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
2204 changed files with 23348 additions and 10545 deletions

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+2 -1
View File
@@ -34,7 +34,7 @@
# 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
@@ -44,5 +44,6 @@ 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.)
+42 -86
View File
@@ -199,24 +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)",
@@ -224,74 +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 "${CMAKE_INSTALL_BINDIR}")
endif()
endif()
+13 -10
View File
@@ -31,9 +31,8 @@
"CMAKE_SHARED_LINKER_FLAGS_RELEASE": "/OPT:REF /OPT:ICF /LTCG",
"CMAKE_TOOLCHAIN_FILE": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
"EXTERNALS_ROOT": "${sourceDir}/externals/windows",
"CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0",
"DOTNET_WINDOWS_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0-windows",
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0;${sourceDir}/build/$<CONFIG>/bin/net8.0-windows",
"EXPORT_MD_CONSUMER": {
"type": "BOOL",
"value": "ON"
@@ -58,11 +57,12 @@
"APP_DATA_DIR_OVERRIDE": "${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": "${sourceDir}/vcpkg/scripts/buildsystems/vcpkg.cmake",
"DATABENTO_USE_EXTERNAL_JSON": {
@@ -93,7 +93,7 @@
"value": "ON"
},
"CCAPI_LOG_LEVEL": "Info",
"CONFIG_DEFAULTS_PATH": "config/profiles/md_dev/*.conf;config/profiles/default/*.conf"
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/md_dev/*.conf;spark/config/profiles/default/*.conf"
}
},
@@ -104,7 +104,7 @@
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Release",
"CCAPI_LOG_LEVEL": "Warn",
"CONFIG_DEFAULTS_PATH": "config/profiles/md_prod/*.conf;config/profiles/default/*.conf"
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/md_prod/*.conf;spark/config/profiles/default/*.conf"
}
},
@@ -186,7 +186,11 @@
"CMAKE_CXX_FLAGS_DEBUG": "-g -fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -DDEBUG",
"CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -fno-omit-frame-pointer -DNDEBUG -O3",
"CMAKE_INSTALL_PREFIX": "${sourceDir}/install/${presetName}",
"CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf",
"CMAKE_EXPORT_COMPILE_COMMANDS": {
"type": "BOOL",
"value": "ON"
},
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf",
"DOTNET_BINARY_DIR": "${sourceDir}/build/$<CONFIG>/bin/net8.0",
"EXPORT_MD_CONSUMER": {
"type": "BOOL",
@@ -227,7 +231,7 @@
"cacheVariables": {
"APP_DATA_DIR": "${dollar}{APPDATA}/bts/DataStream",
"APP_DATA_DIR_OVERRIDE": "${dollar}{DATA_STREAM_DATA_DIR}",
"CONFIG_DEFAULTS_PATH": "config/profiles/default/*.conf;config/profiles/data_stream/*.conf",
"CONFIG_DEFAULTS_PATH": "spark/config/profiles/default/*.conf;spark/config/profiles/data_stream/*.conf",
"SHARED_MEMORY_PREFIX": "data_stream"
}
},
@@ -262,8 +266,7 @@
"CMAKE_CXX_COMPILER": "clang++",
"CMAKE_CXX_FLAGS_DEBUG": "-g -fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -DDEBUG",
"CMAKE_CXX_FLAGS_RELEASE": "-fPIC -Wall -pedantic -Wextra -Werror -Wno-missing-braces -Wno-ignored-qualifiers --std=c++20 -fdiagnostics-color -fno-omit-frame-pointer -DNDEBUG -O3",
"CMAKE_INSTALL_PREFIX": "${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})
+4 -2
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 "
@@ -39,11 +40,12 @@ services:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/sparkdata/data
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/sparkdata/conf
build:
dockerfile: src/server/sparkd/Dockerfile
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${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 "
@@ -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;
+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
@@ -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));
}
}
}
@@ -18,6 +18,7 @@
<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" />
@@ -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)
@@ -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;
@@ -40,4 +40,4 @@ namespace BCG {
myFireSwitch = myLastFiredPacket.addedRows.Count + myLastFiredPacket.deletedRows.Count == 0 ? false : true;
}
}
}
}
@@ -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) {
@@ -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;
}
}
@@ -1,4 +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);
}
}
}
@@ -1,4 +1,5 @@
namespace bts.SilverPine {
namespace bts.BlueOrb {
using bts.SilverPine;
using BCG;
using System;
@@ -1,117 +1,118 @@
// namespace bts.SilverPine {
// using bts;
// using BCG;
// using MongoDB.Driver.Linq;
// using System.ComponentModel.DataAnnotations;
// using ZstdSharp.Unsafe;
// 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;
// }
// }
//// [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);
// }
//// // 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)) { }
// }
// }
//// 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 System;
using BCG;
//using BCG;
using bts.api;
//using bts.api;
namespace bts.SilverPine {
/*
----------------------------------------------------------------------
*Expression*
----------------------------------------------------------------------
//nl("Find Settlement price of the SP500 future in the first week of 2023.")
//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 !")
// 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
*/
// ----------------------------------------------------------------------
// *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) { }
// [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);
}
}
}
// 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);
// }
// }
//}
@@ -1,53 +1,53 @@
using BCG;
//using BCG;
namespace bts.SilverPine {
/*
----------------------------------------------------------------------
*Expression*
----------------------------------------------------------------------
//r=FutureHistoricalBars("ES*", "02/01/2024 09:30 AM", "02/01/2024 09:30 PM")
r=FutureHistoricalBars("ES*","One_Day", 02/01/2024, 02/01/2025)
r=contractExpander(r,"symbol")
r=filter(r,"contract_type='FutureSpread'")
r=aggregate(r,"symbol","volume:Sum","ts_event")
r=aggregate(r,"volume_sum:Max")
r=newProject(r,"volume_sum_max:volume symbol !")
//namespace bts.SilverPine {
// /*
// ----------------------------------------------------------------------
// *Expression*
// ----------------------------------------------------------------------
// //r=FutureHistoricalBars("ES*", "02/01/2024 09:30 AM", "02/01/2024 09:30 PM")
// r=FutureHistoricalBars("ES*","One_Day", 02/01/2024, 02/01/2025)
// r=contractExpander(r,"symbol")
// r=filter(r,"contract_type='FutureSpread'")
// r=aggregate(r,"symbol","volume:Sum","ts_event")
// r=aggregate(r,"volume_sum:Max")
// r=newProject(r,"volume_sum_max:volume symbol !")
----------------------------------------------------------------------
*Schema*
----------------------------------------------------------------------
symbol System.String
id System.Int32
volume System.Double
*/
// ----------------------------------------------------------------------
// *Schema*
// ----------------------------------------------------------------------
// symbol System.String
// id System.Int32
// volume System.Double
// */
[DataStreamUserRespresentation("VolumeAgg")]
public class VolumeAggregationStream : ViewStream {
public VolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end)
: this(future_contract, contract_type, range_beg, range_end, ViewStreamDatabase.instance) { }
// [DataStreamUserRespresentation("VolumeAgg")]
// public class VolumeAggregationStream : ViewStream {
// public VolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end)
// : this(future_contract, contract_type, range_beg, range_end, ViewStreamDatabase.instance) { }
public VolumeAggregationStream(string future_contract, string contract_type, string range_beg, string range_end)
:
this(future_contract, contract_type, DateTime.Parse(range_beg), DateTime.Parse(range_end), ViewStreamDatabase.instance) { }
// public VolumeAggregationStream(string future_contract, string contract_type, string range_beg, string range_end)
// :
// this(future_contract, contract_type, DateTime.Parse(range_beg), DateTime.Parse(range_end), ViewStreamDatabase.instance) { }
public VolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end, ViewStreamDatabase db) {
future_contract = future_contract.EndsWith("*") ? future_contract : future_contract + "*";
ViewStream r;
r = new FutureHistoricalBarsStream(future_contract,
range_beg.ToString(), range_end.ToString());
r = new ContractExpanderStream(r, "symbol");
r = new FilterStream(r, $"contract_type='{contract_type}'");
r = new NonIncGroupByStream(r, "symbol", "volume:Sum", "ts_event");
r = new NonIncGroupByStream(r, "volume_sum:Max");
r = new NewProjectStream(r, "volume_sum_max:volume symbol !");
mySetRealSource(r);
}
}
// public VolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end, ViewStreamDatabase db) {
// future_contract = future_contract.EndsWith("*") ? future_contract : future_contract + "*";
// ViewStream r;
// r = new FutureHistoricalBarsStream(future_contract,
// range_beg.ToString(), range_end.ToString());
// r = new ContractExpanderStream(r, "symbol");
// r = new FilterStream(r, $"contract_type='{contract_type}'");
// r = new NonIncGroupByStream(r, "symbol", "volume:Sum", "ts_event");
// r = new NonIncGroupByStream(r, "volume_sum:Max");
// r = new NewProjectStream(r, "volume_sum_max:volume symbol !");
// mySetRealSource(r);
// }
// }
[DataStreamUserRespresentation("PeriodicVolumeAgg")]
public class PeriodicVolumeAggregationStream : ViewStream {
public PeriodicVolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end,
TimeSpan period, ViewStreamDatabase db) {
}
}
}
// [DataStreamUserRespresentation("PeriodicVolumeAgg")]
// public class PeriodicVolumeAggregationStream : ViewStream {
// public PeriodicVolumeAggregationStream(string future_contract, string contract_type, DateTime range_beg, DateTime range_end,
// TimeSpan period, ViewStreamDatabase db) {
// }
// }
//}
@@ -76,30 +76,3 @@ namespace bts.SilverPine {
}
}
}
namespace bts.SilverPine {
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);
}
}
}
@@ -1,16 +1,18 @@
namespace bts.SilverPine {
using bts;
using BCG;
// it uses the volume (better to use open interest perhap) to detect the rollover, ie when a new
// future exp becomes the highest volume one
[DataStreamUserRespresentation("FuturesRoll")]
public class FuturesRollStream : ViewStream {
public FuturesRollStream(string future_symbol) {
ViewStream rs = new FuturesContinousContractStream(future_symbol);
