Compare commits
4
Commits
| Author | SHA1 | Date | |
|---|---|---|---|
 Taha Afzal
|
6e0a92fd65 | ||
|
Taha
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a9c4173b02 | ||
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Taha Afzal
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7c99fe90de | ||
|
Taha Afzal
|
feff24bf10 |
No files matched your search
Submodule
+1
Submodule docker/linux added at 6537812262.
Submodule
+1
Submodule docker/windows added at de7d40c09d.
@@ -0,0 +1 @@
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r=TimeSeriesStream(ReplayFutureLiveBBOStream("ES"))
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@@ -0,0 +1,3 @@
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x,y,z,id
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123,1.001,abc,1
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123,1.001,abc,0
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@@ -0,0 +1,3 @@
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x,y,z,id
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123,1.001,abc,1
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123,1.001,abc,0
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@@ -0,0 +1,78 @@
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id,ts_event,contract,bid_price,bid_size,ask_price,ask_size,timestamp
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76,2026-03-13T05:57:25.177965500Z,ESU5,6363.75,51,6364,63,3/13/2026 5:57:25 AM
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75,2026-03-13T05:57:25.068062900Z,ESU5,6363.75,52,6364,63,3/13/2026 5:57:25 AM
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74,2026-03-13T05:57:24.963428500Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
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73,2026-03-13T05:57:24.781215700Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
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72,2026-03-13T05:57:24.676290100Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
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71,2026-03-13T05:57:24.566898400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
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70,2026-03-13T05:57:24.430800400Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
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69,2026-03-13T05:57:24.273683400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
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68,2026-03-13T05:57:24.167656100Z,ESU5,6363.75,56,6364,64,3/13/2026 5:57:24 AM
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67,2026-03-13T05:57:23.995720100Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:23 AM
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66,2026-03-13T05:57:23.894029100Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
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65,2026-03-13T05:57:23.728897300Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
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64,2026-03-13T05:57:23.614316800Z,ESU5,6363.75,52,6364,68,3/13/2026 5:57:23 AM
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63,2026-03-13T05:57:23.503752700Z,ESU5,6363.75,51,6364,68,3/13/2026 5:57:23 AM
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62,2026-03-13T05:57:23.289108200Z,ESU5,6363.75,50,6364,68,3/13/2026 5:57:23 AM
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61,2026-03-13T05:57:23.155673400Z,ESU5,6363.75,49,6364,68,3/13/2026 5:57:23 AM
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60,2026-03-13T05:57:23.028898400Z,ESU5,6363.75,48,6364,68,3/13/2026 5:57:23 AM
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59,2026-03-13T05:57:22.887132700Z,ESU5,6363.75,46,6364,68,3/13/2026 5:57:22 AM
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58,2026-03-13T05:57:22.676916300Z,ESU5,6363.75,44,6364,68,3/13/2026 5:57:22 AM
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57,2026-03-13T05:57:22.520328000Z,ESU5,6363.75,43,6364,68,3/13/2026 5:57:22 AM
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56,2026-03-13T05:57:22.405244600Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:22 AM
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55,2026-03-13T05:57:22.294674100Z,ESU5,6363.75,41,6364,69,3/13/2026 5:57:22 AM
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54,2026-03-13T05:57:22.163467900Z,ESU5,6363.75,38,6364,69,3/13/2026 5:57:22 AM
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53,2026-03-13T05:57:21.992443000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:21 AM
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52,2026-03-13T05:57:21.872338400Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:21 AM
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51,2026-03-13T05:57:21.742801800Z,ESU5,6363.75,37,6364,71,3/13/2026 5:57:21 AM
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50,2026-03-13T05:57:21.557711100Z,ESU5,6363.75,37,6364,72,3/13/2026 5:57:21 AM
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49,2026-03-13T05:57:21.434977000Z,ESU5,6363.75,37,6364,73,3/13/2026 5:57:21 AM
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48,2026-03-13T05:57:21.285751600Z,ESU5,6363.75,37,6364,72,3/13/2026 5:57:21 AM
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47,2026-03-13T05:57:21.184392000Z,ESU5,6363.75,37,6364,73,3/13/2026 5:57:21 AM
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46,2026-03-13T05:57:21.076843800Z,ESU5,6363.75,34,6364,73,3/13/2026 5:57:21 AM
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45,2026-03-13T05:57:20.894131800Z,ESU5,6363.75,32,6364,73,3/13/2026 5:57:20 AM
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43,2026-03-13T05:57:20.641547900Z,ESU5,6363.75,28,6364,73,3/13/2026 5:57:20 AM
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42,2026-03-13T05:57:20.540293200Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
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41,2026-03-13T05:57:20.439034600Z,ESU5,6363.75,27,6364,74,3/13/2026 5:57:20 AM
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40,2026-03-13T05:57:20.337795000Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
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39,2026-03-13T05:57:20.236606600Z,ESU5,6363.75,27,6364,72,3/13/2026 5:57:20 AM
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38,2026-03-13T05:57:20.135417700Z,ESU5,6363.75,30,6364,72,3/13/2026 5:57:20 AM
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37,2026-03-13T05:57:20.034272700Z,ESU5,6363.75,32,6364,72,3/13/2026 5:57:20 AM
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36,2026-03-13T05:57:19.933096800Z,ESU5,6363.75,34,6364,72,3/13/2026 5:57:19 AM
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35,2026-03-13T05:57:19.832012600Z,ESU5,6363.75,36,6364,72,3/13/2026 5:57:19 AM
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34,2026-03-13T05:57:19.730878500Z,ESU5,6363.75,38,6364,72,3/13/2026 5:57:19 AM
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33,2026-03-13T05:57:19.629787400Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
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32,2026-03-13T05:57:19.528697000Z,ESU5,6363.75,38,6364,70,3/13/2026 5:57:19 AM
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31,2026-03-13T05:57:19.427077000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
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30,2026-03-13T05:57:19.326450300Z,ESU5,6363.75,39,6364,71,3/13/2026 5:57:19 AM
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29,2026-03-13T05:57:19.225427900Z,ESU5,6363.75,39,6364,70,3/13/2026 5:57:19 AM
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28,2026-03-13T05:57:19.123339800Z,ESU5,6363.75,40,6364,70,3/13/2026 5:57:19 AM
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27,2026-03-13T05:57:19.021936500Z,ESU5,6363.75,41,6364,70,3/13/2026 5:57:19 AM
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26,2026-03-13T05:57:18.920859200Z,ESU5,6363.75,45,6364,70,3/13/2026 5:57:18 AM
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25,2026-03-13T05:57:18.820148400Z,ESU5,6363.75,46,6364,70,3/13/2026 5:57:18 AM
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24,2026-03-13T05:57:18.718988100Z,ESU5,6363.75,46,6364,69,3/13/2026 5:57:18 AM
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23,2026-03-13T05:57:18.618299700Z,ESU5,6363.75,49,6364,69,3/13/2026 5:57:18 AM
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22,2026-03-13T05:57:18.517138100Z,ESU5,6363.75,52,6364,69,3/13/2026 5:57:18 AM
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21,2026-03-13T05:57:18.416335200Z,ESU5,6363.75,53,6364,69,3/13/2026 5:57:18 AM
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20,2026-03-13T05:57:18.315335900Z,ESU5,6363.75,55,6364,69,3/13/2026 5:57:18 AM
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19,2026-03-13T05:57:18.214368600Z,ESU5,6363.75,57,6364,69,3/13/2026 5:57:18 AM
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18,2026-03-13T05:57:18.113754700Z,ESU5,6363.75,57,6364,65,3/13/2026 5:57:18 AM
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17,2026-03-13T05:57:18.012706500Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:18 AM
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16,2026-03-13T05:57:17.911672600Z,ESU5,6363.75,54,6364,65,3/13/2026 5:57:17 AM
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15,2026-03-13T05:57:17.810879900Z,ESU5,6363.75,52,6364,65,3/13/2026 5:57:17 AM
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14,2026-03-13T05:57:17.710089700Z,ESU5,6363.75,49,6364,65,3/13/2026 5:57:17 AM
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13,2026-03-13T05:57:17.609388300Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
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12,2026-03-13T05:57:17.508697400Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
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11,2026-03-13T05:57:17.408027000Z,ESU5,6363.75,53,6364,67,3/13/2026 5:57:17 AM
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10,2026-03-13T05:57:17.307406200Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
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9,2026-03-13T05:57:17.206714300Z,ESU5,6363.75,49,6364,71,3/13/2026 5:57:17 AM
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8,2026-03-13T05:57:17.105530300Z,ESU5,6363.75,48,6364,71,3/13/2026 5:57:17 AM
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7,2026-03-13T05:57:17.004796800Z,ESU5,6363.75,47,6364,71,3/13/2026 5:57:17 AM
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6,2026-03-13T05:57:16.904113900Z,ESU5,6363.75,46,6364,71,3/13/2026 5:57:16 AM
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5,2026-03-13T05:57:16.803381900Z,ESU5,6363.75,43,6364,71,3/13/2026 5:57:16 AM
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4,2026-03-13T05:57:16.701969600Z,ESU5,6363.75,43,6364,72,3/13/2026 5:57:16 AM
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3,2026-03-13T05:57:16.600765600Z,ESU5,6363.75,43,6364,73,3/13/2026 5:57:16 AM
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2,2026-03-13T05:57:16.499986300Z,ESU5,6363.75,43,6364,74,3/13/2026 5:57:16 AM
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1,2026-03-13T05:57:16.399241700Z,ESU5,6363.75,43,6364,75,3/13/2026 5:57:16 AM
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0,2026-03-13T05:57:16.264038000Z,ESU5,6363.75,43,6364,76,3/13/2026 5:57:16 AM
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@@ -0,0 +1,91 @@
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id,ts_event,contract,bid_price,bid_size,ask_price,ask_size,timestamp
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89,2026-03-13T05:57:26.904401600Z,ESU5,6363.75,43,6364,67,3/13/2026 5:57:26 AM
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88,2026-03-13T05:57:26.778037200Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:26 AM
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87,2026-03-13T05:57:26.597038500Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:26 AM
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86,2026-03-13T05:57:26.438768300Z,ESU5,6363.75,43,6364,68,3/13/2026 5:57:26 AM
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85,2026-03-13T05:57:26.328259100Z,ESU5,6363.75,43,6364,67,3/13/2026 5:57:26 AM
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84,2026-03-13T05:57:26.216211200Z,ESU5,6363.75,44,6364,67,3/13/2026 5:57:26 AM
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83,2026-03-13T05:57:26.099281200Z,ESU5,6363.75,46,6364,67,3/13/2026 5:57:26 AM
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82,2026-03-13T05:57:25.979814900Z,ESU5,6363.75,48,6364,67,3/13/2026 5:57:25 AM
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81,2026-03-13T05:57:25.852317700Z,ESU5,6363.75,48,6364,66,3/13/2026 5:57:25 AM
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80,2026-03-13T05:57:25.684323100Z,ESU5,6363.75,48,6364,65,3/13/2026 5:57:25 AM
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79,2026-03-13T05:57:25.539436900Z,ESU5,6363.75,48,6364,64,3/13/2026 5:57:25 AM
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78,2026-03-13T05:57:25.425439200Z,ESU5,6363.75,49,6364,64,3/13/2026 5:57:25 AM
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77,2026-03-13T05:57:25.298054100Z,ESU5,6363.75,51,6364,64,3/13/2026 5:57:25 AM
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76,2026-03-13T05:57:25.177965500Z,ESU5,6363.75,51,6364,63,3/13/2026 5:57:25 AM
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75,2026-03-13T05:57:25.068062900Z,ESU5,6363.75,52,6364,63,3/13/2026 5:57:25 AM
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74,2026-03-13T05:57:24.963428500Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
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73,2026-03-13T05:57:24.781215700Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
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72,2026-03-13T05:57:24.676290100Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
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71,2026-03-13T05:57:24.566898400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
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70,2026-03-13T05:57:24.430800400Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
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69,2026-03-13T05:57:24.273683400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
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68,2026-03-13T05:57:24.167656100Z,ESU5,6363.75,56,6364,64,3/13/2026 5:57:24 AM
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67,2026-03-13T05:57:23.995720100Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:23 AM
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66,2026-03-13T05:57:23.894029100Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
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65,2026-03-13T05:57:23.728897300Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
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64,2026-03-13T05:57:23.614316800Z,ESU5,6363.75,52,6364,68,3/13/2026 5:57:23 AM
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63,2026-03-13T05:57:23.503752700Z,ESU5,6363.75,51,6364,68,3/13/2026 5:57:23 AM
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62,2026-03-13T05:57:23.289108200Z,ESU5,6363.75,50,6364,68,3/13/2026 5:57:23 AM
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61,2026-03-13T05:57:23.155673400Z,ESU5,6363.75,49,6364,68,3/13/2026 5:57:23 AM
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60,2026-03-13T05:57:23.028898400Z,ESU5,6363.75,48,6364,68,3/13/2026 5:57:23 AM
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59,2026-03-13T05:57:22.887132700Z,ESU5,6363.75,46,6364,68,3/13/2026 5:57:22 AM
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58,2026-03-13T05:57:22.676916300Z,ESU5,6363.75,44,6364,68,3/13/2026 5:57:22 AM
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57,2026-03-13T05:57:22.520328000Z,ESU5,6363.75,43,6364,68,3/13/2026 5:57:22 AM
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56,2026-03-13T05:57:22.405244600Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:22 AM
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55,2026-03-13T05:57:22.294674100Z,ESU5,6363.75,41,6364,69,3/13/2026 5:57:22 AM
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54,2026-03-13T05:57:22.163467900Z,ESU5,6363.75,38,6364,69,3/13/2026 5:57:22 AM
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53,2026-03-13T05:57:21.992443000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:21 AM
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50,2026-03-13T05:57:21.557711100Z,ESU5,6363.75,37,6364,72,3/13/2026 5:57:21 AM
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47,2026-03-13T05:57:21.184392000Z,ESU5,6363.75,37,6364,73,3/13/2026 5:57:21 AM
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46,2026-03-13T05:57:21.076843800Z,ESU5,6363.75,34,6364,73,3/13/2026 5:57:21 AM
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45,2026-03-13T05:57:20.894131800Z,ESU5,6363.75,32,6364,73,3/13/2026 5:57:20 AM
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44,2026-03-13T05:57:20.759550000Z,ESU5,6363.75,30,6364,73,3/13/2026 5:57:20 AM
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43,2026-03-13T05:57:20.641547900Z,ESU5,6363.75,28,6364,73,3/13/2026 5:57:20 AM
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42,2026-03-13T05:57:20.540293200Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
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41,2026-03-13T05:57:20.439034600Z,ESU5,6363.75,27,6364,74,3/13/2026 5:57:20 AM
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40,2026-03-13T05:57:20.337795000Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
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38,2026-03-13T05:57:20.135417700Z,ESU5,6363.75,30,6364,72,3/13/2026 5:57:20 AM
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37,2026-03-13T05:57:20.034272700Z,ESU5,6363.75,32,6364,72,3/13/2026 5:57:20 AM
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36,2026-03-13T05:57:19.933096800Z,ESU5,6363.75,34,6364,72,3/13/2026 5:57:19 AM
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35,2026-03-13T05:57:19.832012600Z,ESU5,6363.75,36,6364,72,3/13/2026 5:57:19 AM
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34,2026-03-13T05:57:19.730878500Z,ESU5,6363.75,38,6364,72,3/13/2026 5:57:19 AM
|
||||
33,2026-03-13T05:57:19.629787400Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
|
||||
32,2026-03-13T05:57:19.528697000Z,ESU5,6363.75,38,6364,70,3/13/2026 5:57:19 AM
|
||||
31,2026-03-13T05:57:19.427077000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
|
||||
30,2026-03-13T05:57:19.326450300Z,ESU5,6363.75,39,6364,71,3/13/2026 5:57:19 AM
|
||||
29,2026-03-13T05:57:19.225427900Z,ESU5,6363.75,39,6364,70,3/13/2026 5:57:19 AM
|
||||
28,2026-03-13T05:57:19.123339800Z,ESU5,6363.75,40,6364,70,3/13/2026 5:57:19 AM
|
||||
27,2026-03-13T05:57:19.021936500Z,ESU5,6363.75,41,6364,70,3/13/2026 5:57:19 AM
|
||||
26,2026-03-13T05:57:18.920859200Z,ESU5,6363.75,45,6364,70,3/13/2026 5:57:18 AM
|
||||
25,2026-03-13T05:57:18.820148400Z,ESU5,6363.75,46,6364,70,3/13/2026 5:57:18 AM
|
||||
24,2026-03-13T05:57:18.718988100Z,ESU5,6363.75,46,6364,69,3/13/2026 5:57:18 AM
|
||||
23,2026-03-13T05:57:18.618299700Z,ESU5,6363.75,49,6364,69,3/13/2026 5:57:18 AM
|
||||
22,2026-03-13T05:57:18.517138100Z,ESU5,6363.75,52,6364,69,3/13/2026 5:57:18 AM
|
||||
21,2026-03-13T05:57:18.416335200Z,ESU5,6363.75,53,6364,69,3/13/2026 5:57:18 AM
|
||||
20,2026-03-13T05:57:18.315335900Z,ESU5,6363.75,55,6364,69,3/13/2026 5:57:18 AM
|
||||
19,2026-03-13T05:57:18.214368600Z,ESU5,6363.75,57,6364,69,3/13/2026 5:57:18 AM
|
||||
18,2026-03-13T05:57:18.113754700Z,ESU5,6363.75,57,6364,65,3/13/2026 5:57:18 AM
|
||||
17,2026-03-13T05:57:18.012706500Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:18 AM
|
||||
16,2026-03-13T05:57:17.911672600Z,ESU5,6363.75,54,6364,65,3/13/2026 5:57:17 AM
|
||||
15,2026-03-13T05:57:17.810879900Z,ESU5,6363.75,52,6364,65,3/13/2026 5:57:17 AM
|
||||
14,2026-03-13T05:57:17.710089700Z,ESU5,6363.75,49,6364,65,3/13/2026 5:57:17 AM
|
||||
13,2026-03-13T05:57:17.609388300Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
|
||||
12,2026-03-13T05:57:17.508697400Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
|
||||
11,2026-03-13T05:57:17.408027000Z,ESU5,6363.75,53,6364,67,3/13/2026 5:57:17 AM
|
||||
10,2026-03-13T05:57:17.307406200Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
|
||||
9,2026-03-13T05:57:17.206714300Z,ESU5,6363.75,49,6364,71,3/13/2026 5:57:17 AM
|
||||
8,2026-03-13T05:57:17.105530300Z,ESU5,6363.75,48,6364,71,3/13/2026 5:57:17 AM
|
||||
7,2026-03-13T05:57:17.004796800Z,ESU5,6363.75,47,6364,71,3/13/2026 5:57:17 AM
|
||||
6,2026-03-13T05:57:16.904113900Z,ESU5,6363.75,46,6364,71,3/13/2026 5:57:16 AM
|
||||
5,2026-03-13T05:57:16.803381900Z,ESU5,6363.75,43,6364,71,3/13/2026 5:57:16 AM
|
||||
4,2026-03-13T05:57:16.701969600Z,ESU5,6363.75,43,6364,72,3/13/2026 5:57:16 AM
|
||||
3,2026-03-13T05:57:16.600765600Z,ESU5,6363.75,43,6364,73,3/13/2026 5:57:16 AM
|
||||
2,2026-03-13T05:57:16.499986300Z,ESU5,6363.75,43,6364,74,3/13/2026 5:57:16 AM
|
||||
1,2026-03-13T05:57:16.399241700Z,ESU5,6363.75,43,6364,75,3/13/2026 5:57:16 AM
|
||||
0,2026-03-13T05:57:16.264038000Z,ESU5,6363.75,43,6364,76,3/13/2026 5:57:16 AM
|
||||
|
@@ -0,0 +1,187 @@
|
||||
from __future__ import annotations
|
||||
|
||||
from dataclasses import dataclass
|
||||
import json
|
||||
import os
|
||||
import subprocess
|
||||
import threading
|
||||
from typing import Any, Callable, Dict, List, Optional
|
||||
|
||||
|
||||
@dataclass
|
||||
class DataPacket:
|
||||
state: List[Any]
|
||||
deleted_ids: List[int]
|
||||
added_ids: List[int]
|
||||
|
||||
|
||||
@dataclass
|
||||
class DslResponse:
|
||||
data_packet: DataPacket | None
|
||||
req_id: str | None
|
||||
error: str | None
|
||||
|
||||
|
||||
def _resolve_interop_exe() -> str:
|
||||
env_path = os.environ.get("BLUEORB_DSL_INTEROP")
|
||||
if env_path and os.path.isfile(env_path):
|
||||
return env_path
|
||||
candidates = [
|
||||
"/workspaces/spark/build/Debug/bin/net8.0/BlueOrbDSLInteropServer",
|
||||
"/workspaces/spark/build/Release/bin/net8.0/BlueOrbDSLInteropServer",
|
||||
]
|
||||
for path in candidates:
|
||||
if os.path.isfile(path):
|
||||
return path
|
||||
raise FileNotFoundError(
|
||||
"BlueOrbDSLInterop executable not found. "
|
||||
"Set BLUEORB_DSL_INTEROP to the full path."
|
||||
)
|
||||
|
||||
_interop_proc: Optional[subprocess.Popen] = None
|
||||
_reader_thread: Optional[threading.Thread] = None
|
||||
_callbacks: Dict[str, Callable[[DslResponse], None]] = {}
|
||||
_first_response_events: Dict[str, threading.Event] = {}
|
||||
_first_responses: Dict[str, DslResponse] = {}
|
||||
_state_lock = threading.Lock()
|
||||
|
||||
|
||||
def start_interop() -> None:
|
||||
"""
|
||||
Start the BlueOrbDSLInteropServer process if it's not already running.
|
||||
"""
|
||||
global _interop_proc
|
||||
if _interop_proc is not None and _interop_proc.poll() is None:
|
||||
return
|
||||
exe = _resolve_interop_exe()
|
||||
_interop_proc = subprocess.Popen(
|
||||
[exe],
|
||||
stdin=subprocess.PIPE,
|
||||
stdout=subprocess.PIPE,
|
||||
stderr=subprocess.PIPE,
|
||||
text=True,
|
||||
)
|
||||
_start_reader_thread()
|
||||
|
||||
|
||||
def stop_interop() -> None:
|
||||
"""
|
||||
Stop the BlueOrbDSLInteropServer process if it's running.
|
||||
"""
|
||||
global _interop_proc
|
||||
if _interop_proc is None:
|
||||
return
|
||||
if _interop_proc.poll() is None and _interop_proc.stdin is not None:
|
||||
_interop_proc.stdin.write(":exit\n")
|
||||
_interop_proc.stdin.flush()
|
||||
_interop_proc.stdin.close()
|
||||
_interop_proc.wait(timeout=5)
|
||||
global _reader_thread
|
||||
if _reader_thread is not None:
|
||||
_reader_thread.join(timeout=1)
|
||||
_reader_thread = None
|
||||
with _state_lock:
|
||||
_callbacks.clear()
|
||||
_first_response_events.clear()
|
||||
_first_responses.clear()
|
||||
_interop_proc = None
|
||||
|
||||
|
||||
def get_interop_status() -> tuple[bool, int | None]:
|
||||
"""
|
||||
Returns current interop process status as (is_running, exit_code).
|
||||
exit_code is None when process was never started or is still running.
|
||||
"""
|
||||
proc = _interop_proc
|
||||
if proc is None:
|
||||
return (False, None)
|
||||
rc = proc.poll()
|
||||
return (rc is None, rc)
|
||||
|
||||
|
||||
def get_dsl(dsl: str, req_id: str, callback: Callable[[DslResponse], None]) -> DslResponse:
|
||||
"""
|
||||
Sends the DSL to BlueOrbDSLInteropServer and returns the first response for this req_id.
|
||||
Subsequent streaming updates for the same req_id are delivered via callback.
|
||||
Requires start_interop() to be called first.
|
||||
"""
|
||||
assert _interop_proc is not None and _interop_proc.poll() is None, (
|
||||
"Interop process is not running. Call start_interop() first."
|
||||
)
|
||||
assert _interop_proc.stdin is not None
|
||||
|
||||
payload = {"dsl": dsl, "req_id": req_id}
|
||||
first_event = threading.Event()
|
||||
with _state_lock:
|
||||
_callbacks[req_id] = callback
|
||||
_first_response_events[req_id] = first_event
|
||||
_first_responses.pop(req_id, None)
|
||||
|
||||
_interop_proc.stdin.write(json.dumps(payload) + "\n")
|
||||
_interop_proc.stdin.flush()
|
||||
|
||||
if not first_event.wait(timeout=10):
|
||||
with _state_lock:
|
||||
_first_response_events.pop(req_id, None)
|
||||
_callbacks.pop(req_id, None)
|
||||
raise TimeoutError(f"No response received for req_id '{req_id}' from BlueOrbDSLInterop.")
|
||||
|
||||
with _state_lock:
|
||||
response = _first_responses.pop(req_id, None)
|
||||
_first_response_events.pop(req_id, None)
|
||||
if response is None:
|
||||
raise RuntimeError(f"Missing first response for req_id '{req_id}'.")
|
||||
return response
|
||||
|
||||
|
||||
def _start_reader_thread() -> None:
|
||||
global _reader_thread
|
||||
if _reader_thread is not None and _reader_thread.is_alive():
|
||||
return
|
||||
_reader_thread = threading.Thread(target=_reader_loop, daemon=True)
|
||||
_reader_thread.start()
|
||||
|
||||
|
||||
def _reader_loop() -> None:
|
||||
while True:
|
||||
proc = _interop_proc
|
||||
if proc is None or proc.poll() is not None:
|
||||
return
|
||||
assert proc.stdout is not None
|
||||
raw = proc.stdout.readline()
|
||||
if raw == "":
|
||||
return
|
||||
|
||||
line = raw.strip()
|
||||
if not line:
|
||||
continue
|
||||
|
||||
try:
|
||||
payload = json.loads(line)
|
||||
except json.JSONDecodeError:
|
||||
continue
|
||||
|
||||
response = DslResponse(
|
||||
data_packet=DataPacket(state=[payload.get("data_packet")], deleted_ids=[], added_ids=[]),
|
||||
req_id=payload.get("req_id"),
|
||||
error=payload.get("error"),
|
||||
)
|
||||
req_id = response.req_id
|
||||
if not req_id:
|
||||
continue
|
||||
|
||||
callback: Optional[Callable[[DslResponse], None]]
|
||||
event: Optional[threading.Event]
|
||||
with _state_lock:
|
||||
callback = _callbacks.get(req_id)
|
||||
event = _first_response_events.get(req_id)
|
||||
if event is not None and req_id not in _first_responses:
|
||||
_first_responses[req_id] = response
|
||||
event.set()
|
||||
|
||||
if callback is not None:
|
||||
try:
|
||||
callback(response)
|
||||
except Exception:
|
||||
# Keep the reader alive if callback logic fails.
|
||||
pass
|
||||
@@ -0,0 +1,33 @@
|
||||
import os
|
||||
import sys
|
||||
import uuid
|
||||
|
||||
_here = os.path.dirname(os.path.abspath(__file__))
|
||||
_parent = os.path.dirname(_here)
|
||||
if _parent not in sys.path:
|
||||
sys.path.insert(0, _parent)
|
||||
|
||||
from BlueOrbDSL import get_dsl, start_interop, stop_interop, DslResponse
|
||||
|
||||
|
||||
def on_packet(response: DslResponse) -> None:
|
||||
print("callback from DSL Server, DslResponse:", response)
|
||||
|
||||
|
||||
def main() -> None:
|
||||
start_interop()
|
||||
try:
|
||||
while True:
|
||||
dsl = input("Enter DSL (or 'quit'): ").strip()
|
||||
if dsl.lower() == "quit":
|
||||
break
|
||||
if not dsl:
|
||||
continue
|
||||
response = get_dsl(dsl, str(uuid.uuid4()), on_packet)
|
||||
print("return:", response)
|
||||
finally:
|
||||
stop_interop()
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
@@ -0,0 +1,844 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import csv
|
||||
import time
|
||||
import os
|
||||
import sys
|
||||
import threading
|
||||
import uuid
|
||||
from collections import deque
|
||||
from datetime import datetime
|
||||
from typing import Any
|
||||
|
||||
from rich.text import Text
|
||||
from rich.style import Style
|
||||
from textual import events
|
||||
from textual.app import App, ComposeResult
|
||||
from textual.binding import Binding
|
||||
from textual.containers import Container, Horizontal, Vertical
|
||||
from textual.widgets.text_area import TextAreaTheme
|
||||
from textual.widgets import Button, DataTable, Input, Static, TabbedContent, TabPane, TextArea, Tree
|
||||
|
||||
_here = os.path.dirname(os.path.abspath(__file__))
|
||||
_parent = os.path.dirname(_here)
|
||||
if _parent not in sys.path:
|
||||
sys.path.insert(0, _parent)
|
||||
|
||||
from BlueOrbDSL import DslResponse, get_dsl, get_interop_status, start_interop, stop_interop
|
||||
|
||||
|
||||
class DSQALiveConsole(App):
|
||||
DEFAULT_QUERY = (
|
||||
'FROM market.ticks\n'
|
||||
'WHERE symbol IN ("BTCUSD", "ETHUSD")\n'
|
||||
"SELECT symbol, price, change, time"
|
||||
)
|
||||
LAST_QUERY_PATH = os.path.join(_here, "DSQA_LAST_EXECUTED_QUERY.txt")
|
||||
DSL_HIGHLIGHT_QUERY = r"""
|
||||
; comments
|
||||
(comment) @comment
|
||||
|
||||
; assignment vars: lhs in x = SomeStream(...)
