Foreign exchange instruments about parity HOT 8 CLOSED

@jvirtanen IIRC, the NYSE OpenBook format supports configurable fractional part. Perhaps worth taking a look?

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@penberg Thanks! I'll have a look at that.

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As a first step, the TAQ file format gets configurable fractional part for both prices and sizes in #74.

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Genesis needs configurable fractional part for both prices and sizes.

Here is my current road map for implementing this feature:

• The trading system will operate on the minimum price and size increment.

• The network protocols will operate on the minimum price and size increment.

• The FIX gateway, terminal client, stock ticker, and trade reporter will get new configuration settings to specify the fractional part for both prices and sizes:

  instruments {
    AAPL {
      price-fraction-digits = 2
      size-fraction-digits  = 0
    }
    ETH-BTC {
      price-fraction-digits = 8
      size-fraction-digits  = 8
    }
  }
  

• The terminal client, stock ticker, and trade reporter will get new configuration settings to specify the integer part for both prices and sizes for pretty printing:

  price-integer-digits = 8
  size-integer-digits  = 8
  

• The network protocols will start using 64-bit unsigned integers for price and size.

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Not sure this entirely belongs here, but worth considering how to represent null or max/min prices. For example in SBE you can define null values as part of a composite type such as

<composite name="PRICENULL" description="Price NULL">
  <type name="mantissa" description="mantissa" presence="optional" nullValue="9223372036854775807" primitiveType="int64"/>
  <type name="exponent" description="exponent" presence="constant" primitiveType="int8">-7</type>
</composite>

This is e.g. useful when an orderbook gets cleared end of day, or on startup an orderbook is only partially populated but still distributes the data. Like that a consumer can distinguish valid from invalid prices.

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@jheusser That's a good point. Currently there's no concept of a null price, and tools, such as the stock ticker, rely on zero quantity to indicate missing data.

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See #91.

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Closed by #91.

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