Compare commits

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Author SHA1 Message Date
John Colvin 0cb46fd8ab cleanup: Remove unnecessary py_module.cpp files
We used to have separate modules for md and execution. I forgot
to remove these after unifying them to a single module.
2025-06-16 14:31:28 +00:00
John Colvin c098b5e442 diag: Reduce book log noise in md plugins
They're too noisy for Info level.
2025-06-16 14:28:09 +00:00
John Colvin dc8cd290b6 diag: Optimize logging in bybit exe gw plugin
* Format params as json (not python pseudo json)
* Format params lazily
2025-06-16 14:17:45 +00:00
John Colvin 17c77d9b31 fix: Use lock_guard instead of lock/unlock calls
I just noticed it was technically possible for the "work thread" (in py
plugin manager) to be started twice, due to improper lock/unlock calls.
2025-06-13 21:26:36 +00:00
John Colvin 2cf62d8d9a Increase sleep time in bybit_md_provider keep-alive loop
This thread's only job is to stay alive until "stop" is called. It
doesn't need to be particularly fast/responsive. Longer sleep intervals
reduce contention with the "hot" thread that receives market data.
2025-06-13 20:50:30 +00:00
John Colvin 0328356758 diag: Add security to assert msg when qty tick deduction fails 2025-06-13 20:50:30 +00:00
John Colvin 0e1be3f559 deploy: Add alphaworx_zen_hk_live-preview configuration 2025-06-13 20:50:30 +00:00
John Colvin f2d1364c4b fix: Assert that acc name length < max_size (not size)
Since we changed the account field from std::array -> bts::core::SmallString
2025-06-13 20:50:30 +00:00
John Colvin 3d2043f926 deploy: Install python requirements in docker
No point in using a virtual environment. These containers have one
purpose: run sparkd with a constant, predetermined set of py plugins.
2025-06-13 20:50:30 +00:00
John Colvin e525e740c1 chore: Update alphaworx_zen_hk_live init.py to query new secret
I decided to put all alphaworx api keys in one secret. It's easier this way.
2025-06-13 20:50:30 +00:00
John Colvin 0ef72a45fe fix: Fix config dir env var in bybit_dev profile 2025-06-13 20:50:30 +00:00
John Colvin db5dbd3666 fix: Fix SmallString numeric parsing, make more robust
* Fix by parsing numbers from left to right instead of right to left
  (previously, would parse "17" to 71)
* Support leading +/- signs
* Throw if unexpected char encountered
* Unit tests
2025-06-13 20:50:30 +00:00
John Colvin ca27dd3329 fix: Change thread_id type to size_t (not int64_t) 2025-06-13 20:50:30 +00:00
John Colvin 37b34ec6f7 cleanup: Remove unnecessary signal handler in bybit_md_provider.py
We handle them properly in sparkd now
2025-06-13 20:50:30 +00:00
John Colvin f869c97fbe cleanup: Sort gateio symbols in symbols.conf 2025-06-13 20:50:30 +00:00
John Colvin a27462b1a3 chore: Add config json for py plugins
Support overrides per venue in a separate file, so symbols can be
changed after deployment using arham's widget.
2025-06-13 20:50:30 +00:00
John Colvin 8e9abf8451 fix: Init shared_ptr w/ default obj (not null)
Prob a typo
2025-06-13 20:50:30 +00:00
John Colvin 1b40382d56 chore: Fix path in .env file (server/sparkd -> app_sparkd) 2025-06-13 20:50:30 +00:00
John Colvin 402d9f5b84 fix build: Remove include of non-existent header
I created the file locally, but ended up not using it and forgot to remove an
include before I pushed.
2025-06-13 20:50:30 +00:00
John Colvin 20779387eb fix build: Always return value in non-void fn 2025-06-13 20:50:30 +00:00
John Colvin 7a6bba0f19 fix: Don't compare size_t to -1 in SmallString num parsers 2025-06-13 20:50:30 +00:00
John Colvin 83dc93aeb1 refactor: Manage all py plugins (md and exe) in one class
All calls to/from python are performed on one thread via a simple
message queue (necessary because of the global interpreter lock).
2025-06-13 20:50:30 +00:00
John Colvin 6107bbdb5d chore: Add pybit to py venv 2025-06-13 20:50:30 +00:00
John Colvin 71f95f8774 diag: Log incoming books at Info level in bybit_md_provider 2025-06-13 20:50:30 +00:00
John Colvin 4108ee087e chore: Add bybit execution config to bybit_dev profile 2025-06-13 20:50:30 +00:00
John Colvin e30bf5cdea chore: Add numpy to py venv
This is needed for md plugins
2025-06-13 20:50:30 +00:00
John Colvin dce77049b1 fix: Include fill id in format str for ExecutionReport 2025-06-13 20:50:30 +00:00
John Colvin 72ef4f33b0 dev qol: Bind PySecurity __format__ to fmt::formatter impl 2025-06-13 20:50:30 +00:00
John Colvin a7176f7851 refactor: Change floats to doubles in py bridge types
Getting rounding errors with floats
2025-06-13 20:50:30 +00:00
John Colvin 1a0f3197ce refactor: Use SmallString instead of std::array in ExchangeFillID 2025-06-13 20:50:30 +00:00
John Colvin e34c2ffec7 Add py bybit exe config to bybit_dev profile 2025-06-13 20:50:30 +00:00
John Colvin 8a10b591ed refactor: Consolidate all py interop into single lib
It was just too hard trying to make it work with separate libs. The
main issue was getting the python md and execution modules to
recognize PySecurityList and other types defined in the core module.
2025-06-13 20:50:30 +00:00
John Colvin efc2100177 refactor: Move tick fns into gen-purpose tick_utils.h 2025-06-13 20:50:30 +00:00
John Colvin a4d57cc97c Change bybit_dev symbols.conf to list bybit futs (not spots) 2025-06-13 20:50:30 +00:00
John Colvin 3426702d8f fix: Actually use configured logger in bybit_md_provider.py 2025-06-13 20:50:30 +00:00
John Colvin 8e7a24c971 dev qol: Reduce noisy logs in PositionServicePNLHelper 2025-06-13 20:50:30 +00:00
John Colvin 475dda4e9e build: Add cmake script to sym link py module and plugins
We have several of these (python_core, python_md, python_execution),
so the repetative boilerplate code was starting to pile up.
2025-06-13 20:50:30 +00:00
John Colvin 193f3380cb deploy: Install/activate py venv in sparkd container 2025-06-13 20:50:29 +00:00
John Colvin d6ac2c5134 dev qol: Add pyrightconfig.json for type hints in py/c++ bridge 2025-06-13 20:50:29 +00:00
John Colvin 076513e79b Tweak py to get rid of false positive type hint warns 2025-06-13 20:50:29 +00:00
John Colvin b227fc6254 feat: Support python execution plugins 2025-06-13 20:50:29 +00:00
John Colvin ca82042669 refactor: Move py security (and related types) to python_core lib
So the execution gw plugins can use it (as well as the md plugins).
2025-06-13 20:50:29 +00:00
John Colvin ec7c0de946 fix: Add missing switch cases for bybit & gateio 2025-06-13 20:50:29 +00:00
John Colvin 391580b9da fix: Initialize bybit secs as perp futs (not spots) 2025-06-13 20:50:29 +00:00
John Colvin 7e7e185968 dev qol: Add wait/notify functionality to ConcurrentQueue 2025-06-13 20:50:29 +00:00
John Colvin 517e64ceff chore: Add CANCEL_ORDER op to binance.env 2025-06-13 20:50:29 +00:00
John Colvin 7df9a15d3b dev qol: Add ConcurrentValueStore, with notify/wait functionality
Uses std::condition_variable
2025-06-13 20:50:29 +00:00
John Colvin b01f36d263 fix: Don't raise ex if var isn't defined in req path 2025-06-13 20:50:29 +00:00
John Colvin 36e555cd13 dev qol: Add gen-purpose validation fns for execution gws 2025-06-13 20:50:29 +00:00
John Colvin 3d0d1c6dba build: Use new gen-purpose python cmake fns in py md proj
Significantly simplifies CMakeLists.txt
2025-06-13 20:50:29 +00:00
John Colvin f03a055c34 build: Add gen-purpose InitPythonModule, InitPythonPlugin cmake scripts 2025-06-13 20:50:29 +00:00
John Colvin bfeb5e362a dev qol: Add fn to make Stopwatch and start it at once 2025-06-13 20:50:29 +00:00
John Colvin e48f2ec99d chore: Use same log format as sparkd in py md plugins 2025-06-13 20:50:29 +00:00
John Colvin cec62215e2 improvement: Set PyBook data in single call to reduce interop overhead 2025-06-13 20:50:29 +00:00
John Colvin e361d405c9 Reduce log noise in py md providers 2025-06-13 20:50:29 +00:00
John Colvin 020cd44cf3 doc: Improve py md readme
* Put examples in a table
* Show command to create symlinks for intellisense
2025-06-13 20:50:29 +00:00
John Colvin c02f3d152a refactor: Redesign py md so it doesn't lock the global interpreter
We can only embed one interpreter in the sparkd process, so all py
plugins need to share it.

* Move core py interop code to new lib_python_core. We're about to add a
  new lib for py execution, so it needs to be accesible from both
  execution and md libs
* Fix typo for type hint in py_md_utils.py
* Run py md providers on background thread
* Rename MdSink -> MdBridge
2025-06-13 20:50:29 +00:00
John Colvin b4b9e00f90 build: Add lib_spark subdir first (all others depend on it) 2025-06-13 20:50:29 +00:00
John Colvin 8f886008ef dev qol: Add to_chrono fns to TimeSpan 2025-06-13 20:50:29 +00:00
John Colvin 23e4dbfa07 dev qol: Add -> operators to ValueWrapper for convenience
So we can type "foo->" instead of "foo.value()" (much shorter!)
2025-06-13 20:50:29 +00:00
John Colvin 114ac2fdc9 build: Link against system installed ssl to support py interop
Unless we want to build python packages ourselves, the underlying clibs
they use link to the system installed ssl. Notably, the requests module.
2025-06-13 20:50:29 +00:00
John Colvin 3bdde53d15 chore: Add pybind11, pybind11-stubgen to py venv 2025-06-13 20:50:29 +00:00
John Colvin bcc4d5fb3d improvement: Generate py stubs for md providers
Provides intellisense for the python_md_module
2025-06-13 20:50:29 +00:00
John Colvin e93b5c901f cleanup: Get rid of unecessary namespace prefixes 2025-06-13 20:50:29 +00:00
John Colvin ccf8b671bf cleanup: Get rid of "PyList" classes, bind to stl vector instead
I wasn't aware this was possible until recently.
2025-06-13 20:50:29 +00:00
John Colvin 0462c97b76 refactor: Move SimpleOrderKeyMap from binance_execution to lib_spark
It provides basic functionality that will be useful in other execution gateways.
2025-06-13 20:50:29 +00:00
John Colvin 3e23799772 chore: Add smart parse and pretty name fns for proto enums
Mainly to ease the pain of representing enums as strings in python md
and execution plugins
2025-06-13 20:50:29 +00:00
John Colvin 2b4119a023 refactor: Move ErrorList from binance_execution to lib_spark
It provides basic functionality that will be useful elsewhere
2025-06-13 20:50:29 +00:00
John Colvin da469270e7 refactor: Use SmallString std::array in AccountName 2025-06-13 20:50:29 +00:00
John Colvin c9e9be0772 refactor: Use SmallString instead of std::array in ExchangeOrderID 2025-06-13 20:50:29 +00:00
John Colvin 2870fefc15 Add our own "SmallString" class for fixed cap strings
This will replace the std::array<char, N> we use in ExecutionReport, etc.
among other things
2025-06-13 20:50:29 +00:00
John Colvin cd1a5946b3 refactor: Move ExecutionReportStore to lib_spark
From lib_binance_execution
2025-06-13 20:50:29 +00:00
Adeel Khan 2cf60d74cc CLEANUP: BYBIT Symbols.conf. 2025-06-13 20:50:29 +00:00
Adeel Khan 10c018e995 ADD: BYBIT MD Working, NaN's also Added. 2025-06-13 20:50:29 +00:00
Adeel Khan 25b937c096 ADD: BYBIT Securities showing up on frontend. Default Contract Spec 2025-06-13 20:50:29 +00:00
Adeel Khan 516b9c0462 ADD: GATEIO md_provider with dynamic contract specs using Batch REST call 2025-06-13 20:50:29 +00:00
Adeel Khan 347ec1a7ea ADD: GATEIO md_provider with dynamic contract specs 1 REST call per Contract 2025-06-13 20:50:29 +00:00
Adeel Khan 80f4b4bc1c ADD: GATEIO md_provider with default contract specs 2025-06-13 20:50:29 +00:00
John Colvin c470984bd2 Add gateio_dev config profile for Adeel 2025-06-13 20:50:29 +00:00
John Colvin f560eca4d7 cleanup: Remove unused spark.conf file
Originally, this spark.conf was hardcoded into compose.yaml, and copied
into the sparkd container on each deploy. It hasn't been used since
config profiles were introduced.
2025-06-13 20:50:29 +00:00
John Colvin f9b28dcb7a Add py_dummy_md config profile to test py md plugin 2025-06-13 20:50:29 +00:00
John Colvin 8275423b89 deploy: Move configurations to new stutter dir "app_sparkd" 2025-06-13 20:50:29 +00:00
John Colvin 86a725227b Add protos for gateio 2025-06-13 20:50:29 +00:00
John Colvin 43ec58dfe3 Add protos for bybit 2025-06-13 20:50:29 +00:00
John Colvin 922924c31d build: Move onix fix adapter to its own lib
We should keep order execution dependencies out of lib_spark.
2025-06-13 20:50:29 +00:00
John Colvin 2b7dbb6ad3 fix build: Move OnixsUtils to from lib_spark to app_sparkd
They're only needed MDP3Main.cpp and ICEMain.cpp. We're one step closer
to removing lib_spark's dependency on onixs.
2025-06-13 20:50:29 +00:00
John Colvin 1c431f542e cleanup: Remove unnecessary onixs include from TrafixOrderStateHandler.h 2025-06-13 20:50:29 +00:00
John Colvin 7fa8e4ca47 feat: Support python md plugins 2025-06-13 20:50:29 +00:00
John Colvin 8579c9fdc5 Add "clear" fn to Book & BookSide
Prelude to python market data bindings
2025-06-13 20:50:28 +00:00
John Colvin ebcb070310 Add "smart" parse fns for a couple proto enums
Prelude to python market data bindings. Unlike the normal parse fns, the
"smart" variants aren't case sensitive, and can match strings with or
without TYPE_NAME_ prefixes.
2025-06-13 20:50:28 +00:00
John Colvin f5171d8636 build: Move okx execution to its own lib 2025-06-13 20:50:28 +00:00
John Colvin 8af399ca0f cleanup: Remove unnecessary onixs include from IDGenerator.h 2025-06-13 20:50:28 +00:00
John Colvin ea48dbabe3 cleanup: Remove unnecessary includes from MDP3Listener.h 2025-06-13 20:50:28 +00:00
John Colvin 9c7f712e11 refactor: Organize libspark proj w/ stuttering include
This new structure provides several benefits:

* Allows us to install multiple CMake projects in the same destination
  dir (without include path conflicts).
  - This makes shipping the trading algo sdk a trivial excercise. Simply
    copy the lib and include dirs from the install dest. That's it!
* Puts us in a position to break up the monolithic libspark into smaller
  modules, which are easier to manage.

Windows specific notes:

* Get rid of unnecessary script vs_filters.cmake
* Define WebsocketConnectionGateway directly in cs (instead of proto)
  - The proto would no longer be in the include path passed to protoc.
    Moving it to c# because there wasn't a compelling reason for it to
    be a proto in the first place.
* Set spark output prefix to "lib" on windows
  - So we get "libspark.dll" instead of "spark.dll", which conflicts
    with the csharp lib, "Spark.dll".
* Copy libspark.dll to net8.0 & net8.0-windows in a single cmake build
  target

fix build: Copy libspark to both dirs net8.0, net8.0-windows
2025-06-13 20:50:28 +00:00
John Colvin e4df7215b0 cleanup: Move TradeSummarySignalDispatcher to libspark
It is needed by TradeSummarySignal, which is in libspark. This prevents a
circular dependency from libspark -> sparkd.
2025-06-13 20:50:28 +00:00
John Colvin 4f404eec24 build: Clean up protobuf cmake scripts
Make them more flexible, reusable. This is a precursor to porting over
python md provider code from another branch.
2025-06-13 20:50:28 +00:00
John Colvin 633aa362ff build: Rename external path vars w/ "EXTERNAL_" prefix in cmake
The old "SPARK_" prefix felt like a misnomer.
2025-06-13 20:50:28 +00:00
John Colvin bfd837764a Add a few arithmetic ops to TimeSpan 2025-06-13 20:50:28 +00:00
John Colvin 99f3a845b8 diag: Log time it takes to start md sources
So we can detect bottlenecks
2025-06-13 20:50:28 +00:00
John Colvin 49f9f50fdb refactor: Split MarketDataGateway up into providers/sources
MarketDataGateway still exists, but is greatly simplified. It creates
several `IMarketDataProvider`s, each of which generates a list of
`IMarketDataSource`s. The market data sources provide market data to an
`IMarketDataListener`.

* EmumbaMarketDataProvider
* CCApiMarketDataProvider
* PyMarketDataProvider
* OnixsMarketDataProvider
* ReplayMarketDataProvider

As a side effect, individual py market data sources are now explicitly
limited to a single venue (it probably should have been this way all
along, since the shared memory writers do not expect updates to involve
multiple venues).
2025-06-13 20:50:28 +00:00
John Colvin bb25eab078 cleanup: Remove dependency on quickfix for string to_lower
We shouldn't depend on external libs for trivial things like converting
strings to lower case.
2025-06-13 20:50:28 +00:00
Taha 70fae06a30 BlueOrb streams and MLP 2025-06-08 21:52:38 -04:00
John Colvin 07b59559a2 dev qol: Reduce md log level in config profile 2025-06-03 02:23:59 +00:00
John Colvin cd1709563b fix: Generate reject exe reports from ack at binance
This only applies to "new" order acks. In all other cases, exe reports
are generated from the order update stream. New order rejects are the
exception because they're not visible in the stream. Presumably, they're
never actually entered into binance's order system (they're "rejected"
before that happens).
2025-06-03 02:21:18 +00:00
arham 94f22ddf40 Update: changed url for okx ws exe in config 2025-05-30 12:59:26 +00:00
arham 7f6c08f956 Fix: positions now go through dispatch incoming 2025-05-29 16:26:05 +00:00
arham 1d737cdf82 Fix: change time to 5s for pos update okx 2025-05-23 16:12:12 +00:00
arham b645192355 Add: OKX position turned on 2025-05-23 15:33:11 +00:00
John Colvin 5ad7755b28 tool: Make open orders symbol param optional in binance.env 2025-05-20 20:08:34 +00:00
John Colvin df4ca124c3 cleanup: Remove redundant script get_binance_md.sh
I should have removed this when I added binance_rest_client.sh
2025-05-20 20:08:34 +00:00
John Colvin 2c8b9ee288 tool: Add envsource.fish to load .env files in fish 2025-05-20 20:08:34 +00:00
John Colvin f02f28e347 tool: Add a few vars to binance.env 2025-05-20 20:08:34 +00:00
John Colvin c8a89c1e8d cleanup: Rename get_binance_md.py -> binance_client.py
This is a more appropriate name (it's not just md anymore).
2025-05-20 20:08:34 +00:00
John Colvin 7ae9e07a30 tool: Use binance.env file in python client
Like the bash impl (binance_rest_client.sh), it gets urls, params
(templates), and api credentials from env vars.
2025-05-20 20:08:34 +00:00
Taha a130e47218 Arb Scoring stream 2025-05-20 00:24:17 -04:00
John Colvin a377f6de7f improvement (ui): Use sec qty display settings in rec report 2025-05-19 12:35:25 -04:00
John Colvin 855373c9e6 cleanup: Remove unnecessary code 2025-05-19 15:57:35 +00:00
John Colvin e1b535b633 feat: Sync exch positions in binance usds futs gw 2025-05-19 15:57:35 +00:00
John Colvin 3b9ac71460 refactor: Abstract out start/stop state machine for gen use
* From binance usds futures gateway
* Thread-safe
* Handles re-entrancy gracefully
2025-05-19 15:57:35 +00:00
John Colvin 9a5075daaf improvement: Use recursive_mutex in ws client to prevent deadlocks 2025-05-19 15:57:35 +00:00
John Colvin 4e7fe811a8 Add ConcurrentUnorderedMap (c++) 2025-05-19 15:57:35 +00:00
Taha 0a6733180d Added SpreadStatsStream 2025-05-18 01:10:33 -04:00
Taha f2169c6bd4 Adding more data to SpreadPerformanceStream 2025-05-16 01:42:32 -04:00
Taha 23ef478391 Spread analytics streams 2025-05-15 15:01:27 -04:00
John Colvin 236a5a9362 fix: Format binance order price up to 5 decimal places
Bugs (fixed):
  * Binance JELLYUSDT order prices get rounded to 4 decimal places, even
    though the price tick is 0.00001
2025-05-13 15:02:02 +00:00
John Colvin cb560bbe33 fix: Sum realized & unrealized pnl correctly in header rows 2025-05-08 14:13:02 -04:00
John Colvin 248f2644ca deploy: Automatically restart "sparkd-symbols" service
This is what we deploy to the alphaworx-zen-hk-live server
2025-05-07 14:49:53 +00:00
arham b87d86f4d6 FIx: okx exe user cancel should be cxl not rjct 2025-05-07 08:38:28 +00:00
arham 8515196dcb Add: okx exe fok orders working 2025-05-07 08:08:40 +00:00
Taha Afzal e5e042f016 Spreader in RH mode now fires FOK, and hedges only whne the FOK is completely filled (ie not as we we might get partial fills) 2025-05-07 06:12:48 +00:00
John Colvin da3593326d Enable FOK orders at binance 2025-05-06 22:20:46 +00:00
John Colvin 313d3a2377 Enable FOK in EMNativeOrder.cpp
This class was originally designed for Emumba execution at deribit
(hence the "EM" prefix), but now serves all crypto exchanges.
2025-05-06 22:19:11 +00:00
Taha Afzal 22f0e126d0 Adding FillOrKill (FOK) to TimeInForce 2025-05-06 19:39:40 +00:00
arham c76b061e20 fmt: okx exe 2025-05-02 09:00:00 +00:00
arham 0107b65281 add code for okx exe position updates 2025-05-02 08:59:46 +00:00
Taha Afzal 6b5496b799 OrderStore does not eleted all orders at sparkd boot-time now 2025-05-02 00:10:48 +00:00
arham 42f9daf9cb Add: okx cancel all after code, not turned on for now 2025-05-01 09:48:06 +00:00
arham bc5ddade7f Add: okx exe small changes to maybe make ping better 2025-05-01 09:42:54 +00:00
arham d8d198f7f4 Add: OKX only handle orders from this session 2025-05-01 09:41:20 +00:00
John Colvin af9eb670c1 build: Update build scripts to target dotnet 8 2025-04-30 12:06:28 -04:00
John Colvin d91837c377 improvement (pnl ui): Get qty display params from sec proto
Instead of config
2025-04-30 03:06:04 -04:00
John Colvin 7725ae33ef fix: Fix total realized/unrealized pnl calc 2025-04-30 01:35:22 -04:00
John Colvin 9f56abaa38 vscode: Replace net7 w/ net8 in launch.json 2025-04-30 01:15:34 -04:00
John Colvin 95444d4a4c fix: Exclude nans from pnl sum 2025-04-30 00:47:49 -04:00
John Colvin a7e1c18fe2 diag: Improve trace logs in binance usds futures gw 2025-04-29 19:49:33 +00:00
John Colvin d11fd23cb0 refactor: Drop "_" suffix in private vars (cpp)
It just looks ugly, and unnecessary with modern tooling. Plus it's ugly.
2025-04-29 19:35:15 +00:00
John Colvin 8499ac0dfb diag: Clean up structured logging in binance order store 2025-04-29 19:35:15 +00:00
John Colvin f4afe348e6 fix: Update timestamps in binance order store when orders change 2025-04-29 19:35:15 +00:00
John Colvin 096424b60b refactor: Use WebsocketClient fn run_in_background in binance gws 2025-04-29 19:35:15 +00:00
John Colvin b4f5e66466 fix: Set okx perp exp to year 2100
Because the year 3000 is too big for signed int64
nanosecond timestamp
2025-04-29 19:35:15 +00:00
John Colvin 69a0bcc9cd fix: Request binance fut md on ccapi dispatcher thread 2025-04-29 19:32:21 +00:00
John Colvin d72ebdf421 perf: Send Binance Usds Futs md rest reqs on background thread 2025-04-29 19:32:21 +00:00
John Colvin 8e93856767 fix: Send exchangeInfo req via our HttpClient instead of ccapi
For binance usds futs (we already did this for spots)

Bugs (fixed):
  * We get a boost beast exception about the read limit being exceeded
    when requesting securities from Binance prod url (testnet works).
2025-04-29 19:32:21 +00:00
John Colvin 19dae6cd34 fix build (cpp release): Don't return reference to local var 2025-04-29 19:32:21 +00:00
John Colvin 24f42550dd fix build (cpp release): Explicitly cast int64 -> uint64 2025-04-29 19:32:21 +00:00
John Colvin c2150ae450 refactor: Move BinanceUsdsFuturesFilterTuple fns to cpp file 2025-04-29 19:32:21 +00:00
John Colvin 40dbfaa068 improvement: Support both key types in binance spots gw
Namely, ED25519 and HMAC-SHA256. Only the former can be used
to login over websocket, which eliminates the need to sign requests
after that.
2025-04-29 19:32:21 +00:00
John Colvin 3756a8a8b7 Add api key type enum to binance exe gateway config
ED25519 keys offer performance benefits over the HMAC-SHA256
keys when using the websocket api, as you can log in on the websocket
connection to avoid signing each request.
2025-04-29 19:32:21 +00:00
John Colvin 46c8dcb18f fix: Add binance spot order newOrderResp type to json/query params 2025-04-29 19:32:21 +00:00
John Colvin 024480f32e improvement: Send binance usds fut orders via websocket api
Unlike the previous implementation, which sent REST requests, this won't
block the dispatch thread waiting for a response.
2025-04-29 19:32:21 +00:00
John Colvin ba525372bb cleanup: Move a few types from orderman_utils to their own headers
So they can be included without depending on OrderService.pb.h
2025-04-29 19:24:41 +00:00
John Colvin 8aa0f1b674 refactor: Move binance state machine out of "spots" dir
So it can be used in the implementation for all binance apis (usds futs,
cross margin, etc.)
2025-04-29 05:24:04 +00:00
John Colvin fc14215d9b fix: Don't assert-crash if ord key isn't found for outgoing req
The i/o is asynchronous, so it's possible for the gateway to receive
a terminal ack from the exchange, remove the order from its index,
then receive a cancel/modify req from an algo that submitted the
req before it knew the order reached a terminal state.
2025-04-29 05:24:04 +00:00
John Colvin 091ed5a327 fix: Don't fire exe report for internal rejections
Internal rejections don't mean the order isn't "working". Only
rejections from the exchange mean that.
2025-04-29 05:24:04 +00:00
John Colvin 30bb9d0837 fix: Make SpotsOrderStore threadsafe 2025-04-29 05:24:04 +00:00
John Colvin 9cb2c580d6 diag: Use structured logging in binance spots gw 2025-04-29 05:24:04 +00:00
John Colvin 2e2150ac1a refactor: Send binance spot orders through websocket api
This offers performance benefits over the REST api, since we don't have
to sign each request.

Note: I consolidated the UserDataSubscription code into SpotsGateway
because it was cleaner than trying to share a single websocket
connection between the two classes (UserDataSubscription and
SpotsGateway).
2025-04-29 05:24:04 +00:00
John Colvin 21d9435a67 Add run_in_background fn to WebsocketClient (cpp) 2025-04-29 05:24:04 +00:00
John Colvin e7e334fb5a Add continous ping function to WebsocketClient (cpp) 2025-04-28 17:12:59 +00:00
John Colvin 61f04c4605 fix: Implement state machine for binance cxl/replace 2025-04-28 17:12:59 +00:00
John Colvin 24fb2e1e39 refactor: Remove 'get_internal_key' delegate from exe report store
It made constructing the exe report store awkward, and smelled like poor
design.
2025-04-28 17:12:59 +00:00
John Colvin ece141c448 Add dedicated types for structured logging 2025-04-28 17:12:59 +00:00
John Colvin 617bac8e74 cleanup: Move CancelOrderMsg impl to .cpp 2025-04-28 17:12:59 +00:00
John Colvin ab217401eb cleanup: Move CreateOrderMsg impl to .cpp, get rid of unused code 2025-04-28 17:12:58 +00:00
John Colvin 77e5c1481b Add security_id/name fns to ExecutionReport for convenience
So callers don't need to check if security is a nullptr
2025-04-28 17:12:58 +00:00
John Colvin a0f77f92a3 cleanup: Move ExecutionReport impl to .cpp
Also add using aliases to get rid of repetitive namespace prefixes
2025-04-28 17:12:58 +00:00
John Colvin 0acdcb150d fix: Format price & qty w/ 6 decimals in binance modify order json 2025-04-28 17:12:58 +00:00
John Colvin ac2f3b9bc6 Add ConcurrentQueue (c++) 2025-04-28 17:12:58 +00:00
John Colvin 0e522f90e5 refactor: Add line num suffix to var name in LOCK_GUARD macro
Rename to "BTS_LOCK_GUARD" while we're at it to avoid potential naming conflicts
2025-04-28 17:12:58 +00:00
John Colvin 40ad1f1b48 Update binance websocket endpoints
The api just changed, and old urls will be retired in May 2025
2025-04-28 17:12:58 +00:00
John Colvin 1cb75d399f devcontainer: Update dotnet7 -> dotnet8 2025-04-28 17:12:58 +00:00
John Colvin cddecc0543 cleanup: Fix benign typo in websocket_client.h
The open_handler fn return type should be "OpenHandler", not
"CloseHandler" (obviously).
2025-04-28 17:12:58 +00:00
John Colvin 484e36b330 refactor: Make timestamp internal value to signed (int64)
I am sick of casting uint64 -> int64. The latter is a much more
common argument type than the former.
2025-04-28 17:12:58 +00:00
John Colvin 8a9c22fa2a vscode: Add Python Debugger entry to launch.json 2025-04-28 17:12:58 +00:00
John Colvin a6e8853cb9 fix build (warns): Account for nullable ref types 2025-04-28 17:12:58 +00:00
John Colvin dafa193283 fix build (windows): Update externals to fix catch include path
I couldn't get the build to work with the new catch2 on windows, though
it does work on linux. Rather than revert the catch -> catch2 include
path changes (again, which do build on linux), I decided to rename the
old windows catch include dir 'catch2'.
2025-04-28 17:12:58 +00:00
John Colvin 23651970c9 fix: Fix improper 'OfType' linq cast
Previously, animations were expressed through polymorphism (derived from the
base class CellAnimation), but the new impl uses composition. This 'OfType' call
was leftover from the polymorphism implementation, an attempt to linq cast
elements of base class (CellAnimation) to BackgroundAnimation.
2025-04-28 17:12:58 +00:00
John Colvin 043efab5a2 build: Upgrade c# to net8.0 2025-04-28 17:12:58 +00:00
John Colvin 5476466d55 Fetch secrets for config profiles with new aws sso config 2025-04-28 17:12:58 +00:00
John Colvin 54cb5a2ab2 tool: Add script to configure aws sso 2025-04-28 17:12:58 +00:00
John Colvin 29bf7d8d7e deploy (fix): Update okx urls
Their aws domain has been retired.
2025-04-28 17:12:58 +00:00
John Colvin 855d2fd790 build: Update vcpkg 2025-04-28 17:12:58 +00:00
John Colvin 8a6a652882 fix build: Get rid of databento's internal nlohmann-json
** Migrate nlohmann-json over to vcpkg in the process **

Make it so databento is built with the same nlohmann-json lib that our
code is built with. Recently, I started getting undefined symbol errors
in databento code from nlohmann headers - presumably a conflict between
their nlohmann dep and ours.