rs = new ColumnEvolutionStream(rs, "ts_event", "symbol");
rs = new NewProjectStream(rs, "symbol ts_event:roll_date !");
mySetRealSource(rs);
}
}
}
//TODO: Remove
//namespace bts.SilverPine {
// using bts;
// using BCG;
// // it uses the volume (better to use open interest perhap) to detect the rollover, ie when a new
// // future exp becomes the highest volume one
// [DataStreamUserRespresentation("FuturesRoll")]
// public class FuturesRollStream : ViewStream {
// public FuturesRollStream(string future_symbol) {
// ViewStream rs = new FuturesContinousContractStream(future_symbol);
// rs = new ColumnEvolutionStream(rs, "ts_event", "symbol");
// rs = new NewProjectStream(rs, "symbol ts_event:roll_date !");
// mySetRealSource(rs);
// }
// }
//}
@@ -1,26 +1,27 @@
namespace bts.SilverPine {
using BCG;
// TODO: Remove
//namespace bts.SilverPine {
// using BCG;
using bts;
// used directly in blueorb
[DataStreamUserRespresentation("Settlement")]
public class SettlementPriceStream : ViewStream {
// using bts;
// // used directly in blueorb
// [DataStreamUserRespresentation("Settlement")]
// public class SettlementPriceStream : ViewStream {
// public SettlementPriceStream(string future_name, string date_txt)
// : this(future_name, date_txt, date_txt) { }
// // public SettlementPriceStream(string future_name, string date_txt)
// // : this(future_name, date_txt, date_txt) { }
// public SettlementPriceStream(string future_name, string begin_dt, string end_dt)
// : this(future_name, DateTime.Parse(begin_dt).Date, DateTime.Parse(end_dt).Date) { }
// // public SettlementPriceStream(string future_name, string begin_dt, string end_dt)
// // : this(future_name, DateTime.Parse(begin_dt).Date, DateTime.Parse(end_dt).Date) { }
public SettlementPriceStream(string future_contract, DateTime begin_dt)
: this(future_contract, begin_dt, begin_dt) { }
// public SettlementPriceStream(string future_contract, DateTime begin_dt)
// : this(future_contract, begin_dt, begin_dt) { }
public SettlementPriceStream(string future_contract, DateTime begin_dt, DateTime end_dt) {
ContractUtils.FutureContract fc = new ContractUtils.FutureContract(future_contract);
ViewStream rs = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(begin_dt, end_dt));
rs = new NewProjectStream(rs, "symbol ts_event:date close:settlement !");
mySetRealSource(rs);
}
// public SettlementPriceStream(string future_contract, DateTime begin_dt, DateTime end_dt) {
// ContractUtils.FutureContract fc = new ContractUtils.FutureContract(future_contract);
// ViewStream rs = new FutureHistoricalBarsStream(fc, BarSize.ONE_DAY, new DateTimeRange(begin_dt, end_dt));
// rs = new NewProjectStream(rs, "symbol ts_event:date close:settlement !");
// mySetRealSource(rs);
// }
}
}
// }
//}
@@ -1,276 +1,571 @@
# **DSL Master Learning Prompt**
# BlueOrbDSL Master Learning Prompt v1.1 (Optimized)
This prompt is designed to teach the foundational concepts of the DSL for financial data streaming and transformation. The DSL operates on "streams," which fetch, transform, and process financial market data in real-time or historical contexts. Forget everything I have taught you about this DSL until now (since there are some contradicting and breaking changes that can not be reconciled with anything you might have learned before) and re-learn from this prompt.
**This version is the *final, frozen* canonical Master Learning Prompt for BlueOrbDSL model training and generation.**
**No further edits are required. This is the single source of truth for Learning Mode.**
**Reviewed and validated as optimal on \[insert date here, e.g. June 9, 2025\] after full Meta Mode review.**
# **Introduction to Streams**
**Change Log — v1 → v1.1**
(June 7, 2025\)
The DSL operates on "streams," its core functional units. Streams fetch tabular (from database, text files or network) or transform/operate on tabular data. They either act as **Datasources** (e.g., FutureHistoricalBars), that bootstrap the data or **Operators** (e.g., `FilterStream, ProjectStream, SingleRowMathStream, GroupByStream` etc) that transform or filter tabular data. Though the DSL can work on any tabular data, it is primarily written for streaming or static financial data
✅ Applied full Meta Mode review recommendations:
# **Streams**
- Standardized **Arguments** section (bullet lists, first arg \= `parent_stream` for operators)
- Added **Adds Columns?** and **Modifies Schema?** rows for *all* streams
- Clarified **Special Notes** for all streams
- Clearly stated UnionStream schema requirements
- Explicitly documented JoinStream as inner join, with left/right prefix behavior
- Clarified behavior of **TimeBasedRollingFilterStream**
- Changed DateTimeExpanderStream new columns to a bullet list for clarity
- Standardized all **Example Usage** to fenced `dsl` code blocks
- Shortened **PythonDataframeStream** example; big one should go to appendix if needed
- Minor language and consistency cleanups across stream definitions
## **FutureHistoricalBars (DataSource Stream)**
The `FutureHistoricalBars` stream fetches OHLCV (Open, High, Low, Close, Volume) bars for financial futures contracts. It acts as a **data source** and provides the initial table that can be further processed by operators.
#### **Stream arguments (parameters):**
1. **`Future_contract` (string):** Specifies the contract to fetch data for. This can be one of the following 3 types
1. **Continuous contracts:** Use the base symbol (e.g., `ES` for S\&P 500 futures, CL for WTI Crude Oil Futures, GC for Gold Futures etc).
2. **Specific contracts:** Use a detailed symbol (e.g., `ESZ9` for December 2029 S\&P 500 futures, `GCU9`, for September 2025 Gold Future, `SIH9-J9`,
For SIlver March April 2019 Silver Future Calendar spread)
3. **All Contracts for a symbol:** If instead of specifying individual contracts, data for all contracts for a specific symbol is needed, use the symbol name followed by *.* So `ES*` for all SP Futures and spread contracts, ZC\* for all corn contracts etc.
2. **`Bar_size` (string):** The second argument defines the granularity of the bars. Accepted values:
* `ONE_DAY` – Daily bars.
* `ONE_MIN` – Minute bars.
3. **Optional:**
* **`range_begin` (datetime):** Start of the desired time range.
* **`range_end` (datetime):** End of the desired time range.
#### **Schema:**
The output of `FutureHistoricalBars` produces a table with the following schema (this is a classic OHLCV schema that you can find online easily)
| id | ts\_event | contract | open | high | low | close | volume |
| :--- | :-------------------- | :------- | :------ | :------ | :------ | :------ | :----- |
| `0` | `2024-06-08T00:00:00` | `ESZ9` | 5001.50 | 5052.25 | 4990.75 | 5025.50 | 866000 |
| | | | | | | | |
# **FilterStream (Operator Stream)**
Filters rows of a parent stream based on conditions applied to its columns.
#### **Stream arguments (parameters):**
1. `parent_stream (another stream)` This stream provides the data, that the FilterStream subscribers to
2. `filter_condition (string)` This is a text expressing a boolean condition that is applied to each row of the parent stream, if it returns false, the row is filtered out
#### **Examples:**
1. **NL prompt:** Show me all the days when the open price for SP 500 Futures was greater than or equal to 5000:
**DSL:** `r = FilterStream(FutureHistoricalBars("ES", "ONE_DAY"), "open >= 5000")`
2. **NL prompt:** Show me all the days when the close price for SP 500 Futures was less than 3000 and volume was greater than half a million
**DSL:** `r = FilterStream(FutureHistoricalBars("ES", "ONE_MIN"), "close < 3000 and volume > 500000)`
3. **NL prompt:** Show me all the daily bars for the SP 500 Future spread ESU9-Z9 where its volume exceeded 100K
**DSL:** `r = FilterStream(FutureHistoricalBars("ES*", "ONE_MIN"), "contract = ‘ESU9-Z9’ and volume >= 100000”)`
**Notice** how expressions can be joined with AND and OR. These expressions can be nested with parenthesis.Also string needs to be in single quotes.
# **ProjectStream (Operator Stream)**
Changes the name of the columns in the parent stream. So for example, if we have to rename the close column to settlement, we can do this with ProjectStream
#### **Stream arguments (parameters):**
3. `parent_stream (another stream)` This stream provides the data, that the ProjectStream subscribers to
4. `renaming (string)` This is a text expressed in the form original\_col\_name:projected\_col\_name, original\_col\_name:projected\_col\_name,
#### **Examples:**
The following DSL renames the open column to O, high to H, low to L and close to C
**DSL:** `r = ProjectStream(FutureHistoricalBars("ES", "ONE_DAY"), "open:O, high:H, low:L, close:C”)`
# **GroupByStream (Operator Stream)**
The `GroupByStream` function is a DSL operator used to perform aggregation operations on rows of a parent stream. It works similarly to SQL’s `GROUP BY`, allowing rows to be grouped by a specific column (optional) and applying aggregation functions to other columns.
**This version is now ready to serve as the authoritative MLP for BlueOrbDSL training and generation.**
When instructed to "Switch to Learning Mode," this will become the model’s single source of truth.
---
#### **Stream arguments (parameters):**
# Table of Contents
1. **parent\_stream (another stream):** The source stream provides the data to be operated on
2. **Group By Column (string, optional):**
A column in the schema of the parent stream used to group rows. All rows with the same value in this column are aggregated into a single group. If omitted, the aggregation is performed over all rows of the parent stream.
3. **Operation Text (string):** A string defining the column(s) to be aggregated and the operation(s) to apply, in the format:
`<column_name: operation>, <column_name: operation>, …` Each `<column_name: operation>` pair produces a new column in the output stream. The new column name is formatted as `<column_name>_<operation>` in lowercase.
1. Preamble
2. Streams Overview
3. Data Sources
3.1 FutureHistoricalBarsStream
3.2 LiveBBOStream
3.3 LiteralStream
4. Operators
4.1 FilterStream
4.2 ProjectStream
4.3 GroupByStream
4.4 SingleRowMathStream
4.5 MultiRowRollingMathStream
4.6 UnionStream
4.7 JoinStream
4.8 DateTimeExpanderStream
4.9 ContractExpanderStream
4.10 CountStream
4.11 TimeSeriesStream
4.12 TimeBasedRollingFilterStream
4.13 PythonDataframeStream
5. Reserved Words & Enumerations
6. Common Pitfalls
---
#### **Valid Aggregation Operations:**
## 1 Preamble
* `Mean`: Arithmetic mean of the values.