|
||||
(assignment_expression
|
||||
left: (identifier) @variable)
|
||||
|
||||
; stream operators (function names ending with Stream)
|
||||
(call_expression
|
||||
function: (identifier) @function
|
||||
(#match? @function "^[A-Za-z_][A-Za-z0-9_]*Stream$"))
|
||||
|
||||
; normal function calls
|
||||
(call_expression
|
||||
function: (identifier) @function.method)
|
||||
|
||||
; arguments and literals
|
||||
(arguments (identifier) @parameter)
|
||||
(string) @string
|
||||
(number) @number
|
||||
(true) @constant.builtin
|
||||
(false) @constant.builtin
|
||||
(null) @constant.builtin
|
||||
"""
|
||||
|
||||
BINDINGS = [
|
||||
Binding("ctrl+r", "execute", "Execute"),
|
||||
Binding("f11", "execute", show=False),
|
||||
Binding("alt+enter", "execute", show=False),
|
||||
# Override Textual's default Ctrl+Q quit to avoid accidental VS Code close.
|
||||
Binding("ctrl+q", "noop", show=False),
|
||||
Binding("ctrl+x", "quit", "Quit"),
|
||||
]
|
||||
CSS = """
|
||||
Screen {
|
||||
background: #060a1c;
|
||||
color: #d8dff4;
|
||||
}
|
||||
|
||||
#window_close_button {
|
||||
width: 3;
|
||||
min-width: 3;
|
||||
height: 1;
|
||||
margin: 0;
|
||||
border: none;
|
||||
background: #3a1015;
|
||||
color: #ff9ca8;
|
||||
text-style: bold;
|
||||
}
|
||||
|
||||
#window_close_button:hover,
|
||||
#window_close_button:focus {
|
||||
background: #5a1620;
|
||||
color: #ffd6db;
|
||||
}
|
||||
|
||||
#root {
|
||||
padding: 0 1 0 1;
|
||||
height: 1fr;
|
||||
}
|
||||
|
||||
#query_panel {
|
||||
background: #070d27;
|
||||
height: 33%;
|
||||
margin-top: 1;
|
||||
}
|
||||
|
||||
#query_header_row {
|
||||
height: 1;
|
||||
border-bottom: solid #596285;
|
||||
}
|
||||
|
||||
#query_header {
|
||||
width: auto;
|
||||
color: #9eb0d4;
|
||||
content-align: left middle;
|
||||
}
|
||||
|
||||
#query_header_spacer {
|
||||
width: 1fr;
|
||||
}
|
||||
|
||||
#query_input {
|
||||
border: solid #697597;
|
||||
background: #050b22;
|
||||
color: #cfd7eb;
|
||||
height: 1fr;
|
||||
padding-left: 1;
|
||||
}
|
||||
|
||||
#results_panel {
|
||||
background: #070d27;
|
||||
height: 1fr;
|
||||
margin-top: 1;
|
||||
}
|
||||
|
||||
#results_toolbar {
|
||||
height: 3;
|
||||
padding: 0 1;
|
||||
}
|
||||
|
||||
#results_left {
|
||||
width: auto;
|
||||
height: 3;
|
||||
margin-top: 0;
|
||||
}
|
||||
|
||||
#stream_toggle_button {
|
||||
width: auto;
|
||||
min-width: 11;
|
||||
margin-top: 0;
|
||||
margin-left: 1;
|
||||
border: none;
|
||||
background: #070d27;
|
||||
color: #79afe7;
|
||||
}
|
||||
|
||||
#stream_toggle_button:hover,
|
||||
#stream_toggle_button:focus {
|
||||
background: #111a3f;
|
||||
color: #9bc9f6;
|
||||
}
|
||||
|
||||
#execute_button {
|
||||
width: 5;
|
||||
min-width: 5;
|
||||
margin-top: 0;
|
||||
margin-left: 1;
|
||||
border: none;
|
||||
background: #10341f;
|
||||
color: #7ef1ac;
|
||||
text-style: bold;
|
||||
}
|
||||
|
||||
#execute_button:hover,
|
||||
#execute_button:focus {
|
||||
background: #1a4f30;
|
||||
color: #b3ffd0;
|
||||
}
|
||||
|
||||
#results_actions {
|
||||
width: auto;
|
||||
height: 3;
|
||||
margin-top: 0;
|
||||
}
|
||||
|
||||
#results_spacer {
|
||||
width: 1fr;
|
||||
}
|
||||
|
||||
#results_search {
|
||||
width: 30;
|
||||
min-width: 24;
|
||||
margin-right: 1;
|
||||
border: none;
|
||||
background: #060d28;
|
||||
color: #d5def3;
|
||||
padding: 0 1;
|
||||
}
|
||||
|
||||
#search_button,
|
||||
#copy_button,
|
||||
#export_button {
|
||||
width: auto;
|
||||
min-width: 11;
|
||||
margin-left: 1;
|
||||
border: none;
|
||||
background: #070d27;
|
||||
color: #79afe7;
|
||||
}
|
||||
|
||||
#search_button:hover,
|
||||
#copy_button:hover,
|
||||
#export_button:hover,
|
||||
#search_button:focus,
|
||||
#copy_button:focus,
|
||||
#export_button:focus {
|
||||
background: #111a3f;
|
||||
color: #9bc9f6;
|
||||
}
|
||||
|
||||
#results_table {
|
||||
border: solid #697597;
|
||||
background: #050b22;
|
||||
height: 1fr;
|
||||
}
|
||||
|
||||
#results_table .datatable--header,
|
||||
#results_table .datatable--header-hover,
|
||||
#results_table .datatable--header-cursor {
|
||||
background: #0c1535;
|
||||
color: #6ea6df;
|
||||
text-style: bold;
|
||||
}
|
||||
|
||||
#results_table .datatable--even-row {
|
||||
background: #050b22;
|
||||
}
|
||||
|
||||
#results_table .datatable--odd-row {
|
||||
background: #07102a;
|
||||
}
|
||||
|
||||
#results_table .datatable--cursor {
|
||||
background: #19335b;
|
||||
color: #dbe8ff;
|
||||
}
|
||||
|
||||
#results_table .datatable--fixed-cursor {
|
||||
background: #132949;
|
||||
color: #c8dbff;
|
||||
}
|
||||
|
||||
#results_table.error .datatable--odd-row,
|
||||
#results_table.error .datatable--even-row,
|
||||
#results_table.error .datatable--cursor,
|
||||
#results_table.error .datatable--fixed-cursor {
|
||||
color: #f17486;
|
||||
text-style: bold;
|
||||
}
|
||||
|
||||
#results_panel.paused {
|
||||
background: #150f1f;
|
||||
}
|
||||
|
||||
#results_table.paused {
|
||||
background: #130f18;
|
||||
}
|
||||
|
||||
#results_table.paused .datatable--header,
|
||||
#results_table.paused .datatable--header-hover,
|
||||
#results_table.paused .datatable--header-cursor {
|
||||
background: #262338;
|
||||
color: #8b90a1;
|
||||
text-style: bold;
|
||||
}
|
||||
|
||||
#results_tabs {
|
||||
height: 1fr;
|
||||
background: #070d27;
|
||||
}
|
||||
|
||||
#data_tab,
|
||||
#tree_tab {
|
||||
padding: 0;
|
||||
}
|
||||
|
||||
#ops_tree {
|
||||
border: solid #697597;
|
||||
background: #050b22;
|
||||
color: #cfd7eb;
|
||||
height: 1fr;
|
||||
}
|
||||
|
||||
#bottom_status_bar {
|
||||
border-top: solid #596285;
|
||||
background: #070d27;
|
||||
height: 2;
|
||||
margin: 0;
|
||||
padding: 0 1;
|
||||
}
|
||||
|
||||
#status_right_wrap {
|
||||
width: 1fr;
|
||||
}
|
||||
|
||||
#status_row {
|
||||
height: 1;
|
||||
margin-top: 0;
|
||||
width: 1fr;
|
||||
}
|
||||
|
||||
#live_status {
|
||||
width: 1fr;
|
||||
color: #b3bed9;
|
||||
content-align: right middle;
|
||||
}
|
||||
"""
|
||||
|
||||
def compose(self) -> ComposeResult:
|
||||
with Container(id="root"):
|
||||
with Vertical(id="query_panel"):
|
||||
with Horizontal(id="query_header_row"):
|
||||
yield Static("DSL Query", id="query_header")
|
||||
yield Static("", id="query_header_spacer")
|
||||
yield Button("✕", id="window_close_button")
|
||||
yield TextArea(
|
||||
text=self._load_last_query(),
|
||||
id="query_input",
|
||||
language="javascript",
|
||||
theme="vscode_dark",
|
||||
show_line_numbers=True,
|
||||
)
|
||||
with Vertical(id="results_panel"):
|
||||
with Horizontal(id="results_toolbar"):
|
||||
with Horizontal(id="results_left"):
|
||||
yield Button("▶", id="execute_button")
|
||||
yield Button("⏸ Pause", id="stream_toggle_button")
|
||||
yield Static("", id="results_spacer")
|
||||
with Horizontal(id="results_actions"):
|
||||
yield Input(placeholder="Search: col:value", id="results_search")
|
||||
yield Button("⌕ Search", id="search_button")
|
||||
yield Button("⧉ Copy", id="copy_button")
|
||||
yield Button("⇩ Export", id="export_button")
|
||||
with TabbedContent(initial="data_tab", id="results_tabs"):
|
||||
with TabPane("Data", id="data_tab"):
|
||||
table = DataTable(id="results_table")
|
||||
table.cursor_type = "cell"
|
||||
table.show_cursor = True
|
||||
table.zebra_stripes = True
|
||||
yield table
|
||||
with TabPane("Operators", id="tree_tab"):
|
||||
tree = Tree("Assemblies", id="ops_tree")
|
||||
tree.show_root = False
|
||||
yield tree
|
||||
with Horizontal(id="bottom_status_bar"):
|
||||
with Horizontal(id="status_right_wrap"):
|
||||
with Horizontal(id="status_row"):
|
||||
yield Static(
|
||||
"Rows: 0 | Rate: 0.0/s | Total Updates: 0 | Uptime: 00:00:00 | Last Update: --:--:--",
|
||||
id="live_status",
|
||||
)
|
||||
|
||||
def on_mount(self) -> None:
|
||||
self._update_timestamps: deque[float] = deque()
|
||||
self._last_update_at: datetime | None = None
|
||||
self._stream_started_at: float | None = None
|
||||
self._total_updates = 0
|
||||
self._last_row_count = 0
|
||||
self._current_col_names: list[str] = []
|
||||
self._current_rows: list[dict[str, Any]] = []
|
||||
self._column_width_cache: dict[str, int] = {}
|
||||
self._ops_catalog_rows: list[dict[str, Any]] = []
|
||||
self._ops_catalog_error: str | None = None
|
||||
self._ops_catalog_loaded = False
|
||||
self._ops_catalog_loading = False
|
||||
self._interop_is_running = False
|
||||
self._interop_exit_code: int | None = None
|
||||
self._grid_updates_enabled = True
|
||||
self._paused_latest_response: DslResponse | None = None
|
||||
self._ensure_interop_started()
|
||||
self._refresh_ops_tree()
|
||||
self._refresh_ops_tree_async()
|
||||
self._configure_query_highlighting()
|
||||
self._set_pause_visuals()
|
||||
self.set_interval(0.5, self._refresh_status)
|
||||
|
||||
def _configure_query_highlighting(self) -> None:
|
||||
query_input = self.query_one("#query_input", TextArea)
|
||||
query_input.language = "javascript"
|
||||
dsl_theme = TextAreaTheme(
|
||||
"dsqa_ide",
|
||||
base_style=Style.parse("#d7deee on #171a22"),
|
||||
gutter_style=Style.parse("#8a93a8 on #1c212b"),
|
||||
cursor_style=Style.parse("#ffffff on #2b3242"),
|
||||
cursor_line_style=Style.parse("on #202534"),
|
||||
cursor_line_gutter_style=Style.parse("#a6afc4 on #202534"),
|
||||
selection_style=Style.parse("on #2a3f67"),
|
||||
bracket_matching_style=Style.parse("bold #7fd9ff"),
|
||||
syntax_styles={
|
||||
"comment": Style.parse("italic #6f778a"),
|
||||
"variable": Style.parse("bold #4ec9b0"),
|
||||
"function": Style.parse("bold #4fc1ff"),
|
||||
"function.method": Style.parse("bold #70d4ff"),
|
||||
"parameter": Style.parse("#c6d4f8"),
|
||||
"string": Style.parse("#d7ba7d"),
|
||||
"number": Style.parse("#b5cea8"),
|
||||
"constant.builtin": Style.parse("bold #569cd6"),
|
||||
},
|
||||
)
|
||||
query_input.register_theme(dsl_theme)
|
||||
query_input.theme = "dsqa_ide"
|
||||
try:
|
||||
query_input.update_highlight_query(self.DSL_HIGHLIGHT_QUERY)
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
def on_shutdown(self) -> None:
|
||||
stop_interop()
|
||||
|
||||
@staticmethod
|
||||
def _ensure_interop_started() -> None:
|
||||
try:
|
||||
start_interop()
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
def action_execute(self) -> None:
|
||||
tabs = self.query_one("#results_tabs", TabbedContent)
|
||||
tabs.active = "data_tab"
|
||||
self._grid_updates_enabled = True
|
||||
self._set_stream_toggle_label()
|
||||
self._set_pause_visuals()
|
||||
self._execute_query_async()
|
||||
|
||||
def action_noop(self) -> None:
|
||||
pass
|
||||
|
||||
def on_button_pressed(self, event: Button.Pressed) -> None:
|
||||
button_id = event.button.id
|
||||
if button_id == "search_button":
|
||||
self._search_results()
|
||||
elif button_id == "copy_button":
|
||||
self._copy_selected_cell()
|
||||
elif button_id == "export_button":
|
||||
self._export_results_csv()
|
||||
elif button_id == "execute_button":
|
||||
self.action_execute()
|
||||
elif button_id == "window_close_button":
|
||||
self.exit()
|
||||
elif button_id == "stream_toggle_button":
|
||||
self._toggle_stream_painting()
|
||||
|
||||
def on_input_submitted(self, event: Input.Submitted) -> None:
|
||||
if event.input.id == "results_search":
|
||||
self._search_results()
|
||||
|
||||
def on_click(self, event: events.Click) -> None:
|
||||
if getattr(event.widget, "id", None) != "ops_tree":
|
||||
return
|
||||
line = event.style.meta.get("line")
|
||||
if line is None:
|
||||
return
|
||||
tree = self.query_one("#ops_tree", Tree)
|
||||
node = tree.get_node_at_line(line)
|
||||
if node is None:
|
||||
return
|
||||
node_data = node.data
|
||||
if not isinstance(node_data, dict) or node_data.get("kind") != "constructor":
|
||||
return
|
||||
self._append_operator_to_query(self._stringify(node_data.get("op", "")).strip())
|
||||
|
||||
def _append_operator_to_query(self, op_name: str) -> None:
|
||||
if not op_name:
|
||||
return
|
||||
query_input = self.query_one("#query_input", TextArea)
|
||||
existing = query_input.text
|
||||
if existing.strip():
|
||||
separator = "" if existing.endswith("\n") else "\n"
|
||||
query_input.text = f"{existing}{separator}{op_name}"
|
||||
else:
|
||||
query_input.text = op_name
|
||||
query_input.focus()
|
||||
|
||||
def _execute_query_async(self) -> None:
|
||||
self._ensure_interop_started()
|
||||
query = self.query_one(TextArea).text.strip()
|
||||
if not query:
|
||||
return
|
||||
self._column_width_cache.clear()
|
||||
self._save_last_query(query)
|
||||
self._update_timestamps.clear()
|
||||
self._last_update_at = None
|
||||
self._stream_started_at = time.monotonic()
|
||||
self._total_updates = 0
|
||||
self._last_row_count = 0
|
||||
self._paused_latest_response = None
|
||||
self._refresh_status()
|
||||
|
||||
req_id = str(uuid.uuid4())
|
||||
|
||||
def _run() -> None:
|
||||
try:
|
||||
def _on_response(resp: DslResponse) -> None:
|
||||
self.call_from_thread(self._render_response, resp)
|
||||
|
||||
get_dsl(query, req_id, _on_response)
|
||||
except Exception as exc:
|
||||
error_resp = DslResponse(data_packet=None, req_id=req_id, error=str(exc))
|
||||
self.call_from_thread(self._render_response, error_resp)
|
||||
|
||||
threading.Thread(target=_run, daemon=True).start()
|
||||
|
||||
def _render_response(self, response: DslResponse) -> None:
|
||||
if not self._grid_updates_enabled:
|
||||
self._paused_latest_response = response
|
||||
return
|
||||
self._render_response_internal(response)
|
||||
|
||||
def _render_response_internal(self, response: DslResponse) -> None:
|
||||
self._record_update()
|
||||
table = self.query_one(DataTable)
|
||||
table.remove_class("error")
|
||||
prev_scroll_x = table.scroll_offset.x
|
||||
prev_scroll_y = table.scroll_offset.y
|
||||
table.clear(columns=True)
|
||||
|
||||
if response.error:
|
||||
table.add_class("error")
|
||||
error_text = self._stringify(response.error)
|
||||
error_lines = error_text.splitlines() or [error_text]
|
||||
self._current_col_names = []
|
||||
self._current_rows = []
|
||||
self._last_row_count = len(error_lines)
|
||||
self._refresh_ops_tree()
|
||||
table.add_columns("error")
|
||||
for line in error_lines:
|
||||
table.add_row(Text(line, style="bold #f17486"))
|
||||
return
|
||||
|
||||
if response.data_packet is None or not response.data_packet.state:
|
||||
self._current_col_names = []
|
||||
self._current_rows = []
|
||||
self._last_row_count = 0
|
||||
self._refresh_ops_tree()
|
||||
table.add_columns("empty")
|
||||
table.add_row("no data")
|
||||
return
|
||||
|
||||
data_packet = response.data_packet.state[0]
|
||||
columns = data_packet.get("columns", [])
|
||||
rows = data_packet.get("all", [])
|
||||
if not isinstance(rows, list):
|
||||
rows = []
|
||||
|
||||
col_names = [c.get("name", "") for c in columns]
|
||||
if not col_names:
|
||||
col_names = list(rows[0].keys()) if rows else ["empty"]
|
||||
|
||||
self._current_col_names = col_names
|
||||
self._current_rows = rows
|
||||
self._last_row_count = len(rows)
|
||||
self._refresh_ops_tree()
|
||||
for col_name in col_names:
|
||||
width = self._column_width_cache.get(col_name, len(col_name))
|
||||
for row in rows:
|
||||
if not isinstance(row, dict):
|
||||
continue
|
||||
cell_text = self._stringify(row.get(col_name, ""))
|
||||
width = max(width, len(cell_text))
|
||||
self._column_width_cache[col_name] = width
|
||||
table.add_column(col_name, width=width)
|
||||
for row in rows:
|
||||
table.add_row(*[self._format_cell(c, row.get(c, "")) for c in col_names])
|
||||
# Preserve user's viewport during streaming refreshes.
|
||||
table.scroll_to(
|
||||
x=min(prev_scroll_x, table.max_scroll_x),
|
||||
y=min(prev_scroll_y, table.max_scroll_y),
|
||||
animate=False,
|
||||
)
|
||||
|
||||
@staticmethod
|
||||
def _stringify(value: Any) -> str:
|
||||
return "" if value is None else str(value)
|
||||
|
||||
@staticmethod
|
||||
def _format_cell(column_name: str, value: Any) -> str | Text:
|
||||
text = DSQALiveConsole._stringify(value)
|
||||
lowered = column_name.lower()
|
||||
if lowered == "id":
|
||||
return Text(text, style="bold #9eb1d8")
|
||||
if lowered == "symbol":
|
||||
return Text(text, style="bold #dce6ff")
|
||||
if lowered == "price":
|
||||
return Text(text, style="bold #d4ddf2")
|
||||
if lowered == "time":
|
||||
return Text(text, style="#aab5d0")
|
||||
if lowered == "change":
|
||||
cleaned = text.strip()
|
||||
if cleaned.startswith("-"):
|
||||
return Text(text, style="bold #f17486")
|
||||
if cleaned.startswith("+"):
|
||||
return Text(text, style="bold #92d67e")
|
||||
return Text(text, style="bold #c7d3ef")
|
||||
if lowered == "bid":
|
||||
return Text(text, style="bold #8cf3c0 on #123526")
|
||||
if lowered == "ask":
|
||||
return Text(text, style="bold #ffd5d9 on #3b1b25")
|
||||
return text
|
||||
|
||||
def _record_update(self) -> None:
|
||||
now = time.monotonic()
|
||||
self._update_timestamps.append(now)
|
||||
self._total_updates += 1
|
||||
if self._stream_started_at is None:
|
||||
self._stream_started_at = now
|
||||
self._last_update_at = datetime.now()
|
||||
self._refresh_status()
|
||||
|
||||
def _refresh_status(self) -> None:
|
||||
self._refresh_interop_heartbeat()
|
||||
now = time.monotonic()
|
||||
cutoff = now - 1.0
|
||||
while self._update_timestamps and self._update_timestamps[0] < cutoff:
|
||||
self._update_timestamps.popleft()
|
||||
|
||||
rate = float(len(self._update_timestamps))
|
||||
if self._stream_started_at is not None:
|
||||
uptime_seconds = max(0, int(now - self._stream_started_at))
|
||||
uptime = self._format_duration(uptime_seconds)
|
||||
else:
|
||||
uptime = "--:--:--"
|
||||
last_update = self._last_update_at.strftime("%H:%M:%S") if self._last_update_at else "--:--:--"
|
||||
status = Text()
|
||||
if self._interop_is_running:
|
||||
status.append("Interop: ● UP", style="bold #92d67e")
|
||||
elif self._interop_exit_code is not None:
|
||||
status.append(f"Interop: ● DOWN({self._interop_exit_code})", style="bold #f17486")
|
||||
else:
|
||||
status.append("Interop: ● DOWN", style="bold #8b90a1")
|
||||
status.append(" | ")
|
||||
status.append(f"Rows: {self._last_row_count} | Rate: {rate:.1f}/s | ")
|
||||
status.append(f"Total Updates: {self._total_updates}", style="bold #79afe7")
|
||||
status.append(f" | Uptime: {uptime} | ")
|
||||
status.append(f"Last Update: {last_update}", style="bold #79afe7")
|
||||
self.query_one("#live_status", Static).update(status)
|
||||
|
||||
def _refresh_interop_heartbeat(self) -> None:
|
||||
is_running, exit_code = get_interop_status()
|
||||
self._interop_is_running = is_running
|
||||
self._interop_exit_code = exit_code
|
||||
|
||||
@staticmethod
|
||||
def _format_duration(total_seconds: int) -> str:
|
||||
hours = total_seconds // 3600
|
||||
minutes = (total_seconds % 3600) // 60
|
||||
seconds = total_seconds % 60
|
||||
return f"{hours:02d}:{minutes:02d}:{seconds:02d}"
|
||||
|
||||
def _search_results(self) -> None:
|
||||
raw = self.query_one("#results_search", Input).value.strip()
|
||||
if ":" not in raw:
|
||||
return
|
||||
col_part, value_part = raw.split(":", 1)
|
||||
target_col = col_part.strip()
|
||||
target_value = value_part.strip()
|
||||
if not target_col:
|
||||
return
|
||||
|
||||
lookup = {name.lower(): idx for idx, name in enumerate(self._current_col_names)}
|
||||
col_idx = lookup.get(target_col.lower())
|
||||
if col_idx is None:
|
||||
return
|
||||
|
||||
col_name = self._current_col_names[col_idx]
|
||||
needle = target_value.lower()
|
||||
for row_idx, row in enumerate(self._current_rows):
|
||||
if not isinstance(row, dict):
|
||||
continue
|
||||
cell_value = self._stringify(row.get(col_name, ""))
|
||||
if needle in cell_value.lower():
|
||||
table = self.query_one("#results_table", DataTable)
|
||||
table.move_cursor(row=row_idx, column=col_idx)
|
||||
table.focus()
|
||||
return
|
||||
|
||||
def _copy_selected_cell(self) -> None:
|
||||
table = self.query_one("#results_table", DataTable)
|
||||
if table.row_count == 0 or not self._current_col_names:
|
||||
return
|
||||
coordinate = table.cursor_coordinate
|
||||
try:
|
||||
cell = table.get_cell_at(coordinate)
|
||||
except Exception:
|
||||
return
|
||||
if isinstance(cell, Text):
|
||||
value = cell.plain
|
||||
else:
|
||||
value = self._stringify(cell)
|
||||
self.copy_to_clipboard(value)
|
||||
|
||||
def _export_results_csv(self) -> None:
|
||||
if not self._current_col_names:
|
||||
return
|
||||
timestamp = datetime.now().strftime("%Y%m%d_%H%M%S")
|
||||
export_path = os.path.join(_here, f"DSQA_RESULTS_EXPORT_{timestamp}.csv")
|
||||
with open(export_path, "w", newline="", encoding="utf-8") as csv_file:
|
||||
writer = csv.writer(csv_file)
|
||||
writer.writerow(self._current_col_names)
|
||||
for row in self._current_rows:
|
||||
if isinstance(row, dict):
|
||||
writer.writerow([self._stringify(row.get(col, "")) for col in self._current_col_names])
|
||||
|
||||
def _refresh_ops_tree(self) -> None:
|
||||
tree = self.query_one("#ops_tree", Tree)
|
||||
root = tree.root
|
||||
root.remove_children()
|
||||
|
||||
if self._ops_catalog_error:
|
||||
root.add(Text(self._ops_catalog_error, style="bold #f17486"))
|
||||
root.expand()
|
||||
return
|
||||
|
||||
grouped: dict[str, dict[str, dict[str, set[str]]]] = {}
|
||||
for row in self._ops_catalog_rows:
|
||||
if not isinstance(row, dict):
|
||||
continue
|
||||
row_lookup = {self._stringify(k).lower(): v for k, v in row.items()}
|
||||
assembly_name = self._stringify(row_lookup.get("assembly_name", "")).strip() or "(unknown assembly)"
|
||||
namespace = self._stringify(row_lookup.get("namespace", "")).strip() or "(global)"
|
||||
op = self._stringify(row_lookup.get("op", "")).strip() or "(unknown op)"
|
||||
constructor = self._stringify(row_lookup.get("constructor", "")).strip() or "(none)"
|
||||
grouped.setdefault(assembly_name, {}).setdefault(namespace, {}).setdefault(op, set()).add(constructor)
|
||||
|
||||
if not grouped:
|
||||
root.add(Text("No operator metadata available", style="#8ea0c6"))
|
||||
root.expand()
|
||||
return
|
||||
|
||||
for assembly_name in sorted(grouped.keys(), key=str.lower):
|
||||
assembly_node = root.add(Text(assembly_name, style="bold #79afe7"))
|
||||
for namespace in sorted(grouped[assembly_name].keys(), key=str.lower):
|
||||
namespace_node = assembly_node.add(Text(namespace, style="#cfd7eb"))
|
||||
for op in sorted(grouped[assembly_name][namespace].keys(), key=str.lower):
|
||||
op_node = namespace_node.add(
|
||||
Text(op, style="#b8c8e7"),
|
||||
data={"kind": "op", "op": op},
|
||||
)
|
||||
for constructor in sorted(grouped[assembly_name][namespace][op], key=str.lower):
|
||||
op_node.add(
|
||||
Text(constructor, style="#9eb0d4"),
|
||||
data={"kind": "constructor", "op": op, "constructor": constructor},
|
||||
)
|
||||
op_node.expand()
|
||||
namespace_node.expand()
|
||||
assembly_node.expand()
|
||||
root.expand()
|
||||
|
||||
def _refresh_ops_tree_async(self) -> None:
|
||||
if self._ops_catalog_loaded or self._ops_catalog_loading:
|
||||
return
|
||||
self._ensure_interop_started()
|
||||
self._ops_catalog_loading = True
|
||||
req_id = str(uuid.uuid4())
|
||||
|
||||
def _run() -> None:
|
||||
try:
|
||||
def _on_response(resp: DslResponse) -> None:
|
||||
self.call_from_thread(self._update_ops_catalog, resp)
|
||||
|
||||
get_dsl("OpsStream()", req_id, _on_response)
|
||||
except Exception as exc:
|
||||
error_resp = DslResponse(data_packet=None, req_id=req_id, error=str(exc))
|
||||
self.call_from_thread(self._update_ops_catalog, error_resp)
|
||||
|
||||
threading.Thread(target=_run, daemon=True).start()
|
||||
|
||||
def _update_ops_catalog(self, response: DslResponse) -> None:
|
||||
self._ops_catalog_loading = False
|
||||
if response.error:
|
||||
self._ops_catalog_rows = []
|
||||
self._ops_catalog_error = self._stringify(response.error)
|
||||
self._refresh_ops_tree()
|
||||
return
|
||||
|
||||
if response.data_packet is None or not response.data_packet.state:
|
||||
self._ops_catalog_rows = []
|
||||
self._ops_catalog_error = "OpsStream() returned no data"
|
||||
self._refresh_ops_tree()
|
||||
return
|
||||
|
||||
data_packet = response.data_packet.state[0]
|
||||
rows = data_packet.get("all", [])
|
||||
if not isinstance(rows, list):
|
||||
rows = []
|
||||
normalized_rows: list[dict[str, Any]] = []
|
||||
for row in rows:
|
||||
if isinstance(row, dict):
|
||||
normalized_rows.append(row)
|
||||
self._ops_catalog_rows = normalized_rows
|
||||
self._ops_catalog_error = None
|
||||
self._ops_catalog_loaded = True
|
||||
self._refresh_ops_tree()
|
||||
|
||||
def _toggle_stream_painting(self) -> None:
|
||||
self._grid_updates_enabled = not self._grid_updates_enabled
|
||||
self._set_stream_toggle_label()
|
||||
self._set_pause_visuals()
|
||||
if self._grid_updates_enabled and self._paused_latest_response is not None:
|
||||
latest = self._paused_latest_response
|
||||
self._paused_latest_response = None
|
||||
self._render_response_internal(latest)
|
||||
|
||||
def _set_stream_toggle_label(self) -> None:
|
||||
button = self.query_one("#stream_toggle_button", Button)
|
||||
button.label = "⏸ Pause" if self._grid_updates_enabled else "▶ Play"
|
||||
|
||||
def _set_pause_visuals(self) -> None:
|
||||
table = self.query_one("#results_table", DataTable)
|
||||
panel = self.query_one("#results_panel", Vertical)
|
||||
if self._grid_updates_enabled:
|
||||
table.remove_class("paused")
|
||||
panel.remove_class("paused")
|
||||
else:
|
||||
table.add_class("paused")
|
||||
panel.add_class("paused")
|
||||
|
||||
def _load_last_query(self) -> str:
|
||||
try:
|
||||
with open(self.LAST_QUERY_PATH, "r", encoding="utf-8") as file:
|
||||
text = file.read().strip()
|
||||
return text if text else self.DEFAULT_QUERY
|
||||
except FileNotFoundError:
|
||||
return self.DEFAULT_QUERY
|
||||
except OSError:
|
||||
return self.DEFAULT_QUERY
|
||||
|
||||
def _save_last_query(self, query: str) -> None:
|
||||
try:
|
||||
with open(self.LAST_QUERY_PATH, "w", encoding="utf-8") as file:
|
||||
file.write(query)
|
||||
except OSError:
|
||||
pass
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
DSQALiveConsole().run()
|
||||
@@ -0,0 +1,31 @@
|
||||
<Project Sdk="Microsoft.NET.Sdk">
|
||||
|
||||
<PropertyGroup>
|
||||
<OutputType>Exe</OutputType>
|
||||
<TargetFramework>net8.0</TargetFramework>
|
||||
<ImplicitUsings>enable</ImplicitUsings>
|
||||
<Nullable>enable</Nullable>
|
||||
<AssemblyName>BlueOrbDSLInteropServer</AssemblyName>
|
||||
<RootNamespace>BlueOrbDSLInteropServer</RootNamespace>
|
||||
</PropertyGroup>
|
||||
|
||||
<Choose>
|
||||
<When Condition="'$(UseProjectRefs)' == 'true'">
|
||||
<ItemGroup>
|
||||
<ProjectReference Include="..\..\cs\Bts.Spark.Api\Bts.Spark.Api.csproj" />
|
||||
<ProjectReference Include="..\DataStream\DataStream.csproj" />
|
||||
<ProjectReference Include="..\PubSub\PubSub.csproj" />
|
||||
<ProjectReference Include="..\BlueOrbOperatorStreams\BlueOrbOperatorStreams.csproj" />
|
||||
</ItemGroup>
|
||||
</When>
|
||||
<Otherwise>
|
||||
<ItemGroup>
|
||||
<PackageReference Include="Bts.Spark.Api" Version="$(SparkVersion)" />
|
||||
<PackageReference Include="DataStream" Version="$(SparkVersion)" />
|
||||
<PackageReference Include="PubSub" Version="$(SparkVersion)" />
|
||||
<PackageReference Include="BlueOrbOperatorStreams" Version="$(SparkVersion)" />
|
||||
</ItemGroup>
|
||||
</Otherwise>
|
||||
</Choose>
|
||||
|
||||
</Project>
|
||||
@@ -0,0 +1,122 @@
|
||||
using System;
|
||||
using System.Text.Json;
|
||||
using System.Text.Json.Serialization;
|
||||
|
||||
using BCG;
|
||||
|
||||
using bts.BlueOrb;
|
||||
|
||||
using Bts.DataStream;
|
||||
|
||||
using Bts.DataStreamCore;
|
||||
using Bts.DataStreamExpressions;
|
||||
using Bts.PubSub;
|
||||
|
||||
using MathNet.Numerics.Statistics;
|
||||
|
||||
|
||||
namespace BlueOrbDSLInteropServer {
|
||||
// BlueOrbDSLInteropServer reads DSL lines from stdin, validates them,
|
||||
// and writes one DataPacket JSON line to stdout per input.
