Compare commits

...
108 Commits
Author SHA1 Message Date
Taha Afzal 6e0a92fd65 Adding logs to CME MD 2026-06-15 00:38:02 -04:00
Taha a9c4173b02 Position cols in TC2 work again now 2026-05-06 14:32:36 -04:00
Taha Afzal 7c99fe90de Sim execution works with live cme md now 2026-04-23 03:43:12 +00:00
Taha Afzal feff24bf10 Sim execution works with live cme md now 2026-04-23 03:41:42 +00:00
John Colvin 8eccb869e1 Remove unnecessary nuget stuff from externals 2026-04-08 00:13:01 -04:00
John Colvin 40f4333fc7 fix: SingleSecurityCriteria must have single id or venue/name pair 2026-04-07 17:23:25 +00:00
John Colvin 319d5c2384 vscode: Fix PubSubServer config environment param 2026-04-07 17:23:25 +00:00
arham 4a74713369 ophir multicast config replay and live working 2026-04-02 00:17:46 +00:00
arham 082beef1da Rename 2026-03-31 23:59:04 +00:00
arham f92d789e90 Add: recording config 2026-03-31 14:16:55 +00:00
arham cd3e845dd9 Fix: set log to diag, it logs every book update 2026-03-31 14:09:37 +00:00
arham a5b704eef1 Add: config for ophir wb 2026-03-31 14:09:05 +00:00
arham afee63e061 Add: new docker compose to support mulitcast 2026-03-31 14:08:42 +00:00
John Colvin fc9356d1a0 deploy: Optionally mount sparkd entrypoint in config dir
To mount a custom entrypoint script, put it in the config profile dir
and define the following env vars:

    SPARKD__IMAGE=sparkd_symbols
    SPARKD__MAIN_ENTRYPOINT=/home/bts/.local/share/bts/sparkd/conf/<custom-entrypoint>

To invoke the "normal" sparkd entrypoint script from the mounted one:

    ./sparkd-entrypoint.sh
2026-03-27 18:28:25 +00:00
John Colvin a85f22c6a8 deploy: Fix sudo issues in sparkd-entrypoint.sh 2026-03-27 17:59:20 +00:00
John Colvin 2024eba4d0 deploy: Add ophir_sim_replay config profile for sparkd 2026-03-26 16:20:41 -04:00
John Colvin 1a49a828ad build: Don't activate venv when generating individual protos
We activate the venv for the whole build
2026-03-26 16:20:41 -04:00
John Colvin c0448c7c8d deploy: Resolve profile dirs with regex patterns 2026-03-26 16:20:41 -04:00
John Colvin a6c6e7faf3 improve: Wait until py work requested before loading py modules
So we don't crash due to missing py modules when no py plugins are running.
2026-03-26 16:20:41 -04:00
John Colvin 56445d2d66 deploy: Add sparkd-shell service to compose.yaml for troubleshooting 2026-03-26 16:20:41 -04:00
John Colvin ccf1bd51c2 cleanup: Remove unused code 2026-03-26 16:20:41 -04:00
John Colvin fd21269df7 refactor: Wrap md run logic in class MarketDataSession
Start in the constructor, gracefully exit in the destructor.
2026-03-26 16:20:41 -04:00
John Colvin fe85c3e648 Allow md recording dir to be mounted as volume in docker compose 2026-03-26 16:20:41 -04:00
John Colvin e1d33ecadf deploy: Configure timezone in entrypoint script 2026-03-26 16:20:41 -04:00
John Colvin 83df96c70f deploy: Move compose entrypoint to dedicated script 2026-03-26 16:20:41 -04:00
John Colvin f718f5b15c deploy: Fix typo in sparkd conf dir path in compose.yaml 2026-03-26 16:20:41 -04:00
John Colvin 5d752f3b73 refactor: Replace DataPacket with IDataPacket in more places 2026-03-26 16:20:40 -04:00
John Colvin d308dbf15a build: Check if venv already active before activating 2026-03-26 16:20:40 -04:00
John Colvin 21c43b9240 refactor: Replace TableFormatter with table.h
Also move to "format" dir
2026-03-26 16:20:40 -04:00
John Colvin e1553f1b04 refactor: Replace StringFinder/Joiner.h with find/join.h
Also move to "algorithm" dir
2026-03-26 16:20:40 -04:00
John Colvin a26918efe9 refactor: Rename a few TitleCase .h files snake_case
* EnumMacros.h -> enum_macros.h
* TimeSpan.h ---> time_span.h
* TimeStamp.h --> time_stamp.h
2026-03-26 16:20:40 -04:00
John Colvin f729fc4c59 diag: Use structured logs in MDP3Listener::onOption 2026-03-26 16:20:40 -04:00
John Colvin fa67adbe36 deploy: Install tzdata in linux_dotnet8 Dockerfile
So we can configure timezone in compose services. Specifically, we need this
to support live cme md (so onixs doesn't think messages are "too old").
2026-03-26 16:20:40 -04:00
John Colvin 72f9ec582e cleanup: Remove unused code 2026-03-26 16:20:40 -04:00
John Colvin 8fea31bdf6 refactor: Add new glbx variable ticks to security (shm and proto) 2026-03-26 16:20:39 -04:00
John Colvin ca96e41391 build: Upgrade cs LangVersion 11 -> 12 2026-03-26 16:20:39 -04:00
John Colvin d4e5c95fde refactor: Rename SparkApiCredentials -> SparkCredentials 2026-03-26 16:20:39 -04:00
John Colvin f6e0ec3617 refactor: Rename SparkdLoginService -> SparkLoginService
This makes it consistent with other type names (we don't use "Sparkd"
anywhere else).
2026-03-26 16:20:39 -04:00
John Colvin 3fa5284838 refactor: Rename SparkdCredentials.cs -> SparkApiCredentials.cs
Matches the class name
2026-03-26 16:20:39 -04:00
John Colvin 4dcaa565f6 cleanup: Remove unnecessary subscription wrapper in cs sdk 2026-03-26 16:20:39 -04:00
John Colvin 75ecfa89d6 build: Clean up spark_client.sln
* Remove unused csprojs related to old sdk
* Remove erroneous build type config
2026-03-26 16:20:39 -04:00
John Colvin 1c930439a4 fix build (dsqa): Add using Spark.Api.MarketData
Needed to reference IMarketDataClient
2026-03-26 16:19:30 -04:00
John Colvin 25084b8cd9 fix build (cs): Add "global::" prefix when using Spark.Api ns
Resolves conflicts with the Bts.Spark.Api namespace when the using
statement is nested inside the root "Bts" namespace.
2026-03-26 16:17:16 -04:00
John Colvin 5b8a8a8882 build: Simplify target to include native assets in cs 2026-03-08 16:00:49 +00:00
John Colvin 21052090a2 fix (pre-emptive): Format dotnet flag opts correctly
In pack_spark_sdk.py, the dotnet pack cmd is constructed with a dict of
opts. If the value part is None, the opt should be formatted as a flag,
"--key" instead of "--key None".
2026-03-07 13:32:03 -05:00
John Colvin 9bd32b8225 fix build (pack cs sdk): Fix --(no-)cs toggle behavior
* Always run "dotnet pack", regardless of csharp toggle opt
* Run "dotnet publish" if csharp toggled on
2026-03-07 13:20:56 -05:00
John Colvin e8e234f420 fix: Don't fire empty updates in Books IObservable 2026-03-07 01:19:38 -05:00
John Colvin be23237a45 fix: Update last val in IObservable FlattenSeries ext
The bootstrap delegate that stitches the sequences together wasn't
getting properly invoked because of this.
2026-03-07 01:19:28 -05:00
arham a9d92650f8 Add: Spread name to synthspreadbbo 2026-03-03 04:33:44 +00:00
arham c03fb13126 Fix: rename EnterSpreaderOrderAsync from CreateSynthAsync 2026-03-03 01:16:10 +00:00
arham 01e6e37db6 Add: Config for ophir live data sim exe 2026-03-03 01:10:34 +00:00
arham 786b0849a7 FIX: removed errenous code that stopped mdp3 from working 2026-03-03 01:09:06 +00:00
John Colvin 4826fc9237 build: Remove dependency on Newtonsoft.Json (in DataStreamCore)
Replace with System.Text.Json (official dotnet)
2026-02-23 13:03:49 -05:00
John Colvin c3341ec29f refactor: Replace a few more DataPacket refs with IDataPacket 2026-02-23 12:56:27 -05:00
John Colvin eb88052c7e chore: Add Metadata prop to IDataPacket
To give it parity with DataPacket
2026-02-23 12:55:23 -05:00
John Colvin 74332f9944 fix: Pass IMarketDataClient to PrimitiveManager to enable md streams
In DataStreamQueryAnalyzer and Spark Api Server
2026-02-23 11:24:33 -05:00
John Colvin 54c97b5610 fix: Set buffer Position to 0 when deserializing pubsub echo payload 2026-02-21 16:36:53 -05:00
John Colvin 5c05afd9b3 fix: Only fire stream update if there are actually changes
In other words, don't fire if addedRows and deletedRows are both empty.
2026-02-21 16:36:53 -05:00
John Colvin dcbba39e4a fix: Add null check in BlueDataUtility.build_dp_inc 2026-02-21 16:36:53 -05:00
John Colvin d09f22007e fix: Ensure PubSubTagHandlerFactory uses correct config
* Add this service as part of the PubSubClient services for dep
  injection (it is needed by PublisherCore)

* Get rid of PublisherCore's default constructor, so dep injection
  treats the tag handler factory as a required param (fails if it isn't
  available)
  - Replace the default ctr with a static "Create" fn, so code that
    hasn't been updated to use dependency injection can still use that.
  - Use PubSubConfig.Instance (runtime) instead of compile time Default

* Fix compile time Default config
  - In fallback handler config, change Tag from "" to ".*" and move it
    from the beginning of the list to the end (it should be the last
    resort, not the other way around).
2026-02-21 16:36:53 -05:00
John Colvin a07e7ea6b8 fix: Don't call MasterWorker/vsd doWork on DSQA ui thread
Now that we use dependency injection, this is handled by a dedicated
service (MasterWorkerService). As a side effect, stream updates aren't
necessarily fired on the ui thread, so we refresh the grid on a form
timer callback.
2026-02-21 16:36:47 -05:00
John Colvin 4da52ff724 fix: Replace DataPacket w/ IDataPacket in DSQA 2026-02-21 14:49:39 -05:00
John Colvin 05c7a32fc5 refactor: Add parameterless ctr to PubsubEchoTestStream
So it's quick/easy to check in DSQA (less typing required)
2026-02-21 14:23:51 -05:00
John Colvin 404d3073f9 ui: Unhide PubsubHeartbeatStream (pss_hb) from DSQA 2026-02-21 14:11:46 -05:00
John Colvin 7f1154d70c cleanup: Fix indentation in PubsubHeartbeatStream.cs 2026-02-21 14:10:11 -05:00
John Colvin 5bc2e29096 fix build: Only check "dsqa" flag when building on windows
The --dsqa opt isn't defined when running on linux.
2026-02-21 17:55:12 +00:00
John Colvin f5731a184c fix: Actually disable Spark in default DSQA config 2026-02-20 11:08:33 -05:00
John Colvin 120fe8e5c6 vscode: Add DSQA debug config to skip build 2026-02-20 10:44:19 -05:00
John Colvin 137fdc537d refactor: Move DSQA config to appsettings.json 2026-02-20 10:43:13 -05:00
John Colvin a605e57bee build: Add dsqa toggle to build_data_stream.py
Windows only
2026-02-20 02:33:38 -05:00
John Colvin 3ca4bf784c ui: Remove bts.BlueOrb namespace filter for DSQA streams 2026-02-20 02:13:17 -05:00
John Colvin 6c3b7ebdaf refactor: Use dependency injection in DSQA 2026-02-20 02:13:17 -05:00
John Colvin 2fbb6fe563 Disable Spark in default DSQA config 2026-02-20 02:13:17 -05:00
John Colvin 9ea33ac110 ui: Unhide PubSubServerStateStream (pss_state) from DSQA 2026-02-20 02:13:17 -05:00
John Colvin 0bc021912a fix: Replace more DataPacket references with IDataPacket 2026-02-20 02:13:17 -05:00
John Colvin fa017bd9ff fix build: Remove old ViewStream.rows references from dsqa
The 'rows' prop no longer exists
2026-02-20 02:13:17 -05:00
John Colvin 57b59215e6 fix build: Don't echo parenthesis in .cmd if block
It's not allowed (because windows).
2026-02-18 02:54:25 -05:00
arham 210768e391 fix: handle badrequests in websocket api 2026-02-18 05:40:27 +00:00
arham f01e8a578d Add: enter synthetic spreader orders through 2026-02-18 05:36:02 +00:00
arham 528a00cf98 Add: config for okx_bin_sim 2026-02-18 05:31:18 +00:00
arham 96a04a7c84 Fix: side and status to json in orderrecodtuple 2026-02-18 05:30:28 +00:00
arham abaf48beb4 Add: other fields to tosjon for security.cs 2026-02-18 05:29:03 +00:00
John Colvin 08fcae94c0 Update externals (moved emumba deribit deb to bitbucket cloud) 2026-02-17 18:16:22 +00:00
John Colvin 30814a2ed6 fix build: Fix Bts.Extensions.Hosting projref path 2026-02-15 16:48:02 +00:00
John Colvin 3c61de5f13 devcontainer: Install Rakurai deb
Download from bitbucket cloud.
2026-02-14 18:43:07 +00:00
John Colvin 771c58d4ad devcontainer: Move emumba deb to bitbucket cloud
I just learned that Bitbucket offers per-repo cloud storage for arbitary
files (the "Downloads" section on the web gui). Doing this before adding
another third-party deb to our build (rakurai), which is quite large at
140MB. We don't want to pack that into our repo.
2026-02-14 18:42:03 +00:00
John Colvin 5db5d40a99 devcontainer: Fix CMake NO_PUBLIC_KEY warning 2026-02-14 18:29:28 +00:00
John Colvin 020ec9c6bf build: Replace proj refs w/ internal nugets when packing 2026-02-03 16:57:32 +00:00
John Colvin 4e28835bbd vscode: Add tools/py to shell PYTHONPATH 2026-02-03 16:57:32 +00:00
John Colvin 6985fbb090 refactor: Move CompressionUtilities into separate csproj
It was nested in PubSub. The new csproj is named Bts.IO.Compression.
2026-02-03 16:57:32 +00:00
John Colvin 2f42311220 build: Update a few python packages
* protobuf         4.21.12 -> 6.33.4
* pybind11         2.13.6 --> 3.0.1
* pybind11-stubgen 2.5.3 ---> 2.5.5
2026-02-03 16:57:32 +00:00
John Colvin 3842efcef1 build: Define build py requirements in separate files
No need to install backend build deps when building the front-end, and
vice versa. The build scripts (build_spark.cmd, build_sparkd.sh, etc.)
automatically install only the necessary requirements now.

Note: We'll keep the monolith requirements.txt file around (at least for
now), as it includes more than just build deps (e.g., numpy, pandas, and
jupyter for data analysis; pybit for bybit plugins, etc.).
2026-02-03 16:57:32 +00:00
John Colvin 635107eb68 cleanup: Remove unused py code 2026-02-03 05:20:29 +00:00
John Colvin 1b9a49b924 cleanup: Add missing files and env vars to sparkd config profiles 2026-02-03 05:20:29 +00:00
John Colvin ead35389d5 build: Make PubSub packable 2026-02-03 05:20:29 +00:00
John Colvin 22b44845fb build: Update Microsoft.AspNetCore.Cors to 2.3.9 2026-02-03 05:20:29 +00:00
John Colvin 8ab26f3e1d build: Remove dependency on Newtonsoft.Json
Replace with System.Text.Json (official dotnet)
2026-02-03 05:16:21 +00:00
John Colvin 01c61bb16d fix build: Publish spark_api_server csproj instead of the sln
There's a version conflict with System.Data.Common when publishing the sln.
2026-01-22 05:50:49 +00:00
John Colvin e09e49ce56 fix build: Add Bts.Net to Spark.Api.Server.sln
It seems like the dep is automatically detected on windows, but not
linux (so we need to add it explicitly).
2026-01-21 15:06:00 -05:00
John Colvin e6cc20858b build: Honor "UseProjectRefs" in spark_websocket, spark_api_server 2026-01-21 14:28:48 -05:00
John Colvin 2eb80082d8 refactor: Move Bts.Extensions.Hosting, Bts.Net to cs dir
They aren't exclusively used by DataStream csprojs
2026-01-21 14:20:39 -05:00
John Colvin d55ef854ba fix build: Don't actually copy files when building with --dry-run 2026-01-21 14:03:01 -05:00
John Colvin b1417ece5d fix build: Fix cmake windows preset in publish_api_server.py
Changed from 'spark' -> 'spark-windows'
2026-01-21 14:03:01 -05:00
John Colvin f6ae219a72 build: Add a few toggle opts to publish py scripts
--(no-)cpp           Enable/disable cpp build
--(no-)cs            Enable/disable csharp build
--(no-)csproj-refs   Depend on csproj refs, or locally built nugets
2026-01-21 14:03:01 -05:00
John Colvin 1e4b9cf833 Add new StartWithOnTimeout ext fn for IObservable
Ophir wanted this functionality for data in the sdk
2026-01-19 10:44:51 -05:00
John Colvin 228931dd2a cleanup: Fix indentation in launch.json
Also rename launch task "(gdb) Attach" -> "Sparkd Attach"
2026-01-19 10:44:51 -05:00
John Colvin f5b4b36ea1 Move devcontainer Dockerfile to bluetradingsystems/linux_dotnet8_dev
We now host it on dockerhub under that name
2026-01-19 10:44:51 -05:00
arham f19d2d695b Fix: Updated path so that profiles work 2026-01-16 06:55:09 +00:00
422 changed files with 9290 additions and 3747 deletions

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+7 -1
View File
@@ -1,5 +1,11 @@
{
"dockerFile": "Dockerfile",
"build": {
"dockerfile": "../docker/images/bluetradingsystems/linux_dotnet8_dev/Dockerfile",
"options": [
"--secret",
"id=bitbucket_access_token,src=${localWorkspaceFolder}/.secrets/bitbucket_access_token.txt"
]
},
"hostRequirements": {
"memory": "8gb",
"storage": "10gb"
@@ -1,4 +0,0 @@
#!/usr/bin/env bash
this_dir="$(realpath "$(dirname "$(readlink -f "${BASH_SOURCE[0]}")")")"
sudo dpkg -i "$this_dir/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb"
