finos · texodus · Mar 6, 2023 · Mar 5, 2023 · Mar 3, 2023 · Mar 3, 2023
diff --git a/cmake/re2/CMakeLists.txt b/cmake/re2/CMakeLists.txt
@@ -49,7 +49,7 @@ if(WIN32)
 # ************************************
 # TKP NOTE: THIS SECTION IS CUSTOM
 # ************************************
-elseif(APPLE)
+elseif(APPLE OR (${CMAKE_SYSTEM_NAME} MATCHES "Emscripten"))
   add_definitions(-DTARGET_OS_OSX=1)
   # assume built-in pthreads on MacOS
   set(CMAKE_THREAD_LIBS_INIT "-lpthread")

diff --git a/cpp/perspective/src/cpp/aggspec.cpp b/cpp/perspective/src/cpp/aggspec.cpp
@@ -160,6 +160,12 @@ t_aggspec::agg_str() const {
         case AGGTYPE_LAST_VALUE: {
             return "last_value";
         }
+        case AGGTYPE_MAX: {
+            return "max";
+        }
+        case AGGTYPE_MIN: {
+            return "min";
+        }
         case AGGTYPE_HIGH_WATER_MARK: {
             return "high_water_mark";
         }
@@ -320,6 +326,8 @@ t_aggspec::get_output_specs(const t_schema& schema) const {
         case AGGTYPE_LAST_MINUS_FIRST:
         case AGGTYPE_OR:
         case AGGTYPE_LAST_VALUE:
+        case AGGTYPE_MAX:
+        case AGGTYPE_MIN:
         case AGGTYPE_HIGH_WATER_MARK:
         case AGGTYPE_LOW_WATER_MARK:
         case AGGTYPE_HIGH_MINUS_LOW:

diff --git a/cpp/perspective/src/cpp/base.cpp b/cpp/perspective/src/cpp/base.cpp
@@ -473,6 +473,10 @@ str_to_aggtype(const std::string& str) {
         return t_aggtype::AGGTYPE_OR;
     } else if (str == "last" || str == "last_value") {
         return t_aggtype::AGGTYPE_LAST_VALUE;
+    } else if (str == "max") {
+        return t_aggtype::AGGTYPE_MAX;
+    } else if (str == "min") {
+        return t_aggtype::AGGTYPE_MIN;
     } else if (str == "high" || str == "high_water_mark") {
         return t_aggtype::AGGTYPE_HIGH_WATER_MARK;
     } else if (str == "low" || str == "low_water_mark") {

diff --git a/cpp/perspective/src/cpp/config.cpp b/cpp/perspective/src/cpp/config.cpp
@@ -191,6 +191,8 @@ t_config::setup(const std::vector<std::string>& detail_columns,
             case AGGTYPE_JOIN:
             case AGGTYPE_DOMINANT:
             case AGGTYPE_PY_AGG:
+            case AGGTYPE_MIN:
+            case AGGTYPE_MAX:
             case AGGTYPE_SUM_NOT_NULL:
             case AGGTYPE_SUM_ABS:
             case AGGTYPE_ABS_SUM:

diff --git a/cpp/perspective/src/cpp/extract_aggregate.cpp b/cpp/perspective/src/cpp/extract_aggregate.cpp
@@ -59,6 +59,8 @@ extract_aggregate(const t_aggspec& aggspec, const t_column* aggcol,
         case AGGTYPE_LAST_BY_INDEX:
         case AGGTYPE_LAST_VALUE:
         case AGGTYPE_LAST_MINUS_FIRST:
+        case AGGTYPE_MAX:
+        case AGGTYPE_MIN:
         case AGGTYPE_HIGH_WATER_MARK:
         case AGGTYPE_LOW_WATER_MARK:
         case AGGTYPE_HIGH_MINUS_LOW:

