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jhunsakerjhunsaker
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build cleanup
1 parent 055fe19 commit 43b1cbc

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5 files changed

+182
-164
lines changed

5 files changed

+182
-164
lines changed

‎CMakeLists.txt

Lines changed: 1 addition & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -17,6 +17,7 @@ include_directories( program/src/ )
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# gcc compiler/linker flags
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add_compile_options( -ggdb -Wall -Wextra -Werror -m64 )
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set( CMAKE_CXX_FLAGS -std=c++11 )
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set( CMAKE_C_FLAGS -std=c99 )
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set( CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -pthread")
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#

‎pctest/test_twap.cpp

Lines changed: 8 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -1,15 +1,18 @@
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char heap_start[8192];
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#define PC_HEAP_START (heap_start)
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4+
#include <iostream>
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#include <ctype.h>
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#include <math.h>
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#include <stdint.h>
5-
#include <stdlib.h>
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#include <stdio.h>
10+
#include <stdlib.h>
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12+
#include <pc/mem_map.hpp>
13+
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#include <oracle/oracle.h>
815
#include <oracle/upd_aggregate.h>
9-
#include <pc/mem_map.hpp>
10-
#include <math.h>
11-
#include <ctype.h>
12-
#include <iostream>
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using namespace pc;
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‎program/src/oracle/oracle.h

Lines changed: 2 additions & 22 deletions
Original file line numberDiff line numberDiff line change
@@ -1,5 +1,7 @@
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#pragma once
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3+
#include <stdbool.h>
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#ifdef __cplusplus
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extern "C" {
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#endif
@@ -20,7 +22,6 @@ extern "C" {
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#define PC_COMP_SIZE 32
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#define PC_MAX_NUM_DECIMALS 16
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#define PC_PROD_ACC_SIZE 512
23-
#define PC_FACTOR_SIZE 18
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#define PC_EXP_DECAY -9
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2627
#ifndef PC_HEAP_START
@@ -152,27 +153,6 @@ typedef struct pc_price
152153
pc_price_comp_t comp_[PC_COMP_SIZE];// component prices
153154
} pc_price_t;
154155

155-
// decimal number format
156-
typedef struct pd
157-
{
158-
int32_t e_;
159-
int64_t v_;
160-
} pd_t;
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162-
// quote info for aggregate price calc
163-
typedef struct pc_qset
164-
{
165-
pd_t iprice_[PC_COMP_SIZE];
166-
pd_t uprice_[PC_COMP_SIZE];
167-
pd_t lprice_[PC_COMP_SIZE];
168-
pd_t weight_[PC_COMP_SIZE];
169-
pd_t cumwgt_[PC_COMP_SIZE];
170-
int64_t decay_[1+PC_MAX_SEND_LATENCY];
171-
int64_t fact_[PC_FACTOR_SIZE];
172-
uint32_t num_;
173-
int32_t expo_;
174-
} pc_qset_t;
175-
176156
// command enumeration
177157
typedef enum {
178158