+8
View File
@@ -29,6 +29,9 @@
# tools/deploy.sh --help
#
### Host/Runtime ###
TZ=Etc/UTC
### Sparkd ###
# The internal image for sparkd to use. For more info, view:
# src/server/sparkd/Dockerfile
@@ -38,6 +41,9 @@ 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
# Mount volume or dir to "/md_recording" inside the docker. Defaults to volume
# "sparkd_md_recording_<config_port>" (e.g., sparkd_md_recording_8000).
# SPARKD__MD_RECORDING_DIR=/home/bts/md_recording
SPARKD__SOURCE_DIR=install/sparkd-release-gcc
SPARKD__RUNTIME_CONF_DIR=/home/ubuntu/8000/sparkdata/conf/
SPARKD__CONFIG_PORT=8000
@@ -45,6 +51,8 @@ SPARKD__QUICKBUS_PORT=8001
SPARKD__SIM_FIX_PORT=8002
SPARKD__SHM_SIZE=4gb
SPARKD__PYTHON_REQUIREMENTS=requirements.txt
SPARKD__SPARKD_ENTRYPOINT=src/app_sparkd/sparkd-entrypoint.sh
SPARKD__MAIN_ENTRYPOINT=./sparkd-entrypoint.sh
### PubSubServer ###
PUBSUB__CONFIG_DIR=src/DataStreamSuite/PubSubServer/Configurations/Development
+57 -34
View File
@@ -1,25 +1,6 @@
{
"version": "0.2.0",
"configurations": [
{
"name": "(gdb) Attach",
"type": "cppdbg",
"request": "attach",
"program": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd/sparkd",
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
},
{
"description": "Set Disassembly Flavor to Intel",
"text": "-gdb-set disassembly-flavor intel",
"ignoreFailures": true
}
]
},
{
"name": "Python Debugger: Current File with Arguments",
"type": "debugpy",
@@ -161,17 +142,30 @@
"name": "DataStreamQueryAnalyzer",
"type": "coreclr",
"request": "launch",
//"preLaunchTask": "Build DataStreamQueryAnalyzer (Debug)",
"preLaunchTask": "Build DataStream (Debug)",
"program": "",
"windows": {
"program": "DataStreamQueryAnalyzer.exe",
"args": [
"--config",
"${workspaceFolder}/src/DataStreamSuite/DataStreamQueryAnalyzer/Configurations/DataStreamQueryAnalyzer.json"
],
"cwd": "build/Debug/bin/net8.0-windows",
"env": {
"PYTHON_EXE": "${workspaceFolder}/.venv/Scripts/python.exe"
"PYTHON_EXE": "${workspaceFolder}/.venv/Scripts/python.exe",
"DOTNET_ENVIRONMENT": "${input:dataStreamQueryAnalyzerEnvironment}",
},
},
"stopAtEntry": false,
"console": "integratedTerminal",
},
{
"name": "DataStreamQueryAnalyzer (Skip Build)",
"type": "coreclr",
"request": "launch",
"program": "",
"windows": {
"program": "DataStreamQueryAnalyzer.exe",
"cwd": "build/Debug/bin/net8.0-windows",
"env": {
"PYTHON_EXE": "${workspaceFolder}/.venv/Scripts/python.exe",
"DOTNET_ENVIRONMENT": "${input:dataStreamQueryAnalyzerEnvironment}",
},
},
"stopAtEntry": false,
@@ -189,11 +183,10 @@
"windows": {
"program": "PubSubServer.exe",
},
"args": [
"--config",
"${workspaceFolder}/src/DataStreamSuite/PubSubServer/Configurations/${input:pubSubServerConfig}.json"
],
"cwd": "build/Debug/bin/net8.0",
"env": {
"DOTNET_ENVIRONMENT": "${input:pubSubServerEnvironment}",
},
"stopAtEntry": false,
"console": "integratedTerminal"
},
@@ -390,6 +383,25 @@
}
]
},
{
"name": "Sparkd Attach",
"type": "cppdbg",
"request": "attach",
"program": "${workspaceFolder}/build/sparkd-debug-clang/src/app_sparkd/sparkd",
"MIMode": "gdb",
"setupCommands": [
{
"description": "Enable pretty-printing for gdb",
"text": "-enable-pretty-printing",
"ignoreFailures": true
},
{
"description": "Set Disassembly Flavor to Intel",
"text": "-gdb-set disassembly-flavor intel",
"ignoreFailures": true
}
]
},
],
"inputs": [
{
@@ -415,6 +427,16 @@
],
"default": "MarketDataPublisher",
},
{
"id": "dataStreamQueryAnalyzerEnvironment",
"type": "pickString",
"description": "DataStreamQueryAnalyzer Configuration",
"options": [
"Development",
"Local",
],
"default": "Development",
},
{
"id": "dataStreamPublisherEnvironment",
"type": "pickString",
@@ -426,14 +448,15 @@
"default": "Local",
},
{
"id": "pubSubServerConfig",
"id": "pubSubServerEnvironment",
"type": "pickString",
"description": "PubSub Configuration",
"description": "PubSubServer Configuration",
"options": [
"PubSubServer",
"SimpleEchoClient",
"Development",
"EchoServer",
"Local",
],
"default": "PubSubServer",
"default": "Development",
},
{
"id": "sdkDemoEnvironment",
+1 -1
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@@ -1 +1 @@
PYTHONPATH=/workspaces/spark/build/sparkd-debug-clang/src/lib_python_interop;/workspaces/spark/src/lib_python_interop/python_interop_plugins
PYTHONPATH=/workspaces/spark/build/sparkd-debug-clang/src/lib_python_interop;/workspaces/spark/src/lib_python_interop/python_interop_plugins;/workspaces/spark/tools/py
+22 -15
View File
@@ -541,12 +541,11 @@
"command": "",
"windows": {
"command": "DataStreamQueryAnalyzer.exe",
"args": [
"--config",
"${workspaceFolder}/src/DataStreamSuite/DataStreamQueryAnalyzer/Configurations/DataStreamQueryAnalyzer.json",
],
"options": {
"cwd": "${workspaceFolder}/build/${input:buildConfiguration}/bin/net8.0-windows"
"cwd": "${workspaceFolder}/build/${input:buildConfiguration}/bin/net8.0-windows",
"env": {
"DOTNET_ENVIRONMENT": "${input:dataStreamQueryAnalyzerEnvironment}",
},
},
},
"icon": {
@@ -561,12 +560,11 @@
"command": "",
"windows": {
"command": "DataStreamQueryAnalyzer.exe",
"args": [
"--config",
"${workspaceFolder}/src/DataStreamSuite/DataStreamQueryAnalyzer/Configurations/DataStreamQueryAnalyzer.json",
],
"options": {
"cwd": "${workspaceFolder}/build/Debug/bin/net8.0-windows"
"cwd": "${workspaceFolder}/build/Debug/bin/net8.0-windows",
"env": {
"DOTNET_ENVIRONMENT": "${input:dataStreamQueryAnalyzerEnvironment}",
},
},
},
"icon": {
@@ -581,12 +579,11 @@
"command": "",
"windows": {
"command": "DataStreamQueryAnalyzer.exe",
"args": [
"--config",
"${workspaceFolder}/src/DataStreamSuite/DataStreamQueryAnalyzer/Configurations/DataStreamQueryAnalyzer.json",
],
"options": {
"cwd": "${workspaceFolder}/build/Release/bin/net8.0-windows"
"cwd": "${workspaceFolder}/build/Release/bin/net8.0-windows",
"env": {
"DOTNET_ENVIRONMENT": "${input:dataStreamQueryAnalyzerEnvironment}",
},
},
},
"icon": {
@@ -1048,6 +1045,16 @@
],
"default": "Debug",
},
{
"id": "dataStreamQueryAnalyzerEnvironment",
"type": "pickString",
"description": "DataStreamQueryAnalyzer Configuration",
"options": [
"Development",
"Local",
],
"default": "Development",
},
{
"id": "sparkdCmakePreset",
"type": "pickString",
+2 -5
View File
@@ -11,9 +11,7 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Spark.Core", "src\cs\Bt
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Spark.Api", "src\cs\Bts.Spark.Api\Bts.Spark.Api.csproj", "{8949AF88-F1D3-4BC4-827F-B088B555F7B9}"
EndProject
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "DataStreamSuite", "DataStreamSuite", "{60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "src\DataStreamSuite\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{37E4E890-D025-4729-90F9-6F95862F47BC}"
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "src\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{37E4E890-D025-4729-90F9-6F95862F47BC}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Spark.Sdk", "src\cs\Bts.Spark.Sdk\Bts.Spark.Sdk.csproj", "{A5FF3FAF-43CB-496B-AF4B-F61EFD645579}"
EndProject
@@ -97,8 +95,7 @@ Global
{C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295} = {827E0CD3-B72D-47B6-A68D-7590B98EB39B}
{E3BF9514-CB1A-4E07-A8DD-73300FD9726C} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{8949AF88-F1D3-4BC4-827F-B088B555F7B9} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{60E0D592-FFB3-0D0A-C4AA-E88919B48F9D} = {827E0CD3-B72D-47B6-A68D-7590B98EB39B}
{37E4E890-D025-4729-90F9-6F95862F47BC} = {60E0D592-FFB3-0D0A-C4AA-E88919B48F9D}
{37E4E890-D025-4729-90F9-6F95862F47BC} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{A5FF3FAF-43CB-496B-AF4B-F61EFD645579} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
{FCFDBDBE-74B0-41C4-9011-C651B21056D4} = {C5A3B5EA-BE9F-76E5-E9B8-8A22B289B295}
EndGlobalSection
+58 -2
View File
@@ -43,7 +43,13 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnExpressions", "sr
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataStream", "src\DataStreamSuite\DataStream\DataStream.csproj", "{39AEA075-6457-46C0-8821-1158BE6EFA57}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "src\DataStreamSuite\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{F3DC52D7-8C59-4EC0-86D9-0E5732EAFCF7}"
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "src\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{F3DC52D7-8C59-4EC0-86D9-0E5732EAFCF7}"
EndProject
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "cs", "cs", "{385C4948-E080-56A6-E29E-8B0F4913175C}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Net", "src\cs\Bts.Net\Bts.Net.csproj", "{43FB297B-7A4D-4835-A878-E6DF345B580C}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.IO.Compression", "src\cs\Bts.IO.Compression\Bts.IO.Compression.csproj", "{BC277499-8215-4F9F-B9AB-07B6391110BF}"
EndProject
Global
GlobalSection(SolutionConfigurationPlatforms) = preSolution
@@ -517,6 +523,54 @@ Global
{F3DC52D7-8C59-4EC0-86D9-0E5732EAFCF7}.RelWithDebInfo|Any CPU.Build.0 = Debug|Any CPU
{F3DC52D7-8C59-4EC0-86D9-0E5732EAFCF7}.RelWithDebInfo|x86.ActiveCfg = Debug|Any CPU
{F3DC52D7-8C59-4EC0-86D9-0E5732EAFCF7}.RelWithDebInfo|x86.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Debug|x64.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Debug|x64.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Debug|Any CPU.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Debug|x86.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Debug|x86.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.MinSizeRel|x64.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.MinSizeRel|Any CPU.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.MinSizeRel|Any CPU.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.MinSizeRel|x86.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.MinSizeRel|x86.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Release|x64.ActiveCfg = Release|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Release|x64.Build.0 = Release|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Release|Any CPU.ActiveCfg = Release|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Release|Any CPU.Build.0 = Release|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Release|x86.ActiveCfg = Release|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.Release|x86.Build.0 = Release|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.RelWithDebInfo|Any CPU.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.RelWithDebInfo|Any CPU.Build.0 = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.RelWithDebInfo|x86.ActiveCfg = Debug|Any CPU
{43FB297B-7A4D-4835-A878-E6DF345B580C}.RelWithDebInfo|x86.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Debug|x64.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Debug|x64.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Debug|Any CPU.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Debug|x86.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Debug|x86.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.MinSizeRel|x64.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.MinSizeRel|x64.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.MinSizeRel|Any CPU.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.MinSizeRel|Any CPU.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.MinSizeRel|x86.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.MinSizeRel|x86.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Release|x64.ActiveCfg = Release|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Release|x64.Build.0 = Release|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Release|Any CPU.ActiveCfg = Release|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Release|Any CPU.Build.0 = Release|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Release|x86.ActiveCfg = Release|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.Release|x86.Build.0 = Release|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.RelWithDebInfo|x64.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.RelWithDebInfo|x64.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.RelWithDebInfo|Any CPU.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.RelWithDebInfo|Any CPU.Build.0 = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.RelWithDebInfo|x86.ActiveCfg = Debug|Any CPU
{BC277499-8215-4F9F-B9AB-07B6391110BF}.RelWithDebInfo|x86.Build.0 = Debug|Any CPU
EndGlobalSection
GlobalSection(SolutionProperties) = preSolution
HideSolutionNode = FALSE
@@ -535,7 +589,9 @@ Global
{9F6D7DE8-185B-4C1D-B809-3314D092DF28} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
{6BD3F6D8-B6FC-44E8-B8FE-06352F638B9B} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
{39AEA075-6457-46C0-8821-1158BE6EFA57} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
{F3DC52D7-8C59-4EC0-86D9-0E5732EAFCF7} = {C09ED521-D2DF-40BC-A76F-EB3CB870B2F6}
{385C4948-E080-56A6-E29E-8B0F4913175C} = {267F81EF-A8AB-49FD-9F56-D7EC3C1F7C7C}
{43FB297B-7A4D-4835-A878-E6DF345B580C} = {385C4948-E080-56A6-E29E-8B0F4913175C}
{BC277499-8215-4F9F-B9AB-07B6391110BF} = {385C4948-E080-56A6-E29E-8B0F4913175C}
EndGlobalSection
GlobalSection(ExtensibilityGlobals) = postSolution
SolutionGuid = {422D1620-0166-4C26-9A81-CA8A2EB1AB58}
+61 -37
View File
@@ -2,6 +2,7 @@ services:
sparkd:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
build:
dockerfile: src/app_sparkd/Dockerfile
args:
@@ -9,24 +10,35 @@ services:
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/sparkd/data
if [ -e "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" ]; then
mv "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
fi
if [ -e "/home/bts/.local/share/bts/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/conf/.env.local'
set -a
. /home/bts/.local/share/bts/sparkd/conf/.env.local
set +a
fi
if [ -d /home/bts/.local/share/bts/sparkd/conf/plugins ]; then
echo 'Copying /home/bts/.local/share/bts/sparkd/conf/plugins to runtime dir (/home/bts/bin)'
cp -r /home/bts/.local/share/bts/sparkd/conf/plugins /home/bts/bin/
fi
./sparkd run"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
ports:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-shell:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
build:
dockerfile: docker/images/bluetradingsystems/linux_shell/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: "do sleep 1; done"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
@@ -42,6 +54,7 @@ services:
sparkd-symbols:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
build:
dockerfile: src/app_sparkd/Dockerfile
@@ -50,26 +63,8 @@ services:
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-512mb}"
command: >
sh -c "
echo bts | sudo -S chown -R bts:bts /home/bts/.local/share/bts/sparkd
if [ -e "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" ]; then
mv "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log" "/home/bts/.local/share/bts/sparkd/data/logging.sparkd/log_$(date '+%Y%m%d-%H%M')"
fi
ls -alh /home/bts/.local/share/bts/sparkd/conf/
cat /home/bts/.local/share/bts/sparkd/conf/.env.local
if [ -e "/home/bts/.local/share/bts/sparkd/conf/.env.local" ]; then
echo 'Sourcing /home/bts/.local/share/bts/sparkd/conf/.env.local'
set -a
. /home/bts/.local/share/bts/sparkd/conf/.env.local
set +a
fi
if [ -d /home/bts/.local/share/bts/sparkd/conf/plugins ]; then
echo 'Copying /home/bts/.local/share/bts/sparkd/conf/plugins to runtime dir (/home/bts/bin)'
cp -r /home/bts/.local/share/bts/sparkd/conf/plugins /home/bts/bin/
fi
./sparkd run"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
@@ -77,6 +72,33 @@ services:
- "${SPARKD__CONFIG_PORT}:${SPARKD__CONFIG_PORT}"
- "${SPARKD__QUICKBUS_PORT}:${SPARKD__QUICKBUS_PORT}"
- "${SPARKD__SIM_FIX_PORT}:${SPARKD__SIM_FIX_PORT}"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
restart_policy:
condition: any
delay: 3s
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-multicast:
volumes:
- ${SPARKD__DATA_DIR:-sparkd_data}:/home/bts/.local/share/bts/sparkd/data
- ${SPARKD__MD_RECORDING_DIR:-md_recording}:/md_recording
- ${SPARKD__RUNTIME_CONF_DIR:-sparkd_conf}:/home/bts/.local/share/bts/sparkd/conf
build:
dockerfile: src/app_sparkd/Dockerfile
args:
- IMAGE=${SPARKD__IMAGE}
- SOURCE_DIR=${SPARKD__SOURCE_DIR}
- CONFIG_DIR=${SPARKD__CONFIG_DIR}
- PYTHON_REQUIREMENTS=${SPARKD__PYTHON_REQUIREMENTS}
- SPARKD_ENTRYPOINT=${SPARKD__SPARKD_ENTRYPOINT}
shm_size: "${SPARKD__SHM_SIZE:-2048mb}"
env_file:
- .env
- ${SPARKD__CONFIG_DIR}/.env
network_mode: "host"
entrypoint: ${SPARKD__MAIN_ENTRYPOINT}
deploy:
restart_policy:
condition: any
@@ -84,7 +106,6 @@ services:
resources:
limits:
memory: "${SPARKD__MEMORY:-4gb}"
sparkd-tail:
image: bluetradingsystems/linux_dotnet8
volumes:
@@ -195,3 +216,6 @@ volumes:
name: "md_publisher_22019"
historic_md:
name: "historic_md"
md_recording:
name: "sparkd_md_recording_${SPARKD__CONFIG_PORT:-8000}"
external: true
@@ -8,6 +8,7 @@ RUN apt-get update && apt-get install -y ca-certificates
RUN apt-get update && apt-get install -y libssh2-1-dev
RUN apt-get update && apt-get install -y software-properties-common
RUN apt-get update && apt-get install -y sudo
RUN apt-get update && apt-get install -y tzdata
# GCC
ARG gcc_major=13
@@ -55,14 +55,16 @@ RUN \
clangd-$clang_major
# CMake
RUN \
curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc 2> /dev/null \
| gpg --dearmor - \
| tee /usr/share/keyrings/kitware-archive-keyring.gpg > /dev/null \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
| tee /etc/apt/sources.list.d/kitware.list > /dev/null \
&& apt-get update \
&& apt-get install -y cmake
RUN set -eux \
&& apt-get update \
&& apt-get install -y --no-install-recommends ca-certificates curl gpg \
&& curl -fsSL https://apt.kitware.com/keys/kitware-archive-latest.asc \
| gpg --dearmor -o /usr/share/keyrings/kitware-archive-keyring.gpg \
&& echo "deb [signed-by=/usr/share/keyrings/kitware-archive-keyring.gpg] https://apt.kitware.com/ubuntu/ $(lsb_release -cs) main" \
> /etc/apt/sources.list.d/kitware.list \
&& apt-get update \
&& apt-get install -y --no-install-recommends cmake \
&& rm -rf /var/lib/apt/lists/*
# Dotnet
RUN apt-get update && apt-get install -y dotnet8
@@ -80,9 +82,14 @@ RUN mkdir -p /etc/apt/keyrings \
# Emumba (deps)
RUN apt-get update && apt-get -y install rapidjson-dev
# Emumba
COPY emumba /emumba
RUN dpkg -i /emumba/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb \
&& rm -r /emumba
ARG EMUMBA_DERIBIT_CONNECTOR_DEB_URL="https://api.bitbucket.org/2.0/repositories/bluetradesys/spark/downloads/emumba-deribit-connector-3.3.1-Linux.LICENSE_DISABLED.deb"
RUN --mount=type=secret,id=bitbucket_access_token \
set -eux \
&& apt-get update \
