField("low_limit_price", instr_def_msg.low_limit_price)
-      .AddField("max_price_variation", instr_def_msg.max_price_variation)
+      .AddField("high_limit_price", FixPx{instr_def_msg.high_limit_price})
+      .AddField("low_limit_price", FixPx{instr_def_msg.low_limit_price})
+      .AddField("max_price_variation", FixPx{instr_def_msg.max_price_variation})
       .AddField("trading_reference_price",
-                instr_def_msg.trading_reference_price)
+                FixPx{instr_def_msg.trading_reference_price})
       .AddField("unit_of_measure_qty", instr_def_msg.unit_of_measure_qty)
       .AddField("min_price_increment_amount",
-                instr_def_msg.min_price_increment_amount)
+                FixPx{instr_def_msg.min_price_increment_amount})
       .AddField("price_ratio", instr_def_msg.price_ratio)
       .AddField("inst_attrib_value", instr_def_msg.inst_attrib_value)
       .AddField("underlying_id", instr_def_msg.underlying_id)
@@ -373,7 +374,7 @@ std::ostream& operator<<(std::ostream& stream,
       .AddField("underlying", instr_def_msg.underlying)
       .AddField("strike_price_currency", instr_def_msg.strike_price_currency)
       .AddField("instrument_class", instr_def_msg.instrument_class)
-      .AddField("strike_price", instr_def_msg.strike_price)
+      .AddField("strike_price", FixPx{instr_def_msg.strike_price})
       .AddField("match_algorithm", instr_def_msg.match_algorithm)
       .AddField("md_security_trading_status",
                 instr_def_msg.md_security_trading_status)
@@ -406,15 +407,15 @@ std::ostream& operator<<(std::ostream& stream,
       .Build()
       .AddField("hd", imbalance_msg.hd)
       .AddField("ts_recv", imbalance_msg.ts_recv)
-      .AddField("ref_price", imbalance_msg.ref_price)
+      .AddField("ref_price", FixPx{imbalance_msg.ref_price})
       .AddField("auction_time", imbalance_msg.auction_time)
-      .AddField("cont_book_clr_price", imbalance_msg.cont_book_clr_price)
+      .AddField("cont_book_clr_price", FixPx{imbalance_msg.cont_book_clr_price})
       .AddField("auct_interest_clr_price",
-                imbalance_msg.auct_interest_clr_price)
-      .AddField("ssr_filling_price", imbalance_msg.ssr_filling_price)
-      .AddField("ind_match_price", imbalance_msg.ind_match_price)
-      .AddField("upper_collar", imbalance_msg.upper_collar)
-      .AddField("lower_collar", imbalance_msg.lower_collar)
+                FixPx{imbalance_msg.auct_interest_clr_price})
+      .AddField("ssr_filling_price", FixPx{imbalance_msg.ssr_filling_price})
+      .AddField("ind_match_price", FixPx{imbalance_msg.ind_match_price})
+      .AddField("upper_collar", FixPx{imbalance_msg.upper_collar})
+      .AddField("lower_collar", FixPx{imbalance_msg.lower_collar})
       .AddField("paired_qty", imbalance_msg.paired_qty)
       .AddField("total_imbalance_qty", imbalance_msg.total_imbalance_qty)
       .AddField("market_imbalance_qty", imbalance_msg.market_imbalance_qty)

test/src/record_tests.cpp

@@ -35,7 +35,7 @@ TEST(RecordTests, TestMbp10MsgToString) {
   const auto res = ToString(target);
   ASSERT_EQ(res, R"(Mbp10Msg {
     hd = RecordHeader { length = 92, rtype = Mbp10, publisher_id = 1, instrument_id = 1, ts_event = 0 },
-    price = 100000000,
+    price = 0.100000000,
     size = 10,
     action = Add,
     side = Bid,
@@ -45,16 +45,16 @@ TEST(RecordTests, TestMbp10MsgToString) {
     ts_in_delta = 100,
     sequence = 50,
     booklevel = {
-        BidAskPair { bid_px = 0, ask_px = 0, bid_sz = 0, ask_sz = 0, bid_ct = 0, ask_ct = 0 },
-        BidAskPair { bid_px = 5, ask_px = 6, bid_sz = 4, ask_sz = 3, bid_ct = 2, ask_ct = 1 },
-        BidAskPair { bid_px = 10, ask_px = 12, bid_sz = 8, ask_sz = 6, bid_ct = 4, ask_ct = 2 },