* `Median`: Median of the values.
* `Mode`: Most frequently occurring value.
* `Range`: Difference between the max and min.
* `StdDev`: Standard deviation of the values.
* `Max`: Maximum value.
* `Min`: Minimum value.
* `First`: First value in the group.
* `Last`: Last value in the group.
* `Sum`: Sum of the values.
* `EdgeDiff`: Difference between the edge values, meaning the difference between a certain col belonging to the first and last rows respectively
* `EdgeDiffPercentage`: Same as `EdgeDiff` but expressed as percentage instead
BlueOrbDSL turns natural-language finance questions into **stream pipelines** that operate on tabular market data (historical or real-time).
Each *stream* is either a **Data Source** (fetches data) or an **Operator** (transforms data).
Streams compose: the output table of one becomes the input of the next.
**Convention:** For all operators, the **first argument** is always the `parent_stream`. Subsequent arguments are constructor parameters.
---
#### **Examples:**
## 2 Streams Overview
1. **NL:**
Find the total SP 500 volume executed in the first week of 2021\.
**DSL:**
`bars = FutureHistoricalBars("ES", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-11T00:00:00”)`
`result = GroupByStream(bars,”volume_Sum”)`
2. **NL:**
**Find the highest price and lowest price of the WTI Crude Oil futures over the first half of 2024**
**DSL:**
`bars = FutureHistoricalBars("CL", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-06T00:00:00”)`
`result = GroupByStream(bars,”high:Max low:Min”)`
`result = ProjectStream(result,”high_max:highest_price min_low: lowest_price”)`
3. **NL:**
**Find the Average daily volume per contract in Natural Gas in 2023**
**DSL:**
`bars = FutureHistoricalBars("NG*", “ONE_DAY”, “2023-01-03T00:00:00”,“2023-31-12T23:59:59”)`
`result = GroupByStream(bars, “contract”, ”volume:Mean”)`
`result = ProjectStream(result,”mean_volume:average_daily_volume”)`
All stream definitions follow this table layout:
| Field | Meaning |
| :------------------- | :----------------------------------------------------- |
| **Type** | DataSource / Operator |
| **Purpose** | One-sentence description |
| **Arguments** | Bullet list; first arg \= parent\_stream (if Operator) |
| **Output Schema** | Columns created or removed |
| **Adds Columns?** | Yes / No |
| **Modifies Schema?** | Yes / No |
| **Example Usage** | Fenced `dsl` block |
| **Special Notes** | Constraints / caveats |
---
#### **Schema Impact:**
## 3 Data Sources
The `AggregateStream` modifies the schema of the parent stream by adding new columns for each aggregation operation. Existing columns are unaffected.
### 3.1 FutureHistoricalBarsStream
# **SingleRowMathStream (Operator Stream)**
| Field | Description |
| :------------------- | :--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| **Type** | DataSource |
| **Purpose** | Fetch historical OHLCV bars for futures contracts |
| **Arguments** | • `contract` — continuous (`ES`), specific (`ESZ9`), or wildcard (`ES*`) • \``bar_size`\` — ONE\_DAY, ONE\_MIN • `` `range_begin` `` — ISO datetime, optional • `` `range_end` `` — ISO datetime, optional |
| **Output Schema** | `id, ts_event, date, contract, open, high, low, close, volume` |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | No |
| **Example Usage** | `bars = FutureHistoricalBarsStream("ES", "ONE_DAY", "2023-01-01", "2023-12-31")` |
| **Special Notes** | Whereas the ts\_event column is the timestamp of the column, date is the date of the day. |
The `SingleRowMathStream` is a DSL operator used to perform math operations, one row at a time, on the parent stream.
### 3.2 LiveBBOStream
| Field | Description |
| :------------------- | :------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| **Type** | DataSource |
| **Purpose** | Stream live best-bid/offer quotes |
| **Arguments** | • `contract` — e.g. `"NGU5"` or `"CL*"` |
| **Output Schema** | `ts_event, contract, bid_price, bid_size, ask_price, ask_size` |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | No |
| **Example Usage** | `bbo = LiveBBOStream("NGU5")` |
| **Special Notes** | LiveBBOStream produces the latest value of the bid/ask price and size. It does not maintain history. Each new row overwrites the old one. For history use TimeSeriesStream |
### 3.3 LiteralStream
| Field | Description |
| :------------------- | :---------------------------------------------------------------------------------------------------------------- |
| **Type** | DataSource |
| **Purpose** | Inject small static tables via JSON records |
| **Arguments** | • `json_text` — string |
| **Output Schema** | Inferred from JSON keys |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | No |
| **Example Usage** | `meta = LiteralStream('[{"event":"OPEC","date":"2024-06-01"}]')` |
| **Special Notes** | If you download the data from the internet, and want to use it conjunction with the BlueOrbDSL this can be useful |
---
#### **Stream arguments (parameters):**
## 4 Operators
1. **parent\_stream (another stream):**The source stream provides the base data
2. **math\_expression(string):** This is a math expression which allows the creation of one or more new columns that are the output of a math expression on the existing columns provided by parent\_stream. This can a simple math operation like new\_col \= a \+ b, or any function from C\#’s System.Math namespace, like new\_column \= Math.Log(Math.Pow(volume, 1.1))
### 4.1 FilterStream
#### **Examples:**
| Field | Description |
| :------------------- | :--------------------------------------------------------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Keep rows where a boolean condition is true |
| **Arguments** | • `parent_stream` •`` `condition` `` — string |
| **Output Schema** | Same as input |
| **Adds Columns?** | No |
| **Modifies Schema?** | No |
| **Special Notes** | Condition syntax: use ASCII single quotes (`contract = 'ESZ9'`). Supports `and`, `or`, parentheses, equality and inequality. |
4. **NL:**
Find the daily price movement in the SP 500 Futures through the month of Jan
**DSL:**
`bars = FutureHistoricalBars("ES", “ONE_DAY”, “2024-01-01T00:00:00”,“2024-01-31T00:00:00”)`
`result = SingleRowMathStream(bars,”daily_move=close-open”)`
5. **NL:**
Find the daily typical price of the WTI Crude Oil futures over the first half of 2024
**DSL:**
`bars = FutureHistoricalBars("CL", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-06T00:00:00”)`
`result = SingleRowMathStream(bars, “typical_price = (high+low+close)/3.0”)`
### 4.2 ProjectStream
#### **Input Space (Scope):** The scope of this operation is a **single row.** The SingleRowMAthStream as the name signifies, operates on columns of the same row only. **No multi row operations are allowed.** For multi row operations using what follows.
**Schema Impact:**
# **MultiRowRollingMathStream (Operator Stream)**
The `MultiRowRollingMathStream` function is a DSL operator used to perform mostly math operations on a rolling set of rows of a parent stream. It works similarly to the GroupByStream (described above) but instead of grouping rows together based on a column value, it operates on a rolling set of rows (where the rolling size is provided as an argument).
| Field | Description |
| :------------------- | :---------------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Rename or drop columns |
| **Arguments** | • `parent_stream` • `` `column_map ``\` — string |
| **Output Schema** | Renamed subset |
| **Adds Columns?** | No |
| **Modifies Schema?** | Yes |
| **Example Usage** | `clean = ProjectStream(bars, "close:settlement, volume")` |
| **Special Notes** | **Cannot add new columns or constants.** Use LiteralStream \+ JoinStream if needed. |
---
#### **Stream arguments (parameters):**
### 4.3 GroupByStream
1. **Parent Stream (another stream):** The source stream provides the data to be operated on
2. **Operation Text (string):** A string defining the column(s) to be operated and the operation(s) to apply, in the format:
`<column_name: operation>, <column_name: operation>, …` Each `<column_name: operation>` pair produces a new column in the output stream. The new column name is formatted as `<column_name>_<operation>` in lowercase. This is like the GroupByStream’s operations string.
3. **Sort/Order Column Name(string):** This controls the ordering of the rolling rows. This argument will be in the format \-`<column_name>` to sort the rolling rows in descending order by the `<column_name>`, or \+`<column_name> in` ascending order.
4. **Rolling Window Size(int)(optional):** The size of the rolling window, If this argument is left out all, the operations are applied to all rows, is Global Operation instead of Rolling Window Operation (it's like the optional groupBy col in GroupByStream).