&& TOKEN="$(cat /run/secrets/bitbucket_access_token)" \
&& curl -fL -H "Authorization: Bearer ${TOKEN}" $EMUMBA_DERIBIT_CONNECTOR_DEB_URL -o /tmp/emumba-deribit-connector.deb \
&& apt-get install -y /tmp/emumba-deribit-connector.deb \
&& rm -f /tmp/emumba-deribit-connector.deb
# Pcap
RUN apt-get update && apt-get install -y libpcap0.8-dev
@@ -90,6 +97,18 @@ RUN apt-get update && apt-get install -y libpcap0.8-dev
# Databento (deps)
RUN apt-get update && apt-get -y install libzstd-dev
# Rakurai
ARG RAKURAI_DEB_URL="https://api.bitbucket.org/2.0/repositories/bluetradesys/spark/downloads/rakurai-dex-connector_0.0.5_amd64.deb"
RUN --mount=type=secret,id=bitbucket_access_token \
set -eux \
&& apt-get update \
&& TOKEN="$(cat /run/secrets/bitbucket_access_token)" \
&& curl -fL -H "Authorization: Bearer ${TOKEN}" $RAKURAI_DEB_URL -o /tmp/rakurai.deb \
# Need --force-overwrite because rakuirai and emumba-deribit-connector both include the same
# spdlog headers.
&& apt-get install -y -o Dpkg::Options::="--force-overwrite" /tmp/rakurai.deb \
&& rm -f /tmp/rakuirai.deb
# Docker in Docker
RUN apt-get update && apt-get install -y \
docker.io \
@@ -0,0 +1,11 @@
FROM ubuntu:24.04
ARG DEBIAN_FRONTEND=noninteractive
RUN apt-get update && apt-get install -y \
fish \
less \
vim
USER bts
WORKDIR /home/bts
Submodule
+1
Submodule docker/linux added at 6537812262.
+1
Submodule docker/windows added at de7d40c09d.
+3 -3
View File
@@ -18,10 +18,10 @@ MarkupSafe==3.0.2
mccabe==0.6.1
numpy==2.2.6
platformdirs==2.3.0
protobuf==4.21.12
protobuf==6.33.4
pybars3==0.9.7
pybind11==2.13.6
pybind11-stubgen==2.5.3
pybind11==3.0.1
pybind11-stubgen==2.5.5
pybit==5.11.0
pycodestyle==2.7.0
pycparser==2.20
+281 -380
View File
@@ -1,405 +1,306 @@
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GlobalSection(SolutionProperties) = preSolution
HideSolutionNode = FALSE
EndGlobalSection
GlobalSection(NestedProjects) = preSolution
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EndGlobalSection
GlobalSection(ExtensibilityGlobals) = postSolution
SolutionGuid = {422D1620-0166-4C26-9A81-CA8A2EB1AB58}
EndGlobalSection
GlobalSection(Performance) = preSolution
HasPerformanceSessions = true
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EndGlobal
@@ -0,0 +1 @@
r=TimeSeriesStream(ReplayFutureLiveBBOStream("ES"))
@@ -0,0 +1,3 @@
x,y,z,id
123,1.001,abc,1
123,1.001,abc,0
1 x y z id
2 123 1.001 abc 1
3 123 1.001 abc 0
@@ -0,0 +1,3 @@
x,y,z,id
123,1.001,abc,1
123,1.001,abc,0
1 x y z id
2 123 1.001 abc 1
3 123 1.001 abc 0
@@ -0,0 +1,78 @@
id,ts_event,contract,bid_price,bid_size,ask_price,ask_size,timestamp
76,2026-03-13T05:57:25.177965500Z,ESU5,6363.75,51,6364,63,3/13/2026 5:57:25 AM
75,2026-03-13T05:57:25.068062900Z,ESU5,6363.75,52,6364,63,3/13/2026 5:57:25 AM
74,2026-03-13T05:57:24.963428500Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
73,2026-03-13T05:57:24.781215700Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
72,2026-03-13T05:57:24.676290100Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
71,2026-03-13T05:57:24.566898400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
70,2026-03-13T05:57:24.430800400Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
69,2026-03-13T05:57:24.273683400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
68,2026-03-13T05:57:24.167656100Z,ESU5,6363.75,56,6364,64,3/13/2026 5:57:24 AM
67,2026-03-13T05:57:23.995720100Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:23 AM
66,2026-03-13T05:57:23.894029100Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
65,2026-03-13T05:57:23.728897300Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
64,2026-03-13T05:57:23.614316800Z,ESU5,6363.75,52,6364,68,3/13/2026 5:57:23 AM
63,2026-03-13T05:57:23.503752700Z,ESU5,6363.75,51,6364,68,3/13/2026 5:57:23 AM
62,2026-03-13T05:57:23.289108200Z,ESU5,6363.75,50,6364,68,3/13/2026 5:57:23 AM
61,2026-03-13T05:57:23.155673400Z,ESU5,6363.75,49,6364,68,3/13/2026 5:57:23 AM
60,2026-03-13T05:57:23.028898400Z,ESU5,6363.75,48,6364,68,3/13/2026 5:57:23 AM
59,2026-03-13T05:57:22.887132700Z,ESU5,6363.75,46,6364,68,3/13/2026 5:57:22 AM
58,2026-03-13T05:57:22.676916300Z,ESU5,6363.75,44,6364,68,3/13/2026 5:57:22 AM
57,2026-03-13T05:57:22.520328000Z,ESU5,6363.75,43,6364,68,3/13/2026 5:57:22 AM
56,2026-03-13T05:57:22.405244600Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:22 AM
55,2026-03-13T05:57:22.294674100Z,ESU5,6363.75,41,6364,69,3/13/2026 5:57:22 AM
54,2026-03-13T05:57:22.163467900Z,ESU5,6363.75,38,6364,69,3/13/2026 5:57:22 AM
53,2026-03-13T05:57:21.992443000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:21 AM
52,2026-03-13T05:57:21.872338400Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:21 AM
51,2026-03-13T05:57:21.742801800Z,ESU5,6363.75,37,6364,71,3/13/2026 5:57:21 AM
50,2026-03-13T05:57:21.557711100Z,ESU5,6363.75,37,6364,72,3/13/2026 5:57:21 AM
49,2026-03-13T05:57:21.434977000Z,ESU5,6363.75,37,6364,73,3/13/2026 5:57:21 AM
48,2026-03-13T05:57:21.285751600Z,ESU5,6363.75,37,6364,72,3/13/2026 5:57:21 AM
47,2026-03-13T05:57:21.184392000Z,ESU5,6363.75,37,6364,73,3/13/2026 5:57:21 AM
46,2026-03-13T05:57:21.076843800Z,ESU5,6363.75,34,6364,73,3/13/2026 5:57:21 AM
45,2026-03-13T05:57:20.894131800Z,ESU5,6363.75,32,6364,73,3/13/2026 5:57:20 AM
44,2026-03-13T05:57:20.759550000Z,ESU5,6363.75,30,6364,73,3/13/2026 5:57:20 AM
43,2026-03-13T05:57:20.641547900Z,ESU5,6363.75,28,6364,73,3/13/2026 5:57:20 AM
42,2026-03-13T05:57:20.540293200Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
41,2026-03-13T05:57:20.439034600Z,ESU5,6363.75,27,6364,74,3/13/2026 5:57:20 AM
40,2026-03-13T05:57:20.337795000Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
39,2026-03-13T05:57:20.236606600Z,ESU5,6363.75,27,6364,72,3/13/2026 5:57:20 AM
38,2026-03-13T05:57:20.135417700Z,ESU5,6363.75,30,6364,72,3/13/2026 5:57:20 AM
37,2026-03-13T05:57:20.034272700Z,ESU5,6363.75,32,6364,72,3/13/2026 5:57:20 AM
36,2026-03-13T05:57:19.933096800Z,ESU5,6363.75,34,6364,72,3/13/2026 5:57:19 AM
35,2026-03-13T05:57:19.832012600Z,ESU5,6363.75,36,6364,72,3/13/2026 5:57:19 AM
34,2026-03-13T05:57:19.730878500Z,ESU5,6363.75,38,6364,72,3/13/2026 5:57:19 AM
33,2026-03-13T05:57:19.629787400Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
32,2026-03-13T05:57:19.528697000Z,ESU5,6363.75,38,6364,70,3/13/2026 5:57:19 AM
31,2026-03-13T05:57:19.427077000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
30,2026-03-13T05:57:19.326450300Z,ESU5,6363.75,39,6364,71,3/13/2026 5:57:19 AM
29,2026-03-13T05:57:19.225427900Z,ESU5,6363.75,39,6364,70,3/13/2026 5:57:19 AM
28,2026-03-13T05:57:19.123339800Z,ESU5,6363.75,40,6364,70,3/13/2026 5:57:19 AM
27,2026-03-13T05:57:19.021936500Z,ESU5,6363.75,41,6364,70,3/13/2026 5:57:19 AM
26,2026-03-13T05:57:18.920859200Z,ESU5,6363.75,45,6364,70,3/13/2026 5:57:18 AM
25,2026-03-13T05:57:18.820148400Z,ESU5,6363.75,46,6364,70,3/13/2026 5:57:18 AM
24,2026-03-13T05:57:18.718988100Z,ESU5,6363.75,46,6364,69,3/13/2026 5:57:18 AM
23,2026-03-13T05:57:18.618299700Z,ESU5,6363.75,49,6364,69,3/13/2026 5:57:18 AM
22,2026-03-13T05:57:18.517138100Z,ESU5,6363.75,52,6364,69,3/13/2026 5:57:18 AM
21,2026-03-13T05:57:18.416335200Z,ESU5,6363.75,53,6364,69,3/13/2026 5:57:18 AM
20,2026-03-13T05:57:18.315335900Z,ESU5,6363.75,55,6364,69,3/13/2026 5:57:18 AM
19,2026-03-13T05:57:18.214368600Z,ESU5,6363.75,57,6364,69,3/13/2026 5:57:18 AM
18,2026-03-13T05:57:18.113754700Z,ESU5,6363.75,57,6364,65,3/13/2026 5:57:18 AM
17,2026-03-13T05:57:18.012706500Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:18 AM
16,2026-03-13T05:57:17.911672600Z,ESU5,6363.75,54,6364,65,3/13/2026 5:57:17 AM
15,2026-03-13T05:57:17.810879900Z,ESU5,6363.75,52,6364,65,3/13/2026 5:57:17 AM
14,2026-03-13T05:57:17.710089700Z,ESU5,6363.75,49,6364,65,3/13/2026 5:57:17 AM
13,2026-03-13T05:57:17.609388300Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
12,2026-03-13T05:57:17.508697400Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
11,2026-03-13T05:57:17.408027000Z,ESU5,6363.75,53,6364,67,3/13/2026 5:57:17 AM
10,2026-03-13T05:57:17.307406200Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
9,2026-03-13T05:57:17.206714300Z,ESU5,6363.75,49,6364,71,3/13/2026 5:57:17 AM
8,2026-03-13T05:57:17.105530300Z,ESU5,6363.75,48,6364,71,3/13/2026 5:57:17 AM
7,2026-03-13T05:57:17.004796800Z,ESU5,6363.75,47,6364,71,3/13/2026 5:57:17 AM
6,2026-03-13T05:57:16.904113900Z,ESU5,6363.75,46,6364,71,3/13/2026 5:57:16 AM
5,2026-03-13T05:57:16.803381900Z,ESU5,6363.75,43,6364,71,3/13/2026 5:57:16 AM
4,2026-03-13T05:57:16.701969600Z,ESU5,6363.75,43,6364,72,3/13/2026 5:57:16 AM
3,2026-03-13T05:57:16.600765600Z,ESU5,6363.75,43,6364,73,3/13/2026 5:57:16 AM
2,2026-03-13T05:57:16.499986300Z,ESU5,6363.75,43,6364,74,3/13/2026 5:57:16 AM
1,2026-03-13T05:57:16.399241700Z,ESU5,6363.75,43,6364,75,3/13/2026 5:57:16 AM
0,2026-03-13T05:57:16.264038000Z,ESU5,6363.75,43,6364,76,3/13/2026 5:57:16 AM
1 id ts_event contract bid_price bid_size ask_price ask_size timestamp
2 76 2026-03-13T05:57:25.177965500Z ESU5 6363.75 51 6364 63 3/13/2026 5:57:25 AM
3 75 2026-03-13T05:57:25.068062900Z ESU5 6363.75 52 6364 63 3/13/2026 5:57:25 AM
4 74 2026-03-13T05:57:24.963428500Z ESU5 6363.75 56 6364 63 3/13/2026 5:57:24 AM
5 73 2026-03-13T05:57:24.781215700Z ESU5 6363.75 57 6364 63 3/13/2026 5:57:24 AM
6 72 2026-03-13T05:57:24.676290100Z ESU5 6363.75 57 6364 63 3/13/2026 5:57:24 AM
7 71 2026-03-13T05:57:24.566898400Z ESU5 6363.75 56 6364 63 3/13/2026 5:57:24 AM
8 70 2026-03-13T05:57:24.430800400Z ESU5 6363.75 57 6364 63 3/13/2026 5:57:24 AM
9 69 2026-03-13T05:57:24.273683400Z ESU5 6363.75 56 6364 63 3/13/2026 5:57:24 AM
10 68 2026-03-13T05:57:24.167656100Z ESU5 6363.75 56 6364 64 3/13/2026 5:57:24 AM
11 67 2026-03-13T05:57:23.995720100Z ESU5 6363.75 56 6364 65 3/13/2026 5:57:23 AM
12 66 2026-03-13T05:57:23.894029100Z ESU5 6363.75 56 6364 68 3/13/2026 5:57:23 AM
13 65 2026-03-13T05:57:23.728897300Z ESU5 6363.75 56 6364 68 3/13/2026 5:57:23 AM
14 64 2026-03-13T05:57:23.614316800Z ESU5 6363.75 52 6364 68 3/13/2026 5:57:23 AM
15 63 2026-03-13T05:57:23.503752700Z ESU5 6363.75 51 6364 68 3/13/2026 5:57:23 AM
16 62 2026-03-13T05:57:23.289108200Z ESU5 6363.75 50 6364 68 3/13/2026 5:57:23 AM
17 61 2026-03-13T05:57:23.155673400Z ESU5 6363.75 49 6364 68 3/13/2026 5:57:23 AM
18 60 2026-03-13T05:57:23.028898400Z ESU5 6363.75 48 6364 68 3/13/2026 5:57:23 AM
19 59 2026-03-13T05:57:22.887132700Z ESU5 6363.75 46 6364 68 3/13/2026 5:57:22 AM
20 58 2026-03-13T05:57:22.676916300Z ESU5 6363.75 44 6364 68 3/13/2026 5:57:22 AM
21 57 2026-03-13T05:57:22.520328000Z ESU5 6363.75 43 6364 68 3/13/2026 5:57:22 AM
22 56 2026-03-13T05:57:22.405244600Z ESU5 6363.75 43 6364 69 3/13/2026 5:57:22 AM
23 55 2026-03-13T05:57:22.294674100Z ESU5 6363.75 41 6364 69 3/13/2026 5:57:22 AM
24 54 2026-03-13T05:57:22.163467900Z ESU5 6363.75 38 6364 69 3/13/2026 5:57:22 AM
25 53 2026-03-13T05:57:21.992443000Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:21 AM
26 52 2026-03-13T05:57:21.872338400Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:21 AM
27 51 2026-03-13T05:57:21.742801800Z ESU5 6363.75 37 6364 71 3/13/2026 5:57:21 AM
28 50 2026-03-13T05:57:21.557711100Z ESU5 6363.75 37 6364 72 3/13/2026 5:57:21 AM
29 49 2026-03-13T05:57:21.434977000Z ESU5 6363.75 37 6364 73 3/13/2026 5:57:21 AM
30 48 2026-03-13T05:57:21.285751600Z ESU5 6363.75 37 6364 72 3/13/2026 5:57:21 AM
31 47 2026-03-13T05:57:21.184392000Z ESU5 6363.75 37 6364 73 3/13/2026 5:57:21 AM
32 46 2026-03-13T05:57:21.076843800Z ESU5 6363.75 34 6364 73 3/13/2026 5:57:21 AM
33 45 2026-03-13T05:57:20.894131800Z ESU5 6363.75 32 6364 73 3/13/2026 5:57:20 AM
34 44 2026-03-13T05:57:20.759550000Z ESU5 6363.75 30 6364 73 3/13/2026 5:57:20 AM
35 43 2026-03-13T05:57:20.641547900Z ESU5 6363.75 28 6364 73 3/13/2026 5:57:20 AM
36 42 2026-03-13T05:57:20.540293200Z ESU5 6363.75 27 6364 73 3/13/2026 5:57:20 AM
37 41 2026-03-13T05:57:20.439034600Z ESU5 6363.75 27 6364 74 3/13/2026 5:57:20 AM
38 40 2026-03-13T05:57:20.337795000Z ESU5 6363.75 27 6364 73 3/13/2026 5:57:20 AM
39 39 2026-03-13T05:57:20.236606600Z ESU5 6363.75 27 6364 72 3/13/2026 5:57:20 AM
40 38 2026-03-13T05:57:20.135417700Z ESU5 6363.75 30 6364 72 3/13/2026 5:57:20 AM
41 37 2026-03-13T05:57:20.034272700Z ESU5 6363.75 32 6364 72 3/13/2026 5:57:20 AM
42 36 2026-03-13T05:57:19.933096800Z ESU5 6363.75 34 6364 72 3/13/2026 5:57:19 AM
43 35 2026-03-13T05:57:19.832012600Z ESU5 6363.75 36 6364 72 3/13/2026 5:57:19 AM
44 34 2026-03-13T05:57:19.730878500Z ESU5 6363.75 38 6364 72 3/13/2026 5:57:19 AM
45 33 2026-03-13T05:57:19.629787400Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:19 AM
46 32 2026-03-13T05:57:19.528697000Z ESU5 6363.75 38 6364 70 3/13/2026 5:57:19 AM
47 31 2026-03-13T05:57:19.427077000Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:19 AM
48 30 2026-03-13T05:57:19.326450300Z ESU5 6363.75 39 6364 71 3/13/2026 5:57:19 AM
49 29 2026-03-13T05:57:19.225427900Z ESU5 6363.75 39 6364 70 3/13/2026 5:57:19 AM
50 28 2026-03-13T05:57:19.123339800Z ESU5 6363.75 40 6364 70 3/13/2026 5:57:19 AM
51 27 2026-03-13T05:57:19.021936500Z ESU5 6363.75 41 6364 70 3/13/2026 5:57:19 AM
52 26 2026-03-13T05:57:18.920859200Z ESU5 6363.75 45 6364 70 3/13/2026 5:57:18 AM
53 25 2026-03-13T05:57:18.820148400Z ESU5 6363.75 46 6364 70 3/13/2026 5:57:18 AM
54 24 2026-03-13T05:57:18.718988100Z ESU5 6363.75 46 6364 69 3/13/2026 5:57:18 AM
55 23 2026-03-13T05:57:18.618299700Z ESU5 6363.75 49 6364 69 3/13/2026 5:57:18 AM
56 22 2026-03-13T05:57:18.517138100Z ESU5 6363.75 52 6364 69 3/13/2026 5:57:18 AM
57 21 2026-03-13T05:57:18.416335200Z ESU5 6363.75 53 6364 69 3/13/2026 5:57:18 AM
58 20 2026-03-13T05:57:18.315335900Z ESU5 6363.75 55 6364 69 3/13/2026 5:57:18 AM
59 19 2026-03-13T05:57:18.214368600Z ESU5 6363.75 57 6364 69 3/13/2026 5:57:18 AM
60 18 2026-03-13T05:57:18.113754700Z ESU5 6363.75 57 6364 65 3/13/2026 5:57:18 AM
61 17 2026-03-13T05:57:18.012706500Z ESU5 6363.75 56 6364 65 3/13/2026 5:57:18 AM
62 16 2026-03-13T05:57:17.911672600Z ESU5 6363.75 54 6364 65 3/13/2026 5:57:17 AM
63 15 2026-03-13T05:57:17.810879900Z ESU5 6363.75 52 6364 65 3/13/2026 5:57:17 AM
64 14 2026-03-13T05:57:17.710089700Z ESU5 6363.75 49 6364 65 3/13/2026 5:57:17 AM
65 13 2026-03-13T05:57:17.609388300Z ESU5 6363.75 49 6364 67 3/13/2026 5:57:17 AM
66 12 2026-03-13T05:57:17.508697400Z ESU5 6363.75 49 6364 67 3/13/2026 5:57:17 AM
67 11 2026-03-13T05:57:17.408027000Z ESU5 6363.75 53 6364 67 3/13/2026 5:57:17 AM
68 10 2026-03-13T05:57:17.307406200Z ESU5 6363.75 49 6364 67 3/13/2026 5:57:17 AM
69 9 2026-03-13T05:57:17.206714300Z ESU5 6363.75 49 6364 71 3/13/2026 5:57:17 AM
70 8 2026-03-13T05:57:17.105530300Z ESU5 6363.75 48 6364 71 3/13/2026 5:57:17 AM
71 7 2026-03-13T05:57:17.004796800Z ESU5 6363.75 47 6364 71 3/13/2026 5:57:17 AM
72 6 2026-03-13T05:57:16.904113900Z ESU5 6363.75 46 6364 71 3/13/2026 5:57:16 AM
73 5 2026-03-13T05:57:16.803381900Z ESU5 6363.75 43 6364 71 3/13/2026 5:57:16 AM
74 4 2026-03-13T05:57:16.701969600Z ESU5 6363.75 43 6364 72 3/13/2026 5:57:16 AM
75 3 2026-03-13T05:57:16.600765600Z ESU5 6363.75 43 6364 73 3/13/2026 5:57:16 AM
76 2 2026-03-13T05:57:16.499986300Z ESU5 6363.75 43 6364 74 3/13/2026 5:57:16 AM
77 1 2026-03-13T05:57:16.399241700Z ESU5 6363.75 43 6364 75 3/13/2026 5:57:16 AM
78 0 2026-03-13T05:57:16.264038000Z ESU5 6363.75 43 6364 76 3/13/2026 5:57:16 AM
@@ -0,0 +1,91 @@
id,ts_event,contract,bid_price,bid_size,ask_price,ask_size,timestamp
89,2026-03-13T05:57:26.904401600Z,ESU5,6363.75,43,6364,67,3/13/2026 5:57:26 AM
88,2026-03-13T05:57:26.778037200Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:26 AM
87,2026-03-13T05:57:26.597038500Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:26 AM
86,2026-03-13T05:57:26.438768300Z,ESU5,6363.75,43,6364,68,3/13/2026 5:57:26 AM
85,2026-03-13T05:57:26.328259100Z,ESU5,6363.75,43,6364,67,3/13/2026 5:57:26 AM
84,2026-03-13T05:57:26.216211200Z,ESU5,6363.75,44,6364,67,3/13/2026 5:57:26 AM
83,2026-03-13T05:57:26.099281200Z,ESU5,6363.75,46,6364,67,3/13/2026 5:57:26 AM
82,2026-03-13T05:57:25.979814900Z,ESU5,6363.75,48,6364,67,3/13/2026 5:57:25 AM
81,2026-03-13T05:57:25.852317700Z,ESU5,6363.75,48,6364,66,3/13/2026 5:57:25 AM
80,2026-03-13T05:57:25.684323100Z,ESU5,6363.75,48,6364,65,3/13/2026 5:57:25 AM
79,2026-03-13T05:57:25.539436900Z,ESU5,6363.75,48,6364,64,3/13/2026 5:57:25 AM
78,2026-03-13T05:57:25.425439200Z,ESU5,6363.75,49,6364,64,3/13/2026 5:57:25 AM
77,2026-03-13T05:57:25.298054100Z,ESU5,6363.75,51,6364,64,3/13/2026 5:57:25 AM
76,2026-03-13T05:57:25.177965500Z,ESU5,6363.75,51,6364,63,3/13/2026 5:57:25 AM
75,2026-03-13T05:57:25.068062900Z,ESU5,6363.75,52,6364,63,3/13/2026 5:57:25 AM
74,2026-03-13T05:57:24.963428500Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
73,2026-03-13T05:57:24.781215700Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
72,2026-03-13T05:57:24.676290100Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
71,2026-03-13T05:57:24.566898400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
70,2026-03-13T05:57:24.430800400Z,ESU5,6363.75,57,6364,63,3/13/2026 5:57:24 AM
69,2026-03-13T05:57:24.273683400Z,ESU5,6363.75,56,6364,63,3/13/2026 5:57:24 AM
68,2026-03-13T05:57:24.167656100Z,ESU5,6363.75,56,6364,64,3/13/2026 5:57:24 AM
67,2026-03-13T05:57:23.995720100Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:23 AM
66,2026-03-13T05:57:23.894029100Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
65,2026-03-13T05:57:23.728897300Z,ESU5,6363.75,56,6364,68,3/13/2026 5:57:23 AM
64,2026-03-13T05:57:23.614316800Z,ESU5,6363.75,52,6364,68,3/13/2026 5:57:23 AM
63,2026-03-13T05:57:23.503752700Z,ESU5,6363.75,51,6364,68,3/13/2026 5:57:23 AM
62,2026-03-13T05:57:23.289108200Z,ESU5,6363.75,50,6364,68,3/13/2026 5:57:23 AM
61,2026-03-13T05:57:23.155673400Z,ESU5,6363.75,49,6364,68,3/13/2026 5:57:23 AM
60,2026-03-13T05:57:23.028898400Z,ESU5,6363.75,48,6364,68,3/13/2026 5:57:23 AM
59,2026-03-13T05:57:22.887132700Z,ESU5,6363.75,46,6364,68,3/13/2026 5:57:22 AM
58,2026-03-13T05:57:22.676916300Z,ESU5,6363.75,44,6364,68,3/13/2026 5:57:22 AM
57,2026-03-13T05:57:22.520328000Z,ESU5,6363.75,43,6364,68,3/13/2026 5:57:22 AM
56,2026-03-13T05:57:22.405244600Z,ESU5,6363.75,43,6364,69,3/13/2026 5:57:22 AM
55,2026-03-13T05:57:22.294674100Z,ESU5,6363.75,41,6364,69,3/13/2026 5:57:22 AM
54,2026-03-13T05:57:22.163467900Z,ESU5,6363.75,38,6364,69,3/13/2026 5:57:22 AM
53,2026-03-13T05:57:21.992443000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:21 AM
52,2026-03-13T05:57:21.872338400Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:21 AM
51,2026-03-13T05:57:21.742801800Z,ESU5,6363.75,37,6364,71,3/13/2026 5:57:21 AM