|
||||
internal static class Program {
|
||||
private const string ExitSignal = ":exit";
|
||||
private static SyncQueue<DslRequest> _work_queue = new SyncQueue<DslRequest>();
|
||||
private static JsonSerializerOptions response_json_options = new JsonSerializerOptions {
|
||||
NumberHandling = JsonNumberHandling.AllowNamedFloatingPointLiterals
|
||||
};
|
||||
private static string _current_req_id;
|
||||
|
||||
// Request from Python
|
||||
private sealed class DslRequest {
|
||||
public string? dsl { get; set; }
|
||||
public string? req_id { get; set; }
|
||||
}
|
||||
|
||||
// Response envelope for Python: includes DataPacket, request id, and optional error.
|
||||
private sealed class DslResponse {
|
||||
public DataPacket? data_packet { get; set; }
|
||||
public string? req_id { get; set; }
|
||||
public string? error { get; set; }
|
||||
}
|
||||
|
||||
private static void Main(string[] args) {
|
||||
//System.Threading.Thread.Sleep(20000);
|
||||
System.Threading.Thread thread = new Thread(_worker_loop);
|
||||
thread.IsBackground = true;
|
||||
thread.Start();
|
||||
response_json_options.Converters.Add(new DataPacketJsonConverter {
|
||||
IncludeCurrent = true,
|
||||
UseObjectRows = true,
|
||||
});
|
||||
string? line;
|
||||
while ((line = Console.ReadLine()) != null) {
|
||||
line = line.Trim();
|
||||
if (line.Length == 0) {
|
||||
continue;
|
||||
}
|
||||
if (string.Equals(line, ExitSignal, StringComparison.OrdinalIgnoreCase)) {
|
||||
break;
|
||||
}
|
||||
|
||||
try {
|
||||
DslRequest req = JsonSerializer.Deserialize<DslRequest>(line);
|
||||
_work_queue.enqueue(req);
|
||||
} catch (Exception ex) {
|
||||
bts.Log.assert(false, ex.ToString());
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private static void _worker_loop() {
|
||||
Dictionary<string, ViewStream> req_map = new Dictionary<string, ViewStream>();
|
||||
while (true) {
|
||||
System.Threading.Thread.Sleep(100);
|
||||
ViewStreamDatabase.instance.doWork();
|
||||
var new_reqs = _work_queue.dequeue_all();
|
||||
if (new_reqs == null || new_reqs.Count == 0) {
|
||||
continue;
|
||||
}
|
||||
// ubsubscribing to previous stream(s)
|
||||
foreach (var kv in req_map) {
|
||||
kv.Value.onChange -= dp_obj => _on_dp(kv.Key, dp_obj);
|
||||
}
|
||||
foreach (var r in new_reqs) {
|
||||
var req_id = string.IsNullOrWhiteSpace(r.req_id) ? Guid.NewGuid().ToString() : r.req_id;
|
||||
_current_req_id = req_id;
|
||||
try {
|
||||
DSLStream dsl_str = new DSLStream(r.dsl);
|
||||
req_map[req_id] = dsl_str;
|
||||
dsl_str.onChange += dp_obj => _on_dp(req_id, dp_obj);
|
||||
} catch (Exception ex) {
|
||||
_write_error(req_id, ex.StackTrace);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private static void _on_dp(string req_id, object dp_obj) {
|
||||
// eventhough we unsubscribe to all the other streams except the currrent one,
|
||||
// sometimes the onLastSub is not implemented and we still get updates, this masks them
|
||||
if (req_id != _current_req_id)
|
||||
return;
|
||||
DataPacket dp = dp_obj as DataPacket;
|
||||
DslResponse response = new DslResponse() {
|
||||
data_packet = dp,
|
||||
req_id = req_id,
|
||||
error = ""
|
||||
};
|
||||
var json = JsonSerializer.Serialize(response, response_json_options);
|
||||
Console.WriteLine(json);
|
||||
}
|
||||
|
||||
private static void _write_error(string req_id, string error) {
|
||||
DslResponse response = new DslResponse() {
|
||||
data_packet = null,
|
||||
req_id = req_id,
|
||||
error = error
|
||||
};
|
||||
var json = JsonSerializer.Serialize(response, response_json_options);
|
||||
Console.WriteLine(json);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,514 @@
|
||||
// namespace BlueOrb.Operators.Signal;
|
||||
|
||||
// using BCG;
|
||||
|
||||
// using bts;
|
||||
|
||||
// using System;
|
||||
// using System.Collections.Generic;
|
||||
// using System.Globalization;
|
||||
// using System.Linq;
|
||||
|
||||
// [DataStreamUserRespresentation("BarBuilderStream")]
|
||||
// public class BarBuilderStream : ViewStream
|
||||
// {
|
||||
// enum BarType
|
||||
// {
|
||||
// TIME,
|
||||
// TICK,
|
||||
// VOLUME,
|
||||
// DOLLAR,
|
||||
// }
|
||||
|
||||
// enum PriceSource
|
||||
// {
|
||||
// trade_price,
|
||||
// mid,
|
||||
// bid,
|
||||
// ask,
|
||||
// }
|
||||
|
||||
// enum VolumeSource
|
||||
// {
|
||||
// trade_size,
|
||||
// none,
|
||||
// }
|
||||
|
||||
// enum SessionReset
|
||||
// {
|
||||
// NONE,
|
||||
// DAY,
|
||||
// RTH,
|
||||
// ETH,
|
||||
// }
|
||||
|
||||
// sealed class BarState
|
||||
// {
|
||||
// public string Contract = string.Empty;
|
||||
// public DateTime StartTs;
|
||||
// public DateTime EndTs;
|
||||
// public double Open;
|
||||
// public double High;
|
||||
// public double Low;
|
||||
// public double Close;
|
||||
// public double Volume;
|
||||
// public int TradeCount;
|
||||
// public double SumPriceSize;
|
||||
// public double SumSize;
|
||||
// public double DollarNotional;
|
||||
// public bool HasData;
|
||||
// public DateTime SessionDay;
|
||||
// public bool InitialSnapshotEmitted;
|
||||
// }
|
||||
|
||||
// readonly ViewStream _priceStream;
|
||||
// readonly BarType _barType;
|
||||
// readonly int _barSize;
|
||||
// readonly PriceSource _priceSource;
|
||||
// readonly VolumeSource _volumeSource;
|
||||
// readonly string _timestampCol;
|
||||
// readonly bool _emitForming;
|
||||
// readonly bool _emitInitialSnapshot;
|
||||
// readonly SessionReset _sessionReset;
|
||||
|
||||
// readonly Dictionary<string, BarState> _stateByContract = new(StringComparer.Ordinal);
|
||||
// readonly Dictionary<string, bool> _validCols = new(StringComparer.OrdinalIgnoreCase);
|
||||
// bool _validated;
|
||||
// int _nextId;
|
||||
// readonly BlueTable _outTable;
|
||||
// readonly IBlueTableSchema _outSchema;
|
||||
|
||||
// public BarBuilderStream(
|
||||
// ViewStream price_stream,
|
||||
// string bar_type,
|
||||
// int bar_size,
|
||||
// string price_source,
|
||||
// string volume_source,
|
||||
// string timestamp_col = "ts_event",
|
||||
// int emit_forming_i = 0,
|
||||
// string session_reset = "NONE",
|
||||
// int emit_initial_snapshot_i = 0
|
||||
// )
|
||||
// {
|
||||
// _priceStream = price_stream;
|
||||
// _barType = ParseBarType(bar_type);
|
||||
// _barSize = bar_size;
|
||||
// _priceSource = ParsePriceSource(price_source);
|
||||
// _volumeSource = ParseVolumeSource(volume_source);
|
||||
// _timestampCol = timestamp_col;
|
||||
// _emitForming = emit_forming_i == 1;
|
||||
// _emitInitialSnapshot = emit_initial_snapshot_i == 1;
|
||||
// _sessionReset = ParseSessionReset(session_reset);
|
||||
|
||||
// if (_barSize <= 0)
|
||||
// {
|
||||
// throw new ArgumentException("bar_size must be > 0");
|
||||
// }
|
||||
|
||||
// _outSchema = BlueDataUtility.form_schema(
|
||||
// "BarBuilder",
|
||||
// Tuple.Create("id", TypeCode.Int32),
|
||||
// Tuple.Create("ts_event", TypeCode.String),
|
||||
// Tuple.Create("bar_start_ts", TypeCode.String),
|
||||
// Tuple.Create("bar_end_ts", TypeCode.String),
|
||||
// Tuple.Create("contract", TypeCode.String),
|
||||
// Tuple.Create("open", TypeCode.Double),
|
||||
// Tuple.Create("high", TypeCode.Double),
|
||||
// Tuple.Create("low", TypeCode.Double),
|
||||
// Tuple.Create("close", TypeCode.Double),
|
||||
// Tuple.Create("volume", TypeCode.Double),
|
||||
// Tuple.Create("trade_count", TypeCode.Int32),
|
||||
// Tuple.Create("vwap", TypeCode.Double),
|
||||
// Tuple.Create("is_forming", TypeCode.Boolean)
|
||||
// );
|
||||
// _outTable = new BlueTable(_outSchema);
|
||||
// }
|
||||
|
||||
// protected override void myOnFirstSubscriber()
|
||||
// {
|
||||
// _priceStream.onChange += _on_price_change;
|
||||
// }
|
||||
|
||||
// protected override void myOnLastSubscriber()
|
||||
// {
|
||||
// _priceStream.onChange -= _on_price_change;
|
||||
// }
|
||||
|
||||
// void _on_price_change(object newValue)
|
||||
// {
|
||||
// var dp = newValue as IDataPacket;
|
||||
// if (dp is null)
|
||||
// {
|
||||
// return;
|
||||
// }
|
||||
// if (!_validated)
|
||||
// {
|
||||
// ValidateInputSchema(dp.newRows.schema);
|
||||
// _validated = true;
|
||||
// }
|
||||
|
||||
// var emitted = new List<IBlueRow>();
|
||||
// foreach (IBlueRow row in dp.addedRows)
|
||||
// {
|
||||
// ProcessEvent(row, emitted);
|
||||
// }
|
||||
|
||||
// if (emitted.Count == 0)
|
||||
// {
|
||||
// return;
|
||||
// }
|
||||
// foreach (var r in emitted)
|
||||
// {
|
||||
// _outTable.addRow(r);
|
||||
// }
|
||||
// var outDp = BlueDataUtility.build_dp_inc(_outTable, myLastValue as IDataPacket);
|
||||
// myFireEvent(outDp);
|
||||
// }
|
||||
|
||||
// void ValidateInputSchema(IBlueTableSchema schema)
|
||||
// {
|
||||
// _validCols.Clear();
|
||||
// foreach (var name in schema.columnNames)
|
||||
// {
|
||||
// _validCols[name] = true;
|
||||
// }
|
||||
|
||||
// if (!_validCols.ContainsKey(_timestampCol))
|
||||
// {
|
||||
// throw new ArgumentException($"Missing required column: {_timestampCol}");
|
||||
// }
|
||||
|
||||
// switch (_priceSource)
|
||||
// {
|
||||
// case PriceSource.trade_price:
|
||||
// RequireCol("trade_price");
|
||||
// break;
|
||||
// case PriceSource.mid:
|
||||
// RequireCol("bid_price");
|
||||
// RequireCol("ask_price");
|
||||
// break;
|
||||
// case PriceSource.bid:
|
||||
// RequireCol("bid_price");
|
||||
// break;
|
||||
// case PriceSource.ask:
|
||||
// RequireCol("ask_price");
|
||||
// break;
|
||||
// }
|
||||
|
||||
// if (_barType is BarType.VOLUME or BarType.DOLLAR)
|
||||
// {
|
||||
// if (_volumeSource == VolumeSource.none || !_validCols.ContainsKey("trade_size"))
|
||||
// {
|
||||
// throw new ArgumentException("VOLUME/DOLLAR require executed trade volume; invalid for BBO-only streams.");
|
||||
// }
|
||||
// }
|
||||
// else if (_volumeSource == VolumeSource.trade_size)
|
||||
// {
|
||||
// RequireCol("trade_size");
|
||||
// }
|
||||
// }
|
||||
|
||||
// void RequireCol(string name)
|
||||
// {
|
||||
// if (!_validCols.ContainsKey(name))
|
||||
// {
|
||||
// throw new ArgumentException($"Missing required column for selected source: {name}");
|
||||
// }
|
||||
// }
|
||||
|
||||
// void ProcessEvent(IBlueRow row, List<IBlueRow> emitted)
|
||||
// {
|
||||
// var ts = ParseTimestamp(row);
|
||||
// var contract = ResolveContract(row);
|
||||
// var price = ResolvePrice(row);
|
||||
// var size = ResolveSize(row);
|
||||
// var state = GetOrCreateState(contract);
|
||||
|
||||
// if (state.HasData && _sessionReset != SessionReset.NONE && ts.Date != state.SessionDay.Date)
|
||||
// {
|
||||
// emitted.Add(ToBarRow(state, ts_event: state.EndTs, isForming: false));
|
||||
// state.HasData = false;
|
||||
// }
|
||||
|
||||
// switch (_barType)
|
||||
// {
|
||||
// case BarType.TIME:
|
||||
// ProcessTimeBar(state, ts, price, size, emitted);
|
||||
// break;
|
||||
// case BarType.TICK:
|
||||
// ProcessThresholdBar(state, ts, price, size, emitted, state.TradeCount + 1 >= _barSize);
|
||||
// break;
|
||||
// case BarType.VOLUME:
|
||||
// ProcessThresholdBar(state, ts, price, size, emitted, state.Volume + size >= _barSize);
|
||||
// break;
|
||||
// case BarType.DOLLAR:
|
||||
// ProcessThresholdBar(state, ts, price, size, emitted, state.DollarNotional + (price * size) >= _barSize);
|
||||
// break;
|
||||
// }
|
||||
// }
|
||||
|
||||
// void ProcessTimeBar(BarState state, DateTime ts, double price, double size, List<IBlueRow> emitted)
|
||||
// {
|
||||
// var bucketStart = AlignTimeBucket(ts, _barSize);
|
||||
// var bucketEnd = bucketStart.AddSeconds(_barSize);
|
||||
|
||||
// if (!state.HasData)
|
||||
// {
|
||||
// StartBar(state, ts, bucketStart, bucketEnd, price, size);
|
||||
// MaybeEmitInitialSnapshot(state, ts, emitted);
|
||||
// if (_emitForming)
|
||||
// {
|
||||
// emitted.Add(ToBarRow(state, ts, isForming: true));
|
||||
// }
|
||||
// return;
|
||||
// }
|
||||
|
||||
// if (bucketStart < state.StartTs)
|
||||
// {
|
||||
// Log.Gen.error(
|
||||
// $"BarBuilderStream ignored out-of-order event. contract={state.Contract} ts={ToIso(ts)} " +
|
||||
// $"current_bar_start={ToIso(state.StartTs)}");
|
||||
// return;
|
||||
// }
|
||||
|
||||
// if (bucketStart > state.StartTs)
|
||||
// {
|
||||
// emitted.Add(ToBarRow(state, state.EndTs, isForming: false));
|
||||
// StartBar(state, ts, bucketStart, bucketEnd, price, size);
|
||||
// if (_emitForming)
|
||||
// {
|
||||
// emitted.Add(ToBarRow(state, ts, isForming: true));
|
||||
// }
|
||||
// return;
|
||||
// }
|
||||
|
||||
// Accumulate(state, price, size);
|
||||
// state.EndTs = bucketEnd;
|
||||
// if (_emitForming)
|
||||
// {
|
||||
// emitted.Add(ToBarRow(state, ts, isForming: true));
|
||||
// }
|
||||
// }
|
||||
|
||||
// void ProcessThresholdBar(
|
||||
// BarState state,
|
||||
// DateTime ts,
|
||||
// double price,
|
||||
// double size,
|
||||
// List<IBlueRow> emitted,
|
||||
// bool shouldClose
|
||||
// )
|
||||
// {
|
||||
// if (!state.HasData)
|
||||
// {
|
||||
// StartBar(state, ts, ts, ts, price, size);
|
||||
// MaybeEmitInitialSnapshot(state, ts, emitted);
|
||||
// }
|
||||
// else
|
||||
// {
|
||||
// Accumulate(state, price, size);
|
||||
// }
|
||||
// state.EndTs = ts;
|
||||
|
||||
// if (_emitForming)
|
||||
// {
|
||||
// emitted.Add(ToBarRow(state, ts, isForming: true));
|
||||
// }
|
||||
// if (shouldClose)
|
||||
// {
|
||||
// emitted.Add(ToBarRow(state, ts, isForming: false));
|
||||
// state.HasData = false;
|
||||
// }
|
||||
// }
|
||||
|
||||
// static DateTime AlignTimeBucket(DateTime ts, int seconds)
|
||||
// {
|
||||
// var utc = ts.ToUniversalTime();
|
||||
// long bucketTicks = TimeSpan.FromSeconds(seconds).Ticks;
|
||||
// long aligned = (utc.Ticks / bucketTicks) * bucketTicks;
|
||||
// return new DateTime(aligned, DateTimeKind.Utc);
|
||||
// }
|
||||
|
||||
// void MaybeEmitInitialSnapshot(BarState state, DateTime ts, List<IBlueRow> emitted)
|
||||
// {
|
||||
// if (!_emitInitialSnapshot || state.InitialSnapshotEmitted)
|
||||
// {
|
||||
// return;
|
||||
// }
|
||||
// emitted.Add(ToBarRow(state, ts, isForming: false));
|
||||
// state.InitialSnapshotEmitted = true;
|
||||
// }
|
||||
|
||||
// void StartBar(
|
||||
// BarState state,
|
||||
// DateTime ts,
|
||||
// DateTime barStart,
|
||||
// DateTime barEnd,
|
||||
// double price,
|
||||
// double size
|
||||
// )
|
||||
// {
|
||||
// state.StartTs = barStart;
|
||||
// state.EndTs = barEnd;
|
||||
// state.Open = price;
|
||||
// state.High = price;
|
||||
// state.Low = price;
|
||||
// state.Close = price;
|
||||
// state.Volume = 0;
|
||||
// state.TradeCount = 0;
|
||||
// state.SumPriceSize = 0;
|
||||
// state.SumSize = 0;
|
||||
// state.DollarNotional = 0;
|
||||
// state.SessionDay = ts.Date;
|
||||
// state.HasData = true;
|
||||
// Accumulate(state, price, size);
|
||||
// }
|
||||
|
||||
// static void Accumulate(BarState state, double price, double size)
|
||||
// {
|
||||
// state.High = Math.Max(state.High, price);
|
||||
// state.Low = Math.Min(state.Low, price);
|
||||
// state.Close = price;
|
||||
// state.TradeCount++;
|
||||
// if (size > 0)
|
||||
// {
|
||||
// state.Volume += size;
|
||||
// state.SumSize += size;
|
||||
// state.SumPriceSize += price * size;
|
||||
// state.DollarNotional += price * size;
|
||||
// }
|
||||
// }
|
||||
|
||||
// IBlueRow ToBarRow(BarState state, DateTime ts_event, bool isForming)
|
||||
// {
|
||||
// double vwap = state.SumSize > 0 ? state.SumPriceSize / state.SumSize : state.Close;
|
||||
// var row = new MutableBlueRow(_outSchema);
|
||||
// row.setValue("id", _nextId++);
|
||||
// row.setValue("ts_event", ToIso(ts_event));
|
||||
// row.setValue("bar_start_ts", ToIso(state.StartTs));
|
||||
// row.setValue("bar_end_ts", ToIso(state.EndTs));
|
||||
// row.setValue("contract", state.Contract);
|
||||
// row.setValue("open", state.Open);
|
||||
// row.setValue("high", state.High);
|
||||
// row.setValue("low", state.Low);
|
||||
// row.setValue("close", state.Close);
|
||||
// row.setValue("volume", _volumeSource == VolumeSource.none ? 0.0 : state.Volume);
|
||||
// row.setValue("trade_count", state.TradeCount);
|
||||
// row.setValue("vwap", vwap);
|
||||
// row.setValue("is_forming", isForming);
|
||||
// return row;
|
||||
// }
|
||||
|
||||
// BarState GetOrCreateState(string contract)
|
||||
// {
|
||||
// if (_stateByContract.TryGetValue(contract, out var existing))
|
||||
// {
|
||||
// return existing;
|
||||
// }
|
||||
// var created = new BarState { Contract = contract };
|
||||
// _stateByContract[contract] = created;
|
||||
// return created;
|
||||
// }
|
||||
|
||||
// DateTime ParseTimestamp(IBlueRow row)
|
||||
// {
|
||||
// object? raw = row[_timestampCol];
|
||||
// if (raw is DateTime dt)
|
||||
// {
|
||||
// return dt;
|
||||
// }
|
||||
// if (raw is string s && DateTime.TryParse(s, null, DateTimeStyles.RoundtripKind, out dt))
|
||||
// {
|
||||
// return dt;
|
||||
// }
|
||||
// throw new ArgumentException($"Invalid timestamp value in column '{_timestampCol}'.");
|
||||
// }
|
||||
|
||||
// string ResolveContract(IBlueRow row)
|
||||
// {
|
||||
// if (_validCols.ContainsKey("contract"))
|
||||
// {
|
||||
// return (row["contract"]?.ToString() ?? string.Empty).Trim();
|
||||
// }
|
||||
// if (_validCols.ContainsKey("symbol"))
|
||||
// {
|
||||
// return (row["symbol"]?.ToString() ?? string.Empty).Trim();
|
||||
// }
|
||||
// return string.Empty;
|
||||
// }
|
||||
|
||||
// double ResolvePrice(IBlueRow row)
|
||||
// {
|
||||
// return _priceSource switch
|
||||
// {
|
||||
// PriceSource.trade_price => ToDouble(row["trade_price"], "trade_price"),
|
||||
// PriceSource.mid => (ToDouble(row["bid_price"], "bid_price") + ToDouble(row["ask_price"], "ask_price")) / 2.0,
|
||||
// PriceSource.bid => ToDouble(row["bid_price"], "bid_price"),
|
||||
// PriceSource.ask => ToDouble(row["ask_price"], "ask_price"),
|
||||
// _ => throw new ArgumentOutOfRangeException()
|
||||
// };
|
||||
// }
|
||||
|
||||
// double ResolveSize(IBlueRow row)
|
||||
// {
|
||||
// if (_volumeSource == VolumeSource.none)
|
||||
// {
|
||||
// return 0;
|
||||
// }
|
||||
// return ToDouble(row["trade_size"], "trade_size");
|
||||
// }
|
||||
|
||||
// static double ToDouble(object? value, string colName)
|
||||
// {
|
||||
// var d = BlueDataUtility.GetDouble(value!);
|
||||
// if (!d.HasValue)
|
||||
// {
|
||||
// throw new ArgumentException($"Column '{colName}' must be numeric.");
|
||||
// }
|
||||
// return d.Value;
|
||||
// }
|
||||
|
||||
// static string ToIso(DateTime dt) =>
|
||||
// dt.ToUniversalTime().ToString("O");
|
||||
|
||||
// static BarType ParseBarType(string value)
|
||||
// {
|
||||
// if (Enum.TryParse<BarType>(value, true, out var parsed))
|
||||
// {
|
||||
// return parsed;
|
||||
// }
|
||||
// throw new ArgumentException("bar_type must be one of: TIME | TICK | VOLUME | DOLLAR");
|
||||
// }
|
||||
|
||||
// static PriceSource ParsePriceSource(string value)
|
||||
// {
|
||||
// if (Enum.TryParse<PriceSource>(value, true, out var parsed))
|
||||
// {
|
||||
// return parsed;
|
||||
// }
|
||||
// throw new ArgumentException("price_source must be one of: trade_price | mid | bid | ask");
|
||||
// }
|
||||
|
||||
// static VolumeSource ParseVolumeSource(string value)
|
||||
// {
|
||||
// if (Enum.TryParse<VolumeSource>(value, true, out var parsed))
|
||||
// {
|
||||
// return parsed;
|
||||
// }
|
||||
// throw new ArgumentException("volume_source must be one of: trade_size | none");
|
||||
// }
|
||||
|
||||
// static SessionReset ParseSessionReset(string value)
|
||||
// {
|
||||
// if (!Enum.TryParse<SessionReset>(value, true, out var parsed))
|
||||
// {
|
||||
// throw new ArgumentException("session_reset must be one of: NONE | DAY | RTH | ETH");
|
||||
// }
|
||||
// // TODO: differentiate RTH/ETH session boundaries; currently treated as DAY.