| Field | Description |
| :------------------- | :----------------------------------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Aggregates rows by key (or globally) |
| **Arguments** | • `parent_stream` • `` `group_by` `` — string (blank for global) • `` `aggregation_string` `` — string |
| **Output Schema** | Adds `<column>_<aggregation>` columns |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | Yes |
| **Example Usage** | `daily = GroupByStream(bars, "date", "volume:Sum")` |
| **Special Notes** | None |
### 4.4 SingleRowMathStream
| Field | Description |
| :------------------- | :--------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Add new columns from row-wise math expressions |
| **Arguments** | • `parent_stream` • `` `math_expression` `` — string |
| **Output Schema** | Adds new column(s) |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | No |
| **Example Usage** | `r = SingleRowMathStream(bars, "daily_return = close - open")` |
| **Special Notes** | Operates on one row at a time only. Cannot reference values from other rows. |
### 4.5 MultiRowRollingMathStream
| Field | Description |
| :------------------- | :------------------------------------------------------------------------------------------------------------------------------------------ |
| **Type** | Operator |
| **Purpose** | Aggregates over rolling window of rows |
| **Arguments** | • `parent_stream` • `` `aggregation_string` `` — string • `` `sort_column` `` — string with \+/- prefix • `` `rolling_window_size` `` — int |
| **Output Schema** | Adds `<column>_<aggregation>` columns |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | Yes |
| **Example Usage** | `ma20 = MultiRowRollingMathStream(bars, "close:Mean", "-ts_event", 20)` |
| **Special Notes** | sort\_column should be prefixed with \+ (ascending) or \- (descending). Example: "-ts\_event". |
### 4.6 UnionStream
| Field | Description |
| :------------------- | :------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Append rows from two streams |
| **Arguments** | • `parent_stream1` • `parent_stream2` |
| **Output Schema** | Same as inputs |
| **Adds Columns?** | No |
| **Modifies Schema?** | No |
| **Example Usage** | `unioned = UnionStream(bars1, bars2)` |
| **Special Notes** | **Schemas must match exactly (column names AND types).** |
### 4.7 JoinStream
| Field | Description |
| :------------------- | :-------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Join two streams on equality of selected columns |
| **Arguments** | • `` `left_parent_stream` `` • `` `left_join_cols` `` — comma-separated string • `` `right_parent_stream` `` • `` `right_join_cols` `` — comma-separated string |
| **Output Schema** | Combined columns from both streams |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | Yes |
| **Example Usage** | `joined = JoinStream(a, "ts_event", b, "ts_event")` |
| **Special Notes** | Always performs an **inner join** on equality. If columns overlap, prefix applied (`left_`, `right_`). If join columns args left empty, does cartesian product |
### 4.8 DateTimeExpanderStream
| Field | Description |
| :------------------- | :--------------------------------------------------------------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Adds columns with date/time components from a datetime column |
| **Arguments** | • `parent_stream` • `datetime_column` — string |
| **Output Schema** | Adds: • \`\_date\` • \`\_day\_of\_week\` • \`\_day\_of\_month\` • \`\_month\` • \`\_hour\` • \`\_minute\` • \`\_seconds\_of\_day\` |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | Yes |
| **Example Usage** | `expanded = DateTimeExpanderStream(bars, "ts_event")` |
| **Special Notes** | None |
### 4.9 ContractExpanderStream
| Field | Description |
| :------------------- | :---------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Adds metadata columns based on `contract` |
| **Arguments** | • `parent_stream` • contract\_column — string |
| **Output Schema** | Adds: `• contract_type` |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | Yes |
| **Example Usage** | `expanded = ContractExpanderStream(bars, "contract")` |
| **Special Notes** | None |
### 4.10 CountStream
| Field | Description |
| :------------------- | :-------------------------------- |
| **Type** | Operator |
| **Purpose** | Count number of rows |
| **Arguments** | • `parent_stream` |
| **Output Schema** | `id, count` |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | Yes |
| **Example Usage** | `total_count = CountStream(bars)` |
| **Special Notes** | None |
### 4.11 TimeSeriesStream
| Field | Description |
| :------------------- | :------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Append each update from parent stream into time series |
| **Arguments** | • `parent_stream` • \``buffer_size`\` — int |
| **Output Schema** | Parent schema \+ `timestamp` (if not already present) |
| **Adds Columns?** | Yes |
| **Modifies Schema?** | No |
| **Example Usage** | `ts_bbo = TimeSeriesStream(bbo, 10000)` |
| **Special Notes** | Append-only stream, does not deduplicate or collapse repeated values |
### 4.12 TimeBasedRollingFilterStream
| Field | Description |
| :------------------- | :--------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Keep rows newer than rolling window of N seconds |
| **Arguments** | • `parent_stream` • \``no_of_seconds`\` — int |
| **Output Schema** | Same as input |
| **Adds Columns?** | No |
| **Modifies Schema?** | No |
| **Example Usage** | `recent = TimeBasedRollingFilterStream(trades, 60)` |
| **Special Notes** | Drops rows older than `no_of_seconds` compared to current max timestamp seen |
### 4.13 PythonDataframeStream
| Field | Description |
| :------------------- | :---------------------------------------------------------------------------------------------------------------------- |
| **Type** | Operator |
| **Purpose** | Apply arbitrary Python transformation to DataFrame |
| **Arguments** | • `parent_stream` • `` `python_function` `` — string |
| **Output Schema** | Defined by function |
| **Adds Columns?** | Yes/No — depends on function |
| **Modifies Schema?** | Yes/No — depends on function |
| **Example Usage** | `r = PythonDataframeStream(bars, "def transform(df): return df[df.volume > 1e6]")` |
| **Special Notes** | **Use only as last resort.** Function should be small and well-documented. Avoid large multi-step logic where possible. |
---
#### **Valid Aggregation Operations:**
## 5 Reserved Words & Enumerations
* `Mean`: Arithmetic mean of the values.
* `Median`: Median of the values.
* `Mode`: Most frequently occurring value.
* `Range`: Difference between the max and min.
* `StdDev`: Standard deviation of the values.
* `Max`: Maximum value.
* `Min`: Minimum value.
* `First`: First value in the group.
* `Last`: Last value in the group.
* `Sum`: Sum of the values.
* `EdgeDiff`: Difference between the edge values, meaning the difference between a certain col belonging to the first and last rows respectively
* `EdgeDiffPercentage`: Same as `EdgeDiff` but expressed as percentage instead
- **Bar\_size:** `ONE_DAY`, `ONE_MIN`
- **Aggregation Operations:** `Mean`, `Median`, `Mode`, `Sum`, `Max`, `Min`, `StdDev`, `Range`, `First`, `Last`, `EdgeDiff`, `EdgeDiffPercentage`
---
#### **Examples:**
## 6 Common Pitfalls
1. **NL:**
**Find the 20 d MA of SP 500 Futures close prices**
`bars = FutureHistoricalBars("ES", “ONE_DAY”, “2021-01-03T00:00:00”,“2021-01-11T00:00:00”)`
`result = MultirowRollingMathStream(bars, “close:Mean”, “-ts_event”, 20)`
2. **NL:**
**Find the 90d Standard Deviation of WTI Crude Oil during 2023**
| Pitfall | Correct Approach |
| :---------------------------------------------- | :--------------------------------------------------- |
| Adding literal columns in ProjectStream | Use LiteralStream → JoinStream |
| Smart quotes in conditions | Use `'...'` ASCII quotes |
| Large functions in PythonDataframeStream | Keep minimal or move to appendix |
| Ambiguous TimeBasedRollingFilterStream behavior | Now clearly stated: drops rows older than N seconds. |
**DSL:**
`bars = FutureHistoricalBars("CL", “ONE_DAY”, “2023-01-01T00:00:00”,“2023-12-31T00:00:00”)`
`// calculating typical_price`
## 7 Reinforced Learning DSL Examples
`result = SingleRowMathStream(bars, “typical_price = (high+low+close)/3.0”)`
`result = MultirowRollingMathStream(bars,“typical_price:StdDev”, “-ts_event”, 90)`
This section contains **complete worked examples** of BlueOrbDSL pipelines answering complex natural language queries.
`result=ProjectStream(result, “stddev_typical_price:90dStdDev”)`
Each example shows:
3. **NL:**
**Find the Average daily volume of Natural Gas in 2023**
**DSL:**
`bars = FutureHistoricalBars("NG", “ONE_DAY”, “2023-01-03T00:00:00”,“2023-31-12T23:59:59”)`
`result = MultirowRollingMathStream(bars, ”volume:Mean”, “-ts_event”)`
`result = ProjectStream(result,”mean_volume:average_daily_volume”)`
- The **NL Query** (natural language question)
- The **DSL Solution** in full
- Optional **Notes**
---
#### **Schema Impact:**
### Example 1 — On which dates did SP 500 Futures open 2% higher than the previous day's close?
The `MultirowRollingMathStream` modifies the schema of the parent stream by adding new columns for each operation. Existing columns are unaffected.
#### DSL Solution
# **UnionStream (Operator Stream)**
```
bars = FutureHistoricalBarsStream("ES", "ONE_DAY", "1900-01-01T00:00:00", "2100-12-31T23:59:59")
rolling_bars = MultiRowRollingMathStream(bars, "close:First, open:Last", "+ts_event", 2)
percent_change = SingleRowMathStream(rolling_bars, "percent_change = 100 * (open_last - close_first) / close_first")
filtered_bars = FilterStream(percent_change, "percent_change >= 2")
result = ProjectStream(filtered_bars, "ts_event, percent_change")
```
Like the SQL Union appends all the rows from 2 streams together.
---
#### **Stream arguments (parameters):**
### Example 2 — What is the average price movement for e-minis on Wednesday between 9:30 am and 9:40 AM CST?
5. `parent_stream1 (first stream)` This stream provides part of the data that will will be appended to the other part, provided by the following argument
6. `parent_stream2 (second stream)` This stream provides the other part of the data that will will be appended to the first part, provided by the first argument
#### DSL Solution
#### **Examples:**
```
bars = FutureHistoricalBarsStream("ES", "ONE_MIN", "1900-01-01T00:00:00", "2100-12-31T23:59:59")
expanded_bars = DateTimeExpanderStream(bars, "ts_event")
filtered_bars = FilterStream(expanded_bars, "ts_event_day_of_week = 'Wednesday' and ts_event_hour = 9 and ts_event_minute >= 30 and ts_event_minute < 40")
price_movement = SingleRowMathStream(filtered_bars, "movement = close - open")
average_movement = GroupByStream(price_movement, "", "movement:Mean")
result = ProjectStream(average_movement, "movement_mean:average_price_movement")
```
4. **NL prompt:** Show me all the bars across SP 500 Futures and Nasdaq Futures
**DSL:** `r = UnionStream(FutureHistoricalBars("ES", "ONE_DAY"), FutureHistoricalBars("NQ", "ONE_DAY"))`
---
#### **Schema Impact:**
### Example 3 — What did the volume and price of ZN in the 5 minutes following the last 10 FOMC rates?
None
#### DSL Solution
# **DateTimeExpanderStream (Operator Stream)**
```
bars_1 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2023-11-01T14:00:00", "2023-11-01T14:05:00")
bars_2 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2023-09-20T14:00:00", "2023-09-20T14:05:00")
bars_3 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2023-07-26T14:00:00", "2023-07-26T14:05:00")
bars_4 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2023-06-14T14:00:00", "2023-06-14T14:05:00")
bars_5 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2023-05-03T14:00:00", "2023-05-03T14:05:00")
bars_6 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2023-03-22T14:00:00", "2023-03-22T14:05:00")
bars_7 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2023-02-01T14:00:00", "2023-02-01T14:05:00")
bars_8 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2022-12-14T14:00:00", "2022-12-14T14:05:00")
bars_9 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2022-11-02T14:00:00", "2022-11-02T14:05:00")
bars_10 = FutureHistoricalBarsStream("ZN", "ONE_MIN", "2022-09-21T14:00:00", "2022-09-21T14:05:00")
DateTimExpanderStream expands one datetime column into various datetime components, like seconds in day, day of week, date etc, so new columns are added for those. The existing columns remain as is.
all_bars = UnionStream(bars_1, bars_2)
all_bars = UnionStream(all_bars, bars_3)
all_bars = UnionStream(all_bars, bars_4)
all_bars = UnionStream(all_bars, bars_5)
all_bars = UnionStream(all_bars, bars_6)
all_bars = UnionStream(all_bars, bars_7)
all_bars = UnionStream(all_bars, bars_8)
all_bars = UnionStream(all_bars, bars_9)
all_bars = UnionStream(all_bars, bars_10)
#### **Stream arguments (parameters):**
grouped_data = GroupByStream(all_bars, "date", "open:First, close:Last, high:Max, low:Min, volume:Sum")
result = ProjectStream(grouped_data, "ts_event_date, open_first:5_min_open, close_last:5_min_close, high_max:5_min_high, low_min:5_min_low, volume_sum:5_min_volume")
```
1. `parent_stream1 (base stream)` This parent stream that provides the data, including the datetime columns that will be expanded into multiple columns
2. `Datetime_input_column (string)` This is the column that will be expanded into multiple columns.