50,2026-03-13T05:57:21.557711100Z,ESU5,6363.75,37,6364,72,3/13/2026 5:57:21 AM
49,2026-03-13T05:57:21.434977000Z,ESU5,6363.75,37,6364,73,3/13/2026 5:57:21 AM
48,2026-03-13T05:57:21.285751600Z,ESU5,6363.75,37,6364,72,3/13/2026 5:57:21 AM
47,2026-03-13T05:57:21.184392000Z,ESU5,6363.75,37,6364,73,3/13/2026 5:57:21 AM
46,2026-03-13T05:57:21.076843800Z,ESU5,6363.75,34,6364,73,3/13/2026 5:57:21 AM
45,2026-03-13T05:57:20.894131800Z,ESU5,6363.75,32,6364,73,3/13/2026 5:57:20 AM
44,2026-03-13T05:57:20.759550000Z,ESU5,6363.75,30,6364,73,3/13/2026 5:57:20 AM
43,2026-03-13T05:57:20.641547900Z,ESU5,6363.75,28,6364,73,3/13/2026 5:57:20 AM
42,2026-03-13T05:57:20.540293200Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
41,2026-03-13T05:57:20.439034600Z,ESU5,6363.75,27,6364,74,3/13/2026 5:57:20 AM
40,2026-03-13T05:57:20.337795000Z,ESU5,6363.75,27,6364,73,3/13/2026 5:57:20 AM
39,2026-03-13T05:57:20.236606600Z,ESU5,6363.75,27,6364,72,3/13/2026 5:57:20 AM
38,2026-03-13T05:57:20.135417700Z,ESU5,6363.75,30,6364,72,3/13/2026 5:57:20 AM
37,2026-03-13T05:57:20.034272700Z,ESU5,6363.75,32,6364,72,3/13/2026 5:57:20 AM
36,2026-03-13T05:57:19.933096800Z,ESU5,6363.75,34,6364,72,3/13/2026 5:57:19 AM
35,2026-03-13T05:57:19.832012600Z,ESU5,6363.75,36,6364,72,3/13/2026 5:57:19 AM
34,2026-03-13T05:57:19.730878500Z,ESU5,6363.75,38,6364,72,3/13/2026 5:57:19 AM
33,2026-03-13T05:57:19.629787400Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
32,2026-03-13T05:57:19.528697000Z,ESU5,6363.75,38,6364,70,3/13/2026 5:57:19 AM
31,2026-03-13T05:57:19.427077000Z,ESU5,6363.75,38,6364,71,3/13/2026 5:57:19 AM
30,2026-03-13T05:57:19.326450300Z,ESU5,6363.75,39,6364,71,3/13/2026 5:57:19 AM
29,2026-03-13T05:57:19.225427900Z,ESU5,6363.75,39,6364,70,3/13/2026 5:57:19 AM
28,2026-03-13T05:57:19.123339800Z,ESU5,6363.75,40,6364,70,3/13/2026 5:57:19 AM
27,2026-03-13T05:57:19.021936500Z,ESU5,6363.75,41,6364,70,3/13/2026 5:57:19 AM
26,2026-03-13T05:57:18.920859200Z,ESU5,6363.75,45,6364,70,3/13/2026 5:57:18 AM
25,2026-03-13T05:57:18.820148400Z,ESU5,6363.75,46,6364,70,3/13/2026 5:57:18 AM
24,2026-03-13T05:57:18.718988100Z,ESU5,6363.75,46,6364,69,3/13/2026 5:57:18 AM
23,2026-03-13T05:57:18.618299700Z,ESU5,6363.75,49,6364,69,3/13/2026 5:57:18 AM
22,2026-03-13T05:57:18.517138100Z,ESU5,6363.75,52,6364,69,3/13/2026 5:57:18 AM
21,2026-03-13T05:57:18.416335200Z,ESU5,6363.75,53,6364,69,3/13/2026 5:57:18 AM
20,2026-03-13T05:57:18.315335900Z,ESU5,6363.75,55,6364,69,3/13/2026 5:57:18 AM
19,2026-03-13T05:57:18.214368600Z,ESU5,6363.75,57,6364,69,3/13/2026 5:57:18 AM
18,2026-03-13T05:57:18.113754700Z,ESU5,6363.75,57,6364,65,3/13/2026 5:57:18 AM
17,2026-03-13T05:57:18.012706500Z,ESU5,6363.75,56,6364,65,3/13/2026 5:57:18 AM
16,2026-03-13T05:57:17.911672600Z,ESU5,6363.75,54,6364,65,3/13/2026 5:57:17 AM
15,2026-03-13T05:57:17.810879900Z,ESU5,6363.75,52,6364,65,3/13/2026 5:57:17 AM
14,2026-03-13T05:57:17.710089700Z,ESU5,6363.75,49,6364,65,3/13/2026 5:57:17 AM
13,2026-03-13T05:57:17.609388300Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
12,2026-03-13T05:57:17.508697400Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
11,2026-03-13T05:57:17.408027000Z,ESU5,6363.75,53,6364,67,3/13/2026 5:57:17 AM
10,2026-03-13T05:57:17.307406200Z,ESU5,6363.75,49,6364,67,3/13/2026 5:57:17 AM
9,2026-03-13T05:57:17.206714300Z,ESU5,6363.75,49,6364,71,3/13/2026 5:57:17 AM
8,2026-03-13T05:57:17.105530300Z,ESU5,6363.75,48,6364,71,3/13/2026 5:57:17 AM
7,2026-03-13T05:57:17.004796800Z,ESU5,6363.75,47,6364,71,3/13/2026 5:57:17 AM
6,2026-03-13T05:57:16.904113900Z,ESU5,6363.75,46,6364,71,3/13/2026 5:57:16 AM
5,2026-03-13T05:57:16.803381900Z,ESU5,6363.75,43,6364,71,3/13/2026 5:57:16 AM
4,2026-03-13T05:57:16.701969600Z,ESU5,6363.75,43,6364,72,3/13/2026 5:57:16 AM
3,2026-03-13T05:57:16.600765600Z,ESU5,6363.75,43,6364,73,3/13/2026 5:57:16 AM
2,2026-03-13T05:57:16.499986300Z,ESU5,6363.75,43,6364,74,3/13/2026 5:57:16 AM
1,2026-03-13T05:57:16.399241700Z,ESU5,6363.75,43,6364,75,3/13/2026 5:57:16 AM
0,2026-03-13T05:57:16.264038000Z,ESU5,6363.75,43,6364,76,3/13/2026 5:57:16 AM
1 id ts_event contract bid_price bid_size ask_price ask_size timestamp
2 89 2026-03-13T05:57:26.904401600Z ESU5 6363.75 43 6364 67 3/13/2026 5:57:26 AM
3 88 2026-03-13T05:57:26.778037200Z ESU5 6363.75 43 6364 69 3/13/2026 5:57:26 AM
4 87 2026-03-13T05:57:26.597038500Z ESU5 6363.75 43 6364 69 3/13/2026 5:57:26 AM
5 86 2026-03-13T05:57:26.438768300Z ESU5 6363.75 43 6364 68 3/13/2026 5:57:26 AM
6 85 2026-03-13T05:57:26.328259100Z ESU5 6363.75 43 6364 67 3/13/2026 5:57:26 AM
7 84 2026-03-13T05:57:26.216211200Z ESU5 6363.75 44 6364 67 3/13/2026 5:57:26 AM
8 83 2026-03-13T05:57:26.099281200Z ESU5 6363.75 46 6364 67 3/13/2026 5:57:26 AM
9 82 2026-03-13T05:57:25.979814900Z ESU5 6363.75 48 6364 67 3/13/2026 5:57:25 AM
10 81 2026-03-13T05:57:25.852317700Z ESU5 6363.75 48 6364 66 3/13/2026 5:57:25 AM
11 80 2026-03-13T05:57:25.684323100Z ESU5 6363.75 48 6364 65 3/13/2026 5:57:25 AM
12 79 2026-03-13T05:57:25.539436900Z ESU5 6363.75 48 6364 64 3/13/2026 5:57:25 AM
13 78 2026-03-13T05:57:25.425439200Z ESU5 6363.75 49 6364 64 3/13/2026 5:57:25 AM
14 77 2026-03-13T05:57:25.298054100Z ESU5 6363.75 51 6364 64 3/13/2026 5:57:25 AM
15 76 2026-03-13T05:57:25.177965500Z ESU5 6363.75 51 6364 63 3/13/2026 5:57:25 AM
16 75 2026-03-13T05:57:25.068062900Z ESU5 6363.75 52 6364 63 3/13/2026 5:57:25 AM
17 74 2026-03-13T05:57:24.963428500Z ESU5 6363.75 56 6364 63 3/13/2026 5:57:24 AM
18 73 2026-03-13T05:57:24.781215700Z ESU5 6363.75 57 6364 63 3/13/2026 5:57:24 AM
19 72 2026-03-13T05:57:24.676290100Z ESU5 6363.75 57 6364 63 3/13/2026 5:57:24 AM
20 71 2026-03-13T05:57:24.566898400Z ESU5 6363.75 56 6364 63 3/13/2026 5:57:24 AM
21 70 2026-03-13T05:57:24.430800400Z ESU5 6363.75 57 6364 63 3/13/2026 5:57:24 AM
22 69 2026-03-13T05:57:24.273683400Z ESU5 6363.75 56 6364 63 3/13/2026 5:57:24 AM
23 68 2026-03-13T05:57:24.167656100Z ESU5 6363.75 56 6364 64 3/13/2026 5:57:24 AM
24 67 2026-03-13T05:57:23.995720100Z ESU5 6363.75 56 6364 65 3/13/2026 5:57:23 AM
25 66 2026-03-13T05:57:23.894029100Z ESU5 6363.75 56 6364 68 3/13/2026 5:57:23 AM
26 65 2026-03-13T05:57:23.728897300Z ESU5 6363.75 56 6364 68 3/13/2026 5:57:23 AM
27 64 2026-03-13T05:57:23.614316800Z ESU5 6363.75 52 6364 68 3/13/2026 5:57:23 AM
28 63 2026-03-13T05:57:23.503752700Z ESU5 6363.75 51 6364 68 3/13/2026 5:57:23 AM
29 62 2026-03-13T05:57:23.289108200Z ESU5 6363.75 50 6364 68 3/13/2026 5:57:23 AM
30 61 2026-03-13T05:57:23.155673400Z ESU5 6363.75 49 6364 68 3/13/2026 5:57:23 AM
31 60 2026-03-13T05:57:23.028898400Z ESU5 6363.75 48 6364 68 3/13/2026 5:57:23 AM
32 59 2026-03-13T05:57:22.887132700Z ESU5 6363.75 46 6364 68 3/13/2026 5:57:22 AM
33 58 2026-03-13T05:57:22.676916300Z ESU5 6363.75 44 6364 68 3/13/2026 5:57:22 AM
34 57 2026-03-13T05:57:22.520328000Z ESU5 6363.75 43 6364 68 3/13/2026 5:57:22 AM
35 56 2026-03-13T05:57:22.405244600Z ESU5 6363.75 43 6364 69 3/13/2026 5:57:22 AM
36 55 2026-03-13T05:57:22.294674100Z ESU5 6363.75 41 6364 69 3/13/2026 5:57:22 AM
37 54 2026-03-13T05:57:22.163467900Z ESU5 6363.75 38 6364 69 3/13/2026 5:57:22 AM
38 53 2026-03-13T05:57:21.992443000Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:21 AM
39 52 2026-03-13T05:57:21.872338400Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:21 AM
40 51 2026-03-13T05:57:21.742801800Z ESU5 6363.75 37 6364 71 3/13/2026 5:57:21 AM
41 50 2026-03-13T05:57:21.557711100Z ESU5 6363.75 37 6364 72 3/13/2026 5:57:21 AM
42 49 2026-03-13T05:57:21.434977000Z ESU5 6363.75 37 6364 73 3/13/2026 5:57:21 AM
43 48 2026-03-13T05:57:21.285751600Z ESU5 6363.75 37 6364 72 3/13/2026 5:57:21 AM
44 47 2026-03-13T05:57:21.184392000Z ESU5 6363.75 37 6364 73 3/13/2026 5:57:21 AM
45 46 2026-03-13T05:57:21.076843800Z ESU5 6363.75 34 6364 73 3/13/2026 5:57:21 AM
46 45 2026-03-13T05:57:20.894131800Z ESU5 6363.75 32 6364 73 3/13/2026 5:57:20 AM
47 44 2026-03-13T05:57:20.759550000Z ESU5 6363.75 30 6364 73 3/13/2026 5:57:20 AM
48 43 2026-03-13T05:57:20.641547900Z ESU5 6363.75 28 6364 73 3/13/2026 5:57:20 AM
49 42 2026-03-13T05:57:20.540293200Z ESU5 6363.75 27 6364 73 3/13/2026 5:57:20 AM
50 41 2026-03-13T05:57:20.439034600Z ESU5 6363.75 27 6364 74 3/13/2026 5:57:20 AM
51 40 2026-03-13T05:57:20.337795000Z ESU5 6363.75 27 6364 73 3/13/2026 5:57:20 AM
52 39 2026-03-13T05:57:20.236606600Z ESU5 6363.75 27 6364 72 3/13/2026 5:57:20 AM
53 38 2026-03-13T05:57:20.135417700Z ESU5 6363.75 30 6364 72 3/13/2026 5:57:20 AM
54 37 2026-03-13T05:57:20.034272700Z ESU5 6363.75 32 6364 72 3/13/2026 5:57:20 AM
55 36 2026-03-13T05:57:19.933096800Z ESU5 6363.75 34 6364 72 3/13/2026 5:57:19 AM
56 35 2026-03-13T05:57:19.832012600Z ESU5 6363.75 36 6364 72 3/13/2026 5:57:19 AM
57 34 2026-03-13T05:57:19.730878500Z ESU5 6363.75 38 6364 72 3/13/2026 5:57:19 AM
58 33 2026-03-13T05:57:19.629787400Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:19 AM
59 32 2026-03-13T05:57:19.528697000Z ESU5 6363.75 38 6364 70 3/13/2026 5:57:19 AM
60 31 2026-03-13T05:57:19.427077000Z ESU5 6363.75 38 6364 71 3/13/2026 5:57:19 AM
61 30 2026-03-13T05:57:19.326450300Z ESU5 6363.75 39 6364 71 3/13/2026 5:57:19 AM
62 29 2026-03-13T05:57:19.225427900Z ESU5 6363.75 39 6364 70 3/13/2026 5:57:19 AM
63 28 2026-03-13T05:57:19.123339800Z ESU5 6363.75 40 6364 70 3/13/2026 5:57:19 AM
64 27 2026-03-13T05:57:19.021936500Z ESU5 6363.75 41 6364 70 3/13/2026 5:57:19 AM
65 26 2026-03-13T05:57:18.920859200Z ESU5 6363.75 45 6364 70 3/13/2026 5:57:18 AM
66 25 2026-03-13T05:57:18.820148400Z ESU5 6363.75 46 6364 70 3/13/2026 5:57:18 AM
67 24 2026-03-13T05:57:18.718988100Z ESU5 6363.75 46 6364 69 3/13/2026 5:57:18 AM
68 23 2026-03-13T05:57:18.618299700Z ESU5 6363.75 49 6364 69 3/13/2026 5:57:18 AM
69 22 2026-03-13T05:57:18.517138100Z ESU5 6363.75 52 6364 69 3/13/2026 5:57:18 AM
70 21 2026-03-13T05:57:18.416335200Z ESU5 6363.75 53 6364 69 3/13/2026 5:57:18 AM
71 20 2026-03-13T05:57:18.315335900Z ESU5 6363.75 55 6364 69 3/13/2026 5:57:18 AM
72 19 2026-03-13T05:57:18.214368600Z ESU5 6363.75 57 6364 69 3/13/2026 5:57:18 AM
73 18 2026-03-13T05:57:18.113754700Z ESU5 6363.75 57 6364 65 3/13/2026 5:57:18 AM
74 17 2026-03-13T05:57:18.012706500Z ESU5 6363.75 56 6364 65 3/13/2026 5:57:18 AM
75 16 2026-03-13T05:57:17.911672600Z ESU5 6363.75 54 6364 65 3/13/2026 5:57:17 AM
76 15 2026-03-13T05:57:17.810879900Z ESU5 6363.75 52 6364 65 3/13/2026 5:57:17 AM
77 14 2026-03-13T05:57:17.710089700Z ESU5 6363.75 49 6364 65 3/13/2026 5:57:17 AM
78 13 2026-03-13T05:57:17.609388300Z ESU5 6363.75 49 6364 67 3/13/2026 5:57:17 AM
79 12 2026-03-13T05:57:17.508697400Z ESU5 6363.75 49 6364 67 3/13/2026 5:57:17 AM
80 11 2026-03-13T05:57:17.408027000Z ESU5 6363.75 53 6364 67 3/13/2026 5:57:17 AM
81 10 2026-03-13T05:57:17.307406200Z ESU5 6363.75 49 6364 67 3/13/2026 5:57:17 AM
82 9 2026-03-13T05:57:17.206714300Z ESU5 6363.75 49 6364 71 3/13/2026 5:57:17 AM
83 8 2026-03-13T05:57:17.105530300Z ESU5 6363.75 48 6364 71 3/13/2026 5:57:17 AM
84 7 2026-03-13T05:57:17.004796800Z ESU5 6363.75 47 6364 71 3/13/2026 5:57:17 AM
85 6 2026-03-13T05:57:16.904113900Z ESU5 6363.75 46 6364 71 3/13/2026 5:57:16 AM
86 5 2026-03-13T05:57:16.803381900Z ESU5 6363.75 43 6364 71 3/13/2026 5:57:16 AM
87 4 2026-03-13T05:57:16.701969600Z ESU5 6363.75 43 6364 72 3/13/2026 5:57:16 AM
88 3 2026-03-13T05:57:16.600765600Z ESU5 6363.75 43 6364 73 3/13/2026 5:57:16 AM
89 2 2026-03-13T05:57:16.499986300Z ESU5 6363.75 43 6364 74 3/13/2026 5:57:16 AM
90 1 2026-03-13T05:57:16.399241700Z ESU5 6363.75 43 6364 75 3/13/2026 5:57:16 AM
91 0 2026-03-13T05:57:16.264038000Z ESU5 6363.75 43 6364 76 3/13/2026 5:57:16 AM
+187
View File
@@ -0,0 +1,187 @@
from __future__ import annotations
from dataclasses import dataclass
import json
import os
import subprocess
import threading
from typing import Any, Callable, Dict, List, Optional
@dataclass
class DataPacket:
state: List[Any]
deleted_ids: List[int]
added_ids: List[int]
@dataclass
class DslResponse:
data_packet: DataPacket | None
req_id: str | None
error: str | None
def _resolve_interop_exe() -> str:
env_path = os.environ.get("BLUEORB_DSL_INTEROP")
if env_path and os.path.isfile(env_path):
return env_path
candidates = [
"/workspaces/spark/build/Debug/bin/net8.0/BlueOrbDSLInteropServer",
"/workspaces/spark/build/Release/bin/net8.0/BlueOrbDSLInteropServer",
]
for path in candidates:
if os.path.isfile(path):
return path
raise FileNotFoundError(
"BlueOrbDSLInterop executable not found. "
"Set BLUEORB_DSL_INTEROP to the full path."
)
_interop_proc: Optional[subprocess.Popen] = None
_reader_thread: Optional[threading.Thread] = None
_callbacks: Dict[str, Callable[[DslResponse], None]] = {}
_first_response_events: Dict[str, threading.Event] = {}
_first_responses: Dict[str, DslResponse] = {}
_state_lock = threading.Lock()
def start_interop() -> None:
"""
Start the BlueOrbDSLInteropServer process if it's not already running.
"""
global _interop_proc
if _interop_proc is not None and _interop_proc.poll() is None:
return
exe = _resolve_interop_exe()
_interop_proc = subprocess.Popen(
[exe],
stdin=subprocess.PIPE,
stdout=subprocess.PIPE,
stderr=subprocess.PIPE,
text=True,
)
_start_reader_thread()
def stop_interop() -> None:
"""
Stop the BlueOrbDSLInteropServer process if it's running.
"""
global _interop_proc
if _interop_proc is None:
return
if _interop_proc.poll() is None and _interop_proc.stdin is not None:
_interop_proc.stdin.write(":exit\n")
_interop_proc.stdin.flush()
_interop_proc.stdin.close()
_interop_proc.wait(timeout=5)
global _reader_thread
if _reader_thread is not None:
_reader_thread.join(timeout=1)
_reader_thread = None
with _state_lock:
_callbacks.clear()
_first_response_events.clear()
_first_responses.clear()
_interop_proc = None
def get_interop_status() -> tuple[bool, int | None]:
"""
Returns current interop process status as (is_running, exit_code).
exit_code is None when process was never started or is still running.
"""
proc = _interop_proc
if proc is None:
return (False, None)
rc = proc.poll()
return (rc is None, rc)
def get_dsl(dsl: str, req_id: str, callback: Callable[[DslResponse], None]) -> DslResponse:
"""
Sends the DSL to BlueOrbDSLInteropServer and returns the first response for this req_id.
Subsequent streaming updates for the same req_id are delivered via callback.
Requires start_interop() to be called first.
"""
assert _interop_proc is not None and _interop_proc.poll() is None, (
"Interop process is not running. Call start_interop() first."
)
assert _interop_proc.stdin is not None
payload = {"dsl": dsl, "req_id": req_id}
first_event = threading.Event()
with _state_lock:
_callbacks[req_id] = callback
_first_response_events[req_id] = first_event
_first_responses.pop(req_id, None)
_interop_proc.stdin.write(json.dumps(payload) + "\n")
_interop_proc.stdin.flush()
if not first_event.wait(timeout=10):
with _state_lock:
_first_response_events.pop(req_id, None)
_callbacks.pop(req_id, None)
raise TimeoutError(f"No response received for req_id '{req_id}' from BlueOrbDSLInterop.")
with _state_lock:
response = _first_responses.pop(req_id, None)
_first_response_events.pop(req_id, None)
if response is None:
raise RuntimeError(f"Missing first response for req_id '{req_id}'.")
return response
def _start_reader_thread() -> None:
global _reader_thread
if _reader_thread is not None and _reader_thread.is_alive():
return
_reader_thread = threading.Thread(target=_reader_loop, daemon=True)
_reader_thread.start()
def _reader_loop() -> None:
while True:
proc = _interop_proc
if proc is None or proc.poll() is not None:
return
assert proc.stdout is not None
raw = proc.stdout.readline()
if raw == "":
return
line = raw.strip()
if not line:
continue
try:
payload = json.loads(line)
except json.JSONDecodeError:
continue
response = DslResponse(
data_packet=DataPacket(state=[payload.get("data_packet")], deleted_ids=[], added_ids=[]),
req_id=payload.get("req_id"),
error=payload.get("error"),
)
req_id = response.req_id
if not req_id:
continue
callback: Optional[Callable[[DslResponse], None]]
event: Optional[threading.Event]
with _state_lock:
callback = _callbacks.get(req_id)
event = _first_response_events.get(req_id)
if event is not None and req_id not in _first_responses:
_first_responses[req_id] = response
event.set()
if callback is not None:
try:
callback(response)
except Exception:
# Keep the reader alive if callback logic fails.
pass
@@ -0,0 +1,33 @@
import os
import sys
import uuid
_here = os.path.dirname(os.path.abspath(__file__))
_parent = os.path.dirname(_here)
if _parent not in sys.path:
sys.path.insert(0, _parent)
from BlueOrbDSL import get_dsl, start_interop, stop_interop, DslResponse
def on_packet(response: DslResponse) -> None:
print("callback from DSL Server, DslResponse:", response)
def main() -> None:
start_interop()
try:
while True:
dsl = input("Enter DSL (or 'quit'): ").strip()
if dsl.lower() == "quit":
break
if not dsl:
continue
response = get_dsl(dsl, str(uuid.uuid4()), on_packet)
print("return:", response)
finally:
stop_interop()
if __name__ == "__main__":
main()
+844
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@@ -0,0 +1,844 @@
from __future__ import annotations
import csv
import time
import os
import sys
import threading
import uuid
from collections import deque
from datetime import datetime
from typing import Any
from rich.text import Text
from rich.style import Style
from textual import events
from textual.app import App, ComposeResult
from textual.binding import Binding
from textual.containers import Container, Horizontal, Vertical
from textual.widgets.text_area import TextAreaTheme
from textual.widgets import Button, DataTable, Input, Static, TabbedContent, TabPane, TextArea, Tree
_here = os.path.dirname(os.path.abspath(__file__))
_parent = os.path.dirname(_here)
if _parent not in sys.path:
sys.path.insert(0, _parent)
from BlueOrbDSL import DslResponse, get_dsl, get_interop_status, start_interop, stop_interop
class DSQALiveConsole(App):
DEFAULT_QUERY = (
'FROM market.ticks\n'
'WHERE symbol IN ("BTCUSD", "ETHUSD")\n'
"SELECT symbol, price, change, time"
)
LAST_QUERY_PATH = os.path.join(_here, "DSQA_LAST_EXECUTED_QUERY.txt")
DSL_HIGHLIGHT_QUERY = r"""
; comments
(comment) @comment
; assignment vars: lhs in x = SomeStream(...)
(assignment_expression
left: (identifier) @variable)
; stream operators (function names ending with Stream)
(call_expression
function: (identifier) @function
(#match? @function "^[A-Za-z_][A-Za-z0-9_]*Stream$"))
; normal function calls
(call_expression
function: (identifier) @function.method)
; arguments and literals
(arguments (identifier) @parameter)
(string) @string
(number) @number
(true) @constant.builtin
(false) @constant.builtin
(null) @constant.builtin
"""