|
||||
// if (parsed is SessionReset.RTH or SessionReset.ETH)
|
||||
// {
|
||||
// return SessionReset.DAY;
|
||||
// }
|
||||
// return parsed;
|
||||
// }
|
||||
// }
|
||||
@@ -0,0 +1,41 @@
|
||||
<Project Sdk="Microsoft.NET.Sdk">
|
||||
|
||||
<PropertyGroup>
|
||||
<TargetFramework>net8.0</TargetFramework>
|
||||
<ImplicitUsings>enable</ImplicitUsings>
|
||||
<Nullable>enable</Nullable>
|
||||
</PropertyGroup>
|
||||
|
||||
<ItemGroup>
|
||||
<PackageReference Include="MathNet.Numerics" Version="5.0.0" />
|
||||
<PackageReference Include="OpenAI" Version="2.0.0" />
|
||||
<PackageReference Include="System.Linq.Async" Version="6.0.1" />
|
||||
</ItemGroup>
|
||||
|
||||
<Choose>
|
||||
<When Condition="'$(UseProjectRefs)' == 'true'">
|
||||
<ItemGroup>
|
||||
<ProjectReference Include="..\..\cs\Bts.Spark.Api\Bts.Spark.Api.csproj" />
|
||||
<ProjectReference Include="..\DataStreamCore\DataStreamCore.csproj" />
|
||||
<ProjectReference Include="..\DataStream\DataStream.csproj" />
|
||||
<ProjectReference Include="..\PubSub\PubSub.csproj" />
|
||||
</ItemGroup>
|
||||
</When>
|
||||
<Otherwise>
|
||||
<ItemGroup>
|
||||
<PackageReference Include="Bts.Spark.Api" Version="$(SparkVersion)" />
|
||||
<PackageReference Include="DataStream" Version="$(SparkVersion)" />
|
||||
<PackageReference Include="PubSub" Version="$(SparkVersion)" />
|
||||
</ItemGroup>
|
||||
</Otherwise>
|
||||
</Choose>
|
||||
|
||||
<!-- <ItemGroup>
|
||||
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubHeartbeatSchema.json" TypeName="PubSubHeartbeatRow" TableName="PubSubHeartbeat" />
|
||||
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubRouteSchema.json" TypeName="PubSubRouteRow" TableName="PubSubRoute" />
|
||||
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubServerStateSchema.json" TypeName="PubSubServerStateRow" TableName="PubSubServerState" />
|
||||
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubServerTagStatsSchema.json" TypeName="PubSubServerTagStatsRow" TableName="PubSubServerTagStats" />
|
||||
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\TableMetadataSchema.json" TypeName="TableMetadataRow" TableName="TableMetadata" />
|
||||
</ItemGroup> -->
|
||||
|
||||
</Project>
|
||||
@@ -0,0 +1,294 @@
|
||||
namespace BlueOrb.Internal
|
||||
{
|
||||
using bts;
|
||||
//using bts.api;
|
||||
//using bts.spark;
|
||||
|
||||
using System;
|
||||
using System.Diagnostics.CodeAnalysis;
|
||||
|
||||
public static class ContractUtils
|
||||
{
|
||||
public record FutureTradableContract(
|
||||
string Symbol,
|
||||
DateTime Expiration,
|
||||
Exchange Exchange,
|
||||
string? ContractText);
|
||||
|
||||
public class FutureSpreadContract
|
||||
{
|
||||
public List<Tuple<double, FutureTradableContract>> legs = new(2);
|
||||
public string Symbol
|
||||
{
|
||||
get
|
||||
{
|
||||
return legs == null || legs.Count == 0 ? string.Empty : legs.ElementAt(0).Item2.Symbol;
|
||||
}
|
||||
}
|
||||
public string? ContractText;
|
||||
}
|
||||
|
||||
public record FutureContinousContract(string Symbol, Exchange Exchange);
|
||||
|
||||
// this is for all future conytracts belonging to a symbol
|
||||
public record FutureWildcardContract(string Symbol, Exchange Exchange);
|
||||
|
||||
public class FutureContract
|
||||
{
|
||||
public FutureWildcardContract? wildcard_contract;
|
||||
public FutureTradableContract? future_tradable_contract;
|
||||
public FutureSpreadContract? spread_tradable_contract;
|
||||
public FutureContinousContract? continous_constract;
|
||||
|
||||
public FutureContract(string txt)
|
||||
{
|
||||
wildcard_contract = parse_wildcard_contract(txt);
|
||||
if (wildcard_contract != null)
|
||||
return;
|
||||
var fc = parse_future_contract(txt);
|
||||
if (fc != null)
|
||||
{
|
||||
future_tradable_contract = fc;
|
||||
return;
|
||||
}
|
||||
var sc = parse_future_spread_contract(txt);
|
||||
if (sc != null)
|
||||
{
|
||||
spread_tradable_contract = sc;
|
||||
return;
|
||||
}
|
||||
// this is not totally true, since ParseFutureSpreadContract does not
|
||||
// parse ICS spreads
|
||||
continous_constract = new(txt, Exchange.CME);
|
||||
}
|
||||
|
||||
[MemberNotNullWhen(true, nameof(continous_constract))]
|
||||
public bool is_continous_contract => continous_constract != null;
|
||||
|
||||
[MemberNotNullWhen(true, nameof(wildcard_contract))]
|
||||
public bool is_wildcard_contract => wildcard_contract != null;
|
||||
|
||||
[MemberNotNullWhen(true, nameof(future_tradable_contract))]
|
||||
public bool is_future_tradable_contract => future_tradable_contract != null;
|
||||
|
||||
[MemberNotNullWhen(true, nameof(spread_tradable_contract))]
|
||||
public bool is_spread_tradable_contract => spread_tradable_contract != null;
|
||||
|
||||
public string symbol()
|
||||
{
|
||||
if (wildcard_contract != null)
|
||||
return wildcard_contract.Symbol;
|
||||
if (continous_constract != null)
|
||||
{
|
||||
return continous_constract.Symbol;
|
||||
}
|
||||
else if (future_tradable_contract != null)
|
||||
{
|
||||
return future_tradable_contract.Symbol;
|
||||
}
|
||||
else if (spread_tradable_contract != null)
|
||||
{
|
||||
return spread_tradable_contract.Symbol;
|
||||
}
|
||||
Log.assert(false);
|
||||
return string.Empty;
|
||||
}
|
||||
public string? contract_text
|
||||
{
|
||||
get
|
||||
{
|
||||
if (future_tradable_contract != null)
|
||||
return future_tradable_contract.ContractText;
|
||||
if (spread_tradable_contract != null)
|
||||
return spread_tradable_contract.ContractText;
|
||||
return null;
|
||||
}
|
||||
}
|
||||
}
|
||||
#region Parsing
|
||||
public static FutureWildcardContract? parse_wildcard_contract(string contract_txt, Exchange exchange = Exchange.CME)
|
||||
{
|
||||
if (contract_txt.EndsWith("*"))
|
||||
{
|
||||
contract_txt = contract_txt.Replace("*", string.Empty);
|
||||
return new FutureWildcardContract(contract_txt, exchange);
|
||||
}
|
||||
return null;
|
||||
}
|
||||
public static FutureTradableContract? parse_future_contract(string contract_txt, Exchange exchange = Exchange.CME)
|
||||
{
|
||||
// Validate the future string length
|
||||
if (!contract_txt.All(c => char.IsLetterOrDigit(c)))
|
||||
return null;
|
||||
if (contract_txt.Length < 4)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
// Extract the symbol and the expiration month/year codes
|
||||
string symbol = contract_txt.Substring(0, contract_txt.Length - 2);
|
||||
char monthCode = contract_txt[contract_txt.Length - 2];
|
||||
char yearCode = contract_txt[contract_txt.Length - 1];
|
||||
|
||||
// Map month code to month, return null if the month code is invalid
|
||||
int month = monthCode switch
|
||||
{
|
||||
'F' => 1, // January
|
||||
'G' => 2, // February
|
||||
'H' => 3, // March
|
||||
'J' => 4, // April
|
||||
'K' => 5, // May
|
||||
'M' => 6, // June
|
||||
'N' => 7, // July
|
||||
'Q' => 8, // August
|
||||
'U' => 9, // September
|
||||
'V' => 10, // October
|
||||
'X' => 11, // November
|
||||
'Z' => 12, // December
|
||||
_ => 0 // Return 0 for invalid month code
|
||||
};
|
||||
|
||||
if (month == 0)
|
||||
{
|
||||
return null; // Invalid month code
|
||||
}
|
||||
|
||||
// Calculate the year based on the current decade
|
||||
int currentYear = DateTime.Now.Year;
|
||||
int decadeStart = currentYear / 10 * 10;
|
||||
int year = decadeStart + (yearCode - '0');
|
||||
|
||||
// If the year is in the past, assume the next decade
|
||||
if (year < currentYear)
|
||||
{
|
||||
year += 10;
|
||||
}
|
||||
|
||||
// Create the FutureContract instance and set its properties
|
||||
DateTime expiration = new DateTime(year, month, 1);
|
||||
return new(symbol, expiration, exchange, contract_txt);
|
||||
}
|
||||
// Method to parse a futures spread, e.g. "CLX4-CLZ4"
|
||||
public static FutureSpreadContract? parse_future_spread_contract(string contract_txt, Exchange exchange = Exchange.CME)
|
||||
{
|
||||
// Split the string by '-' to handle each leg
|
||||
var spreadParts = contract_txt.Split('-');
|
||||
if (spreadParts.Length < 2)
|
||||
{
|
||||
return null; // Not a valid spread format
|
||||
}
|
||||
|
||||
var spreadContract = new FutureSpreadContract { legs = new List<Tuple<double, FutureTradableContract>>() };
|
||||
|
||||
foreach (var part in spreadParts)
|
||||
{
|
||||
// Split each leg by '*', assuming the format is weight*future or just future
|
||||
string[] legParts = part.Split('*');
|
||||
double weight = 1.0;
|
||||
string futurePart;
|
||||
|
||||
if (legParts.Length == 2)
|
||||
{
|
||||
if (!double.TryParse(legParts[0], out weight))
|
||||
{
|
||||
return null; // Invalid weight, parsing failed
|
||||
}
|
||||
futurePart = legParts[1];
|
||||
}
|
||||
else if (legParts.Length == 1)
|
||||
{
|
||||
futurePart = legParts[0];
|
||||
}
|
||||
else
|
||||
{
|
||||
return null; // Invalid format, too many '*' parts
|
||||
}
|
||||
|
||||
// Parse the future contract
|
||||
var futureContract = parse_future_contract(futurePart, exchange);
|
||||
if (futureContract == null)
|
||||
{
|
||||
return null; // Failed to parse the future part
|
||||
}
|
||||
|
||||
// Add the leg to the spread contract
|
||||
spreadContract.legs.Add(new Tuple<double, FutureTradableContract>(weight, futureContract));
|
||||
}
|
||||
return spreadContract;
|
||||
}
|
||||
|
||||
// public static ContractType DetermineFutureOrSpread(string contract) {
|
||||
// if (contract.Contains("-")) {
|
||||
// return ContractType.FutureSpread;
|
||||
// } else {
|
||||
// return ContractType.Future;
|
||||
// }
|
||||
// }
|
||||
#endregion
|
||||
|
||||
public static ContractType get_type(string contract_txt)
|
||||
{
|
||||
var fc = parse_future_contract(contract_txt);
|
||||
if (fc != null)
|
||||
{
|
||||
return ContractType.Future;
|
||||
}
|
||||
var sc = parse_future_spread_contract(contract_txt);
|
||||
if (sc != null)
|
||||
{
|
||||
return ContractType.FutureSpread;
|
||||
}
|
||||
// tehre are some non calendar spreads we cant parse
|
||||
//Log.assert(false);
|
||||
return ContractType.FutureSpread;
|
||||
}
|
||||
|
||||
public static ContractCategory get_category(string symbol)
|
||||
{
|
||||
var tp = get_symbol_category(symbol);
|
||||
return tp.Item1;
|
||||
}
|
||||
|
||||
public static Tuple<ContractCategory, string> get_symbol_category(string symbol)
|
||||
{
|
||||
var fc = parse_future_contract(symbol);
|
||||
if (fc != null)
|
||||
{
|
||||
return Tuple.Create(ContractCategory.FutureString, fc.Symbol);
|
||||
}
|
||||
var sc = parse_future_spread_contract(symbol);
|
||||
if (sc != null)
|
||||
{
|
||||
return Tuple.Create(ContractCategory.FutureString, sc.Symbol);
|
||||
}
|
||||
return Tuple.Create(ContractCategory.Symbol, symbol);
|
||||
}
|
||||
|
||||
|
||||
|
||||
public enum ContractType
|
||||
{
|
||||
Spot,
|
||||
Option,
|
||||
Future,
|
||||
FutureSpread,
|
||||
OptionSpread
|
||||
}
|
||||
public enum ContractCategory
|
||||
{
|
||||
Symbol = 0,
|
||||
FutureString,
|
||||
SpreadString
|
||||
}
|
||||
public enum CallPut
|
||||
{
|
||||
Call,
|
||||
Put
|
||||
}
|
||||
public enum Exchange
|
||||
{
|
||||
CME
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,99 @@
|
||||
namespace BlueOrb.Operators.Data {
|
||||
using BCG;
|
||||
|
||||
using bts;
|
||||
|
||||
using Spark.Core.Diagnostics;
|
||||
|
||||
using BlueOrb.Internal;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
[DataStreamUserRespresentation("ReplayFutureLiveBBOStream")]
|
||||
public class ReplayFutureLiveBBOStream : ViewStream, BCG.Utilities.General.IWorker {
|
||||
private class LastFireTime {
|
||||
public DateTime last_fireitme_file = DateTime.MinValue;
|
||||
public DateTime last_firetime_clock = DateTime.MinValue;
|
||||
}
|
||||
private class RowsWithPointer {
|
||||
public List<IBlueRow>? rows;
|
||||
public int pointer;
|
||||
}
|
||||
|
||||
|
||||
readonly ViewStreamDatabase? _vsd;
|
||||
readonly ContractUtils.FutureContinousContract? _fcc;
|
||||
private readonly LastFireTime _last_fire_time = new LastFireTime();
|
||||
private RowsWithPointer _rows = new RowsWithPointer();
|
||||
|
||||
public ReplayFutureLiveBBOStream(string continous_contract) {
|
||||
Func<string> iso_8601_now = () => {
|
||||
DateTime utc_now = DateTime.UtcNow;
|
||||
long ticks = utc_now.Ticks; // 1 tick = 100 ns
|
||||
long nanoseconds = ticks % TimeSpan.TicksPerSecond * 100;
|
||||
string formatted = utc_now.ToString("yyyy-MM-ddTHH:mm:ss");
|
||||
formatted += $".{nanoseconds:D9}Z";
|
||||
return formatted;
|
||||
};
|
||||
ViewStream rs = new ReplayFutureLiveBBOStream(continous_contract, true);
|
||||
IBlueTableSchema schema_out = BlueDataUtility.form_schema("BBO",
|
||||
Tuple.Create("id", TypeCode.Int32),
|
||||
Tuple.Create("ts_event", TypeCode.String),
|
||||
Tuple.Create("contract", TypeCode.String),
|
||||
Tuple.Create("bid_price", TypeCode.Double),
|
||||
Tuple.Create("bid_size", TypeCode.Int32),
|
||||
Tuple.Create("ask_price", TypeCode.Double),
|
||||
Tuple.Create("ask_size", TypeCode.Int32));
|
||||
rs = new MapStream(rs, s => schema_out,
|
||||
r =>
|
||||
new BlueRow(schema_out, r["id"], /*r.get<string>("ts_event")*/iso_8601_now(), r.get<string>("symbol"),
|
||||
r.get<double>("bid_px_00"), r.get<int>("bid_sz_00"),
|
||||
r.get<double>("ask_px_00"), r.get<int>("ask_sz_00")));
|
||||
mySetRealSource(rs);
|
||||
}
|
||||
|
||||
private ReplayFutureLiveBBOStream(string continous_contract, bool noop)
|
||||
: this(ViewStreamDatabase.instance, new ContractUtils.FutureContract(continous_contract)) { }
|
||||
|
||||
public ReplayFutureLiveBBOStream(ViewStreamDatabase vsd, ContractUtils.FutureContract fc) {
|
||||
var fcc = fc.continous_constract;
|
||||
Log.assert(fcc != null);
|
||||
_vsd = vsd;
|
||||
_fcc = fcc;
|
||||
}
|
||||
|
||||
protected override void myOnFirstSubscriber() {
|
||||
Log.notnull(_fcc);
|
||||
var file_path = Path.Combine(SQLiteHelper.location, $"mbp1_{_fcc.Symbol}_small.csv".ToLower());
|
||||
var rows = BCG.CSVReaderStream.LoadFile(file_path);
|
||||
_rows.rows = new(rows.Count);
|
||||
_rows.rows.AddRange(rows.OfType<IBlueRow>().OrderBy(r => r.get<string>("ts_event")));
|
||||
_rows.pointer = 0;
|
||||
ExceptionAssert.NotNull(_vsd).addWorker(this);
|
||||
}
|
||||
|
||||
protected override void myOnLastSubscriber() {
|
||||
ExceptionAssert.NotNull(_vsd).removeWorker(this);
|
||||
}
|
||||
|
||||
public void doWork() {
|
||||
var rows = ExceptionAssert.NotNull(_rows.rows);
|
||||
IBlueRow cand_row = rows[_rows.pointer];
|
||||
string cand_ts_event = cand_row.get<string>("ts_event");
|
||||
DateTime cand_ts_event_dt = DateTime.Parse(cand_ts_event, null, System.Globalization.DateTimeStyles.RoundtripKind);
|
||||
TimeSpan cand_ts_span_file = cand_ts_event_dt - _last_fire_time.last_fireitme_file;
|
||||
TimeSpan ts_clock = DateTime.Now - _last_fire_time.last_firetime_clock;
|
||||
if (ts_clock >= cand_ts_span_file) {
|
||||
_rows.pointer++;
|
||||
_last_fire_time.last_firetime_clock = DateTime.Now;
|
||||
_last_fire_time.last_fireitme_file = cand_ts_event_dt;
|
||||
BlueTable bt_out = new BlueTable(cand_row.schema);
|
||||
bt_out.addRow(cand_row);
|
||||
var dp_out = BlueDataUtility.build_dp(bt_out, myLastValue as IDataPacket);
|
||||
myFireEvent(dp_out);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,111 @@
|
||||
namespace Blueorb.Operators.Data
|
||||
{
|
||||
using BCG;
|
||||
|
||||
using Spark.Core.Diagnostics;
|
||||
using BlueOrb.Internal;
|
||||
using bts;
|
||||
using BlueOrb.Operators.Core;
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
[DataStreamUserRespresentation("ReplayFutureLiveTradeStream")]
|
||||
public class ReplayFutureLiveTradeStream : ViewStream, BCG.Utilities.General.IWorker
|
||||
{
|
||||
private class LastFireTime
|
||||
{
|
||||
public DateTime last_fireitme_file = DateTime.MinValue;
|
||||
public DateTime last_firetime_clock = DateTime.MinValue;
|
||||
}
|
||||
private class RowsWithPointer
|
||||
{
|
||||
public List<IBlueRow>? rows;
|
||||
public int pointer;
|
||||
}
|
||||
|
||||
|
||||
readonly ViewStreamDatabase? _vsd;
|
||||
readonly ContractUtils.FutureContinousContract? _fcc;
|
||||
private readonly LastFireTime _last_fire_time = new LastFireTime();
|
||||
readonly RowsWithPointer _rows = new();
|
||||
|
||||
public ReplayFutureLiveTradeStream(string continous_contract)
|
||||
{
|
||||
Func<string> iso_8601_now = () =>
|
||||
{
|
||||
DateTime utc_now = DateTime.UtcNow;
|
||||
long ticks = utc_now.Ticks; // 1 tick = 100 ns
|
||||
long nanoseconds = ticks % TimeSpan.TicksPerSecond * 100;
|
||||
string formatted = utc_now.ToString("yyyy-MM-ddTHH:mm:ss");
|
||||
formatted += $".{nanoseconds:D9}Z";
|
||||
return formatted;
|
||||
};
|
||||
ViewStream rs = new ReplayFutureLiveTradeStream(continous_contract, true);
|
||||
IBlueTableSchema schema_out = BlueDataUtility.form_schema("BBO",
|
||||
Tuple.Create("id", TypeCode.Int32),
|
||||
Tuple.Create("ts_event", TypeCode.String),
|
||||
Tuple.Create("contract", TypeCode.String),
|
||||
Tuple.Create("trade_size", TypeCode.Double),
|
||||
Tuple.Create("trade_price", TypeCode.Int32),
|
||||
Tuple.Create("aggressor_side", TypeCode.String));
|
||||
rs = new MapStream(rs, s => schema_out,
|
||||
r =>
|
||||
new BlueRow(schema_out, r["id"], /*r.get<string>("ts_event")*/iso_8601_now(), r.get<string>("symbol"),
|
||||
r.get<double>("size"), r.get<double>("price"),
|
||||
r.get<string>("side").StartsWith("B") ? "BUY" : (r.get<string>("side").StartsWith("A") ? "SELL" : "NONE")));
|
||||
rs = new TimeSeriesStream(rs);
|
||||
mySetRealSource(rs);
|
||||
}
|
||||
|
||||
private ReplayFutureLiveTradeStream(string continous_contract, bool noop)
|
||||
: this(ViewStreamDatabase.instance, new ContractUtils.FutureContract(continous_contract)) { }
|
||||
|
||||
public ReplayFutureLiveTradeStream(ViewStreamDatabase vsd, ContractUtils.FutureContract fc)
|
||||
{
|
||||
var fcc = fc.continous_constract;
|
||||
Log.assert(fcc != null);
|
||||
_vsd = vsd;
|
||||
_fcc = fcc;
|
||||
}
|
||||
|
||||
protected override void myOnFirstSubscriber()
|
||||
{
|
||||
Log.notnull(_vsd);
|
||||
Log.notnull(_fcc);
|
||||
var file_path = Path.Combine(SQLiteHelper.location, $"trades_{_fcc.Symbol}.csv");
|
||||
var csv_rd = new BlueOrb.Operators.Core.CSVReaderStream(file_path, false);
|
||||
var rows = BCG.CSVReaderStream.LoadFile(file_path);
|
||||
_rows.rows = new(rows.Count);
|
||||
_rows.rows.AddRange(rows.OfType<IBlueRow>().OrderBy(r => r.get<string>("ts_event")));
|
||||
_rows.pointer = 0;
|
||||
ExceptionAssert.NotNull(_vsd).addWorker(this);
|
||||
}
|
||||
|
||||
protected override void myOnLastSubscriber()
|
||||
{
|
||||
ExceptionAssert.NotNull(_vsd).removeWorker(this);
|
||||
}
|
||||
|
||||
public void doWork()
|
||||
{
|
||||
var rows = ExceptionAssert.NotNull(_rows.rows);
|
||||
IBlueRow cand_row = rows[_rows.pointer];
|
||||
string cand_ts_event = cand_row.get<string>("ts_event");
|
||||
DateTime cand_ts_event_dt = DateTime.Parse(cand_ts_event, null, System.Globalization.DateTimeStyles.RoundtripKind);
|
||||
TimeSpan cand_ts_span_file = cand_ts_event_dt - _last_fire_time.last_fireitme_file;
|
||||
TimeSpan ts_clock = DateTime.Now - _last_fire_time.last_firetime_clock;
|
||||
if (ts_clock >= cand_ts_span_file)
|
||||
{
|
||||
_rows.pointer++;
|
||||
_last_fire_time.last_firetime_clock = DateTime.Now;
|
||||
_last_fire_time.last_fireitme_file = cand_ts_event_dt;
|
||||
BlueTable bt_out = new BlueTable(cand_row.schema);
|
||||
bt_out.addRow(cand_row);
|
||||
var dp_out = BlueDataUtility.build_dp(bt_out, myLastValue as IDataPacket);
|
||||
myFireEvent(dp_out);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,144 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Data;
|
||||
using System.Data.SQLite;
|
||||
using System.IO;
|
||||
using System.Runtime.InteropServices;
|
||||
|
||||
namespace BlueOrb.Internal
|
||||
{
|
||||
|
||||
public static class SQLiteHelper
|
||||
{
|
||||
public static string location = RuntimeInformation.IsOSPlatform(OSPlatform.Windows)
|
||||
? "C:\\BlueOrb_Data\\"
|
||||
: Path.Combine(Environment.GetEnvironmentVariable("HOME") ?? string.Empty, "BlueOrb_Data");
|
||||
public static string db_name = "stream_data.db";
|
||||
|
||||
public static DataTable execute_select_query(string connection_string, string query)
|
||||
{
|
||||
// Create a new DataTable to store the results
|
||||
DataTable dataTable = new DataTable();
|
||||
|
||||
// Create and open a SQLite connection using the provided connection string
|
||||
using (SQLiteConnection connection = new SQLiteConnection(connection_string))
|
||||
{
|
||||
try
|
||||
{
|
||||
connection.Open();
|
||||
|
||||
// Create a SQLite command with the provided query
|
||||
using (SQLiteCommand command = new SQLiteCommand(query, connection))
|
||||
{
|
||||
// Use SQLiteDataAdapter to fill the DataTable
|
||||
using (SQLiteDataAdapter adapter = new SQLiteDataAdapter(command))
|
||||
{
|
||||
adapter.Fill(dataTable);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
Console.WriteLine("An error occurred: " + ex.Message);
|
||||
}
|
||||
}
|
||||
// Return the populated DataTable
|
||||
return dataTable;
|
||||
}
|
||||
|
||||
public static List<Dictionary<string, object>> ExecuteBulkRead(string connectionString, string query)
|
||||
{
|
||||
var result = new List<Dictionary<string, object>>();
|
||||
|
||||
using (var connection = new SQLiteConnection(connectionString))
|
||||
{
|
||||
connection.Open();
|
||||
|
||||
// Begin a transaction to optimize read speed
|
||||
using (var transaction = connection.BeginTransaction())
|
||||
using (var command = new SQLiteCommand(query, connection, transaction))
|
||||
using (var reader = command.ExecuteReader())
|
||||
{
|
||||
while (reader.Read())
|
||||
{
|
||||
var row = new Dictionary<string, object>();
|
||||
|
||||
for (int i = 0; i < reader.FieldCount; i++)
|
||||
{
|
||||
string columnName = reader.GetName(i);
|
||||
object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
|
||||
row[columnName] = columnValue;
|
||||
}
|
||||
|
||||
result.Add(row);
|
||||
}
|
||||
|
||||
// Commit the transaction
|
||||
transaction.Commit();
|
||||
}
|
||||
}
|
||||
|
||||
return result;
|
||||
}
|
||||
|
||||
public static List<Dictionary<string, object>> get_table(string connectionString, string query)
|
||||
{
|
||||
var result = new List<Dictionary<string, object>>();
|
||||
|
||||
using (var connection = new SQLiteConnection(connectionString))
|
||||
{
|
||||
try
|
||||
{
|
||||
connection.Open();
|
||||
|
||||
using (var command = new SQLiteCommand(query, connection))
|
||||
using (var reader = command.ExecuteReader())
|
||||
{
|
||||
while (reader.Read())
|
||||
{
|
||||
var row = new Dictionary<string, object>();
|
||||
|
||||
for (int i = 0; i < reader.FieldCount; i++)
|
||||
{
|
||||
string columnName = reader.GetName(i);
|
||||
object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
|
||||
row[columnName] = columnValue;
|
||||
}
|
||||
|
||||
result.Add(row);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
Console.WriteLine("An error occurred: " + ex.Message);
|
||||
}
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
public static IEnumerable<Dictionary<string, object>> get_table_2(string connectionString, string query)
|
||||
{
|
||||
using (var connection = new SQLiteConnection(connectionString))
|
||||
{
|
||||
connection.Open();
|
||||
using (var command = new SQLiteCommand(query, connection))
|
||||
using (var reader = command.ExecuteReader())
|
||||
{
|
||||
while (reader.Read())
|
||||
{
|
||||
var row = new Dictionary<string, object>();
|
||||
for (int i = 0; i < reader.FieldCount; i++)
|
||||
{
|
||||
string columnName = reader.GetName(i);
|
||||
object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
|
||||
row[columnName] = columnValue;
|
||||
}
|
||||
yield return row;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,43 @@
|
||||
namespace BlueOrb.Internal
|
||||
{
|
||||
using bts;
|
||||
using System;
|
||||
using BCG;
|
||||
using System.Collections.Generic;
|
||||
using Bts.DataStreamExpressions;
|
||||
using System.Xml;
|
||||
|
||||
// All this does is take in a dsl expression, parse it and fire the data that come out of running it.
