git clone [email protected]:bgn9000/Cpp1y-OrderBook.git --recursive --depth 1
cd Cpp1y-OrderBook
mkdir build
cd build
CC=gcc-5 # Optional if your default compiler
CXX=g++-5 # does not support C++14
cmake ..
make -j8
make test
Cloning the Git repository use option --recursive because of submodules. But you can ommit the option --depth 1.
git clone [email protected]:bgn9000/Cpp1y-OrderBook.git --recursive
To upgrade cmake (needs upper than 3.1 whereas ubuntu 14.04 provides only cmake 2.8)
git clone https://cmake.org/cmake.git
cd cmake
git checkout v3.4.3
cmake .
make
You can use checkinstall as this creates a DEB package.
sudo apt-get install checkinstall
sudo checkinstall
or
make install
Most of the time CMake generates files for the build tool in directory build and the build tool will produce its temporary and finals files within the same directory. But you can customize this directory:
mkdir /my/build/path
( cd /my/build/path && cmake $OLDPWD )
make -C /my/build/path all
make -C /my/build/path test
Instead of building all just build the final executable and its dependencies.
make FeedHandler.out
By default, build type is Release (CMAKE_BUILD_TYPE=Release) but you can also build in Debug mode:
cmake .. -DCMAKE_BUILD_TYPE=Debug
Or in Coverage mode:
cmake .. -DCMAKE_BUILD_TYPE=Coverage
ccache can speed up compilation and link. If you clean and rebuild often, then you should install ccache. This project is configured to use it when available.
sudo apt install ccache
cd build
cmake ..
time make # First build: ccache caches all compiler output
make clean
time make # ccache detects same input and bypasses the compiler
Option CMAKE_EXPORT_COMPILE_COMMANDS is enabled and will produce the file compile_commands.json during the compilation. This file can be then used by static code analysis tools as clang-check:
awk -F: '/"file"/{print $2 }' build/compile_commands.json | xargs clang-check -fixit -p build
Option SANITIZE=ON let you run the run-time code analysis.
cmake .. -DSANITIZE=ON
Option MARCH let you control the CFLAG -march. By default MARCH=corei7 (-march=corei7). If MARCH=native CMake will request gcc the real cpu-type used in order to keep a reproductible build on another machine. Unset flag -march using empty option MARCH=.
cmake .. -DMARCH=native # Request gcc to provide the corresponding cpu-type
cmake .. -DMARCH= # Disable flag -march
Option OPTIM let you control the flags -O0 -Og -O1 -Os -O2 -O3 -Ofast.
cmake .. -DOPTIM=-Ofast
By default this is disable and will used the CMAKE_BUILD_TYPE default flag:
-O2for Release- unset for Debug and Coverage
CMake does not build the project (i.e. CMake is not a compilation or a link tool). CMake generates files for a build tool as gmake, nmake, ninja, Visual Studio....
By default on CMake will generates Makefiles on Unix-like plateforms. To enable verbose mode use VERBOSE=1 to display the full command lines during build.
make VERBOSE=1
If ninja is available, you can use it instead of gmake.
cmake .. -G Ninja
ninja
ninja test
Use ninja -v for verbose mode (to display the full command lines during build).
cmake .. -DCMAKE_BUILD_TYPE=Debug -G Ninja
ninja -v
Use cmake --build your-build-path to abstract the build tool.
cmake .. -G "${MY_CMAKE_GENERATOR}"
cmake --build .
You can also select another compiler.
CC=clang CXX=clang++ cmake .. -DCMAKE_BUILD_TYPE=Release
cmake --build .
ctest
CC=clang
CXX=clang++
cmake .. -DSANITIZE=ON -G Ninja
cmake --build .
Use cmake --build . and ctest as an abstraction of the specific build tool (ninja or make)
cmake .. -DCMAKE_BUILD_TYPE=Release -G Ninja
cmake --build .
ctest
cmake .. -DCMAKE_BUILD_TYPE=Release -G Ninja
cmake --build . --target FeedHandler.out
This project uses two external tools present in submodules
(the submodules are located in sub-directory ext)
-
RapidCheck to run unit-tests, written by emil-e and recently improved by Tobias Furuholm Recommended reading: Generating test cases so you don’t have to (RapidCheck also depends on another tool, Catch, present in another submodule within RapidCheck's sub-directory
ext) -
Python OrderBook to generate test cases, written by dyn4mik3 with recent help from bgn9000 depends on
bintrees(requiring cython to be installed before)sudo apt install python-pip cython pip install bintrees
or
sudo apt install python-pip
pip install cython
pip install bintrees
Use genOrders.py to generate messages.
tools/genOrders.py 2>test.txt | tee test.log
- Result is written to stderr
- On-going information is written to stdout
Use your own test.txt or use one of the available test cases in main/tests/perf/test*.txt
The executable FeedHandler.out ends by writting a summary of errors found.
The test case test1.txt contains commented/blank lines and a cross not followed by a trade.
These allow verifying the reporter module.
$ build/main/FeedHandler.out main/tests/perf/test1.txt 2>result1.txt
Verbose is 0 : default is 0, param '-v 1 or higher' to activate it
Full Bids/Asks:
0 : 15 @ 1000.000000 18 @ 1000.000000
1 : 30 @ 975.000000 4 @ 1025.000000
2 : empty 10 @ 1050.000000
3 : empty 1 @ 1075.000000
4 : empty empty
Summary:
[4] commented lines
[5] blank lines
Found 1 error:
[1] best bid equal or upper than best ask
No critical error found
Overall run perfs: 0 sec 13026 usec (building OB: 0 sec 52 usec)
The last line Overall provide some benchmarks.
The test case test2.txt is cleaner.
$ build/main/FeedHandler.out main/tests/perf/test2.txt 2>result2.txt
Verbose is 0 : default is 0, param '-v 1 or higher' to activate it
Full Bids/Asks:
0 : 476 @ 909.000000 368 @ 960.000000
1 : 154 @ 902.000000 446 @ 972.000000
2 : 365 @ 900.000000 679 @ 992.000000
3 : empty 429 @ 998.000000
4 : empty 340 @ 1013.000000
5 : empty 337 @ 1035.000000
6 : empty 386 @ 1151.000000
7 : empty 583 @ 1178.000000
8 : empty 500 @ 1181.000000
9 : empty 699 @ 1194.000000
10 : empty empty
Summary:
No error found
No critical error found
Overall run perfs: 0 sec 895 usec (building OB: 0 sec 229 usec)
Here is the list of reported errors (in Common.h):
unsigned long long nbErrors()
{
return corruptedMessages +
IncompleteMessages +
wrongActions +
wrongSides +
negativeOrderIds +
negativeQuantities +
negativePrices +
missingActions +
missingOrderIds +
missingSides +
missingQuantities +
missingPrices +
zeroOrderIds +
zeroQuantities +
zeroPrices +
outOfBoundsOrderIds +
outOfBoundsQuantities +
outOfBoundsPrices +
duplicateOrderIds +
modifiesWithUnknownOrderId +
modifiesNotMatchedPrice +
cancelsWithUnknownOrderId +
cancelsNotMatchedQtyOrPrice +
bestBidEqualOrUpperThanBestAsk;
}
unsigned long long nbCriticalErrors()
{
return modifiesLimitQtyTooLow +
modifiesLimitNotFound +
cancelsLimitQtyTooLow +
cancelsLimitNotFound;
}