BINDINGS = [
Binding("ctrl+r", "execute", "Execute"),
Binding("f11", "execute", show=False),
Binding("alt+enter", "execute", show=False),
# Override Textual's default Ctrl+Q quit to avoid accidental VS Code close.
Binding("ctrl+q", "noop", show=False),
Binding("ctrl+x", "quit", "Quit"),
]
CSS = """
Screen {
background: #060a1c;
color: #d8dff4;
}
#window_close_button {
width: 3;
min-width: 3;
height: 1;
margin: 0;
border: none;
background: #3a1015;
color: #ff9ca8;
text-style: bold;
}
#window_close_button:hover,
#window_close_button:focus {
background: #5a1620;
color: #ffd6db;
}
#root {
padding: 0 1 0 1;
height: 1fr;
}
#query_panel {
background: #070d27;
height: 33%;
margin-top: 1;
}
#query_header_row {
height: 1;
border-bottom: solid #596285;
}
#query_header {
width: auto;
color: #9eb0d4;
content-align: left middle;
}
#query_header_spacer {
width: 1fr;
}
#query_input {
border: solid #697597;
background: #050b22;
color: #cfd7eb;
height: 1fr;
padding-left: 1;
}
#results_panel {
background: #070d27;
height: 1fr;
margin-top: 1;
}
#results_toolbar {
height: 3;
padding: 0 1;
}
#results_left {
width: auto;
height: 3;
margin-top: 0;
}
#stream_toggle_button {
width: auto;
min-width: 11;
margin-top: 0;
margin-left: 1;
border: none;
background: #070d27;
color: #79afe7;
}
#stream_toggle_button:hover,
#stream_toggle_button:focus {
background: #111a3f;
color: #9bc9f6;
}
#execute_button {
width: 5;
min-width: 5;
margin-top: 0;
margin-left: 1;
border: none;
background: #10341f;
color: #7ef1ac;
text-style: bold;
}
#execute_button:hover,
#execute_button:focus {
background: #1a4f30;
color: #b3ffd0;
}
#results_actions {
width: auto;
height: 3;
margin-top: 0;
}
#results_spacer {
width: 1fr;
}
#results_search {
width: 30;
min-width: 24;
margin-right: 1;
border: none;
background: #060d28;
color: #d5def3;
padding: 0 1;
}
#search_button,
#copy_button,
#export_button {
width: auto;
min-width: 11;
margin-left: 1;
border: none;
background: #070d27;
color: #79afe7;
}
#search_button:hover,
#copy_button:hover,
#export_button:hover,
#search_button:focus,
#copy_button:focus,
#export_button:focus {
background: #111a3f;
color: #9bc9f6;
}
#results_table {
border: solid #697597;
background: #050b22;
height: 1fr;
}
#results_table .datatable--header,
#results_table .datatable--header-hover,
#results_table .datatable--header-cursor {
background: #0c1535;
color: #6ea6df;
text-style: bold;
}
#results_table .datatable--even-row {
background: #050b22;
}
#results_table .datatable--odd-row {
background: #07102a;
}
#results_table .datatable--cursor {
background: #19335b;
color: #dbe8ff;
}
#results_table .datatable--fixed-cursor {
background: #132949;
color: #c8dbff;
}
#results_table.error .datatable--odd-row,
#results_table.error .datatable--even-row,
#results_table.error .datatable--cursor,
#results_table.error .datatable--fixed-cursor {
color: #f17486;
text-style: bold;
}
#results_panel.paused {
background: #150f1f;
}
#results_table.paused {
background: #130f18;
}
#results_table.paused .datatable--header,
#results_table.paused .datatable--header-hover,
#results_table.paused .datatable--header-cursor {
background: #262338;
color: #8b90a1;
text-style: bold;
}
#results_tabs {
height: 1fr;
background: #070d27;
}
#data_tab,
#tree_tab {
padding: 0;
}
#ops_tree {
border: solid #697597;
background: #050b22;
color: #cfd7eb;
height: 1fr;
}
#bottom_status_bar {
border-top: solid #596285;
background: #070d27;
height: 2;
margin: 0;
padding: 0 1;
}
#status_right_wrap {
width: 1fr;
}
#status_row {
height: 1;
margin-top: 0;
width: 1fr;
}
#live_status {
width: 1fr;
color: #b3bed9;
content-align: right middle;
}
"""
def compose(self) -> ComposeResult:
with Container(id="root"):
with Vertical(id="query_panel"):
with Horizontal(id="query_header_row"):
yield Static("DSL Query", id="query_header")
yield Static("", id="query_header_spacer")
yield Button("✕", id="window_close_button")
yield TextArea(
text=self._load_last_query(),
id="query_input",
language="javascript",
theme="vscode_dark",
show_line_numbers=True,
)
with Vertical(id="results_panel"):
with Horizontal(id="results_toolbar"):
with Horizontal(id="results_left"):
yield Button("▶", id="execute_button")
yield Button("⏸ Pause", id="stream_toggle_button")
yield Static("", id="results_spacer")
with Horizontal(id="results_actions"):
yield Input(placeholder="Search: col:value", id="results_search")
yield Button("⌕ Search", id="search_button")
yield Button("⧉ Copy", id="copy_button")
yield Button("⇩ Export", id="export_button")
with TabbedContent(initial="data_tab", id="results_tabs"):
with TabPane("Data", id="data_tab"):
table = DataTable(id="results_table")
table.cursor_type = "cell"
table.show_cursor = True
table.zebra_stripes = True
yield table
with TabPane("Operators", id="tree_tab"):
tree = Tree("Assemblies", id="ops_tree")
tree.show_root = False
yield tree
with Horizontal(id="bottom_status_bar"):
with Horizontal(id="status_right_wrap"):
with Horizontal(id="status_row"):
yield Static(
"Rows: 0 | Rate: 0.0/s | Total Updates: 0 | Uptime: 00:00:00 | Last Update: --:--:--",
id="live_status",
)
def on_mount(self) -> None:
self._update_timestamps: deque[float] = deque()
self._last_update_at: datetime | None = None
self._stream_started_at: float | None = None
self._total_updates = 0
self._last_row_count = 0
self._current_col_names: list[str] = []
self._current_rows: list[dict[str, Any]] = []
self._column_width_cache: dict[str, int] = {}
self._ops_catalog_rows: list[dict[str, Any]] = []
self._ops_catalog_error: str | None = None
self._ops_catalog_loaded = False
self._ops_catalog_loading = False
self._interop_is_running = False
self._interop_exit_code: int | None = None
self._grid_updates_enabled = True
self._paused_latest_response: DslResponse | None = None
self._ensure_interop_started()
self._refresh_ops_tree()
self._refresh_ops_tree_async()
self._configure_query_highlighting()
self._set_pause_visuals()
self.set_interval(0.5, self._refresh_status)
def _configure_query_highlighting(self) -> None:
query_input = self.query_one("#query_input", TextArea)
query_input.language = "javascript"
dsl_theme = TextAreaTheme(
"dsqa_ide",
base_style=Style.parse("#d7deee on #171a22"),
gutter_style=Style.parse("#8a93a8 on #1c212b"),
cursor_style=Style.parse("#ffffff on #2b3242"),
cursor_line_style=Style.parse("on #202534"),
cursor_line_gutter_style=Style.parse("#a6afc4 on #202534"),
selection_style=Style.parse("on #2a3f67"),
bracket_matching_style=Style.parse("bold #7fd9ff"),
syntax_styles={
"comment": Style.parse("italic #6f778a"),
"variable": Style.parse("bold #4ec9b0"),
"function": Style.parse("bold #4fc1ff"),
"function.method": Style.parse("bold #70d4ff"),
"parameter": Style.parse("#c6d4f8"),
"string": Style.parse("#d7ba7d"),
"number": Style.parse("#b5cea8"),
"constant.builtin": Style.parse("bold #569cd6"),
},
)
query_input.register_theme(dsl_theme)
query_input.theme = "dsqa_ide"
try:
query_input.update_highlight_query(self.DSL_HIGHLIGHT_QUERY)
except Exception:
pass
def on_shutdown(self) -> None:
stop_interop()
@staticmethod
def _ensure_interop_started() -> None:
try:
start_interop()
except Exception:
pass
def action_execute(self) -> None:
tabs = self.query_one("#results_tabs", TabbedContent)
tabs.active = "data_tab"
self._grid_updates_enabled = True
self._set_stream_toggle_label()
self._set_pause_visuals()
self._execute_query_async()
def action_noop(self) -> None:
pass
def on_button_pressed(self, event: Button.Pressed) -> None:
button_id = event.button.id
if button_id == "search_button":
self._search_results()
elif button_id == "copy_button":
self._copy_selected_cell()
elif button_id == "export_button":
self._export_results_csv()
elif button_id == "execute_button":
self.action_execute()
elif button_id == "window_close_button":
self.exit()
elif button_id == "stream_toggle_button":
self._toggle_stream_painting()
def on_input_submitted(self, event: Input.Submitted) -> None:
if event.input.id == "results_search":
self._search_results()
def on_click(self, event: events.Click) -> None:
if getattr(event.widget, "id", None) != "ops_tree":
return
line = event.style.meta.get("line")
if line is None:
return
tree = self.query_one("#ops_tree", Tree)
node = tree.get_node_at_line(line)
if node is None:
return
node_data = node.data
if not isinstance(node_data, dict) or node_data.get("kind") != "constructor":
return
self._append_operator_to_query(self._stringify(node_data.get("op", "")).strip())
def _append_operator_to_query(self, op_name: str) -> None:
if not op_name:
return
query_input = self.query_one("#query_input", TextArea)
existing = query_input.text
if existing.strip():
separator = "" if existing.endswith("\n") else "\n"
query_input.text = f"{existing}{separator}{op_name}"
else:
query_input.text = op_name
query_input.focus()
def _execute_query_async(self) -> None:
self._ensure_interop_started()
query = self.query_one(TextArea).text.strip()
if not query:
return
self._column_width_cache.clear()
self._save_last_query(query)
self._update_timestamps.clear()
self._last_update_at = None
self._stream_started_at = time.monotonic()
self._total_updates = 0
self._last_row_count = 0
self._paused_latest_response = None
self._refresh_status()
req_id = str(uuid.uuid4())
def _run() -> None:
try:
def _on_response(resp: DslResponse) -> None:
self.call_from_thread(self._render_response, resp)
get_dsl(query, req_id, _on_response)
except Exception as exc:
error_resp = DslResponse(data_packet=None, req_id=req_id, error=str(exc))
self.call_from_thread(self._render_response, error_resp)
threading.Thread(target=_run, daemon=True).start()
def _render_response(self, response: DslResponse) -> None:
if not self._grid_updates_enabled:
self._paused_latest_response = response
return
self._render_response_internal(response)
def _render_response_internal(self, response: DslResponse) -> None:
self._record_update()
table = self.query_one(DataTable)
table.remove_class("error")
prev_scroll_x = table.scroll_offset.x
prev_scroll_y = table.scroll_offset.y
table.clear(columns=True)
if response.error:
table.add_class("error")
error_text = self._stringify(response.error)
error_lines = error_text.splitlines() or [error_text]
self._current_col_names = []
self._current_rows = []
self._last_row_count = len(error_lines)
self._refresh_ops_tree()
table.add_columns("error")
for line in error_lines:
table.add_row(Text(line, style="bold #f17486"))
return
if response.data_packet is None or not response.data_packet.state:
self._current_col_names = []
self._current_rows = []
self._last_row_count = 0
self._refresh_ops_tree()
table.add_columns("empty")
table.add_row("no data")
return
data_packet = response.data_packet.state[0]
columns = data_packet.get("columns", [])
rows = data_packet.get("all", [])
if not isinstance(rows, list):
rows = []
col_names = [c.get("name", "") for c in columns]
if not col_names:
col_names = list(rows[0].keys()) if rows else ["empty"]
self._current_col_names = col_names
self._current_rows = rows
self._last_row_count = len(rows)
self._refresh_ops_tree()
for col_name in col_names:
width = self._column_width_cache.get(col_name, len(col_name))
for row in rows:
if not isinstance(row, dict):
continue
cell_text = self._stringify(row.get(col_name, ""))
width = max(width, len(cell_text))
self._column_width_cache[col_name] = width
table.add_column(col_name, width=width)
for row in rows:
table.add_row(*[self._format_cell(c, row.get(c, "")) for c in col_names])
# Preserve user's viewport during streaming refreshes.
table.scroll_to(
x=min(prev_scroll_x, table.max_scroll_x),
y=min(prev_scroll_y, table.max_scroll_y),
animate=False,
)
@staticmethod
def _stringify(value: Any) -> str:
return "" if value is None else str(value)
@staticmethod
def _format_cell(column_name: str, value: Any) -> str | Text:
text = DSQALiveConsole._stringify(value)
lowered = column_name.lower()
if lowered == "id":
return Text(text, style="bold #9eb1d8")
if lowered == "symbol":
return Text(text, style="bold #dce6ff")
if lowered == "price":
return Text(text, style="bold #d4ddf2")
if lowered == "time":
return Text(text, style="#aab5d0")
if lowered == "change":
cleaned = text.strip()
if cleaned.startswith("-"):
return Text(text, style="bold #f17486")
if cleaned.startswith("+"):
return Text(text, style="bold #92d67e")
return Text(text, style="bold #c7d3ef")
if lowered == "bid":
return Text(text, style="bold #8cf3c0 on #123526")
if lowered == "ask":
return Text(text, style="bold #ffd5d9 on #3b1b25")
return text
def _record_update(self) -> None:
now = time.monotonic()
self._update_timestamps.append(now)
self._total_updates += 1
if self._stream_started_at is None:
self._stream_started_at = now
self._last_update_at = datetime.now()
self._refresh_status()
def _refresh_status(self) -> None:
self._refresh_interop_heartbeat()
now = time.monotonic()
cutoff = now - 1.0
while self._update_timestamps and self._update_timestamps[0] < cutoff:
self._update_timestamps.popleft()
rate = float(len(self._update_timestamps))
if self._stream_started_at is not None:
uptime_seconds = max(0, int(now - self._stream_started_at))
uptime = self._format_duration(uptime_seconds)
else:
uptime = "--:--:--"
last_update = self._last_update_at.strftime("%H:%M:%S") if self._last_update_at else "--:--:--"
status = Text()
if self._interop_is_running:
status.append("Interop: ● UP", style="bold #92d67e")
elif self._interop_exit_code is not None:
status.append(f"Interop: ● DOWN({self._interop_exit_code})", style="bold #f17486")
else:
status.append("Interop: ● DOWN", style="bold #8b90a1")
status.append(" | ")
status.append(f"Rows: {self._last_row_count} | Rate: {rate:.1f}/s | ")
status.append(f"Total Updates: {self._total_updates}", style="bold #79afe7")
status.append(f" | Uptime: {uptime} | ")
status.append(f"Last Update: {last_update}", style="bold #79afe7")
self.query_one("#live_status", Static).update(status)
def _refresh_interop_heartbeat(self) -> None:
is_running, exit_code = get_interop_status()
self._interop_is_running = is_running
self._interop_exit_code = exit_code
@staticmethod
def _format_duration(total_seconds: int) -> str:
hours = total_seconds // 3600
minutes = (total_seconds % 3600) // 60
seconds = total_seconds % 60
return f"{hours:02d}:{minutes:02d}:{seconds:02d}"
def _search_results(self) -> None:
raw = self.query_one("#results_search", Input).value.strip()
if ":" not in raw:
return
col_part, value_part = raw.split(":", 1)
target_col = col_part.strip()
target_value = value_part.strip()
if not target_col:
return
lookup = {name.lower(): idx for idx, name in enumerate(self._current_col_names)}
col_idx = lookup.get(target_col.lower())
if col_idx is None:
return
col_name = self._current_col_names[col_idx]
needle = target_value.lower()
for row_idx, row in enumerate(self._current_rows):
if not isinstance(row, dict):
continue
cell_value = self._stringify(row.get(col_name, ""))
if needle in cell_value.lower():
table = self.query_one("#results_table", DataTable)
table.move_cursor(row=row_idx, column=col_idx)
table.focus()
return
def _copy_selected_cell(self) -> None:
table = self.query_one("#results_table", DataTable)
if table.row_count == 0 or not self._current_col_names:
return
coordinate = table.cursor_coordinate
try:
cell = table.get_cell_at(coordinate)
except Exception:
return
if isinstance(cell, Text):
value = cell.plain
else:
value = self._stringify(cell)
self.copy_to_clipboard(value)
def _export_results_csv(self) -> None:
if not self._current_col_names:
return
timestamp = datetime.now().strftime("%Y%m%d_%H%M%S")
export_path = os.path.join(_here, f"DSQA_RESULTS_EXPORT_{timestamp}.csv")
with open(export_path, "w", newline="", encoding="utf-8") as csv_file:
writer = csv.writer(csv_file)
writer.writerow(self._current_col_names)
for row in self._current_rows:
if isinstance(row, dict):
writer.writerow([self._stringify(row.get(col, "")) for col in self._current_col_names])
def _refresh_ops_tree(self) -> None:
tree = self.query_one("#ops_tree", Tree)
root = tree.root
root.remove_children()
if self._ops_catalog_error:
root.add(Text(self._ops_catalog_error, style="bold #f17486"))
root.expand()
return
grouped: dict[str, dict[str, dict[str, set[str]]]] = {}
for row in self._ops_catalog_rows:
if not isinstance(row, dict):
continue
row_lookup = {self._stringify(k).lower(): v for k, v in row.items()}
assembly_name = self._stringify(row_lookup.get("assembly_name", "")).strip() or "(unknown assembly)"
namespace = self._stringify(row_lookup.get("namespace", "")).strip() or "(global)"
op = self._stringify(row_lookup.get("op", "")).strip() or "(unknown op)"
constructor = self._stringify(row_lookup.get("constructor", "")).strip() or "(none)"
grouped.setdefault(assembly_name, {}).setdefault(namespace, {}).setdefault(op, set()).add(constructor)
if not grouped:
root.add(Text("No operator metadata available", style="#8ea0c6"))
root.expand()
return
for assembly_name in sorted(grouped.keys(), key=str.lower):
assembly_node = root.add(Text(assembly_name, style="bold #79afe7"))
for namespace in sorted(grouped[assembly_name].keys(), key=str.lower):
namespace_node = assembly_node.add(Text(namespace, style="#cfd7eb"))
for op in sorted(grouped[assembly_name][namespace].keys(), key=str.lower):
op_node = namespace_node.add(
Text(op, style="#b8c8e7"),
data={"kind": "op", "op": op},
)
for constructor in sorted(grouped[assembly_name][namespace][op], key=str.lower):
op_node.add(
Text(constructor, style="#9eb0d4"),
data={"kind": "constructor", "op": op, "constructor": constructor},
)
op_node.expand()
namespace_node.expand()
assembly_node.expand()
root.expand()
def _refresh_ops_tree_async(self) -> None:
if self._ops_catalog_loaded or self._ops_catalog_loading:
return
self._ensure_interop_started()
self._ops_catalog_loading = True
req_id = str(uuid.uuid4())
def _run() -> None:
try:
def _on_response(resp: DslResponse) -> None:
self.call_from_thread(self._update_ops_catalog, resp)
get_dsl("OpsStream()", req_id, _on_response)
except Exception as exc:
error_resp = DslResponse(data_packet=None, req_id=req_id, error=str(exc))
self.call_from_thread(self._update_ops_catalog, error_resp)
threading.Thread(target=_run, daemon=True).start()
def _update_ops_catalog(self, response: DslResponse) -> None:
self._ops_catalog_loading = False
if response.error:
self._ops_catalog_rows = []
self._ops_catalog_error = self._stringify(response.error)
self._refresh_ops_tree()
return
if response.data_packet is None or not response.data_packet.state:
self._ops_catalog_rows = []
self._ops_catalog_error = "OpsStream() returned no data"
self._refresh_ops_tree()
return
data_packet = response.data_packet.state[0]
rows = data_packet.get("all", [])
if not isinstance(rows, list):
rows = []
normalized_rows: list[dict[str, Any]] = []
for row in rows:
if isinstance(row, dict):
normalized_rows.append(row)
self._ops_catalog_rows = normalized_rows
self._ops_catalog_error = None
self._ops_catalog_loaded = True
self._refresh_ops_tree()
def _toggle_stream_painting(self) -> None:
self._grid_updates_enabled = not self._grid_updates_enabled
self._set_stream_toggle_label()
self._set_pause_visuals()
if self._grid_updates_enabled and self._paused_latest_response is not None:
latest = self._paused_latest_response
self._paused_latest_response = None
self._render_response_internal(latest)
def _set_stream_toggle_label(self) -> None:
button = self.query_one("#stream_toggle_button", Button)
button.label = "⏸ Pause" if self._grid_updates_enabled else "▶ Play"
def _set_pause_visuals(self) -> None:
table = self.query_one("#results_table", DataTable)
panel = self.query_one("#results_panel", Vertical)
if self._grid_updates_enabled:
table.remove_class("paused")
panel.remove_class("paused")
else:
table.add_class("paused")
panel.add_class("paused")
def _load_last_query(self) -> str:
try:
with open(self.LAST_QUERY_PATH, "r", encoding="utf-8") as file:
text = file.read().strip()
return text if text else self.DEFAULT_QUERY
except FileNotFoundError:
return self.DEFAULT_QUERY
except OSError:
return self.DEFAULT_QUERY
def _save_last_query(self, query: str) -> None:
try:
with open(self.LAST_QUERY_PATH, "w", encoding="utf-8") as file:
file.write(query)
except OSError:
pass
if __name__ == "__main__":
DSQALiveConsole().run()
@@ -0,0 +1,31 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<OutputType>Exe</OutputType>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
<AssemblyName>BlueOrbDSLInteropServer</AssemblyName>
<RootNamespace>BlueOrbDSLInteropServer</RootNamespace>
</PropertyGroup>
<Choose>
<When Condition="'$(UseProjectRefs)' == 'true'">
<ItemGroup>
<ProjectReference Include="..\..\cs\Bts.Spark.Api\Bts.Spark.Api.csproj" />
<ProjectReference Include="..\DataStream\DataStream.csproj" />
<ProjectReference Include="..\PubSub\PubSub.csproj" />
<ProjectReference Include="..\BlueOrbOperatorStreams\BlueOrbOperatorStreams.csproj" />
</ItemGroup>
</When>
<Otherwise>
<ItemGroup>
<PackageReference Include="Bts.Spark.Api" Version="$(SparkVersion)" />
<PackageReference Include="DataStream" Version="$(SparkVersion)" />
<PackageReference Include="PubSub" Version="$(SparkVersion)" />
<PackageReference Include="BlueOrbOperatorStreams" Version="$(SparkVersion)" />
</ItemGroup>
</Otherwise>
</Choose>
</Project>
@@ -0,0 +1,122 @@
using System;
using System.Text.Json;
using System.Text.Json.Serialization;
using BCG;
using bts.BlueOrb;
using Bts.DataStream;
using Bts.DataStreamCore;
using Bts.DataStreamExpressions;
using Bts.PubSub;
using MathNet.Numerics.Statistics;
namespace BlueOrbDSLInteropServer {
// BlueOrbDSLInteropServer reads DSL lines from stdin, validates them,
// and writes one DataPacket JSON line to stdout per input.
internal static class Program {
private const string ExitSignal = ":exit";
private static SyncQueue<DslRequest> _work_queue = new SyncQueue<DslRequest>();
private static JsonSerializerOptions response_json_options = new JsonSerializerOptions {
NumberHandling = JsonNumberHandling.AllowNamedFloatingPointLiterals
};
private static string _current_req_id;
// Request from Python
private sealed class DslRequest {
public string? dsl { get; set; }
public string? req_id { get; set; }
}
// Response envelope for Python: includes DataPacket, request id, and optional error.