---
**New Columns:**
`<input_dt_col>_date` (Date of the value, without the time part)
### Example 4 — How much volume of RBOB typically trades during the settlement window?
* `<input_dt_col>_day,` (Day of the week)
* `<input_dt_col>_day_of_month` (day of the month, This is an int between 0 and 31\)
* `<input_dt_col>_month,` (month of the year, this is a numerical value between 1 and 12
* `input_dt_col>_hour,` (Hour of the day, value bw 0 and 23\)
* `<input_dt_col>_min",` (month part of this DateTime. Value is integer between 1 and 12).
* `<input_dt_col>_seconds_of_day",` (Total seconds of the day)
#### DSL Solution
#### **Examples:**
```
rbob_bars = FutureHistoricalBarsStream("RB", "ONE_MIN", "2023-01-01T00:00:00", "2023-12-31T23:59:59")
expanded_bars = DateTimeExpanderStream(rbob_bars, "ts_event")
settlement_window = FilterStream(expanded_bars, "(ts_event_hour = 14 and ts_event_minute >= 28) or (ts_event_hour = 14 and ts_event_minute < 30)")
typical_settlement_volume = GroupByStream(settlement_window, "ts_event_date", "volume:Sum")
result = ProjectStream(typical_settlement_volume, "ts_event_date, volume_sum:daily_settlement_volume")
```
**DSL:** `r = DateTimeExpanderStream(FutureHistoricalBars("ES", "ONE_DAY"), “ts_event”)`
**Input Schema:**
---
| id | ts\_event | contract | open | high | low | close | volume |
| :--- | :-------- | :------- | :--- | :--- | :--- | :---- | :----- |
### Example 5 — How much SP Futures during the settlement window, average per day, during the 2 week windows before future expiration, in 2023?
**Output Schema:**
#### DSL Solution
| id | ts\_event | contract | open | high | low | close | volume | | | | | | | |
| :--- | :-------- | :------- | :--- | :--- | :--- | :---- | :----- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
```
sp_bars = FutureHistoricalBarsStream("ES", "ONE_MIN", "2023-01-01T00:00:00", "2023-12-31T23:59:59")
expanded_bars = DateTimeExpanderStream(sp_bars, "ts_event")
settlement_window = FilterStream(expanded_bars, "(ts_event_hour = 15 and ts_event_minute >= 58) or (ts_event_hour = 16 and ts_event_minute < 1)")
filtered_bars = FilterStream(settlement_window, "(ts_event_date >= '2023-03-03' and ts_event_date < '2023-03-17') or (ts_event_date >= '2023-06-02' and ts_event_date < '2023-06-16') or (ts_event_date >= '2023-09-01' and ts_event_date < '2023-09-15') or (ts_event_date >= '2023-12-01' and ts_event_date < '2023-12-15')")
daily_volume = GroupByStream(filtered_bars, "ts_event_date", "volume:Sum")
average_daily_volume = GroupByStream(daily_volume, "", "volume_sum:Mean")
result = ProjectStream(average_daily_volume, "volume_sum_mean:average_daily_volume")
```
---
### Example 6 — Find the difference between the number of days in 2023 that SP 500 went up 2% and when it went down 2%
#### DSL Solution
```
bars = FutureHistoricalBarsStream("ES", "ONE_DAY", "2023-01-01T00:00:00", "2023-12-31T23:59:59")
percentage_change = SingleRowMathStream(bars, "percent_change = 100 * (close - open) / open")
days_up_2_percent = FilterStream(percentage_change, "percent_change >= 2")
days_up_count = CountStream(days_up_2_percent)
days_down_2_percent = FilterStream(percentage_change, "percent_change <= -2")
days_down_count = CountStream(days_down_2_percent)
joined_counts = JoinStream(days_up_count, "", days_down_count, "")
difference_result = SingleRowMathStream(joined_counts, "difference = days_up_count - days_down_count")
result = ProjectStream(difference_result, "difference")
```
---
### Example 7 — Monitor which CL contracts (CL) are trading with bid size \>= 1000, and record the last 1000 events\*
#### DSL Solution
```
bbo = LiveBBOStream("CL*")
large_bid = FilterStream(bbo, "bid_size >= 1000")
large_bid_ts = TimeSeriesStream(large_bid, 1000)
result = ProjectStream(large_bid_ts, "timestamp, ts_event, contract, bid_size, bid_price, ask_price")
```
---
### Example 8 — Identify FutureSpreads in CrudeOil and monitor their spread width
#### DSL Solution
```
bbo = LiveBBOStream("CL*")
expanded_bbo = ContractExpanderStream(bbo, "contract")
future_spreads = FilterStream(expanded_bbo, "contract_type = 'FutureSpread'")
spread_stream = SingleRowMathStream(future_spreads, "spread = ask_price - bid_price")
result = ProjectStream(spread_stream, "ts_event, contract, spread")
```
---
### Example 9 — Track when bid prices in NaturalGas Futures cross above 3.00 and keep only the last 10 seconds of such events
#### DSL Solution
```
bbo = LiveBBOStream("NG")
high_bid = FilterStream(bbo, "bid_price > 3.00")
high_bid_ts = TimeSeriesStream(high_bid, 10000)
recent_high_bid = TimeBasedRollingFilterStream(high_bid_ts, 10)
result = ProjectStream(recent_high_bid, "ts_event, contract, bid_price, bid_size, ask_price")
```
---
### Example 11 — Detect sequences in NaturalGas future where bid\_price increased 3 times consecutively within a rolling 30-second window
#### DSL Solution
```
bbo = LiveBBOStream("NG")
bbo_ts = TimeSeriesStream(bbo, 10000)
recent_bbo = TimeBasedRollingFilterStream(bbo, 30) // 30-second window of updates
result = PythonDataframeStream(recent_bbo, "
def transform(df):
import pandas as pd
df = df.sort_values('ts_event')
df['bid_increase'] = df['bid_price'].diff() > 0
df['consec_increase'] = df['bid_increase'].rolling(window=3).sum()
# Find rows where we just reached 3 consecutive increases
df['trigger'] = (df['consec_increase'] == 3) & (df['consec_increase'].shift(1) < 3)
return df[df['trigger']][['ts_event', 'contract', 'bid_price', 'bid_size']]
")
```
---
### Example 12 — When we get a 5+ level bid sweep in SP 500, show me how the bid behaves in the 10 minutes after — mean, stddev, min/max bid\_price
#### DSL Solution
```
bbo = LiveBBOStream("ES")
bbo_ts = TimeSeriesStream(bbo, 10000)
recent_bbo = TimeSeriesStream(bbo, 5000) // keep large enough window for event tracking
result = PythonDataframeStream(recent_bbo, "
def transform(df):
import pandas as pd
df = df.sort_values('ts_event')
rows = []
in_measurement = False
measurement_start_time = None
measurement_end_time = None
bid_prices_in_window = []
min_bid_size_threshold = 100 # defines what we consider 'stable large bid'
min_levels_stable = 5
prior_bid_sizes = []
for i, row in df.iterrows():
bid_price = row['bid_price']
bid_size = row['bid_size']
ts = pd.to_datetime(row['ts_event'])
# Maintain rolling window of prior bid_sizes
prior_bid_sizes.append(bid_size)
if len(prior_bid_sizes) > min_levels_stable:
prior_bid_sizes.pop(0)
if not in_measurement:
# Detect sweep trigger
if all(x > min_bid_size_threshold for x in prior_bid_sizes[:-1]) and bid_size < min_bid_size_threshold:
# Sweep detected → start measurement window
measurement_start_time = ts
measurement_end_time = measurement_start_time + pd.Timedelta(minutes=10)
bid_prices_in_window = []
in_measurement = True
else:
# Inside measurement window
if ts <= measurement_end_time:
bid_prices_in_window.append(bid_price)
else:
# Window complete → emit stats
if bid_prices_in_window:
mean_bid = pd.Series(bid_prices_in_window).mean()
stddev_bid = pd.Series(bid_prices_in_window).std()
min_bid = pd.Series(bid_prices_in_window).min()
max_bid = pd.Series(bid_prices_in_window).max()
rows.append({
'sweep_time': measurement_start_time,
'measurement_end': measurement_end_time,
'mean_bid_price': mean_bid,
'stddev_bid_price': stddev_bid,
'min_bid_price': min_bid,
'max_bid_price': max_bid
})
# Reset state
in_measurement = False
measurement_start_time = None
measurement_end_time = None
bid_prices_in_window = []
prior_bid_sizes = []
return pd.DataFrame(rows)
")
```
*End of Section 7 — Reinforced Learning DSL Examples*
@@ -0,0 +1,27 @@
**Enter Meta Mode**
You are not learning the DSL yet.
You are reviewing the following **BlueOrbDSL Master Learning Prompt** (MLP) as a *training document for yourself*.
Your goal is to optimize it to make it easier for you — or any future LLM — to learn from it and generate DSL code with high accuracy.
Please analyze the MLP and provide:
1. **Clarity review** — is each stream definition clear, unambiguous, easy to parse?
2. **Consistency review** — do all stream definitions follow the same structure and style?
3. **Terminology check** — are key terms (parent stream, arguments, schema impact, example usage, etc.) used consistently?
4. **Structural feedback** — is the overall document structured in a way that supports learning (headings, bold, tables, code blocks)?
5. **Formatting feedback** — are important warnings / "cannot do X" constraints highlighted clearly?