|
||||
// So for example, if an expresison is passed
|
||||
[DataStreamUserRespresentation("dsl")]
|
||||
public class DSLStream : ViewStream
|
||||
{
|
||||
private readonly string _dsl;
|
||||
public DSLStream(string dsl)
|
||||
{
|
||||
Log.Gen.info($"DSLStream.cons dsl: {dsl}");
|
||||
// Remove all colons
|
||||
string sanitizedDsl = dsl.Replace(":", "COLON");
|
||||
_dsl = dsl;
|
||||
ViewStream rs = build_stream(dsl) ?? new LiteralStream("error", $"msg:invalid dsl");
|
||||
mySetRealSource(rs);
|
||||
}
|
||||
|
||||
static ViewStream? build_stream(string stream_expression)
|
||||
{
|
||||
try
|
||||
{
|
||||
var exp = DataStreamExpressionsInterpreter.Evaluate(stream_expression);
|
||||
var rv = exp.getView(new Dictionary<string, StatementExpression>(0));
|
||||
return rv;
|
||||
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
//send to blueorb
|
||||
Log.Gen.error($"Could not build stream: {stream_expression} ex: {ex}");
|
||||
return null;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,103 @@
|
||||
using System;
|
||||
|
||||
using BCG.Utilities.General;
|
||||
using BCG;
|
||||
using bts;
|
||||
|
||||
namespace BlueOrb.Internal
|
||||
{
|
||||
[DataStreamUserRespresentation("MillisecondStream")]
|
||||
public class MillisecondStream : ViewStream, IWorker
|
||||
{
|
||||
private DateTime _last_fire_time = DateTime.MinValue;
|
||||
private readonly TimeSpan _period;
|
||||
private readonly int _size;
|
||||
private readonly ViewStreamDatabase _vsd;
|
||||
private IBlueTableSchema _schema;
|
||||
private bts.CircularBufferTable _table;
|
||||
|
||||
public MillisecondStream(int interval_msecs, int size)
|
||||
: this(ViewStreamDatabase.instance, interval_msecs, size)
|
||||
{
|
||||
}
|
||||
|
||||
public MillisecondStream(ViewStreamDatabase vsd, int interval_msecs, int size)
|
||||
{
|
||||
_vsd = vsd;
|
||||
_period = TimeSpan.FromMilliseconds(interval_msecs);
|
||||
_size = size;
|
||||
_schema = BlueDataUtility.form_schema("Milliseconds",
|
||||
Tuple.Create("id", TypeCode.Int32),
|
||||
Tuple.Create("time", TypeCode.DateTime),
|
||||
Tuple.Create("display_time", TypeCode.String));
|
||||
_table = new CircularBufferTable(_schema, _size);
|
||||
}
|
||||
|
||||
protected override void myOnFirstSubscriber()
|
||||
{
|
||||
_vsd.addWorker(this);
|
||||
}
|
||||
|
||||
protected override void myOnLastSubscriber()
|
||||
{
|
||||
_vsd.removeWorker(this);
|
||||
}
|
||||
|
||||
private int _id = 0;
|
||||
public void doWork()
|
||||
{
|
||||
if (DateTime.Now - _last_fire_time >= _period)
|
||||
{
|
||||
_last_fire_time = DateTime.Now;
|
||||
IBlueRow nr = new BlueRow(_schema, _id++, _last_fire_time,
|
||||
_last_fire_time.ToString("yyyy-MM-dd HH:mm:ss.fff"));
|
||||
_table.add_row(nr);
|
||||
var dp = BlueDataUtility.build_dp_inc(_table, myLastValue as DataPacket);
|
||||
myFireEvent(dp);
|
||||
}
|
||||
}
|
||||
}
|
||||
internal class MSecondStream : TimeUnitStream
|
||||
{
|
||||
public MSecondStream(int intervalInms, int size)
|
||||
: base(DateTime.Now, new TimeSpan(0, 0, 0, 0, intervalInms), size, ViewStreamDatabase.instance) { }
|
||||
|
||||
protected override DateTime myRoundTime(DateTime dt) { return dt; }
|
||||
}
|
||||
|
||||
internal class DisplayableMillisecondStream : ViewStream, IStreamMapper
|
||||
{
|
||||
private IBlueTableSchema mySchema = new BlueTableSchema("ms",
|
||||
new ColumnInfo("id", 0, typeof(int)),
|
||||
new ColumnInfo("time", 1, typeof(string)));
|
||||
public DisplayableMillisecondStream(int intervalInMs, int sz)
|
||||
{
|
||||
mySetRealSource(new MapStream(new MSecondStream(intervalInMs, sz), this));
|
||||
}
|
||||
#region IStreamMapper Members
|
||||
|
||||
public IBlueTableSchema getOutputSchema(IBlueTableSchema inputSchema)
|
||||
{
|
||||
return mySchema;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region IDynamicStreamMapper Members
|
||||
|
||||
public IBlueRow map(IBlueRow row)
|
||||
{
|
||||
DateTime time = row.get_datetime("time");
|
||||
var time_txt = time.ToString("yyyy-MM-dd HH:mm:ss.fff");
|
||||
return new BlueRow(mySchema, row["id"], time_txt);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
private string myToString(DateTime dt)
|
||||
{
|
||||
string sep = ":";
|
||||
return dt.Hour + sep + dt.Minute + sep + dt.Second + sep + dt.Millisecond;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,348 @@
|
||||
namespace BlueOrb.Operators.Signal
|
||||
{
|
||||
using System;
|
||||
using System.Collections.Concurrent;
|
||||
using System.IO.MemoryMappedFiles;
|
||||
using BCG;
|
||||
using System.Text.Json.Serialization;
|
||||
using System.Text.Json;
|
||||
using System.Data;
|
||||
|
||||
|
||||
public enum BarType
|
||||
{
|
||||
TIME,
|
||||
TICK,
|
||||
VOLUME,
|
||||
DOLLAR,
|
||||
}
|
||||
|
||||
public class BarBuilderSchemaInfo
|
||||
{
|
||||
[JsonPropertyName("price_col")]
|
||||
public string price_col { get; set; } = "trade_price";
|
||||
|
||||
[JsonPropertyName("volume_col")]
|
||||
public string volume_col { get; set; } = "trade_size";
|
||||
|
||||
[JsonPropertyName("timestamp_col")]
|
||||
public string timestamp_col { get; set; } = "ts_event";
|
||||
}
|
||||
|
||||
|
||||
public class SingleBar : IBlueRow
|
||||
{
|
||||
private BarBuilderStream _parent_str;
|
||||
private IBlueTableSchema _schema;
|
||||
private MutableBlueRow _row;
|
||||
public SingleBar(BarBuilderStream parent_str)
|
||||
{
|
||||
_parent_str = parent_str;
|
||||
_schema = BlueDataUtility.form_schema(
|
||||
"bar_builder_single_bar",
|
||||
Tuple.Create("id", TypeCode.Int32),
|
||||
Tuple.Create("ts_event", TypeCode.DateTime),
|
||||
Tuple.Create("bar_start_ts", TypeCode.DateTime),
|
||||
Tuple.Create("bar_end_ts", TypeCode.DateTime),
|
||||
Tuple.Create("open", TypeCode.Double),
|
||||
Tuple.Create("high", TypeCode.Double),
|
||||
Tuple.Create("low", TypeCode.Double),
|
||||
Tuple.Create("close", TypeCode.Double),
|
||||
Tuple.Create("volume", TypeCode.Double),
|
||||
Tuple.Create("notional", TypeCode.Double),
|
||||
Tuple.Create("trade_count", TypeCode.Int32),
|
||||
Tuple.Create("n_events", TypeCode.Int32),
|
||||
Tuple.Create("vwap", TypeCode.Double),
|
||||
Tuple.Create("is_active", TypeCode.Boolean)
|
||||
);
|
||||
_row = new MutableBlueRow(_schema);
|
||||
}
|
||||
|
||||
public IBlueTableSchema schema => _row.schema;
|
||||
|
||||
public object this[int index] => _row[index];
|
||||
|
||||
public object this[string col_name] => _row[col_name];
|
||||
|
||||
|
||||
public IBlueRow add_event(IBlueRow r)
|
||||
{
|
||||
// initiaizes _row
|
||||
void reset_new_bar()
|
||||
{
|
||||
_row = new MutableBlueRow(_schema);
|
||||
_row.setValue("id", _parent_str.get_new_id());
|
||||
_row.setValue("volume", 0.0);
|
||||
_row.setValue("notional", 0.0);
|
||||
_row.setValue("trade_count", 0);
|
||||
_row.setValue("n_events", 0);
|
||||
_row.setValue("is_active", true);
|
||||
}
|
||||
|
||||
void absorb_into_row(IBlueRow input_row)
|
||||
{
|
||||
var ts = input_row.get_datetime(_parent_str._schema_info.timestamp_col, DateTime.UtcNow).ToUniversalTime();
|
||||
var price = input_row.get<double>(_parent_str._schema_info.price_col, 0.0);
|
||||
var volume = input_row.get<double>(_parent_str._schema_info.volume_col, 0.0);
|
||||
var notional = price * volume;
|
||||
|
||||
if (_row.is_null("bar_start_ts"))
|
||||
{
|
||||
DateTime bar_start_ts;
|
||||
DateTime bar_end_ts;
|
||||
if (_parent_str._bar_type == BarType.TIME)
|
||||
{
|
||||
var bucket_ticks = (long)(Math.Max(1.0, _parent_str._bar_size) * TimeSpan.TicksPerSecond);
|
||||
var start_ticks = (ts.Ticks / bucket_ticks) * bucket_ticks;
|
||||
bar_start_ts = new DateTime(start_ticks, DateTimeKind.Utc);
|
||||
bar_end_ts = bar_start_ts.AddTicks(bucket_ticks);
|
||||
}
|
||||
else
|
||||
{
|
||||
bar_start_ts = ts;
|
||||
bar_end_ts = ts;
|
||||
}
|
||||
_row.setValue("bar_start_ts", bar_start_ts);
|
||||
_row.setValue("bar_end_ts", bar_end_ts);
|
||||
_row.setValue("open", price);
|
||||
_row.setValue("high", price);
|
||||
_row.setValue("low", price);
|
||||
}
|
||||
else
|
||||
{
|
||||
var high = _row.get<double>("high", price);
|
||||
var low = _row.get<double>("low", price);
|
||||
_row.setValue("high", Math.Max(high, price));
|
||||
_row.setValue("low", Math.Min(low, price));
|
||||
}
|
||||
|
||||
_row.setValue("ts_event", ts);
|
||||
_row.setValue("close", price);
|
||||
_row.setValue("volume", _row.get<double>("volume", 0.0) + volume);
|
||||
_row.setValue("notional", _row.get<double>("notional", 0.0) + notional);
|
||||
_row.setValue("trade_count", _row.get<int>("trade_count", 0) + 1);
|
||||
_row.setValue("n_events", _row.get<int>("n_events", 0) + 1);
|
||||
var running_volume = _row.get<double>("volume", 0.0);
|
||||
var running_notional = _row.get<double>("notional", 0.0);
|
||||
_row.setValue("vwap", running_volume > 0.0 ? running_notional / running_volume : price);
|
||||
}
|
||||
|
||||
bool is_closed()
|
||||
{
|
||||
bool closed;
|
||||
if (_parent_str._bar_type == BarType.TIME)
|
||||
{
|
||||
var ts = _row.get_datetime("ts_event", DateTime.MinValue);
|
||||
var bar_end_ts = _row.get_datetime("bar_end_ts", DateTime.MaxValue);
|
||||
closed = ts >= bar_end_ts;
|
||||
}
|
||||
else if (_parent_str._bar_type == BarType.TICK)
|
||||
{
|
||||
closed = _row.get<int>("n_events", 0) >= _parent_str._bar_size;
|
||||
}
|
||||
else if (_parent_str._bar_type == BarType.VOLUME)
|
||||
{
|
||||
closed = _row.get<double>("volume", 0.0) >= _parent_str._bar_size;
|
||||
}
|
||||
else
|
||||
{
|
||||
closed = _row.get<double>("notional", 0.0) >= _parent_str._bar_size;
|
||||
}
|
||||
_row.setValue("is_active", !closed);
|
||||
return closed;
|
||||
}
|
||||
|
||||
if (_row == null)
|
||||
{
|
||||
reset_new_bar();
|
||||
}
|
||||
absorb_into_row(r);
|
||||
if (is_closed())
|
||||
{
|
||||
IBlueRow closed_row = new BlueRow(_row);
|
||||
reset_new_bar();
|
||||
return closed_row;
|
||||
}
|
||||
return null;
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
|
||||
public class BarState : IBlueRowCollection
|
||||
{
|
||||
private SingleBar _curr_row;
|
||||
private BlueTable _state;
|
||||
|
||||
public BarState(BarBuilderStream parent_str)
|
||||
{
|
||||
_curr_row = new SingleBar(parent_str);
|
||||
_state = new BlueTable(_curr_row.schema);
|
||||
}
|
||||
|
||||
public bool add_event(IBlueRow r)
|
||||
{
|
||||
var closed_bar = _curr_row.add_event(r);
|
||||
if (closed_bar is not null)
|
||||
{
|
||||
// curr bar is closed, only then its added
|
||||
// when bars are evolving we dont add it
|
||||
_state.addRow(closed_bar);
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
public IBlueRow this[int id] => _state[id];
|
||||
|
||||
public IBlueTableSchema schema => _state.schema;
|
||||
|
||||
public bool containsID(int id) => _state.containsID(id);
|
||||
|
||||
public int Count => _state.Count;
|
||||
|
||||
public System.Collections.IEnumerator GetEnumerator() => _state.GetEnumerator();
|
||||
}
|
||||
|
||||
[DataStreamUserRespresentation("BarBuilderStream")]
|
||||
public class BarBuilderStream : ViewStream
|
||||
{
|
||||
readonly ViewStream _price_stream;
|
||||
internal readonly BarType _bar_type;
|
||||
internal readonly double _bar_size;
|
||||
internal readonly bool _show_open_bars;
|
||||
internal readonly BarBuilderSchemaInfo _schema_info;
|
||||
private BarState _state;
|
||||
|
||||
public BarBuilderStream(ViewStream price_stream,
|
||||
BarType bar_type,
|
||||
double bar_size,
|
||||
bool show_open_bars,
|
||||
BarBuilderSchemaInfo schema_info)
|
||||
{
|
||||
_price_stream = price_stream;
|
||||
_bar_type = bar_type;
|
||||
_bar_size = bar_size;
|
||||
_show_open_bars = show_open_bars;
|
||||
_schema_info = schema_info;
|
||||
_state = new BarState(this);
|
||||
}
|
||||
|
||||
int _id = 0;
|
||||
internal int get_new_id()
|
||||
{
|
||||
return _id++;
|
||||
}
|
||||
|
||||
public BarBuilderStream(ViewStream price_stream,
|
||||
string bar_type,
|
||||
double bar_size,
|
||||
string schema_info_json)
|
||||
:
|
||||
this(price_stream,
|
||||
Enum.Parse<BarType>(bar_type),
|
||||
bar_size,
|
||||
true,
|
||||
_parse_and_validate_schema_info_json(schema_info_json))
|
||||
{
|
||||
}
|
||||
|
||||
public BarBuilderStream(ViewStream price_stream,
|
||||
string bar_type,
|
||||
double bar_size,
|
||||
string price_col,
|
||||
string volume_col,
|
||||
string timestamp_col)
|
||||
:
|
||||
this(price_stream,
|
||||
Enum.Parse<BarType>(bar_type),
|
||||
bar_size,
|
||||
true,
|
||||
_create_and_validate_schema_info(price_col, volume_col, timestamp_col))
|
||||
{
|
||||
}
|
||||
|
||||
protected override void myOnFirstSubscriber()
|
||||
{
|
||||
_price_stream.onChange += _on_price_stream_change;
|
||||
}
|
||||
|
||||
protected override void myOnLastSubscriber()
|
||||
{
|
||||
_price_stream.onChange -= _on_price_stream_change;
|
||||
}
|
||||
|
||||
void _on_price_stream_change(object dp_obj)
|
||||
{
|
||||
DataPacket dp = dp_obj as DataPacket;
|
||||
var sz_0 = _state.Count;
|
||||
foreach (IBlueRow r in dp.addedRows)
|
||||
{
|
||||
_state.add_event(r);
|
||||
}
|
||||
if (_state.Count != sz_0)
|
||||
// we will check for _show_open_bars here
|
||||
{
|
||||
var dp_out = BlueDataUtility.build_dp_inc(_state, myLastValue as DataPacket, false);
|
||||
myFireEvent(dp_out);
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
static BarBuilderSchemaInfo _parse_and_validate_schema_info_json(string schema_info_json)
|
||||
{
|
||||
if (string.IsNullOrWhiteSpace(schema_info_json))
|
||||
{
|
||||
throw new ArgumentException("schema_info_json cannot be null or empty.", nameof(schema_info_json));
|
||||
}
|
||||
|
||||
var schema_info = JsonSerializer.Deserialize<BarBuilderSchemaInfo>(schema_info_json);
|
||||
_validate_schema_info(schema_info);
|
||||
return schema_info!;
|
||||
}
|
||||
|
||||
static BarBuilderSchemaInfo _create_and_validate_schema_info(
|
||||
string price_col,
|
||||
string volume_col,
|
||||
string timestamp_col)
|
||||
{
|
||||
var schema_info = new BarBuilderSchemaInfo
|
||||
{
|
||||
price_col = price_col,
|
||||
volume_col = volume_col,
|
||||
timestamp_col = timestamp_col,
|
||||
};
|
||||
_validate_schema_info(schema_info);
|
||||
return schema_info;
|
||||
}
|
||||
|
||||
static void _validate_schema_info(BarBuilderSchemaInfo? schema_info)
|
||||
{
|
||||
if (schema_info is null)
|
||||
{
|
||||
throw new ArgumentException("schema_info_json did not deserialize into BarBuilderSchemaInfo.");
|
||||
}
|
||||
|
||||
if (string.IsNullOrWhiteSpace(schema_info.price_col))
|
||||
{
|
||||
throw new ArgumentException("BarBuilderSchemaInfo.PriceCol cannot be null or empty.");
|
||||
}
|
||||
if (string.IsNullOrWhiteSpace(schema_info.volume_col))
|
||||
{
|
||||
throw new ArgumentException("BarBuilderSchemaInfo.VolumeCol cannot be null or empty.");
|
||||
}
|
||||
if (string.IsNullOrWhiteSpace(schema_info.timestamp_col))
|
||||
{
|
||||
throw new ArgumentException("BarBuilderSchemaInfo.TimestampCol cannot be null or empty.");
|
||||
}
|
||||
|
||||
if (schema_info.price_col.Equals(schema_info.volume_col, StringComparison.OrdinalIgnoreCase) ||
|
||||
schema_info.price_col.Equals(schema_info.timestamp_col, StringComparison.OrdinalIgnoreCase) ||
|
||||
schema_info.volume_col.Equals(schema_info.timestamp_col, StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
throw new ArgumentException("BarBuilderSchemaInfo columns must be distinct.");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
@@ -0,0 +1,58 @@
|
||||
namespace BlueOrb.Internal;
|
||||
|
||||
using BCG;
|
||||
|
||||
using System;
|
||||
using System.Linq;
|
||||
|
||||
[DataStreamUserRespresentation("TestStream")]
|
||||
public class TestStream : ViewStream {
|
||||
public TestStream() {
|
||||
var rs = new BlueOrb.Operators.Core.LiteralStream("table1", "x:123, y:1.001, z:abc;x:123, y:1.001, z:abc");
|
||||
mySetRealSource(rs);
|
||||
}
|
||||
}
|
||||
|
||||
[DataStreamUserRespresentation("OpsStream")]
|
||||
public class OpsStream : ViewStream {
|
||||
public OpsStream() {
|
||||
}
|
||||
|
||||
protected override void myOnFirstSubscriber() {
|
||||
IBlueTableSchema schema = new BlueTableSchema("Ops");
|
||||
schema = schema.add_column(System.TypeCode.Int32, "id");
|
||||
schema = schema.add_column(System.TypeCode.String, "op");
|
||||
schema = schema.add_column(System.TypeCode.String, "namespace");
|
||||
schema = schema.add_column(System.TypeCode.String, "assembly_name");
|
||||
schema = schema.add_column(System.TypeCode.String, "constructor");
|
||||
var loaded_streams = PrimitiveManager.instance.get_loaded_streams();
|
||||
BlueTable rv = new BlueTable(schema);
|
||||
foreach (var kv in loaded_streams.OrderBy(kv => kv.Key, StringComparer.OrdinalIgnoreCase)) {
|
||||
string sn = kv.Key;
|
||||
Type t = kv.Value;
|
||||
string ns = t.Namespace ?? string.Empty;
|
||||
string assembly_name = t.Assembly.GetName().Name ?? string.Empty;
|
||||
var constructors = t.GetConstructors()
|
||||
.OrderBy(c => c.GetParameters().Length)
|
||||
.ThenBy(c => c.ToString());
|
||||
if (!constructors.Any()) {
|
||||
IBlueRow r = new BlueRow(schema, rv.Count, sn, ns, assembly_name, "(no public constructor)");
|
||||
rv.addRow(r);
|
||||
continue;
|
||||
}
|
||||
foreach (var ctor in constructors) {
|
||||
var parameters = ctor.GetParameters();
|
||||
string constructor = $"{t.Name}({string.Join(", ", parameters.Select(p => p.ParameterType.Name))})";
|
||||
IBlueRow r = new BlueRow(schema, rv.Count, sn, ns, assembly_name, constructor);
|
||||
rv.addRow(r);
|
||||
}
|
||||
}
|
||||
myFireEvent(new DataPacket(rv, rv, new BlueTable(schema)));
|
||||
}
|
||||
|
||||
protected override void myOnLastSubscriber() {
|
||||
base.myOnLastSubscriber();
|
||||
}
|
||||
|
||||
|
||||
}
|
||||
@@ -0,0 +1,218 @@
|
||||
// namespace Bts.DataStreamTests;
|
||||
|
||||
// using BCG;
|
||||
|
||||
// using BlueOrb.Operators.Core;
|
||||
|
||||
// [TestFixture]
|
||||
// public class BarBuilderStreamTests {
|
||||
// static readonly DateTime T0 = new(2026, 1, 1, 0, 0, 0, DateTimeKind.Utc);
|
||||
|
||||
// [Test]
|
||||
// public void TimeBars_FromTrades_AcrossBoundary() {
|
||||
// var schema = TradeSchema();
|
||||
// var driver = new TestDriverStream(schema);
|
||||
// var bars = new BarBuilderStream(driver, "TIME", 60, "trade_price", "trade_size");
|
||||
// var rows = CaptureAddedRows(bars);
|
||||
|
||||
// var sent = new List<IBlueRow>();
|
||||
// sent.Add(TradeRow(schema, 1, T0.AddSeconds(10), "BTCUSD", 100, 2));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(20), "BTCUSD", 101, 3));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 3, T0.AddMinutes(1).AddSeconds(5), "BTCUSD", 99, 1));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 4, T0.AddMinutes(2), "BTCUSD", 102, 1));
|
||||
// driver.Reset(sent);
|
||||
|
||||
// Assert.That(rows.Count, Is.EqualTo(2));
|
||||
// AssertBar(rows[0], 100, 101, 100, 101, 5, 2, 100.6, false);
|
||||
// AssertBar(rows[1], 99, 99, 99, 99, 1, 1, 99, false);
|
||||
// }
|
||||
|
||||
// [Test]
|
||||
// public void TimeBars_FromBboMid_VolumeIsZero() {
|
||||
// var schema = BboSchema();
|
||||
// var driver = new TestDriverStream(schema);
|
||||
// var bars = new BarBuilderStream(driver, "TIME", 60, "mid", "none");
|
||||
// var rows = CaptureAddedRows(bars);
|
||||
|
||||
// var sent = new List<IBlueRow>();
|
||||
// sent.Add(BboRow(schema, 1, T0.AddSeconds(0), "ETHUSD", 99, 101));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(BboRow(schema, 2, T0.AddSeconds(30), "ETHUSD", 101, 103));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(BboRow(schema, 3, T0.AddMinutes(1).AddSeconds(1), "ETHUSD", 100, 104));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(BboRow(schema, 4, T0.AddMinutes(2), "ETHUSD", 100, 102));
|
||||
// driver.Reset(sent);
|
||||
|
||||
// Assert.That(rows.Count, Is.EqualTo(2));
|
||||
// AssertBar(rows[0], 100, 102, 100, 102, 0, 2, 102, false);
|
||||
// AssertBar(rows[1], 102, 102, 102, 102, 0, 1, 102, false);
|
||||
// }
|
||||
|
||||
// [Test]
|
||||
// public void TickBars_CloseExactlyOnNEvents() {
|
||||
// var schema = TradeSchema();
|
||||
// var driver = new TestDriverStream(schema);
|
||||
// var bars = new BarBuilderStream(driver, "TICK", 3, "trade_price", "trade_size");
|
||||
// var rows = CaptureAddedRows(bars);
|
||||
|
||||
// var sent = new List<IBlueRow>();
|
||||
// sent.Add(TradeRow(schema, 1, T0, "NQ", 10, 1));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "NQ", 11, 1));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 3, T0.AddSeconds(2), "NQ", 9, 1));
|
||||
// driver.Reset(sent);
|
||||
|
||||
// Assert.That(rows.Count, Is.EqualTo(1));
|
||||
// AssertBar(rows[0], 10, 11, 9, 9, 3, 3, 10, false);
|
||||
// }
|
||||
|
||||
// [Test]
|
||||
// public void VolumeBars_CloseOnThreshold() {
|
||||
// var schema = TradeSchema();
|
||||
// var driver = new TestDriverStream(schema);
|
||||
// var bars = new BarBuilderStream(driver, "VOLUME", 10, "trade_price", "trade_size");
|
||||
// var rows = CaptureAddedRows(bars);
|
||||
|
||||
// var sent = new List<IBlueRow>();
|
||||
// sent.Add(TradeRow(schema, 1, T0, "ES", 100, 3));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "ES", 120, 4));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 3, T0.AddSeconds(2), "ES", 110, 5));
|
||||
// driver.Reset(sent);
|
||||
|
||||
// Assert.That(rows.Count, Is.EqualTo(1));
|
||||
// AssertBar(rows[0], 100, 120, 100, 110, 12, 3, (100 * 3 + 120 * 4 + 110 * 5) / 12.0, false);
|
||||
// }
|
||||
|
||||
// [Test]
|
||||
// public void DollarBars_CloseOnThreshold() {
|
||||
// var schema = TradeSchema();
|
||||
// var driver = new TestDriverStream(schema);
|
||||
// var bars = new BarBuilderStream(driver, "DOLLAR", 1000, "trade_price", "trade_size");
|
||||
// var rows = CaptureAddedRows(bars);
|
||||
|
||||
// var sent = new List<IBlueRow>();
|
||||
// sent.Add(TradeRow(schema, 1, T0, "CL", 100, 3));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "CL", 120, 4));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 3, T0.AddSeconds(2), "CL", 110, 3));
|
||||
// driver.Reset(sent);
|
||||
|
||||
// Assert.That(rows.Count, Is.EqualTo(1));
|
||||
// AssertBar(rows[0], 100, 120, 100, 110, 10, 3, 111, false);
|
||||
// }
|
||||
|
||||
// [Test]
|
||||
// public void Validation_VolumeOnBboOnly_Throws() {
|
||||
// var schema = BboSchema();
|
||||
// var driver = new TestDriverStream(schema);
|
||||
// var bars = new BarBuilderStream(driver, "VOLUME", 10, "mid", "trade_size");
|
||||
|
||||
// var row = BboRow(schema, 1, T0, "BTCUSD", 99, 101);
|
||||
// Assert.Throws<ArgumentException>(() => {
|
||||
// using var _ = SubscribeNoOp(bars);
|
||||
// driver.Reset(row);
|
||||
// });
|
||||
// }
|
||||
|
||||
// [Test]
|
||||
// public void EmitForming_EmitsFormingAndFinal() {
|
||||
// var schema = TradeSchema();
|
||||
// var driver = new TestDriverStream(schema);
|
||||
// var bars = new BarBuilderStream(driver, "TICK", 2, "trade_price", "trade_size", emit_forming: true);
|
||||
// var rows = CaptureAddedRows(bars);
|
||||
|
||||
// var sent = new List<IBlueRow>();
|
||||
// sent.Add(TradeRow(schema, 1, T0, "MNQ", 10, 1));
|
||||
// driver.Reset(sent);
|
||||
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "MNQ", 12, 1));
|
||||
// driver.Reset(sent);
|
||||
|
||||
// Assert.That(rows.Count, Is.EqualTo(3));
|
||||
// Assert.That(rows[0].get<bool>("is_forming"), Is.True);
|
||||
// Assert.That(rows[1].get<bool>("is_forming"), Is.True);
|
||||
// Assert.That(rows[2].get<bool>("is_forming"), Is.False);
|
||||
// AssertBar(rows[2], 10, 12, 10, 12, 2, 2, 11, false);
|
||||
// }
|
||||
|
||||
// static IDisposable SubscribeNoOp(ViewStream stream) {
|
||||
// DataStream.ChangeDelegate d = _ => { };
|
||||
// stream.onChange += d;
|
||||
// return new Subscription(() => stream.onChange -= d);
|
||||
// }
|
||||
|
||||
// static List<IBlueRow> CaptureAddedRows(ViewStream stream) {
|
||||
// var rows = new List<IBlueRow>();
|
||||
// stream.onChange += o => {
|
||||
// var dp = (IDataPacket)o;
|
||||
// foreach (IBlueRow r in dp.addedRows) {
|
||||
// rows.Add(new BlueRow(r));
|
||||
// }
|
||||
// };
|
||||
// return rows;
|
||||
// }
|
||||
|
||||
// static BlueTableSchema TradeSchema() =>
|
||||
// new(
|
||||
// new[] {
|
||||
// new ColumnInfo("id", 0, typeof(int)),
|
||||
// new ColumnInfo("ts_event", 1, typeof(string)),
|
||||
// new ColumnInfo("contract", 2, typeof(string)),
|
||||
// new ColumnInfo("trade_price", 3, typeof(double)),
|
||||
// new ColumnInfo("trade_size", 4, typeof(double)),
|
||||
// },
|
||||
// "trade_events"
|
||||
// );
|
||||
|
||||
// static BlueTableSchema BboSchema() =>
|
||||
// new(
|
||||
// new[] {
|
||||
// new ColumnInfo("id", 0, typeof(int)),
|
||||
// new ColumnInfo("ts_event", 1, typeof(string)),
|
||||
// new ColumnInfo("contract", 2, typeof(string)),
|
||||
// new ColumnInfo("bid_price", 3, typeof(double)),
|
||||
// new ColumnInfo("ask_price", 4, typeof(double)),
|
||||
// },
|
||||
// "bbo_events"
|
||||
// );
|
||||
|
||||
// static IBlueRow TradeRow(IBlueTableSchema schema, int id, DateTime ts, string contract, double px, double sz) =>
|
||||
// new BlueRow(schema, id, ts.ToString("O"), contract, px, sz);
|
||||
|
||||
// static IBlueRow BboRow(IBlueTableSchema schema, int id, DateTime ts, string contract, double bid, double ask) =>
|
||||
// new BlueRow(schema, id, ts.ToString("O"), contract, bid, ask);
|
||||
|
||||
// static void AssertBar(
|
||||
// IBlueRow r,
|
||||
// double open,
|
||||
// double high,
|
||||
// double low,
|
||||
// double close,
|
||||
// double volume,
|
||||
// int tradeCount,
|
||||
// double vwap,
|
||||
// bool isForming
|
||||
// ) {
|
||||
// Assert.That(r.get<double>("open"), Is.EqualTo(open).Within(1e-9));
|
||||
// Assert.That(r.get<double>("high"), Is.EqualTo(high).Within(1e-9));
|
||||
// Assert.That(r.get<double>("low"), Is.EqualTo(low).Within(1e-9));
|
||||
// Assert.That(r.get<double>("close"), Is.EqualTo(close).Within(1e-9));
|
||||
// Assert.That(r.get<double>("volume"), Is.EqualTo(volume).Within(1e-9));
|
||||
// Assert.That(r.get<int>("trade_count"), Is.EqualTo(tradeCount));
|
||||
// Assert.That(r.get<double>("vwap"), Is.EqualTo(vwap).Within(1e-9));
|
||||
// Assert.That(r.get<bool>("is_forming"), Is.EqualTo(isForming));
|
||||
// }
|
||||
|
||||
// sealed class Subscription : IDisposable {
|
||||
// readonly Action _dispose;
|
||||
// public Subscription(Action dispose) => _dispose = dispose;
|
||||
// public void Dispose() => _dispose();
|
||||
// }
|
||||
// }
|
||||
@@ -29,6 +29,7 @@ using std::vector;
|
||||
struct OnixsGlbxSubscription::PImpl {
|
||||
GlbxMarketDataConfig config;
|
||||
shared_ptr<IDGenerator> sec_id_store;
|
||||
shared_ptr<IMarketDataListener> listener;
|
||||
|
||||
PImpl(shared_ptr<IDGenerator> sec_id_store, GlbxMarketDataConfig config)
|
||||
: config(std::move(config)), sec_id_store(std::move(sec_id_store)) {}
|
||||
@@ -66,7 +67,8 @@ struct OnixsGlbxSubscription::PImpl {
|
||||
FMT_JOIN(symbols, ", "));
|
||||
vector<shared_ptr<IMDPlatform>> platforms;
|
||||
auto main = std::make_shared<MDP3Main>();
|
||||
main->start({symbols.begin(), symbols.end()}, nullptr, nullptr);
|
||||
main->start(
|
||||
{symbols.begin(), symbols.end()}, nullptr, nullptr, listener);
|
||||
platforms.emplace_back(std::move(main));
|
||||
dispatcher = &utils::Dispatcher::current();
|
||||
heartbeat_timer.emplace(*dispatcher, 250, [&]() {
|
||||
@@ -107,9 +109,10 @@ OnixsGlbxSubscription::OnixsGlbxSubscription(
|
||||
OnixsGlbxSubscription::~OnixsGlbxSubscription() = default;
|
||||
|
||||
void OnixsGlbxSubscription::start(
|
||||
shared_ptr<IMarketDataListener> /*listener*/) {
|
||||
shared_ptr<IMarketDataListener> listener) {
|
||||
std::atomic_thread_fence(std::memory_order_release);
|
||||
bts_assert(!me_->dispatcher_thread.joinable());
|
||||
me_->listener = std::move(listener);
|
||||
me_->dispatcher_thread = std::thread{[&]() { me_->run(); }};
|
||||
}
|
||||
|
||||
|
||||
@@ -12,6 +12,8 @@ struct SecurityData {
|
||||
: id(id), handle(h), mbo_state(h), electronic_volume(0) {}
|
||||
uint32_t id; // exchange id
|
||||
MDProducerHandle handle;
|
||||
// Exception for now: MBO still maintains per-security working state locally
|
||||
// in MDP3Listener until GMDL grows equivalent MBO support.