private sealed class DslResponse {
public DataPacket? data_packet { get; set; }
public string? req_id { get; set; }
public string? error { get; set; }
}
private static void Main(string[] args) {
//System.Threading.Thread.Sleep(20000);
System.Threading.Thread thread = new Thread(_worker_loop);
thread.IsBackground = true;
thread.Start();
response_json_options.Converters.Add(new DataPacketJsonConverter {
IncludeCurrent = true,
UseObjectRows = true,
});
string? line;
while ((line = Console.ReadLine()) != null) {
line = line.Trim();
if (line.Length == 0) {
continue;
}
if (string.Equals(line, ExitSignal, StringComparison.OrdinalIgnoreCase)) {
break;
}
try {
DslRequest req = JsonSerializer.Deserialize<DslRequest>(line);
_work_queue.enqueue(req);
} catch (Exception ex) {
bts.Log.assert(false, ex.ToString());
}
}
}
private static void _worker_loop() {
Dictionary<string, ViewStream> req_map = new Dictionary<string, ViewStream>();
while (true) {
System.Threading.Thread.Sleep(100);
ViewStreamDatabase.instance.doWork();
var new_reqs = _work_queue.dequeue_all();
if (new_reqs == null || new_reqs.Count == 0) {
continue;
}
// ubsubscribing to previous stream(s)
foreach (var kv in req_map) {
kv.Value.onChange -= dp_obj => _on_dp(kv.Key, dp_obj);
}
foreach (var r in new_reqs) {
var req_id = string.IsNullOrWhiteSpace(r.req_id) ? Guid.NewGuid().ToString() : r.req_id;
_current_req_id = req_id;
try {
DSLStream dsl_str = new DSLStream(r.dsl);
req_map[req_id] = dsl_str;
dsl_str.onChange += dp_obj => _on_dp(req_id, dp_obj);
} catch (Exception ex) {
_write_error(req_id, ex.StackTrace);
}
}
}
}
private static void _on_dp(string req_id, object dp_obj) {
// eventhough we unsubscribe to all the other streams except the currrent one,
// sometimes the onLastSub is not implemented and we still get updates, this masks them
if (req_id != _current_req_id)
return;
DataPacket dp = dp_obj as DataPacket;
DslResponse response = new DslResponse() {
data_packet = dp,
req_id = req_id,
error = ""
};
var json = JsonSerializer.Serialize(response, response_json_options);
Console.WriteLine(json);
}
private static void _write_error(string req_id, string error) {
DslResponse response = new DslResponse() {
data_packet = null,
req_id = req_id,
error = error
};
var json = JsonSerializer.Serialize(response, response_json_options);
Console.WriteLine(json);
}
}
}
@@ -0,0 +1,514 @@
// namespace BlueOrb.Operators.Signal;
// using BCG;
// using bts;
// using System;
// using System.Collections.Generic;
// using System.Globalization;
// using System.Linq;
// [DataStreamUserRespresentation("BarBuilderStream")]
// public class BarBuilderStream : ViewStream
// {
// enum BarType
// {
// TIME,
// TICK,
// VOLUME,
// DOLLAR,
// }
// enum PriceSource
// {
// trade_price,
// mid,
// bid,
// ask,
// }
// enum VolumeSource
// {
// trade_size,
// none,
// }
// enum SessionReset
// {
// NONE,
// DAY,
// RTH,
// ETH,
// }
// sealed class BarState
// {
// public string Contract = string.Empty;
// public DateTime StartTs;
// public DateTime EndTs;
// public double Open;
// public double High;
// public double Low;
// public double Close;
// public double Volume;
// public int TradeCount;
// public double SumPriceSize;
// public double SumSize;
// public double DollarNotional;
// public bool HasData;
// public DateTime SessionDay;
// public bool InitialSnapshotEmitted;
// }
// readonly ViewStream _priceStream;
// readonly BarType _barType;
// readonly int _barSize;
// readonly PriceSource _priceSource;
// readonly VolumeSource _volumeSource;
// readonly string _timestampCol;
// readonly bool _emitForming;
// readonly bool _emitInitialSnapshot;
// readonly SessionReset _sessionReset;
// readonly Dictionary<string, BarState> _stateByContract = new(StringComparer.Ordinal);
// readonly Dictionary<string, bool> _validCols = new(StringComparer.OrdinalIgnoreCase);
// bool _validated;
// int _nextId;
// readonly BlueTable _outTable;
// readonly IBlueTableSchema _outSchema;
// public BarBuilderStream(
// ViewStream price_stream,
// string bar_type,
// int bar_size,
// string price_source,
// string volume_source,
// string timestamp_col = "ts_event",
// int emit_forming_i = 0,
// string session_reset = "NONE",
// int emit_initial_snapshot_i = 0
// )
// {
// _priceStream = price_stream;
// _barType = ParseBarType(bar_type);
// _barSize = bar_size;
// _priceSource = ParsePriceSource(price_source);
// _volumeSource = ParseVolumeSource(volume_source);
// _timestampCol = timestamp_col;
// _emitForming = emit_forming_i == 1;
// _emitInitialSnapshot = emit_initial_snapshot_i == 1;
// _sessionReset = ParseSessionReset(session_reset);
// if (_barSize <= 0)
// {
// throw new ArgumentException("bar_size must be > 0");
// }
// _outSchema = BlueDataUtility.form_schema(
// "BarBuilder",
// Tuple.Create("id", TypeCode.Int32),
// Tuple.Create("ts_event", TypeCode.String),
// Tuple.Create("bar_start_ts", TypeCode.String),
// Tuple.Create("bar_end_ts", TypeCode.String),
// Tuple.Create("contract", TypeCode.String),
// Tuple.Create("open", TypeCode.Double),
// Tuple.Create("high", TypeCode.Double),
// Tuple.Create("low", TypeCode.Double),
// Tuple.Create("close", TypeCode.Double),
// Tuple.Create("volume", TypeCode.Double),
// Tuple.Create("trade_count", TypeCode.Int32),
// Tuple.Create("vwap", TypeCode.Double),
// Tuple.Create("is_forming", TypeCode.Boolean)
// );
// _outTable = new BlueTable(_outSchema);
// }
// protected override void myOnFirstSubscriber()
// {
// _priceStream.onChange += _on_price_change;
// }
// protected override void myOnLastSubscriber()
// {
// _priceStream.onChange -= _on_price_change;
// }
// void _on_price_change(object newValue)
// {
// var dp = newValue as IDataPacket;
// if (dp is null)
// {
// return;
// }
// if (!_validated)
// {
// ValidateInputSchema(dp.newRows.schema);
// _validated = true;
// }
// var emitted = new List<IBlueRow>();
// foreach (IBlueRow row in dp.addedRows)
// {
// ProcessEvent(row, emitted);
// }
// if (emitted.Count == 0)
// {
// return;
// }
// foreach (var r in emitted)
// {
// _outTable.addRow(r);
// }
// var outDp = BlueDataUtility.build_dp_inc(_outTable, myLastValue as IDataPacket);
// myFireEvent(outDp);
// }
// void ValidateInputSchema(IBlueTableSchema schema)
// {
// _validCols.Clear();
// foreach (var name in schema.columnNames)
// {
// _validCols[name] = true;
// }
// if (!_validCols.ContainsKey(_timestampCol))
// {
// throw new ArgumentException($"Missing required column: {_timestampCol}");
// }
// switch (_priceSource)
// {
// case PriceSource.trade_price:
// RequireCol("trade_price");
// break;
// case PriceSource.mid:
// RequireCol("bid_price");
// RequireCol("ask_price");
// break;
// case PriceSource.bid:
// RequireCol("bid_price");
// break;
// case PriceSource.ask:
// RequireCol("ask_price");
// break;
// }
// if (_barType is BarType.VOLUME or BarType.DOLLAR)
// {
// if (_volumeSource == VolumeSource.none || !_validCols.ContainsKey("trade_size"))
// {
// throw new ArgumentException("VOLUME/DOLLAR require executed trade volume; invalid for BBO-only streams.");
// }
// }
// else if (_volumeSource == VolumeSource.trade_size)
// {
// RequireCol("trade_size");
// }
// }
// void RequireCol(string name)
// {
// if (!_validCols.ContainsKey(name))
// {
// throw new ArgumentException($"Missing required column for selected source: {name}");
// }
// }
// void ProcessEvent(IBlueRow row, List<IBlueRow> emitted)
// {
// var ts = ParseTimestamp(row);
// var contract = ResolveContract(row);
// var price = ResolvePrice(row);
// var size = ResolveSize(row);
// var state = GetOrCreateState(contract);
// if (state.HasData && _sessionReset != SessionReset.NONE && ts.Date != state.SessionDay.Date)
// {
// emitted.Add(ToBarRow(state, ts_event: state.EndTs, isForming: false));
// state.HasData = false;
// }
// switch (_barType)
// {
// case BarType.TIME:
// ProcessTimeBar(state, ts, price, size, emitted);
// break;
// case BarType.TICK:
// ProcessThresholdBar(state, ts, price, size, emitted, state.TradeCount + 1 >= _barSize);
// break;
// case BarType.VOLUME:
// ProcessThresholdBar(state, ts, price, size, emitted, state.Volume + size >= _barSize);
// break;
// case BarType.DOLLAR:
// ProcessThresholdBar(state, ts, price, size, emitted, state.DollarNotional + (price * size) >= _barSize);
// break;
// }
// }
// void ProcessTimeBar(BarState state, DateTime ts, double price, double size, List<IBlueRow> emitted)
// {
// var bucketStart = AlignTimeBucket(ts, _barSize);
// var bucketEnd = bucketStart.AddSeconds(_barSize);
// if (!state.HasData)
// {
// StartBar(state, ts, bucketStart, bucketEnd, price, size);
// MaybeEmitInitialSnapshot(state, ts, emitted);
// if (_emitForming)
// {
// emitted.Add(ToBarRow(state, ts, isForming: true));
// }
// return;
// }
// if (bucketStart < state.StartTs)
// {
// Log.Gen.error(
// $"BarBuilderStream ignored out-of-order event. contract={state.Contract} ts={ToIso(ts)} " +
// $"current_bar_start={ToIso(state.StartTs)}");
// return;
// }
// if (bucketStart > state.StartTs)
// {
// emitted.Add(ToBarRow(state, state.EndTs, isForming: false));
// StartBar(state, ts, bucketStart, bucketEnd, price, size);
// if (_emitForming)
// {
// emitted.Add(ToBarRow(state, ts, isForming: true));
// }
// return;
// }
// Accumulate(state, price, size);
// state.EndTs = bucketEnd;
// if (_emitForming)
// {
// emitted.Add(ToBarRow(state, ts, isForming: true));
// }
// }
// void ProcessThresholdBar(
// BarState state,
// DateTime ts,
// double price,
// double size,
// List<IBlueRow> emitted,
// bool shouldClose
// )
// {
// if (!state.HasData)
// {
// StartBar(state, ts, ts, ts, price, size);
// MaybeEmitInitialSnapshot(state, ts, emitted);
// }
// else
// {
// Accumulate(state, price, size);
// }
// state.EndTs = ts;
// if (_emitForming)
// {
// emitted.Add(ToBarRow(state, ts, isForming: true));
// }
// if (shouldClose)
// {
// emitted.Add(ToBarRow(state, ts, isForming: false));
// state.HasData = false;
// }
// }
// static DateTime AlignTimeBucket(DateTime ts, int seconds)
// {
// var utc = ts.ToUniversalTime();
// long bucketTicks = TimeSpan.FromSeconds(seconds).Ticks;
// long aligned = (utc.Ticks / bucketTicks) * bucketTicks;
// return new DateTime(aligned, DateTimeKind.Utc);
// }
// void MaybeEmitInitialSnapshot(BarState state, DateTime ts, List<IBlueRow> emitted)
// {
// if (!_emitInitialSnapshot || state.InitialSnapshotEmitted)
// {
// return;
// }
// emitted.Add(ToBarRow(state, ts, isForming: false));
// state.InitialSnapshotEmitted = true;
// }
// void StartBar(
// BarState state,
// DateTime ts,
// DateTime barStart,
// DateTime barEnd,
// double price,
// double size
// )
// {
// state.StartTs = barStart;
// state.EndTs = barEnd;
// state.Open = price;
// state.High = price;
// state.Low = price;
// state.Close = price;
// state.Volume = 0;
// state.TradeCount = 0;
// state.SumPriceSize = 0;
// state.SumSize = 0;
// state.DollarNotional = 0;
// state.SessionDay = ts.Date;
// state.HasData = true;
// Accumulate(state, price, size);
// }
// static void Accumulate(BarState state, double price, double size)
// {
// state.High = Math.Max(state.High, price);
// state.Low = Math.Min(state.Low, price);
// state.Close = price;
// state.TradeCount++;
// if (size > 0)
// {
// state.Volume += size;
// state.SumSize += size;
// state.SumPriceSize += price * size;
// state.DollarNotional += price * size;
// }
// }
// IBlueRow ToBarRow(BarState state, DateTime ts_event, bool isForming)
// {
// double vwap = state.SumSize > 0 ? state.SumPriceSize / state.SumSize : state.Close;
// var row = new MutableBlueRow(_outSchema);
// row.setValue("id", _nextId++);
// row.setValue("ts_event", ToIso(ts_event));
// row.setValue("bar_start_ts", ToIso(state.StartTs));
// row.setValue("bar_end_ts", ToIso(state.EndTs));
// row.setValue("contract", state.Contract);
// row.setValue("open", state.Open);
// row.setValue("high", state.High);
// row.setValue("low", state.Low);
// row.setValue("close", state.Close);
// row.setValue("volume", _volumeSource == VolumeSource.none ? 0.0 : state.Volume);
// row.setValue("trade_count", state.TradeCount);
// row.setValue("vwap", vwap);
// row.setValue("is_forming", isForming);
// return row;
// }
// BarState GetOrCreateState(string contract)
// {
// if (_stateByContract.TryGetValue(contract, out var existing))
// {
// return existing;
// }
// var created = new BarState { Contract = contract };
// _stateByContract[contract] = created;
// return created;
// }
// DateTime ParseTimestamp(IBlueRow row)
// {
// object? raw = row[_timestampCol];
// if (raw is DateTime dt)
// {
// return dt;
// }
// if (raw is string s && DateTime.TryParse(s, null, DateTimeStyles.RoundtripKind, out dt))
// {
// return dt;
// }
// throw new ArgumentException($"Invalid timestamp value in column '{_timestampCol}'.");
// }
// string ResolveContract(IBlueRow row)
// {
// if (_validCols.ContainsKey("contract"))
// {
// return (row["contract"]?.ToString() ?? string.Empty).Trim();
// }
// if (_validCols.ContainsKey("symbol"))
// {
// return (row["symbol"]?.ToString() ?? string.Empty).Trim();
// }
// return string.Empty;
// }
// double ResolvePrice(IBlueRow row)
// {
// return _priceSource switch
// {
// PriceSource.trade_price => ToDouble(row["trade_price"], "trade_price"),
// PriceSource.mid => (ToDouble(row["bid_price"], "bid_price") + ToDouble(row["ask_price"], "ask_price")) / 2.0,
// PriceSource.bid => ToDouble(row["bid_price"], "bid_price"),
// PriceSource.ask => ToDouble(row["ask_price"], "ask_price"),
// _ => throw new ArgumentOutOfRangeException()
// };
// }
// double ResolveSize(IBlueRow row)
// {
// if (_volumeSource == VolumeSource.none)
// {
// return 0;
// }
// return ToDouble(row["trade_size"], "trade_size");
// }
// static double ToDouble(object? value, string colName)
// {
// var d = BlueDataUtility.GetDouble(value!);
// if (!d.HasValue)
// {
// throw new ArgumentException($"Column '{colName}' must be numeric.");
// }
// return d.Value;
// }
// static string ToIso(DateTime dt) =>
// dt.ToUniversalTime().ToString("O");
// static BarType ParseBarType(string value)
// {
// if (Enum.TryParse<BarType>(value, true, out var parsed))
// {
// return parsed;
// }
// throw new ArgumentException("bar_type must be one of: TIME | TICK | VOLUME | DOLLAR");
// }
// static PriceSource ParsePriceSource(string value)
// {
// if (Enum.TryParse<PriceSource>(value, true, out var parsed))
// {
// return parsed;
// }
// throw new ArgumentException("price_source must be one of: trade_price | mid | bid | ask");
// }
// static VolumeSource ParseVolumeSource(string value)
// {
// if (Enum.TryParse<VolumeSource>(value, true, out var parsed))
// {
// return parsed;
// }
// throw new ArgumentException("volume_source must be one of: trade_size | none");
// }
// static SessionReset ParseSessionReset(string value)
// {
// if (!Enum.TryParse<SessionReset>(value, true, out var parsed))
// {
// throw new ArgumentException("session_reset must be one of: NONE | DAY | RTH | ETH");
// }
// // TODO: differentiate RTH/ETH session boundaries; currently treated as DAY.
// if (parsed is SessionReset.RTH or SessionReset.ETH)
// {
// return SessionReset.DAY;
// }
// return parsed;
// }
// }
@@ -0,0 +1,41 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFramework>net8.0</TargetFramework>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="MathNet.Numerics" Version="5.0.0" />
<PackageReference Include="OpenAI" Version="2.0.0" />
<PackageReference Include="System.Linq.Async" Version="6.0.1" />
</ItemGroup>
<Choose>
<When Condition="'$(UseProjectRefs)' == 'true'">
<ItemGroup>
<ProjectReference Include="..\..\cs\Bts.Spark.Api\Bts.Spark.Api.csproj" />
<ProjectReference Include="..\DataStreamCore\DataStreamCore.csproj" />
<ProjectReference Include="..\DataStream\DataStream.csproj" />
<ProjectReference Include="..\PubSub\PubSub.csproj" />
</ItemGroup>
</When>
<Otherwise>
<ItemGroup>
<PackageReference Include="Bts.Spark.Api" Version="$(SparkVersion)" />
<PackageReference Include="DataStream" Version="$(SparkVersion)" />
<PackageReference Include="PubSub" Version="$(SparkVersion)" />
</ItemGroup>
</Otherwise>
</Choose>
<!-- <ItemGroup>
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubHeartbeatSchema.json" TypeName="PubSubHeartbeatRow" TableName="PubSubHeartbeat" />
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubRouteSchema.json" TypeName="PubSubRouteRow" TableName="PubSubRoute" />
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubServerStateSchema.json" TypeName="PubSubServerStateRow" TableName="PubSubServerState" />
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\PubSubServerTagStatsSchema.json" TypeName="PubSubServerTagStatsRow" TableName="PubSubServerTagStats" />
<RowType Include="RowTemplates\RefTypeRow.tt" SchemaJson="RowTemplates\TableMetadataSchema.json" TypeName="TableMetadataRow" TableName="TableMetadata" />
</ItemGroup> -->
</Project>
@@ -0,0 +1,294 @@
namespace BlueOrb.Internal
{
using bts;
//using bts.api;
//using bts.spark;
using System;
using System.Diagnostics.CodeAnalysis;
public static class ContractUtils
{
public record FutureTradableContract(
string Symbol,
DateTime Expiration,
Exchange Exchange,
string? ContractText);
public class FutureSpreadContract
{
public List<Tuple<double, FutureTradableContract>> legs = new(2);
public string Symbol
{
get
{
return legs == null || legs.Count == 0 ? string.Empty : legs.ElementAt(0).Item2.Symbol;
}
}
public string? ContractText;
}
public record FutureContinousContract(string Symbol, Exchange Exchange);
// this is for all future conytracts belonging to a symbol
public record FutureWildcardContract(string Symbol, Exchange Exchange);
public class FutureContract
{
public FutureWildcardContract? wildcard_contract;
public FutureTradableContract? future_tradable_contract;
public FutureSpreadContract? spread_tradable_contract;
public FutureContinousContract? continous_constract;
public FutureContract(string txt)
{
wildcard_contract = parse_wildcard_contract(txt);
if (wildcard_contract != null)
return;
var fc = parse_future_contract(txt);
if (fc != null)
{
future_tradable_contract = fc;
return;
}
var sc = parse_future_spread_contract(txt);
if (sc != null)
{
spread_tradable_contract = sc;
return;
}
// this is not totally true, since ParseFutureSpreadContract does not
// parse ICS spreads
continous_constract = new(txt, Exchange.CME);
}
[MemberNotNullWhen(true, nameof(continous_constract))]
public bool is_continous_contract => continous_constract != null;
[MemberNotNullWhen(true, nameof(wildcard_contract))]
public bool is_wildcard_contract => wildcard_contract != null;
[MemberNotNullWhen(true, nameof(future_tradable_contract))]
public bool is_future_tradable_contract => future_tradable_contract != null;
[MemberNotNullWhen(true, nameof(spread_tradable_contract))]
public bool is_spread_tradable_contract => spread_tradable_contract != null;
public string symbol()
{
if (wildcard_contract != null)
return wildcard_contract.Symbol;
if (continous_constract != null)
{
return continous_constract.Symbol;
}
else if (future_tradable_contract != null)
{
return future_tradable_contract.Symbol;
}
else if (spread_tradable_contract != null)
{
return spread_tradable_contract.Symbol;
}
Log.assert(false);
return string.Empty;
}
public string? contract_text
{
get
{
if (future_tradable_contract != null)
return future_tradable_contract.ContractText;
if (spread_tradable_contract != null)
return spread_tradable_contract.ContractText;
return null;
}
}
}
#region Parsing
public static FutureWildcardContract? parse_wildcard_contract(string contract_txt, Exchange exchange = Exchange.CME)
{
if (contract_txt.EndsWith("*"))
{
contract_txt = contract_txt.Replace("*", string.Empty);
return new FutureWildcardContract(contract_txt, exchange);
}
return null;
}
public static FutureTradableContract? parse_future_contract(string contract_txt, Exchange exchange = Exchange.CME)
{
// Validate the future string length
if (!contract_txt.All(c => char.IsLetterOrDigit(c)))
return null;
if (contract_txt.Length < 4)
{
return null;
}
// Extract the symbol and the expiration month/year codes
string symbol = contract_txt.Substring(0, contract_txt.Length - 2);
char monthCode = contract_txt[contract_txt.Length - 2];
char yearCode = contract_txt[contract_txt.Length - 1];
// Map month code to month, return null if the month code is invalid
int month = monthCode switch
{
'F' => 1, // January
'G' => 2, // February
'H' => 3, // March
'J' => 4, // April
'K' => 5, // May
'M' => 6, // June
'N' => 7, // July
'Q' => 8, // August
'U' => 9, // September
'V' => 10, // October
'X' => 11, // November
'Z' => 12, // December
_ => 0 // Return 0 for invalid month code
};
if (month == 0)
{
return null; // Invalid month code
}
// Calculate the year based on the current decade
int currentYear = DateTime.Now.Year;
int decadeStart = currentYear / 10 * 10;
int year = decadeStart + (yearCode - '0');
// If the year is in the past, assume the next decade
if (year < currentYear)
{
year += 10;
}
// Create the FutureContract instance and set its properties
DateTime expiration = new DateTime(year, month, 1);
return new(symbol, expiration, exchange, contract_txt);
}
// Method to parse a futures spread, e.g. "CLX4-CLZ4"
public static FutureSpreadContract? parse_future_spread_contract(string contract_txt, Exchange exchange = Exchange.CME)
{
// Split the string by '-' to handle each leg
var spreadParts = contract_txt.Split('-');
if (spreadParts.Length < 2)
{
return null; // Not a valid spread format
}
var spreadContract = new FutureSpreadContract { legs = new List<Tuple<double, FutureTradableContract>>() };
foreach (var part in spreadParts)
{
// Split each leg by '*', assuming the format is weight*future or just future
string[] legParts = part.Split('*');
double weight = 1.0;
string futurePart;
if (legParts.Length == 2)
{
if (!double.TryParse(legParts[0], out weight))
{
return null; // Invalid weight, parsing failed
}
futurePart = legParts[1];
}
else if (legParts.Length == 1)
{
futurePart = legParts[0];
}
else
{
return null; // Invalid format, too many '*' parts
}
// Parse the future contract
var futureContract = parse_future_contract(futurePart, exchange);
if (futureContract == null)
{
return null; // Failed to parse the future part
}
// Add the leg to the spread contract
spreadContract.legs.Add(new Tuple<double, FutureTradableContract>(weight, futureContract));
}
return spreadContract;
}
// public static ContractType DetermineFutureOrSpread(string contract) {
// if (contract.Contains("-")) {
// return ContractType.FutureSpread;
// } else {
// return ContractType.Future;
// }
// }
#endregion
public static ContractType get_type(string contract_txt)
{
var fc = parse_future_contract(contract_txt);
if (fc != null)
{
return ContractType.Future;
}
var sc = parse_future_spread_contract(contract_txt);
if (sc != null)
{
return ContractType.FutureSpread;
}
// tehre are some non calendar spreads we cant parse
//Log.assert(false);
return ContractType.FutureSpread;
}
public static ContractCategory get_category(string symbol)
{
var tp = get_symbol_category(symbol);