2025-04-28 17:12:58 +00:00
John Colvin 3f288704bf build (linux): Migrate openssl to vcpkg, update to 3.5.0
Databento, as of version 0.32.0, requires openssl >= 3.0

https://github.com/databento/databento-cpp/releases/tag/v0.32.0
2025-04-28 17:12:58 +00:00
John Colvin 98bc78463d build (linux): Migrate catch2 dep to vcpkg (from externals) 2025-04-28 17:12:58 +00:00
John Colvin 6d271ad7cd build (linux): Manage fmt dep with vcpkg 2025-04-28 17:12:58 +00:00
John Colvin 2a17d656a5 fix: Dump json to str in LOG statements
The nlohmann::json obj isn't formattable (i.e., doesn't have a
fmt::formatter<T> specialization)
2025-04-28 17:12:58 +00:00
John Colvin 10436f0f3b tool: Rename binance_orders_client.sh -> binance_rest_client.sh
It supports md and order/trade requests
2025-04-28 17:12:58 +00:00
arham 86b19f0ef0 Add: okx exe treats all cancelations except ioc as rejections 2025-04-26 05:35:46 +00:00
Taha Afzal 502024dd10 Removing an overzealous assert in the spreader, which was being false if the spread_book was not received once 2025-04-23 04:40:16 +00:00
John Colvin 623012b0b0 deploy: Add "sparkd_symbols" image to Dockerfile
Normally, we bake spark config into the image, which is simpler and less
error prone than managing separate configurations per host machine
and/or container. The sparkd_symbols deployment breaks the mold. Config
is mounted to a dir on the host machine so symbols can be added/removed
via config (i.,e., spark.conf) when we bounce sparkd.
2025-04-17 05:53:05 +00:00
John Colvin 5859f0f2d1 deploy (fix): chown bts for whole sparkdata dir in sparkd-symbols
Unlike normal deploys, the config dir isn't copied directly into the image
2025-04-16 13:48:24 +00:00
John Colvin eeffb735ae deploy (fix): Override existing values when loading env files 2025-04-16 13:48:24 +00:00
John Colvin b602997f3a deploy: Build sparkd if any service starts with "sparkd"
Previously, we only built sparkd for the "sparkd" service (i.e., exact match)
2025-04-16 13:48:24 +00:00
Taha Afzal 3530a77b38 Fixing the situation where an IOC cancels, cancels the spreader 2025-04-16 04:26:50 +00:00
arham afdf635b31 fix: changes spread_book_tick_sz from int to double to fix low tick being zero for reverse hedge orders 2025-04-11 07:31:03 +00:00
John Colvin 4d4aefc0a7 fix: Bind SpreaderType dropdown to all algo types in synth ladder
Bugs (fixed):
  * The SpreaderType dropdown only works for plain spreader orders. It
    doesn't work for icebergs, leans, etc.
2025-04-10 16:16:43 -04:00
arham 960a8af77a Fix: OKX futures working now 2025-04-10 05:06:17 +00:00
Taha Afzal 89828659a4 Reducing loggging on reverse hedge evaluation 2025-04-09 20:05:48 +00:00
John Colvin 76f83fd7f5 Revert "Set irrelevant spreader params to null in ladder"
This reverts commit 924386084b.
2025-04-09 15:52:00 -04:00
Taha Afzal d4e40948d2 Changing the logic to determine if a leg is a quoting leg or not 2025-04-09 19:29:50 +00:00
arham 912ab512d2 Add: ioc orders to okx exe 2025-04-09 19:00:24 +00:00
Taha Afzal 5d3eb92175 Spreader gets the spread ticks from the right source now (it was hard coded at 0.1 earlier) 2025-04-09 18:42:06 +00:00
John Colvin 924386084b Set irrelevant spreader params to null in ladder
Depending on the SpreaderType enum value (treat it like a oneof case)
2025-04-09 10:29:15 -04:00
Taha Afzal acab3ac392 Reversehedging fixed 2025-04-09 09:42:47 -04:00
arham d06a62f6ee Format: ran clang format on file 2025-04-09 09:42:47 -04:00
arham 14e3eee0bc Add: config changes to make server controller work and set up hk zen server 2025-04-09 09:42:47 -04:00
Taha Afzal 7277bf52f5 Fixing build: 2025-04-09 09:42:47 -04:00
Taha Afzal b81dc7f5cf Fixing a bug, where the spreader was isidentifying the quoting leg 2025-04-09 09:42:47 -04:00
John Colvin b1a4635345 ui: Enable IOC for Iceberg orders
Previously, it was only enabled for Limit orders.
2025-04-08 13:22:09 -04:00
John Colvin 7c7c689170 fix build: Don't cast to unsigned int when checking bytesRead < 0 2025-04-04 15:36:55 -04:00
John Colvin 116506c8da fix build: Lock databento version to v0.31.0
Previously, we were simply fetching HEAD. This was fine until they
released v0.32.0 (on 04/02/2025), which introduced a new dependency
requirement that broke our build: OpenSSL >= 3.0.
2025-04-04 15:36:55 -04:00
Adeel Khan 3feda49ef1 Fix: Taifex Time Conversion 2025-04-04 15:36:54 -04:00
Adeel Khan 10318be7bc FIX: Taifex Crash Fixed, Added Diag Logs 2025-04-04 15:36:54 -04:00
Adeel Khan f7d525a527 ADD: TBBO & Symbol wise Naming in Recorder 2025-04-04 15:36:54 -04:00
Adeel Khan d2fe9f167a ADD: TWSE Code Complete 2025-04-04 15:36:54 -04:00
Adeel Khan 696d91a5af ADD: TWSE to WebApp 2025-04-04 15:36:54 -04:00
Adeel Khan d575ba0ea8 ADD: TWSE throughout Sparkd 2025-04-04 15:36:54 -04:00
Taha 058b131760 Cleaning up some streams,new prompt etc 2025-04-04 15:36:52 -04:00
2303 changed files with 35030 additions and 12215 deletions

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+1 -1
View File
@@ -65,7 +65,7 @@ RUN \
&& apt-get install -y cmake
# Dotnet
RUN apt-get update && apt-get install -y dotnet7
RUN apt-get update && apt-get install -y dotnet8
# Node
ARG node_major=18
+3 -1
View File
@@ -34,14 +34,16 @@
# src/server/sparkd/Dockerfile
SPARKD__IMAGE=sparkd
# The config dir for this service to use
SPARKD__CONFIG_DIR=src/server/sparkd/configurations/dev
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/dev
# Mount a specific volume or dir to "~/sparkdata/data" inside the docker.
# Defaults to a volume named "sparkd_<config_port>" (e.g., sparkd_8000).
# SPARKD__DATA_DIR=/home/bts/sparkdata/data
SPARKD__SOURCE_DIR=install/sparkd-release-gcc
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf/
SPARKD__CONFIG_PORT=8000
SPARKD__QUICKBUS_PORT=8001
SPARKD__SIM_FIX_PORT=8002
SPARKD__SHM_SIZE=4gb
SPARKD__PYTHON_REQUIREMENTS=requirements.txt
# TODO: add config for other services (pubsub, md-publisher, webapp, api-server, etc.)
+1
View File
@@ -60,3 +60,4 @@ trace_data/
*.Generated.cs
*.lst
.env.local
.secrets
+58 -94
View File
@@ -1,6 +1,14 @@
{
"version": "0.2.0",
"configurations": [
{
"name": "Python Debugger: Current File with Arguments",
"type": "debugpy",
"request": "launch",
"program": "${file}",
"console": "integratedTerminal",
"args": "${command:pickArgs}"
},
{
"name": ".NET Core Attach",
"type": "coreclr",
@@ -22,7 +30,7 @@
"--config",
"${workspaceFolder}/src/DataStreamSuite/DataStreamPublisher/Configurations/${input:dataStreamPublisherConfig}.json"
],
"cwd": "build/Debug/bin/net7.0",
"cwd": "build/Debug/bin/net8.0",
"stopAtEntry": false,
"console": "integratedTerminal"
},
@@ -82,7 +90,7 @@
"--config",
"${workspaceFolder}/src/DataStreamSuite/DataStreamQueryAnalyzer/Configurations/DataStreamQueryAnalyzer.json"
],
"cwd": "build/Debug/bin/net7.0-windows",
"cwd": "build/Debug/bin/net8.0-windows",
"env": {
"PYTHON_EXE": "${workspaceFolder}/.venv/Scripts/python.exe"
},
@@ -106,7 +114,7 @@
"--config",
"${workspaceFolder}/src/DataStreamSuite/PubSubServer/Configurations/${input:pubSubServerConfig}.json"
],
"cwd": "build/Debug/bin/net7.0",
"cwd": "build/Debug/bin/net8.0",
"stopAtEntry": false,
"console": "integratedTerminal"
},
@@ -118,7 +126,7 @@
"windows": {
"preLaunchTask": "Build Spark (Debug)",
"program": "Spark.exe",
"cwd": "build/Debug/bin/net7.0-windows",
"cwd": "build/Debug/bin/net8.0-windows",
},
"stopAtEntry": false,
"console": "integratedTerminal"
@@ -130,7 +138,7 @@
"program": "",
"windows": {
"program": "Spark.exe",
"cwd": "build/Debug/bin/net7.0-windows",
"cwd": "build/Debug/bin/net8.0-windows",
},
"stopAtEntry": false,
"console": "integratedTerminal"
@@ -147,7 +155,7 @@
"--sparkd",
"${input:sparkConfigServer}"
],
"cwd": "build/Debug/bin/net7.0-windows",
"cwd": "build/Debug/bin/net8.0-windows",
},
"stopAtEntry": false,
"console": "integratedTerminal"
@@ -160,7 +168,7 @@
"windows": {
"preLaunchTask": "Build Spark (Debug)",
"program": "Spark.Console.exe",
"cwd": "build/Debug/bin/net7.0",
"cwd": "build/Debug/bin/net8.0",
"args": [
"test",
"${input:sparkTest}"
@@ -176,7 +184,7 @@
"program": "",
"windows": {
"program": "Spark.Console.exe",
"cwd": "build/Debug/bin/net7.0",
"cwd": "build/Debug/bin/net8.0",
"args": [
"test",
"${input:sparkTest}"
@@ -191,24 +199,27 @@
"request": "launch",
"program": "",
"linux": {
"preLaunchTask": "Build Sparkd (Debug)",
"program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
"args": [
"run"
],
"stopAtEntry": false,
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
}
]
}
"program": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd/sparkd",
},
"args": [
"run"
],
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd",
"stopAtEntry": false,
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
},
{
"description": "Set Disassembly Flavor to Intel",
"text": "-gdb-set disassembly-flavor intel",
"ignoreFailures": true
}
]
},
{
"name": "Sparkd (Skip Build)",
@@ -216,74 +227,27 @@
"request": "launch",
"program": "",
"linux": {
"program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
"args": [
"run"
],
"stopAtEntry": false,
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
}
]
}
},
{
"name": "Sparkd Test",
"type": "cppdbg",
"request": "launch",
"program": "",
"linux": {
"preLaunchTask": "Build Sparkd (Debug)",
"program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
"args": [
"test",
"${input:sparkdTest}",
],
"stopAtEntry": false,
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
}
]
}
},
{
"name": "Sparkd Test (Skip Build)",
"type": "cppdbg",
"request": "launch",
"program": "",
"linux": {
"program": "${workspaceFolder}/build/sparkd-debug-clang/server/sparkd",
"args": [
"test",
"${input:sparkdTest}",
],
"stopAtEntry": false,
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/server",
"environment": [],
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
}
]
}
"program": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd/sparkd",
},
"args": [
"run"
],
"cwd": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd",
"stopAtEntry": false,
"externalConsole": false,
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
},
{
"description": "Set Disassembly Flavor to Intel",
"text": "-gdb-set disassembly-flavor intel",
"ignoreFailures": true
}
]
},
],
"inputs": [
+11 -45
View File
@@ -22,9 +22,9 @@ set(
# can run simultaneously without fighting over the same shm files (e.g., sparkd,
# api server, etc.).
set(SHARED_MEMORY_PREFIX "bts" CACHE STRING "Prefix to use when creating shared memory files")
set(SPARK_BIN "${EXTERNALS_ROOT}/bin")
set(SPARK_INCLUDE "${EXTERNALS_ROOT}/include")
set(SPARK_LIB "${EXTERNALS_ROOT}/lib/$<CONFIG>")
set(EXTERNALS_BIN "${EXTERNALS_ROOT}/bin")
set(EXTERNALS_INCLUDE "${EXTERNALS_ROOT}/include")
set(EXTERNALS_LIB "${EXTERNALS_ROOT}/lib/$<CONFIG>")
set(BUILD_DOCS OFF CACHE BOOL "Build documentation")
set(BUILD_SDK OFF CACHE BOOL "Build the sdk")
set(EXPORT_MD_CONSUMER OFF CACHE BOOL "Export (extern) C functions for MD consumer interop")
@@ -36,8 +36,8 @@ else()
set(BUILD_ADMIN_WEB_APP ON CACHE BOOL "Build the Admin WebApp")
endif()
include_directories(BEFORE SYSTEM ${SPARK_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
link_directories(${SPARK_LIB})
include_directories(BEFORE SYSTEM ${EXTERNALS_INCLUDE} ${EXTERNALS_ROOT}/include/zlib)
link_directories(${EXTERNALS_LIB})
add_compile_definitions(SHARED_MEMORY_PREFIX="${SHARED_MEMORY_PREFIX}")
add_compile_definitions(APP_DATA_DIR="${APP_DATA_DIR}")
@@ -47,12 +47,8 @@ endif()
add_compile_definitions(EXPORT_MD_CONSUMER="${EXPORT_MD_CONSUMER}")
if(WIN32)
# subdirs
add_subdirectory(src/lib)
add_subdirectory(src/lib_spark)
else()
# make sparkd look for libspark.so in its directory
set(CMAKE_BUILD_WITH_INSTALL_RPATH TRUE)
set(CMAKE_INSTALL_RPATH ".")
if(BUILD_SPARKD)
# Note: All macros that begin w/ 'CCAPI' are ccapi's macros (defined and/or
# read by their code). We override some below.
@@ -117,12 +113,15 @@ else()
endif()
# subdirs
add_subdirectory(src/lib_spark)
if (BUILD_SPARKD)
add_subdirectory(src/lib_python_interop)
add_subdirectory(src/lib_onixs_fix)
add_subdirectory(src/lib_binance_execution)
add_subdirectory(src/server/sparkd)
add_subdirectory(src/lib_okx_execution)
add_subdirectory(src/app_sparkd)
add_subdirectory(src/data_files)
endif()
add_subdirectory(src/lib)
if (BUILD_ADMIN_WEB_APP)
add_subdirectory(src/Spark.Admin.WebApp)
endif()
@@ -132,37 +131,4 @@ else()
if(BUILD_SDK)
add_subdirectory(src/sdk)
endif()
if(BUILD_SPARKD)
add_custom_command(
OUTPUT ${CMAKE_BINARY_DIR}/server
COMMAND mkdir -p ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/server/sparkd/sparkd ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/data_files ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${CMAKE_BINARY_DIR}/src/lib/libspark.so ${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/${CMAKE_BUILD_TYPE}/libonixs-fix-engine.so.4 ${CMAKE_BINARY_DIR}/server
COMMAND
ln ARGS -sf
${EXTERNALS_ROOT}/lib/Release/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0
${CMAKE_BINARY_DIR}/server
COMMAND ln ARGS -sf ${EXTERNALS_ROOT}/lib/Release/libACE-5.7.5.so ${CMAKE_BINARY_DIR}/server
COMMAND mkdir ARGS -p ${CMAKE_BINARY_DIR}/server/plugins
COMMENT "Creating server runtime layout"
DEPENDS sparkd data_files_dir)
add_custom_target(server_layout ALL DEPENDS ${CMAKE_BINARY_DIR}/server)
install(
DIRECTORY "${CMAKE_BINARY_DIR}/server/plugins"
DESTINATION "${CMAKE_INSTALL_BINDIR}")
install(
FILES
"${SPARK_LIB}/libACE-5.7.5.so"
"${SPARK_LIB}/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0"
"${SPARK_LIB}/libonixs-fix-engine.so.4.10.1"
"${SPARK_LIB}/libonixs-fix-engine.so.4"
"${SPARK_LIB}/libonixs-fix-engine.so"
DESTINATION "${CMAKE_INSTALL_BINDIR}")
endif()
endif()
+19 -11
View File
@@ -31,9 +31,8 @@
"CMAKE_SHARED_LINKER_FLAGS_RELEASE": "/OPT:REF /OPT:ICF /LTCG",
"CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
"EXTERNALS_ROOT": "${sourceDir}/externals/windows",
"CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0",
"DOTNET_WINDOWS_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0-windows",
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0;${sourceDir}/build/$<CONFIG>/bin/net8.0-windows",
"EXPORT_MD_CONSUMER": {
"type": "BOOL",
"value": "ON"
@@ -58,12 +57,18 @@
"APP_DATA_DIR_OVERRIDE": "${dollar}{SPARKD_DATA_DIR}",
"CMAKE_BUILD_WITH_INSTALL_RPATH": {
"type": "BOOL",
"value": "ON"
"value": "OFF"
},
"CMAKE_CXX_STANDARD": "20",
"CMAKE_INSTALL_RPATH": ".",
"CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
"CMAKE_PREFIX_PATH": "${sourceDir}/cmake/;${sourceDir}/.venv/lib/python3.10/site-packages/pybind11/share/cmake/pybind11",
"CMAKE_EXE_LINKER_FLAGS": "-Wno-undef",
"CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
"DATABENTO_USE_EXTERNAL_JSON": {
"type": "BOOL",
"value": "ON"
},
"EXTERNALS_ROOT": "${sourceDir}/externals/linux",
"BUILD_SDK": {
"type": "BOOL",
@@ -88,7 +93,7 @@
"value": "ON"
},
"CCAPI_LOG_LEVEL": "Info",
"CONFIG_DEFAULTS_PATH": "config/profiles/md_dev/*.conf;config/profiles/default/*.conf"
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/md_dev/*.conf;spark/config/profiles/default/*.conf"
}
},
@@ -99,7 +104,7 @@
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Release",
"CCAPI_LOG_LEVEL": "Warn",
"CONFIG_DEFAULTS_PATH": "config/profiles/md_prod/*.conf;config/profiles/default/*.conf"
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/md_prod/*.conf;spark/config/profiles/default/*.conf"
}
},
@@ -181,8 +186,12 @@
"CMAKE_CXX_FLAGS_DEBUG": "-g -fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -DDEBUG",
"CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -fno-omit-frame-pointer -DNDEBUG -O3",
"CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
"CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0",
"CMAKE_EXPORT_COMPILE_COMMANDS": {
"type": "BOOL",
"value": "ON"
},
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0",
"EXPORT_MD_CONSUMER": {
"type": "BOOL",
"value": "ON"
@@ -222,7 +231,7 @@
"cacheVariables": {
"APP_DATA_DIR": "${dollar}{APPDATA}/bts/DataStream",
"APP_DATA_DIR_OVERRIDE": "${dollar}{DATA_STREAM_DATA_DIR}",
"CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf;config/profiles/data_stream/*.conf",
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf;spark/config/profiles/data_stream/*.conf",
"SHARED_MEMORY_PREFIX": "data_stream"
}
},
@@ -257,8 +266,7 @@
"CMAKE_CXX_COMPILER": "clang++",
"CMAKE_CXX_FLAGS_DEBUG": "-g -fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -DDEBUG",
"CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -fno-omit-frame-pointer -DNDEBUG -O3",
"CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
"CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf;config/profiles/data_stream/*.conf",
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf;spark/config/profiles/data_stream/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net7.0",
"EXPORT_MD_CONSUMER": {
"type": "BOOL",
+7
View File
@@ -0,0 +1,7 @@
include_guard(GLOBAL)
macro(export_to_parent)
foreach(var IN ITEMS ${ARGN})
set(${var} ${${var}} PARENT_SCOPE)
endforeach()
endmacro()
+142
View File
@@ -0,0 +1,142 @@
include_guard(DIRECTORY)
include(${CMAKE_SOURCE_DIR}/cmake/ExportToParent.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/InstallBasic.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/ProtobufGenerateCpp.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/safe_dep_glob.cmake)
function(init_library)
set(_options SHARED STATIC)
set(_one_value_args
NAME
SOURCE_DIR
INCLUDE_DIR
)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
if (_ARGS_SHARED AND _ARGS_STATIC)
message(FATAL_ERROR "Invalid args passed to init_library: cannot specify STATIC and SHARED")
endif()
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set_first_defined(_source_dir _ARGS_SOURCE_DIR _name)
set_first_defined(_include_dir _ARGS_INCLUDE_DIR _source_dir)
# Cpp sources
file(
GLOB_RECURSE ${_name}_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_source_dir}/*.cpp
)
# Note: cpp files inside 'tests' dir(s) are considered tests.
# Remove tests from main sources, and add them to test sources
foreach(item ${${_name}_SOURCES})
if(${item} MATCHES "tests/.*\.cpp$")
list(APPEND ${_name}_TEST_SOURCES ${item})
endif()
endforeach()
foreach(item ${${_name}_TEST_SOURCES})
list(REMOVE_ITEM ${_name}_SOURCES ${item})
endforeach()
# Proto sources
file(
GLOB_RECURSE ${_name}_PROTO_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_source_dir}/protobufs/*.proto
)
update_deps_file("${${_name}_PROTO_SOURCES};")
protobuf_generate_cpp(
CXX_SOURCES ${_name}_CXX_PROTO_SOURCES
CXX_HEADERS ${_name}_CXX_PROTO_HEADERS
CXX_OUT_DIR ${CMAKE_CURRENT_BINARY_DIR}
PROTO_INCLUDE_DIRS
${EXTERNALS_INCLUDE}
${CMAKE_CURRENT_SOURCE_DIR}
PROTO_SOURCES
${${_name}_PROTO_SOURCES}
)
export_to_parent(
${_name}_SOURCES
${_name}_TEST_SOURCES
${_name}_PROTO_SOURCES
${_name}_CXX_PROTO_SOURCES
${_name}_CXX_PROTO_HEADERS
)
# Add main lib
if (_ARGS_STATIC)
add_library(${_name} STATIC ${${_name}_SOURCES} ${${_name}_CXX_PROTO_SOURCES})
elseif(_ARGS_SHARED)
add_library(${_name} SHARED ${${_name}_SOURCES} ${${_name}_CXX_PROTO_SOURCES})
else()
add_library(${_name} ${${_name}_SOURCES} ${${_name}_CXX_PROTO_SOURCES})
endif()
target_include_directories(
${_name}
SYSTEM
BEFORE
PUBLIC
$<BUILD_INTERFACE:${EXTERNALS_ROOT}/include>
$<BUILD_INTERFACE:${EXTERNALS_ROOT}/include/zlib>
)
target_include_directories(
${_name}
PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_SOURCE_DIR}>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_INCLUDEDIR}>
)
# Include protos (if any)
if (${_name}_PROTO_SOURCES)
target_include_directories(
${_name}
PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>
)
endif()
target_link_directories(
${_name}
PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>
$<BUILD_INTERFACE:${EXTERNALS_ROOT}/lib/$<CONFIG>>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_LIBDIR}>
)
# Install main lib
foreach(_hdr ${${_name}_CXX_PROTO_HEADERS})
file(RELATIVE_PATH _relative_path ${CMAKE_CURRENT_BINARY_DIR} ${_hdr})
install(FILES ${_hdr} DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}/${_relative_path})
endforeach()
install_basic(
NAME ${_name}
INCLUDE_DIR ${_include_dir}
)
# Add tests executable (if there are any)
if (${_name}_TEST_SOURCES AND NOT WIN32)
add_executable(${_name}-tests ${${_name}_TEST_SOURCES})
get_target_property(_lib_type ${_name} TYPE)
if (_lib_type STREQUAL "SHARED_LIBRARY")