-        BidAskPair { bid_px = 15, ask_px = 18, bid_sz = 12, ask_sz = 9, bid_ct = 6, ask_ct = 3 },
-        BidAskPair { bid_px = 20, ask_px = 24, bid_sz = 16, ask_sz = 12, bid_ct = 8, ask_ct = 4 },
-        BidAskPair { bid_px = 25, ask_px = 30, bid_sz = 20, ask_sz = 15, bid_ct = 10, ask_ct = 5 },
-        BidAskPair { bid_px = 30, ask_px = 36, bid_sz = 24, ask_sz = 18, bid_ct = 12, ask_ct = 6 },
-        BidAskPair { bid_px = 35, ask_px = 42, bid_sz = 28, ask_sz = 21, bid_ct = 14, ask_ct = 7 },
-        BidAskPair { bid_px = 40, ask_px = 48, bid_sz = 32, ask_sz = 24, bid_ct = 16, ask_ct = 8 },
-        BidAskPair { bid_px = 45, ask_px = 54, bid_sz = 36, ask_sz = 27, bid_ct = 18, ask_ct = 9 }
+        BidAskPair { bid_px = 0.000000000, ask_px = 0.000000000, bid_sz = 0, ask_sz = 0, bid_ct = 0, ask_ct = 0 },
+        BidAskPair { bid_px = 0.000000005, ask_px = 0.000000006, bid_sz = 4, ask_sz = 3, bid_ct = 2, ask_ct = 1 },
+        BidAskPair { bid_px = 0.000000010, ask_px = 0.000000012, bid_sz = 8, ask_sz = 6, bid_ct = 4, ask_ct = 2 },
+        BidAskPair { bid_px = 0.000000015, ask_px = 0.000000018, bid_sz = 12, ask_sz = 9, bid_ct = 6, ask_ct = 3 },
+        BidAskPair { bid_px = 0.000000020, ask_px = 0.000000024, bid_sz = 16, ask_sz = 12, bid_ct = 8, ask_ct = 4 },
+        BidAskPair { bid_px = 0.000000025, ask_px = 0.000000030, bid_sz = 20, ask_sz = 15, bid_ct = 10, ask_ct = 5 },
+        BidAskPair { bid_px = 0.000000030, ask_px = 0.000000036, bid_sz = 24, ask_sz = 18, bid_ct = 12, ask_ct = 6 },
+        BidAskPair { bid_px = 0.000000035, ask_px = 0.000000042, bid_sz = 28, ask_sz = 21, bid_ct = 14, ask_ct = 7 },
+        BidAskPair { bid_px = 0.000000040, ask_px = 0.000000048, bid_sz = 32, ask_sz = 24, bid_ct = 16, ask_ct = 8 },
+        BidAskPair { bid_px = 0.000000045, ask_px = 0.000000054, bid_sz = 36, ask_sz = 27, bid_ct = 18, ask_ct = 9 }
     }
 })");
 }
@@ -132,16 +132,16 @@ TEST(RecordTests, TestInstrumentDefMsgToString) {
   ASSERT_EQ(res, R"(InstrumentDefMsg {
     hd = RecordHeader { length = 90, rtype = InstrumentDef, publisher_id = 1, instrument_id = 1, ts_event = 0 },
     ts_recv = 0,
-    min_price_increment = 1,
+    min_price_increment = 0.000000001,
     display_factor = 2,
     expiration = 3,
     activation = 4,
-    high_limit_price = 5,
-    low_limit_price = 6,
-    max_price_variation = 7,
-    trading_reference_price = 8,
+    high_limit_price = 0.000000005,
+    low_limit_price = 0.000000006,
+    max_price_variation = 0.000000007,
+    trading_reference_price = 0.000000008,
     unit_of_measure_qty = 9,
-    min_price_increment_amount = 10,
+    min_price_increment_amount = 0.000000010,
     price_ratio = 11,
     inst_attrib_value = 12,
     underlying_id = 13,
@@ -176,7 +176,7 @@ TEST(RecordTests, TestInstrumentDefMsgToString) {
     underlying = "",
     strike_price_currency = "",
     instrument_class = Future,
-    strike_price = 9223372036854775807,
+    strike_price = kUndefPrice,
     match_algorithm = Fifo,
     md_security_trading_status = 33,
     main_fraction = 34,
@@ -224,14 +224,14 @@ TEST(RecordTests, TestImbalanceMsgToString) {
   ASSERT_EQ(res, R"(ImbalanceMsg {
     hd = RecordHeader { length = 28, rtype = Imbalance, publisher_id = 1, instrument_id = 1, ts_event = 0 },
     ts_recv = 0,
-    ref_price = 1,
+    ref_price = 0.000000001,
     auction_time = 0,
-    cont_book_clr_price = 3,
-    auct_interest_clr_price = 4,
-    ssr_filling_price = 5,
-    ind_match_price = 6,
-    upper_collar = 7,
-    lower_collar = 8,
+    cont_book_clr_price = 0.000000003,
+    auct_interest_clr_price = 0.000000004,
+    ssr_filling_price = 0.000000005,
+    ind_match_price = 0.000000006,
+    upper_collar = 0.000000007,
+    lower_collar = 0.000000008,
     paired_qty = 9,
     total_imbalance_qty = 10,
     market_imbalance_qty = 11,