Pricing Systems are Details, Details, Details (cont.)
OK, I just finished the latest fixes for today, for testing Monday. I know it's the way it goes, but it's still tough. I'd really like to know it's fixed, but the best I can do it run it through in my head and be sure that, at least there, it's right. I then have to hope that my mental picture of the system is accurate. Sometimes yes, sometimes no.
Today's issue was really pretty significant. It appeared as though the previous close and adjusted previous close weren't being loaded. But I'd tested that code, and I knew in my tests it was working. Something was amiss.
So I resorted to logging, and in that I realized that the problem was systemic. I was indeed loading them properly, but then the first message was clearing out the summary data, that contained these values. Therefore, it appeared that the values weren't set when they had been set. So what was the problem? I was resetting all parts of the summary data when all I wanted to clear were the open/close/high/low. Ah! Simple fix.
But what about the reloading of an instrument where we replayed the messages from the previous day and the last trade last night was then setting our new high/low/close? Hmmm… this is just as obvious, but it's a lot less clear how to fix it. We can't block the messages, they are needed. Also, we can't stop the resetting process, that's crucial.
What I came up with was a very surgical change: if the trade was yesterday (i.e. not today), then do not allow it up update the summary values of open/high/low/close. Simple and surgical. This is the complete context of the problem. I'm hoping that there are no unintended consequences on Monday, but we'll have to wait until then to see. I've run it through my head so many times I can't see a hole in the logic.
I have my fingers crossed.