# Set RPATH so the tests exe knows where to find the shared lib.
set_target_properties(
${_name}-tests
PROPERTIES
BUILD_RPATH "$ORIGIN"
INSTALL_RPATH "$ORIGIN/../${CMAKE_INSTALL_LIBDIR}"
)
endif()
# Link main lib
target_link_directories(
${_name}-tests
PRIVATE
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_LIBDIR}>
)
target_link_libraries(${_name}-tests PRIVATE ${_name})
# Catch2
find_package(Catch2 CONFIG REQUIRED COMPONENTS Catch2WithMain)
target_link_libraries(${_name}-tests PRIVATE Catch2::Catch2WithMain)
endif()
endfunction()
+71
View File
@@ -0,0 +1,71 @@
include_guard(DIRECTORY)
include(GNUInstallDirs)
include(${CMAKE_SOURCE_DIR}/cmake/ExportToParent.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
function(init_python_module)
set(_options)
set(_one_value_args
NAME
)
set(_multi_value_args
SOURCES
)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set_first_defined(_sources _ARGS_SOURCES ${_name}_SOURCES)
set(module_proj ${_name}_module)
set(${module_proj}_SOURCES ${_sources})
pybind11_add_module(${module_proj} SHARED ${_sources})
target_link_libraries(
${module_proj}
PUBLIC
pybind11::embed
spark
${_name}
)
target_include_directories(
${module_proj}
PRIVATE
$<BUILD_INTERFACE:${pybind11_INCLUDE_DIRS}>
)
target_include_directories(
${module_proj}
PUBLIC
${Python3_INCLUDE_DIRS}
$<BUILD_INTERFACE:${CMAKE_CURRENT_SOURCE_DIR}>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_INCLUDEDIR}>
)
add_custom_command(
OUTPUT ${CMAKE_CURRENT_BINARY_DIR}/stubs/${_name}.pyi
DEPENDS ${_name} ${module_proj}
COMMAND PYTHONPATH=${CMAKE_CURRENT_BINARY_DIR} pybind11-stubgen --numpy-array-use-type-var --ignore-invalid-expressions '.*' ${_name}_module
COMMENT "Generating py stubs"
)
add_custom_target(
"${_name}_py_stubs"
ALL
DEPENDS
${CMAKE_CURRENT_BINARY_DIR}/stubs/${_name}.pyi
)
install(
TARGETS ${module_proj}
EXPORT ${module_proj}Targets
RUNTIME
DESTINATION ${CMAKE_INSTALL_BINDIR}
LIBRARY
DESTINATION ${CMAKE_INSTALL_LIBDIR}
ARCHIVE
DESTINATION ${CMAKE_INSTALL_LIBDIR}
)
foreach(dir ${pybind11_INCLUDE_DIRS})
install(DIRECTORY ${dir} DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
endforeach()
install(
EXPORT ${module_proj}Targets
FILE ${module_proj}Targets.cmake
NAMESPACE ${_name}::
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name}
)
endfunction()
+65
View File
@@ -0,0 +1,65 @@
include_guard(DIRECTORY)
include(GNUInstallDirs)
function(init_python_plugin)
set(_options)
set(_one_value_args NAME PLUGIN_NAME)
set(_multi_value_args SOURCES)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set(_plugin_name ${_ARGS_PLUGIN_NAME})
if (NOT DEFINED _ARGS_PLUGIN_NAME)
set(_plugin_name ${_name}_plugins)
endif()
set(${_plugin_name}_SOURCES ${_ARGS_SOURCES})
if (NOT DEFINED _ARGS_SOURCES)
file(
GLOB_RECURSE ${_plugin_name}_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_plugin_name}/*.py)
endif()
set(src_outs)
foreach(_src ${${_plugin_name}_SOURCES})
set(_src_in ${CMAKE_CURRENT_SOURCE_DIR}/${_src})
set(_src_out ${CMAKE_CURRENT_BINARY_DIR}/${_src})
add_custom_command(
OUTPUT ${_src_out}
COMMAND ${CMAKE_COMMAND} -E copy ${_src_in} ${_src_out}
DEPENDS ${_src_in}
COMMENT "Copying ${_plugin_name} plugin ${_src} to ${_src_out}"
)
list(APPEND src_outs ${_src_out})
endforeach()
add_custom_target(copy_${_plugin_name} ALL DEPENDS ${src_outs})
add_library(${_plugin_name} INTERFACE)
add_library(${_name}::${_plugin_name} ALIAS ${_plugin_name})
set_target_properties(
${_plugin_name}
PROPERTIES
INTERFACE_PYTHON_SCRIPTS_DIR
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}/${_plugin_name}>$<INSTALL_INTERFACE:${CMAKE_INSTALL_BINDIR}/${_plugin_name}>
)
set_target_properties(
${_plugin_name}
PROPERTIES
INTERFACE_PYTHON_SCRIPTS $<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}/${${_plugin_name}_SOURCES}>$<INSTALL_INTERFACE:${CMAKE_INSTALL_BINDIR}/${${_plugin_name}_SOURCES}>
)
install(
TARGETS ${_plugin_name}
EXPORT ${_plugin_name}Targets
DESTINATION ${CMAKE_INSTALL_BINDIR}
)
install(
EXPORT ${_plugin_name}Targets
FILE ${_plugin_name}Targets.cmake
NAMESPACE ${_name}::
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name}
)
install(DIRECTORY ${_plugin_name} DESTINATION ${CMAKE_INSTALL_BINDIR})
endfunction()
+39
View File
@@ -0,0 +1,39 @@
include_guard(DIRECTORY)
include(GNUInstallDirs)
include(${CMAKE_SOURCE_DIR}/cmake/PackBasic.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
function(install_basic)
set(_options)
set(_one_value_args NAME INCLUDE_DIR)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
set_first_defined(_include_dir _ARGS_INCLUDE_DIR _name)
file(
GLOB_RECURSE ${_name}_HEADERS
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
${_include_dir}/*.h)
target_sources(${_name}
PUBLIC
FILE_SET HEADERS FILES ${${_name}_HEADERS})
install(
TARGETS ${_name}
EXPORT ${_name}Targets
RUNTIME DESTINATION ${CMAKE_INSTALL_BINDIR}
LIBRARY DESTINATION ${CMAKE_INSTALL_LIBDIR}
ARCHIVE DESTINATION ${CMAKE_INSTALL_LIBDIR}
FILE_SET HEADERS DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}
)
install(
EXPORT ${_name}Targets
FILE ${_name}Targets.cmake
NAMESPACE ${_name}::
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name})
pack_basic()
endfunction()
+44
View File
@@ -0,0 +1,44 @@
include_guard(DIRECTORY)
include(CMakePackageConfigHelpers)
include(${CMAKE_SOURCE_DIR}/cmake/SetFirstDefined.cmake)
function(pack_basic)
set(_options)
set(_one_value_args NAME)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set_first_defined(_name _ARGS_NAME PROJECT_NAME)
find_package(Git QUIET)
if(GIT_FOUND)
execute_process(
COMMAND ${GIT_EXECUTABLE} describe --tags --always --dirty
WORKING_DIRECTORY ${CMAKE_SOURCE_DIR}
OUTPUT_VARIABLE PROJECT_VERSION
OUTPUT_STRIP_TRAILING_WHITESPACE
)
endif()
if(NOT GIT_FOUND OR PROJECT_VERSION STREQUAL "")
set(PROJECT_VERSION "0.0.0")
endif()
write_basic_package_version_file(
"${CMAKE_CURRENT_BINARY_DIR}/${_name}ConfigVersion.cmake"
VERSION ${PROJECT_VERSION}
COMPATIBILITY AnyNewerVersion
)
configure_package_config_file(
"${CMAKE_CURRENT_SOURCE_DIR}/Config.cmake.in"
"${CMAKE_CURRENT_BINARY_DIR}/${_name}Config.cmake"
INSTALL_DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name}
)
install(
FILES
"${CMAKE_CURRENT_BINARY_DIR}/${_name}Config.cmake"
"${CMAKE_CURRENT_BINARY_DIR}/${_name}ConfigVersion.cmake"
DESTINATION ${CMAKE_INSTALL_LIBDIR}/cmake/${_name})
endfunction()
+82 -63
View File
@@ -1,12 +1,23 @@
set(Protobuf_PROTOC_EXECUTABLE "${SPARK_BIN}/protoc")
set(PROTOBUF_INCLUDE_DIRS "${SPARK_INCLUDE}")
set(Protobuf_PROTOC_EXECUTABLE "${EXTERNALS_BIN}/protoc")
set(PROTOBUF_INCLUDE_DIRS "${EXTERNALS_INCLUDE}")
set(PROTOBUF_STATIC_LIB "libprotobuf")
set(_protobuf_src_dir ${CMAKE_SOURCE_DIR}/src/lib_spark)
set(_protobuf_bin_dir ${CMAKE_BINARY_DIR}/src/lib_spark)
function(Protobuf_Generate_Cpp SRCS HDRS)
set(${SRCS})
set(${HDRS})
function(Protobuf_Generate_Cpp)
set(_options)
set(_one_value_args CXX_SOURCES CXX_HEADERS CXX_OUT_DIR)
set(_multi_value_args PROTO_INCLUDE_DIRS PROTO_SOURCES)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set(${_ARGS_CXX_SOURCES})
set(${_ARGS_CXX_HEADERS})
foreach(FIL ${ARGN})
set(_proto_include_cli_args)
foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
list(APPEND _proto_include_cli_args -I ${_dir})
endforeach()
foreach(FIL ${_ARGS_PROTO_SOURCES})
get_filename_component(ABS_FIL ${FIL} ABSOLUTE)
get_filename_component(FIL_WE ${FIL} NAME_WE)
get_filename_component(FIL_DIR ${FIL} DIRECTORY)
@@ -14,48 +25,56 @@ function(Protobuf_Generate_Cpp SRCS HDRS)
set(FIL_WE "${FIL_DIR}/${FIL_WE}")
endif()
list(APPEND ${SRCS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.cc")
list(APPEND ${HDRS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.h")
list(APPEND ${_ARGS_CXX_SOURCES} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.cc")
list(APPEND ${_ARGS_CXX_HEADERS} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.h")
add_custom_command(
OUTPUT "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.cc"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.h"
OUTPUT "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.h"
COMMAND
${Protobuf_PROTOC_EXECUTABLE} ARGS --cpp_out=${CMAKE_BINARY_DIR}/src -I
${PROTOBUF_INCLUDE_DIRS} -I ${CMAKE_SOURCE_DIR}/src ${ABS_FIL}
${Protobuf_PROTOC_EXECUTABLE} ARGS --cpp_out=${_ARGS_CXX_OUT_DIR} ${_proto_include_cli_args} ${ABS_FIL}
DEPENDS ${ABS_FIL}
COMMENT "Running C++ protocol buffer compiler on ${FIL}"
VERBATIM)
endforeach()
set_source_files_properties(${${SRCS}} ${${HDRS}} PROPERTIES GENERATED TRUE)
set_source_files_properties(${${_ARGS_CXX_SOURCES}} ${${_ARGS_CXX_HEADERS}} PROPERTIES GENERATED TRUE)
# remove some warnings from protobuf generated files
if(WIN32)
set_source_files_properties(${${SRCS}} PROPERTIES COMPILE_FLAGS
set_source_files_properties(${${_ARGS_CXX_SOURCES}} PROPERTIES COMPILE_FLAGS
"/wd4309 /wd4838")
else()
set_source_files_properties(
${${SRCS}}
${${_ARGS_CXX_SOURCES}}
PROPERTIES
COMPILE_FLAGS
"-Wno-unused-parameter -Wno-effc++ -Wno-pedantic -Wno-sign-compare -Wno-uninitialized"
)
endif()
set(${SRCS}
${${SRCS}}
set(${_ARGS_CXX_SOURCES}
${${_ARGS_CXX_SOURCES}}
PARENT_SCOPE)
set(${HDRS}
${${HDRS}}
set(${_ARGS_CXX_HEADERS}
${${_ARGS_CXX_HEADERS}}
PARENT_SCOPE)
endfunction()
function(Service_Compiler_Generate_Cpp SRCS HDRS)
set(${SRCS})
set(${HDRS})
function(Service_Compiler_Generate_Cpp)
set(_options)
set(_one_value_args CXX_SOURCES CXX_HEADERS CXX_OUT_DIR)
set(_multi_value_args PROTO_INCLUDE_DIRS PROTO_SOURCES)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
set(${_ARGS_CXX_SOURCES})
set(${_ARGS_CXX_HEADERS})
foreach(FIL ${ARGN})
set(_proto_include_cli_args)
foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
list(APPEND _proto_include_cli_args -I ${_dir})
endforeach()
foreach(FIL ${_ARGS_PROTO_SOURCES})
get_filename_component(ABS_FIL ${FIL} ABSOLUTE)
get_filename_component(FIL_WE ${FIL} NAME_WE)
get_filename_component(FIL_DIR ${FIL} DIRECTORY)
@@ -63,58 +82,58 @@ function(Service_Compiler_Generate_Cpp SRCS HDRS)
set(FIL_WE "${FIL_DIR}/${FIL_WE}")
endif()
list(APPEND ${SRCS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.cc")
list(APPEND ${HDRS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.h")
list(APPEND ${_ARGS_CXX_SOURCES} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.cc")
list(APPEND ${_ARGS_CXX_HEADERS} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.h")
list(APPEND ${SRCS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.client.pb.cc")
list(APPEND ${HDRS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.client.pb.h")
list(APPEND ${_ARGS_CXX_SOURCES} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.client.pb.cc")
list(APPEND ${_ARGS_CXX_HEADERS} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.client.pb.h")
list(APPEND ${SRCS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.server.pb.cc")
list(APPEND ${HDRS} "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.server.pb.h")
list(APPEND ${_ARGS_CXX_SOURCES} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.server.pb.cc")
list(APPEND ${_ARGS_CXX_HEADERS} "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.server.pb.h")
set(TEMPLATES
${CMAKE_CURRENT_SOURCE_DIR}/api/service_compiler/templates/cpp/client.pb.cc
${CMAKE_CURRENT_SOURCE_DIR}/api/service_compiler/templates/cpp/client.pb.h
${CMAKE_CURRENT_SOURCE_DIR}/api/service_compiler/templates/cpp/server.pb.cc
${CMAKE_CURRENT_SOURCE_DIR}/api/service_compiler/templates/cpp/server.pb.h
${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/templates/cpp/client.pb.cc
${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/templates/cpp/client.pb.h
${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/templates/cpp/server.pb.cc
${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/templates/cpp/server.pb.h
)
set(_plugin_py ${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/plugin.py)
if(WIN32)
set(_plugin_cmd ${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/plugin.cmd)
add_custom_command(
OUTPUT "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.cc"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.h"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.client.pb.cc"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.client.pb.h"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.server.pb.cc"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.server.pb.h"
OUTPUT "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.h"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.client.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.client.pb.h"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.server.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.server.pb.h"
COMMAND SET PYTHONPATH=${SPARK_PYTHON}
COMMAND ${CMAKE_SOURCE_DIR}/.venv/Scripts/activate.bat
COMMAND
${Protobuf_PROTOC_EXECUTABLE} ARGS --cpp_out=${CMAKE_BINARY_DIR}/src
--plugin=protoc-gen-service=${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/plugin.cmd
--service_out=lang=cpp:${CMAKE_BINARY_DIR}/src -I
${PROTOBUF_INCLUDE_DIRS} -I ${CMAKE_SOURCE_DIR}/src ${ABS_FIL}
DEPENDS ${ABS_FIL} ${TEMPLATES}
${CMAKE_CURRENT_SOURCE_DIR}/api/service_compiler/plugin.py
${Protobuf_PROTOC_EXECUTABLE} ARGS --cpp_out=${_ARGS_CXX_OUT_DIR}
--plugin=protoc-gen-service=${_plugin_cmd}
--service_out=lang=cpp:${_ARGS_CXX_OUT_DIR} -I
${PROTOBUF_INCLUDE_DIRS} -I ${_protobuf_src_dir} ${ABS_FIL}
DEPENDS ${ABS_FIL} ${TEMPLATES} ${_plugin_cmd} ${_plugin_py}
COMMENT "Running C++ service compiler on ${FIL}"
VERBATIM)
else()
add_custom_command(
OUTPUT "${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.cc"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.pb.h"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.client.pb.cc"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.client.pb.h"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.server.pb.cc"
"${CMAKE_CURRENT_BINARY_DIR}/${FIL_WE}.server.pb.h"
OUTPUT "${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.pb.h"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.client.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.client.pb.h"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.server.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${FIL_WE}.server.pb.h"
COMMAND ${CMAKE_SOURCE_DIR}/tools/venv_exec.sh
ARGS
${Protobuf_PROTOC_EXECUTABLE}
--cpp_out=${CMAKE_BINARY_DIR}/src
--plugin=protoc-gen-service=${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/plugin.py
--service_out=lang=cpp,make_file_name=${ABS_FIL}:${CMAKE_BINARY_DIR}/src
-I ${PROTOBUF_INCLUDE_DIRS} -I ${CMAKE_SOURCE_DIR}/src ${ABS_FIL}
DEPENDS ${ABS_FIL} ${TEMPLATES}
${CMAKE_CURRENT_SOURCE_DIR}/api/service_compiler/plugin.py
--cpp_out=${_ARGS_CXX_OUT_DIR}
--plugin=protoc-gen-service=${_plugin_py}
--service_out=lang=cpp,make_file_name=${ABS_FIL}:${_ARGS_CXX_OUT_DIR}
${_proto_include_cli_args} ${ABS_FIL}
DEPENDS ${ABS_FIL} ${TEMPLATES} ${_plugin_py}
COMMENT "Running C++ service compiler on ${FIL}"
VERBATIM)
endif()
@@ -123,22 +142,22 @@ function(Service_Compiler_Generate_Cpp SRCS HDRS)
# remove some warnings from protobuf generated files
if(WIN32)
set_source_files_properties(${${SRCS}} PROPERTIES COMPILE_FLAGS
set_source_files_properties(${${_ARGS_CXX_SOURCES}} PROPERTIES COMPILE_FLAGS
"/wd4309 /wd4838")
else()
set_source_files_properties(
${${SRCS}}
${${_ARGS_CXX_SOURCES}}
PROPERTIES
COMPILE_FLAGS
"-Wno-unused-parameter -Wno-effc++ -Wno-pedantic -Wno-sign-compare -Wno-uninitialized"
)
endif()
set(${SRCS}
${${SRCS}}
set(${_ARGS_CXX_SOURCES}
${${_ARGS_CXX_SOURCES}}
PARENT_SCOPE)
set(${HDRS}
${${HDRS}}
set(${_ARGS_CXX_HEADERS}
${${_ARGS_CXX_HEADERS}}
PARENT_SCOPE)
endfunction()
+83
View File
@@ -0,0 +1,83 @@
include_guard(GLOBAL)
function(protobuf_generate_cpp)
set(_options)
set(_one_value_args
CXX_SOURCES
CXX_HEADERS
CXX_OUT_DIR
PROTOC
)
set(_multi_value_args
PROTO_INCLUDE_DIRS
PROTO_SOURCES
)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
if (NOT DEFINED _ARGS_PROTOC)
if (WIN32)
set(_ARGS_PROTOC "${EXTERNALS_BIN}/protoc.exe")
else()
set(_ARGS_PROTOC "${EXTERNALS_BIN}/protoc")
endif()
endif()
set(${_ARGS_CXX_SOURCES})
set(${_ARGS_CXX_HEADERS})
set(_proto_include_cli_args)
foreach(_dir ${_ARGS_PROTO_INCLUDE_DIRS})
list(APPEND _proto_include_cli_args -I ${_dir})
endforeach()
foreach(_fil ${_ARGS_PROTO_SOURCES})
get_filename_component(_abs_fil ${_fil} ABSOLUTE)
get_filename_component(_fil_we ${_fil} NAME_WE)
get_filename_component(_fil_dir ${_fil} DIRECTORY)
if(_fil_dir)
set(_fil_we "${_fil_dir}/${_fil_we}")
endif()
list(APPEND ${_ARGS_CXX_SOURCES} "${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.cc")
list(APPEND ${_ARGS_CXX_HEADERS} "${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.h")
message(STATUS "add_custom_command for ${_fil} -> ${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.h")
# TODO: Pass proto sources by relative path (so this fn can be called from
# arbitrary subdirs).
add_custom_command(
OUTPUT
"${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.cc"
"${_ARGS_CXX_OUT_DIR}/${_fil_we}.pb.h"
COMMAND
${_ARGS_PROTOC}
ARGS
--cpp_out=${_ARGS_CXX_OUT_DIR} ${_proto_include_cli_args} ${_abs_fil}
DEPENDS ${_abs_fil}
COMMENT "Running C++ protocol buffer compiler on ${_fil}"
VERBATIM
)
endforeach()
set_source_files_properties(
${${_ARGS_CXX_SOURCES}}
${${_ARGS_CXX_HEADERS}}
PROPERTIES
GENERATED TRUE
)
# remove some warnings from protobuf generated files
if(WIN32)
set_source_files_properties(
${${_ARGS_CXX_SOURCES}}
PROPERTIES
COMPILE_FLAGS "/wd4309 /wd4838"
)
else()
set_source_files_properties(
${${_ARGS_CXX_SOURCES}}
PROPERTIES
COMPILE_FLAGS "-Wno-unused-parameter -Wno-effc++ -Wno-pedantic -Wno-sign-compare -Wno-uninitialized"
)
endif()
set(${_ARGS_CXX_SOURCES} ${${_ARGS_CXX_SOURCES}} PARENT_SCOPE)
set(${_ARGS_CXX_HEADERS} ${${_ARGS_CXX_HEADERS}} PARENT_SCOPE)
endfunction()
+61
View File
@@ -0,0 +1,61 @@
include_guard(GLOBAL)
function(protobuf_generate_cpp_config)
set(_options)
set(_one_value_args
PROTO_SOURCES_HEADER
PROTO_DEFAULTS_HEADER
)
set(_multi_value_args
PROTO_SOURCES
PROTO_DEFAULTS
)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}" "${_multi_value_args}" ${ARGN})
# Configure the 'config_proto_files' header. It provides an array of strings populated with the
# files in PROTO_SOURCES. At runtime, we use this array to generate a special 'config' proto
# message with fields for each message defined in said files. A global instance of this 'config'
# proto is then constructed, and populated with [compile-time] defaults, and [runtime] overrides
# (i.e., in spark.conf). Calls to `bts::config::get<T>()` retrieve the value from the field
# associated with type `T` in this global instance.
message(STATUS "PROTO_SOURCES: ${_ARGS_PROTO_SOURCES}")
message(STATUS "PROTO_SOURCES_HEADER: ${_ARGS_PROTO_SOURCES_HEADER}")
message(STATUS "PROTO_DEFAULTS_HEADER: ${_ARGS_PROTO_DEFAULTS_HEADER}")
if (_ARGS_PROTO_SOURCES_HEADER)
set(PROTO_SOURCES)
set(PROTO_SOURCES_CXX_ARRAY_ITEMS "")
foreach(_proto_path ${_ARGS_PROTO_SOURCES})
list(APPEND PROTO_SOURCES ${_proto_path})
string(APPEND PROTO_SOURCES_CXX_ARRAY_ITEMS "\"${_proto_path}\",\n")
endforeach()
list(LENGTH PROTO_SOURCES PROTO_SOURCES_LENGTH)
message(STATUS "CONFIGURING PROTO_SOURCES_HEADER): ${_ARGS_PROTO_SOURCES_HEADER}")
configure_file(${CMAKE_SOURCE_DIR}/cmake/config_proto_files.h.in ${_ARGS_PROTO_SOURCES_HEADER})
endif()
# Generate static defaults. Ideally, this would be a single string, but we use an array because
# the compiler complains if the string is longer than 65k.
set(_cfg_defaults_str "inline const char * config_static_defaults[] = { ")
foreach(_cfg_file_path ${_ARGS_PROTO_DEFAULTS})
file(READ ${_cfg_file_path} _cfg_file_content)
string(REPLACE "\"" "\\\"" _cfg_file_content_escaped ${_cfg_file_content})
string(REPLACE "\n" ";" _cfg_lines ${_cfg_file_content_escaped})
foreach(_line ${_cfg_lines})
string(APPEND _cfg_defaults_str "\n \"${_line}\",")
endforeach(_line)
endforeach(_cfg_file_path)
string(APPEND _cfg_defaults_str "};")
set(_old_cfg_defaults_str "")
if(EXISTS ${_ARGS_PROTO_DEFAULTS_HEADER})
file(READ ${_ARGS_PROTO_DEFAULTS_HEADER} _old_cfg_defaults_str)
endif()
if(NOT _cfg_defaults_str STREQUAL _old_cfg_defaults_str)
file(WRITE "${_ARGS_PROTO_DEFAULTS_HEADER}" "${_cfg_defaults_str}")
endif()
endfunction()
+3 -3
View File
@@ -10,7 +10,7 @@ function(protobuf_generate_fs)
set(_ARGS_TARGET_NAME "${PROJECT_NAME}_generate_fs_protos")
endif()
if (NOT DEFINED _ARGS_PROTOC)
set(_ARGS_PROTOC "${SPARK_BIN}/protoc")
set(_ARGS_PROTOC "${EXTERNALS_BIN}/protoc")
endif()
set(_proto_include_cli_args)
@@ -27,8 +27,8 @@ function(protobuf_generate_fs)
endforeach()
set(_venv_exec ${CMAKE_SOURCE_DIR}/tools/venv_exec.sh)
set(_plugin_py ${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/plugin.py)
set(_template_fs ${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/templates/fs/fable.fs)
set(_plugin_py ${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/plugin.py)
set(_template_fs ${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/templates/fs/fable.fs)
add_custom_command(
OUTPUT ${_outputs}
WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}
+10
View File
@@ -0,0 +1,10 @@
include_guard(GLOBAL)
macro(set_first_defined RESULT)
foreach(_arg ${ARGN})
if (DEFINED ${_arg})
set(${RESULT} ${${_arg}})
break()
endif()
endforeach()
endmacro()
+39
View File
@@ -0,0 +1,39 @@
include_guard(DIRECTORY)
include(${CMAKE_SOURCE_DIR}/cmake/SymLink.cmake)
function(sym_link_python_module)
set(_options)
set(_one_value_args LIB_NAME MODULE_NAME PLUGIN_NAME)
set(_multi_value_args)
cmake_parse_arguments(_ARGS "${_options}" "${_one_value_args}"
"${_multi_value_args}" ${ARGN})
if(NOT DEFINED _ARGS_LIB_NAME)
message(
FATAL_ERROR "LIB_NAME must be specified for sym_link_python_module()")
endif()
set(_lib_name ${_ARGS_LIB_NAME})
set(_module_name ${_ARGS_MODULE_NAME})
if(NOT DEFINED _ARGS_MODULE_NAME)
set(_module_name ${_lib_name}_module)
endif()
set(_plugin_name ${_ARGS_PLUGIN_NAME})
set(_deps ${_lib_name} ${_module_name})
if(DEFINED _ARGS_PLUGIN_NAME)
list(APPEND _deps ${_plugin_name} copy_${_plugin_name})
endif()
add_dependencies(${PROJECT_NAME} ${_deps})
sym_link_local_lib(${_lib_name})
set(_module_suffix cpython-310-x86_64-linux-gnu.so)
sym_link_file(
SOURCE
${CMAKE_BINARY_DIR}/src/lib_${_lib_name}/${_module_name}.${_module_suffix}
DEST
${CMAKE_CURRENT_BINARY_DIR}/${_module_name}.${_module_suffix}
INSTALL_DEST
${CMAKE_INSTALL_BINDIR}/)
if(DEFINED _ARGS_PLUGIN_NAME)
get_target_property(plugins ${_plugin_name} INTERFACE_PYTHON_SCRIPTS_DIR)
sym_link_dir(TARGET_NAME ${PROJECT_NAME}_link_${_plugin_name} SOURCE
${plugins} DEST ${CMAKE_CURRENT_BINARY_DIR}/${_plugin_name})
endif()
endfunction()
+11
View File
@@ -0,0 +1,11 @@
#pragma once
#include <array>
namespace bts::@PROJECT_NAME@::protobufs {
inline std::array<const char *, @PROTO_SOURCES_LENGTH@> config_proto_files = {
@PROTO_SOURCES_CXX_ARRAY_ITEMS@
};
} // namespace bts::@PROJECT_NAME@::protobufs
-24
View File
@@ -1,24 +0,0 @@
cmake_minimum_required(VERSION 3.5)
# Explicitly set policy to convert relative paths to absolute (although this is a default policy,
# setting it explicitly prevents a compile-warning)
cmake_policy(SET CMP0076 NEW)
# add protos to the library to facilitate source_group
target_sources(libspark PUBLIC ${Config_Protos} ${NonConfig_Protos} ${Service_Protos})
function(assign_source_group)
foreach(_source IN ITEMS ${ARGN})
if(IS_ABSOLUTE "${_source}")
file(RELATIVE_PATH _source_rel "${CMAKE_CURRENT_SOURCE_DIR}" "${_source}")
else()
set(_source_rel "${_source}")
endif()
get_filename_component(_source_path "${_source_rel}" PATH)
string(REPLACE "/" "\\" _source_path_msvc "${_source_path}")
source_group("${_source_path_msvc}" FILES "${_source}")
set(SOURCE_FILES "${_source}")
endforeach()
endfunction(assign_source_group)
assign_source_group(${SparkLib_Sources} ${Config_Protos} ${NonConfig_Protos} ${Service_Protos})
+44 -1
View File
@@ -3,11 +3,12 @@ services:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
build:
dockerfile: src/server/sparkd/Dockerfile
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: >
sh -c "
@@ -34,6 +35,48 @@ services:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-symbols:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/sparkdata/conf
build:
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/sparkdata
if [ -e "/home/bts/sparkdata/data/logging.sparkd/log" ]; then
mv "/home/bts/sparkdata/data/logging.sparkd/log" "/home/bts/sparkdata/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
fi
ls -alh /home/bts/sparkdata/conf/
cat /home/bts/sparkdata/conf/.env.local
if [ -e "/home/bts/sparkdata/conf/.env.local" ]; then
echo 'Sourcing /home/bts/sparkdata/conf/.env.local'
set -a
. /home/bts/sparkdata/conf/.env.local
set +a
fi
./sparkd run"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
ports:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
deploy:
restart_policy:
condition: any
delay: 3s
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-tail:
image: bluetradingsystems/linux_dotnet7
volumes:
@@ -124,8 +124,8 @@ service OrderService {
```
### C++ Example
```cpp
#include "lib/api/public/ServiceContext.h"
#include "lib/api/services/OrderService.client.pb.h"
#include "spark/api/public/ServiceContext.h"
#include "spark/api/services/OrderService.client.pb.h"
using namespace bts::api;
ServiceContext ctx;
auto orders = ctx.locate<orderman::OrderService>();
@@ -29,9 +29,9 @@ namespace sample {
```
```cpp
#include "lib/api/public/ServiceContext.h"
#include "spark/lib/domain_model/Security.h"
#include "lib/api/services/MarketDataService.client.pb.h"
#include "spark/api/public/ServiceContext.h"
#include "spark/domain_model/Security.h"
#include "spark/api/services/MarketDataService.client.pb.h"
#include <thread>
using namespace bts::api;
Submodule
+1
Submodule docker/linux added at 6537812262.
+1
Submodule docker/windows added at de7d40c09d.
+6
View File
@@ -16,11 +16,16 @@ jmespath==1.0.1
lazy-object-proxy==1.6.0
MarkupSafe==3.0.2
mccabe==0.6.1
numpy==2.2.6
platformdirs==2.3.0
protobuf==4.21.12
pybars3==0.9.7
pybind11==2.13.6
pybind11-stubgen==2.5.3
pybit==5.11.0
pycodestyle==2.7.0
pycparser==2.20
pycryptodome==3.23.0
pylint==2.10.2
PyMeta3==0.5.1
python-dateutil==2.9.0.post0
@@ -31,6 +36,7 @@ six==1.17.0
termcolor==1.1.0
toml==0.10.2
urllib3==2.0.3
websocket-client==1.8.0
Werkzeug==3.1.3
wrapt==1.12.1
yapf==0.31.0
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -1,14 +1,14 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="Google.Protobuf" Version="3.24.3" />
<PackageReference Include="YaccLexTools" Version="1.2.0" />
<PackageReference Include="YaccLexTools" Version="1.2.3" />
</ItemGroup>
<ItemGroup>
@@ -24,8 +24,6 @@ namespace QUT.GplexBuffers
public BufferException(string message) : base(message) { }
public BufferException(string message, Exception innerException)
: base(message, innerException) { }
protected BufferException(SerializationInfo info, StreamingContext context)
: base(info, context) { }
}
internal abstract class ScanBuff
@@ -60,12 +58,10 @@ namespace QUT.GplexBuffers
return new BuildBuffer(source);
}
#if (!BYTEMODE)
public static ScanBuff GetBuffer(Stream source, int fallbackCodePage)
{
return new BuildBuffer(source, fallbackCodePage);
}
#endif // !BYTEMODE
#endif // !NOFILES
}
@@ -353,17 +349,15 @@ namespace QUT.GplexBuffers
{
FileStream fStrm = (stream as FileStream);
if (fStrm != null) FileName = fStrm.Name;
NextBlk = BlockReaderFactory.Raw(stream);
NextBlk = BlockReaderFactory.Get(stream);
}
#if (!BYTEMODE)
public BuildBuffer(Stream stream, int fallbackCodePage)
{
FileStream fStrm = (stream as FileStream);
if (fStrm != null) FileName = fStrm.Name;
NextBlk = BlockReaderFactory.Get(stream, fallbackCodePage);
}
#endif
/// <summary>
/// Marks a conservative lower bound for the buffer,
@@ -434,43 +428,19 @@ namespace QUT.GplexBuffers
//
internal static class BlockReaderFactory
{
public static BlockReader Raw(Stream stream)
{
return delegate(char[] block, int index, int number)
{
byte[] b = new byte[number];
int count = stream.Read(b, 0, number);
int i = 0;
int j = index;
for (; i < count; i++, j++)
block[j] = (char)b[i];
return count;
};
}
#if (!BYTEMODE)
public static BlockReader Get(Stream stream, int fallbackCodePage)
public static BlockReader Get(Stream stream, int fallbackCodePage = -2)
{
Encoding encoding;
int preamble = Preamble(stream);
if (preamble != 0) // There is a valid BOM here!
encoding = Encoding.GetEncoding(preamble);
else if (fallbackCodePage == -1) // Fallback is "raw" bytes
return Raw(stream);
else if (fallbackCodePage != -2) // Anything but "guess"
else if (fallbackCodePage >= 0) // Anything but "guess"
encoding = Encoding.GetEncoding(fallbackCodePage);
else // This is the "guess" option
{
int guess = new Guesser(stream).GuessCodePage();
stream.Seek(0, SeekOrigin.Begin);
if (guess == -1) // ==> this is a 7-bit file
encoding = Encoding.ASCII;
else if (guess == 65001)
encoding = Encoding.UTF8;
else // ==> use the machine default
encoding = Encoding.Default;
}
encoding = GuessEncoding(stream);
StreamReader reader = new StreamReader(stream, encoding);
return reader.Read;
}
@@ -488,6 +458,14 @@ namespace QUT.GplexBuffers
int b2 = stream.ReadByte();
if (b0 == 0xef && b1 == 0xbb && b2 == 0xbf)
return 65001; // UTF8
int b3 = stream.ReadByte();
// Check for UTF-32 BOM (Byte Order Mark)
if (b0 == 0x00 && b1 == 0x00 && b2 == 0xFE && b3 == 0xFF)
return 12001; // UTF-32BE
if (b0 == 0xFF && b1 == 0xFE && b2 == 0x00 && b3 == 0x00)
return 12000; // UTF-32LE
//
// There is no unicode preamble, so we
// return denoter for the machine default.
@@ -495,7 +473,150 @@ namespace QUT.GplexBuffers
stream.Seek(0, SeekOrigin.Begin);
return 0;
}
#endif // !BYTEMODE
private static Encoding GuessEncoding(Stream stream)
{
stream.Seek(0, SeekOrigin.Begin);
if (IsUtf16(stream, out Encoding encoding))
{
stream.Seek(0, SeekOrigin.Begin);
return encoding;
}
stream.Seek(0, SeekOrigin.Begin);
if (IsUtf8(stream))
{
stream.Seek(0, SeekOrigin.Begin);
return Encoding.UTF8;
}
stream.Seek(0, SeekOrigin.Begin);
if (IsAscii(stream))
{
stream.Seek(0, SeekOrigin.Begin);
return Encoding.ASCII;
}
#if !NET462_OR_GREATER
stream.Seek(0, SeekOrigin.Begin);
if (IsLatin1(stream))
{
stream.Seek(0, SeekOrigin.Begin);
return Encoding.Latin1;
}
#endif
stream.Seek(0, SeekOrigin.Begin);
return Encoding.Default;
}
private static bool IsUtf8(Stream stream)
{
int b;
while ((b = stream.ReadByte()) != -1)
{
if ((b & 0x80) == 0) // 0xxxxxxx
{
continue;
}
else if ((b & 0xE0) == 0xC0) // 110xxxxx 10xxxxxx
{
if (!IsValidUtf8ContinuationByte(stream)) return false;
}
else if ((b & 0xF0) == 0xE0) // 1110xxxx 10xxxxxx 10xxxxxx
{
if (!IsValidUtf8ContinuationByte(stream) || !IsValidUtf8ContinuationByte(stream)) return false;
}
else if ((b & 0xF8) == 0xF0) // 11110xxx 10xxxxxx 10xxxxxx 10xxxxxx
{
if (!IsValidUtf8ContinuationByte(stream) || !IsValidUtf8ContinuationByte(stream) || !IsValidUtf8ContinuationByte(stream)) return false;
}
else
{
return false;
}
}
return true;
}
private static bool IsValidUtf8ContinuationByte(Stream stream)
{
int b = stream.ReadByte();
return b != -1 && (b & 0xC0) == 0x80; // 10xxxxxx
}
private static bool IsUtf16(Stream stream, out Encoding encoding)
{
encoding = Encoding.Default;
if (stream.Length >= 2)
{
// Read the first two bytes
int b0 = stream.ReadByte();
int b1 = stream.ReadByte();
// Check for UTF-16 BOM (Byte Order Mark)
if (b0 == 0xFF && b1 == 0xFE)
{
encoding = Encoding.Unicode;
return true; // UTF-16LE
}
if (b0 == 0xFE && b1 == 0xFF)
{
encoding = Encoding.BigEndianUnicode;
return true; // UTF-16BE
}
// Reset the stream position
stream.Seek(0, SeekOrigin.Begin);
// Check for common UTF-16 patterns
byte[] buffer = new byte[2];
while (stream.Read(buffer, 0, 2) == 2)
{
if (buffer[0] == 0x00 && buffer[1] != 0x00)
{
encoding = Encoding.BigEndianUnicode;
return true; // Likely UTF-16BE
}
if (buffer[0] != 0x00 && buffer[1] == 0x00)
{
encoding = Encoding.Unicode;
return true; // Likely UTF-16LE
}
}
}
return false;
}
private static bool IsAscii(Stream stream)
{
int b;
while ((b = stream.ReadByte()) != -1)
{
// Latin1 includes byte values from 0x00 to 0xFF
if (b > 0x7F)
{
return false;
}
}
return true;
}
private static bool IsLatin1(Stream stream)
{
int b;
while ((b = stream.ReadByte()) != -1)
{
// Latin1 includes byte values from 0x00 to 0xFF
if (b > 0xFF)
{
return false;
}
}
return true;
}
}
#endif // !NOFILES
#endregion Buffer classes
@@ -540,180 +661,6 @@ namespace QUT.GplexBuffers
return 0;
}
}
#region guesser
#if (!BYTEMODE)
// ==============================================================
// ============ Encoding Guesser =============
// ==============================================================
/// <summary>
/// This class provides a simple finite state automaton that
/// scans the file looking for (1) valid UTF-8 byte patterns,
/// (2) bytes >= 0x80 which are not part of a UTF-8 sequence.
/// The method then guesses whether it is UTF-8 or maybe some
/// local machine default encoding. This works well for the
/// various Latin encodings.
/// </summary>
internal class Guesser
{
ScanBuff buffer;
public int GuessCodePage() { return Scan(); }
const int maxAccept = 10;
const int initial = 0;
const int eofNum = 0;
const int goStart = -1;
const int INITIAL = 0;
const int EndToken = 0;
#region user code
/*
* Reads the bytes of a file to determine if it is
* UTF-8 or a single-byte code page file.