6. **Missing info** — is anything missing from any stream definition that would help you understand how to use it?
7. **Generation risk spots** — any parts where you foresee yourself making common mistakes due to ambiguity?
**Do not attempt to "learn" this DSL yet.** Stay in Meta Mode and provide feedback as an *editor and optimizer*.
When I later say:
→ **Switch to Learning Mode — this is now the final BlueOrbDSL MLP** → you will forget your Meta comments and treat the MLP as the single authoritative source for DSL generation.
+1 -1
View File
@@ -43,7 +43,7 @@
Condition="Exists($(ComputerSpecificConfig))" />
<PropertyGroup Label="ProtoBuf">
<ProtocPluginBase>$(SparkRoot)\src\lib\api\service_compiler</ProtocPluginBase>
<ProtocPluginBase>$(SparkRoot)\src\lib_spark\spark\api\service_compiler</ProtocPluginBase>
</PropertyGroup>
<Choose>
<When Condition="'$(OS)' == 'Windows_NT'">
+2 -2
View File
@@ -24,7 +24,7 @@
<PropertyGroup>
<GenProtosCmd>$(protoc) %(Proto.FullPath)</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --error_format=msvs</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --proto_path=$(SourceRoot)</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --proto_path=$(SourceRoot)/lib_spark</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --plugin=&quot;protoc-gen-spark-csharp=$(ProtocPlugin)&quot;</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --spark-csharp_out=lang=c#,templates=immutable.pb.cs,strip_out_path=1:%(Proto.OutDir)</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --csharp_out=%(Proto.OutDir)</GenProtosCmd>
@@ -65,7 +65,7 @@
<PropertyGroup>
<GenProtosCmd>$(protoc) %(ProtoService.FullPath)</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --error_format=msvs</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --proto_path=$(SourceRoot)</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --proto_path=$(SourceRoot)/lib_spark</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --plugin=&quot;protoc-gen-service=$(ProtocPlugin)&quot;</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --service_out=lang=c#,strip_out_path=1:%(ProtoService.OutDir)</GenProtosCmd>
<GenProtosCmd>$(GenProtosCmd) --csharp_out=%(ProtoService.OutDir)</GenProtosCmd>
+9 -10
View File
@@ -1,4 +1,4 @@
cmake_minimum_required(VERSION 3.10)
cmake_minimum_required(VERSION 3.5)
project(Spark.Admin.WebApp)
include(GNUInstallDirs)
@@ -10,11 +10,11 @@ include(${CMAKE_SOURCE_DIR}/cmake/ProtobufGenerateFs.cmake)
file(
GLOB_RECURSE ${PROJECT_NAME}_PROTO_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
../lib/api/*.proto
../lib/api/services/*.proto
../lib/domain_model/*.proto
../lib/sparkproto/*.proto
../lib/md/protos/*.proto
../lib_spark/spark/api/*.proto
../lib_spark/spark/api/services/*.proto
../lib_spark/spark/domain_model/*.proto
../lib_spark/spark/sparkproto/*.proto
../lib_spark/spark/md/protos/*.proto
../../externals/linux/include/google/protobuf/descriptor.proto
../../externals/linux/include/google/protobuf/timestamp.proto
)
@@ -44,7 +44,7 @@ set(_build_admin_web_app_deps
${_build_admin_web_app_py}
${CMAKE_CURRENT_SOURCE_DIR}/src/Spark.Admin.WebApp.fsproj
${CMAKE_CURRENT_SOURCE_DIR}/webpack.config.js
${CMAKE_SOURCE_DIR}/src/lib/api/service_compiler/templates/fs/fable.fs
${CMAKE_SOURCE_DIR}/src/lib_spark/spark/api/service_compiler/templates/fs/fable.fs
${CMAKE_CURRENT_SOURCE_DIR}/package-lock.json
${${PROJECT_NAME}_PROTO_SOURCES}
${_api_ts_SOURCES}
@@ -73,7 +73,7 @@ add_custom_command(
protobuf_generate_js(
TARGET_NAME generate_js_protos
PROTO_INCLUDE_DIRS
..
../lib_spark
../../externals/linux/include
PROTO_SOURCES ${${PROJECT_NAME}_PROTO_SOURCES}
OUTPUT ${CMAKE_CURRENT_BINARY_DIR}/proto.js
@@ -82,7 +82,7 @@ protobuf_generate_js(
protobuf_generate_fs(
TARGET_NAME generate_fs_protos
PROTO_INCLUDE_DIRS
..
../lib_spark
../../externals/linux/include
PROTO_SOURCES ${${PROJECT_NAME}_PROTO_SOURCES}
OUT_DIR ${CMAKE_CURRENT_BINARY_DIR}/fable
@@ -184,4 +184,3 @@ install(
DIRECTORY "${CMAKE_CURRENT_SOURCE_DIR}/public"
DESTINATION "${CMAKE_INSTALL_BINDIR}/${PROJECT_NAME}"
)
+11 -1
View File
@@ -17,7 +17,7 @@ type Tab =
| PositionManagementTab
| MarginTab
let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.OKX; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.TWSE; Venue.SIM; |]
let venues = [| Venue.BINANCE; Venue.BinanceUs; Venue.BinanceUsdsFutures; Venue.BYBIT; Venue.CBOE; Venue.COINBASE; Venue.DERIBIT; Venue.GATEIO; Venue.OKX; Venue.GLBX; Venue.ICE; Venue.TAIFEX; Venue.TWSE; Venue.SIM; |]
let securityTypes = [| SecurityType.SPOT; SecurityType.FUTURE; SecurityType.OPTION; SecurityType.SPREAD; |]
@@ -50,6 +50,11 @@ type BinanceUsdsFUTURESExchangeField =
| Origin of CustomerOrFirm
| ClearingAccount of string
type BybitExchangeField =
| CTI of CTICode
| Origin of CustomerOrFirm
| ClearingAccount of string
type COINBASEExchangeField =
| CTI of CTICode
| Origin of CustomerOrFirm
@@ -60,6 +65,11 @@ type DERIBITExchangeField =
| Origin of CustomerOrFirm
| ClearingAccount of string
type GateioExchangeField =
| CTI of CTICode
| Origin of CustomerOrFirm
| ClearingAccount of string
type ICEExchangeField =
| CTI of CTICode
| Origin of CustomerOrFirm
@@ -797,6 +797,8 @@ let venueToString (venue:bts.api.Venue) =
| bts.api.Venue.BINANCE -> "BINANCE"
| bts.api.Venue.BinanceUs -> "BinanceUs"
| bts.api.Venue.BinanceUsdsFutures -> "BinanceUsdsFutures"
| bts.api.Venue.BYBIT -> "BYBIT"
| bts.api.Venue.GATEIO -> "GATEIO"
| bts.api.Venue.FTX -> "FTX"
| bts.api.Venue.OKX -> "OKX"
| bts.api.Venue.TAIFEX -> "TAIFEX"
+172
View File
@@ -0,0 +1,172 @@
cmake_minimum_required(VERSION 3.14)
project(sparkd)
include(FetchContent)
include(${CMAKE_SOURCE_DIR}/cmake/safe_dep_glob.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/ProtobufGenerateCpp.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/InstallBasic.cmake)
include(GNUInstallDirs)
if (NOT DEFINED PROJECT_VERSION)
set(PROJECT_VERSION 1.0.0)
endif()
# dependencies
file(
GLOB_RECURSE ${PROJECT_NAME}_PROTO_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
*.proto
)
file(
GLOB_RECURSE ${PROJECT_NAME}_SOURCES
RELATIVE ${CMAKE_CURRENT_SOURCE_DIR}
*.cpp
)
update_deps_file("${${PROJECT_NAME}_PROTO_SOURCES};${${PROJECT_NAME}_SOURCES}")
protobuf_generate_cpp(
CXX_SOURCES ${PROJECT_NAME}_PROTO_CXX_SOURCES
CXX_HEADERS ${PROJECT_NAME}_PROTO_CXX_HEADERS
CXX_OUT_DIR ${CMAKE_CURRENT_BINARY_DIR}/include
PROTO_INCLUDE_DIRS
${EXTERNALS_INCLUDE}
${CMAKE_SOURCE_DIR}/src/lib_spark
${CMAKE_CURRENT_SOURCE_DIR}
PROTO_SOURCES
${${PROJECT_NAME}_PROTO_SOURCES}
)
add_executable(sparkd ${${PROJECT_NAME}_SOURCES} ${${PROJECT_NAME}_PROTO_CXX_SOURCES})
# include paths
target_include_directories(
sparkd
PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_SOURCE_DIR}>
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>/include
$<BUILD_INTERFACE:${emumba-deribit-connector-library_INCLUDE_DIRS}>
)
find_package(PkgConfig REQUIRED)
pkg_check_modules(emumba-deribit-connector-library REQUIRED emumba-deribit-connector)
# This dir contains rapidjsonConfig.cmake
list(APPEND CMAKE_PREFIX_PATH ${CMAKE_CURRENT_SOURCE_DIR}/cmake_modules)
find_package(rapidjson REQUIRED)
target_include_directories(
${PROJECT_NAME} SYSTEM
PUBLIC
$<BUILD_INTERFACE:${rapidjson_INCLUDE_DIR}>
)
add_dependencies(${PROJECT_NAME} rapidjson_project)
# databento
FetchContent_Declare(
databento
GIT_REPOSITORY https://github.com/databento/databento-cpp
GIT_TAG v0.31.0
)
FetchContent_MakeAvailable(databento)
# deribit-demo log level
if(NOT DEFINED DERIBIT_DEMO_LOG_LEVEL)
add_definitions(-DSPDLOG_ACTIVE_LEVEL=0)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=TRACE")
elseif(DERIBIT_DEMO_LOG_LEVEL STREQUAL "TRACE")
add_definitions(-DSPDLOG_ACTIVE_LEVEL=0)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=TRACE")
elseif(DERIBIT_DEMO_LOG_LEVEL STREQUAL "DEBUG")
add_definitions(-DSPDLOG_ACTIVE_LEVEL=1)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=DEBUG")
elseif(DERIBIT_DEMO_LOG_LEVEL STREQUAL "INFO")
add_definitions(-DSPDLOG_ACTIVE_LEVEL=2)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=INFO")
elseif(DERIBIT_DEMO_LOG_LEVEL STREQUAL "WARN")
add_definitions(-DSPDLOG_ACTIVE_LEVEL=3)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=WARN")
elseif(DERIBIT_DEMO_LOG_LEVEL STREQUAL "ERROR")
add_definitions(-DSPDLOG_ACTIVE_LEVEL=4)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=ERROR")
elseif(DERIBIT_DEMO_LOG_LEVEL STREQUAL "CRITICAL")
add_definitions(-DSPDLOG_ACTIVE_LEVEL=5)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=CRITICAL")
elseif(DERIBIT_DEMO_LOG_LEVEL STREQUAL "OFF")
add_definitions(-DSPDLOG_ACTIVE_LEVEL=6)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=OFF")
else()
add_definitions(-DSPDLOG_ACTIVE_LEVEL=0)
message("-- Building of DERIBIT_DEMO_LOG_LEVEL=TRACE")
endif()
target_link_directories(
${PROJECT_NAME} PUBLIC
$<BUILD_INTERFACE:${CMAKE_CURRENT_BINARY_DIR}>
$<INSTALL_INTERFACE:${CMAKE_INSTALL_LIBDIR}>
)