return tp.Item1;
}
public static Tuple<ContractCategory, string> get_symbol_category(string symbol)
{
var fc = parse_future_contract(symbol);
if (fc != null)
{
return Tuple.Create(ContractCategory.FutureString, fc.Symbol);
}
var sc = parse_future_spread_contract(symbol);
if (sc != null)
{
return Tuple.Create(ContractCategory.FutureString, sc.Symbol);
}
return Tuple.Create(ContractCategory.Symbol, symbol);
}
public enum ContractType
{
Spot,
Option,
Future,
FutureSpread,
OptionSpread
}
public enum ContractCategory
{
Symbol = 0,
FutureString,
SpreadString
}
public enum CallPut
{
Call,
Put
}
public enum Exchange
{
CME
}
}
}
@@ -0,0 +1,99 @@
namespace BlueOrb.Operators.Data {
using BCG;
using bts;
using Spark.Core.Diagnostics;
using BlueOrb.Internal;
using System;
using System.Collections.Generic;
using System.Linq;
[DataStreamUserRespresentation("ReplayFutureLiveBBOStream")]
public class ReplayFutureLiveBBOStream : ViewStream, BCG.Utilities.General.IWorker {
private class LastFireTime {
public DateTime last_fireitme_file = DateTime.MinValue;
public DateTime last_firetime_clock = DateTime.MinValue;
}
private class RowsWithPointer {
public List<IBlueRow>? rows;
public int pointer;
}
readonly ViewStreamDatabase? _vsd;
readonly ContractUtils.FutureContinousContract? _fcc;
private readonly LastFireTime _last_fire_time = new LastFireTime();
private RowsWithPointer _rows = new RowsWithPointer();
public ReplayFutureLiveBBOStream(string continous_contract) {
Func<string> iso_8601_now = () => {
DateTime utc_now = DateTime.UtcNow;
long ticks = utc_now.Ticks; // 1 tick = 100 ns
long nanoseconds = ticks % TimeSpan.TicksPerSecond * 100;
string formatted = utc_now.ToString("yyyy-MM-ddTHH:mm:ss");
formatted += $".{nanoseconds:D9}Z";
return formatted;
};
ViewStream rs = new ReplayFutureLiveBBOStream(continous_contract, true);
IBlueTableSchema schema_out = BlueDataUtility.form_schema("BBO",
Tuple.Create("id", TypeCode.Int32),
Tuple.Create("ts_event", TypeCode.String),
Tuple.Create("contract", TypeCode.String),
Tuple.Create("bid_price", TypeCode.Double),
Tuple.Create("bid_size", TypeCode.Int32),
Tuple.Create("ask_price", TypeCode.Double),
Tuple.Create("ask_size", TypeCode.Int32));
rs = new MapStream(rs, s => schema_out,
r =>
new BlueRow(schema_out, r["id"], /*r.get<string>("ts_event")*/iso_8601_now(), r.get<string>("symbol"),
r.get<double>("bid_px_00"), r.get<int>("bid_sz_00"),
r.get<double>("ask_px_00"), r.get<int>("ask_sz_00")));
mySetRealSource(rs);
}
private ReplayFutureLiveBBOStream(string continous_contract, bool noop)
: this(ViewStreamDatabase.instance, new ContractUtils.FutureContract(continous_contract)) { }
public ReplayFutureLiveBBOStream(ViewStreamDatabase vsd, ContractUtils.FutureContract fc) {
var fcc = fc.continous_constract;
Log.assert(fcc != null);
_vsd = vsd;
_fcc = fcc;
}
protected override void myOnFirstSubscriber() {
Log.notnull(_fcc);
var file_path = Path.Combine(SQLiteHelper.location, $"mbp1_{_fcc.Symbol}_small.csv".ToLower());
var rows = BCG.CSVReaderStream.LoadFile(file_path);
_rows.rows = new(rows.Count);
_rows.rows.AddRange(rows.OfType<IBlueRow>().OrderBy(r => r.get<string>("ts_event")));
_rows.pointer = 0;
ExceptionAssert.NotNull(_vsd).addWorker(this);
}
protected override void myOnLastSubscriber() {
ExceptionAssert.NotNull(_vsd).removeWorker(this);
}
public void doWork() {
var rows = ExceptionAssert.NotNull(_rows.rows);
IBlueRow cand_row = rows[_rows.pointer];
string cand_ts_event = cand_row.get<string>("ts_event");
DateTime cand_ts_event_dt = DateTime.Parse(cand_ts_event, null, System.Globalization.DateTimeStyles.RoundtripKind);
TimeSpan cand_ts_span_file = cand_ts_event_dt - _last_fire_time.last_fireitme_file;
TimeSpan ts_clock = DateTime.Now - _last_fire_time.last_firetime_clock;
if (ts_clock >= cand_ts_span_file) {
_rows.pointer++;
_last_fire_time.last_firetime_clock = DateTime.Now;
_last_fire_time.last_fireitme_file = cand_ts_event_dt;
BlueTable bt_out = new BlueTable(cand_row.schema);
bt_out.addRow(cand_row);
var dp_out = BlueDataUtility.build_dp(bt_out, myLastValue as IDataPacket);
myFireEvent(dp_out);
}
}
}
}
@@ -0,0 +1,111 @@
namespace Blueorb.Operators.Data
{
using BCG;
using Spark.Core.Diagnostics;
using BlueOrb.Internal;
using bts;
using BlueOrb.Operators.Core;
using System;
using System.Collections.Generic;
using System.Linq;
[DataStreamUserRespresentation("ReplayFutureLiveTradeStream")]
public class ReplayFutureLiveTradeStream : ViewStream, BCG.Utilities.General.IWorker
{
private class LastFireTime
{
public DateTime last_fireitme_file = DateTime.MinValue;
public DateTime last_firetime_clock = DateTime.MinValue;
}
private class RowsWithPointer
{
public List<IBlueRow>? rows;
public int pointer;
}
readonly ViewStreamDatabase? _vsd;
readonly ContractUtils.FutureContinousContract? _fcc;
private readonly LastFireTime _last_fire_time = new LastFireTime();
readonly RowsWithPointer _rows = new();
public ReplayFutureLiveTradeStream(string continous_contract)
{
Func<string> iso_8601_now = () =>
{
DateTime utc_now = DateTime.UtcNow;
long ticks = utc_now.Ticks; // 1 tick = 100 ns
long nanoseconds = ticks % TimeSpan.TicksPerSecond * 100;
string formatted = utc_now.ToString("yyyy-MM-ddTHH:mm:ss");
formatted += $".{nanoseconds:D9}Z";
return formatted;
};
ViewStream rs = new ReplayFutureLiveTradeStream(continous_contract, true);
IBlueTableSchema schema_out = BlueDataUtility.form_schema("BBO",
Tuple.Create("id", TypeCode.Int32),
Tuple.Create("ts_event", TypeCode.String),
Tuple.Create("contract", TypeCode.String),
Tuple.Create("trade_size", TypeCode.Double),
Tuple.Create("trade_price", TypeCode.Int32),
Tuple.Create("aggressor_side", TypeCode.String));
rs = new MapStream(rs, s => schema_out,
r =>
new BlueRow(schema_out, r["id"], /*r.get<string>("ts_event")*/iso_8601_now(), r.get<string>("symbol"),
r.get<double>("size"), r.get<double>("price"),
r.get<string>("side").StartsWith("B") ? "BUY" : (r.get<string>("side").StartsWith("A") ? "SELL" : "NONE")));
rs = new TimeSeriesStream(rs);
mySetRealSource(rs);
}
private ReplayFutureLiveTradeStream(string continous_contract, bool noop)
: this(ViewStreamDatabase.instance, new ContractUtils.FutureContract(continous_contract)) { }
public ReplayFutureLiveTradeStream(ViewStreamDatabase vsd, ContractUtils.FutureContract fc)
{
var fcc = fc.continous_constract;
Log.assert(fcc != null);
_vsd = vsd;
_fcc = fcc;
}
protected override void myOnFirstSubscriber()
{
Log.notnull(_vsd);
Log.notnull(_fcc);
var file_path = Path.Combine(SQLiteHelper.location, $"trades_{_fcc.Symbol}.csv");
var csv_rd = new BlueOrb.Operators.Core.CSVReaderStream(file_path, false);
var rows = BCG.CSVReaderStream.LoadFile(file_path);
_rows.rows = new(rows.Count);
_rows.rows.AddRange(rows.OfType<IBlueRow>().OrderBy(r => r.get<string>("ts_event")));
_rows.pointer = 0;
ExceptionAssert.NotNull(_vsd).addWorker(this);
}
protected override void myOnLastSubscriber()
{
ExceptionAssert.NotNull(_vsd).removeWorker(this);
}
public void doWork()
{
var rows = ExceptionAssert.NotNull(_rows.rows);
IBlueRow cand_row = rows[_rows.pointer];
string cand_ts_event = cand_row.get<string>("ts_event");
DateTime cand_ts_event_dt = DateTime.Parse(cand_ts_event, null, System.Globalization.DateTimeStyles.RoundtripKind);
TimeSpan cand_ts_span_file = cand_ts_event_dt - _last_fire_time.last_fireitme_file;
TimeSpan ts_clock = DateTime.Now - _last_fire_time.last_firetime_clock;
if (ts_clock >= cand_ts_span_file)
{
_rows.pointer++;
_last_fire_time.last_firetime_clock = DateTime.Now;
_last_fire_time.last_fireitme_file = cand_ts_event_dt;
BlueTable bt_out = new BlueTable(cand_row.schema);
bt_out.addRow(cand_row);
var dp_out = BlueDataUtility.build_dp(bt_out, myLastValue as IDataPacket);
myFireEvent(dp_out);
}
}
}
}
@@ -0,0 +1,144 @@
using System;
using System.Collections.Generic;
using System.Data;
using System.Data.SQLite;
using System.IO;
using System.Runtime.InteropServices;
namespace BlueOrb.Internal
{
public static class SQLiteHelper
{
public static string location = RuntimeInformation.IsOSPlatform(OSPlatform.Windows)
? "C:\\BlueOrb_Data\\"
: Path.Combine(Environment.GetEnvironmentVariable("HOME") ?? string.Empty, "BlueOrb_Data");
public static string db_name = "stream_data.db";
public static DataTable execute_select_query(string connection_string, string query)
{
// Create a new DataTable to store the results
DataTable dataTable = new DataTable();
// Create and open a SQLite connection using the provided connection string
using (SQLiteConnection connection = new SQLiteConnection(connection_string))
{
try
{
connection.Open();
// Create a SQLite command with the provided query
using (SQLiteCommand command = new SQLiteCommand(query, connection))
{
// Use SQLiteDataAdapter to fill the DataTable
using (SQLiteDataAdapter adapter = new SQLiteDataAdapter(command))
{
adapter.Fill(dataTable);
}
}
}
catch (Exception ex)
{
Console.WriteLine("An error occurred: " + ex.Message);
}
}
// Return the populated DataTable
return dataTable;
}
public static List<Dictionary<string, object>> ExecuteBulkRead(string connectionString, string query)
{
var result = new List<Dictionary<string, object>>();
using (var connection = new SQLiteConnection(connectionString))
{
connection.Open();
// Begin a transaction to optimize read speed
using (var transaction = connection.BeginTransaction())
using (var command = new SQLiteCommand(query, connection, transaction))
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var row = new Dictionary<string, object>();
for (int i = 0; i < reader.FieldCount; i++)
{
string columnName = reader.GetName(i);
object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
row[columnName] = columnValue;
}
result.Add(row);
}
// Commit the transaction
transaction.Commit();
}
}
return result;
}
public static List<Dictionary<string, object>> get_table(string connectionString, string query)
{
var result = new List<Dictionary<string, object>>();
using (var connection = new SQLiteConnection(connectionString))
{
try
{
connection.Open();
using (var command = new SQLiteCommand(query, connection))
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var row = new Dictionary<string, object>();
for (int i = 0; i < reader.FieldCount; i++)
{
string columnName = reader.GetName(i);
object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
row[columnName] = columnValue;
}
result.Add(row);
}
}
}
catch (Exception ex)
{
Console.WriteLine("An error occurred: " + ex.Message);
}
}
return result;
}
public static IEnumerable<Dictionary<string, object>> get_table_2(string connectionString, string query)
{
using (var connection = new SQLiteConnection(connectionString))
{
connection.Open();
using (var command = new SQLiteCommand(query, connection))
using (var reader = command.ExecuteReader())
{
while (reader.Read())
{
var row = new Dictionary<string, object>();
for (int i = 0; i < reader.FieldCount; i++)
{
string columnName = reader.GetName(i);
object columnValue = reader.IsDBNull(i) ? null : reader.GetValue(i);
row[columnName] = columnValue;
}
yield return row;
}
}
}
}
}
}
@@ -0,0 +1,43 @@
namespace BlueOrb.Internal
{
using bts;
using System;
using BCG;
using System.Collections.Generic;
using Bts.DataStreamExpressions;
using System.Xml;
// All this does is take in a dsl expression, parse it and fire the data that come out of running it.
// So for example, if an expresison is passed
[DataStreamUserRespresentation("dsl")]
public class DSLStream : ViewStream
{
private readonly string _dsl;
public DSLStream(string dsl)
{
Log.Gen.info($"DSLStream.cons dsl: {dsl}");
// Remove all colons
string sanitizedDsl = dsl.Replace(":", "COLON");
_dsl = dsl;
ViewStream rs = build_stream(dsl) ?? new LiteralStream("error", $"msg:invalid dsl");
mySetRealSource(rs);
}
static ViewStream? build_stream(string stream_expression)
{
try
{
var exp = DataStreamExpressionsInterpreter.Evaluate(stream_expression);
var rv = exp.getView(new Dictionary<string, StatementExpression>(0));
return rv;
}
catch (Exception ex)
{
//send to blueorb
Log.Gen.error($"Could not build stream: {stream_expression} ex: {ex}");
return null;
}
}
}
}
@@ -0,0 +1,103 @@
using System;
using BCG.Utilities.General;
using BCG;
using bts;
namespace BlueOrb.Internal
{
[DataStreamUserRespresentation("MillisecondStream")]
public class MillisecondStream : ViewStream, IWorker
{
private DateTime _last_fire_time = DateTime.MinValue;
private readonly TimeSpan _period;
private readonly int _size;
private readonly ViewStreamDatabase _vsd;
private IBlueTableSchema _schema;
private bts.CircularBufferTable _table;
public MillisecondStream(int interval_msecs, int size)
: this(ViewStreamDatabase.instance, interval_msecs, size)
{
}
public MillisecondStream(ViewStreamDatabase vsd, int interval_msecs, int size)
{
_vsd = vsd;
_period = TimeSpan.FromMilliseconds(interval_msecs);
_size = size;
_schema = BlueDataUtility.form_schema("Milliseconds",
Tuple.Create("id", TypeCode.Int32),
Tuple.Create("time", TypeCode.DateTime),
Tuple.Create("display_time", TypeCode.String));
_table = new CircularBufferTable(_schema, _size);
}
protected override void myOnFirstSubscriber()
{
_vsd.addWorker(this);
}
protected override void myOnLastSubscriber()
{
_vsd.removeWorker(this);
}
private int _id = 0;
public void doWork()
{
if (DateTime.Now - _last_fire_time >= _period)
{
_last_fire_time = DateTime.Now;
IBlueRow nr = new BlueRow(_schema, _id++, _last_fire_time,
_last_fire_time.ToString("yyyy-MM-dd HH:mm:ss.fff"));
_table.add_row(nr);
var dp = BlueDataUtility.build_dp_inc(_table, myLastValue as DataPacket);
myFireEvent(dp);
}
}
}
internal class MSecondStream : TimeUnitStream
{
public MSecondStream(int intervalInms, int size)
: base(DateTime.Now, new TimeSpan(0, 0, 0, 0, intervalInms), size, ViewStreamDatabase.instance) { }
protected override DateTime myRoundTime(DateTime dt) { return dt; }
}
internal class DisplayableMillisecondStream : ViewStream, IStreamMapper
{
private IBlueTableSchema mySchema = new BlueTableSchema("ms",
new ColumnInfo("id", 0, typeof(int)),
new ColumnInfo("time", 1, typeof(string)));
public DisplayableMillisecondStream(int intervalInMs, int sz)
{
mySetRealSource(new MapStream(new MSecondStream(intervalInMs, sz), this));
}
#region IStreamMapper Members
public IBlueTableSchema getOutputSchema(IBlueTableSchema inputSchema)
{
return mySchema;
}
#endregion
#region IDynamicStreamMapper Members
public IBlueRow map(IBlueRow row)
{
DateTime time = row.get_datetime("time");
var time_txt = time.ToString("yyyy-MM-dd HH:mm:ss.fff");
return new BlueRow(mySchema, row["id"], time_txt);
}
#endregion
private string myToString(DateTime dt)
{
string sep = ":";
return dt.Hour + sep + dt.Minute + sep + dt.Second + sep + dt.Millisecond;
}
}
}
@@ -0,0 +1,348 @@
namespace BlueOrb.Operators.Signal
{
using System;
using System.Collections.Concurrent;
using System.IO.MemoryMappedFiles;
using BCG;
using System.Text.Json.Serialization;
using System.Text.Json;
using System.Data;
public enum BarType
{
TIME,
TICK,
VOLUME,
DOLLAR,
}
public class BarBuilderSchemaInfo
{
[JsonPropertyName("price_col")]
public string price_col { get; set; } = "trade_price";
[JsonPropertyName("volume_col")]
public string volume_col { get; set; } = "trade_size";
[JsonPropertyName("timestamp_col")]
public string timestamp_col { get; set; } = "ts_event";
}
public class SingleBar : IBlueRow
{
private BarBuilderStream _parent_str;
private IBlueTableSchema _schema;
private MutableBlueRow _row;
public SingleBar(BarBuilderStream parent_str)
{
_parent_str = parent_str;
_schema = BlueDataUtility.form_schema(
"bar_builder_single_bar",
Tuple.Create("id", TypeCode.Int32),
Tuple.Create("ts_event", TypeCode.DateTime),
Tuple.Create("bar_start_ts", TypeCode.DateTime),
Tuple.Create("bar_end_ts", TypeCode.DateTime),
Tuple.Create("open", TypeCode.Double),
Tuple.Create("high", TypeCode.Double),
Tuple.Create("low", TypeCode.Double),
Tuple.Create("close", TypeCode.Double),
Tuple.Create("volume", TypeCode.Double),
Tuple.Create("notional", TypeCode.Double),
Tuple.Create("trade_count", TypeCode.Int32),
Tuple.Create("n_events", TypeCode.Int32),
Tuple.Create("vwap", TypeCode.Double),
Tuple.Create("is_active", TypeCode.Boolean)
);
_row = new MutableBlueRow(_schema);
}
public IBlueTableSchema schema => _row.schema;
public object this[int index] => _row[index];
public object this[string col_name] => _row[col_name];
public IBlueRow add_event(IBlueRow r)
{
// initiaizes _row
void reset_new_bar()
{
_row = new MutableBlueRow(_schema);
_row.setValue("id", _parent_str.get_new_id());
_row.setValue("volume", 0.0);
_row.setValue("notional", 0.0);
_row.setValue("trade_count", 0);
_row.setValue("n_events", 0);
_row.setValue("is_active", true);
}
void absorb_into_row(IBlueRow input_row)
{
var ts = input_row.get_datetime(_parent_str._schema_info.timestamp_col, DateTime.UtcNow).ToUniversalTime();
var price = input_row.get<double>(_parent_str._schema_info.price_col, 0.0);
var volume = input_row.get<double>(_parent_str._schema_info.volume_col, 0.0);
var notional = price * volume;
if (_row.is_null("bar_start_ts"))
{
DateTime bar_start_ts;
DateTime bar_end_ts;
if (_parent_str._bar_type == BarType.TIME)
{
var bucket_ticks = (long)(Math.Max(1.0, _parent_str._bar_size) * TimeSpan.TicksPerSecond);
var start_ticks = (ts.Ticks / bucket_ticks) * bucket_ticks;
bar_start_ts = new DateTime(start_ticks, DateTimeKind.Utc);
bar_end_ts = bar_start_ts.AddTicks(bucket_ticks);
}
else
{
bar_start_ts = ts;
bar_end_ts = ts;
}
_row.setValue("bar_start_ts", bar_start_ts);
_row.setValue("bar_end_ts", bar_end_ts);
_row.setValue("open", price);
_row.setValue("high", price);
_row.setValue("low", price);
}
else
{
var high = _row.get<double>("high", price);
var low = _row.get<double>("low", price);
_row.setValue("high", Math.Max(high, price));
_row.setValue("low", Math.Min(low, price));
}
_row.setValue("ts_event", ts);
_row.setValue("close", price);
_row.setValue("volume", _row.get<double>("volume", 0.0) + volume);
_row.setValue("notional", _row.get<double>("notional", 0.0) + notional);
_row.setValue("trade_count", _row.get<int>("trade_count", 0) + 1);
_row.setValue("n_events", _row.get<int>("n_events", 0) + 1);
var running_volume = _row.get<double>("volume", 0.0);
var running_notional = _row.get<double>("notional", 0.0);
_row.setValue("vwap", running_volume > 0.0 ? running_notional / running_volume : price);
}
bool is_closed()
{
bool closed;
if (_parent_str._bar_type == BarType.TIME)
{
var ts = _row.get_datetime("ts_event", DateTime.MinValue);
var bar_end_ts = _row.get_datetime("bar_end_ts", DateTime.MaxValue);
closed = ts >= bar_end_ts;
}
else if (_parent_str._bar_type == BarType.TICK)
{
closed = _row.get<int>("n_events", 0) >= _parent_str._bar_size;
}
else if (_parent_str._bar_type == BarType.VOLUME)
{
closed = _row.get<double>("volume", 0.0) >= _parent_str._bar_size;
}
else
{
closed = _row.get<double>("notional", 0.0) >= _parent_str._bar_size;
}
_row.setValue("is_active", !closed);
return closed;
}
if (_row == null)
{
reset_new_bar();
}
absorb_into_row(r);
if (is_closed())
{
IBlueRow closed_row = new BlueRow(_row);
reset_new_bar();
return closed_row;
}
return null;
}
}
public class BarState : IBlueRowCollection
{
private SingleBar _curr_row;
private BlueTable _state;
public BarState(BarBuilderStream parent_str)
{
_curr_row = new SingleBar(parent_str);
_state = new BlueTable(_curr_row.schema);
}
public bool add_event(IBlueRow r)
{
var closed_bar = _curr_row.add_event(r);
if (closed_bar is not null)
{
// curr bar is closed, only then its added
// when bars are evolving we dont add it
_state.addRow(closed_bar);
return true;
}
return false;
}
public IBlueRow this[int id] => _state[id];
public IBlueTableSchema schema => _state.schema;
public bool containsID(int id) => _state.containsID(id);
public int Count => _state.Count;
public System.Collections.IEnumerator GetEnumerator() => _state.GetEnumerator();
}
[DataStreamUserRespresentation("BarBuilderStream")]
public class BarBuilderStream : ViewStream
{
readonly ViewStream _price_stream;
internal readonly BarType _bar_type;
internal readonly double _bar_size;
internal readonly bool _show_open_bars;
internal readonly BarBuilderSchemaInfo _schema_info;
private BarState _state;
public BarBuilderStream(ViewStream price_stream,
BarType bar_type,
double bar_size,
bool show_open_bars,
BarBuilderSchemaInfo schema_info)
{
_price_stream = price_stream;
_bar_type = bar_type;
_bar_size = bar_size;
_show_open_bars = show_open_bars;
_schema_info = schema_info;
_state = new BarState(this);
}
int _id = 0;
internal int get_new_id()
{
return _id++;
}
public BarBuilderStream(ViewStream price_stream,
string bar_type,
double bar_size,
string schema_info_json)
:
this(price_stream,
Enum.Parse<BarType>(bar_type),
bar_size,
true,
_parse_and_validate_schema_info_json(schema_info_json))
{
}
public BarBuilderStream(ViewStream price_stream,
string bar_type,
double bar_size,
string price_col,
string volume_col,
string timestamp_col)
:
this(price_stream,
Enum.Parse<BarType>(bar_type),
bar_size,
true,
_create_and_validate_schema_info(price_col, volume_col, timestamp_col))
{
}
protected override void myOnFirstSubscriber()
{
_price_stream.onChange += _on_price_stream_change;
}
protected override void myOnLastSubscriber()
{
_price_stream.onChange -= _on_price_stream_change;
}
void _on_price_stream_change(object dp_obj)
{
DataPacket dp = dp_obj as DataPacket;
var sz_0 = _state.Count;
foreach (IBlueRow r in dp.addedRows)
{
_state.add_event(r);
}
if (_state.Count != sz_0)
// we will check for _show_open_bars here
{
var dp_out = BlueDataUtility.build_dp_inc(_state, myLastValue as DataPacket, false);
myFireEvent(dp_out);
}
}
static BarBuilderSchemaInfo _parse_and_validate_schema_info_json(string schema_info_json)
{
if (string.IsNullOrWhiteSpace(schema_info_json))
{
throw new ArgumentException("schema_info_json cannot be null or empty.", nameof(schema_info_json));
}
var schema_info = JsonSerializer.Deserialize<BarBuilderSchemaInfo>(schema_info_json);
_validate_schema_info(schema_info);
return schema_info!;
}
static BarBuilderSchemaInfo _create_and_validate_schema_info(
string price_col,
string volume_col,
string timestamp_col)
{
var schema_info = new BarBuilderSchemaInfo
{
price_col = price_col,
volume_col = volume_col,
timestamp_col = timestamp_col,
};
_validate_schema_info(schema_info);
return schema_info;
}
static void _validate_schema_info(BarBuilderSchemaInfo? schema_info)
{
if (schema_info is null)
{
throw new ArgumentException("schema_info_json did not deserialize into BarBuilderSchemaInfo.");
}
if (string.IsNullOrWhiteSpace(schema_info.price_col))
{
throw new ArgumentException("BarBuilderSchemaInfo.PriceCol cannot be null or empty.");
}
if (string.IsNullOrWhiteSpace(schema_info.volume_col))
{
throw new ArgumentException("BarBuilderSchemaInfo.VolumeCol cannot be null or empty.");
}
if (string.IsNullOrWhiteSpace(schema_info.timestamp_col))
{
throw new ArgumentException("BarBuilderSchemaInfo.TimestampCol cannot be null or empty.");
}
if (schema_info.price_col.Equals(schema_info.volume_col, StringComparison.OrdinalIgnoreCase) ||
schema_info.price_col.Equals(schema_info.timestamp_col, StringComparison.OrdinalIgnoreCase) ||