*/
public long utfX;
public long uppr;
#endregion user code
int state;
int currentStart = startState[0];
int code;
#region ScannerTables
static int[] startState = new int[] { 11, 0 };
#region CharacterMap
static sbyte[] map = new sbyte[256] {
/* '\0' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* '\x10' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* '\x20' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* '0' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* '@' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* 'P' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* '`' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* 'p' */ 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
/* '\x80' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2,
/* '\x90' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2,
/* '\xA0' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2,
/* '\xB0' */ 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2, 2,
/* '\xC0' */ 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
/* '\xD0' */ 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1,
/* '\xE0' */ 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3, 3,
/* '\xF0' */ 4, 4, 4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 5, 5 };
#endregion
static sbyte[][] nextState = new sbyte[][] {
new sbyte[] {0, 0, 0, 0, 0, 0},
new sbyte[] {-1, -1, 10, -1, -1, -1},
new sbyte[] {-1, -1, -1, -1, -1, -1},
new sbyte[] {-1, -1, 8, -1, -1, -1},
new sbyte[] {-1, -1, 5, -1, -1, -1},
new sbyte[] {-1, -1, 6, -1, -1, -1},
new sbyte[] {-1, -1, 7, -1, -1, -1},
null,
new sbyte[] {-1, -1, 9, -1, -1, -1},
null,
null,
new sbyte[] {-1, 1, 2, 3, 4, 2}
};
[SuppressMessage("Microsoft.Performance", "CA1810:InitializeReferenceTypeStaticFieldsInline")]
// Reason for suppression: cannot have self-reference in array initializer.
static Guesser()
{
nextState[7] = nextState[2];
nextState[9] = nextState[2];
nextState[10] = nextState[2];
}
int NextState()
{
if (code == ScanBuff.EndOfFile)
return eofNum;
else
return nextState[state][map[code]];
}
#endregion
public Guesser(System.IO.Stream file) { SetSource(file); }
public void SetSource(System.IO.Stream source)
{
this.buffer = new BuildBuffer(source);
code = buffer.Read();
}
int Scan()
{
for (; ; )
{
int next;
state = currentStart;
while ((next = NextState()) == goStart)
code = buffer.Read();
state = next;
code = buffer.Read();
while ((next = NextState()) > eofNum)
{
state = next;
code = buffer.Read();
}
if (state <= maxAccept)
{
#region ActionSwitch
#pragma warning disable 162
switch (state)
{
case eofNum:
switch (currentStart)
{
case 11:
if (utfX == 0 && uppr == 0) return -1; /* raw ascii */
else if (uppr * 10 > utfX) return 0; /* default code page */
else return 65001; /* UTF-8 encoding */
break;
}
return EndToken;
case 1: // Recognized '{Upper128}', Shortest string "\xC0"
case 2: // Recognized '{Upper128}', Shortest string "\x80"
case 3: // Recognized '{Upper128}', Shortest string "\xE0"
case 4: // Recognized '{Upper128}', Shortest string "\xF0"
uppr++;
break;
case 5: // Recognized '{Utf8pfx4}{Utf8cont}', Shortest string "\xF0\x80"
uppr += 2;
break;
case 6: // Recognized '{Utf8pfx4}{Utf8cont}{2}', Shortest string "\xF0\x80\x80"
uppr += 3;
break;
case 7: // Recognized '{Utf8pfx4}{Utf8cont}{3}', Shortest string "\xF0\x80\x80\x80"
utfX += 3;
break;
case 8: // Recognized '{Utf8pfx3}{Utf8cont}', Shortest string "\xE0\x80"
uppr += 2;
break;
case 9: // Recognized '{Utf8pfx3}{Utf8cont}{2}', Shortest string "\xE0\x80\x80"
utfX += 2;
break;
case 10: // Recognized '{Utf8pfx2}{Utf8cont}', Shortest string "\xC0\x80"
utfX++;
break;
default:
break;
}
#pragma warning restore 162
#endregion
}
}
}
} // end class Guesser
#endif // !BYTEMODE
#endregion
#endif // !NOFILES
// End of code copied from embedded resource
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -0,0 +1,49 @@
using System;
namespace BCG {
[DataStreamUserRespresentation("count")]
public class CountStream : ViewStream {
private DataPacket myLastFiredDataPacket;
private IBlueTableSchema mySchema = new BlueTableSchema("count",
new ColumnInfo("id", 0, typeof(int)),
new ColumnInfo("count", 1, typeof(int)));
private int myId = 0;
private ViewStream myVS;
public CountStream(ViewStream vs) {
myVS = vs;
}
public CountStream(string tableName)
: this(new TableStream(tableName)) { }
protected override void myOnFirstSubscriber() {
myVS.onChange += new ChangeDelegate(myHandleChanges);
}
protected override void myOnLastSubscriber() {
myVS.onChange -= new ChangeDelegate(myHandleChanges);
}
private void myHandleChanges(object newValue) {
myFireEvent(
myLastFiredDataPacket =
myLastFiredDataPacket == null ?
new DataPacket(myGetRows(newValue, ++myId), myGetRows(newValue, myId),
new BlueTable(mySchema))
:
new DataPacket(myGetRows(newValue, ++myId), myGetRows(newValue, myId),
myLastFiredDataPacket.newRows)
);
}
private IBlueRowCollection myGetRows(object dp, int id) {
BlueTable retVal = new BlueTable(mySchema);
retVal.addRow
(new BlueRow(mySchema, id, (dp as DataPacket).newRows.Count));
return retVal;
}
}
}
@@ -0,0 +1,38 @@
namespace bts.BlueOrb {
using bts;
using BCG;
using System;
[DataStreamUserRespresentation("DateTimeExpanderStream")]
public class DateTimeExpanstionStream : ViewStream {
public DateTimeExpanstionStream(ViewStream parent_stream, string inp_col) {
Func<IBlueTableSchema, IBlueTableSchema> get_schema = (s) => {
IBlueTableSchema rv = s.add_column(System.TypeCode.DateTime, $"{inp_col}_date");
rv = rv.add_column(System.TypeCode.String, $"{inp_col}_day_of_week");
rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_day_of_month");
rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_month");
rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_hour");
rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_minute");
rv = rv.add_column(System.TypeCode.Int32, $"{inp_col}_seconds_of_day");
return rv;
};
ViewStream rs = new MapStream(parent_stream,
s => get_schema(s),
r => {
DateTime dt = r.get_datetime(inp_col);
IBlueTableSchema s = get_schema(r.schema);
MutableBlueRow rv = new MutableBlueRow(s, r);
rv.setValue($"{inp_col}_date", dt.Date);
rv.setValue($"{inp_col}_day_of_week", dt.DayOfWeek.ToString());
rv.setValue($"{inp_col}_day_of_month", dt.Day);
rv.setValue($"{inp_col}_month", dt.Date.Month);
rv.setValue($"{inp_col}_hour", dt.Hour);
rv.setValue($"{inp_col}_minute", dt.Minute);
rv.setValue($"{inp_col}_seconds_of_day", (dt - dt.Date).TotalSeconds);
return rv;
});
mySetRealSource(rs);
}
}
}
@@ -0,0 +1,158 @@
namespace bts.BlueOrb {
using BCG;
using System;
using System.Text.RegularExpressions;
public class RegExpFilter : IStreamFilter {
private Regex[] myRegExps;
private string[] myCols;
public RegExpFilter(string col, string regExp)
: this(new string[] { col }, new string[] { regExp }) { }
public RegExpFilter(string[] cols, string[] regExps) {
myCols = cols;
myRegExps = new Regex[regExps.Length];
for (int i = 0; i < regExps.Length; i++)
myRegExps[i] = new Regex(regExps[i]);
}
#region IStreamFilter Members
public bool filter(IBlueRow dr) {
bool rv = true;
for (int i = 0; i < myCols.Length; i++) {
rv &= myRegExps[i].IsMatch(dr[myCols[i]] is DBNull ? "" : dr[myCols[i]].ToString());
if (!rv)
return rv;
}
return rv;
}
#endregion
}
//[DataStreamUserReprsentation("FilterStream")]
public class FilterStream : ViewStream {
private BlueTable myLastFiredRows;
private IBlueRowCollection myLastReceivedRows;
private IStreamFilter myFilter;
private ViewStream myParentStream;
private string myFilterString;
private bool myUseNewFilter = false;// Configuration.get<DataStreamConfig>().UseNewFilter;
#region constructors
public delegate bool OnFilter(IBlueRow r);
private class OnFilterWrapper : IStreamFilter {
public OnFilterWrapper(OnFilter f) { this.f = f; }
public bool filter(IBlueRow dr) { return f(dr); }
private OnFilter f;
}
public FilterStream(ViewStream vs, OnFilter f)
: this(vs, new OnFilterWrapper(f)) { }
public FilterStream(ViewStream vs, IStreamFilter filter) {
{
myParentStream = vs;
myFilter = filter;
myFilterString = filter.ToString();
if (filter is IDynamicStreamFilter)
(filter as IDynamicStreamFilter).onFilterChange += new FilterChangeDelegate(myHandleFilterChange);
}
}
public FilterStream(ViewStream vs, string filterExpression)
: this(vs, new BooleanExpressionFilter(filterExpression)) {
myFilterString = filterExpression;
}
public FilterStream(ViewStream vs, string col, string regExp)
: this(vs, new RegExpFilter(col, regExp)) {
myFilterString = col + " , " + regExp;
}
public FilterStream(ViewStream vs)
: this(vs, new BinaryFilter(true)) {
myFilterString = true.ToString();
}
#endregion
#region overridden methods
protected override void myOnFirstSubscriber() { myParentStream.onChange += new ChangeDelegate(myHandleCallbacks); }
protected override void myOnLastSubscriber() {
myLastFiredRows = null;
myParentStream.onChange -= new ChangeDelegate(myHandleCallbacks);
}
protected override void myFireEvent(object o) {
DataPacket dp = o as DataPacket;
if (myLastValue == null || dp.addedRows.Count + dp.deletedRows.Count > 0)
base.myFireEvent(o);
}
#endregion
private void myHandleCallbacks(object newValue) {
DataPacket retVal;
DataPacket arrivedPacket = newValue as DataPacket;
myLastReceivedRows = arrivedPacket.newRows;
if (myLastFiredRows != null) {
retVal = new DataPacket(myLastFiredRows, new BlueTable(myLastFiredRows.schema),
new BlueTable(myLastFiredRows.schema));
foreach (IBlueRow r in arrivedPacket.deletedRows)
if (myLastFiredRows.containsID((int)r["id"])) {
myLastFiredRows.deleteRow(r);
(retVal.deletedRows as BlueTable).addRow(r);
}
foreach (IBlueRow r in arrivedPacket.addedRows)
if (myFilter.filter(r)) {
myLastFiredRows.addRow(r);
(retVal.addedRows as BlueTable).addRow(r);
}
} else {
myLastFiredRows = new BlueTable(arrivedPacket.schema);
retVal = new DataPacket(myLastFiredRows, myLastFiredRows, new BlueTable(myLastFiredRows.schema));
foreach (IBlueRow r in arrivedPacket.newRows)
if (myFilter.filter(r))
myLastFiredRows.addRow(r);
}
myFireEvent(retVal);
}
public IStreamFilter filter {
set {
{
myFilter = value;
if (numberOfSubscribers > 0) {
if (myLastReceivedRows != null) {
BlueTable nRows = new BlueTable(myLastReceivedRows.schema);
foreach (IBlueRow r in myLastReceivedRows)
if (myFilter.filter(r))
nRows.addRow(r);
IBlueRowCollection dRows = new BlueTable(nRows.schema),
aRows = new BlueTable(nRows.schema);
BlueDataUtility.computeDifferences(nRows, myLastFiredRows, out dRows, out aRows);
myLastFiredRows = nRows;
myFireEvent(new DataPacket(nRows, aRows, dRows));
}
}
}
}
get {
return myFilter;
}
}
//public string filterString { set { filter = new BooleanExpressionFilter(value); } }
public override string ToString() {
return GetType().ToString() + " " + myFilterString;
}
private void myHandleFilterChange() {
filter = myFilter;
}
}
}
@@ -0,0 +1,121 @@
using System;
using System.Collections.Generic;
using System.Diagnostics;
using System.Linq;
using System.Text.Json;
using bts;
//using bts.SilverPine;
using BCG;
namespace bts.BlueOrb {
[DataStreamUserRespresentation("GroupByStream")]
public class GroupByStream : ViewStream {
public interface INonIncGroupByEvaluator {
// grouped_rows
IBlueRowCollection evaluate(IDictionary<int, List<IBlueRow>> grouped_rows);
string[] get_group_by_cols();
}
private class DelNonIncGroupByEvaluator : INonIncGroupByEvaluator {
Func<string[]> _groupby_cols_func;
Func<List<IBlueRow>, List<IBlueRow>> _evaluate_func;
public DelNonIncGroupByEvaluator(Func<string[]> groupby_cols_func,
Func<List<IBlueRow>, List<IBlueRow>> evaluate_func) {
_groupby_cols_func = groupby_cols_func;
_evaluate_func = evaluate_func;
}
public IBlueRowCollection evaluate(IDictionary<int, List<IBlueRow>> grouped_rows) {
BlueTable rv = null;
foreach (var kv in grouped_rows) {
List<IBlueRow> g_rows = kv.Value;
List<IBlueRow> out_rows = _evaluate_func.Invoke(g_rows);
if (out_rows != null && out_rows.Count > 0) {
rv = rv ?? new BlueTable(out_rows.ElementAt(0).schema);
}
rv.addRows(out_rows);
}
return rv;
}
public string[] get_group_by_cols() {
return _groupby_cols_func();
}
}
private ViewStream _main_stream;
private INonIncGroupByEvaluator _groupby_func;
private BlueRowHasher _row_hasher;
private string[] _groupby_cols;
private Stopwatch _timer = new();
private int _n_total_fires = 0, _n_expensive_fires = 0;
public GroupByStream(ViewStream main_stream, INonIncGroupByEvaluator groupby_func) {
_main_stream = main_stream;
_groupby_func = groupby_func;
_groupby_cols = _groupby_func.get_group_by_cols();
_row_hasher = new BlueRowHasher(_groupby_cols == null ? 0 : _groupby_cols.Length);
}
public GroupByStream(ViewStream main_stream, Func<string[]> groupby_cols_func,
Func<List<IBlueRow>, List<IBlueRow>> evaluate_func)
: this(main_stream, new DelNonIncGroupByEvaluator(groupby_cols_func, evaluate_func)) { }
public GroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text)
: this(parent_str, groupby_col, standard_group_by_text, String.Empty) { }
// this is the main constructor that does everything
public GroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_ops, string optional_sort_col) {
MultiRowOpHelper std_group_by = MultiRowOpHelper.parse_ops(standard_group_by_ops);
Func<string[]> groupby_cols_func = () => {
return String.IsNullOrEmpty(groupby_col) ? null : new string[] { groupby_col };
};
Func<List<IBlueRow>, List<IBlueRow>> evaluate_func = (group_rows) => {
if (!String.IsNullOrEmpty(optional_sort_col))
group_rows.Sort((r1, r2) => BlueDataUtility.compare_rows(r2, r1, optional_sort_col));
// this si where the group by aggregation happens
IBlueRow rv = MultiRowOpHelper.group_by_compute(group_rows, std_group_by);
return new IBlueRow[] { rv }.ToList();
};
ViewStream rs = new GroupByStream(parent_str, groupby_cols_func, evaluate_func);
mySetRealSource(rs);
}
public GroupByStream(ViewStream parent_str, string standard_group_by_text) :
this(parent_str, String.Empty, standard_group_by_text) {
}
protected override void myOnFirstSubscriber() { _main_stream.onChange += _main_stream_onchange; }
protected override void myOnLastSubscriber() { _main_stream.onChange -= _main_stream_onchange; }
private void _main_stream_onchange(object nv) {
DataPacket dp = nv as DataPacket;
///grouping together
_timer.Restart();
IDictionary<int, List<IBlueRow>> grouped_rows = (_groupby_cols == null || _groupby_cols.Length == 0) ?
new Dictionary<int, List<IBlueRow>>() { { 0, dp.newRows.to_list() } } :
BlueDataUtility.group_together(dp.newRows, _groupby_cols, ref _row_hasher);
_timer.Stop();
var groupElapsedMs = _timer.ElapsedMilliseconds;
if (groupElapsedMs >= 50) {
Log.DataFlow.info($"Time to group {dp.newRows.Count} rows into {grouped_rows.Count} groups: {_timer.ElapsedMilliseconds}ms");
}
// Log.log(bts.Log.Level.Info, bts.log.Subsystem.gen, String.Format("Time to group {0} rows into {1} groups = {2}", dp.newRows.Count, grouped_rows.Count, _timer.lastIntervalTime));
/// reducing
_timer.Restart();
IBlueRowCollection total_state = _groupby_func.evaluate(grouped_rows);
_timer.Stop();
var applyElapsedMs = _timer.ElapsedMilliseconds;
_n_total_fires++;
if (applyElapsedMs >= 50) {
_n_expensive_fires++;
Log.DataFlow.info(
$"Time to evaluate {grouped_rows.Count} groups {_timer.ElapsedMilliseconds}ms, ratio {_n_expensive_fires}/{_n_total_fires}");
}
// TODO,
if (total_state != null)
myFireEvent(new DataPacket(total_state, total_state, myLastValue == null ? new BlueTable(total_state.schema) : (myLastValue as DataPacket).newRows));
}
}
}
@@ -0,0 +1,17 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using BCG;
namespace bts.BlueOrb {
public interface INonIncJoinInlineMapper
{
IBlueTableSchema get_output_schema(IBlueTableSchema schema);
IBlueRowCollection map_rows(IBlueRowCollection rows);
event MapperChangeDelegate onMapperChange;
}
}
@@ -0,0 +1,152 @@
using bts;
using bts.collections;
using mbts;
using System;
using System.Collections.Generic;
using System.Diagnostics;
using System.Linq;
using System.Security.Cryptography;
using BCG;
namespace bts.BlueOrb {
internal class NonIncJoinBookkeeper : IDisposable {
public Action on_new_data;
private readonly NonIncJoinSpec _join_spec;
private readonly int _join_position;
private readonly int _start_index_in_output;
private readonly BlueRowHasher _row_hasher;
private readonly bool _is_left_most;
private readonly bool _is_tag_along;
private int _n_total_fires = 0, _n_expensive_fires = 0;
private IBlueTableSchema _schema = null;
private IDictionary<int, IBlueRow> _row_map = new Dictionary<int, IBlueRow>();
private List<Pair<int, IBlueRow>> _row_list = new List<Pair<int, IBlueRow>>();
private IBlueRow _solitary_row = null;
private int[] _join_col_indices = null,
_data_col_indices = null;
public NonIncJoinBookkeeper(NonIncJoinSpec the_join_spec, int join_position, int start_index_in_output, BlueRowHasher row_hasher) {
_join_spec = the_join_spec;
_join_position = join_position;
_start_index_in_output = start_index_in_output;
_row_hasher = row_hasher;
_is_left_most = _join_position == 0;
_is_tag_along = _join_spec.join_col_names.Length == 0;
}
private bool _filled_missing_data = false;
private void _fill_missing_data(DataPacket dp) {
if (_filled_missing_data)
return;
Func<string[], bool> null_or_empty = (str_arr) => {
if (str_arr == null || str_arr.Length == 0)
return true;
foreach (string s in str_arr) {
if (!String.IsNullOrEmpty(s)) {
return false;
}
}
return true;
};
Func<string[], string[]> remove_bad_cols = (col_names) => {
HashSet<string> schema_col_map = new HashSet<string>(dp.schema.columnNames);
List<string> cols_list = new List<string>(col_names);
cols_list.RemoveWhere(c => !schema_col_map.Contains(c));
return cols_list.ToArray();
};
if (null_or_empty(_join_spec.data_col_names)) {
_join_spec.data_col_names = dp.schema.columnNames;
}
_join_spec.data_col_names = remove_bad_cols(_join_spec.data_col_names);
if (null_or_empty(_join_spec.data_col_names)) {
_join_spec.data_col_names = dp.schema.columnNames;
}
if (null_or_empty(_join_spec.projected_col_names)) {
_join_spec.projected_col_names = _join_spec.data_col_names;
}
}
public void init() {
_join_spec.stream.onChange += _on_stream_cb;
}
public void _on_stream_cb(object dp_obj) {
//Log.Gen.info($"NonIncJoinBookkeeper._on_stream_cb dp_obj: {dp_obj}");
var timer = Stopwatch.StartNew();
DataPacket dp = (DataPacket)dp_obj;
_fill_missing_data(dp);
if (_schema == null) {
_schema = dp.schema;
_join_col_indices = BlueDataUtility.get_column_indices(_schema, _join_spec.join_col_names);
_data_col_indices = BlueDataUtility.get_column_indices(_schema, _join_spec.data_col_names);
}
if (_is_left_most) {
_row_list.Clear();
foreach (IBlueRow r in dp.newRows)
_row_list.Add(new Pair<int, IBlueRow>(_row_hasher.get_hash(r, _join_col_indices), r));
} else {
if (_is_tag_along)
_solitary_row = BlueDataUtility.extractRow(dp.newRows, 0);
else {
_row_map.Clear();
foreach (IBlueRow r in dp.newRows)
_row_map[_row_hasher.get_hash(r, _join_col_indices)] = r;
}
}
timer.Stop();
_n_total_fires++;
if (timer.ElapsedMilliseconds >= 50) {
_n_expensive_fires++;
Log.Gen.info($"NonIncJoinBookkeepingData._on_stream_cb {dp.newRows.Count} rows {_join_col_indices.Length} "
+ $"key cols {_join_position} join pos time {timer.Elapsed} ratio {_n_expensive_fires}/{_n_total_fires}");
}
if (on_new_data != null)
on_new_data();
}
public bool is_ready { get { return _schema != null; } }
public void constribute_cols_to_schema(List<ColumnInfo> cis) {
for (int i = 0; i < _join_spec.data_col_names.Length; i++)
cis.Add(new ColumnInfo(_join_spec.projected_col_names[i], cis.Count, _schema[_join_spec.data_col_names[i]].colType));
}
public List<Pair<int, IBlueRow>> get_list() { return _row_list; }
public void copy_master_row_to_output_row(int row_index, object[] output_row) {
IBlueRow this_row = _row_list[row_index].second;
BlueDataUtility.copy_to_row(this_row, _data_col_indices, output_row, _start_index_in_output);
}
public void copy_matching_row_to_output_row(int row_hash, object[] output_row) {
if (_is_tag_along) {
if (_solitary_row != null)
BlueDataUtility.copy_to_row(_solitary_row, _data_col_indices, output_row, _start_index_in_output);
else
copy_dbnull_to_output_row(output_row);
} else {
IBlueRow this_row = null;
if (_row_map.TryGetValue(row_hash, out this_row))
BlueDataUtility.copy_to_row(this_row, _data_col_indices, output_row, _start_index_in_output);
else
copy_dbnull_to_output_row(output_row);
}
}
private void copy_dbnull_to_output_row(object[] output_row) {
for (int i = 0; i < _data_col_indices.Length; i++)
output_row[i + _start_index_in_output] = DBNull.Value;
}
#region IDisposable
public void Dispose() { _join_spec.stream.onChange -= _on_stream_cb; }
#endregion
}
}
@@ -0,0 +1,67 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using BCG;
using mbts;
namespace bts.BlueOrb {
// this a collection of spec, theres no joining logic in here
public class NonIncJoinSpec {
public ViewStream stream;
// join col names are the names on which the streams are joined (for equality),
// data col names are the names in the original stream
// projected col names are their new names, ie if its x:l_x, then x is in the
// data_col_names and l_x in projected cols
public string[] join_col_names, data_col_names, projected_col_names;
public NonIncJoinSpec() { }
public NonIncJoinSpec(ViewStream the_stream, string[] the_join_col_names, string[] the_data_col_names)
: this(the_stream, the_join_col_names, the_data_col_names, the_data_col_names) { }
public NonIncJoinSpec(ViewStream the_stream, string[] the_join_col_names, string[] the_data_col_names, string[] the_projected_col_names) {
stream = the_stream;
join_col_names = the_join_col_names;
data_col_names = the_data_col_names;
projected_col_names = the_projected_col_names;
}
public static NonIncJoinSpec[] from_triplet(params Triplet<ViewStream, string, string>[] join_specs) {
List<NonIncJoinSpec> rv = new List<NonIncJoinSpec>();
foreach (Triplet<ViewStream, string, string> r in join_specs) {
string[] keys = String.IsNullOrEmpty(r.second) ? new string[] { } : r.second.Split(' ');
string[] visible_cols = r.third.Split(' ');
List<string> data_col_names = new List<string>(), mapped_col_names = new List<string>();
foreach (string s in visible_cols) {
string[] toks = s.Split(':');
if (toks.Length == 1) {
data_col_names.Add(toks[0]);
mapped_col_names.Add(toks[0]);
} else if (toks.Length == 2) {
data_col_names.Add(toks[0]);
mapped_col_names.Add(toks[1]);
}
}
rv.Add(new NonIncJoinSpec(r.first, keys, data_col_names.ToArray(), mapped_col_names.ToArray()));
}
return rv.ToArray();
}
public override string ToString() {
Func<string[], string> arr_txt = (a) => {
string rv = "";
foreach (string s in a) {
rv += "{s} ";
}
rv = rv.Trim();
return rv;
};
string rv = $"stream: {stream} join_col_names: {arr_txt(join_col_names)} data_col_names: {arr_txt(data_col_names)} projected_col_names: {arr_txt(projected_col_names)}";
return rv;
}
}
}
@@ -0,0 +1,165 @@
using bts;
using mbts;
using System;
using System.Collections.Generic;
using System.Diagnostics;
using BCG;
namespace bts.BlueOrb {
[DataStreamUserRespresentation("JoinStream")]
public class NonIncJoinStream : ViewStream, BCG.Utilities.General.IWorker {
private readonly NonIncJoinSpec[] _join_specs;
private readonly INonIncJoinInlineMapper _output_mapper;
private readonly BlueRowHasher _row_hasher;
private readonly TimeSpan _throttle_period;
private readonly ViewStreamDatabase _vsd;
private List<NonIncJoinBookkeeper> _book_keeping_data = new List<NonIncJoinBookkeeper>();
private IBlueTableSchema _output_schema = null;
private DateTime _last_fire_time = DateTime.MinValue;
private bool _is_dirty = false;
public NonIncJoinStream(ViewStream left, string left_join_cols, string left_proj,
ViewStream right, string right_join_cols, string right_proj)
: this(new Triplet<ViewStream, string, string>[]
{
new Triplet<ViewStream, string, string> (left, left_join_cols, left_proj),
new Triplet<ViewStream, string, string> (right, right_join_cols, right_proj)
}) { }
public NonIncJoinStream(params Triplet<ViewStream, string, string>[] join_specs)
: this(NonIncJoinSpec.from_triplet(join_specs), null, 0) { }
public NonIncJoinStream(ViewStreamDatabase vsd, INonIncJoinInlineMapper output_mapper, int throttles_ms,
params Triplet<ViewStream, string, string>[] join_specs)
: this(vsd, NonIncJoinSpec.from_triplet(join_specs), output_mapper, throttles_ms) {
}
public NonIncJoinStream(NonIncJoinSpec[] join_specs, INonIncJoinInlineMapper output_mapper, int throttles_ms = 0)
: this(ViewStreamDatabase.instance, join_specs, output_mapper, throttles_ms) { }
public NonIncJoinStream(ViewStreamDatabase vsd, NonIncJoinSpec[] join_specs, INonIncJoinInlineMapper output_mapper, int throttles_ms = 0) {
_join_specs = join_specs;
_output_mapper = output_mapper;
_row_hasher = new BlueRowHasher(_join_specs[0].join_col_names.Length);
_throttle_period = throttles_ms == 0 ? TimeSpan.Zero : new TimeSpan(0, 0, 0, 0, throttles_ms);
_vsd = vsd;
}
protected override void myOnFirstSubscriber() {
int data_col_no = 1;
for (int jp = 0; jp < _join_specs.Length; jp++) {
NonIncJoinBookkeeper s = new NonIncJoinBookkeeper(_join_specs[jp], jp, data_col_no, _row_hasher);
//Log.Gen.info($"NonIncJoinStream.myOnFirstSubscriber jp: {jp} spec: {_join_specs[jp]}");
data_col_no += _join_specs[jp].data_col_names.Length;
s.on_new_data += _stream_callback;
_book_keeping_data.Add(s);
}
if (_output_mapper != null)
_output_mapper.onMapperChange += _on_mapper_change;
_vsd.addWorker(this);
foreach (var bkd in _book_keeping_data)
bkd.init();
}
protected override void myOnLastSubscriber() {
foreach (NonIncJoinBookkeeper d in _book_keeping_data)
d.Dispose();
if (_output_mapper != null)
_output_mapper.onMapperChange -= _on_mapper_change;
_vsd.removeWorker(this);
}
private void _stream_callback() {
//Log.Gen.info("NonIncJoinStream._stream_callback received callback");
_is_dirty = true;
doWork();
}
private void _on_mapper_change() {
_is_dirty = true;
doWork();
}
private bool _is_ready() {
bool rv = true;
foreach (NonIncJoinBookkeeper d in _book_keeping_data)
rv &= d.is_ready;
return rv;
}
private void _construct_schema() {
if (_output_schema == null) {
List<ColumnInfo> cis = new List<ColumnInfo>(new ColumnInfo[] { new ColumnInfo("id", 0, typeof(int)) });
foreach (NonIncJoinBookkeeper d in _book_keeping_data)
d.constribute_cols_to_schema(cis);
_output_schema = new BlueTableSchema("NonIncJoinStream", cis.ToArray());
}
}
private int _n_total_fires = 0, _n_expensive_fires = 0;
private void _form_and_fire() {
//Log.Gen.info($"NonIncJoinStream._form_and_fire _is_ready(): {_is_ready()}");
if (_is_ready()) {
_construct_schema();
var timer = Stopwatch.StartNew();
IList<Pair<int, IBlueRow>> left_row_list = _book_keeping_data[0].get_list();
List<object[]> output_rows = new List<object[]>();
for (int i = 0; i < left_row_list.Count; i++) {
object[] or = new object[_output_schema.columnInfo.Length];
or[0] = i;
output_rows.Add(or);
}
for (int ji = 0; ji < _book_keeping_data.Count; ji++) {
NonIncJoinBookkeeper bk_data = _book_keeping_data[ji];
for (int i = 0; i < left_row_list.Count; i++) {
if (ji == 0)
bk_data.copy_master_row_to_output_row(i, output_rows[i]);
else
bk_data.copy_matching_row_to_output_row(left_row_list[i].first, output_rows[i]);
}
}
IBlueRowCollection dp_output_rows = _apply_map(new SequentialIDBlueTable(_output_schema, output_rows));
timer.Stop();
_n_total_fires++;
//if (timer.ElapsedMilliseconds >= 250) {
_n_expensive_fires++;
//string log_msg = $"Join and map time for {_book_keeping_data.Count} "
// + $"tables {timer.Elapsed.TotalMilliseconds} msecs, ratio {_n_expensive_fires}/{_n_total_fires}";
//Log.Gen.info(log_msg);
//}
var dp_out = BlueDataUtility.build_dp_inc(dp_output_rows, myLastValue as DataPacket, true);
myFireEvent(dp_out);
//myFireEvent(new DataPacket(dp_output_rows, dp_output_rows, myLastValue == null ? new BlueTable(_output_schema) : (myLastValue as DataPacket).newRows));
}
}
private IBlueRowCollection _apply_map(IBlueRowCollection unmapped_rows) {
if (_output_mapper != null) {
IBlueRowCollection output_rows;
var timer = Stopwatch.StartNew();
output_rows = _output_mapper.map_rows(unmapped_rows);
timer.Stop();
if (timer.ElapsedMilliseconds >= 50) {
Log.Gen.info($"Time to map {unmapped_rows.Count} rows into {output_rows.Count} rows {timer.Elapsed}");
}
return output_rows;
} else {
return unmapped_rows;
}
}
public void doWork() {
//Log.Gen.info($"NonIncJoinStream.doWork _last_fire_time: {_last_fire_time} _is_dirty: {_is_dirty}");
if (DateTime.Now - _last_fire_time >= _throttle_period && _is_dirty) {
_is_dirty = false;
_last_fire_time = DateTime.Now;
_form_and_fire();
}
}
}
}
@@ -0,0 +1,28 @@
//namespace bts.Blueorb {
// using BCG;
// public class JsonSaverStream : ViewStream {
// private ViewStream _stream;
// private string _file_name;
// public JsonSaverStream(ViewStream vs, string file_name) {
// _stream = vs;
// _file_name = file_name;
// }
// protected override void myOnFirstSubscriber() {
// _stream.onChange += _on_data;
// }
// private void _on_data(object dp_obj) {
// if (dp_obj == null) {
// return;
// }
// DataPacket dp = dp_obj as DataPacket;
// dp.newRows.write_to_json_file(dp.newRows, _file_name);
// }
// protected override void myOnLastSubscriber() {
// _stream.onChange -= _on_data;
// }
// }
//}
@@ -0,0 +1,91 @@
using System;
using System.Collections;
using System.Collections.Generic;
using Amazon.Runtime.Internal.Util;
using BCG;
using BCG.Utilities;
using bts;
namespace bts.BlueOrb{
public class LiteralStream : ViewStream {
public static List<Tuple<ColumnInfo, object>> parse_columns(string key_value_pairs) {
List<Tuple<ColumnInfo, object>> rv = new List<Tuple<ColumnInfo, object>>();
string[] pairs = key_value_pairs.Split(' ');
foreach (string p in pairs) {
string[] kvp = p.Split(':');
string col_name = kvp[0];
string val = kvp[1];
var tup = BlueDataUtility.guess_type(val);
var ci = new ColumnInfo(col_name, rv.Count, tup.Item1);
rv.Add(Tuple.Create(ci, tup.Item2));
}
return rv;
}
//literal("table1", "x:123, y:1.001, z:abc;x:123, y:1.001, z:abc")
// col_name: col_value ... ; col_name: col_value
public LiteralStream(string table_name, string rows) {
Func<string, int, IBlueRow> get_row = (json_row, id) => {
Dictionary<string, object> map = new Dictionary<string, object>();
string[] toks = json_row.Split(',', StringSplitOptions.TrimEntries);
//Logger.assert(col_vals.Length == 2);
foreach (string t in toks) {
var col_vals = t.Split(':', StringSplitOptions.TrimEntries);
string col = col_vals[0];
string val = col_vals[1];
map.Add(col, val);
}
map["id"] = id;
return new BlueRow(map);
};
string[] row_arr = rows.Split(';', StringSplitOptions.TrimEntries);
BlueTable table = null;
foreach (string json_string in row_arr) {
IBlueRow r = //BlueDataUtility.convert_json_to_row(json_string, table == null ? 0 : table.Count);
get_row(json_string, table == null ? 0 : table.Count);
table = table ?? new BlueTable(r.schema);
table.addRow(r);
}
ViewStream str = new BlueTableStream(table);
str = new SchemaGuesserStream(str);
mySetRealSource(str);
}
public LiteralStream(string tableName, string schema, string value) {
string[] columns = schema.Split(' ');
ColumnInfo[] ci = new ColumnInfo[columns.Length + 1];
ci[0] = new ColumnInfo("id", 0, typeof(int));
int n = 1;
foreach (string c in columns) {
string[] columnAndType = c.Split('/');
if (columnAndType.Length == 1)
ci[n] = new ColumnInfo(c, n, typeof(double));
else
ci[n] = new ColumnInfo(columnAndType[0], n, Type.GetType("System." + columnAndType[1], true));
n++;
}
BlueTable t = new BlueTable(new BlueTableSchema(tableName, ci));
string[] rows = value.Split(';');
n = 0;
foreach (string r in rows)
try {
if (r == string.Empty)
continue;
t.addRow(
BlueDataUtility.createRowFromCSVFileRow(r, t.schema, ++n));
} catch (Exception e) {
throw (new Exception("Error occured at line: " + n.ToString() + " " + e.Message));
}
mySetRealSource(new BlueRowCollectionStaticStream(t));
}
}
}
@@ -0,0 +1,89 @@
using System;
using BCG.Utilities.General;
using BCG;
using bts;
namespace bts.BlueOrb {
[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);
}
}
}
public 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; }
}
public 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 +1,127 @@
namespace bts.BlueOrb {
using BCG;
using System;
using System.Collections.Generic;
using System.Linq;
//using MathNet.Numerics.Statistics;
public enum MultiRowOp {
Mean,
Median,
Mode,
Range,
StdDev,
Max,
Min,
First,
Last,
Sum,
EdgeDiff,
EdgeDiffPercentage,
//IsEdgeDiff,
}
public class MultiRowOpHelper {
public readonly List<Tuple<string, MultiRowOp>> operations;
public static MultiRowOpHelper parse_ops(string text) {
// text is inp_col: op, inp_col: op, inp_col:op
List<Tuple<string, MultiRowOp>> rv = new List<Tuple<string, MultiRowOp>>();
string[] calcs = text.Split(',');
foreach (string c in calcs) {
string[] toks = c.Split(':');
string inp_col = toks[0].Trim();
string op_txt = toks[1].Trim();
MultiRowOp op = Enum.Parse<MultiRowOp>(op_txt, true);
rv.Add(Tuple.Create(inp_col, op));
}
return new MultiRowOpHelper(rv);
}
public MultiRowOpHelper(List<Tuple<string, MultiRowOp>> operations_) {
operations = operations_;
}
// aggregates multiple rows into one - ie does group_by compute
public static IBlueRow group_by_compute(List<IBlueRow> rows, MultiRowOpHelper parameters) {
if (rows.Count() == 0) {
return null;
}
IBlueRow ir = rows.ElementAt(0);
IBlueTableSchema in_schema = ir.schema;
IBlueTableSchema out_schema = in_schema;
IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
new Dictionary<string, Tuple<string, MultiRowOp>>();
foreach (var t in parameters.operations) {
string out_col_name = $"{t.Item1}_{t.Item2}".ToLower();
out_schema = out_schema.add_column(TypeCode.Double, out_col_name);
out_col_map[out_col_name] = t;
}
MutableBlueRow or = new MutableBlueRow(out_schema, ir);
foreach (var kv in out_col_map) {
string out_col_name = kv.Key;
string in_col_name = kv.Value.Item1;
MultiRowOp op = kv.Value.Item2;
IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rows, in_col_name);
double comp_res = compute_op(col_vals, op);
or.setValue(out_col_name, comp_res);
}
return or;
}
// rolling_rows are the rolling window of rows. the 0th row is the one thats gettin
// calculated. rows 1 - n-1 are its window rows. the schema is based on the operations.