|
||||
MBOWorkingState mbo_state;
|
||||
uint32_t electronic_volume;
|
||||
};
|
||||
|
||||
@@ -1,347 +1,428 @@
|
||||
#include "MDP3Listener.h"
|
||||
#include "spark/config/protos/market_data.pb.h"
|
||||
#include "spark/md/protos/co2.pb.h"
|
||||
#include "spark/utils/datetime.h"
|
||||
#include "spark/utils/helper_macros.h"
|
||||
#include <vector>
|
||||
|
||||
using namespace std;
|
||||
using namespace bts::co2;
|
||||
|
||||
namespace bts {
|
||||
namespace md {
|
||||
|
||||
MDP3Listener::MDP3Listener(
|
||||
CMESecurityIndex &index,
|
||||
MDProducer &producer,
|
||||
MBOWriter *mbo,
|
||||
const std::vector<MDProducerChannel> channels,
|
||||
TradeSummarySignalDispatcher *trade_summary_dispatcher)
|
||||
: _index(index), _producer(producer),
|
||||
_verbose_ticker(config::get<CMEOptions>().verbose_ticker()),
|
||||
_packet_arrived(), _latest_sequence(0),
|
||||
// _settlement_recorder(settles),
|
||||
_symbol_filter_storage(), _symbol_filter(), _channels(channels),
|
||||
_concurrency_monitor(0), _book_updates(), _mbo(mbo),
|
||||
_trade_summary_dispatcher(trade_summary_dispatcher) {
|
||||
_book_updates.reserve(32);
|
||||
}
|
||||
|
||||
MDP3Listener::~MDP3Listener() {}
|
||||
|
||||
//
|
||||
// Warnings/Errors
|
||||
void MDP3Listener::onError(onixs::Handler &, const onixs::ErrorArgs &error) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onError", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Warn, "OnixS Error: {} - {}", error.description(), error.source());
|
||||
}
|
||||
void MDP3Listener::onWarning(
|
||||
onixs::Handler &, const onixs::WarningArgs &warning) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onWarning", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Warn, "OnixS Warn: {} - {}", warning.description(),
|
||||
warning.source());
|
||||
}
|
||||
void MDP3Listener::onInstrumentRecovery(onixs::Handler &h) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onInstrumentRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Info, "Beginning security definition recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onEndOfInstrumentRecovery(
|
||||
onixs::Handler &h, const onixs::RecoveryCompletionArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfInstrumentRecovery",
|
||||
_latest_sequence, (uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Info, "Finished Security definition recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
|
||||
//
|
||||
// Gap Recovery
|
||||
void MDP3Listener::onMarketRecovery(onixs::Handler &h) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onMarketRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_PACKET_LOSS);
|
||||
for (auto &c : _channels) {
|
||||
c.gap();
|
||||
}
|
||||
LOG(md, Info, "Beginning market recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onEndOfMarketRecovery(
|
||||
onixs::Handler &h, const onixs::RecoveryCompletionArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfMarketRecovery",
|
||||
_latest_sequence, (uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_OK);
|
||||
LOG(md, Info, "Finished market recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onTcpRecovery(onixs::Handler &h) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onTcpRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_PACKET_LOSS);
|
||||
LOG(md, Info, "Beginning tcp recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onEndOfTcpRecovery(
|
||||
onixs::Handler &h, const onixs::RecoveryCompletionArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfTcpRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_OK);
|
||||
LOG(md, Info, "Finished tcp recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
|
||||
//
|
||||
// Mark the start/end of a packet
|
||||
void MDP3Listener::onPacket(onixs::Handler &, const onixs::PacketArgs &args) {
|
||||
// Mark the arrival of the packet
|
||||
_packet_arrived = TimeStamp::now();
|
||||
auto seq = args.seqNumber();
|
||||
if (!_book_updates.empty()) {
|
||||
if (_latest_sequence != seq) {
|
||||
LOG(md, Error,
|
||||
"Expected sequence {} got {} did not flush {} book updates.",
|
||||
_latest_sequence, seq, _book_updates.size());
|
||||
}
|
||||
}
|
||||
_latest_sequence = seq;
|
||||
auto onixs_zero = args.receiveTime().sinceEpoch();
|
||||
auto onixs_now = OnixS::CME::MDH::UtcWatch::now().sinceEpoch();
|
||||
|
||||
// needed for clang compilation
|
||||
UNUSED(onixs_zero);
|
||||
UNUSED(onixs_now);
|
||||
// was needed for clang compilation
|
||||
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onPacket", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, onixs_now - onixs_zero);
|
||||
}
|
||||
void MDP3Listener::onEndOfPacket(onixs::Handler &, const onixs::PacketArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfPacket.begin", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
flush_books();
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfPacket.end", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
}
|
||||
|
||||
//
|
||||
// Book updates
|
||||
|
||||
void MDP3Listener::onBookUpdate(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::DirectBook &book) {
|
||||
onBookUpdate<COCONUT_MAX_DEPTH>(sec, book, book_type_direct);
|
||||
}
|
||||
|
||||
void MDP3Listener::onBookUpdate(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::ImpliedBook &book) {
|
||||
onBookUpdate<COCONUT_MAX_IMPLIED_DEPTH>(sec, book, book_type_implied);
|
||||
}
|
||||
|
||||
void MDP3Listener::onBookUpdate(
|
||||
onixs::Handler &, const onixs::Security &, const onixs::MboBook &) {
|
||||
#if 0
|
||||
if (_mbo) {
|
||||
auto data = _index.get_security(sec.id());
|
||||
if (data == nullptr) return;
|
||||
auto key = data->handle.key();
|
||||
if (key == invalid_security_key) return;
|
||||
auto* snapshot = _mbo->allocate_snapshot();
|
||||
// copy from onixs book
|
||||
for (const auto& bid : book.bids()) {
|
||||
snapshot->bids.push_back({ ExchangeOrderKey(bid.id()), convert_price(bid.price(), 0), bid.quantity() });
|
||||
}
|
||||
for (const auto& ask : book.offers()) {
|
||||
snapshot->asks.push_back({ ExchangeOrderKey(ask.id()), convert_price(ask.price(),0), ask.quantity() });
|
||||
}
|
||||
_mbo->validate_snapshot(sec.id(), SecurityKey(key), snapshot);
|
||||
}
|
||||
#endif
|
||||
}
|
||||
|
||||
//
|
||||
// Trades
|
||||
// Called from onTradeSummary and onTradeRecovery, ends up calling
|
||||
// MDProducerHandle::add_trade
|
||||
void on_trade(
|
||||
SecurityData *data,
|
||||
const onixs::Decimal &price,
|
||||
int size,
|
||||
onixs::AggressorSide::Enum agside,
|
||||
const onixs::Timestamp &onixs_date) {
|
||||
auto ts = utils::TimeStamp::now();
|
||||
PriceSize ps = pricesize_of_price_size(
|
||||
price, data->handle.security().display_factor, size);
|
||||
auto date = ll_of_timestamp(onixs_date);
|
||||
data->handle.add_trade(
|
||||
ts, ps, date, map_aggressor(agside), data->electronic_volume + size);
|
||||
}
|
||||
|
||||
//
|
||||
// RFQ
|
||||
void MDP3Listener::onQuoteRequest(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::QuoteRequest39RelatedSymArgs &arg) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onQuoteRequest", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
auto *data = _index.get_security(sec.id());
|
||||
if (data != nullptr) {
|
||||
auto ts = utils::TimeStamp::now();
|
||||
|
||||
co2::QuoteRequestMessage message;
|
||||
message.set_key(data->handle.key());
|
||||
|
||||
auto time = ll_of_timestamp(arg.message().transactTime());
|
||||
message.set_time(time);
|
||||
|
||||
onixs::StrRef id = arg.message().quoteReqId();
|
||||
message.set_request_id(id.items(), id.size());
|
||||
|
||||
// https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Request+for+Quote
|
||||
int8_t side;
|
||||
if (arg.entry().side(side)) {
|
||||
switch (side) {
|
||||
case 1: // buy
|
||||
case '1':
|
||||
message.set_side(co2::QuoteRequestMessage::BUY);
|
||||
break;
|
||||
case 2: // sell
|
||||
case '2':
|
||||
message.set_side(co2::QuoteRequestMessage::SELL);
|
||||
break;
|
||||
case 8: // cross
|
||||
case '8':
|
||||
message.set_side(co2::QuoteRequestMessage::CROSS);
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
message.set_tradable(arg.entry().quoteType() == 1);
|
||||
|
||||
int32_t size;
|
||||
if (arg.entry().orderQty(size)) {
|
||||
message.set_size(size);
|
||||
}
|
||||
|
||||
data->handle.add_rfq(ts, message);
|
||||
}
|
||||
}
|
||||
|
||||
//
|
||||
// Volume
|
||||
void MDP3Listener::onElectronicVolume(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::Volume37Args &args) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onElectronicVolume.volume",
|
||||
_latest_sequence, (uint16_t)_latest_sequence, 0);
|
||||
auto *data = _index.get_security(sec.id());
|
||||
if (data != nullptr) {
|
||||
bts_assert_d(args.entry().entryType().value() == 'e');
|
||||
bts_assert_d(
|
||||
args.entry().updateAction() == onixs::UpdateAction::New ||
|
||||
args.entry().updateAction() == onixs::UpdateAction::Change);
|
||||
data->electronic_volume = args.entry().entrySize();
|
||||
}
|
||||
}
|
||||
|
||||
//
|
||||
// Non-onixs calls
|
||||
|
||||
void MDP3Listener::add_filter_symbol(const std::string &symbol) {
|
||||
LOG(md, Info, "MDP3Listener::add_filter_symbol symbol: {}", symbol);
|
||||
_symbol_filter_storage.push_back(symbol);
|
||||
_symbol_filter.clear();
|
||||
for (const auto &str : _symbol_filter_storage) {
|
||||
_symbol_filter.insert(onixs::StrRef(str.c_str(), str.size()));
|
||||
}
|
||||
}
|
||||
|
||||
void MDP3Listener::heartbeat() {
|
||||
for (auto &c : _channels) {
|
||||
c.heartbeat();
|
||||
}
|
||||
}
|
||||
|
||||
// Called by MDP3Main::prepare_listener as part of pre-load. Also called by
|
||||
// MDP3Listener::onFuture, onOption and onSpread
|
||||
void MDP3Listener::add_security(
|
||||
const FixedSecurity &security, co2::TradingStatus status) {
|
||||
bts_assert(security.numeric_id != 0);
|
||||
// Set up the shared memory for this security
|
||||
auto handle = _producer.add_security(security);
|
||||
// Add it to the index so it can receive messages
|
||||
_index.add_security(security.numeric_id, handle);
|
||||
|
||||
handle.update_exchange_status(utils::TimeStamp::now(), status);
|
||||
}
|
||||
|
||||
// Private functions
|
||||
|
||||
void MDP3Listener::flush_books() {
|
||||
// This is called at the end of the packet
|
||||
// Write all book updates to shared memory and reset for the next packet
|
||||
for (auto &entry : _book_updates) {
|
||||
uint32_t sequence = _latest_sequence;
|
||||
if (entry.type_flags == book_type_direct) {
|
||||
entry.handle.update_direct(
|
||||
_packet_arrived, entry.bids.first, entry.asks.first, sequence);
|
||||
} else if (entry.type_flags == book_type_implied) {
|
||||
entry.handle.update_implied(
|
||||
_packet_arrived, entry.bids.second, entry.asks.second, sequence);
|
||||
} else if (entry.type_flags == book_type_both) {
|
||||
entry.handle.update_books(
|
||||
_packet_arrived, entry.bids.first, entry.asks.first,
|
||||
entry.bids.second, entry.asks.second, sequence);
|
||||
}
|
||||
}
|
||||
// Reset pending updates
|
||||
_book_updates.clear();
|
||||
}
|
||||
|
||||
void MDP3Listener::update_all_status(CoconutSecurityStatus status) {
|
||||
_index.walk_security_list(
|
||||
[=](SecurityData &data) { data.handle.set_status(status); });
|
||||
}
|
||||
|
||||
void MDP3Listener::update_group_exchange_status(
|
||||
const onixs::StrRef &group, co2::TradingStatus status) {
|
||||
_index.walk_security_list([=](SecurityData &data) {
|
||||
if (data.handle.security().alt_symbol() == group) {
|
||||
data.handle.update_exchange_status(utils::TimeStamp::now(), status);
|
||||
}
|
||||
});
|
||||
}
|
||||
void MDP3Listener::update_asset_exchange_status(
|
||||
const onixs::StrRef &asset, co2::TradingStatus status) {
|
||||
_index.walk_security_list([=](SecurityData &data) {
|
||||
if (data.handle.security().symbol() == asset) {
|
||||
data.handle.update_exchange_status(utils::TimeStamp::now(), status);
|
||||
}
|
||||
});
|
||||
}
|
||||
|
||||
md::MDP3Listener::BookData::BookData(MDProducerHandle &handle)
|
||||
: handle(handle), type_flags(0), bids(), asks() {}
|
||||
|
||||
} // namespace md
|
||||
} // namespace bts
|
||||
#include "MDP3Listener.h"
|
||||
#include "spark/config/protos/market_data.pb.h"
|
||||
#include "spark/domain/Book.h"
|
||||
#include "spark/domain/Security.h"
|
||||
#include "spark/domain/TradeRecord.h"
|
||||
#include "spark/md/protos/co2.pb.h"
|
||||
#include "spark/utils/datetime.h"
|
||||
#include "spark/utils/helper_macros.h"
|
||||
#include <vector>
|
||||
|
||||
using namespace std;
|
||||
using namespace bts::co2;
|
||||
|
||||
namespace bts {
|
||||
namespace md {
|
||||
|
||||
namespace {
|
||||
|
||||
domain::AggressorSide to_domain_aggressor(onixs::AggressorSide::Enum agside) {
|
||||
switch (agside) {
|
||||
case onixs::AggressorSide::Buy:
|
||||
return domain::AggressorSide::Buy;
|
||||
case onixs::AggressorSide::Sell:
|
||||
return domain::AggressorSide::Sell;
|
||||
default:
|
||||
return domain::AggressorSide::None;
|
||||
}
|
||||
}
|
||||
|
||||
domain::Price to_domain_price(const PriceSize &ps) {
|
||||
if (ps.is_nan()) {
|
||||
return domain::Price::nan();
|
||||
}
|
||||
return domain::Price::from_double(ps.price());
|
||||
}
|
||||
|
||||
domain::BookLevel to_domain_book_level(const PriceSize &ps) {
|
||||
if (ps.is_nan() || ps.size() == 0) {
|
||||
return domain::BookLevel::empty();
|
||||
}
|
||||
domain::BookLevel level;
|
||||
level.price = to_domain_price(ps);
|
||||
level.total_quantity = domain::Quantity(ps.size());
|
||||
level.direct_quantity = domain::Quantity(ps.direct_size());
|
||||
return level;
|
||||
}
|
||||
|
||||
void copy_book_side(
|
||||
const std::array<PriceSize, COCONUT_MAX_DEPTH> &from,
|
||||
domain::BookSide &to) {
|
||||
for (size_t i = 0; i < std::min(from.size(), to.size()); ++i) {
|
||||
to[i] = to_domain_book_level(from[i]);
|
||||
}
|
||||
}
|
||||
|
||||
} // namespace
|
||||
|
||||
MDP3Listener::MDP3Listener(
|
||||
CMESecurityIndex &index,
|
||||
MDProducer &producer,
|
||||
MBOWriter *mbo,
|
||||
const std::vector<MDProducerChannel> channels,
|
||||
TradeSummarySignalDispatcher *trade_summary_dispatcher,
|
||||
std::shared_ptr<IMarketDataListener> market_data_listener)
|
||||
: _index(index), _producer(producer),
|
||||
_verbose_ticker(config::get<CMEOptions>().verbose_ticker()),
|
||||
_packet_arrived(), _latest_sequence(0),
|
||||
// _settlement_recorder(settles),
|
||||
_symbol_filter_storage(), _symbol_filter(), _channels(channels),
|
||||
_concurrency_monitor(0), _book_updates(), _mbo(mbo),
|
||||
_trade_summary_dispatcher(trade_summary_dispatcher),
|
||||
_market_data_listener(std::move(market_data_listener)) {
|
||||
_book_updates.reserve(32);
|
||||
}
|
||||
|
||||
MDP3Listener::~MDP3Listener() {}
|
||||
|
||||
//
|
||||
// Warnings/Errors
|
||||
void MDP3Listener::onError(onixs::Handler &, const onixs::ErrorArgs &error) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onError", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Warn, "OnixS Error: {} - {}", error.description(), error.source());
|
||||
}
|
||||
void MDP3Listener::onWarning(
|
||||
onixs::Handler &, const onixs::WarningArgs &warning) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onWarning", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Warn, "OnixS Warn: {} - {}", warning.description(),
|
||||
warning.source());
|
||||
}
|
||||
void MDP3Listener::onInstrumentRecovery(onixs::Handler &h) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onInstrumentRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Info, "Beginning security definition recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onEndOfInstrumentRecovery(
|
||||
onixs::Handler &h, const onixs::RecoveryCompletionArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfInstrumentRecovery",
|
||||
_latest_sequence, (uint16_t)_latest_sequence, 0);
|
||||
LOG(md, Info, "Finished Security definition recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
|
||||
//
|
||||
// Gap Recovery
|
||||
void MDP3Listener::onMarketRecovery(onixs::Handler &h) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onMarketRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_PACKET_LOSS);
|
||||
for (auto &c : _channels) {
|
||||
c.gap();
|
||||
}
|
||||
LOG(md, Info, "Beginning market recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onEndOfMarketRecovery(
|
||||
onixs::Handler &h, const onixs::RecoveryCompletionArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfMarketRecovery",
|
||||
_latest_sequence, (uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_OK);
|
||||
LOG(md, Info, "Finished market recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onTcpRecovery(onixs::Handler &h) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onTcpRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_PACKET_LOSS);
|
||||
LOG(md, Info, "Beginning tcp recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
void MDP3Listener::onEndOfTcpRecovery(
|
||||
onixs::Handler &h, const onixs::RecoveryCompletionArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfTcpRecovery", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
update_all_status(COCONUTSECURITYSTATUS_OK);
|
||||
LOG(md, Info, "Finished tcp recovery for channel {}",
|
||||
h.settings().channel());
|
||||
}
|
||||
|
||||
//
|
||||
// Mark the start/end of a packet
|
||||
void MDP3Listener::onPacket(onixs::Handler &, const onixs::PacketArgs &args) {
|
||||
// Mark the arrival of the packet
|
||||
_packet_arrived = TimeStamp::now();
|
||||
auto seq = args.seqNumber();
|
||||
if (!_book_updates.empty()) {
|
||||
if (_latest_sequence != seq) {
|
||||
LOG(md, Error,
|
||||
"Expected sequence {} got {} did not flush {} book updates.",
|
||||
_latest_sequence, seq, _book_updates.size());
|
||||
}
|
||||
}
|
||||
_latest_sequence = seq;
|
||||
auto onixs_zero = args.receiveTime().sinceEpoch();
|
||||
auto onixs_now = OnixS::CME::MDH::UtcWatch::now().sinceEpoch();
|
||||
|
||||
// needed for clang compilation
|
||||
UNUSED(onixs_zero);
|
||||
UNUSED(onixs_now);
|
||||
// was needed for clang compilation
|
||||
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onPacket", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, onixs_now - onixs_zero);
|
||||
}
|
||||
void MDP3Listener::onEndOfPacket(onixs::Handler &, const onixs::PacketArgs &) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfPacket.begin", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
flush_books();
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onEndOfPacket.end", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
}
|
||||
|
||||
//
|
||||
// Book updates
|
||||
|
||||
void MDP3Listener::onBookUpdate(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::DirectBook &book) {
|
||||
onBookUpdate<COCONUT_MAX_DEPTH>(sec, book, book_type_direct);
|
||||
}
|
||||
|
||||
void MDP3Listener::onBookUpdate(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::ImpliedBook &book) {
|
||||
onBookUpdate<COCONUT_MAX_IMPLIED_DEPTH>(sec, book, book_type_implied);
|
||||
}
|
||||
|
||||
void MDP3Listener::onBookUpdate(
|
||||
onixs::Handler &, const onixs::Security &, const onixs::MboBook &) {
|
||||
#if 0
|
||||
if (_mbo) {
|
||||
auto data = _index.get_security(sec.id());
|
||||
if (data == nullptr) return;
|
||||
auto key = data->handle.key();
|
||||
if (key == invalid_security_key) return;
|
||||
auto* snapshot = _mbo->allocate_snapshot();
|
||||
// copy from onixs book
|
||||
for (const auto& bid : book.bids()) {
|
||||
snapshot->bids.push_back({ ExchangeOrderKey(bid.id()), convert_price(bid.price(), 0), bid.quantity() });
|
||||
}
|
||||
for (const auto& ask : book.offers()) {
|
||||
snapshot->asks.push_back({ ExchangeOrderKey(ask.id()), convert_price(ask.price(),0), ask.quantity() });
|
||||
}
|
||||
_mbo->validate_snapshot(sec.id(), SecurityKey(key), snapshot);
|
||||
}
|
||||
#endif
|
||||
}
|
||||
|
||||
//
|
||||
// Trades
|
||||
// Called from onTradeSummary and onTradeRecovery, ends up calling
|
||||
// MDProducerHandle::add_trade
|
||||
void on_trade(
|
||||
SecurityData *data,
|
||||
const onixs::Decimal &price,
|
||||
int size,
|
||||
onixs::AggressorSide::Enum agside,
|
||||
const onixs::Timestamp &onixs_date,
|
||||
IMarketDataListener *market_data_listener) {
|
||||
auto ts = utils::TimeStamp::now();
|
||||
PriceSize ps = pricesize_of_price_size(
|
||||
price, data->handle.security().display_factor, size);
|
||||
if (market_data_listener != nullptr) {
|
||||
domain::TradeRecord trade;
|
||||
trade.sec_id = domain::SecurityID(data->handle.key());
|
||||
trade.time_stamp = core::TimeStamp::now();
|
||||
trade.agg_side = to_domain_aggressor(agside);
|
||||
trade.trade_quantity = domain::Quantity(size);
|
||||
trade.trade_price = to_domain_price(ps);
|
||||
std::vector<domain::TradeRecord const *> trades{&trade};
|
||||
// GMDL!!