# Set RPATH so sparkd knows where to find our shared libs (e.g., libspark).
# The dirs are relative to sparkd's path, represented by "$ORIGIN".
set_target_properties(
${PROJECT_NAME} PROPERTIES
BUILD_RPATH "$ORIGIN/../lib_spark;$ORIGIN/../lib_python_interop"
INSTALL_RPATH "$ORIGIN/../${CMAKE_INSTALL_LIBDIR}"
)
include(${CMAKE_SOURCE_DIR}/cmake/SymLink.cmake)
include(${CMAKE_SOURCE_DIR}/cmake/SymLinkPythonModule.cmake)
# Py interop
sym_link_python_module(
LIB_NAME python_interop
MODULE_NAME python_interop_module
PLUGIN_NAME python_interop_plugins
)
target_link_libraries(
sparkd
spark
binance_execution
okx_execution
python_interop
python_interop_module
databento::databento
${emumba-deribit-connector-library_LIBRARIES}
tbb
quickfix
benchmark
Common++
Packet++
Pcap++
lttng-ust
-lpcap
-static-libgcc
-static-libstdc++
-pthread)
# Onixs
target_link_libraries(
${PROJECT_NAME}
onixs-cmemdh
OnixS.IceImpactMulticastPriceFeedHandlerCpp
# gcc doesn't resolve onixs-fix-engine and ACE in runtime path unless we specify
# --no-as-needed. These are onixs deps that aren't called directly by our code.
# Note: this isn't an issue for clang
-Wl,--no-as-needed
onixs-fix-engine
ACE
)
# Catch2
find_package(Catch2 CONFIG REQUIRED)
target_link_libraries(${PROJECT_NAME} Catch2::Catch2)
install_basic()
install(
FILES
"${EXTERNALS_LIB}/libonixs-cmemdh.so"
"${EXTERNALS_LIB}/libonixs-cmemdh.so.4"
"${EXTERNALS_LIB}/libonixs-cmemdh.so.4.8.0"
"${EXTERNALS_LIB}/libOnixS.IceImpactMulticastPriceFeedHandlerCpp.so.3.16.0.0"
"${EXTERNALS_LIB}/libonixs-fix-engine.so"
"${EXTERNALS_LIB}/libonixs-fix-engine.so.4"
"${EXTERNALS_LIB}/libonixs-fix-engine.so.4.10.1"
"${EXTERNALS_LIB}/libACE-5.7.5.so"
DESTINATION ${CMAKE_INSTALL_LIBDIR}
)
+5
View File
@@ -0,0 +1,5 @@
@PACKAGE_INIT@
include("${CMAKE_CURRENT_LIST_DIR}/@PROJECT_NAME@Targets.cmake")
check_required_components(@PROJECT_NAME@)
@@ -1,6 +1,7 @@
ARG IMAGE="sparkd"
ARG CONFIG_DIR="src/server/sparkd/configurations/dev"
ARG CONFIG_DIR="src/app_sparkd/configurations/dev"
ARG SOURCE_DIR="install/sparkd-release-gcc"
ARG PYTHON_REQUIREMENTS="requirements.txt"
# sparkd_base
FROM bluetradingsystems/linux_dotnet7 AS sparkd_base
@@ -10,7 +11,11 @@ ARG SOURCE_DIR
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
RUN apt-get update && apt-get install -y libpcap0.8-dev
RUN apt-get update && apt-get install -y python3.10-dev
RUN apt-get update && apt-get install -y python3-dev
RUN apt-get update && apt-get install -y python3-pip
RUN python3 -m pip install --upgrade pip
COPY "${PYTHON_REQUIREMENTS}" "/home/bts/bin/requirements.txt"
RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
@@ -22,17 +27,22 @@ FROM sparkd_base AS sparkd
# sparkd_md_replay
FROM sparkd_base AS sparkd_md_replay
ARG MD_RECORDING_DIR="src/server/sparkd/.md_recording"
ARG MD_RECORDING_DIR="src/app_sparkd/.md_recording"
COPY --chown=bts:bts "${MD_RECORDING_DIR}" "/home/bts/sparkdata/data/md_recording"
# sparkd_symbols - like sparkd, but doesn't copy a config dir into the image
FROM bluetradingsystems/linux_dotnet7 AS sparkd_symbols
ARG SOURCE_DIR
ARG PYTHON_REQUIREMENTS="requirements.txt"
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
RUN apt-get update && apt-get install -y libpcap0.8-dev
RUN apt-get update && apt-get install -y python3.10-dev
RUN apt-get update && apt-get install -y python3-dev
RUN apt-get update && apt-get install -y python3-pip
RUN python3 -m pip install --upgrade pip
COPY "${PYTHON_REQUIREMENTS}" "/home/bts/bin/requirements.txt"
RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
@@ -0,0 +1,4 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/alphaworx_prod
SPARKD__SHM_SIZE=8gb
SPARKD__MEMORY=8gb
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf/
@@ -112,7 +112,7 @@ OkxExeCfg {
secret_key: "240038D7A28D7F9461247CFCB8E43710"
api_key: "dc188532-c74c-4d40-affe-3c6bf4d0ca9a"
passphrase: ":,7i%tA%ivfj%SCbX?Ut"
ws_url: "wss://wsaws.okx.com:8443"
ws_url: "wss://ws.okx.com:8443"
rest_url: "https://www.okx.com"
ws_ping_timeout_seconds: 10
ws_ping_interval_seconds: 25
@@ -0,0 +1,6 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/alphaworx_zen_hk_live-preview
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/alphaworx_zen_hk_live-preview/requirements.txt
SPARKD__SHM_SIZE=8gb
SPARKD__MEMORY=8gb
SPARKD__IMAGE=sparkd_symbols
SPARKD__RUNTIME_CONF_DIR=/home/bts/8000/sparkdata/conf
@@ -0,0 +1,6 @@
* Connects to Binance, Okx, and Bybit PRODUCTION sites with small accounts designated for test trades
* Api keys NOT included
* Configured for Alphaworx and Bts testing in a production environment
To retrieve api keys, run "python init_env.py". It should dump them to a file
called ".env.local".
@@ -0,0 +1,99 @@
import botocore
import json
import os
from boto3.session import Session
from botocore.exceptions import ClientError
from fileinput import FileInput
def update_env_file(path, env_vars: dict):
"""Update or add vars in a .env file in place."""
if not os.path.exists(path):
with open(path, "w") as file:
for k, v in env_vars.items():
file.write(f"{k}={v}\n")
return
with FileInput(path, inplace=True) as file:
for line in file:
if not line.startswith("#"):
stripped: str = line.lstrip()
key_len = stripped.find("=")
if key_len >= 0:
k = stripped[0:key_len]
if k in env_vars:
print(f"{k}={env_vars[k]}")
del env_vars[k]
continue
print(line, end="")
if len(env_vars) > 0:
with open(path, "a") as file:
for k, v in env_vars.items():
file.write(f"{k}={v}\n")
def get_secret():
secret_name = "alphaworx_api_keys"
region_name = "us-east-1"
profile_name = "bts-ap-northeast-1"
session = Session(profile_name=profile_name)
client = session.client(
service_name="secretsmanager",
region_name=region_name,
)
def on_token_error(e: Exception):
print(f"""
Failed to get secret value. {e}
Verify you are logged in to aws, then try again.
aws sso login --profile {profile_name}
If this error persists, verify you have access to these api keys.
For more help or information, talk to John.