public IBlueRow rolling_calc(List<IBlueRow> rolling_rows) {
if (rolling_rows.Count() == 0) {
return null;
}
IBlueRow ir = rolling_rows.ElementAt(0);
IBlueTableSchema in_schema = ir.schema;
IBlueTableSchema out_schema = in_schema;
IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
new Dictionary<string, Tuple<string, MultiRowOp>>();
foreach (var t in operations) {
string out_col_name = $"{t.Item1}_{t.Item2}".ToLower();
out_schema = out_schema.add_column(TypeCode.Double, out_col_name);
out_col_map[out_col_name] = t;
}
MutableBlueRow or = new MutableBlueRow(out_schema, ir);
foreach (var kv in out_col_map) {
string out_col_name = kv.Key;
string in_col_name = kv.Value.Item1;
MultiRowOp op = kv.Value.Item2;
IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rolling_rows, in_col_name);
double comp_res = compute_op(col_vals, op);
or.setValue(out_col_name, comp_res);
}
return or;
}
public static double compute_op(IEnumerable<double> col_vals, MultiRowOp op) {
switch (op) {
case MultiRowOp.Max:
return col_vals.Max<double>();
case MultiRowOp.Min:
return col_vals.Min<double>();
case MultiRowOp.Mean:
return col_vals.Sum() / col_vals.Count();
case MultiRowOp.Sum:
return col_vals.Sum();
case MultiRowOp.First:
return col_vals.First();
case MultiRowOp.Last:
return col_vals.Last();
case MultiRowOp.StdDev:
return MathNet.Numerics.Statistics.Statistics.StandardDeviation(col_vals);
default:
// TODO
Log.assert(false);
return Double.NaN;
}
}
}
}
@@ -0,0 +1,207 @@
namespace bts.BlueOrb {
using BCG;
using ProtoBuf;
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
#region mappings
internal class ProjectData {
// schema from the base stream
public readonly IBlueTableSchema in_schema;
// this is the projected schema
public readonly IBlueTableSchema out_schema;
// projected cols to the input cols, for cols who's names are changed
public readonly IDictionary<string, string> mapped_to_orig_col_map = new Dictionary<string, string>();
public ProjectData(IBlueTableSchema in_schema_, IBlueTableSchema out_schema_,
IDictionary<string, string> mapped_to_orig_col_map_) {
in_schema = in_schema_;
out_schema = out_schema_;
mapped_to_orig_col_map = mapped_to_orig_col_map_;
}
}
#endregion
#region Row with mapipings build in
internal class NewProjectRow : IBlueRow {
#region IBlueRow members
private ProjectData _project_data;
private IBlueRow _row;
public NewProjectRow(ProjectData project_data, IBlueRow row) {
_project_data = project_data;
_row = row;
}
public IBlueTableSchema schema { get { return _project_data.out_schema; } }
#endregion
#region ICollection members
public int Count { get { return schema.columnNames.Length; } }
public bool IsSynchronized { get { return false; } }
public object SyncRoot { get { return this; } }
public void CopyTo(Array array, int index) {
int i = index;
foreach (object o in this as IEnumerable)
array.SetValue(o, i++);
}
#endregion
#region IDictionary members
public bool IsFixedSize { get { return true; } }
public bool IsReadOnly { get { return true; } }
public object this[object key] {
get {
if (key is string)
return this[(string)key];
return this[(int)key];
}
set { throw new NotSupportedException("The IBlueRow is readonly"); }
}
public object this[int index] {
get {
return this[schema.columnInfo[index].colName];
}
}
public object this[string col_name] {
get {
string mapped_to_col = null;
if (_project_data.mapped_to_orig_col_map.TryGetValue(col_name, out mapped_to_col)) {
return _row[mapped_to_col];
}
return _row[col_name];
}
}
public ICollection Keys { get { return schema.columnNames; } }
public ICollection Values {
get {
object[] retVal = new object[schema.columnNames.Length];
CopyTo(retVal, 0);
return retVal;
}
}
public void Add(object key, object value) { throw new NotSupportedException("The IBlueRow is readonly"); }
public void Clear() { throw new NotSupportedException("The IBlueRow is readonly"); }
public bool Contains(object key) { return schema[(string)key] != null; }
/// <summary>
/// Note, the default enumerator is the IDictionary's enumerator, so if user needs to
/// iterate through the values, typecast this into an IEnumerable
/// </summary>
/// <returns></returns>
public IDictionaryEnumerator GetEnumerator() { return new BlueRowDictionaryEnumerator(this); }
IEnumerator IEnumerable.GetEnumerator() { return new BlueRowEnumerator(this); }
public void Remove(object key) { throw new NotSupportedException("The IBlueRow is readonly"); }
#endregion
}
#endregion
[DataStreamUserRespresentation("ProjectStream")]
public class NewProjectStream : ViewStream, IStreamMapper {
private ViewStream _stream;
private string _project_expression;
private ProjectData _project_data = null;
//public ProjectData
public NewProjectStream(ViewStream vs, string project_expression) {
_stream = vs;
_project_expression = project_expression;
_stream = new MapStream(vs, this);
mySetRealSource(_stream);
}
public IBlueTableSchema getOutputSchema(IBlueTableSchema input_schema) {
_project_data = _create_project_data(input_schema, _project_expression);
return _project_data.out_schema;
}
public IBlueRow map(IBlueRow row) {
return new NewProjectRow(_project_data, row);
}
private static ProjectData _create_project_data(IBlueTableSchema input_schema,
string project_expression) {
project_expression = project_expression.Trim();
string[] project_toks = project_expression.Split(' ');
HashSet<string> removed_cols = new HashSet<string>();
Dictionary<string, string> mapped_to_orig_map = new Dictionary<string, string>();
Dictionary<string, string> orig_to_mapped = new Dictionary<string, string>();
// by default every col will show up, so if we have the projection as (a:a1)
// it will convert a to a1,
// examples: if a schema has cols a b c
// project(parent_str, "a:aa ") -> aa b c
// project(parent_str, "a:aa !c") -> aa b
// project(parent_str, "a:aa !") -> aa
// project(parent_str, "a:aa b")) -> aa b
bool hide_all = false;
foreach (string p_tok in project_toks) {
if (p_tok.StartsWith("!")) {
if (p_tok.Length == 1) {
// if it is a "blanket "!"=> hide all cols except the one that
// are stated explicitly
hide_all = true;
} else {
string removed_col = p_tok.Substring(1);
removed_cols.Add(removed_col);
}
} else if (p_tok.Contains(":")) {
string[] map_toks = p_tok.Split(":");
string orig_col = map_toks[0];
string mapped_col = map_toks[1];
mapped_to_orig_map.Add(mapped_col, orig_col);
orig_to_mapped.Add(orig_col, mapped_col);
} else {
if (input_schema.columnNames.Contains(p_tok)) {
string orig_col = p_tok;
string mapped_col = orig_col;
orig_to_mapped.Add(orig_col, mapped_col);
}
}
}
// make the new schema
List<ColumnInfo> new_cols = new List<ColumnInfo>();
foreach (ColumnInfo ci in input_schema.columnInfo) {
if (ci.colName == "id") {
ColumnInfo nc = new ColumnInfo(ci.colName, new_cols.Count, ci.colType);
new_cols.Add(nc);
continue;
}
if (removed_cols.Contains(ci.colName)) {
continue;
} else if (orig_to_mapped.ContainsKey(ci.colName)) {
string mapped_name = orig_to_mapped[ci.colName];
ColumnInfo nc = new ColumnInfo(mapped_name, new_cols.Count, ci.colType);
new_cols.Add(nc);
} else {
if (hide_all)
continue;
//if (ci.colName == "id" || removed_cols.Count > 0) {
// unless columns are explicitely hidden, all columns show up
ColumnInfo nc = new ColumnInfo(ci.colName, new_cols.Count, ci.colType);
new_cols.Add(nc);
//}
}
}
IBlueTableSchema new_schema = new BlueTableSchema(input_schema.tableName, new_cols.ToArray());
return new ProjectData(input_schema, new_schema, mapped_to_orig_map);
}
}
}
@@ -0,0 +1,30 @@
using BCG;
namespace bts.BlueOrb {
public class SchemaGuesserStream : ViewStream {
private IBlueRowCollection _rows = null;
private ViewStream _vs;
public SchemaGuesserStream(ViewStream vs) {
_vs = vs;
}
protected override void myOnFirstSubscriber() {
_vs.onChange += _on_data;
}
protected override void myOnLastSubscriber() {
_vs.onChange -= _on_data;
}
private void _on_data(object obj) {
DataPacket dp = obj as DataPacket;
if (_rows == null) {
_rows = BlueDataUtility.get_typed_table(dp.newRows);
}
var dp_out = BlueDataUtility.build_dp_inc(_rows, myLastValue as DataPacket);
myFireEvent(dp_out);
}
}
}
@@ -0,0 +1,67 @@
using Bts.ArithmeticExpressions;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using BCG;
namespace bts.BlueOrb {
[DataStreamUserRespresentation("SingleRowMathStream")]
public class MathStream : ViewStream, IStreamMapper {
private IArithmeticProgram myExp;
private BooleanExpressionFilter _bool;
List<string> myExtraColumns = new List<string>();
BlueTableSchema mySchema;
public MathStream(ViewStream vs, string mathExpression)
: this(vs, mathExpression, string.Empty) {
}
public MathStream(ViewStream vs, string mathExpression, string boolean_expression) {
myExp = ArithmeticProgramParser.Parse(mathExpression) ??
throw new Exception($"Failed to parse ArithmeticExpression '{mathExpression}'");
myExtraColumns = myExp.OutputIdentifiers.ToList();
if (!string.IsNullOrEmpty(boolean_expression))
_bool = new BooleanExpressionFilter(boolean_expression);
mySetRealSource(new MapStream(vs, this));
}
#region IStreamMapper Members
public IBlueTableSchema getOutputSchema(IBlueTableSchema inputSchema) {
if (mySchema == null) {
Dictionary<string, ColumnInfo> colIdx = new Dictionary<string, ColumnInfo>();
foreach (ColumnInfo ci in inputSchema.columnInfo)
colIdx[ci.colName] = ci;
foreach (string ncn in myExtraColumns) {
ColumnInfo newC;
if (colIdx.ContainsKey(ncn))
newC = new ColumnInfo(colIdx[ncn].colName, colIdx[ncn].colNo, typeof(double));
else
newC = new ColumnInfo(ncn, colIdx.Count, typeof(double));
colIdx[ncn] = newC;
}
mySchema = new BlueTableSchema(colIdx.Values.ToArray(), "math(" + inputSchema.tableName + ")");
}
return mySchema;
}
#endregion
#region IDynamicStreamMapper Members
public IBlueRow map(IBlueRow row) {
MutableBlueRow result = new MutableBlueRow(mySchema, row);
if (_bool == null || _bool.filter(row)) {
myExp.Evaluate(result.AsDictionary());
}
return result;
}
#endregion
}
}
@@ -0,0 +1,11 @@
namespace bts.BlueOrb {
using BCG;
[DataStreamUserRespresentation("TopStream")]
public class TopStream : ViewStream {
public TopStream(ViewStream vs, int n_rows, string sort_col) {
ViewStream rs = new BCG.TopStream (vs, n_rows, sort_col);
mySetRealSource(rs);
}
}
}
@@ -0,0 +1,261 @@
using System;
using System.Collections.Generic;
using mbts;
using BCG;
namespace bts.BlueOrb {
internal class MutableAppendTable : IBlueRowCollection {
private class MyRow : IBlueRow {
private IBlueRow myRow;
private int myID;
public MyRow(IBlueRow r, int id) {
myRow = r;
myID = id;
}
#region IBlueRow Members
public IBlueTableSchema schema { get { return myRow.schema; } }
public object this[int index] {
get {
if (myRow.schema[index].colName == "id")
return myID;
else
return myRow[index];
}
}
public object this[string colName] { get { return colName == "id" ? (object)myID : myRow[colName]; } }
#endregion
#region IDictionary Members
public void Add(object key, object value) { throw new Exception("Row is read only."); }
public void Clear() { throw new Exception("Row is read only."); }
public bool Contains(object key) { return myRow.Contains(key); }
public System.Collections.IDictionaryEnumerator GetEnumerator() { return new BlueRowDictionaryEnumerator(this); }
public bool IsFixedSize { get { return true; } }
public bool IsReadOnly { get { return true; } }
public System.Collections.ICollection Keys { get { return myRow.Keys; } }
public void Remove(object key) { throw new Exception("The method or operation is not implemented."); }
public System.Collections.ICollection Values {
get {
object[] vals = new object[myRow.Count];
CopyTo(vals, 0);
return vals;
}
}
public object this[object key] {
get { return key is string ? this[key as string] : this[(int)key]; }
set { throw new Exception("The method or operation is not implemented."); }
}
#endregion
#region ICollection Members
public void CopyTo(Array array, int index) {
myRow.CopyTo(array, index);
array.SetValue(myID, index + myRow.schema["id"].colNo);
}
public int Count { get { return myRow.Count; } }
public bool IsSynchronized { get { return myRow.IsSynchronized; } }
public object SyncRoot { get { return myRow.SyncRoot; } }
#endregion
#region IEnumerable Members
System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator() { return new BlueRowEnumerator(this); }
#endregion
}
private BlueTable myRows;
private int myID = 0;
/// <summary>
/// maps the table no to a dictionary containing the
/// local IDs to a row in the final big table
/// </summary>
private Dictionary<int, Dictionary<int, IBlueRow>> myIDMap = new Dictionary<int, Dictionary<int, IBlueRow>>();
public MutableAppendTable(IBlueTableSchema schema) { myRows = new BlueTable(schema); }
public IBlueRow addRow(IBlueRow r, int tableNo) {
if (!myIDMap.ContainsKey(tableNo))
myIDMap.Add(tableNo, new Dictionary<int, IBlueRow>());
IBlueRow nr = new MyRow(r, myID++); // BlueDataUtility.getNewReplacedRow(r, myID++, "id");
myRows.addRow(nr);
myIDMap[tableNo].Add((int)r["id"], nr);
return nr;
}
public IBlueRow removeRow(IBlueRow r, int tableNo) {
IBlueRow dr = myIDMap[tableNo][(int)r["id"]];
myRows.deleteRow(dr);
myIDMap[tableNo].Remove((int)r["id"]);
return dr;
}
public IBlueRowCollection removeTable(int tableNo) {
if (!myIDMap.ContainsKey(tableNo))
return null;
else {
BlueTable rv = new BlueTable(myRows.schema);
foreach (IBlueRow r in myIDMap[tableNo].Values)
rv.addRow(r);
myRows.deleteRows(rv);
myIDMap.Remove(tableNo);
return rv;
}
}
public void clear() {
myRows.clear();
myIDMap.Clear();
}
#region IBlueRowCollection Members
public IBlueRow this[int id] { get { return myRows[id]; } }
public IBlueTableSchema schema { get { return myRows.schema; } }
public bool containsID(int id) { return myRows.containsID(id); }
#endregion
#region ICollection Members
public void CopyTo(Array array, int index) { myRows.CopyTo(array, index); }
public int Count { get { return myRows.Count; } }
public bool IsSynchronized { get { return myRows.IsSynchronized; } }
public object SyncRoot { get { return myRows.SyncRoot; } }
#endregion
#region IEnumerable Members
public System.Collections.IEnumerator GetEnumerator() { return myRows.GetEnumerator(); }
#endregion
}
/// <summary>
/// MutableStream can append multiple streams
/// as well as give the user the flexibility
/// to append (or remove) more streams at
/// runtime
/// </summary>
}
namespace bts.BlueOrb {
[DataStreamUserRespresentation("UnionStream")]
public class MutableAppendStream : ViewStream {
private bool mySubscriptionActive = false;
private MutableAppendTable myTable;
private int myMovingIndex;
private Dictionary<int, Pair<ViewStream, ViewStream>> myStreamIndex = new Dictionary<int, Pair<ViewStream, ViewStream>>();
private bool _allign_col_orders = true;
public MutableAppendStream(params ViewStream[] streams)
: this(new List<ViewStream>(streams)) { }
public MutableAppendStream(bool allign_col_order, params ViewStream[] streams)
: this(allign_col_order, new List<ViewStream>(streams)) { }
public MutableAppendStream(ICollection<ViewStream> streams)
: this(true, streams) { }
public MutableAppendStream(bool allign_col_orders, ICollection<ViewStream> streams) {
_allign_col_orders = allign_col_orders;
foreach (ViewStream vs in streams) {
myMovingIndex++;
ViewStream pj = new ChangeTableNameStream(vs, myMovingIndex.ToString());
if (_allign_col_orders)
pj = new ProjectStream(pj, "!");
myStreamIndex.Add(myMovingIndex, new Pair<ViewStream, ViewStream>(vs, pj));
}
}
public void addStream(ViewStream vs) {
myMovingIndex++;
///the change name is done to identify the callbacks, and the project to
///make all the schemas col orders the same
ViewStream pj = new ChangeTableNameStream(vs, myMovingIndex.ToString());
if (_allign_col_orders)
pj = new ProjectStream(pj, "!");
myStreamIndex.Add(myMovingIndex, new Pair<ViewStream, ViewStream>(vs, pj));
if (mySubscriptionActive)
pj.onChange += new ChangeDelegate(myHandleStreamChanges);
}
public void removeStream(ViewStream vs) {
int index = -1;
foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex) {
if (p.Value.first == vs) {
index = p.Key;
if (mySubscriptionActive) {
p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
if (myTable != null) {
IBlueRowCollection delRows = myTable.removeTable(p.Key);
if (delRows != null)
myFireEvent(new DataPacket(myTable, new BlueTable(myTable.schema), delRows));
}
}
break;
}
if (index > 0)
myStreamIndex.Remove(index);
}
}
protected override void myOnFirstSubscriber() {
mySubscriptionActive = true;
foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
p.Value.second.onChange += new ChangeDelegate(myHandleStreamChanges);
}
protected override void myOnLastSubscriber() {
mySubscriptionActive = false;
foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
if (myTable != null)
myTable.clear();
}
private void myHandleStreamChanges(object newValue) {
DataPacket dp = newValue as DataPacket;
myTable = myTable ?? new MutableAppendTable(new BlueTableSchema("MutableAppend", dp.schema.columnInfo));
BlueTable adds = new BlueTable(myTable.schema),
dels = new BlueTable(myTable.schema);
int index = Int32.Parse(dp.schema.tableName);
foreach (IBlueRow r in dp.deletedRows) {
IBlueRow dr = myTable.removeRow(r, index);
dels.addRow(dr);
}
foreach (IBlueRow r in dp.addedRows) {
IBlueRow nr = myTable.addRow(r, index);
adds.addRow(nr);
}
myFireEvent(new DataPacket(myTable, adds, dels));
}
}
}
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -18,11 +18,13 @@
<ItemGroup>
<PackageReference Include="HtmlAgilityPack" Version="1.11.57" />
<PackageReference Include="IronPython" Version="3.4.2" />
<PackageReference Include="Microsoft.Data.Analysis" Version="0.21.1" />
<PackageReference Include="MongoDB.Bson" Version="2.23.1" />
<PackageReference Include="MongoDB.Driver" Version="2.23.1" />
<PackageReference Include="Parquet.Net" Version="5.0.1" />
<PackageReference Include="System.Data.SQLite" Version="1.0.118" />
<PackageReference Include="MathNet.Numerics" Version="5.0.0" />
</ItemGroup>
</Project>
@@ -1,52 +1,47 @@
using System;
namespace BCG
{
[DataStreamUserRespresentation ("count")]
public class CountStream : ViewStream
{
namespace bts.BlueOrb {
using BCG;
[DataStreamUserRespresentation("CountStream")]
public class CountStream : ViewStream {
private DataPacket myLastFiredDataPacket;
private IBlueTableSchema mySchema = new BlueTableSchema ("count",
new ColumnInfo ("id", 0, typeof(int)),
new ColumnInfo ("count", 1, typeof(int)));
private IBlueTableSchema mySchema = new BlueTableSchema("count",
new ColumnInfo("id", 0, typeof(int)),
new ColumnInfo("count", 1, typeof(int)));
private int myId = 0;
private ViewStream myVS;
public CountStream (ViewStream vs)
{
public CountStream(ViewStream vs) {
myVS = vs;
}
public CountStream (string tableName)
: this (new TableStream (tableName))
{}
public CountStream(string tableName)
: this(new TableStream(tableName)) { }
protected override void myOnFirstSubscriber () {
protected override void myOnFirstSubscriber() {
myVS.onChange += new ChangeDelegate(myHandleChanges);
}
protected override void myOnLastSubscriber () {
protected override void myOnLastSubscriber() {
myVS.onChange -= new ChangeDelegate(myHandleChanges);
}
private void myHandleChanges(object newValue)
{
myFireEvent (
private void myHandleChanges(object newValue) {
myFireEvent(
myLastFiredDataPacket =
myLastFiredDataPacket == null ?
new DataPacket (myGetRows (newValue, ++myId), myGetRows (newValue, myId),
new BlueTable (mySchema))
new DataPacket(myGetRows(newValue, ++myId), myGetRows(newValue, myId),
new BlueTable(mySchema))
:
new DataPacket (myGetRows (newValue, ++myId), myGetRows (newValue, myId),
new DataPacket(myGetRows(newValue, ++myId), myGetRows(newValue, myId),
myLastFiredDataPacket.newRows)
);
}
private IBlueRowCollection myGetRows (object dp, int id)
{
BlueTable retVal = new BlueTable (mySchema);
private IBlueRowCollection myGetRows(object dp, int id) {
BlueTable retVal = new BlueTable(mySchema);
retVal.addRow
(new BlueRow (mySchema, id, (dp as DataPacket).newRows.Count));
(new BlueRow(mySchema, id, (dp as DataPacket).newRows.Count));
return retVal;
}
@@ -5,25 +5,20 @@ using mbts.config;
using System;
using System.Text.RegularExpressions;
namespace BCG.StreamWorld.Addition
{
[DataStreamUserRespresentation (false)]
public class FilterStream : ViewStream
{
namespace BCG.StreamWorld.Addition {
[DataStreamUserRespresentation(false)]
public class FilterStream : ViewStream {
private ViewStream myBaseStream;
private BlueTable myBaseTable, myStateTable;
private IStreamFilter myFilter;
public FilterStream(ViewStream vs)
: this(vs, "1=1")
{ }
: this(vs, "1=1") { }
public FilterStream(ViewStream vs, string filterExp)
: this(vs, new BooleanExpressionFilter(filterExp))
{ }
: this(vs, new BooleanExpressionFilter(filterExp)) { }
public FilterStream(ViewStream vs, IStreamFilter filter)
{
public FilterStream(ViewStream vs, IStreamFilter filter) {
myBaseStream = vs;
myFilter = filter;
if (filter is IDynamicStreamFilter)
@@ -31,43 +26,35 @@ namespace BCG.StreamWorld.Addition
}
protected override void myOnFirstSubscriber()
{
protected override void myOnFirstSubscriber() {
myBaseStream.onChange += new ChangeDelegate(myHandleChanges);
}
protected override void myOnLastSubscriber()
{
protected override void myOnLastSubscriber() {
myBaseStream.onChange -= new ChangeDelegate(myHandleChanges);
myBaseTable.clear();
myStateTable.clear();
}
private void myHandleChanges(object newValue)
{
private void myHandleChanges(object newValue) {
DataPacket dp = newValue as DataPacket;
if (myStateTable == null)
{
if (myStateTable == null) {
bts.Log.assert(myBaseTable == null);
myStateTable = new BlueTable(dp.schema);
myBaseTable = new BlueTable(dp.schema);
}
BlueTable dels = new BlueTable(dp.schema),
adds = new BlueTable(dp.schema);
foreach (IBlueRow r in dp.deletedRows)
{
foreach (IBlueRow r in dp.deletedRows) {
myBaseTable.deleteRow(r);
if (myStateTable.containsID((int)r["id"]))
{
if (myStateTable.containsID((int)r["id"])) {
dels.addRow(r);
myStateTable.deleteRow(r);
}
}
foreach (IBlueRow r in dp.addedRows)
{
foreach (IBlueRow r in dp.addedRows) {
myBaseTable.addRow(r);
if (myFilter.filter(r))
{
if (myFilter.filter(r)) {
adds.addRow(r);
myStateTable.addRow(r);
}
@@ -76,13 +63,10 @@ namespace BCG.StreamWorld.Addition
myFireEvent(new DataPacket(myStateTable, adds, dels));
}
public IStreamFilter filter
{
set
{
public IStreamFilter filter {
set {
myFilter = value;
if (myBaseTable != null)
{
if (myBaseTable != null) {
IBlueRowCollection oldState = new BlueTable(myStateTable);
myStateTable.clear();
foreach (IBlueRow r in myBaseTable)
@@ -4,42 +4,46 @@ namespace bts.SilverPine {
using System;
using System.Collections.Generic;
using System.Linq;
//using MathNet.Numerics.Statistics;
using ZstdSharp.Unsafe;
public enum GroupByBundleOp {
public enum MultiRowOp {
Mean,
Median,
Mode,
Range,
StdDev,
Max,
Min,
First,
Last,
Sum
Sum,
EdgeDiff,
EdgeDiffPercentage,
//IsEdgeDiff,
}
public class GroupByBundle {
public readonly List<Tuple<string, GroupByBundleOp>> operations;
public class MultiRowOpHelper {
public readonly List<Tuple<string, MultiRowOp>> operations;
public static GroupByBundle parse(string text) {
public static MultiRowOpHelper parse(string text) {
// text is inp_col: op, inp_col: op, inp_col:op
List<Tuple<string, GroupByBundleOp>> rv = new List<Tuple<string, GroupByBundleOp>>();
List<Tuple<string, MultiRowOp>> rv = new List<Tuple<string, MultiRowOp>>();
string[] calcs = text.Split(',');
foreach (string c in calcs) {
string[] toks = c.Split(':');
string inp_col = toks[0].Trim();
string op_txt = toks[1].Trim();
GroupByBundleOp op = Enum.Parse<GroupByBundleOp>(op_txt, true);
MultiRowOp op = Enum.Parse<MultiRowOp>(op_txt, true);
rv.Add(Tuple.Create(inp_col, op));
}
return new GroupByBundle(rv);
return new MultiRowOpHelper(rv);
}
public GroupByBundle(List<Tuple<string, GroupByBundleOp>> operations_) {
public MultiRowOpHelper(List<Tuple<string, MultiRowOp>> operations_) {
operations = operations_;
}
public static IBlueRow group_by(List<IBlueRow> rows, GroupByBundle parameters) {
public static IBlueRow group_by(List<IBlueRow> rows, MultiRowOpHelper parameters) {
if (rows.Count() == 0) {
return null;
}
@@ -47,8 +51,8 @@ namespace bts.SilverPine {
IBlueRow ir = rows.ElementAt(0);
IBlueTableSchema in_schema = ir.schema;
IBlueTableSchema out_schema = in_schema;
IDictionary<string, Tuple<string, GroupByBundleOp>> out_col_map =
new Dictionary<string, Tuple<string, GroupByBundleOp>>();
IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
new Dictionary<string, Tuple<string, MultiRowOp>>();
foreach (var t in parameters.operations) {
string out_col_name = $"{t.Item1}_{t.Item2}".ToLower();
out_schema = out_schema.add_column(TypeCode.Double, out_col_name);
@@ -58,7 +62,7 @@ namespace bts.SilverPine {
foreach (var kv in out_col_map) {
string out_col_name = kv.Key;
string in_col_name = kv.Value.Item1;
GroupByBundleOp op = kv.Value.Item2;
MultiRowOp op = kv.Value.Item2;
IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rows, in_col_name);
double comp_res = compute_op(col_vals, op);
or.setValue(out_col_name, comp_res);
@@ -66,20 +70,51 @@ namespace bts.SilverPine {
return or;
}
public static double compute_op(IEnumerable<double> col_vals, GroupByBundleOp op) {
// rolling_rows are the rolling window of rows. the 0th row is the one thats gettin
// calculated. rows 1 - n-1 are its window rows. the schema is based on the operations.