diff --git a/cpp/perspective/src/cpp/sparse_tree.cpp b/cpp/perspective/src/cpp/sparse_tree.cpp
@@ -1298,6 +1298,34 @@ t_stree::update_agg_table(t_uindex nidx, t_agg_update_info& info,
                     dst->set_scalar(dst_ridx, mknone());
                 }
             } break;
+            case AGGTYPE_MAX: {
+                t_tscalar src_scalar = src->get_scalar(src_ridx);
+                t_tscalar dst_scalar = dst->get_scalar(dst_ridx);
+                old_value.set(dst_scalar);
+                // new_value.set(std::max(dst_scalar, src_scalar));
+                // if (is_expr || old_value.is_nan() || new_value.is_nan() || new_value > old_value) {
+                    auto pkeys = get_pkeys(nidx);
+                    std::vector<double> values;
+                    read_column_from_gstate(gstate, expression_master_table,
+                        spec.get_dependencies()[0].name(), pkeys, values, true);
+                    new_value.set(*std::max_element(values.begin(), values.end()));
+                // }
+                dst->set_scalar(dst_ridx, new_value);
+            } break;
+            case AGGTYPE_MIN: {
+                t_tscalar src_scalar = src->get_scalar(src_ridx);
+                t_tscalar dst_scalar = dst->get_scalar(dst_ridx);
+                old_value.set(dst_scalar);
+                // new_value.set(std::max(dst_scalar, src_scalar));
+                // if (is_expr || old_value.is_nan() || new_value.is_nan() || new_value < old_value) {
+                    auto pkeys = get_pkeys(nidx);
+                    std::vector<double> values;
+                    read_column_from_gstate(gstate, expression_master_table,
+                        spec.get_dependencies()[0].name(), pkeys, values, true);
+                    new_value.set(*std::min_element(values.begin(), values.end()));
+                // }
+                dst->set_scalar(dst_ridx, new_value);
+            } break;
             case AGGTYPE_HIGH_WATER_MARK: {
                 t_tscalar src_scalar = src->get_scalar(src_ridx);
                 t_tscalar dst_scalar = dst->get_scalar(dst_ridx);

diff --git a/cpp/perspective/src/include/perspective/base.h b/cpp/perspective/src/include/perspective/base.h
@@ -249,6 +249,8 @@ enum t_aggtype {
     AGGTYPE_LAST_VALUE,
     AGGTYPE_HIGH_WATER_MARK,
     AGGTYPE_LOW_WATER_MARK,
+    AGGTYPE_MAX,
+    AGGTYPE_MIN,
     AGGTYPE_HIGH_MINUS_LOW,
     AGGTYPE_UDF_COMBINER,
     AGGTYPE_UDF_REDUCER,