""")
try:
get_secret_value_response = client.get_secret_value(
SecretId=secret_name)
except ClientError as e:
print(f"Failed to get secret value.\n{e}")
raise e
except botocore.exceptions.SSOTokenLoadError as tl_err:
on_token_error(tl_err)
return None
except botocore.exceptions.TokenRetrievalError as tr_err:
on_token_error(tr_err)
return None
return get_secret_value_response["SecretString"]
def _run():
this_dir = os.path.dirname(__file__)
secret_str = get_secret()
if secret_str is None:
exit(1)
secret = json.loads(secret_str)
env_vars = {}
def set_env_var(key_name: str, *json_path):
try:
val = secret[json_path[0]]
for p in json_path[1:]:
val = val[p]
env_vars[key_name] = val
print(f"Set {key_name}={val} ({'.'.join(json_path)})")
except KeyError:
print(f"Failed to set {key_name}= ({'.'.join(json_path)})")
set_env_var("BINANCE_API_KEY", "binance", "prod", "api_key")
set_env_var("BINANCE_SECRET_KEY", "binance", "prod", "secret_key")
set_env_var("BYBIT_API_KEY", "bybit", "prod_test", "api_key")
set_env_var("BYBIT_SECRET_KEY", "bybit", "prod_test", "secret_key")
update_env_file(f"{this_dir}/.env.local", env_vars)
if __name__ == "__main__":
_run()
@@ -0,0 +1,15 @@
{
"gateway_type": "bybit_execution_gateway.BybitExecutionGateway",
"account": "BYBIT_DEV",
"module_path": [
"python_interop_plugins"
],
"venue": "VENUE_BYBIT",
"api_key": "${BYBIT_API_KEY}",
"secret_key": "${BYBIT_SECRET_KEY}",
"use_testnet": true,
"logging": {
"console_level": "DEBUG",
"file_level": "DEBUG"
}
}
@@ -0,0 +1,17 @@
{
"currencies": [
"USDT"
],
"futures": [
"ANIME",
"BTC",
"ETH",
"MASK",
"RESOLV"
],
"use_testnet": true,
"logging": {
"console_level": "WARNING",
"file_level": "INFO"
}
}
@@ -0,0 +1,11 @@
certifi==2025.4.26
charset-normalizer==3.4.2
dotenv==0.9.9
idna==3.10
numpy==2.2.6
pybit==5.11.0
pycryptodome==3.23.0
python-dotenv==1.1.0
requests==2.32.4
urllib3==2.4.0
websocket-client==1.8.0
@@ -0,0 +1,138 @@
QuickbusCfg {
value {
node {
reconnect_period_secs: 1
hb_period_msecs: 15000
max_missed_hbs: 5
parent_host: ""
parent_port: 0
my_port: 0
}
client {
reconnect_period_secs: 1
hb_period_msecs: 15000
max_missed_hbs: 5
parent_host: @SystemConfig.config_ip
parent_port: @Ports.qbus_port
my_port: 0
}
}
}
JetFIX {
value {
# connection {
# name: "binance_1"
# venue: VENUE_BINANCE
# max_order_msgs_per_window: 300
# window_duration_msecs: 1000
# }
# connection {
# name: "binance_usds_futures_1"
# venue: VENUE_BINANCE_USDS_FUTURES
# max_order_msgs_per_window: 300
# window_duration_msecs: 1000
# }
connection {
name: "bybit_1"
venue: VENUE_BYBIT
max_order_msgs_per_window: 300
window_duration_msecs: 1000
}
# connection {
# name: "okx_1"
# venue: VENUE_OKX
# max_order_msgs_per_window: 300
# window_duration_msecs: 1000
# }
}
}
MarketDataConfig {
value {
# binance {
# num_depth_levels: 5
# url_rest_base: "https://api.binance.com"
# url_ws_base: "wss://stream.binance.com:9443"
# security_criteria {
# clauses {
# security_types: SECURITY_TYPE_SPOT
# symbols: @SymbolLists.list[Binance].symbol
# name_regexps: "USDC|USDT$"
# }
# }
# }
# binance_usds_futures {
# num_depth_levels: 5
# url_rest_base: "https://fapi.binance.com"
# url_ws_base: "wss://fstream.binance.com"
# security_criteria {
# clauses {
# security_types: SECURITY_TYPE_FUTURE
# symbols: @SymbolLists.list[BinanceUsdsFutures].symbol
# }
# }
# }
# okx {
# num_depth_levels: 5
# url_rest_base: "https://www.okx.com"
# url_ws_base: "wss://ws.okx.com:8443"
# security_criteria {
# clauses {
# security_types: SECURITY_TYPE_SPOT
# symbols: @SymbolLists.list[OkxSpots].symbol
# }
# clauses {
# security_types: SECURITY_TYPE_FUTURE
# symbols: @SymbolLists.list[OkxFutures].symbol
# }
# }
# is_application_ping_pong_enabled: true
# application_ping_interval_ms: 20000
# application_pong_timeout_ms: 10000
# is_protocol_ping_pong_enabled: true
# protocol_ping_interval_ms: 60000
# protocol_pong_timeout_ms: 30000
# }
python_md_providers {
venue: VENUE_BYBIT
module_path: "python_interop_plugins"
provider_type: "bybit_md_provider.BybitMdProvider"
}
}
}
NotSimExecution {
value {
# entries {
# venue: VENUE_BINANCE
# }
# entries {
# venue: VENUE_BINANCE_USDS_FUTURES
# }
entries {
venue: VENUE_BYBIT
}
# entries {
# venue: VENUE_OKX
# }
}
}
# OkxExeCfg {
# value {
# account: "PROD"
# ops_id: "op_id_bts"
# secret_key: "240038D7A28D7F9461247CFCB8E43710"
# api_key: "dc188532-c74c-4d40-affe-3c6bf4d0ca9a"
# passphrase: ":,7i%tA%ivfj%SCbX?Ut"
# ws_url: "wss://ws.okx.com:8443"
# rest_url: "https://www.okx.com"
# ws_ping_timeout_seconds: 10
# ws_ping_interval_seconds: 10
# ws_reconnect_interval_seconds: 5
# ws_reconnect_max_count: 5
# simulated_trading: false
# tdmode: "cross"
# }
# }
@@ -0,0 +1,66 @@
SymbolLists {
value {
list {
key: "Binance"
symbol: "ANIME"
symbol: "BTC"
symbol: "ETH"
symbol: "MASK"
symbol: "RESOLV"
}
list {
key: "BinanceUsdsFutures"
symbol: "ANIME"
symbol: "BTC"
symbol: "ETH"
symbol: "MASK"
symbol: "RESOLV"
}
list {
key: "OkxSpots"
symbol: "ANIME"
symbol: "BTC"
symbol: "ETH"
symbol: "MASK"
symbol: "RESOLV"
}
list {
key: "Bybit"
symbol: "ANIME"
symbol: "BTC"
symbol: "ETH"
symbol: "MASK"
symbol: "RESOLV"
}
list {
key: "OkxFutures"
symbol: "ANIME"
symbol: "BTC"
symbol: "ETH"
symbol: "MASK"
symbol: "RESOLV"
}
}
}
Symbols {
value {
# venues {
# name: "VENUE_BINANCE"
# spot: @SymbolLists.list[Binance].symbol
# }
# venues {
# name: "VENUE_BINANCE_USDS_FUTURES"
# future: @SymbolLists.list[BinanceUsdsFutures].symbol
# }
venues {
name: "VENUE_BYBIT"
future: @SymbolLists.list[Bybit].symbol
}
# venues {
# name: "VENUE_OKX"
# spot: @SymbolLists.list[OkxSpots].symbol
# future: @SymbolLists.list[OkxFutures].symbol
# }
}
}
@@ -1,4 +1,4 @@
SPARKD__CONFIG_DIR=src/server/sparkd/configurations/alphaworx_zen_hk_live
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/alphaworx_zen_hk_live
SPARKD__SHM_SIZE=8gb
SPARKD__MEMORY=8gb
SPARKD__IMAGE=sparkd_symbols
@@ -0,0 +1,9 @@
{
"api_key": "${BINANCE_API_KEY}",
"secret_key": "${BINANCE_SECRET_KEY}",
"account": "PROD",
"rest_endpoint": "https://api.binance.com",
"ws_endpoint": "wss://ws-api.binance.com:443/ws-api/v3",
"ws_stream_endpoint": "wss://stream.binance.com:9443",
"use_cross_margin_api": true
}
@@ -0,0 +1,9 @@
{
"api_key": "${BINANCE_API_KEY}",
"secret_key": "${BINANCE_SECRET_KEY}",
"account": "PROD",
"rest_endpoint": "https://fapi.binance.com",
"ws_endpoint": "wss://ws-fapi.binance.com/ws-fapi/v1",
"ws_stream_endpoint": "wss://fstream.binance.com",
"use_cross_margin_api": false
}
@@ -35,8 +35,8 @@ def update_env_file(path, env_vars: dict):
def get_secret():
secret_name = "alphaworx-binance-api-keys"
region_name = "ap-northeast-1"
secret_name = "alphaworx_api_keys"
region_name = "us-east-1"
profile_name = "bts-ap-northeast-1"
session = Session(profile_name=profile_name)
client = session.client(
@@ -77,10 +77,19 @@ def _run():
exit(1)
secret = json.loads(secret_str)
env_vars = {}
if "api-key" in secret:
env_vars["BINANCE_API_KEY"] = secret["api-key"]
if "secret-key" in secret:
env_vars["BINANCE_SECRET_KEY"] = secret["secret-key"]
def set_env_var(key_name: str, *json_path):
try:
val = secret[json_path[0]]
for p in json_path[1:]:
val = val[p]
env_vars[key_name] = val
print(f"Set {key_name}={val} ({'.'.join(json_path)})")
except KeyError:
print(f"Failed to set {key_name}= ({'.'.join(json_path)})")
set_env_var("BINANCE_API_KEY", "binance", "prod", "api_key")
set_env_var("BINANCE_SECRET_KEY", "binance", "prod", "secret_key")
update_env_file(f"{this_dir}/.env.local", env_vars)
@@ -112,7 +112,7 @@ OkxExeCfg {
secret_key: "240038D7A28D7F9461247CFCB8E43710"
api_key: "dc188532-c74c-4d40-affe-3c6bf4d0ca9a"
passphrase: ":,7i%tA%ivfj%SCbX?Ut"
ws_url: "wss://wsaws.okx.com:8443"
ws_url: "wss://ws.okx.com:8443"
rest_url: "https://www.okx.com"
ws_ping_timeout_seconds: 10
ws_ping_interval_seconds: 10
@@ -0,0 +1,2 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/binance_dev
SPARKD__SHM_SIZE=8gb
@@ -43,10 +43,6 @@ Logging {
}
file {
default_level: "Info"
subsystem {
name: "md"
level: "Diag"
}
subsystem {
name: "OrderMan"
level: "Diag"
@@ -0,0 +1,2 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/binance_py_dev
SPARKD__SHM_SIZE=8gb
@@ -0,0 +1 @@
* Connects to Binance test nets for market data and execution
@@ -0,0 +1,8 @@
{
"api_key": "${BINANCE_API_KEY}",
"secret_key": "${HOME}/sparkdata/conf/.secrets/binance_1.pem",
"account": "BINANCE_DEV",
"rest_endpoint": "https://testnet.binance.vision",
"ws_endpoint": "wss://ws-api.testnet.binance.vision/ws-api/v3",
"ws_stream_endpoint": "wss://stream.testnet.binance.vision:9443"
}
@@ -0,0 +1,8 @@
{
"api_key": "${BINANCE_USDS_FUTURES_API_KEY}",
"secret_key": "${BINANCE_USDS_FUTURES_SECRET_KEY}",
"account": "BINANCE_DEV",
"rest_endpoint": "https://testnet.binancefuture.com",
"ws_endpoint": "wss://testnet.binancefuture.com/ws-fapi/v1",
"ws_stream_endpoint": "wss://stream.binancefuture.com"
}
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