public IBlueRow rolling_calc(List<IBlueRow> rolling_rows) {
if (rolling_rows.Count() == 0) {
return null;
}
IBlueRow ir = rolling_rows.ElementAt(0);
IBlueTableSchema in_schema = ir.schema;
IBlueTableSchema out_schema = in_schema;
IDictionary<string, Tuple<string, MultiRowOp>> out_col_map =
new Dictionary<string, Tuple<string, MultiRowOp>>();
foreach (var t in operations) {
string out_col_name = $"{t.Item1}_{t.Item2}".ToLower();
out_schema = out_schema.add_column(TypeCode.Double, out_col_name);
out_col_map[out_col_name] = t;
}
MutableBlueRow or = new MutableBlueRow(out_schema, ir);
foreach (var kv in out_col_map) {
string out_col_name = kv.Key;
string in_col_name = kv.Value.Item1;
MultiRowOp op = kv.Value.Item2;
IEnumerable<double> col_vals = BlueDataUtility.get_colvalues<double>(rolling_rows, in_col_name);
double comp_res = compute_op(col_vals, op);
or.setValue(out_col_name, comp_res);
}
return or;
}
public static double compute_op(IEnumerable<double> col_vals, MultiRowOp op) {
switch (op) {
case GroupByBundleOp.Max:
case MultiRowOp.Max:
return col_vals.Max<double>();
case GroupByBundleOp.Min:
case MultiRowOp.Min:
return col_vals.Min<double>();
case GroupByBundleOp.Mean:
case MultiRowOp.Mean:
return col_vals.Sum() / col_vals.Count();
case GroupByBundleOp.Sum:
case MultiRowOp.Sum:
return col_vals.Sum();
case GroupByBundleOp.First:
case MultiRowOp.First:
return col_vals.First();
case GroupByBundleOp.Last:
case MultiRowOp.Last:
return col_vals.Last();
case MultiRowOp.StdDev:
return MathNet.Numerics.Statistics.Statistics.StandardDeviation(col_vals);
default:
// TODO
Log.assert(false);
@@ -5,7 +5,7 @@ using System.Collections.Generic;
using System.Linq;
namespace BCG {
public class GroupByStream : MethodDrivenStream {
internal class GroupByStream : MethodDrivenStream {
private class MyFuncGroupByEvaluator : IGroupByEvaluator {
private string[] _groupby_cols;
private Func<DataPacket, IBlueRow> _groupby_func;
@@ -0,0 +1,20 @@
namespace bts.SilverPine {
using BCG;
using System;
[DataStreamUserRespresentation("AggregationStream")]
public class AgregationStream : ViewStream {
public AgregationStream(ViewStream parent_str, string operation_txt) {
ViewStream rs = new NonIncGroupByStream(parent_str, String.Empty, operation_txt);
mySetRealSource(rs);
}
public AgregationStream(ViewStream parent_str, string groupby_col, string operation_txt) {
ViewStream rs = new NonIncGroupByStream(parent_str, groupby_col, operation_txt);
mySetRealSource(rs);
}
}
}
@@ -8,7 +8,7 @@ using bts;
using bts.SilverPine;
namespace BCG {
[DataStreamUserRespresentation("aggregate")]
[DataStreamUserRespresentation("AggregateStream")]
public class NonIncGroupByStream : ViewStream {
private class DelNonIncGroupByEvaluator : INonIncGroupByEvaluator {
Func<string[]> _groupby_cols_func;
@@ -53,15 +53,18 @@ namespace BCG {
Func<List<IBlueRow>, List<IBlueRow>> evaluate_func)
: this(main_stream, new DelNonIncGroupByEvaluator(groupby_cols_func, evaluate_func)) { }
public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text, string optional_sort_col = null) {
GroupByBundle std_group_by = GroupByBundle.parse(standard_group_by_text);
public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text)
: this(parent_str, groupby_col, standard_group_by_text, String.Empty) { }
public NonIncGroupByStream(ViewStream parent_str, string groupby_col, string standard_group_by_text, string optional_sort_col) {
MultiRowOpHelper std_group_by = MultiRowOpHelper.parse(standard_group_by_text);
Func<string[]> groupby_cols_func = () => {
return String.IsNullOrEmpty(groupby_col) ? null : new string[] { groupby_col };
};
Func<List<IBlueRow>, List<IBlueRow>> evaluate_func = (group_rows) => {
if (!String.IsNullOrEmpty(optional_sort_col))
group_rows.Sort((r1, r2) => BlueDataUtility.compare_rows(r2, r1, optional_sort_col));
IBlueRow rv = GroupByBundle.group_by(group_rows, std_group_by);
IBlueRow rv = MultiRowOpHelper.group_by(group_rows, std_group_by);
return new IBlueRow[] { rv }.ToList();
};
ViewStream rs = new NonIncGroupByStream(parent_str, groupby_cols_func, evaluate_func);
@@ -74,7 +74,7 @@ namespace BCG {
}
public void _on_stream_cb(object dp_obj) {
Log.Gen.info($"NonIncJoinBookkeeper._on_stream_cb dp_obj: {dp_obj}");
//Log.Gen.info($"NonIncJoinBookkeeper._on_stream_cb dp_obj: {dp_obj}");
var timer = Stopwatch.StartNew();
DataPacket dp = (DataPacket)dp_obj;
_fill_missing_data(dp);
@@ -50,7 +50,7 @@ namespace BCG {
int data_col_no = 1;
for (int jp = 0; jp < _join_specs.Length; jp++) {
NonIncJoinBookkeeper s = new NonIncJoinBookkeeper(_join_specs[jp], jp, data_col_no, _row_hasher);
Log.Gen.info($"NonIncJoinStream.myOnFirstSubscriber jp: {jp} spec: {_join_specs[jp]}");
//Log.Gen.info($"NonIncJoinStream.myOnFirstSubscriber jp: {jp} spec: {_join_specs[jp]}");
data_col_no += _join_specs[jp].data_col_names.Length;
s.on_new_data += _stream_callback;
_book_keeping_data.Add(s);
@@ -71,7 +71,7 @@ namespace BCG {
}
private void _stream_callback() {
Log.Gen.info("NonIncJoinStream._stream_callback received callback");
//Log.Gen.info("NonIncJoinStream._stream_callback received callback");
_is_dirty = true;
doWork();
}
@@ -99,7 +99,7 @@ namespace BCG {
private int _n_total_fires = 0, _n_expensive_fires = 0;
private void _form_and_fire() {
Log.Gen.info($"NonIncJoinStream._form_and_fire _is_ready(): {_is_ready()}");
//Log.Gen.info($"NonIncJoinStream._form_and_fire _is_ready(): {_is_ready()}");
if (_is_ready()) {
_construct_schema();
var timer = Stopwatch.StartNew();
@@ -126,11 +126,11 @@ namespace BCG {
_n_total_fires++;
//if (timer.ElapsedMilliseconds >= 250) {
_n_expensive_fires++;
string log_msg = $"Join and map time for {_book_keeping_data.Count} "
+ $"tables {timer.Elapsed.TotalMilliseconds} msecs, ratio {_n_expensive_fires}/{_n_total_fires}";
Log.Gen.info(log_msg);
//string log_msg = $"Join and map time for {_book_keeping_data.Count} "
// + $"tables {timer.Elapsed.TotalMilliseconds} msecs, ratio {_n_expensive_fires}/{_n_total_fires}";
//Log.Gen.info(log_msg);
//}
var dp_out = BlueDataUtility.build_dp_inc(dp_output_rows, myLastValue as DataPacket);
var dp_out = BlueDataUtility.build_dp_inc(dp_output_rows, myLastValue as DataPacket, true);
myFireEvent(dp_out);
//myFireEvent(new DataPacket(dp_output_rows, dp_output_rows, myLastValue == null ? new BlueTable(_output_schema) : (myLastValue as DataPacket).newRows));
}
@@ -152,7 +152,7 @@ namespace BCG {
}
public void doWork() {
Log.Gen.info($"NonIncJoinStream.doWork _last_fire_time: {_last_fire_time} _is_dirty: {_is_dirty}");
//Log.Gen.info($"NonIncJoinStream.doWork _last_fire_time: {_last_fire_time} _is_dirty: {_is_dirty}");
if (DateTime.Now - _last_fire_time >= _throttle_period && _is_dirty) {
_is_dirty = false;
_last_fire_time = DateTime.Now;
@@ -69,4 +69,6 @@ namespace bts {
myFireEvent(dp_out);
}
}
}
@@ -13,9 +13,8 @@ namespace BCG {
/// desired row ie newRow = f(row), where f is the mapping fucntion. Note that the id
/// is preserved across the rows, ie row["id"] = f(row)["id"]
/// </summary>
[DataStreamUserRespresentation (false)]
public class MapStream : MethodDrivenStream
{
[DataStreamUserRespresentation(false)]
public class MapStream : MethodDrivenStream {
protected IStreamMapper myMapper;
protected IChangeableStreamMapper myChangeableMapper = null;
private bool myUseNewMap = Configuration.get<DataStreamConfig>().UseNewMap;
@@ -0,0 +1,14 @@
namespace bts.SilverPine
{
using BCG;
[DataStreamUserRespresentation("RollingComputationStream")]
public class RollingComputationStream : ViewStream
{
private ViewStream _parent_str;
public RollingComputationStream(ViewStream parent_str, string operation_txt, string roll_column, uint window_sz)
{
}
}
}
@@ -0,0 +1,10 @@
namespace bts.SilverPine {
using BCG;
[DataStreamUserRespresentation("RollingComputationStream")]
public class RollingComputationStream : ViewStream {
public RollingComputationStream(ViewStream parent_str, string operation_txt, string roll_column, uint window_sz) {
}
}
}
@@ -108,6 +108,7 @@ namespace bts {
}
[DataStreamUserRespresentation("Project")]
public class NewProjectStream : ViewStream, IStreamMapper {
private ViewStream _stream;
@@ -37,4 +37,42 @@ namespace BCG
}
}
[DataStreamUserRespresentation("throttle")]
public class ThrottleStream : ViewStream{
private readonly ViewStream _main_stream;
private readonly TimeSpan _ts;
private readonly ViewStreamDatabase _vsd;
private DateTime _last_fire_time = DateTime.MinValue;
public ThrottleStream (ViewStream main_stream, int throttle_seconds)
:
this(main_stream, TimeSpan.FromSeconds(throttle_seconds), ViewStreamDatabase.instance)
{
}
public ThrottleStream (ViewStream main_stream, TimeSpan ts, ViewStreamDatabase vsd){
_main_stream = main_stream;
_ts = ts;
_vsd = vsd;
}
protected override void myOnFirstSubscriber() {
_main_stream.onChange += _handle_base_stream_update;
}
protected override void myOnLastSubscriber() {
_main_stream.onChange -= _handle_base_stream_update;
}
private void _handle_base_stream_update(object dp_obj){
if (DateTime.Now - _last_fire_time >= _ts){
DataPacket dp_in = dp_obj as DataPacket;
_last_fire_time = DateTime.Now;
DataPacket dp = BlueDataUtility.build_dp_inc(dp_in.newRows, myLastValue as DataPacket);
myFireEvent(dp);
}
}
}
}
@@ -0,0 +1,40 @@
namespace bts.SilverPine{
using BGC;
using System;
[DataStreamUserRespresentation("throttle")]
public class ThrottleStream : ViewStream{
private readonly ViewStream _main_stream;
private readonly TimeSpan _ts;
private readonly ViewStreamDatabase _vsd;
private DateTime _last_fire_time = DateTime.MinValue;
public ThrottleStream (ViewStream main_stream, int throttle_seconds)
:
this(main_stream, TimeSpan.FromSeconds(throttle_seconds), ViewStreamDatabase.instance)
{
}
public ThrottleStream (ViewStream main_stream, TimeSpan ts, ViewStreamDatabase vsd){
_main_stream = main_stream;
_ts = ts;
_vsd;
}
protected override void myOnFirstSubscriber() {
_main_stream.onChange += _handle_base_stream_update;
}
protected override void myOnLastSubscriber() {
_main_stream.onChange -= _handle_base_stream_update;
}
private void _handle_base_stream_update(object dp_obj){
if (DateTime.Now - _last_fire_time >= _ts){
DataPacket dp_in = dp_obj;
_last_fire_time = DateTime.Now;
DataPacket dp = BlueDataUtility.build_dp_inc(dp_in.newRow, myLastValue as DataPacket);
myFireEvent(dp);
}
}
}
}
@@ -40,4 +40,4 @@ namespace BCG {
myFireSwitch = myLastFiredPacket.addedRows.Count + myLastFiredPacket.deletedRows.Count == 0 ? false : true;
}
}
}
}
@@ -1,18 +1,15 @@
using System;
using System.Collections.Generic;
using mbts;
namespace BCG
{
internal class MutableAppendTable : IBlueRowCollection
{
private class MyRow : IBlueRow
{
namespace BCG {
internal class MutableAppendTable : IBlueRowCollection {
private class MyRow : IBlueRow {
private IBlueRow myRow;
private int myID;
public MyRow(IBlueRow r, int id)
{
public MyRow(IBlueRow r, int id) {
myRow = r;
myID = id;
}
@@ -21,10 +18,8 @@ namespace BCG
public IBlueTableSchema schema { get { return myRow.schema; } }
public object this[int index]
{
get
{
public object this[int index] {
get {
if (myRow.schema[index].colName == "id")
return myID;
else
@@ -52,20 +47,17 @@ namespace BCG
public System.Collections.ICollection Keys { get { return myRow.Keys; } }
public void Remove(object key) {throw new Exception("The method or operation is not implemented.");}
public void Remove(object key) { throw new Exception("The method or operation is not implemented."); }
public System.Collections.ICollection Values
{
get
{
public System.Collections.ICollection Values {
get {
object[] vals = new object[myRow.Count];
CopyTo(vals, 0);
return vals;
}
}
public object this[object key]
{
public object this[object key] {
get { return key is string ? this[key as string] : this[(int)key]; }
set { throw new Exception("The method or operation is not implemented."); }
}
@@ -74,8 +66,7 @@ namespace BCG
#region ICollection Members
public void CopyTo(Array array, int index)
{
public void CopyTo(Array array, int index) {
myRow.CopyTo(array, index);
array.SetValue(myID, index + myRow.schema["id"].colNo);
}
@@ -90,8 +81,7 @@ namespace BCG
#region IEnumerable Members
System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator()
{ return new BlueRowEnumerator(this); }
System.Collections.IEnumerator System.Collections.IEnumerable.GetEnumerator() { return new BlueRowEnumerator(this); }
#endregion
}
@@ -106,8 +96,7 @@ namespace BCG
public MutableAppendTable(IBlueTableSchema schema) { myRows = new BlueTable(schema); }
public IBlueRow addRow(IBlueRow r, int tableNo)
{
public IBlueRow addRow(IBlueRow r, int tableNo) {
if (!myIDMap.ContainsKey(tableNo))
myIDMap.Add(tableNo, new Dictionary<int, IBlueRow>());
IBlueRow nr = new MyRow(r, myID++); // BlueDataUtility.getNewReplacedRow(r, myID++, "id");
@@ -116,20 +105,17 @@ namespace BCG
return nr;
}
public IBlueRow removeRow(IBlueRow r, int tableNo)
{
public IBlueRow removeRow(IBlueRow r, int tableNo) {
IBlueRow dr = myIDMap[tableNo][(int)r["id"]];
myRows.deleteRow(dr);
myIDMap[tableNo].Remove((int)r["id"]);
return dr;
}
public IBlueRowCollection removeTable(int tableNo)
{
public IBlueRowCollection removeTable(int tableNo) {
if (!myIDMap.ContainsKey(tableNo))
return null;
else
{
else {
BlueTable rv = new BlueTable(myRows.schema);
foreach (IBlueRow r in myIDMap[tableNo].Values)
rv.addRow(r);
@@ -139,8 +125,7 @@ namespace BCG
}
}
public void clear()
{
public void clear() {
myRows.clear();
myIDMap.Clear();
}
@@ -151,7 +136,7 @@ namespace BCG
public IBlueTableSchema schema { get { return myRows.schema; } }
public bool containsID(int id) {return myRows.containsID(id);}
public bool containsID(int id) { return myRows.containsID(id); }
#endregion
@@ -169,7 +154,7 @@ namespace BCG
#region IEnumerable Members
public System.Collections.IEnumerator GetEnumerator() {return myRows.GetEnumerator();}
public System.Collections.IEnumerator GetEnumerator() { return myRows.GetEnumerator(); }
#endregion
}
@@ -179,8 +164,8 @@ namespace BCG
/// to append (or remove) more streams at
/// runtime
/// </summary>
public class MutableAppendStream : ViewStream
{
[DataStreamUserRespresentation("UnionStream")]
public class MutableAppendStream : ViewStream {
private bool mySubscriptionActive = false;
private MutableAppendTable myTable;
private int myMovingIndex;
@@ -188,22 +173,17 @@ namespace BCG
private bool _allign_col_orders = true;
public MutableAppendStream(params ViewStream[] streams)
: this(new List<ViewStream>(streams))
{ }
: this(new List<ViewStream>(streams)) { }
public MutableAppendStream(bool allign_col_order, params ViewStream[] streams)
: this(allign_col_order, new List<ViewStream>(streams))
{ }
: this(allign_col_order, new List<ViewStream>(streams)) { }
public MutableAppendStream(ICollection<ViewStream> streams)
: this(true, streams)
{ }
: this(true, streams) { }
public MutableAppendStream(bool allign_col_orders, ICollection<ViewStream> streams)
{
public MutableAppendStream(bool allign_col_orders, ICollection<ViewStream> streams) {
_allign_col_orders = allign_col_orders;
foreach (ViewStream vs in streams)
{
foreach (ViewStream vs in streams) {
myMovingIndex++;
ViewStream pj = new ChangeTableNameStream(vs, myMovingIndex.ToString());
if (_allign_col_orders)
@@ -212,8 +192,7 @@ namespace BCG
}
}
public void addStream(ViewStream vs)
{
public void addStream(ViewStream vs) {
myMovingIndex++;
///the change name is done to identify the callbacks, and the project to
///make all the schemas col orders the same
@@ -225,19 +204,14 @@ namespace BCG
pj.onChange += new ChangeDelegate(myHandleStreamChanges);
}
public void removeStream(ViewStream vs)
{
public void removeStream(ViewStream vs) {
int index = -1;
foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
{
if (p.Value.first == vs)
{
foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex) {
if (p.Value.first == vs) {
index = p.Key;
if (mySubscriptionActive)
{
if (mySubscriptionActive) {
p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
if (myTable != null)
{
if (myTable != null) {
IBlueRowCollection delRows = myTable.removeTable(p.Key);
if (delRows != null)
myFireEvent(new DataPacket(myTable, new BlueTable(myTable.schema), delRows));
@@ -250,15 +224,13 @@ namespace BCG
}
}
protected override void myOnFirstSubscriber()
{
protected override void myOnFirstSubscriber() {
mySubscriptionActive = true;
foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
p.Value.second.onChange += new ChangeDelegate(myHandleStreamChanges);
}
protected override void myOnLastSubscriber()
{
protected override void myOnLastSubscriber() {
mySubscriptionActive = false;
foreach (KeyValuePair<int, Pair<ViewStream, ViewStream>> p in myStreamIndex)
p.Value.second.onChange -= new ChangeDelegate(myHandleStreamChanges);
@@ -266,20 +238,17 @@ namespace BCG
myTable.clear();
}
private void myHandleStreamChanges(object newValue)
{
private void myHandleStreamChanges(object newValue) {
DataPacket dp = newValue as DataPacket;
myTable = myTable ?? new MutableAppendTable(new BlueTableSchema("MutableAppend", dp.schema.columnInfo));
BlueTable adds = new BlueTable(myTable.schema),
dels = new BlueTable(myTable.schema);
int index = Int32.Parse(dp.schema.tableName);
foreach (IBlueRow r in dp.deletedRows)
{
foreach (IBlueRow r in dp.deletedRows) {
IBlueRow dr = myTable.removeRow(r, index);
dels.addRow(dr);
}
foreach (IBlueRow r in dp.addedRows)
{
foreach (IBlueRow r in dp.addedRows) {
IBlueRow nr = myTable.addRow(r, index);
adds.addRow(nr);
}
@@ -280,6 +280,28 @@ namespace BCG {
#region json
public static void write_to_json_file(this IBlueRowCollection table, string file_path) {
write_dict_to_json_file(file_path, table.to_namevalue_pairs());
}
public static void write_dict_to_json_file(string file_path, List<Dictionary<string, string>> data) {
var options = new JsonSerializerOptions { WriteIndented = true };
string json = System.Text.Json.JsonSerializer.Serialize(data, options);
File.WriteAllText(file_path, json);
}
public static List<Dictionary<string, string>> ReadFromFile(string filePath) {
string json = File.ReadAllText(filePath);
return System.Text.Json.JsonSerializer.Deserialize<List<Dictionary<string, string>>>(json);
}
public static void write_table_to_json(IBlueRowCollection table) {
List<Dictionary<string, string>> rows = new List<Dictionary<string, string>>();
foreach (IBlueRow row in table) {
row.to_json();
}
}
public static Dictionary<string, string> convert_json_to_dictionary(string json_string) {
Dictionary<string, string> dictionary = JsonConvert.DeserializeObject<Dictionary<string, string>>(json_string);
return dictionary;
@@ -348,6 +370,14 @@ namespace BCG {
}
return rv;
}
public static List<Dictionary<string,string>> to_namevalue_pairs(this IBlueRowCollection table) {
List<Dictionary<string, string>> rv = new List<Dictionary<string, string>>();
foreach (IBlueRow r in table) {
rv.Add(r.to_dict());
}
return rv;
}
#region Schema types
// these are the only types allowed in schemas
private static IReadOnlyDictionary<TypeCode, Type> _typecode_to_type = new Dictionary<TypeCode, Type>
@@ -1225,6 +1255,20 @@ namespace BCG {
return rv;
}
public static Dictionary<string, string> to_dict(this IBlueRow r) {
Dictionary<string, string> map = new Dictionary<string, string>();
foreach (ColumnInfo c in r.schema.columnInfo) {
map.Add(c.colName, r[c.colName].ToString());
}
return map;
}
public static string to_json(this IBlueRow r) {
Dictionary<string, string> map = r.to_dict();
string json = System.Text.Json.JsonSerializer.Serialize(map);
return json;
}
public static void compute_differences_fast(IBlueRowCollection new_rows, IBlueRowCollection old_rows,
out IBlueRowCollection out_d_rows, out IBlueRowCollection out_a_rows) {
if (old_rows == null || old_rows.Count == 0) {
@@ -2,7 +2,7 @@
<PropertyGroup>
<AllowUnsafeBlocks>true</AllowUnsafeBlocks>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<Nullable>disable</Nullable>
</PropertyGroup>
@@ -19,8 +19,8 @@
</ItemGroup>
<ItemGroup>
<Proto Include="../../lib/config/protos/data_stream_config.proto" CSName="DataStreamConfig">
<OutDir>$(ProtoOutputPath)/lib/config/protos</OutDir>
<Proto Include="../../lib_spark/spark/config/protos/data_stream_config.proto" CSName="DataStreamConfig">
<OutDir>$(ProtoOutputPath)/lib_spark/spark/config/protos</OutDir>
</Proto>
</ItemGroup>
@@ -47,10 +47,10 @@ namespace BCG {
/// </summary>
/// <param name="assemblyName"></param>
public void loadAssembly(string assemblyName) {
Func<Type, bool> is_silverpine_only = (t) => {
if (!assemblyName.Contains("SharedStreams.dll"))
return true;
return t.Namespace == "bts.SilverPine";
Func<Type, bool> is_blue_orb = (t) => {
//if (!assemblyName.Contains("SharedStreams.dll"))
// return true;
return t.Namespace == "bts.BlueOrb";// || t.Namespace == "BCG";
};
bts.Log.Gen.info($"PrimitiveManager.loadAssembly assemblyName: {assemblyName}");
if (myAssemblyNames.Contains(assemblyName))
@@ -61,7 +61,7 @@ namespace BCG {
Assembly.LoadFrom(assemblyName);
foreach (Type type in loadedAssembly.GetTypes())
if (!type.IsInterface && is_silverpine_only(type)
if (!type.IsInterface && is_blue_orb(type)
&& !type.IsAbstract
&& type.IsSubclassOf(typeof(ViewStream))
&& type.IsPublic) {
@@ -77,7 +77,7 @@ namespace BCG {
break;
}
if (isVisible) {
Log.assert_d(myTypeLookupTable[userRep] == null, type.FullName);
// Log.assert_d(myTypeLookupTable[userRep] == null, type.FullName);
myTypeLookupTable[userRep] = type;
}
}
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -2,7 +2,7 @@
<PropertyGroup>
<OutputType>Exe</OutputType>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<Nullable>enable</Nullable>
<AllowUnsafeBlocks>true</AllowUnsafeBlocks>
</PropertyGroup>
@@ -2,7 +2,7 @@
<PropertyGroup>
<OutputType>Exe</OutputType>
<TargetFramework>net7.0-windows</TargetFramework>
<TargetFramework>net8.0-windows</TargetFramework>
<Nullable>enable</Nullable>
<UseWindowsForms>true</UseWindowsForms>
</PropertyGroup>
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -1,7 +1,7 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net7.0-windows</TargetFramework>
<TargetFramework>net8.0-windows</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
<UseWindowsForms>true</UseWindowsForms>
@@ -6,12 +6,18 @@ namespace BCG
public interface IPublisher
{
void publish( IPubItem pi );
#pragma warning disable SYSLIB0011 // Type or member is obsolete
void publish( IPubItem pi, IFormatter f );
#pragma warning restore SYSLIB0011 // Type or member is obsolete
void publish( IPubItem[] pi );
#pragma warning disable SYSLIB0011 // Type or member is obsolete
void publish( IPubItem[] pi, IFormatter f );
#pragma warning restore SYSLIB0011 // Type or member is obsolete
}
#pragma warning disable SYSLIB0011 // Type or member is obsolete
public interface IPublisher<T> where T : IFormatter
#pragma warning restore SYSLIB0011 // Type or member is obsolete
{
void publish (IPubItem pi);
void publish (IPubItem[] pi);
@@ -5,23 +5,21 @@ using System.Runtime.Serialization.Formatters.Binary;
namespace BCG
{
#pragma warning disable SYSLIB0011 // Type or member is obsolete
public class GenericFormatter<F> : IGenericFormatter where F : IFormatter, new ()
{
IFormatter myFormatter = new F ();
public T Deserialize<T> (Stream serializationStream)
{
#pragma warning disable
return (T) myFormatter.Deserialize (serializationStream);
#pragma warning restore SYSLIB0011
}
public void Serialize<T> (Stream serializationStream, T graph)
{
#pragma warning disable
myFormatter.Serialize (serializationStream, graph);
#pragma warning restore SYSLIB0011
}
}
public class GenericBinaryFormatter : GenericFormatter<BinaryFormatter> { }
#pragma warning restore SYSLIB0011 // Type or member is obsolete
}
+1 -1
View File
@@ -6,7 +6,7 @@
<PropertyGroup>
<AllowUnsafeBlocks>true</AllowUnsafeBlocks>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -2,7 +2,7 @@
<PropertyGroup>
<OutputType>Exe</OutputType>
<TargetFramework>net7.0</TargetFramework>
<TargetFramework>net8.0</TargetFramework>
<Nullable>enable</Nullable>
</PropertyGroup>
@@ -1,4 +1,5 @@
namespace bts.SilverPine {
namespace bts.BlueOrb {
using bts.SilverPine;
using BCG;
using System.Runtime.CompilerServices;
@@ -45,7 +46,7 @@ namespace bts.SilverPine {
}
[DataStreamUserRespresentation("FuturesHistorical1DayBars")]
public class FuturesHistorical1DayBarsStream : ViewStream {
internal class FuturesHistorical1DayBarsStream : ViewStream {
// this gets the raw bars for a symbol (perhaps make it into a raw bars stream?)
public FuturesHistorical1DayBarsStream(string symbol) :
@@ -103,7 +104,7 @@ namespace bts.SilverPine {
}
[DataStreamUserRespresentation("FuturesHistorical1MinBars")]
public class FuturesHistorical1MinuteBarsStream : ViewStream {
internal class FuturesHistorical1MinuteBarsStream : ViewStream {
// same as the above but for one min
// this gets the raw bars for a symbol
public FuturesHistorical1MinuteBarsStream(string symbol) :
@@ -187,46 +188,6 @@ namespace bts.SilverPine {
}
}
[DataStreamUserRespresentation("FuturePriceDiff")]
public class FutureHistoricalBarsPriceDiffStream : ViewStream {
public FutureHistoricalBarsPriceDiffStream(string future_contract, string dt1, string dt2)
:
this(new ContractUtils.FutureContract(future_contract), DateTime.Parse(dt1), DateTime.Parse(dt2), "close", ViewStreamDatabase.instance) {
}
public FutureHistoricalBarsPriceDiffStream(string future_contract, DateTime dt1, DateTime dt2)
:
this(new ContractUtils.FutureContract(future_contract), dt1, dt2, "close", ViewStreamDatabase.instance) {
}
public FutureHistoricalBarsPriceDiffStream(string future_contract, DateTime dt1, DateTime dt2, string col)
:
this(new ContractUtils.FutureContract(future_contract), dt1, dt2, col, ViewStreamDatabase.instance) {
}
public FutureHistoricalBarsPriceDiffStream(ContractUtils.FutureContract fc, DateTime dt1, DateTime dt2, string col, ViewStreamDatabase vsd) {
BarSize bsize = dt2 - dt1 >= TimeSpan.FromDays(1.0) ? BarSize.ONE_DAY : BarSize.ONE_MIN;
ViewStream rs = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(dt1, dt2));
rs = new ColumnDifferenceStream(rs, r => {
DateTime r_dt = r.get_datetime("ts_event");
var rv = dt1.Equals(r_dt);
return rv;
},
//r => dt2.Equals(r.get_datetime("ts_event")), col, col);
r => {
DateTime r_dt = r.get_datetime("ts_event");
var rv = dt2.Equals(r_dt);
return rv;
}, col, col);
rs = new NewProjectStream(rs, "diff !");
mySetRealSource(rs);
}
}
// takes the contract name and expands it into multuiple columns corresponding to the contracts.