|
||||
market_data_listener->on_trades(trades);
|
||||
return;
|
||||
}
|
||||
auto date = ll_of_timestamp(onixs_date);
|
||||
data->handle.add_trade(
|
||||
ts, ps, date, map_aggressor(agside), data->electronic_volume + size);
|
||||
}
|
||||
|
||||
//
|
||||
// RFQ
|
||||
void MDP3Listener::onQuoteRequest(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::QuoteRequest39RelatedSymArgs &arg) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onQuoteRequest", _latest_sequence,
|
||||
(uint16_t)_latest_sequence, 0);
|
||||
auto *data = _index.get_security(sec.id());
|
||||
if (data != nullptr) {
|
||||
auto ts = utils::TimeStamp::now();
|
||||
|
||||
co2::QuoteRequestMessage message;
|
||||
message.set_key(data->handle.key());
|
||||
|
||||
auto time = ll_of_timestamp(arg.message().transactTime());
|
||||
message.set_time(time);
|
||||
|
||||
onixs::StrRef id = arg.message().quoteReqId();
|
||||
message.set_request_id(id.items(), id.size());
|
||||
|
||||
// https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Request+for+Quote
|
||||
int8_t side;
|
||||
if (arg.entry().side(side)) {
|
||||
switch (side) {
|
||||
case 1: // buy
|
||||
case '1':
|
||||
message.set_side(co2::QuoteRequestMessage::BUY);
|
||||
break;
|
||||
case 2: // sell
|
||||
case '2':
|
||||
message.set_side(co2::QuoteRequestMessage::SELL);
|
||||
break;
|
||||
case 8: // cross
|
||||
case '8':
|
||||
message.set_side(co2::QuoteRequestMessage::CROSS);
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
message.set_tradable(arg.entry().quoteType() == 1);
|
||||
|
||||
int32_t size;
|
||||
if (arg.entry().orderQty(size)) {
|
||||
message.set_size(size);
|
||||
}
|
||||
|
||||
data->handle.add_rfq(ts, message);
|
||||
}
|
||||
}
|
||||
|
||||
//
|
||||
// Volume
|
||||
void MDP3Listener::onElectronicVolume(
|
||||
onixs::Handler &,
|
||||
const onixs::Security &sec,
|
||||
const onixs::Volume37Args &args) {
|
||||
tracepoint(
|
||||
bts_trace, trace_order, (char *)"onElectronicVolume.volume",
|
||||
_latest_sequence, (uint16_t)_latest_sequence, 0);
|
||||
auto *data = _index.get_security(sec.id());
|
||||
if (data != nullptr) {
|
||||
bts_assert_d(args.entry().entryType().value() == 'e');
|
||||
bts_assert_d(
|
||||
args.entry().updateAction() == onixs::UpdateAction::New ||
|
||||
args.entry().updateAction() == onixs::UpdateAction::Change);
|
||||
data->electronic_volume = args.entry().entrySize();
|
||||
}
|
||||
}
|
||||
|
||||
//
|
||||
// Non-onixs calls
|
||||
|
||||
domain::Book MDP3Listener::to_domain_book(const BookData &entry) const {
|
||||
domain::Book book = domain::Book::empty(domain::SecurityID(entry.handle.key()));
|
||||
copy_book_side(entry.bids.first, book.bids());
|
||||
copy_book_side(entry.asks.first, book.asks());
|
||||
return book;
|
||||
}
|
||||
|
||||
void MDP3Listener::add_filter_symbol(const std::string &symbol) {
|
||||
LOG(md, Info, "MDP3Listener::add_filter_symbol symbol: {}", symbol);
|
||||
_symbol_filter_storage.push_back(symbol);
|
||||
_symbol_filter.clear();
|
||||
for (const auto &str : _symbol_filter_storage) {
|
||||
_symbol_filter.insert(onixs::StrRef(str.c_str(), str.size()));
|
||||
}
|
||||
}
|
||||
|
||||
void MDP3Listener::heartbeat() {
|
||||
for (auto &c : _channels) {
|
||||
c.heartbeat();
|
||||
}
|
||||
}
|
||||
|
||||
// Called by MDP3Main::prepare_listener as part of pre-load. Also called by
|
||||
// MDP3Listener::onFuture, onOption and onSpread
|
||||
void MDP3Listener::add_security(
|
||||
const FixedSecurity &security, co2::TradingStatus status) {
|
||||
LOG(md, Info, "MDP3Listener::add_security id: {}", security.numeric_id);
|
||||
bts_assert(security.numeric_id != 0);
|
||||
// Set up the shared memory for this security
|
||||
auto handle = _producer.add_security(security);
|
||||
// Add it to the index so it can receive messages
|
||||
_index.add_security(security.numeric_id, handle);
|
||||
|
||||
if (_market_data_listener != nullptr) {
|
||||
domain::Security domain_security(convert_security(security));
|
||||
std::vector<domain::Security const *> securities{&domain_security};
|
||||
// GMDL!!
|
||||
_market_data_listener->on_securities(securities);
|
||||
}
|
||||
|
||||
handle.update_exchange_status(utils::TimeStamp::now(), status);
|
||||
}
|
||||
|
||||
// Private functions
|
||||
|
||||
void MDP3Listener::flush_books() {
|
||||
// This is called at the end of the packet
|
||||
// Write all book updates to shared memory and reset for the next packet
|
||||
for (auto &entry : _book_updates) {
|
||||
uint32_t sequence = _latest_sequence;
|
||||
if (_market_data_listener != nullptr) {
|
||||
if (entry.type_flags & book_type_direct) {
|
||||
// GMDL!!
|
||||
_market_data_listener->on_book(to_domain_book(entry), _packet_arrived);
|
||||
}
|
||||
continue;
|
||||
}
|
||||
if (entry.type_flags == book_type_direct) {
|
||||
entry.handle.update_direct(
|
||||
_packet_arrived, entry.bids.first, entry.asks.first, sequence);
|
||||
} else if (entry.type_flags == book_type_implied) {
|
||||
entry.handle.update_implied(
|
||||
_packet_arrived, entry.bids.second, entry.asks.second, sequence);
|
||||
} else if (entry.type_flags == book_type_both) {
|
||||
entry.handle.update_books(
|
||||
_packet_arrived, entry.bids.first, entry.asks.first,
|
||||
entry.bids.second, entry.asks.second, sequence);
|
||||
}
|
||||
}
|
||||
// Reset pending updates
|
||||
_book_updates.clear();
|
||||
}
|
||||
|
||||
void MDP3Listener::update_all_status(CoconutSecurityStatus status) {
|
||||
_index.walk_security_list(
|
||||
[=](SecurityData &data) { data.handle.set_status(status); });
|
||||
}
|
||||
|
||||
void MDP3Listener::update_group_exchange_status(
|
||||
const onixs::StrRef &group, co2::TradingStatus status) {
|
||||
_index.walk_security_list([=](SecurityData &data) {
|
||||
if (data.handle.security().alt_symbol() == group) {
|
||||
data.handle.update_exchange_status(utils::TimeStamp::now(), status);
|
||||
}
|
||||
});
|
||||
}
|
||||
void MDP3Listener::update_asset_exchange_status(
|
||||
const onixs::StrRef &asset, co2::TradingStatus status) {
|
||||
_index.walk_security_list([=](SecurityData &data) {
|
||||
if (data.handle.security().symbol() == asset) {
|
||||
data.handle.update_exchange_status(utils::TimeStamp::now(), status);
|
||||
}
|
||||
});
|
||||
}
|
||||
|
||||
md::MDP3Listener::BookData::BookData(MDProducerHandle &handle)
|
||||
: handle(handle), type_flags(0), bids(), asks() {}
|
||||
|
||||
} // namespace md
|
||||
} // namespace bts
|
||||
File diff suppressed because it is too large.
Load diff
@@ -1,4 +1,5 @@
|
||||
#include "MDP3Main.h"
|
||||
#include "ScriptedMdp3Feeder.h"
|
||||
#include "spark/config/config.h"
|
||||
#include "spark/config/protos/market_data.pb.h"
|
||||
#include "spark/config/protos/system_config.pb.h"
|
||||
@@ -16,6 +17,8 @@
|
||||
#include "sparkd/md/onixs/OnixsUtils.h"
|
||||
|
||||
#include <boost/filesystem.hpp>
|
||||
#include <thread>
|
||||
#include <chrono>
|
||||
#include <memory>
|
||||
#include <set>
|
||||
#include <sstream>
|
||||
@@ -40,6 +43,8 @@ struct MDP3Main::PImpl {
|
||||
std::map<std::string, std::unique_ptr<onixs::Handler>> handlers;
|
||||
std::vector<std::unique_ptr<MDP3Listener>> listeners;
|
||||
std::vector<std::unique_ptr<onixs::TcpRecoveryService>> recovery;
|
||||
std::atomic<bool> scripted_running{false};
|
||||
std::thread scripted_thread;
|
||||
PImpl()
|
||||
: index(), recorder(
|
||||
nullptr,
|
||||
@@ -53,7 +58,12 @@ struct MDP3Main::PImpl {
|
||||
MDP3Main::MDP3Main()
|
||||
: me_(std::make_unique<PImpl>()) {}
|
||||
|
||||
MDP3Main::~MDP3Main() = default;
|
||||
MDP3Main::~MDP3Main() {
|
||||
me_->scripted_running = false;
|
||||
if (me_->scripted_thread.joinable()) {
|
||||
me_->scripted_thread.join();
|
||||
}
|
||||
}
|
||||
|
||||
const CmeChannelConfig channel_settings_for(const string &id) {
|
||||
const auto &config = config::get<CMEOptions>();
|
||||
@@ -178,7 +188,8 @@ onixs::SessionSettings session_settings_for_channel(
|
||||
void MDP3Main::start(
|
||||
const std::vector<UserSymbol> &symbols,
|
||||
MBOWriter *mbo,
|
||||
TradeSummarySignalDispatcher *tssd) {
|
||||
TradeSummarySignalDispatcher *tssd,
|
||||
std::shared_ptr<IMarketDataListener> market_data_listener) {
|
||||
std::ostringstream oss;
|
||||
for (const auto &us : symbols) {
|
||||
oss << us << " ";
|
||||
@@ -191,7 +202,8 @@ void MDP3Main::start(
|
||||
me_->engines = create_feed_engines(channels);
|
||||
for (const auto &channel : channels) {
|
||||
unique_ptr<onixs::Handler> phandler = prepare_handler(channel.id, mbo);
|
||||
me_->listeners.push_back(prepare_listener(*phandler, channel, mbo, tssd));
|
||||
me_->listeners.push_back(prepare_listener(
|
||||
*phandler, channel, mbo, tssd, market_data_listener));
|
||||
me_->handlers.insert(std::make_pair(channel.id, std::move(phandler)));
|
||||
std::stringstream symstr;
|
||||
for (const auto &sym : channel.symbols) {
|
||||
@@ -210,6 +222,98 @@ void MDP3Main::start(
|
||||
LOG(md, Info, "** CME MDP3 Publisher started **");
|
||||
}
|
||||
|
||||
void MDP3Main::start_scripted(
|
||||
const std::vector<UserSymbol> &symbols,
|
||||
MBOWriter *mbo,
|
||||
TradeSummarySignalDispatcher *tssd,
|
||||
std::shared_ptr<IMarketDataListener> market_data_listener) {
|
||||
std::ostringstream oss;
|
||||
for (const auto &us : symbols) {
|
||||
oss << us << " ";
|
||||
}
|
||||
LOG(md, Info, "MDP3Main::start_scripted symbols: {}", oss.str());
|
||||
|
||||
const auto &channels = parse_channels(symbols);
|
||||
if (channels.empty()) {
|
||||
LOG(md, Warn, "MDP3Main::start_scripted found no CME channels");
|
||||
return;
|
||||
}
|
||||
|
||||
auto channel_it = std::find_if(
|
||||
channels.begin(), channels.end(), [](const CMEChannel &channel) {
|
||||
return std::any_of(
|
||||
channel.symbols.begin(), channel.symbols.end(),
|
||||
[](const UserSymbol &symbol) {
|
||||
return symbol.symbol() == "ES" &&
|
||||
symbol.type() == api::SECURITYTYPE_FUTURE;
|
||||
});
|
||||
});
|
||||
if (channel_it == channels.end()) {
|
||||
channel_it = channels.begin();
|
||||
LOG(md, Warn,
|
||||
"MDP3Main::start_scripted did not find an ES future channel; using channel {}",
|
||||
channel_it->id);
|
||||
}
|
||||
|
||||
const auto &channel = *channel_it;
|
||||
std::vector<MDProducerChannel> producer_channels;
|
||||
for (const auto &symbol : channel.symbols) {
|
||||
producer_channels.push_back(me_->producer.get_channel(
|
||||
symbol.symbol().c_str(), symbol.type(), symbol.exchange()));
|
||||
}
|
||||
|
||||
auto listener = std::make_unique<MDP3Listener>(
|
||||
me_->index, me_->producer, mbo, producer_channels, tssd,
|
||||
market_data_listener);
|
||||
for (const auto &symbol : channel.symbols) {
|
||||
listener->add_filter_symbol(symbol.symbol());
|
||||
}
|
||||
|
||||
ScriptedMdp3Feeder feeder(*listener);
|
||||
feeder.publish_hard_coded_values();
|
||||
|
||||
me_->scripted_running = false;
|
||||
if (me_->scripted_thread.joinable()) {
|
||||
me_->scripted_thread.join();
|
||||
}
|
||||
me_->scripted_running = true;
|
||||
auto *listener_ptr = listener.get();
|
||||
me_->scripted_thread = std::thread([this, listener_ptr]() {
|
||||
ScriptedMdp3Feeder loop_feeder(*listener_ptr);
|
||||
std::uint32_t sequence = 2;
|
||||
int tick_offset = 0;
|
||||
int tick_direction = -1;
|
||||
while (me_->scripted_running.load()) {
|
||||
std::this_thread::sleep_for(std::chrono::seconds(1));
|
||||
if (!me_->scripted_running.load()) {
|
||||
break;
|
||||
}
|
||||
|
||||
tick_offset += tick_direction;
|
||||
if (tick_offset <= -10) {
|
||||
tick_offset = -10;
|
||||
tick_direction = 1;
|
||||
} else if (tick_offset >= 0) {
|
||||
tick_offset = 0;
|
||||
tick_direction = -1;
|
||||
}
|
||||
|
||||
loop_feeder.publish_hard_coded_direct_book(
|
||||
sequence++, 0.25 * tick_offset);
|
||||
}
|
||||
});
|
||||
|
||||
std::stringstream symstr;
|
||||
for (const auto &sym : channel.symbols) {
|
||||
symstr << sym.symbol() << "-" << SecurityType_Name(sym.type()) << " ";
|
||||
}
|
||||
LOG(md, Info, "CME: Initialized scripted channel {} ({})", channel.id,
|
||||
symstr.str());
|
||||
me_->listeners.push_back(std::move(listener));
|
||||
|
||||
LOG(md, Info, "** CME MDP3 Scripted Publisher started **");
|
||||
}
|
||||
|
||||
void MDP3Main::send_heartbeats() {
|
||||
for (const auto &listener : me_->listeners) {
|
||||
listener->heartbeat();
|
||||
@@ -386,7 +490,8 @@ unique_ptr<MDP3Listener> MDP3Main::prepare_listener(
|
||||
onixs::Handler &handler,
|
||||
const CMEChannel &channel,
|
||||
MBOWriter *mbo,
|
||||
TradeSummarySignalDispatcher *trade_summary_dispatcher) {
|
||||
TradeSummarySignalDispatcher *trade_summary_dispatcher,
|
||||
std::shared_ptr<IMarketDataListener> market_data_listener) {
|
||||
LOG(md, Info, "MDP3Main::prepare_listener channel: {}", channel);
|
||||
// We need to get a handler to the producer channels so we can produce
|
||||
// heartbeats
|
||||
@@ -398,7 +503,7 @@ unique_ptr<MDP3Listener> MDP3Main::prepare_listener(
|
||||
|
||||
unique_ptr<MDP3Listener> listener(new MDP3Listener(
|
||||
me_->index, me_->producer, mbo, producer_channels,
|
||||
trade_summary_dispatcher));
|
||||
trade_summary_dispatcher, std::move(market_data_listener)));
|
||||
for (auto &symbol : channel.symbols) {
|
||||
listener->add_filter_symbol(symbol.symbol());
|
||||
}
|
||||
|
||||
@@ -2,13 +2,16 @@
|
||||
|
||||
#include "CMESecurityIndex.h"
|
||||
#include "MDP3Listener.h"
|
||||
#include "spark/md/IMarketDataListener.h"
|
||||
#include "spark/md/coconut2.h"
|
||||
#include "spark/utils/bts_no_copy.h"
|
||||
#include "onixs.h"
|
||||
#include "sparkd/md/platforms/IMDPlatform.h"
|
||||
|
||||
#include <atomic>
|
||||
#include <map>
|
||||
#include <memory>
|
||||
#include <thread>
|
||||
#include <vector>
|
||||
|
||||
namespace bts {
|
||||
@@ -37,7 +40,13 @@ class MDP3Main : public IMDPlatform {
|
||||
void start(
|
||||
const std::vector<UserSymbol> &symbols,
|
||||
MBOWriter *mbo,
|
||||
TradeSummarySignalDispatcher *tssd);
|
||||
TradeSummarySignalDispatcher *tssd,
|
||||
std::shared_ptr<IMarketDataListener> market_data_listener = nullptr);
|
||||
void start_scripted(
|
||||
const std::vector<UserSymbol> &symbols,
|
||||
MBOWriter *mbo,
|
||||
TradeSummarySignalDispatcher *tssd,
|
||||
std::shared_ptr<IMarketDataListener> market_data_listener = nullptr);
|
||||
void send_heartbeats() override;
|
||||
|
||||
void initialize(const std::string &license_store);
|
||||
@@ -47,7 +56,8 @@ class MDP3Main : public IMDPlatform {
|
||||
onixs::Handler &handler,
|
||||
const CMEChannel &channel,
|
||||
MBOWriter *,
|
||||
TradeSummarySignalDispatcher *);
|
||||
TradeSummarySignalDispatcher *,
|
||||
std::shared_ptr<IMarketDataListener> market_data_listener = nullptr);
|
||||
|
||||
private:
|
||||
struct PImpl;
|
||||
|
||||
@@ -0,0 +1,188 @@
|
||||
#include "ScriptedMdp3Feeder.h"
|
||||
|
||||
#include "spark/api/domain/Venue.pb.h"
|
||||
#include "spark/api/domain/SecurityType.pb.h"
|
||||
#include "spark/md/IntPrice.h"
|
||||
#include "spark/md/common.h"
|
||||
|
||||
#include <OnixS/CME/MDH/DirectBook.h>
|
||||
#include <OnixS/CME/MDH/Handler.h>
|
||||
#include <OnixS/CME/MDH/HandlerSettings.h>
|
||||
#include <OnixS/CME/MDH/Packet.h>
|
||||
#include <OnixS/CME/MDH/Security.h>
|
||||
|
||||
#include <cmath>
|
||||
#include <memory>
|
||||
|
||||
namespace bts::md {
|
||||
|
||||
namespace {
|
||||
|
||||
constexpr std::uint32_t scripted_exchange_security_id = 1000001;
|
||||
|
||||
class ScriptedSecurity : public onixs::Security {
|
||||
public:
|
||||
explicit ScriptedSecurity(uint32_t id) : onixs::Security(id) {}
|
||||
|
||||
using onixs::Security::asset;
|
||||
using onixs::Security::group;
|
||||
using onixs::Security::symbol;
|
||||
|
||||
void sequence(std::uint32_t value) { seqNumber(value); }
|
||||
};
|
||||
|
||||
struct ScriptedPacketHeader {
|
||||
onixs::SequenceNumber seqNumber = 0;
|
||||
onixs::Timestamp sendingTime;
|
||||
};
|
||||
|
||||
PriceSize make_level(double price, float size) {
|
||||
if (size == 0) {
|
||||
return PriceSize();
|
||||
}
|
||||
return PriceSize(IntPrice_from_double<7>(price), size);
|
||||
}
|
||||
|
||||
onixs::Decimal to_onixs_decimal(const PriceSize &level) {
|
||||
// MDP3Listener applies the security display_factor when converting OnixS
|
||||
// prices, so the scripted price must be expressed in pre-display-factor
|
||||
// exchange units here. For ES with display_factor=-2, 7000.00 becomes
|
||||
// mantissa 700000 with exponent 0.
|
||||
return onixs::Decimal(
|
||||
static_cast<onixs::Decimal::Mantissa>(std::llround(level.price() * 100.0)),
|
||||
0);
|
||||
}
|
||||
|
||||
using DirectBookPtr = std::unique_ptr<onixs::DirectBook, void (*)(onixs::DirectBook *)>;
|
||||
|
||||
DirectBookPtr make_direct_book(const ScriptedMdp3Feeder::DirectBookUpdate &update) {
|
||||
DirectBookPtr book(
|
||||
onixs::DirectBookFactory::construct(COCONUT_MAX_DEPTH),
|
||||
&onixs::DirectBookFactory::destruct);
|
||||
std::size_t bid_depth = 0;
|
||||
std::size_t ask_depth = 0;
|
||||
while (bid_depth < update.bids.size() && !update.bids[bid_depth].is_nan() &&
|
||||
update.bids[bid_depth].size() != 0) {
|
||||
++bid_depth;
|
||||
}
|
||||
while (ask_depth < update.asks.size() && !update.asks[ask_depth].is_nan() &&
|
||||
update.asks[ask_depth].size() != 0) {
|
||||
++ask_depth;
|
||||
}
|
||||
book->depth(static_cast<onixs::MbpBookDepth>(std::max(bid_depth, ask_depth)));
|
||||
book->bids().resize(static_cast<onixs::MbpBookDepth>(bid_depth));
|
||||
book->offers().resize(static_cast<onixs::MbpBookDepth>(ask_depth));
|
||||
for (std::size_t i = 0; i < bid_depth; ++i) {
|
||||
book->bids()[i] = onixs::DirectPriceLevel(
|
||||
to_onixs_decimal(update.bids[i]),
|
||||
static_cast<int>(update.bids[i].size()),
|
||||
1);
|
||||
}
|
||||
for (std::size_t i = 0; i < ask_depth; ++i) {
|
||||
book->offers()[i] = onixs::DirectPriceLevel(
|
||||
to_onixs_decimal(update.asks[i]),
|
||||
static_cast<int>(update.asks[i].size()),
|
||||
1);
|
||||
}
|
||||
return book;
|
||||
}
|
||||
|
||||
onixs::Handler &scripted_handler() {
|
||||
static onixs::HandlerSettings settings;
|
||||
static bool initialized = false;
|
||||
if (!initialized) {
|
||||
settings.channel(1);
|
||||
initialized = true;
|
||||
}
|
||||
static onixs::Handler handler(settings);
|
||||
return handler;
|
||||
}
|
||||
|
||||
ScriptedSecurity &scripted_security() {
|
||||
static ScriptedSecurity security(scripted_exchange_security_id);
|
||||
static bool initialized = false;
|
||||
if (!initialized) {
|
||||
security.symbol(onixs::StrRef("ESM6", 4));
|
||||
security.group(onixs::StrRef("ES", 2));
|
||||
security.asset(onixs::StrRef("ES", 2));
|
||||
initialized = true;
|
||||
}
|
||||
return security;
|
||||
}
|
||||
|
||||
} // namespace
|
||||
|
||||
ScriptedMdp3Feeder::ScriptedMdp3Feeder(MDP3Listener &listener)
|
||||
: _listener(listener) {}
|
||||
|
||||
void ScriptedMdp3Feeder::publish_hard_coded_future() const {
|
||||
FixedFutureSecurity security;
|
||||
fill_hard_coded_future(security);
|
||||
_listener.add_security(security, co2::TRADINGSTATUS_NORMAL);
|
||||
}
|
||||
|
||||
void ScriptedMdp3Feeder::publish_hard_coded_direct_book() const {
|
||||
publish_hard_coded_direct_book(1, 0.0);
|
||||
}
|
||||
|
||||
void ScriptedMdp3Feeder::publish_hard_coded_direct_book(
|
||||
std::uint32_t sequence, double mid_price_shift) const {
|
||||
const auto update = hard_coded_direct_book(sequence, mid_price_shift);
|
||||
auto book = make_direct_book(update);
|
||||
auto &handler = scripted_handler();
|
||||
auto &security = scripted_security();
|
||||
security.sequence(sequence);
|
||||
|
||||
ScriptedPacketHeader packet_header;
|
||||
packet_header.seqNumber = sequence;
|
||||
onixs::PacketArgs packet(&packet_header, sizeof(packet_header));
|
||||
packet.receiveTime(onixs::Timestamp(update.packet_time.to_uint64()));
|
||||
|
||||
_listener.onPacket(handler, packet);
|
||||
_listener.onBookUpdate(handler, security, *book);
|
||||
_listener.onEndOfPacket(handler, packet);
|
||||
}
|
||||
|
||||
void ScriptedMdp3Feeder::publish_hard_coded_values() const {
|
||||
publish_hard_coded_future();
|
||||
publish_hard_coded_direct_book();
|
||||
}
|
||||
|
||||
void ScriptedMdp3Feeder::fill_hard_coded_future(FixedFutureSecurity &security) {
|
||||
security.key = invalid_security_key;
|
||||
security.numeric_id = scripted_exchange_security_id;
|
||||
security.type = api::SECURITYTYPE_FUTURE;
|
||||
security.exchange = api::Venue::VENUE_GLBX;
|
||||
security.symbol("ES");
|
||||
security.alt_symbol("ES");
|
||||
security.security_desc("ESM6");
|
||||
security.currency("USD");
|
||||
security.display_factor = -2;
|
||||
security.low_tick = 25.0;
|
||||
security.high_tick = 25.0;
|
||||
security.price_break = 0.0;
|
||||
security.cash_per_point = 50.0;
|
||||
security.expiration_year = 2026;
|
||||
security.expiration_month = 6;
|
||||
security.expiration_day = 19;
|
||||
}
|
||||
|
||||
ScriptedMdp3Feeder::DirectBookUpdate
|
||||
ScriptedMdp3Feeder::hard_coded_direct_book(
|
||||
std::uint32_t sequence, double mid_price_shift) {
|
||||
DirectBookUpdate update;
|
||||
const double best_bid = 7000.0 + mid_price_shift;
|
||||
const double best_ask = 7001.0 + mid_price_shift;
|
||||
update.exchange_security_id = scripted_exchange_security_id;
|
||||
update.bids[0] = make_level(best_bid, 10);
|
||||
update.bids[1] = make_level(best_bid - 0.25, 10);
|
||||
update.bids[2] = make_level(best_bid - 0.50, 10);
|
||||
update.asks[0] = make_level(best_ask, 10);
|
||||
update.asks[1] = make_level(best_ask + 0.25, 10);
|
||||
update.asks[2] = make_level(best_ask + 0.50, 10);
|
||||
update.packet_time = utils::TimeStamp::now();
|
||||
update.sequence = sequence;
|
||||
return update;
|
||||
}
|
||||
|
||||
} // namespace bts::md
|
||||
@@ -0,0 +1,39 @@
|
||||
#pragma once
|
||||
|
||||
#include "MDP3Listener.h"
|
||||
#include "spark/md/PriceSize.h"
|
||||
#include "spark/utils/TimeStamp.h"
|
||||
|
||||
#include <array>
|
||||
#include <cstdint>
|
||||
|
||||
|
||||
namespace bts::md {
|
||||
|
||||
class ScriptedMdp3Feeder {
|
||||
public:
|
||||
struct DirectBookUpdate {
|
||||
uint32_t exchange_security_id = 0;
|
||||
std::array<PriceSize, COCONUT_MAX_DEPTH> bids = {};
|
||||
std::array<PriceSize, COCONUT_MAX_DEPTH> asks = {};
|
||||
utils::TimeStamp packet_time = utils::TimeStamp::now();
|
||||
uint32_t sequence = 1;
|
||||
};
|
||||
|
||||
explicit ScriptedMdp3Feeder(MDP3Listener &listener);
|
||||
|
||||
void publish_hard_coded_future() const;
|
||||
void publish_hard_coded_direct_book() const;
|
||||
void publish_hard_coded_direct_book(std::uint32_t sequence,
|
||||
double mid_price_shift) const;
|
||||
void publish_hard_coded_values() const;
|
||||
|
||||
static void fill_hard_coded_future(FixedFutureSecurity &security);
|
||||
static DirectBookUpdate hard_coded_direct_book(
|
||||
std::uint32_t sequence = 1, double mid_price_shift = 0.0);
|
||||
|
||||
private:
|
||||
MDP3Listener &_listener;
|
||||
};
|
||||
|
||||
} // namespace bts::md
|
||||
@@ -8,13 +8,15 @@ using bts.api;
|
||||
using mbts.analytics;
|
||||
using mbts;
|
||||
|
||||
namespace BCG {
|
||||
namespace BCG
|
||||
{
|
||||
/// For each NMSheetSymbol in an NMSheet gets all the
|
||||
/// data together (theos, position, vol change etc)
|
||||
/// and fires a callback.