diff --git a/examples/blocks/src/market/README.md b/examples/blocks/src/market/README.md
@@ -0,0 +1,55 @@
+
+A simple market simulation implemented in Perspective, designed to be simple
+rather than accurate. The simulation proceeds in steps:
+
+1) Insert a batch of random orders in a range around the market's bid/ask
+   spread. For each side of the order book, we can calculate the best open price
+   by querying the orders `Table` using the `"max"` or `"min"` aggregates
+   (respectively).
+
+```json
+{
+    columns: ["price"],
+    group_by: ["security"],
+    aggregates: { price: "max" },
+    filter: [
+        ["side", "==", "buy"],
+        ["status", "==", "open"],
+    ],
+}
+```
+
+1) Clear any matched orders in the `Table`.  To match orders, we fetch all open
+   orders on both sides which are outside of the best price, then update an
+   _equal_ number of both `"buy"` and `"sell"` side orders to `"closed"`.  The
+   `sort` field guarantees that orders are closed in best, then oldest, order.
+
+```json
+{
+    columns: ["id"],
+    filter: [
+        ["side", "==", "buy"],
+        ["status", "==", "open"],
+        ["price", ">", price],
+    ],
+    sort: [
+        ["price", "desc"],
+        ["timestamp", "asc"],
+    ],
+}
+```
+
+3) Expire any elapsed orders which are still `"open"` by fetching orders older
+   than the expiration ID and update thair status' to `"expired"`.
+
+```json
+{
+    columns: ["id"],
+    filter: [
+        ["status", "==", "open"],
+        ["id", "<", 12345],
+    ],
+}
+```
+
+4) Sleep for a bit and repeat (1).
diff --git a/examples/blocks/src/market/index.css b/examples/blocks/src/market/index.css
@@ -0,0 +1,76 @@
+body {
+    background: #242526;
+    color: white;
+    font-family: "Roboto Mono";
+    touch-action: none;
+}
+
+* {
+    box-sizing: border-box;
+}
+
+#app {
+    display: flex;
+    flex-direction: column;
+    position: absolute;
+    top: 0;
+    left: 0;
+    right: 0;
+    bottom: 0;
+}
+
+#header {
+    display: flex;
+    flex-wrap: wrap;
+    align-items: center;
+}
+
+#header a {
+    display: inline-flex;
+}
+
+perspective-viewer {
+    border-top: 1px solid #666;
+    flex: 1 1 auto;
+}
+
+label {
+    height: 32px;
+    font-size: 12px;
+    padding: 6px 0px;
+    margin-right: 4px;
+    margin-left: 14px;
+    margin-top: 8px;
+    margin-bottom: 8px;
+    border: 1px solid transparent;
+}
+
+img {
+    vertical-align: middle;
+    margin-left: 14px;
+}
+
+select, button {
+    font-family: "Roboto Mono";
+    font-size: 12px;
+    appearance: none;
+    background-color: transparent;
+    border: 1px solid #666;
+    border-radius: 2px;
+    padding: 6px 10px;
+    color: #f4f5f6;
+    cursor: pointer;
+    margin-right: 4px;
+    margin-left: 4px;
+    outline: none;
+    user-select: none;
+    height: 32px;
+    margin-top:  8px;
+    margin-bottom: 8px;
+}
+
+select:hover, button:hover {
+    color: #242526;
+    background-color: #f4f5f6;
+    border-color: #f4f5f6;
+}
diff --git a/examples/blocks/src/market/index.html b/examples/blocks/src/market/index.html
@@ -0,0 +1,72 @@
+<!DOCTYPE html>
+<html>
+    <head>
+        <meta
+            name="viewport"
+            content="width=device-width,initial-scale=1,maximum-scale=1,minimum-scale=1,user-scalable=no"
+        />
+        <link
+            rel="preload"
+            href="/node_modules/@finos/perspective-viewer/dist/cdn/perspective_bg.wasm"
+            as="fetch"
+            type="application/wasm"
+            crossorigin="anonymous"
+        />
+        <link
+            rel="preload"
+            href="/node_modules/@finos/perspective/dist/cdn/perspective.js"
+            as="script"
+            type="application/javascript"
+            crossorigin="anonymous"
+        />
+        <link
+            rel="preload"
+            href="/node_modules/@finos/perspective/dist/cdn/perspective.cpp.wasm"
+            as="fetch"
+            type="application/wasm"
+            crossorigin="anonymous"
+        />
+        <link
+            rel="preload"
+            href="/node_modules/@finos/perspective/dist/cdn/perspective.worker.js"
+            as="fetch"
+            type="application/javascript"
+            crossorigin="anonymous"
+        />
+        <script
+            type="module"
+            src="/node_modules/@finos/perspective-viewer/dist/cdn/perspective-viewer.js"
+        ></script>
+        <script
+            type="module"
+            src="/node_modules/@finos/perspective-viewer-datagrid/dist/cdn/perspective-viewer-datagrid.js"
+        ></script>
+        <script
+            type="module"
+            src="/node_modules/@finos/perspective-viewer-d3fc/dist/cdn/perspective-viewer-d3fc.js"
+        ></script>
+        <script type="module" src="market.js"></script>
+        <link rel="stylesheet" href="index.css" />
+        <link
+            rel="stylesheet"
+            crossorigin="anonymous"
+            href="/node_modules/@finos/perspective-viewer/dist/css/themes.css"
+        />
+    </head>
+    <body>
+        <div id="app">
+            <div id="header">
+                <a href="https://perspective.finos.org">
+                    <img
+                        height="12"
+                        src="https://raw.githubusercontent.com/finos/perspective/master/docs/static/svg/perspective-logo-dark.svg"
+                    />
+                </a>
+                <label>Market Simulation Demo</label>
+                <select></select>
+                <button>Reset</button>
+            </div>
+            <perspective-viewer theme="Pro Dark"></perspective-viewer>
+        </div>
+    </body>
+</html>