// the contract columns are a union, of all properties with some of them empty
public class ContractExpanderStream : ViewStream {
@@ -247,3 +208,29 @@ namespace bts.SilverPine {
}
}
namespace bts.BlueOrb {
using BCG;
using bts.api;
using Newtonsoft.Json.Serialization;
[DataStreamUserRespresentation("FuturesContinousContract")]
public class FuturesContinousContractStream : ViewStream {
// the argument is symbol, like "ES" etc and not the contract itself
public FuturesContinousContractStream(string symbol) : this(symbol, ViewStreamDatabase.instance) { }
public FuturesContinousContractStream(string symbol, ViewStreamDatabase db) {
symbol = symbol.EndsWith("*") ? symbol : symbol + "*";
ViewStream r = new FuturesHistorical1DayBarsStream(symbol);
r = new ContractExpanderStream(r, "symbol");
r = new FilterStream(r, "contract_type='Future'");
// finding the max volume across symbols, if we need to do this for open_interest, then join here
// with the open interest stream on symbol/contract
r = new NonIncGroupByStream(r, "ts_event", "volume:Max");
r = new NewProjectStream(r, "ts_event symbol !");
r = new SortStream(r, "-ts_event");
mySetRealSource(r);
}
}
}
@@ -0,0 +1,18 @@
namespace bts.BlueOrb {
using bts.SilverPine;
using BCG;
using System;
[DataStreamUserRespresentation("SpatialArbScoreStream")]
public class SpatialArbScoreStream : ViewStream {
public SpatialArbScoreStream(int window_sz_secs, int sample_period_sz)
: this(TimeSpan.FromSeconds(window_sz_secs), TimeSpan.FromSeconds(sample_period_sz), ViewStreamDatabase.instance) { }
public SpatialArbScoreStream(TimeSpan window_sz, TimeSpan sample_period, ViewStreamDatabase vsd) {
ViewStream rs = new SpatialArbStatsStream(window_sz, sample_period, vsd);
rs = new ThrottleStream(rs, TimeSpan.FromSeconds(1), vsd);
rs = new SortStream(rs, "-n_trade_ticks");
mySetRealSource(rs);
}
}
}
@@ -0,0 +1,113 @@
namespace bts.SilverPine {
using BCG;
using SharpCompress.Common.Rar;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
// For all the pairs generated by SpatialFuturePairsStream, this stream
// generates the statistics, by appending together a SpreadStatsStream
[DataStreamUserRespresentation("SpatialArbStatsStream")]
public class SpatialArbStatsStream : ViewStream{
private ViewStream _spatial_pairs_stream;
private ViewStreamDatabase _vsd;
private ViewStream _tot_str = null;
private HashSet<string> _key_map = new HashSet<string>();
private ViewStream _bbo_stream;
private readonly TimeSpan _window_sz, _sampling_period_sz;
public SpatialArbStatsStream(int window_sz_seconds, int sampling_period_sz_seconds)
: this(TimeSpan.FromSeconds(window_sz_seconds), TimeSpan.FromSeconds(sampling_period_sz_seconds), ViewStreamDatabase.instance) { }
public SpatialArbStatsStream(TimeSpan window_sz, TimeSpan sampling_period_sz, ViewStreamDatabase vsd) {
_vsd = vsd;
_window_sz = window_sz;
_sampling_period_sz = sampling_period_sz;
_spatial_pairs_stream = new SpatialFuturePairsStream(vsd);
_bbo_stream = new BBOStream(vsd);
}
protected override void myOnFirstSubscriber() {
_spatial_pairs_stream.onChange += _spatial_pairs_stream_onchange;
}
protected override void myOnLastSubscriber() {
_spatial_pairs_stream.onChange -= _spatial_pairs_stream_onchange;
}
private ViewStream _build_mapped_stream(ViewStream parent_str) {
Func<IBlueTableSchema, IBlueTableSchema> build_schema = (inp_schema) => {
IBlueTableSchema rv = new BlueTableSchema("SpreaddStats", new ColumnInfo("id", 0, TypeCode.Int32));
rv = rv.add_column(TypeCode.String, "spread");
rv = rv.add_column(TypeCode.String, "window");
// bids
rv = rv.add_column(TypeCode.Double, "bid_mean");
rv = rv.add_column(TypeCode.Double, "bid_stddev");
rv = rv.add_column(TypeCode.Double, "bid_skewness");
rv = rv.add_column(TypeCode.Double, "bid_kurtosis");
rv = rv.add_column(TypeCode.Double, "bid_max");
rv = rv.add_column(TypeCode.Double, "bid_min");
// asks
rv = rv.add_column(TypeCode.Double, "ask_mean");
rv = rv.add_column(TypeCode.Double, "ask_stddev");
rv = rv.add_column(TypeCode.Double, "ask_skewness");
rv = rv.add_column(TypeCode.Double, "ask_kurtosis");
rv = rv.add_column(TypeCode.Double, "ask_max");
rv = rv.add_column(TypeCode.Double, "ask_min");
// tail distribution
rv = rv.add_column(TypeCode.Double, "bid Z ≥ 2σ");
rv = rv.add_column(TypeCode.Double, "ask Z < -2σ");
// trading ticks
rv = rv.add_column(TypeCode.Int32, "n_buy_ticks");
rv = rv.add_column(TypeCode.Double, "cumm_buy_price");
rv = rv.add_column(TypeCode.Int32, "n_sell_ticks");
rv = rv.add_column(TypeCode.Double, "cumm_sell_price");
rv = rv.add_column(TypeCode.Int32, "n_trade_ticks");
return rv;
};
Func<IBlueRow, IBlueRow> build_row = (r) => {
IBlueTableSchema s = build_schema(r.schema);
return new BlueRow(s, r["id"], r["spread"], r["window"],
r["bid_mean"], r["bid_stddev"], r["bid_skewness"], r["bid_kurtosis"], r["bid_max"], r["bid_min"],
r["ask_mean"], r["ask_stddev"], r["ask_skewness"], r["ask_kurtosis"], r["ask_max"], r["ask_min"],
r["bid Z ≥ 2σ"], r["ask Z < -2σ"],
r["n_buy_ticks"], r["cumm_buy_price"], r["n_sell_ticks"], r["cumm_sell_price"], r["n_trade_ticks"]);
};
MapStream rs = new MapStream(parent_str, inp_schema => build_schema(inp_schema),
inp_r => build_row(inp_r));
return rs;
}
private void _spatial_pairs_stream_onchange(object dp_obj) {
if (_tot_str != null)
return;
MutableAppendStream append_str = new MutableAppendStream();
_tot_str = _build_mapped_stream(append_str);
//_tot_str = new ThrottleStream(_tot_str, 1000);
//_tot_str = new SortStream(_tot_str, "-n_trade_ticks");
_tot_str.onChange += _handle_tot_stream;
DataPacket dp = dp_obj as DataPacket;
foreach (IBlueRow r in dp.newRows) {
string s1 = r.get<string>("s1");
string s2 = r.get<string>("s2");
string key = SpatialFuturePairsStream.get_key(s1, s2);
if (!_key_map.Contains(key)) {
_key_map.Add(key);
ViewStream spread_stats_stream = new SpreadStatsStream(s1, s2, 1, 1, Convert.ToInt32(_window_sz.TotalSeconds),
Convert.ToInt32(_sampling_period_sz.TotalSeconds), _bbo_stream, _vsd);
append_str.addStream(spread_stats_stream);
}
}
}
private void _handle_tot_stream(object dp_obj) {
myFireEvent(dp_obj);
}
}
}
@@ -0,0 +1,89 @@
namespace bts.SilverPine {
using BCG;
using bts.api;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
[DataStreamUserRespresentation("SpatialFuturePairsStream")]
public class SpatialFuturePairsStream : ViewStream {
private ViewStream _main_stream;
private IBlueTableSchema _schema;
private HashSet<string> _key_map = new HashSet<string>();
public SpatialFuturePairsStream()
: this(ViewStreamDatabase.instance) { }
public SpatialFuturePairsStream(ViewStreamDatabase vsd) {
_main_stream = new InstrumentsStream(vsd);
_main_stream = new FilterStream(_main_stream, "sec_type='Future'");
_schema = new BlueTableSchema("SpatialFutures", new ColumnInfo("id", 0, TypeCode.Int32));
_schema = _schema.add_column(TypeCode.String, "s1");
_schema = _schema.add_column(TypeCode.String, "venue_1");
_schema = _schema.add_column(TypeCode.String, "s2");
_schema = _schema.add_column(TypeCode.String, "venue_2");
}
protected override void myOnFirstSubscriber() {
_main_stream.onChange += _main_stream_onchange;
}
protected override void myOnLastSubscriber() {
_main_stream.onChange -= _main_stream_onchange;
}
public static string get_key(string s1, string s2) {
string key = string.Compare(s1, s2, StringComparison.Ordinal) <= 0 ? s1 + s2 : s2 + s1;
return key;
}
public static string get_key(IBlueRow r1, IBlueRow r2) {
string s1 = r1.get<string>("sec");
string s2 = r2.get<string>("sec");
return get_key(s1, s2);
}
private bool _combine(IBlueRow r1, IBlueRow r2) {
string key = get_key(r1, r2);
if (_key_map.Contains(key))
return false;
if (r1.get<string>("symbol") != r2.get<string>("symbol"))
return false;
if (r1.get_enum<Venue>("venue") == r2.get_enum<Venue>("venue"))
return false;
if (r1.get<int>("sec_key") == r2.get<int>("sec_key")) {
return false;
}
DateTime e1 = r1.get_datetime("expiration");
DateTime e2 = r2.get_datetime("expiration");
bool exps_eq = e1 == e2 || (e1.Year >= 2100 && e2.Year >= 2100);
if (!exps_eq)
return false;
return true;
}
private void _main_stream_onchange(object dp_obj) {
_key_map.Clear();
DataPacket dp = dp_obj as DataPacket;
BlueTable table = new BlueTable(_schema);
var rows = dp.newRows.to_list();
foreach (var r1 in rows) {
foreach (var r2 in rows) {
if (_combine(r1, r2)) {
IBlueRow nr = new BlueRow(_schema, table.Count, r1.get<string>("sec"), r1.get<string>("venue"),
r2.get<string>("sec"), r2.get<string>("venue"));
table.addRow(nr);
string key = get_key(r1, r2);
_key_map.Add(key);
}
}
}
var dp_out = BlueDataUtility.build_dp(table, myLastValue as DataPacket);
myFireEvent(dp_out);
}
}
}
@@ -0,0 +1,656 @@
using System;
using System.Collections.Generic;
using System.Linq;
using MathNet.Numerics.Statistics;
using MathNet.Numerics.LinearRegression;
using System.Collections.Generic;
using System.Linq;
using MathNet.Numerics.Statistics;
using MathNet.Numerics.LinearAlgebra;
using Amazon.Runtime;
using System;
using System.Collections.Generic;
using System.Linq;
using MathNet.Numerics.Statistics;
using System;
using System.Collections.Generic;
using System.Linq;
using MathNet.Numerics.Statistics;
using System;
using System.Collections.Generic;
using System.Linq;
using MathNet.Numerics.Statistics;
// stats calculator
using System;
using System.Collections.Generic;
using System.Linq;
using MathNet.Numerics.Statistics;
/// <summary>
/// Provides evaluation metrics to assess the quality of a synthetic spread for mean-reversion trading.
/// Assumes the input spread data is a trailing, time-causal window of recent ticks (e.g., last 120 seconds).
/// </summary>
public static class SpreadPerformanceEvaluator
{
public static class SpreadStatistics {
public class SpreadStatsResult {
public Dictionary<string, double> bid_zscore_distribution { get; set; }
public Dictionary<string, double> ask_zscore_distribution { get; set; }
public Dictionary<string, double> mid_zscore_distribution { get; set; }
public DescriptiveStatistics bid_stats { get; set; }
public DescriptiveStatistics ask_stats { get; set; }
public DescriptiveStatistics mid_stats { get; set; }
}
private static readonly string[] _zscore_labels = new[]
{
"Z < -2σ",
"-2σ ≤ Z < -1σ",
"-1σ ≤ Z < 0σ",
"0σ ≤ Z < 1σ",
"1σ ≤ Z < 2σ",
"Z ≥ 2σ"
};
public static SpreadStatsResult analyze_spread_quotes(List<(DateTime timestamp, double bid, double bid_qty, double ask, double ask_qty)> quotes) {
if (quotes == null || quotes.Count == 0)
throw new ArgumentException("Spread quote list cannot be null or empty.");
var bid_prices = quotes.Select(q => q.bid).ToList();
var ask_prices = quotes.Select(q => q.ask).ToList();
var mid_prices = quotes.Select(q => (q.bid + q.ask) / 2.0).ToList();
var bid_stats = new DescriptiveStatistics(bid_prices);
var ask_stats = new DescriptiveStatistics(ask_prices);
var mid_stats = new DescriptiveStatistics(mid_prices);
var bid_zscores = bid_prices.Select(x => zscore(x, bid_stats.Mean, bid_stats.StandardDeviation)).ToList();
var ask_zscores = ask_prices.Select(x => zscore(x, ask_stats.Mean, ask_stats.StandardDeviation)).ToList();
var mid_zscores = mid_prices.Select(x => zscore(x, mid_stats.Mean, mid_stats.StandardDeviation)).ToList();
var bid_distribution = bin_zscores_to_percentages(bid_zscores);
var ask_distribution = bin_zscores_to_percentages(ask_zscores);
var mid_distribution = bin_zscores_to_percentages(mid_zscores);
return new SpreadStatsResult {
bid_zscore_distribution = bid_distribution,
ask_zscore_distribution = ask_distribution,
mid_zscore_distribution = mid_distribution,
bid_stats = bid_stats,
ask_stats = ask_stats,
mid_stats = mid_stats
};
}
private static double zscore(double x, double mean, double std_dev) {
return std_dev == 0 ? 0 : (x - mean) / std_dev;
}
private static Dictionary<string, double> bin_zscores_to_percentages(List<double> zscores) {
var bins = _zscore_labels.ToDictionary(label => label, _ => 0);
foreach (var z in zscores) {
if (z < -2) bins["Z < -2σ"]++;
else if (z < -1) bins["-2σ ≤ Z < -1σ"]++;
else if (z < 0) bins["-1σ ≤ Z < 0σ"]++;
else if (z < 1) bins["0σ ≤ Z < 1σ"]++;
else if (z < 2) bins["1σ ≤ Z < 2σ"]++;
else bins["Z ≥ 2σ"]++;
}
double total = zscores.Count;
return bins.ToDictionary(kvp => kvp.Key, kvp => total == 0 ? 0 : (kvp.Value / total) * 100.0);
}
public static double score_spread(SpreadStatsResult result) {
var ask_bins = result.ask_zscore_distribution;
var bid_bins = result.bid_zscore_distribution;
var mid_bins = result.mid_zscore_distribution;
double buy_opportunity = ask_bins["Z < -2σ"] + ask_bins["-2σ ≤ Z < -1σ"];
double sell_opportunity = bid_bins["Z ≥ 2σ"] + bid_bins["1σ ≤ Z < 2σ"];
double opportunity_score = buy_opportunity + sell_opportunity;
double below_mean = mid_bins["Z < -2σ"] + mid_bins["-2σ ≤ Z < -1σ"] + mid_bins["-1σ ≤ Z < 0σ"];
double above_mean = mid_bins["Z ≥ 2σ"] + mid_bins["1σ ≤ Z < 2σ"] + mid_bins["0σ ≤ Z < 1σ"];
double symmetry_score = 1.0 - Math.Abs(below_mean - above_mean) / (below_mean + above_mean + 1e-6);
double amplitude_score = result.mid_stats.StandardDeviation;
double skew_penalty = 1.0 / (1.0 + Math.Abs(result.mid_stats.Skewness));
double kurtosis_bonus = Math.Min(result.mid_stats.Kurtosis, 6.0) / 6.0;
double score =
opportunity_score *
symmetry_score *
amplitude_score *
skew_penalty *
(1.0 + kurtosis_bonus * 0.1);
return score;
}
}
/// <summary>
/// Represents a single trade action (entry or exit) taken during the simulation.
/// </summary>
public struct TradeAction
{
public bool IsEntry { get; set; } // True if this action opened a position
public bool IsLong { get; set; } // True = Long, False = Short
public double Price { get; set; } // Executed price
public int Index { get; set; } // Tick index of the action
public override string ToString()
{
string side = IsLong ? "Long" : "Short";
string type = IsEntry ? "Open" : "Close";
return $"{type} {side} @ {Price:F4} (Tick {Index})";
}
}
/// <summary>
/// Simulates a mean-reversion strategy using rolling, causal mid-price stats.
/// ✅ Entry:
/// - Buy at ask when ask < rollingMean - entryThreshold × rollingStdDev
/// - Sell at bid when bid > rollingMean + entryThreshold × rollingStdDev
/// ✅ Exit:
/// - Close when mid returns within rollingMean ± exitThreshold × rollingStdDev
/// - Long exits at bid, short exits at ask
/// This version uses only past and current data at each step (no forward-looking bias).
/// </summary>
public static (double TotalPnL, List<TradeAction> TradeActions, int BuyTurns, int SellTurns) EvaluateSimulatedPnL(
List<Tuple<double, double, double, double>> spreadData,
int statWindow = 30,
double entryThresholdMultiplier = 0.5,
double exitThresholdMultiplier = 0.1)
{
var trades = new List<TradeAction>();
var mids = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
if (spreadData.Count < statWindow)
return (0.0, trades, 0, 0);
bool positionOpen = false;
bool isLong = false;
double entryPrice = 0.0;
double pnl = 0.0;
int buyTurns = 0;
int sellTurns = 0;
for (int i = statWindow; i < spreadData.Count; i++)
{
double bid = spreadData[i].Item1;
double ask = spreadData[i].Item3;
double mid = mids[i];
// Rolling window
var window = mids.Skip(i - statWindow).Take(statWindow).ToList();
double mean = window.Average();
double stddev = Math.Sqrt(window.Select(x => Math.Pow(x - mean, 2)).Average());
double lowerThreshold = mean - entryThresholdMultiplier * stddev;
double upperThreshold = mean + entryThresholdMultiplier * stddev;
double exitBand = exitThresholdMultiplier * stddev;
if (!positionOpen)
{
if (ask < lowerThreshold)
{
positionOpen = true;
isLong = true;
entryPrice = ask;
trades.Add(new TradeAction { IsEntry = true, IsLong = true, Price = entryPrice, Index = i });
}
else if (bid > upperThreshold)
{
positionOpen = true;
isLong = false;
entryPrice = bid;
trades.Add(new TradeAction { IsEntry = true, IsLong = false, Price = entryPrice, Index = i });
}
}
else
{
if (Math.Abs(mid - mean) < exitBand)
{
double exitPrice = isLong ? bid : ask;
pnl += isLong ? (exitPrice - entryPrice) : (entryPrice - exitPrice);
trades.Add(new TradeAction { IsEntry = false, IsLong = isLong, Price = exitPrice, Index = i });
if (isLong) buyTurns++;
else sellTurns++;
positionOpen = false;
}
}
}
return (pnl, trades, buyTurns, sellTurns);
}
/// <summary>
/// Estimates the Hurst exponent of the spread mid-prices.
/// Assumes the input is a trailing window of recent data.
/// Hurst < 0.5 implies mean-reversion; ideal is 0.35–0.45.
/// </summary>
public static double EvaluateHurstExponent(List<Tuple<double, double, double, double>> spreadData)
{
const int MinLength = 21;
if (spreadData == null || spreadData.Count < MinLength)
return double.NaN;
var spreadMids = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToArray();
int n = spreadMids.Length;
var lags = new List<double>();
var tau = new List<double>();
for (int lag = 2; lag <= 20; lag++)
{
if (n - lag <= 1)
continue;
double[] diffs = new double[n - lag];
for (int i = 0; i < diffs.Length; i++)
diffs[i] = spreadMids[i + lag] - spreadMids[i];
double stddev = diffs.StandardDeviation();
if (stddev > 0)
{
lags.Add(Math.Log(lag));
tau.Add(Math.Log(stddev));
}
}
if (lags.Count < 2)
return double.NaN;
var (intercept, slope) = SimpleRegression.Fit(lags.ToArray(), tau.ToArray());
double hurst = slope * 0.5 + 0.5;
return hurst;
}
/// <summary>
/// Computes the mean and standard deviation of the spread mid-prices
/// over a trailing, causal window.
/// </summary>
/// <param name="spreadData">List of (bid, bidQty, ask, askQty)</param>
/// <returns>Tuple of (Mean, StdDev). Returns (NaN, NaN) if input is too short.</returns>
public static (double Mean, double StdDev) EvaluateMeanAndStdDev(List<Tuple<double, double, double, double>> spreadData)
{
if (spreadData == null || spreadData.Count < 2)
return (double.NaN, double.NaN);
var mids = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
double mean = mids.Average();
double stddev = Math.Sqrt(mids.Select(x => Math.Pow(x - mean, 2)).Average());
return (mean, stddev);
}
/// <summary>
/// Counts how many times the spread ask dropped below (mean - threshold) [buy signal]
/// and how many times the spread bid rose above (mean + threshold) [sell signal].
/// Assumes spreadData is a trailing, causal window.
/// </summary>
/// <returns>(BuyExcursions, SellExcursions)</returns>
public static (uint BuyExcursions, double cumm_buy_price, uint SellExcursions, double cumm_sell_price) EvaluateExcursionCount(
List<Tuple<double, double, double, double>> spreadData,
double entryThresholdMultiplier = 0.5) {
if (spreadData == null || spreadData.Count < 2)
return (0, Double.NaN, 0, Double.NaN);
var midPrices = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
double mean = midPrices.Average();
double stddev = midPrices.StandardDeviation();
double buy_threshold = mean - entryThresholdMultiplier * stddev;
double sell_threshold = mean + entryThresholdMultiplier * stddev;
int buyCount = 0;
int sellCount = 0;
//bool in_buy_zone = false;
//bool in_sell_zone = false;
double cumm_buy_price = 0.0, cumm_sell_price = 0.0;
foreach (var (bid, _, ask, _) in spreadData) {
if (ask <= buy_threshold) {
//if (!in_buy_zone) {
cumm_buy_price += ask;
buyCount++;
//in_buy_zone = true;
}
//} else {
// in_buy_zone = false;
//}
if (bid >= sell_threshold) {
//if (!in_sell_zone) {
cumm_sell_price += bid;
sellCount++;
//in_sell_zone = true;
}
//} else {
// in_sell_zone = false;
//}
}
return ((uint)buyCount, cumm_buy_price / buyCount, (uint)sellCount, cumm_sell_price / sellCount);
}
/// <summary>
/// Counts how many times the spread mid-price crosses its mean level.
/// Each crossing indicates a potential oscillation turn (cycle midpoint).
/// Assumes the input is a trailing, causal window of spread ticks.
/// </summary>
/// <param name="spreadData">List of (bid, bidQty, ask, askQty)</param>
/// <returns>Number of zero crossings in the mid-price series</returns>
public static UInt32 EvaluateZeroCrossingCount(List<Tuple<double, double, double, double>> spreadData)
{
if (spreadData == null || spreadData.Count < 2)
return 0;
var mids = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
double mean = mids.Average();
int zeroCrossings = 0;
for (int i = 1; i < mids.Count; i++)
{
double prevOffset = mids[i - 1] - mean;
double currOffset = mids[i] - mean;
if (prevOffset * currOffset < 0) // Sign changed
zeroCrossings++;
}
return (UInt32)zeroCrossings;
}
/// <summary>
/// Computes the half-life of mean reversion.
/// Lower half-life means the spread reverts to its mean more quickly.
/// </summary>
public static double ComputeHalfLife(List<Tuple<double, double, double, double>> spreadData) {
var prices = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
var lagged = prices.Take(prices.Count - 1).ToArray();
var delta = prices.Skip(1).Zip(lagged, (cur, prev) => cur - prev).ToArray();
if (lagged.Length < 2) return double.NaN;
var x = Vector<double>.Build.Dense(lagged);
var y = Vector<double>.Build.Dense(delta);
var beta = x.DotProduct(y) / x.DotProduct(x);
return -Math.Log(2) / beta;
}
/// <summary>
/// Computes the lag-1 autocorrelation of the spread.
/// Lower values indicate quicker mean-reversion.
/// </summary>
public static double ComputeLag1Autocorrelation(List<Tuple<double, double, double, double>> spreadData) {
var prices = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
var mean = prices.Average();
var numerator = 0.0;
var denominator = 0.0;
for (int i = 1; i < prices.Count; i++) {
numerator += (prices[i] - mean) * (prices[i - 1] - mean);
denominator += Math.Pow(prices[i - 1] - mean, 2);
}
return denominator == 0 ? 0 : numerator / denominator;
}
/// <summary>
/// Estimates how quickly extreme Z-score values decay back toward the mean.
/// Shorter average decay time indicates stronger mean-reversion.
/// </summary>
public static double ComputeAverageZScoreDecay(List<Tuple<double, double, double, double>> spreadData, int zScoreWindow = 50) {
var prices = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
if (prices.Count < zScoreWindow + 2) return double.NaN;
var decayTimes = new List<int>();
for (int i = zScoreWindow; i < prices.Count - 1; i++) {
var window = prices.Skip(i - zScoreWindow).Take(zScoreWindow).ToList();
double mean = window.Average();
double stdDev = Statistics.StandardDeviation(window);
if (stdDev == 0) continue;
double z = (prices[i] - mean) / stdDev;
if (Math.Abs(z) > 2) {
for (int j = 1; j < prices.Count - i; j++) {
double zNext = (prices[i + j] - mean) / stdDev;
if (Math.Abs(zNext) < 1) {
decayTimes.Add(j);
break;
}
}
}
}
return decayTimes.Count == 0 ? double.NaN : decayTimes.Average();
}
/// <summary>
/// Computes the variance ratio: short-term variance divided by long-term variance.
/// Lower ratio suggests stronger mean-reversion.
/// </summary>
public static double ComputeVarianceRatio(List<Tuple<double, double, double, double>> spreadData, int shortWindow, int longWindow) {
var prices = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
if (prices.Count < longWindow) return double.NaN;
double shortVar = Statistics.Variance(prices.Skip(prices.Count - shortWindow).Take(shortWindow));
double longVar = Statistics.Variance(prices.Skip(prices.Count - longWindow).Take(longWindow));
return longVar == 0 ? double.NaN : shortVar / longVar;
}
/// <summary>
/// Computes the highest bid and the lowest ask from a spread tick series.
/// Useful for evaluating the best market opportunity range.
/// </summary>
/// <param name="spreadData">List of (bid, bidQty, ask, askQty)</param>
/// <returns>Tuple of (MaxBid, MinAsk)</returns>
public static (double MaxBid, double MinAsk) EvaluateMaxBidMinAsk(List<Tuple<double, double, double, double>> spreadData)
{
if (spreadData == null || spreadData.Count == 0)
return (double.NaN, double.NaN);
double maxBid = double.NegativeInfinity;
double minAsk = double.PositiveInfinity;
foreach (var (bid, _, ask, _) in spreadData)
{
if (bid > maxBid) maxBid = bid;
if (ask < minAsk) minAsk = ask;
}
return (maxBid, minAsk);
}
/// <summary>
/// Computes the distribution of spread mid-prices around the mean,
/// grouped by caller-defined distance bands (in standard deviations).
///
/// This helps answer:
/// - Is the spread tightly hugging the mean?
/// - Are there wide excursions or heavy tails?
///
/// You define breakpoints like: [0.5, 1.0, 2.0] → it will return:
/// - "≤ 0.5σ"
/// - "0.5σ – 1.0σ"
/// - "1.0σ – 2.0σ"
/// - "> 2.0σ"
///
/// How to Interpret It:
/// - ≤ 0.5σ → Tight clustering near the mean (strong mean-reversion)
/// - 0.5σ – 1.0σ → Mild oscillation (common trade region)
/// - 1.0σ – 2.0σ → Moderate deviation (potential trade signals)
/// - > 2.0σ → Rare, extreme moves (tail events, potential entries/exits)
///
/// Use this to tune entry thresholds or detect regime shifts.
/// </summary>
/// <param name="spreadData">List of (bid, bidQty, ask, askQty)</param>
/// <param name="regions">List of positive breakpoints in std deviations (e.g., [0.5, 1.0, 2.0])</param>
/// <returns>Dictionary mapping label to % of mid-prices in that region</returns>
public static Dictionary<string, double> EvaluateDistributionAroundMean(
List<Tuple<double, double, double, double>> spreadData,
List<double> regions)
{
var result = new Dictionary<string, double>();
if (spreadData == null || spreadData.Count < 2 || regions == null || regions.Count == 0)
return result;
var mids = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
double mean = mids.Average();
double stddev = Math.Sqrt(mids.Select(x => Math.Pow(x - mean, 2)).Average());
if (stddev == 0)
{
result["Zero Volatility"] = 100.0;
return result;
}
var buckets = new int[regions.Count + 1];
foreach (var mid in mids)
{
double distance = Math.Abs(mid - mean);
bool placed = false;
for (int i = 0; i < regions.Count; i++)
{
if (distance <= regions[i])
{
buckets[i]++;
placed = true;
break;
}
}
if (!placed)
buckets[regions.Count]++;
}
int total = mids.Count;
for (int i = 0; i < regions.Count; i++)
{
string label = i == 0
? $"≤ {regions[i]:0.##}σ"
: $"{regions[i - 1]:0.##}σ – {regions[i]:0.##}σ";
result[label] = 100.0 * buckets[i] / total;
}
result[$"> {regions.Last():0.##}σ"] = 100.0 * buckets.Last() / total;
return result;
}
/// <summary>
/// Computes two drift metrics indicating how much the spread's mean changes over time,
/// based on the standard deviation of rolling mean values.
///
/// ✅ Absolute Drift: Standard deviation of the rolling mean
/// ✅ Relative Drift: Drift normalized by the overall mean (unitless ratio)
///
/// This shows whether the center of the spread is stable — critical for mean-reversion.
///
/// How to Interpret the Output:
/// - ✅ Relative Drift < 1% → Very stable mean — ideal
/// - ⚠️ 1–5% → Mild drift — consider shorter holds or adaptive mean
/// - ❌ >5% → Drifting mean — fixed mean may no longer work
/// </summary>
/// <param name="spreadData">List of (bid, bidQty, ask, askQty)</param>
/// <param name="window">Window size for rolling mean (e.g., 20 ticks)</param>
/// <returns>
/// Tuple of (Absolute Drift, Relative Drift) — where:
/// - Absolute Drift = StdDev of rolling means
/// - Relative Drift = Drift / global mean
/// </returns>
public static (double AbsoluteDrift, double RelativeDrift) EvaluateMeanDriftScore(
List<Tuple<double, double, double, double>> spreadData,
int window = 20)
{
if (spreadData == null || spreadData.Count < window)
return (double.NaN, double.NaN);
var mids = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToArray();
var rollingMeans = new List<double>();
for (int i = window; i <= mids.Length; i++)
{
double rollingMean = mids.Skip(i - window).Take(window).Average();
rollingMeans.Add(rollingMean);
}
double overallMean = mids.Average(); // use full mean for normalization
//double drift = Math.Sqrt(rollingMeans.Select(m => Math.Pow(m - rollingMeans.Average(), 2)).Average());
double drift = Math.Sqrt(rollingMeans.Select(m => Math.Pow(m - rollingMeans.Average(), 2)).Average());
double relativeDrift = Math.Abs(overallMean) > 1e-8 ? drift / Math.Abs(overallMean) : double.NaN;
return (drift, relativeDrift);
}
/// <summary>
/// Returns the latest Kalman Filter estimate of the true mean of the spread mid-prices.
/// This tracks the spread's central value while allowing for gradual drift and suppressing noise.
///
/// Internally, this applies a recursive 1D Kalman filter over the input mid-prices.
///
/// Tuning Parameters:
/// - Q: Process noise variance (higher = faster adaptation to drift)
/// - R: Measurement noise variance (higher = more smoothing)
///
/// Use this instead of SMA if your mean drifts or if price series is noisy.