|
||||
/// This is where all the data is gathered, the rest
|
||||
/// is all access to this
|
||||
public class NMSheetSingleOptionMainDataSource : IDisposable {
|
||||
public class NMSheetSingleOptionMainDataSource : IDisposable
|
||||
{
|
||||
private ThreadedBlackboard _threaded_bb;
|
||||
private readonly ITag<NMSheetDataRequest> _in_bb_main_sheet_request_tag;
|
||||
private readonly ITag<ExchangeSecurityMap> _in_bb_secmap_tag =
|
||||
@@ -24,6 +26,7 @@ namespace BCG {
|
||||
private readonly ITag<OptionTheoInterpolationData> _in_bb_precomputed_sparse_theos_tag;
|
||||
private readonly ITag<IDictionary<NMSheetExpiration, double>> _in_bb_vol_shift_tag;
|
||||
private readonly ITag<NMSheetSettings> _in_bb_sheet_settings_tag;
|
||||
private readonly ITag<IEnumerable<ITradeLogRow>> _in_bb_trade_log_tag = SparkTags.TradeLogTag;
|
||||
private readonly ITag<VolSurfaceNonVolInput> _in_exp_param_tag = SparkTags.VolSurfaceNonVolInputTag;
|
||||
private readonly ITag<bool> _in_bb_main_sheet_visibility_tag;
|
||||
private ITag<SparkTags.Nothing> _in_bb_onefive_value_tag = SparkTags.TC2Tags.VoidTag,
|
||||
@@ -31,7 +34,6 @@ namespace BCG {
|
||||
_in_bb_symbol_theo_shift_tag = SparkTags.TC2Tags.VoidTag,
|
||||
_in_bb_rollover_data_tag = SparkTags.TC2Tags.VoidTag,
|
||||
_in_bb_presaved_aw2_theos_tag = SparkTags.TC2Tags.VoidTag,
|
||||
_in_bb_position_tag = SparkTags.TC2Tags.VoidTag,
|
||||
_in_bb_option_driver_detailed_price_tag = SparkTags.TC2Tags.VoidTag;
|
||||
private readonly NMSheetSymbol _nmsheet_symbol;
|
||||
private Action<Pair<NMSheetSymbol, NMSheetSingleOptionData>> _cb;
|
||||
@@ -40,7 +42,8 @@ namespace BCG {
|
||||
private string _electronic_equivelant_symbol;
|
||||
private NMSheetArchivedVolProvider _archived_vol_provider;
|
||||
|
||||
public NMSheetSingleOptionMainDataSource(object req_id, ThreadedBlackboard threaded_bb, NMSheetSymbol option, Action<Pair<NMSheetSymbol, NMSheetSingleOptionData>> callback) {
|
||||
public NMSheetSingleOptionMainDataSource(object req_id, ThreadedBlackboard threaded_bb, NMSheetSymbol option, Action<Pair<NMSheetSymbol, NMSheetSingleOptionData>> callback)
|
||||
{
|
||||
_threaded_bb = threaded_bb;
|
||||
_nmsheet_symbol = option;
|
||||
_electronic_equivelant_symbol = option.option_name;
|
||||
@@ -56,7 +59,8 @@ namespace BCG {
|
||||
_in_bb_sheet_settings_tag = SparkTags.TC2Tags.NMSheetSettingsTag(req_id.ToString());
|
||||
_in_bb_main_sheet_visibility_tag = SparkTags.TC2Tags.NMSheetVisibilityTag(req_id.ToString());
|
||||
_archived_vol_provider = new NMSheetArchivedVolProvider(req_id.ToString(), _threaded_bb, option,
|
||||
() => {
|
||||
() =>
|
||||
{
|
||||
_rollover_data = null;
|
||||
_compute_and_fire();
|
||||
});
|
||||
@@ -76,7 +80,7 @@ namespace BCG {
|
||||
_threaded_bb.subscribe(_in_bb_rollover_data_tag);
|
||||
_threaded_bb.subscribe(_in_bb_presaved_aw2_theos_tag);
|
||||
_threaded_bb.subscribe(_in_exp_param_tag);
|
||||
_threaded_bb.subscribe(_in_bb_position_tag);
|
||||
_threaded_bb.subscribe(_in_bb_trade_log_tag);
|
||||
_threaded_bb.subscribe(_in_bb_sheet_settings_tag);
|
||||
_threaded_bb.subscribe(_in_bb_onefive_value_tag);
|
||||
_threaded_bb.subscribe(_in_bb_qs_tag);
|
||||
@@ -84,15 +88,17 @@ namespace BCG {
|
||||
_threaded_bb.subscribe(_in_bb_option_driver_detailed_price_tag);
|
||||
}
|
||||
|
||||
private void _react_to_bb(object tag, object value) {
|
||||
private void _react_to_bb(object tag, object value)
|
||||
{
|
||||
if (_in_bb_main_sheet_request_tag.Equals(tag) || _in_bb_secmap_tag.Equals(tag) || _in_bb_live_theos_tag.Equals(tag) || /*_in_bb_live_driver_bbo_tag.Equals(tag) ||*/ _in_bb_precomputed_sparse_theos_tag.Equals(tag) ||
|
||||
_in_bb_vol_shift_tag.Equals(tag) || _in_bb_symbol_theo_shift_tag.Equals(tag) || _in_exp_param_tag.Equals(tag) || _in_bb_presaved_aw2_theos_tag.Equals(tag) ||
|
||||
_in_bb_position_tag.Equals(tag) || _in_bb_rollover_data_tag.Equals(tag) || _in_bb_sheet_settings_tag.Equals(tag) || _in_bb_qs_tag.Equals(tag) ||
|
||||
_in_bb_trade_log_tag.Equals(tag) || _in_bb_rollover_data_tag.Equals(tag) || _in_bb_sheet_settings_tag.Equals(tag) || _in_bb_qs_tag.Equals(tag) ||
|
||||
_in_bb_main_sheet_visibility_tag.Equals(tag))
|
||||
_compute_and_fire();
|
||||
}
|
||||
|
||||
private NMSheetDriverData _get_driver(DriverMD d) {
|
||||
private NMSheetDriverData _get_driver(DriverMD d)
|
||||
{
|
||||
double dr_pr = d.get_driver();
|
||||
if (d.driver_security.HasValue)
|
||||
return new NMSheetDriverData(d.driver_security.symbol_or_default(),
|
||||
@@ -102,8 +108,10 @@ namespace BCG {
|
||||
return new NMSheetDriverData(String.Empty, Venue.Unset, DateTime.MinValue, dr_pr, dr_pr, false);
|
||||
}
|
||||
|
||||
private void _compute_and_fire() {
|
||||
if (_is_main_sheet_active()) {
|
||||
private void _compute_and_fire()
|
||||
{
|
||||
if (_is_main_sheet_active())
|
||||
{
|
||||
var timer = Stopwatch.StartNew();
|
||||
NMSheetDataRequest data_request = _threaded_bb.read_state(_in_bb_main_sheet_request_tag) ?? new NMSheetDataRequest(new List<Triplet<NMSheetExpiration, bool, double>>());
|
||||
data_request = NMSheetDataRequest.restrict_for_symbol(data_request, _nmsheet_symbol);
|
||||
@@ -112,7 +120,8 @@ namespace BCG {
|
||||
NMSheetSettings sheet_settings = _threaded_bb.read_state(_in_bb_sheet_settings_tag) ?? new NMSheetSettings();
|
||||
ExpStrikeKeyedData<mbts.spark.TheoPoint> shared_live_theo_data_map = _threaded_bb.read_state(_in_bb_live_theos_tag);
|
||||
|
||||
if (data_request != null && live_driver_map != null && shared_live_theo_data_map != null) {
|
||||
if (data_request != null && live_driver_map != null && shared_live_theo_data_map != null)
|
||||
{
|
||||
ExpStrikeKeyedData<mbts.spark.TheoPoint> output_theo_data_map = _limit_to_requested_securities(shared_live_theo_data_map, data_request, sheet_settings);
|
||||
output_theo_data_map = _adjust_for_freezes(output_theo_data_map, data_request);
|
||||
_add_vol_shift(output_theo_data_map);
|
||||
@@ -138,14 +147,17 @@ namespace BCG {
|
||||
}
|
||||
}
|
||||
|
||||
private bool _is_main_sheet_active() {
|
||||
private bool _is_main_sheet_active()
|
||||
{
|
||||
return _threaded_bb.read_state(_in_bb_main_sheet_visibility_tag, true);
|
||||
}
|
||||
|
||||
private ExpStrikeKeyedData<mbts.spark.TheoPoint> _limit_to_requested_securities(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, NMSheetDataRequest data_request, NMSheetSettings sheet_settings) {
|
||||
private ExpStrikeKeyedData<mbts.spark.TheoPoint> _limit_to_requested_securities(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, NMSheetDataRequest data_request, NMSheetSettings sheet_settings)
|
||||
{
|
||||
HashSet<DateTime> selected_exp_map = new HashSet<DateTime>();
|
||||
HashSet<double> selected_strike_map = new HashSet<double>(sheet_settings.setting_unselected_strikes);
|
||||
foreach (Triplet<NMSheetExpiration, bool, double> t in data_request.expiration_request_list) {
|
||||
foreach (Triplet<NMSheetExpiration, bool, double> t in data_request.expiration_request_list)
|
||||
{
|
||||
NMSheetExpiration nm_exp = t.first;
|
||||
if (nm_exp != null && nm_exp.option_name == _nmsheet_symbol.option_name)
|
||||
selected_exp_map.Add(nm_exp.option_expiration);
|
||||
@@ -153,12 +165,14 @@ namespace BCG {
|
||||
return theo_data.clone_filtered_set(selected_exp_map, true, selected_strike_map, false);
|
||||
}
|
||||
|
||||
private ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>> _attach_sec_keys(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_map) {
|
||||
private ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>> _attach_sec_keys(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_map)
|
||||
{
|
||||
theo_map = theo_map ?? new ExpStrikeKeyedData<mbts.spark.TheoPoint>();
|
||||
ExchangeSecurityMap sec_map = _threaded_bb.read_state(_in_bb_secmap_tag);
|
||||
if (sec_map != null)
|
||||
return sec_map.attach_sec_keys(theo_map, _electronic_equivelant_symbol, _nmsheet_symbol.option_exchange);
|
||||
else {
|
||||
else
|
||||
{
|
||||
ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>> rv = new ExpStrikeKeyedData<Triplet<mbts.spark.TheoPoint, uint, uint>>();
|
||||
foreach (Triplet<DateTime, double, mbts.spark.TheoPoint> t in theo_map.get_data_linearly())
|
||||
rv.set_data(t.first, t.second, new Triplet<mbts.spark.TheoPoint, uint, uint>(t.third, 0, 0));
|
||||
@@ -166,7 +180,8 @@ namespace BCG {
|
||||
}
|
||||
}
|
||||
|
||||
private ExpStrikeKeyedData<mbts.spark.TheoPoint> _adjust_for_freezes(ExpStrikeKeyedData<mbts.spark.TheoPoint> live_theo_map, NMSheetDataRequest data_request) {
|
||||
private ExpStrikeKeyedData<mbts.spark.TheoPoint> _adjust_for_freezes(ExpStrikeKeyedData<mbts.spark.TheoPoint> live_theo_map, NMSheetDataRequest data_request)
|
||||
{
|
||||
return live_theo_map;
|
||||
// TODO
|
||||
// ExpStrikeKeyedData<mbts.spark.TheoPoint> rv = new ExpStrikeKeyedData<mbts.spark.TheoPoint>();
|
||||
@@ -192,9 +207,11 @@ namespace BCG {
|
||||
|
||||
private Dictionary<DateTime, NMSheetDriverData> _get_option_exp_driver_data_map(NMSheetDataRequest data_request,
|
||||
ExpStrikeKeyedData<mbts.spark.TheoPoint> output_theo_data_map, ExpStrikeKeyedData<mbts.spark.TheoPoint> shared_live_theo_data_map,
|
||||
Dictionary<DateTime, Triplet<(string, Venue), DateTime, double>> live_driver_map) {
|
||||
Dictionary<DateTime, Triplet<(string, Venue), DateTime, double>> live_driver_map)
|
||||
{
|
||||
Dictionary<DateTime, NMSheetDriverData> rv = new Dictionary<DateTime, NMSheetDriverData>();
|
||||
foreach (Triplet<NMSheetExpiration, bool, double> theo_request in data_request.expiration_request_list) {
|
||||
foreach (Triplet<NMSheetExpiration, bool, double> theo_request in data_request.expiration_request_list)
|
||||
{
|
||||
DateTime option_expiration = theo_request.first.option_expiration;
|
||||
/// live driver
|
||||
var live_driver_info = live_driver_map.GetValueOrDefault(option_expiration)
|
||||
@@ -208,9 +225,11 @@ namespace BCG {
|
||||
|
||||
private Dictionary<DateTime, NMSheetDriverData>
|
||||
_get_option_exp_driver_data_map(NMSheetDataRequest data_request,
|
||||
OptionDriverPriceMap drivers) {
|
||||
OptionDriverPriceMap drivers)
|
||||
{
|
||||
var rv = new Dictionary<DateTime, NMSheetDriverData>();
|
||||
foreach (var tr in data_request.expiration_request_list) {
|
||||
foreach (var tr in data_request.expiration_request_list)
|
||||
{
|
||||
NMSheetExpiration nm_exp = tr.first;
|
||||
SecurityExpiration exp = tr.first.to_sec_exp();
|
||||
drivers.exp_price_map.TryGetValue(exp, out DriverMD dr_md);
|
||||
@@ -222,7 +241,8 @@ namespace BCG {
|
||||
return rv;
|
||||
}
|
||||
|
||||
private static double _get_driverprice_for_expiration(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data_map, DateTime option_expiration) {
|
||||
private static double _get_driverprice_for_expiration(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data_map, DateTime option_expiration)
|
||||
{
|
||||
IDictionary<double, mbts.spark.TheoPoint> exp_data = theo_data_map.get_data_for_single_exp(option_expiration);
|
||||
if (exp_data != null)
|
||||
foreach (mbts.spark.TheoPoint tp in exp_data.Values)
|
||||
@@ -230,7 +250,8 @@ namespace BCG {
|
||||
return Double.NaN;
|
||||
}
|
||||
|
||||
private IDictionary<DateTime, ATMData> _get_atm_data(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data) {
|
||||
private IDictionary<DateTime, ATMData> _get_atm_data(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data)
|
||||
{
|
||||
NMSheetSettings sheet_settings = _threaded_bb.read_state(_in_bb_sheet_settings_tag) ?? new NMSheetSettings();
|
||||
VolSurfaceNonVolInput vs_nvinp = _threaded_bb.read_state(_in_exp_param_tag);
|
||||
var option_exp_roll_data = vs_nvinp
|
||||
@@ -248,17 +269,43 @@ namespace BCG {
|
||||
}
|
||||
|
||||
OptionContractKeyedData<PNLRollOverDataUnit> _rollover_data = null;
|
||||
private OptionContractKeyedData<PNLRollOverDataUnit> _get_rollover_data() {
|
||||
private OptionContractKeyedData<PNLRollOverDataUnit> _get_rollover_data()
|
||||
{
|
||||
if (_rollover_data == null)
|
||||
_rollover_data = _archived_vol_provider.get_all_data();
|
||||
return _rollover_data;
|
||||
}
|
||||
|
||||
private ExpStrikeKeyedData<Tuple<double, double>> _get_position_map() {
|
||||
return new ExpStrikeKeyedData<Tuple<double, double>>();
|
||||
private ExpStrikeKeyedData<Tuple<double, double>> _get_position_map()
|
||||
{
|
||||
var sheet_settings = _threaded_bb.read_state(_in_bb_sheet_settings_tag);
|
||||
var risk_account_text = sheet_settings?.setting_layout?.risk_account ?? string.Empty;
|
||||
var risk_accounts = risk_account_text
|
||||
.Split(new[] { ',' }, StringSplitOptions.RemoveEmptyEntries)
|
||||
.Select(a => a.Trim())
|
||||
.Where(a => !string.IsNullOrEmpty(a))
|
||||
.ToHashSet(StringComparer.OrdinalIgnoreCase);
|
||||
var trades = _threaded_bb.read_state(_in_bb_trade_log_tag) ?? Enumerable.Empty<ITradeLogRow>();
|
||||
var option_trades = trades.Where(t =>
|
||||
t.is_active &&
|
||||
t.security_type == SecurityType.Option &&
|
||||
t.symbol == _nmsheet_symbol.option_name &&
|
||||
t.venue == _nmsheet_symbol.option_exchange &&
|
||||
(risk_accounts.Count == 0 || risk_accounts.Contains(t.account)));
|
||||
var pos_data = SecurityPositionData.from_trades(option_trades);
|
||||
var rv = new ExpStrikeKeyedData<Tuple<double, double>>();
|
||||
foreach (var (sec_exp, strike_map) in pos_data.option_pos_map)
|
||||
{
|
||||
foreach (var (strike, strike_pos) in strike_map)
|
||||
{
|
||||
rv.set_data(sec_exp.expiration, strike, Tuple.Create(strike_pos.call, strike_pos.put));
|
||||
}
|
||||
}
|
||||
return rv;
|
||||
}
|
||||
|
||||
private double _get_onefive() {
|
||||
private double _get_onefive()
|
||||
{
|
||||
// object dp_obj = _threaded_bb.sec_thread_retrieve_from_cache(_in_bb_onefive_value_tag);
|
||||
// if (dp_obj != null) {
|
||||
// DataPacket dp = dp_obj as DataPacket;
|
||||
@@ -270,22 +317,29 @@ namespace BCG {
|
||||
|
||||
#region Vol Shift
|
||||
|
||||
private void _add_vol_shift(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data) {
|
||||
private void _add_vol_shift(ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data)
|
||||
{
|
||||
var vshift_map = _threaded_bb.read_state(_in_bb_vol_shift_tag);
|
||||
if (vshift_map != null)
|
||||
add_vol_shift(_nmsheet_symbol, theo_data, vshift_map);
|
||||
}
|
||||
|
||||
internal static void add_vol_shift(NMSheetSymbol apply_to_symbol, ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, IDictionary<NMSheetExpiration, double> exp_shift_map) {
|
||||
foreach (KeyValuePair<NMSheetExpiration, double> p in exp_shift_map) {
|
||||
if (p.Key.nmsheet_symbol.Equals(apply_to_symbol)) {
|
||||
internal static void add_vol_shift(NMSheetSymbol apply_to_symbol, ExpStrikeKeyedData<mbts.spark.TheoPoint> theo_data, IDictionary<NMSheetExpiration, double> exp_shift_map)
|
||||
{
|
||||
foreach (KeyValuePair<NMSheetExpiration, double> p in exp_shift_map)
|
||||
{
|
||||
if (p.Key.nmsheet_symbol.Equals(apply_to_symbol))
|
||||
{
|
||||
DateTime option_expiration = p.Key.option_expiration;
|
||||
double shift = p.Value;
|
||||
if (shift != 0) {
|
||||
if (shift != 0)
|
||||
{
|
||||
IDictionary<double, mbts.spark.TheoPoint> exp_theos = theo_data.get_data_for_single_exp(option_expiration);
|
||||
if (exp_theos != null) {
|
||||
if (exp_theos != null)
|
||||
{
|
||||
Dictionary<double, mbts.spark.TheoPoint> shifted_exp_theos = new Dictionary<double, mbts.spark.TheoPoint>();
|
||||
foreach (KeyValuePair<double, mbts.spark.TheoPoint> strike_tp in exp_theos) {
|
||||
foreach (KeyValuePair<double, mbts.spark.TheoPoint> strike_tp in exp_theos)
|
||||
{
|
||||
mbts.spark.TheoPoint new_tp = (mbts.spark.TheoPoint)strike_tp.Value.Clone();
|
||||
add_vol_shift(new_tp, shift);
|
||||
shifted_exp_theos[strike_tp.Key] = new_tp;
|
||||
@@ -297,7 +351,8 @@ namespace BCG {
|
||||
}
|
||||
}
|
||||
|
||||
internal static void add_vol_shift(mbts.spark.TheoPoint v, double shift) {
|
||||
internal static void add_vol_shift(mbts.spark.TheoPoint v, double shift)
|
||||
{
|
||||
v.call += v.cvega * shift;
|
||||
v.put += v.pvega * shift;
|
||||
}
|
||||
@@ -305,7 +360,8 @@ namespace BCG {
|
||||
#endregion
|
||||
|
||||
#region IDisposable
|
||||
public void Dispose() {
|
||||
public void Dispose()
|
||||
{
|
||||
_threaded_bb.data_callback -= _react_to_bb;
|
||||
}
|
||||
#endregion
|
||||
|
||||
@@ -54,6 +54,7 @@
|
||||
#include <google/protobuf/timestamp.pb.h>
|
||||
#include <google/protobuf/util/time_util.h>
|
||||
#include <memory>
|
||||
#include <mutex>
|
||||
#include <optional>
|
||||
#include <sstream>
|
||||
#include <string>
|
||||
@@ -295,6 +296,7 @@ struct GeneralMarketDataListener::PImpl {
|
||||
// (a flag is used to tell if bts::domain::SecurityID can be used as bts id
|
||||
// as well)
|
||||
std::unordered_map<bts::domain::SecurityID, uint64_t> cc_sec_id_map = {};
|
||||
std::mutex callback_mutex;
|
||||
MDArray bids = {};
|
||||
MDArray asks = {};
|
||||
IncrementalBookData inc_book_data = {};
|
||||
@@ -387,10 +389,13 @@ GeneralMarketDataListener::~GeneralMarketDataListener() {}
|
||||
|
||||
void GeneralMarketDataListener::on_securities(
|
||||
const std::vector<domain::Security const *> &complete_security_list) {
|
||||
std::lock_guard<std::mutex> lock(me->callback_mutex);
|
||||
LOG_SECURITIES_EVENT(Info, complete_security_list.size());
|
||||
for (auto s_ptr : complete_security_list) {
|
||||
const domain::Security &sec = *s_ptr;
|
||||
CCSecSearchResult search_result = _find_sec(sec, true);
|
||||
LOG(md, Info, "GeneralMarketDataListener::on_securities bef: {} after: {} key: {}", search_result.existed_before,
|
||||
search_result.exists_now, search_result.key);
|
||||
if (search_result.existed_before) {
|
||||
LOG_SECURITY(
|
||||
Warn, sec.venue(), sec.type(), sec.desc(), *sec.id(), 0,
|
||||
@@ -424,6 +429,7 @@ void GeneralMarketDataListener::on_security_state(
|
||||
|
||||
void GeneralMarketDataListener::on_security_statistics(
|
||||
const domain::SecurityMarketDataStatistics &sec_stats) {
|
||||
std::lock_guard<std::mutex> lock(me->callback_mutex);
|
||||
auto handle = _find_handle(sec_stats.security_id);
|
||||
bts_assert_msgf(
|
||||
handle != nullptr,
|
||||
@@ -442,6 +448,7 @@ void GeneralMarketDataListener::on_security_statistics(
|
||||
|
||||
void GeneralMarketDataListener::on_book(
|
||||
const bts::domain::Book &book, std::optional<utils::TimeStamp> time) {
|
||||
std::lock_guard<std::mutex> lock(me->callback_mutex);
|
||||
LOG_BOOK(Diag, book, BookLog_Status::PROCESSING);
|
||||
// in case this is called externally in conjunction iwth inc book udpates
|
||||
me->inc_book_data.overwrite_book(book);
|
||||
@@ -450,6 +457,7 @@ void GeneralMarketDataListener::on_book(
|
||||
|
||||
void GeneralMarketDataListener::on_book_increment(
|
||||
const IMarketDataListener::BookOp &book_op) {
|
||||
std::lock_guard<std::mutex> lock(me->callback_mutex);
|
||||
LOG_BOOK_OP(Diag, book_op, BookOpLog_Status::PROCESSING);
|
||||
if (!me->inc_book_data.update_incremental(book_op)) {
|
||||
return;
|
||||
@@ -488,6 +496,7 @@ co2::AggressorSide try_fill_agg_side(
|
||||
}
|
||||
void GeneralMarketDataListener::on_trades(
|
||||
const std::vector<domain::TradeRecord const *> &trades) {
|
||||
std::lock_guard<std::mutex> lock(me->callback_mutex);
|
||||
utils::Stopwatch sw;
|
||||
for (auto tp : trades) {
|
||||
sw.lap();
|
||||
@@ -630,6 +639,8 @@ SecurityIndexData *GeneralMarketDataListener::_find_handle(
|
||||
void GeneralMarketDataListener::_add_future(const bts::domain::Security &sec) {
|
||||
bts_assert(sec.type() == SEC_TYPE(FUTURE));
|
||||
auto search_result = _find_sec(sec, false);
|
||||
LOG(md, Info, "GeneralMarketDataListener::_add_future bef: {} after: {} key: {}", search_result.existed_before,
|
||||
search_result.exists_now, search_result.key);
|
||||
bts_assert(search_result.existed_before);
|
||||
FixedFutureSecurity ff_sec;
|
||||
_copy_security_common(sec, search_result.key, ff_sec);
|
||||
@@ -706,6 +717,7 @@ void GeneralMarketDataListener::_add_spot(const bts::domain::Security &sec) {
|
||||
|
||||
void GeneralMarketDataListener::_commit_security(const FixedSecurity &sec) {
|
||||
// Set up the shared memory for this security
|
||||
LOG(md, Info, "GeneralMarketDataListener::_commit_security numeric_id: {}", sec.numeric_id);
|
||||
bts_assert(sec.numeric_id != 0);
|
||||
auto handle = me->md_producer.add_security(sec);
|
||||
// Add it to the index so it can receive messages
|
||||
|
||||
@@ -174,7 +174,7 @@ MDProducerImpl &MDProducer::get_producer(
|
||||
MDProducerHandle MDProducer::add_security(const FixedSecurity &security) {
|
||||
bts_assert_d(strlen(security.symbol()) > 0);
|
||||
bts_assert(security.size >= sizeof(FixedSecurity));
|
||||
LOG(md, Diag, "MDProducer::add_security desc:{} key: {} num_id: {}",
|
||||
LOG(md, Info, "MDProducer::add_security desc:{} key: {} num_id: {}",
|
||||
std::string(security.security_desc()), security.key,
|
||||
security.numeric_id);
|
||||
std::lock_guard<std::mutex> lock(*_mutex);
|
||||
|
||||
@@ -395,9 +395,14 @@ void SimExecutionGateway::send_msgs(
|
||||
bts::os::get_thread_id(), bts::os::get_thread_name(), msg_vec.size());
|
||||
for (auto &m : msg_vec) {
|
||||
auto mtype = msg_type(m);
|
||||
LOG(OrderMan, Info,
|
||||
"SimExecutionGateway::send_msgs tid: {} tname: {} m_type: {}",
|
||||
bts::os::get_thread_id(), bts::os::get_thread_name(), mtype);
|
||||
std::visit(
|
||||
[&](auto const &typed_msg) {
|
||||
LOG(OrderMan, Info,
|
||||
"SimExecutionGateway::send_msgs tid: {} tname: {} m_type: {} msg: {}",
|
||||
bts::os::get_thread_id(), bts::os::get_thread_name(), mtype,
|
||||
typed_msg);
|
||||
},
|
||||
m);
|
||||
me->buffered_order_ops.push(m);
|
||||
}
|
||||
}
|
||||
|
||||
Reference in new issue
Block a user