‎program/src/oracle/pd.h

Lines changed: 155 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,155 @@
1+
#pragma once
2+
3+
#ifdef __cplusplus
4+
extern "C" {
5+
#endif
6+
7+
#define PD_SCALE9 (1000000000L)
8+
#define PD_EMA_MAX_DIFF 4145 // maximum slots before reset
9+
#define PD_EMA_EXPO -9 // exponent of temporary storage
10+
#define PD_EMA_DECAY (-117065) // 1e9*-log(2)/5921
11+
#define PC_FACTOR_SIZE 18
12+
13+
#define pd_new( n,v,e ) {(n)->v_=v;(n)->e_=e;}
14+
#define pd_set( r,n ) (r)[0] = (n)[0]
15+
#define pd_new_scale(n,v,e) {(n)->v_=v;(n)->e_=e;pd_scale(n);}
16+
17+
// decimal number format
18+
typedef struct pd
19+
{
20+
int32_t e_;
21+
int64_t v_;
22+
} pd_t;
23+
24+
static void pd_scale( pd_t *n )
25+
{
26+
int const neg = n->v_ < 0L;
27+
int64_t v = neg ? -n->v_ : n->v_; // make v positive for loop condition
28+
for( ; v >= ( 1L << 28 ); v /= 10L, ++n->e_ );
29+
n->v_ = neg ? -v : v;
30+
}
31+
32+
static void pd_adjust( pd_t *n, int e, const int64_t *p )
33+
{
34+
int64_t v = n->v_;
35+
int d = n->e_ - e;
36+
if ( d > 0 ) {
37+
v *= p[ d ];
38+
}
39+
else if ( d < 0 ) {
40+
v /= p[ -d ];
41+
}
42+
pd_new( n, v, e );
43+
}
44+
45+
static void pd_mul( pd_t *r, pd_t *n1, pd_t *n2 )
46+
{
47+
r->v_ = n1->v_ * n2->v_;
48+
r->e_ = n1->e_ + n2->e_;
49+
pd_scale( r );
50+
}
51+
52+
static void pd_div( pd_t *r, pd_t *n1, pd_t *n2 )
53+
{
54+
if ( n1->v_ == 0 ) { pd_set( r, n1 ); return; }
55+
int64_t v1 = n1->v_, v2 = n2->v_;
56+
int neg1 = v1 < 0L, neg2 = v2 < 0L, m = 0;
57+
if ( neg1 ) v1 = -v1;
58+
if ( neg2 ) v2 = -v2;
59+
for( ; 0UL == ( ( uint64_t )v1 & 0xfffffffff0000000UL ); v1 *= 10L, ++m );
60+
r->v_ = ( v1 * PD_SCALE9 ) / v2;
61+
if ( neg1 ) r->v_ = -r->v_;
62+
if ( neg2 ) r->v_ = -r->v_;
63+
r->e_ = n1->e_ - n2->e_ - m - 9;
64+
pd_scale( r );
65+
}
66+
67+
static void pd_add( pd_t *r, pd_t *n1, pd_t *n2, const int64_t *p )
68+
{
69+
int d = n1->e_ - n2->e_;
70+
if ( d==0 ) {
71+
pd_new( r, n1->v_ + n2->v_, n1->e_ );
72+
} else if ( d>0 ) {
73+
if ( d<9 ) {
74+
pd_new( r, n1->v_*p[d] + n2->v_, n2->e_ );
75+
} else if ( d < PC_FACTOR_SIZE+9 ) {
76+
pd_new( r, n1->v_*PD_SCALE9 + n2->v_/p[d-9], n1->e_-9);
77+
} else {
78+
pd_set( r, n1 );
79+
}
80+
} else {
81+
d = -d;
82+
if ( d<9 ) {
83+
pd_new( r, n1->v_ + n2->v_*p[d], n1->e_ );
84+
} else if ( d < PC_FACTOR_SIZE+9 ) {
85+
pd_new( r, n1->v_/p[d-9] + n2->v_*PD_SCALE9, n2->e_-9 );
86+
} else {
87+
pd_set( r, n2 );
88+
}
89+
}
90+
pd_scale( r );
91+
}
92+
93+
static void pd_sub( pd_t *r, const pd_t *n1, const pd_t *n2, const int64_t *p )
94+
{
95+
int d = n1->e_ - n2->e_;
96+
if ( d==0 ) {
97+
pd_new( r, n1->v_ - n2->v_, n1->e_ );
98+
} else if ( d>0 ) {
99+
if ( d<9 ) {
100+
pd_new( r, n1->v_*p[d] - n2->v_, n2->e_ );
101+
} else if ( d < PC_FACTOR_SIZE+9 ) {
102+
pd_new( r, n1->v_*PD_SCALE9 - n2->v_/p[d-9], n1->e_-9);
103+
} else {
104+
pd_set( r, n1 );
105+
}
106+
} else {
107+
d = -d;
108+
if ( d<9 ) {
109+
pd_new( r, n1->v_ - n2->v_*p[d], n1->e_ );
110+
} else if ( d < PC_FACTOR_SIZE+9 ) {
111+
pd_new( r, n1->v_/p[d-9] - n2->v_*PD_SCALE9, n2->e_-9 );
112+
} else {
113+
pd_new( r, -n2->v_, n2->e_ );
114+
}
115+
}
116+
pd_scale( r );
117+
}
118+
119+
static int pd_lt( const pd_t *n1, const pd_t *n2, const int64_t *p )
120+
{
121+
pd_t r[1];
122+
pd_sub( r, n1, n2, p );
123+
return r->v_ < 0L;
124+
}
125+
126+
static int pd_gt( pd_t *n1, pd_t *n2, const int64_t *p )
127+
{
128+
pd_t r[1];
129+
pd_sub( r, n1, n2, p );
130+
return r->v_ > 0L;
131+
}
132+
133+
static void pd_sqrt( pd_t *r, pd_t *val, const int64_t *f )
134+
{
135+
pd_t t[1], x[1], hlf[1];
136+
pd_set( t, val );
137+
pd_new( r, 1, 0 );
138+
pd_add( x, t, r, f );
139+
pd_new( hlf, 5, -1 );
140+
pd_mul( x, x, hlf );
141+
for(;;) {
142+
pd_div( r, t, x );
143+
pd_add( r, r, x, f );
144+
pd_mul( r, r, hlf );
145+
if ( x->v_ == r->v_ ) {
146+
break;
147+
}
148+
pd_set( x, r );
149+
}
150+
}
151+
152+
#ifdef __cplusplus
153+
}
154+
#endif
155+

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