///
/// </summary>
/// <param name="spreadData">List of (bid, bidQty, ask, askQty)</param>
/// <param name="Q">Process noise variance (default = 0.0001)</param>
/// <param name="R">Measurement noise variance (default = 0.01)</param>
/// <returns>Latest estimated Kalman-filtered mean, or NaN if input is invalid</returns>
public static double GetLatestKalmanMean(
List<Tuple<double, double, double, double>> spreadData,
double Q = 0.0001,
double R = 0.01)
{
if (spreadData == null || spreadData.Count == 0)
return double.NaN;
var mids = spreadData.Select(x => (x.Item1 + x.Item3) / 2.0).ToList();
double x = mids[0]; // initial estimate of mean
double P = 1.0; // initial uncertainty
for (int i = 1; i < mids.Count; i++)
{
// Predict step
double x_prior = x;
double P_prior = P + Q;
// Update step
double K = P_prior / (P_prior + R);
x = x_prior + K * (mids[i] - x_prior);
P = (1 - K) * P_prior;
}
return x; // the latest estimated mean
}
}
@@ -0,0 +1,137 @@
namespace bts.SilverPine {
using BCG;
using System.Diagnostics;
public class SpreadPerformanceStream : ViewStream {
ViewStream _spread_price_stream = null;
private readonly IBlueTableSchema _schema;
private readonly int _window_secs;
private readonly double _buy_threshold, _sell_threshold, _flat_threshold;
private ViewStream _bbo_stream;
public SpreadPerformanceStream(string s1, string s2, double w1, double w2, int window_secs,
double buy_threshold, double sell_threshold, double flat_threshold)
: this(s1, s2, w1, w2, window_secs, buy_threshold, sell_threshold, flat_threshold, ViewStreamDatabase.instance) { }
public SpreadPerformanceStream(string s1, string s2, double w1, double w2, int window_secs,
double buy_threshold, double sell_threshold, double flat_threshold,
ViewStreamDatabase vsd) {
_bbo_stream = new BBOStream(vsd);
_schema = BlueDataUtility.form_schema("SpreadPerformance", Tuple.Create("id", TypeCode.Int32),
Tuple.Create("t0", TypeCode.DateTime),
Tuple.Create("t1", TypeCode.DateTime),
Tuple.Create("n_ticks", TypeCode.UInt32),
Tuple.Create("curr_windows_seconds", TypeCode.Double),
// means / std dev
Tuple.Create("stddev", TypeCode.Double),
Tuple.Create("mean", TypeCode.Double),
Tuple.Create("kalman_filter_mean", TypeCode.Double),
Tuple.Create("absolute_mean_drift", TypeCode.Double),
Tuple.Create("relative_mean_drift", TypeCode.Double),
// statistical measures
Tuple.Create("hurst_exponent", TypeCode.Double),
Tuple.Create("half_life", TypeCode.Double),
Tuple.Create("lag1_autocorrelation", TypeCode.Double),
Tuple.Create("average_zscore_decay", TypeCode.Double),
Tuple.Create("variance_ratio", TypeCode.Double),
Tuple.Create("n_zero_crossings", TypeCode.UInt32),
// distributions
Tuple.Create("Z ≤ 0.5σ", TypeCode.Double),
Tuple.Create("0.5σ – 1.0σ", TypeCode.Double),
Tuple.Create("1.0σ – 2.0σ", TypeCode.Double),
Tuple.Create("> 2.0σ", TypeCode.Double),
////////////////////////////////////////
Tuple.Create("max_bid", TypeCode.Double),
Tuple.Create("min_ask", TypeCode.Double),
Tuple.Create("n_buy_signals", TypeCode.UInt32),
Tuple.Create("cumm_buy_price", TypeCode.Double),
Tuple.Create("n_sell_signals", TypeCode.UInt32),
Tuple.Create("cumm_sell_price", TypeCode.Double)
//Tuple.Create("pnl", TypeCode.Double),
//Tuple.Create("buy_turns", TypeCode.UInt32),
//Tuple.Create("sell_turns", TypeCode.UInt32),
//Tuple.Create("trades", TypeCode.String)
);
_window_secs = window_secs;
_buy_threshold = buy_threshold;
_sell_threshold = sell_threshold;
_flat_threshold = flat_threshold;
_spread_price_stream = new SyntheticSpreadStream(s1, s2, w1, w2, _bbo_stream, vsd);
_spread_price_stream = new TimeSeriesStream(_spread_price_stream);
_spread_price_stream = new ThrottleStream(_spread_price_stream, TimeSpan.FromSeconds(5.0), vsd);
}
protected override void myOnFirstSubscriber() {
_spread_price_stream.onChange += _handle_spread_prices;
}
protected override void myOnLastSubscriber() {
_spread_price_stream.onChange -= _handle_spread_prices;
}
private void _handle_spread_prices(object dp_obj) {
DataPacket dp = dp_obj as DataPacket;
List<Tuple<DateTime, double, double, double, double>> spread_ts_prices = new List<Tuple<DateTime, double, double, double, double>>();
DateTime min_time = DateTime.MaxValue; DateTime max_time = DateTime.MinValue;
var sw = Stopwatch.StartNew();
sw.Start();
foreach (IBlueRow r in dp.newRows) {
DateTime ts = r.get_datetime("timestamp");
TimeSpan elapsed_time = DateTime.Now - ts;
if (elapsed_time.TotalSeconds >= _window_secs)
continue;
spread_ts_prices.Add(Tuple.Create(
r.get_datetime("timestamp"),
r.get<double>("spread_bid_price"),
r.get<double>("spread_bid_sz"),
r.get<double>("spread_ask_price"),
r.get<double>("spread_ask_sz")));
if (ts <= min_time) {
min_time = ts;
}
if (ts >= max_time) {
max_time = ts;
}
}
List<Tuple<double, double, double, double>> spread_prices = spread_ts_prices
.OrderBy(t => t.Item1)
.Select(t => Tuple.Create(t.Item2, t.Item3, t.Item4, t.Item5))
.ToList();
uint n_ticks = (uint)spread_prices.Count;
double curr_windows_seconds = (max_time - min_time).TotalSeconds;
double hurst_exponent = SpreadPerformanceEvaluator.EvaluateHurstExponent(spread_prices);
double half_life = SpreadPerformanceEvaluator.ComputeHalfLife (spread_prices);
double lag1_autocorrelation = SpreadPerformanceEvaluator.ComputeLag1Autocorrelation(spread_prices);
double average_zscore_decay = SpreadPerformanceEvaluator.ComputeAverageZScoreDecay(spread_prices);
double variance_ratio = SpreadPerformanceEvaluator.ComputeVarianceRatio(spread_prices, 60, 360);
(double mean, double stddev) = SpreadPerformanceEvaluator.EvaluateMeanAndStdDev(spread_prices);
double kalman_filter_mean = SpreadPerformanceEvaluator.GetLatestKalmanMean(spread_prices);
uint n_zero_crossings = SpreadPerformanceEvaluator.EvaluateZeroCrossingCount(spread_prices);
(double max_bid, double min_ask) = SpreadPerformanceEvaluator.EvaluateMaxBidMinAsk(spread_prices);
(uint n_buy_signals, double cumm_buy_price, uint n_sell_signals, double cumm_sell_price) = SpreadPerformanceEvaluator.EvaluateExcursionCount(spread_prices, _buy_threshold);
//(double pnl, List<SpreadPerformanceEvaluator.TradeAction> trades, int buy_turns, int sell_turns) = SpreadPerformanceEvaluator.EvaluateSimulatedPnL(spread_prices, 30, _buy_threshold, _flat_threshold);
//string trade_str = String.Empty;
//foreach (var tr in trades) {
// trade_str += tr.ToString() + " , ";
//}
Dictionary<string, double> dist_map = SpreadPerformanceEvaluator.EvaluateDistributionAroundMean(spread_prices,
new List<double>(new double[] { 0.5, 1.0, 2.0 }));
var dist_vals = dist_map.Count < 4 ? new double[] { Double.NaN, Double.NaN, Double.NaN, Double.NaN } : dist_map.Values.ToArray();
(double absolute_drift, double relative_drift) = SpreadPerformanceEvaluator.EvaluateMeanDriftScore(spread_prices);
IBlueRow nr = new BlueRow(_schema, 0, min_time, max_time, n_ticks, curr_windows_seconds, stddev, mean, kalman_filter_mean, absolute_drift, relative_drift,
hurst_exponent, half_life, lag1_autocorrelation, average_zscore_decay, variance_ratio, n_zero_crossings,
dist_vals[0], dist_vals[1], dist_vals[2], dist_vals[3],
max_bid, min_ask, n_buy_signals, cumm_buy_price, n_sell_signals, cumm_sell_price);
BlueTable t = new BlueTable(_schema);
t.addRow(nr);
var dp_out = BlueDataUtility.build_dp_inc(t, myLastValue as DataPacket, true);
var perf_msecs = sw.ElapsedMilliseconds;
sw.Stop();
Log.Gen.info($"SpreadPerformanceStream._handle_spread_prices comp_time: {perf_msecs} msecs");
myFireEvent(dp_out);
}
}
}
@@ -0,0 +1,68 @@
namespace bts.SilverPine{
using BCG;
public class SpreadStatArbsWeightLinearRegressionStream : ViewStream {
private IBlueTableSchema _schema;
private ViewStream _leg_price_stream;
private readonly double _window_secs;
private readonly string _s1, _s2;
public SpreadStatArbsWeightLinearRegressionStream(string s1, string s2, double window_secs, double sample_period_secs)
: this(s1, s2, window_secs, sample_period_secs, ViewStreamDatabase.instance) { }
public SpreadStatArbsWeightLinearRegressionStream(string s1, string s2, double window_secs, double sample_period_secs, ViewStreamDatabase vsd) {
_window_secs = window_secs;
_s1 = s1;
_s2 = s2;
_schema = BlueDataUtility.form_schema("LinearRegressionWeights",
Tuple.Create("id", TypeCode.Int32),
Tuple.Create("t0", TypeCode.DateTime),
Tuple.Create("t1", TypeCode.DateTime),
Tuple.Create("curr_windows_seconds", TypeCode.Double),
Tuple.Create("n_ticks", TypeCode.UInt32),
Tuple.Create("s1", TypeCode.String),
Tuple.Create("w1", TypeCode.Double),
Tuple.Create("s2", TypeCode.String),
Tuple.Create("w2", TypeCode.String));
_leg_price_stream = new TimeSeriesStream(new SyntheticSpreadLegsStream(s1, s2));
_leg_price_stream = new ThrottleStream(_leg_price_stream, TimeSpan.FromSeconds(1), vsd);
}
protected override void myOnFirstSubscriber() {
_leg_price_stream.onChange += _handle_leg_prices;
}
protected override void myOnLastSubscriber() {
_leg_price_stream.onChange -= _handle_leg_prices;
}
private void _handle_leg_prices(object dp_obj){
DataPacket dp = dp_obj as DataPacket;
List<Tuple<double, double, DateTime>> leg_prices = new List<Tuple<double, double, DateTime>>();
foreach (IBlueRow r in dp.newRows){
double s1_mid = (r.get<double>("s1_bid_price") + r.get<double>("s1_ask_price")) /2.0;
double s2_mid = (r.get<double>("s2_bid_price") + r.get<double>("s2_ask_price")) /2.0;
DateTime ts = r.get_datetime("timestamp");
leg_prices.Add(new Tuple<double, double, DateTime>(s1_mid, s2_mid, ts));
}
if (leg_prices.Count <= 2)
return;
leg_prices = leg_prices.Where(t => (DateTime.Now - t.Item3).TotalSeconds <= _window_secs).ToList();
DateTime t0 = leg_prices.Select(t => t.Item3).Min();
DateTime t1 = leg_prices.Select(t => t.Item3).Max();
double curr_windows_seconds = (t1 - t0).TotalSeconds;
int n_ticks = leg_prices.Count;
List<double> s1_mids = leg_prices.Select(t => t.Item1).ToList();
List<double> s2_mids = leg_prices.Select(t => t.Item2).ToList();
(double w1, double w2) = SpreadWeightCalculator.CalculateWeightsLinearRegression(s1_mids, s2_mids);
BlueTable state = new BlueTable(_schema);
IBlueRow nr = new BlueRow(_schema, 0, t0, t1, curr_windows_seconds, n_ticks,_s1, w1, _s2, w2);
state.addRow(nr);
var dp_out = BlueDataUtility.build_dp_inc(state, myLastValue as DataPacket, true);
myFireEvent(dp_out);
}
}
}
@@ -0,0 +1,143 @@
namespace bts.SilverPine {
using BCG;
using MathNet.Numerics.LinearAlgebra.Factorization;
using System;
using System.Collections.Generic;
using System.Diagnostics;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
[DataStreamUserRespresentation("SpreadStatsStream")]
// This is the fundamental stream that computes the stats (including buy and sell zones)
// of a spread. the legs and the weights are passed as args
public class SpreadStatsStream : ViewStream {
private ViewStream _spread_price_stream;
private readonly IBlueTableSchema _schema;
private readonly TimeSpan _window_sz;
private readonly string _spread;
public SpreadStatsStream(string s1, string s2, double w1, double w2, int rolling_window_sz_seconds, int window_sampling_sz_secs)
: this(s1, s2, w1, w2, rolling_window_sz_seconds, window_sampling_sz_secs, new BBOStream(ViewStreamDatabase.instance), ViewStreamDatabase.instance) { }
public SpreadStatsStream(string s1, string s2, double w1, double w2, int rolling_window_sz_seconds, int window_sampling_sz_secs, ViewStream bbo_stream, ViewStreamDatabase vsd) {
_window_sz = TimeSpan.FromSeconds(rolling_window_sz_seconds);
_spread = $"{w1} X {s1} - {w2} X {s2}";
_schema = new BlueTableSchema("SpreaddStats", new ColumnInfo ("id", 0, TypeCode.Int32));
_schema = _schema.add_column(TypeCode.String, "spread");
_schema = _schema.add_column(TypeCode.String, "window");
// basic stats
_schema = _schema.add_column(TypeCode.Double, "bid_mean");
_schema = _schema.add_column(TypeCode.Double, "ask_mean");
_schema = _schema.add_column(TypeCode.Double, "bid_stddev");
_schema = _schema.add_column(TypeCode.Double, "ask_stddev");
_schema = _schema.add_column(TypeCode.Double, "bid_skewness");
_schema = _schema.add_column(TypeCode.Double, "ask_skewness");
_schema = _schema.add_column(TypeCode.Double, "bid_kurtosis");
_schema = _schema.add_column(TypeCode.Double, "ask_kurtosis");
_schema = _schema.add_column(TypeCode.Double, "bid_max");
_schema = _schema.add_column(TypeCode.Double, "ask_max");
_schema = _schema.add_column(TypeCode.Double, "bid_min");
_schema = _schema.add_column(TypeCode.Double, "ask_min");
// bid bins
_schema = _schema.add_column(TypeCode.Double, "bid Z < -2σ");
_schema = _schema.add_column(TypeCode.Double, "bid -2σ ≤ Z < -1σ");
_schema = _schema.add_column(TypeCode.Double, "bid -1σ ≤ Z < 0σ");
// positive z's
_schema = _schema.add_column(TypeCode.Double, "bid 0σ ≤ Z < 1σ");
_schema = _schema.add_column(TypeCode.Double, "bid 1σ ≤ Z < 2σ");
_schema = _schema.add_column(TypeCode.Double, "bid Z ≥ 2σ");
// ask bins
_schema = _schema.add_column(TypeCode.Double, "ask Z < -2σ");
_schema = _schema.add_column(TypeCode.Double, "ask -2σ ≤ Z < -1σ");
_schema = _schema.add_column(TypeCode.Double, "ask -1σ ≤ Z < 0σ");
// positive z's
_schema = _schema.add_column(TypeCode.Double, "ask 0σ ≤ Z < 1σ");
_schema = _schema.add_column(TypeCode.Double, "ask 1σ ≤ Z < 2σ");
_schema = _schema.add_column(TypeCode.Double, "ask Z ≥ 2σ");
// opps
_schema = _schema.add_column(TypeCode.Int32, "n_buy_ticks");
_schema = _schema.add_column(TypeCode.Double, "cumm_buy_price");
_schema = _schema.add_column(TypeCode.Int32, "n_sell_ticks");
_schema = _schema.add_column(TypeCode.Double, "cumm_sell_price");
_schema = _schema.add_column(TypeCode.Int32, "n_trade_ticks");
_spread_price_stream = new SyntheticSpreadStream(s1, s2, w1, w2, bbo_stream, vsd);
_spread_price_stream = new TimeSeriesStream(_spread_price_stream);
double window_sampling_sz_smsecs = window_sampling_sz_secs * 1000.0 + new Random(DateTime.Now.Second).Next(-100, 100);
TimeSpan sampling_period = TimeSpan.FromMilliseconds(window_sampling_sz_smsecs);
_spread_price_stream = new ThrottleStream(_spread_price_stream, sampling_period, vsd);
}
protected override void myOnFirstSubscriber() {
_spread_price_stream.onChange += _handle_spread_prices;
}
protected override void myOnLastSubscriber() {
_spread_price_stream.onChange -= _handle_spread_prices;
}
private void _handle_spread_prices(object dp_obj) {
List<IBlueRow> rows = (dp_obj as DataPacket).newRows.to_list();
Func<IBlueRow, bool> row_filter = (r) => {
DateTime ts = r.get_datetime("timestamp");
DateTime start_time = DateTime.Now.Subtract(_window_sz);
return ts >= start_time;
};
var rolling_win_rows = rows.Where(r => row_filter(r));
var spread_prices = rolling_win_rows.Select(r => (
r.get_datetime("timestamp"),
r.get<double>("spread_bid_price"),
r.get<double>("spread_bid_sz"),
r.get<double>("spread_ask_price"),
r.get<double>("spread_ask_sz"))).ToList();
spread_prices.Sort((a,b) => a.Item1.CompareTo(b.Item1));
DateTime t0 = spread_prices.First().Item1, t1 = spread_prices.Last().Item1;
var tot_secs = (t1 - t0).TotalSeconds;
var stopwatch = Stopwatch.StartNew();
Log.Gen.info($"SpreadStatsStream.analyze_spread_quotes executed in {stopwatch.ElapsedMilliseconds} ms");
var result = SpreadPerformanceEvaluator.SpreadStatistics.analyze_spread_quotes(spread_prices);
(uint n_buy_signals, double cumm_buy_price, uint n_sell_signals, double cumm_sell_price) =
SpreadPerformanceEvaluator.EvaluateExcursionCount(spread_prices.Select(t => Tuple.Create(t.Item2, t.Item3, t.Item4, t.Item5)).ToList(), 2.0);
IBlueRow nr = new BlueRow(_schema,
0,
_spread,
$"n_ticks: {spread_prices.Count} t0: {t0.ToLongTimeString()} -> t1: {t1.ToLongTimeString()} ({tot_secs}) secs",
result.bid_stats.Mean,
result.ask_stats.Mean,
result.bid_stats.StandardDeviation,
result.ask_stats.StandardDeviation,
result.bid_stats.Skewness,
result.ask_stats.Skewness,
result.bid_stats.Kurtosis,
result.ask_stats.Kurtosis,
result.bid_stats.Maximum,
result.ask_stats.Maximum,
result.bid_stats.Minimum,
result.ask_stats.Minimum,
// bid distribution
result.bid_zscore_distribution["Z < -2σ"],
result.bid_zscore_distribution["-2σ ≤ Z < -1σ"],
result.bid_zscore_distribution["-1σ ≤ Z < 0σ"],
result.bid_zscore_distribution["0σ ≤ Z < 1σ"],
result.bid_zscore_distribution["1σ ≤ Z < 2σ"],
result.bid_zscore_distribution["Z ≥ 2σ"],
// ask distributions
result.ask_zscore_distribution["Z < -2σ"],
result.ask_zscore_distribution["-2σ ≤ Z < -1σ"],
result.ask_zscore_distribution["-1σ ≤ Z < 0σ"],
result.ask_zscore_distribution["0σ ≤ Z < 1σ"],
result.ask_zscore_distribution["1σ ≤ Z < 2σ"],
result.ask_zscore_distribution["Z ≥ 2σ"],
n_buy_signals,
cumm_buy_price,
n_sell_signals,
cumm_sell_price,
n_buy_signals + n_sell_signals
);
stopwatch.Stop();
BlueTable t = new BlueTable(_schema);
t.addRow(nr);
var dp_out = BlueDataUtility.build_dp(t, myLastValue as DataPacket);
myFireEvent(dp_out);
}
}
}
@@ -0,0 +1,49 @@
using System;
using System.Collections.Generic;
using MathNet.Numerics.LinearRegression;
namespace bts.SilverPine {
public static class SpreadWeightCalculator {
/// <summary>
/// Estimates hedge weights (w1, w2) such that the spread s = w1 * s1 - w2 * s2
/// is potentially mean-reverting. Uses linear regression: s1 = beta * s2 + ε.
///
/// Assumes mid-prices are precomputed and aligned over the same time window.
/// </summary>
/// <param name="s1MidPrices">List of mid-prices for asset 1 (dependent variable)</param>
/// <param name="s2MidPrices">List of mid-prices for asset 2 (independent variable)</param>
/// <param name="includeIntercept">
/// Whether to include an intercept in the regression model (default: true).
/// </param>
/// <returns>(w1, w2): Tuple of hedge weights</returns>
public static (double w1, double w2) CalculateWeightsLinearRegression(
List<double> s1MidPrices,
List<double> s2MidPrices,
bool includeIntercept = true) {
if (s1MidPrices == null || s2MidPrices == null)
throw new ArgumentNullException("Price series cannot be null.");
if (s1MidPrices.Count != s2MidPrices.Count)
throw new ArgumentException("Price series must be of equal length.");
if (s1MidPrices.Count < 2)
throw new ArgumentException("Need at least two data points for regression.");
double[] x = s2MidPrices.ToArray(); // Independent variable
double[] y = s1MidPrices.ToArray(); // Dependent variable
double beta;
if (includeIntercept) {
// Returns (intercept, slope)
(double intercept, double slope) = SimpleRegression.Fit(x, y);
beta = slope;
} else {
// Returns only slope when forcing regression through origin
beta = SimpleRegression.FitThroughOrigin(x, y);
}
// Return fixed w1 = 1.0 and w2 = beta
return (1.0, beta);
}
}
}
@@ -0,0 +1,118 @@
// TODO: Remove
//// namespace bts.SilverPine
//// using bts;
//// using BCG;
//// using MongoDB.Driver.Linq;
//// using System.ComponentModel.DataAnnotations;
//// using ZstdSharp.Unsafe;
//// [DataStreamUserRespresentation("VWAP")]
//// public class VWAPStream : ViewStream {
//// // returns the VWAP stream for each contract
//// private static ViewStream build_vwap_stream(string symbol, DateTime begin_dt, DateTime end_dt) {
//// var ohlcv_params = OHLCVStream.get_params(begin_dt, end_dt);
//// ViewStream ohlc_str = new OHLCVStream(symbol, ohlcv_params);
//// // stream is grouped per contract and then vwap is calculated per contract
//// GlobalMapStream rs = new GlobalMapStream(ohlc_str, "ts_event", "contract",
//// (rows, idx) => {
//// Log.Gen.info($"VWAPStream.GlobalMapStream delegate n_rows: {rows.Count} idx: {idx}");
//// IBlueRow ir = rows.ElementAt((int)idx);
//// var sel_rows = rows.Skip((int)idx).Where(r => r.get_datetime("ts_event") >= end_dt && r.get_datetime("ts_event") <= begin_dt);
//// var volumeprices = sel_rows.Select(r => Tuple.Create(r.get<int>("volume"), r.get<double>("close"))).ToList();
//// double vwap = IndicatorCalc.calculate_VWAP(volumeprices);
//// IBlueTableSchema schema = ir.schema.add_columns(Tuple.Create(typeof(double), "vwap"));
//// MutableBlueRow nr = new MutableBlueRow(schema, ir);
//// //vwap = -313.987;
//// nr.setValue("vwap", vwap);
//// return nr;
//// });
//// return rs;
//// }
//// // the args want dt1 > dt2, if its nto we, swap them
//// static void swap_if_necessary(ref DateTime dt1, ref DateTime dt2) {
//// if (dt1 < dt2) {
//// DateTime aux = dt1;
//// dt1 = dt2;
//// dt2 = aux;
//// }
//// }
//// // this assumes the ohlc_str has diff contracts
//// public VWAPStream(string symbol_or_contract, DateTime begin_dt, DateTime end_dt) {
//// swap_if_necessary(ref begin_dt, ref end_dt);
//// Tuple<ContractUtils.ContractCategory, string> ccat_sym_contr = ContractUtils.get_symbol_category(symbol_or_contract);
//// string symbol = String.Empty;
//// symbol = ccat_sym_contr.Item2;
//// var ohlcv_params = OHLCVStream.get_params(begin_dt, end_dt);
//// ViewStream vwap_str = build_vwap_stream(symbol, begin_dt, end_dt);
//// // vwap_str now has vwap for all contracts. if the arg was a symbol, we need to filter it for the active contract,
//// // whihc we do with FutureActivesContractStream. If the arg was a contract we'll simply filter it
//// ViewStream rs = vwap_str;
//// switch (ccat_sym_contr.Item1) {
//// case ContractUtils.ContractCategory.FutureString:
//// case ContractUtils.ContractCategory.SpreadString:
//// rs = new FilterStream(vwap_str, r => r.get<string>("contract").CompareTo(ccat_sym_contr.Item2) == 0);
//// break;
//// case ContractUtils.ContractCategory.Symbol:
//// rs = new FuturesActiveContractStream(vwap_str);
//// break;
//// }
//// rs = new FilterStream(rs, r => r.get_datetime("ts_event").CompareTo(begin_dt) == 0);
//// rs = new NewProjectStream(rs, "! vwap");
//// mySetRealSource(rs);
//// }
//// public VWAPStream(string symbol_or_contract, string begin_dt, string end_dt)
//// :
//// this(symbol_or_contract, DateTime.Parse(begin_dt), DateTime.Parse(end_dt)) { }
//// }
//// }
//using System;
//using BCG;
//using bts.api;
//namespace bts.SilverPine {
// /*
// ----------------------------------------------------------------------
// *Expression*
// ----------------------------------------------------------------------
// //nl("Find Settlement price of the SP500 future in the first week of 2023.")
// r=FutureHistoricalBars("ES", "One_Day", "1/1/2024", "2/1/2024")
// r=math(r, "vprice = volume * close")
// r=aggregate(r, "vprice:Sum, volume:Sum")
// r=math(r, "vwap = vprice_sum / volume_sum")
// r=newProject(r, "vwap !")
// ----------------------------------------------------------------------
// *Schema*
// ----------------------------------------------------------------------
// id System.Int32
// vwap System.Double
// */
// [DataStreamUserRespresentation("VWAP")]
// public class VWAPStream : ViewStream {
// public VWAPStream(string symbol_or_contract, DateTime beg_dt, DateTime end_dt)
// :
// this(symbol_or_contract, beg_dt, end_dt, ViewStreamDatabase.instance) { }
// public VWAPStream(string symbol_or_contract, DateTime beg_dt, DateTime end_dt, ViewStreamDatabase db) {
// //var fc = new ContractUtils.FutureContract(symbol_or_contract);
// ViewStream r = new FutureHistoricalBarsStream(symbol_or_contract, beg_dt.ToString(), end_dt.ToString());
// // since this is already filtered, we can groupBy iit without a groupBy column
// r = new MathStream(r,
// "vprice = volume * close");
// r = new NonIncGroupByStream(r,
// "vprice:Sum, volume:Sum");
// r = new MathStream(r,
// "vwap = vprice_sum / volume_sum");
// r = new NewProjectStream(r,
// "vwap !");
// mySetRealSource(r);
// }
// }
//}
@@ -13,7 +13,6 @@ namespace bts.SilverPine {
using Spark.Api.MarketData;
using SecurityKey = System.UInt32;
using System.Data.Entity.Infrastructure;
public class FakeBBOStream : ViewStream, IWorker {
private string _symbol;
@@ -105,14 +104,14 @@ namespace bts.SilverPine {
public class BBOStream : ViewStream, IWorker {
private readonly TimeSpan _poll_period = TimeSpan.FromMilliseconds(500);
private DateTime _last_poll_time = DateTime.MinValue;
private ViewStreamDatabase _vsd;
private int _id = 0;
IReadOnlyDictionary<SecurityKey, BookTuple> _cached_state = null;
MarketDataClient _md_client;
private ViewStreamDatabase? _vsd;
IReadOnlyDictionary<SecurityKey, BookTuple>? _cached_state = null;
MarketDataClient? _md_client;
internal static IBlueTableSchema _bbo_schema = BlueDataUtility.form_schema("bbo",
Tuple.Create("id", TypeCode.Int32),
Tuple.Create("sec_key", TypeCode.UInt32),
Tuple.Create("sec", TypeCode.String),
Tuple.Create("exchange", TypeCode.String),
Tuple.Create("bid_price", TypeCode.Double),
Tuple.Create("bid_sz", TypeCode.Single),
Tuple.Create("ask_price", TypeCode.Double),
@@ -124,17 +123,18 @@ namespace bts.SilverPine {
}
public BBOStream(ViewStreamDatabase vsd) {
// bts.Log.Gen.info("BBOStream.cons");
// _vsd = vsd;
// _md_client = new MarketDataClient(new MDSource(TimeSpan.FromSeconds(0.5)));
FakeBBOStream rs = new FakeBBOStream("Future", "CME", "ES", 5000, 0.25, vsd);
mySetRealSource(rs);
bts.Log.Gen.info("BBOStream.cons");
_vsd = vsd;
_md_client = new MarketDataClient(new MDSource(TimeSpan.FromSeconds(0.5)));
//FakeBBOStream rs = new FakeBBOStream("Future", "CME", "ES", 5000, 0.25, vsd);
//mySetRealSource(rs);
}
protected override void myOnFirstSubscriber() {
_vsd.addWorker(this);
_md_client.books().Subscribe(_on_books);
_vsd?.addWorker(this);
_md_client?.books().Subscribe(_on_books);
}
private void _log_updates(TableUpdate<BookTuple, uint> update) {
@@ -144,24 +144,24 @@ namespace bts.SilverPine {
}
foreach (Change<BookTuple> c in update.changes) {
var bt = c.New;
bts.Log.Gen.info($"BBOStream changes: idx: {i} bid: {bt.book.bids[0].price} / {bt.book.bids[0].size} ask: {bt.book.asks[0].price} / {bt.book.asks[0].size}");
//bts.Log.Gen.info($"BBOStream changes: idx: {i} bid: {bt.book.bids[0].price} / {bt.book.bids[0].size} ask: {bt.book.asks[0].price} / {bt.book.asks[0].size}");
}
}
private void _on_books(TableUpdate<BookTuple, uint> update) {
_log_updates(update);
// just cacching in here, will populate the rows in _poll_scan and fire the datapacket
bts.Log.Gen.info($"BBOStream._on_books state: {update.state.Count()} changes: {update.changes.Count()} added: {update.added.Count()}");
//bts.Log.Gen.info($"BBOStream._on_books state: {update.state.Count()} changes: {update.changes.Count()} added: {update.added.Count()}");
_cached_state = update.state;
}
protected override void myOnLastSubscriber() {
_vsd.removeWorker(this);
_vsd?.removeWorker(this);
}
private void _scan_bbo() {
// this shouldn be made incremental using the TableUpdate
bts.Log.Gen.info("BBOStream._scan_bbo");
//bts.Log.Gen.info("BBOStream._scan_bbo");
if (_cached_state == null)
return;
BlueTable new_state = new BlueTable(_bbo_schema);
@@ -170,22 +170,23 @@ namespace bts.SilverPine {
var sec = kv.Value.security;
int id = Convert.ToInt32(skey);
BookTuple bt = kv.Value;
IBlueRow r = new BlueRow(_bbo_schema, id, skey, sec.ToString(), bt.book.bids[0].price, bt.book.bids[0].size,
var venue = sec.Exchange;
IBlueRow r = new BlueRow(_bbo_schema, id, skey, sec.ToString(), venue.ToString(), bt.book.bids[0].price, bt.book.bids[0].size,
bt.book.asks[0].price, bt.book.asks[0].size);
new_state.addRow(r);
}
DataPacket dp = null;
if (myLastValue == null) {
dp = new DataPacket(new_state, new_state, new BlueTable(_bbo_schema));
} else {
DataPacket old_dp = myLastValue as DataPacket;
IBlueRowCollection added_rows, del_rows;
BlueDataUtility.compute_differences_fast(new_state, old_dp.newRows, out del_rows, out added_rows);
dp = new DataPacket(new_state, added_rows, del_rows);
}
var dp = accumulate(myLastValue as DataPacket, new_state);
if (dp.addedRows.Count == 0 && dp.deletedRows.Count == 0)
return;
myFireEvent(dp);
static DataPacket accumulate(DataPacket? old_dp, BlueTable new_state) {
if (old_dp is null) {
return new(new_state, new_state, new BlueTable(_bbo_schema));
}
BlueDataUtility.compute_differences_fast(new_state, old_dp.newRows, out var del_rows, out var added_rows);
return new(new_state, added_rows, del_rows);
}
}
public void doWork() {
@@ -195,4 +196,4 @@ namespace bts.SilverPine {
}
}
}
}
}
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