schema_info.volume_col.Equals(schema_info.timestamp_col, StringComparison.OrdinalIgnoreCase))
{
throw new ArgumentException("BarBuilderSchemaInfo columns must be distinct.");
}
}
}
}
@@ -0,0 +1,58 @@
namespace BlueOrb.Internal;
using BCG;
using System;
using System.Linq;
[DataStreamUserRespresentation("TestStream")]
public class TestStream : ViewStream {
public TestStream() {
var rs = new BlueOrb.Operators.Core.LiteralStream("table1", "x:123, y:1.001, z:abc;x:123, y:1.001, z:abc");
mySetRealSource(rs);
}
}
[DataStreamUserRespresentation("OpsStream")]
public class OpsStream : ViewStream {
public OpsStream() {
}
protected override void myOnFirstSubscriber() {
IBlueTableSchema schema = new BlueTableSchema("Ops");
schema = schema.add_column(System.TypeCode.Int32, "id");
schema = schema.add_column(System.TypeCode.String, "op");
schema = schema.add_column(System.TypeCode.String, "namespace");
schema = schema.add_column(System.TypeCode.String, "assembly_name");
schema = schema.add_column(System.TypeCode.String, "constructor");
var loaded_streams = PrimitiveManager.instance.get_loaded_streams();
BlueTable rv = new BlueTable(schema);
foreach (var kv in loaded_streams.OrderBy(kv => kv.Key, StringComparer.OrdinalIgnoreCase)) {
string sn = kv.Key;
Type t = kv.Value;
string ns = t.Namespace ?? string.Empty;
string assembly_name = t.Assembly.GetName().Name ?? string.Empty;
var constructors = t.GetConstructors()
.OrderBy(c => c.GetParameters().Length)
.ThenBy(c => c.ToString());
if (!constructors.Any()) {
IBlueRow r = new BlueRow(schema, rv.Count, sn, ns, assembly_name, "(no public constructor)");
rv.addRow(r);
continue;
}
foreach (var ctor in constructors) {
var parameters = ctor.GetParameters();
string constructor = $"{t.Name}({string.Join(", ", parameters.Select(p => p.ParameterType.Name))})";
IBlueRow r = new BlueRow(schema, rv.Count, sn, ns, assembly_name, constructor);
rv.addRow(r);
}
}
myFireEvent(new DataPacket(rv, rv, new BlueTable(schema)));
}
protected override void myOnLastSubscriber() {
base.myOnLastSubscriber();
}
}
@@ -23,16 +23,16 @@ public static class DataStreamExtensions {
public static ViewStream AsViewStream<T>(this IObservable<IDataPacket<T>> source, string? name = null, ILogger? logger = null) where T : IBlueRow =>
source as ViewStream ?? new ObservableViewStream(source.Select(dp => new DataPacket(dp.newRows, dp.addedRows, dp.deletedRows)), name, logger);
public static IObservable<DataPacket> AsObservable(this ViewStream source) {
return source as IObservable<DataPacket> ?? Observable.Create<DataPacket>(Subscribe);
public static IObservable<IDataPacket> AsObservable(this ViewStream source) {
return source as IObservable<IDataPacket> ?? Observable.Create<IDataPacket>(Subscribe);
IDisposable Subscribe(IObserver<DataPacket> observer) {
IDisposable Subscribe(IObserver<IDataPacket> observer) {
source.onChange += OnChange;
return Disposable.Create(() => source.onChange -= OnChange);
void OnChange(object? newValue) =>
observer.OnNext(newValue as DataPacket ?? throw new ArgumentException(
$"Expected DataPacket, got {newValue?.GetType()}", nameof(newValue)));
observer.OnNext(newValue as IDataPacket ?? throw new ArgumentException(
$"Expected IDataPacket, got {newValue?.GetType()}", nameof(newValue)));
}
}
@@ -88,8 +88,7 @@ namespace BCG {
return Task.CompletedTask;
}
private void _on_str(DataPacket dp)
{
void _on_str(IDataPacket dp) {
foreach (IBlueRow r in dp.newRows)
{
string name = r.get<string>("name");
@@ -9,7 +9,7 @@ namespace BCG {
[DataStreamUserRespresentation("remoteQuery")]
public class RemoteQueryStream : ViewStream {
private readonly string _name, _stream_exp;
private PublisherCore _publisher_core = new PublisherCore();
private PublisherCore _publisher_core = PublisherCore.Create();
private ViewStream _source_str;
public RemoteQueryStream(params string[] lines) {
@@ -14,10 +14,8 @@ namespace BCG
public DistinctRowEvaluator(string colMapExpression, string[] columnNames)
: base (colMapExpression, null, columnNames) {}
public override IBlueRow evaluate (DataPacket packet)
{
myOutputTable = myOutputTable == null ? new GroupByOutputTable (packet.schema) : myOutputTable;
public override IBlueRow? evaluate(IDataPacket packet) {
myOutputTable ??= new GroupByOutputTable(packet.Schema);
string hashString = GroupByStream.getRepString (packet, myGroupByCols);
if (packet.newRows.Count == 0)
//if there are no rows for this group we remove the group from the output table
@@ -42,7 +42,7 @@ namespace BCG
return retVal;
}
public abstract IBlueRow evaluate (DataPacket dp) ;
public abstract IBlueRow? evaluate(IDataPacket dp);
#endregion
#region Helper methods
@@ -8,12 +8,13 @@ namespace BCG {
internal class GroupByStream : MethodDrivenStream {
private class MyFuncGroupByEvaluator : IGroupByEvaluator {
private string[] _groupby_cols;
private Func<DataPacket, IBlueRow> _groupby_func;
public MyFuncGroupByEvaluator(IEnumerable<string> groupby_cols, Func<DataPacket, IBlueRow> groupby_func) {
readonly Func<IDataPacket, IBlueRow> _groupby_func;
public MyFuncGroupByEvaluator(IEnumerable<string> groupby_cols, Func<IDataPacket, IBlueRow> groupby_func) {
_groupby_cols = groupby_cols.ToArray();
_groupby_func = groupby_func;
}
public IBlueRow evaluate(DataPacket packet) { return _groupby_func(packet); }
public IBlueRow evaluate(IDataPacket packet) =>
_groupby_func(packet);
public string[] groupByColumns { get { return _groupby_cols; } }
@@ -32,7 +33,7 @@ namespace BCG {
private IBlueTableSchema myOutputSchema;
private int myIdGenerator = 0;
public GroupByStream(ViewStream stream, IEnumerable<string> groupby_cols, Func<DataPacket, IBlueRow> groupby_func)
public GroupByStream(ViewStream stream, IEnumerable<string> groupby_cols, Func<IDataPacket, IBlueRow> groupby_func)
: this(stream, new MyFuncGroupByEvaluator(groupby_cols, groupby_func)) { }
public GroupByStream(ViewStream stream, IGroupByEvaluator groupByEvaluator)
@@ -187,11 +188,11 @@ namespace BCG {
}
}
public static string getRepString(DataPacket dp, string[] colNames) {
public static string getRepString(IDataPacket dp, string[] colNames) {
return BlueDataUtility.rowToString(getRepRow(dp), colNames);
}
public static IBlueRow getRepRow(DataPacket dp) {
public static IBlueRow getRepRow(IDataPacket dp) {
if (dp.newRows.Count > 0)
return BlueDataUtility.extractRow(dp.newRows, 0);
else if (dp.addedRows.Count > 0)
@@ -1,5 +1,3 @@
using System;
namespace BCG
{
/// <summary>
@@ -14,7 +12,7 @@ namespace BCG
/// deletetion) and the added and deletedRows being the increments. If a group has
/// to be totally removed then a null should be returned
/// </summary>
IBlueRow evaluate (DataPacket packet);
IBlueRow? evaluate(IDataPacket packet);
/// <summary>
/// Returns the columns (belonging to the original schema) on which this IGroupByEvaluator
@@ -14,9 +14,8 @@ namespace BCG {
public MaxGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols)
: base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) :
myOutputTable;
public override IBlueRow? evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
string hashString = BlueDataUtility.rowToString(GroupByStream.getRepRow(dp), myGroupByCols);
IBlueRow currMaxRow = myOutputTable.getRow(hashString);
IBlueRow maxRow = BlueDataUtility.computeMaxRow(dp.deletedRows, myOutputColumn);
@@ -1,7 +1,3 @@
using System;
using BCG.Utilities;
namespace BCG {
public class MinGroupByEvaluator : MaxGroupByEvaluator {
public MinGroupByEvaluator(string outputCol, string[] groupByCols)
@@ -10,8 +6,8 @@ namespace BCG {
public MinGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols) :
base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) : myOutputTable;
public override IBlueRow? evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
string stringRep = BlueDataUtility.rowToString(GroupByStream.getRepRow(dp), myGroupByCols);
IBlueRow currMinRow = myOutputTable.getRow(stringRep);
IBlueRow minRow = BlueDataUtility.computeMinRow(dp.deletedRows, myOutputColumn);
@@ -1,5 +1,3 @@
using System;
namespace BCG {
/// <summary>
/// Computes the sum for a given column
@@ -10,8 +8,8 @@ namespace BCG {
public SumGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols)
: base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) : myOutputTable;
public override IBlueRow evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
IBlueRow sumRow = BlueDataUtility.computeSum(dp.newRows, myOutputColumn);
return sumRow;
@@ -33,7 +31,7 @@ namespace BCG {
#region IGroupByEvaluator Members
public IBlueRow evaluate(DataPacket packet) { return BlueDataUtility.computeSum(packet.newRows, myOutputCols); }
public IBlueRow evaluate(IDataPacket packet) => BlueDataUtility.computeSum(packet.newRows, myOutputCols);
public string[] groupByColumns { get { return myGroupByCols; } }
@@ -51,9 +49,8 @@ namespace BCG {
public SumGroupByEvaluator(string colMapEpression, string outputCol, string[] groupByCols)
: base(colMapEpression, outputCol, groupByCols) { }
public override IBlueRow evaluate(DataPacket dp) {
myOutputTable = myOutputTable == null ? new GroupByOutputTable(dp.schema) : myOutputTable;
public override IBlueRow evaluate(IDataPacket dp) {
myOutputTable ??= new GroupByOutputTable(dp.Schema);
IBlueRow sumRow = BlueDataUtility.computeSum<T>(dp.newRows, myOutputColumn);
return sumRow;
}
@@ -68,7 +65,7 @@ namespace BCG {
#region IGroupByEvaluator Members
public IBlueRow evaluate(DataPacket packet) { return BlueDataUtility.computeSum<T>(packet.newRows, myOutputCols); }
public IBlueRow evaluate(IDataPacket packet) => BlueDataUtility.computeSum<T>(packet.newRows, myOutputCols);
public string[] groupByColumns { get { return myGroupByCols; } }
@@ -2,6 +2,8 @@ using BCG;
using MongoDB.Driver.Core.WireProtocol.Messages;
using Spark.Core.Diagnostics;
using System;
using System.Collections.Generic;
using System.Linq;
@@ -37,7 +39,7 @@ namespace bts {
}
void _handle_stream_update(object dp_obj) {
DataPacket dp = dp_obj as DataPacket;
var dp = ExceptionAssert.Argument.Is<IDataPacket>(dp_obj);
IDictionary<int, List<IBlueRow>> groups = !String.IsNullOrEmpty(_group_by_col) ?
BlueDataUtility.group_together(dp.newRows, new string[] { _group_by_col })
:
@@ -70,7 +70,7 @@ namespace bts
private readonly int _msg_size;
private readonly TimeSpan _publish_period;
private DateTime _last_publish_time = DateTime.MinValue;
private PublisherCore _pub_core = new PublisherCore();
private PublisherCore _pub_core = PublisherCore.Create();
private BlueTable _table;
private int _n_pubs = 0;
private readonly int _max_pubs;
@@ -224,4 +224,4 @@ namespace bts
}
}
}
}
@@ -1,6 +1,7 @@
using BCG;
using BCG.Utilities.General;
using Bts.PubSub;
using Bts.PubSub.Routing;
using System;
@@ -62,7 +63,9 @@ namespace bts
public static PayloadMessage deserialize(byte[] ser_bytes)
{
var str = new MemoryStream(ser_bytes);
var str = new MemoryStream(ser_bytes) {
Position = 0
};
BinaryReader br = new BinaryReader(str);
string guid = br.ReadString();
Int64 timestamp_ = br.ReadInt64();
@@ -91,11 +94,17 @@ namespace bts
};
IOState _state = IOState.SEND;
public PubsubEchoTestStream(string server_url, TimeSpan publish_period, int payload_size, string tag_name, ViewStreamDatabase vsd) {
_router = new PubSubRouter(new PubSubRouterConfig() {
PublisherRoutes = new() { new(server_url, ".*") },
SubscriberRoutes = new() { new(server_url, ".*") },
});
public PubsubEchoTestStream()
: this(new PubSubRouter(), TimeSpan.FromSeconds(1), 8, "ECHO_TEST", ViewStreamDatabase.instance) { }
public PubsubEchoTestStream(string server_url, TimeSpan publish_period, int payload_size, string tag_name)
: this(server_url, publish_period, payload_size, tag_name, ViewStreamDatabase.instance) { }
public PubsubEchoTestStream(string server_url, TimeSpan publish_period, int payload_size, string tag_name, ViewStreamDatabase vsd)
: this(createRouter(server_url), publish_period, payload_size, tag_name, vsd) { }
public PubsubEchoTestStream(IPubSubRouter router, TimeSpan publish_period, int payload_size, string tag_name, ViewStreamDatabase vsd) {
_router = router;
_vsd = vsd;
_payload_sz = payload_size;
var schema = BlueDataUtility.form_schema("PubSubTest",
@@ -116,7 +125,7 @@ namespace bts
protected override void myOnFirstSubscriber()
{
_pub_core = new PublisherCore(_router);
_pub_core = PublisherCore.Create(_router);
_sub_core = new SubscriberCore(_router);
_sub_core.subscribe(_tag_name);
_vsd.addWorker(this);
@@ -129,6 +138,12 @@ namespace bts
Log.notnull(_sub_core).unsubscribe(_tag_name);
}
static PubSubRouter createRouter(string serverUrl) =>
new(new PubSubRouterConfig() {
PublisherRoutes = new() { new(serverUrl, ".*") },
SubscriberRoutes = new() { new(serverUrl, ".*") },
});
private void _fire_dp_after_send()
{
Log.notnull(_last_sent_msg);
@@ -136,7 +151,7 @@ namespace bts
BlueRow r = new BlueRow(_table.schema, _table.Count, _last_sent_msg.msg_id, _last_sent_msg.timestamp, DBNull.Value, DBNull.Value,
DBNull.Value, DBNull.Value);
_table.addRow(r);
var dp_out = BlueDataUtility.build_dp_inc(_table, myLastValue as DataPacket);
var dp_out = BlueDataUtility.build_dp_inc(_table, (myLastValue as IDataPacket)?.newRows);
myFireEvent(dp_out);
}
@@ -152,8 +167,10 @@ namespace bts
BlueRow nr = new BlueRow(_table.schema, id, _last_sent_msg.msg_id, _last_sent_msg.timestamp, _last_recvd_msg.msg_id, recv_ts,
String.Compare(_last_recvd_msg.msg_id, _last_sent_msg.msg_id) == 0, recv_ts - _last_recvd_msg.timestamp);
_table.addRow(nr);
var dp_out = BlueDataUtility.build_dp_inc(_table, myLastValue as DataPacket);
myFireEvent(dp_out);
var dp_out = BlueDataUtility.build_dp_inc(_table, (myLastValue as IDataPacket)?.newRows);
if (dp_out.HasChanges()) {
myFireEvent(dp_out);
}
}
private string _get_next_id()
@@ -15,7 +15,6 @@ using mbts;
using BCG.Extensions;
using System.Text.Json;
using System.Text.Json.Nodes;
using Newtonsoft.Json;
using BCG;
using System.Runtime.CompilerServices;
using bts;
@@ -295,7 +294,7 @@ namespace BCG {
}
public static DataPacket build_dp_inc(IBlueRowCollection new_rows, IDataPacket last_fired_dp, bool deep_row_comapre = false) =>
build_dp_inc(new_rows, last_fired_dp.newRows, deep_row_comapre);
build_dp_inc(new_rows, last_fired_dp?.newRows ?? new BlueTable(new_rows.schema), deep_row_comapre);
public static DataPacket build_dp_inc(IBlueRowCollection new_rows, IBlueRowCollection lastRows, bool deep_row_comapre = false) {
if (lastRows is null) {
@@ -360,11 +359,11 @@ namespace BCG {
}
public static Dictionary<string, string> convert_json_to_dictionary(string json_string) {
Dictionary<string, string> dictionary = JsonConvert.DeserializeObject<Dictionary<string, string>>(json_string);
Dictionary<string, string> dictionary = JsonSerializer.Deserialize<Dictionary<string, string>>(json_string);
return dictionary;
}
public static IBlueRow convert_json_to_row(string json_string, int id = 0) {
Dictionary<string, object> dictionary = JsonConvert.DeserializeObject<Dictionary<string, object>>(json_string);
Dictionary<string, object> dictionary = JsonSerializer.Deserialize<Dictionary<string, object>>(json_string);
if (!dictionary.ContainsKey("id")) {
dictionary.Add("id", id);
}
@@ -1,4 +1,6 @@
#nullable enable
using Bts.DataStreamCore;
using System;
using System.Text.Json.Serialization;
@@ -7,6 +9,7 @@ namespace BCG {
/// Resprsents information about a column schema, ie its ordinal, the type, the name and constant value or expression. where applicable
/// </summary>
[Serializable]
[JsonConverter(typeof(ColumnInfoJsonConverter))]
public class ColumnInfo : IComparable<ColumnInfo>, IComparable, IEquatable<ColumnInfo> {
//the default column info does not cach values in a lookup table, therefore it is in group 0
@@ -67,16 +70,12 @@ namespace BCG {
private Type myColType;
private object? myColValue;
[JsonPropertyName("colNo")]
public int colNo { get { return myColNo; } }
[JsonPropertyName("colName")]
public string colName { get { return myColName; } }
[JsonPropertyName("colType")]
public Type colType { get { return myColType; } }
[JsonIgnore]
public object? colValue {get{return myColValue;}}
}
}
@@ -0,0 +1,27 @@
namespace Bts.DataStreamCore;
using BCG;
using Spark.Core.Json;
using System;
using System.Text.Json;
using System.Text.Json.Nodes;
using System.Text.Json.Serialization;
public class ColumnInfoJsonConverter : JsonConverter<ColumnInfo> {
public override ColumnInfo Read(ref Utf8JsonReader reader, Type typeToConvert, JsonSerializerOptions options) {
var jobj = JsonSerializer.Deserialize<JsonObject>(ref reader);
return new(
jobj[nameof(ColumnInfo.colName)].GetValue<string>(),
jobj[nameof(ColumnInfo.colNo)].GetValue<int>(),
Type.GetType(jobj[nameof(ColumnInfo.colType)].GetValue<string>()));
}
public override void Write(Utf8JsonWriter writer, ColumnInfo value, JsonSerializerOptions options) {
using var _ = writer.WriteObject();
writer.WriteString(nameof(ColumnInfo.colName), value.colName);
writer.WriteNumber(nameof(ColumnInfo.colNo), value.colNo);
writer.WriteString(nameof(ColumnInfo.colType), value.colType.ToString());
}
}
@@ -41,7 +41,7 @@ namespace BCG {
}
public IBlueRowCollection newRows, addedRows, deletedRows;
public IDictionary<string, object> meta_data = null;
public Dictionary<string, object> meta_data = null;
public DataPacket() { }
public DataPacket(IBlueTableSchema schema)
@@ -53,7 +53,7 @@ namespace BCG {
this.deletedRows = deletedRows;
}
public DataPacket(IBlueRowCollection newRows, IBlueRowCollection addedRows, IBlueRowCollection deletedRows,
IDictionary<string, object> meta_data) {
Dictionary<string, object> meta_data) {
this.newRows = newRows;
this.addedRows = addedRows;
this.deletedRows = deletedRows;
@@ -63,6 +63,7 @@ namespace BCG {
IBlueRowCollection IDataPacket.newRows => newRows;
IBlueRowCollection IDataPacket.addedRows => addedRows;
IBlueRowCollection IDataPacket.deletedRows => deletedRows;
IReadOnlyDictionary<string, object> IDataPacket.Metadata => meta_data;
public void get_new_added_deleted(out ICollection new_rows, out ICollection added_rows, out ICollection deleted_rows) {
new_rows = newRows;
@@ -8,7 +8,6 @@
<ItemGroup>
<PackageReference Include="Google.Protobuf" Version="3.24.3" />
<PackageReference Include="Newtonsoft.Json" Version="13.0.3" />
<PackageReference Include="OpenAI" Version="2.0.0" />
<PackageReference Include="SimMetrics.Net" Version="1.0.5" />
</ItemGroup>
@@ -44,11 +44,6 @@ namespace BCG {
/// </summary>
/// <param name="assemblyName"></param>
public void loadAssembly(string assemblyName) {
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))
return;
@@ -58,7 +53,7 @@ namespace BCG {
Assembly.LoadFrom(assemblyName);
foreach (Type type in loadedAssembly.GetTypes())
if (!type.IsInterface && is_blue_orb(type)
if (!type.IsInterface
&& !type.IsAbstract
&& type.IsSubclassOf(typeof(ViewStream))
&& type.IsPublic) {
@@ -13,6 +13,7 @@ namespace BCG {
IBlueRowCollection newRows { get; }
IBlueRowCollection addedRows { get; }
IBlueRowCollection deletedRows { get; }
IReadOnlyDictionary<string, object> Metadata { get; }
//this is an ICollection of IDictionary
void get_new_added_deleted(out ICollection new_rows, out ICollection added_rows, out ICollection deleted_rows);
}
@@ -1,15 +1,10 @@
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq.Expressions;
using System.Xml.Serialization;
using BCG.Utilities;
using bts;
using Bts.DataStreamCore;
using System;
using System.Collections.Generic;
namespace BCG {
/// <summary>
/// This class will be used by the clients to publish tabular data to the pubsub
@@ -22,7 +17,7 @@ namespace BCG {
protected bool myWaitingForFirstOp = false;
public PubTableBroker()
: this(new PublisherCore()) { }
: this(PublisherCore.Create()) { }
public PubTableBroker(IPublisherCore publisher) {
_publisher_core = publisher;
@@ -11,10 +11,20 @@
<PackageReference Include="CommandLineParser" Version="2.9.1" />
</ItemGroup>
<ItemGroup>
<ProjectReference Include="..\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj" />
<ProjectReference Include="..\SharedStreams\SharedStreams.csproj" />
</ItemGroup>
<Choose>
<When Condition="'$(UseProjectRefs)' == 'true'">
<ItemGroup>
<ProjectReference Include="..\..\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj" />
<ProjectReference Include="..\SharedStreams\SharedStreams.csproj" />
</ItemGroup>
</When>
<Otherwise>
<ItemGroup>
<PackageReference Include="Bts.Extensions.Hosting" Version="$(SparkVersion)" />
<PackageReference Include="SharedStreams" Version="$(SparkVersion)" />
</ItemGroup>
</Otherwise>
</Choose>
<ItemGroup>
<ConfigurationProfile Include="appsettings.Development.json" />
@@ -8,11 +8,11 @@ using Bts.DataStreamCore;
using Bts.DataStreamExpressions;
using Bts.PubSub;
using global::Spark.Core.Disposables;
using Microsoft.Extensions.Hosting;
using Microsoft.Extensions.Options;
using Spark.Core.Disposables;
using System;
using System.Collections.Generic;
using System.Linq;
@@ -16,6 +16,12 @@
<ProjectReference Include="..\BaseUtilities\BaseUtilities.csproj" />
<ProjectReference Include="..\GuiUtilities\GuiUtilities.csproj" />
<ProjectReference Include="..\SharedStreams\SharedStreams.csproj" />
<ProjectReference Include="..\..\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj" />
</ItemGroup>
<ItemGroup>
<ConfigurationProfile Include="appsettings.json" />
<ConfigurationProfile Include="appsettings.*.json" />
</ItemGroup>
</Project>
@@ -2,21 +2,6 @@
{
public partial class MainForm
{
/// <summary>
/// Clean up any resources being used.
/// </summary>
protected override void Dispose(bool disposing)
{
if (disposing)
{
if (components != null)
{
components.Dispose();
}
}
base.Dispose(disposing);
}
#region Windows Form Designer generated code
/// <summary>
/// Required method for Designer support - do not modify
@@ -1,16 +1,25 @@
using bts;
using Bts.DataStream;
using Bts.DataStreamExpressions;
using Bts.PubSub;
using Spark.Core.Disposables;
using Spark.Core.Reactive;
using System;
using System.Collections.Generic;
using System.Collections;
using System.Collections.Generic;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.IO;
using System.Linq;
using System.Reactive;
using System.Reactive.Linq;
using System.Reactive.Subjects;
using System.Text.RegularExpressions;
using System.Threading;
using System.Windows.Forms;
namespace BCG
@@ -35,8 +44,11 @@ namespace BCG
private string mySite = "TODO";
private string myLastClassName = "MyView";
private ViewStream? myAllTagsStream;
IBlueRowCollection? tagRows;
private string myKQ;
private TextWriter? myConsoleOutput;
IDataPacket? pendingData;
IDisposable? titleSub;
public MainForm()
{
@@ -44,6 +56,17 @@ namespace BCG
InitializeComponent();
// myKQ = ConfigurationRequester.getApplicationQualifier();
myKQ = "TODO";
var handleCreatedSubject = new Subject<bool>();
HandleCreated += (s, e) => handleCreatedSubject.OnNext(true);
titleSub = Disposable.Create(
handleCreatedSubject.SelectSeries(_ =>
Observable.FromEvent(
cb => Invoke(() => titleInvalidated += cb),
cb => Invoke(() => titleInvalidated -= cb))
.Prepend(Unit.Default)
.SelectSeries(_ => new PubsubRoutesStream().AsObservable().Take(1)))
.Subscribe(dp => BeginInvoke(() => refreshTitle(dp.newRows))),
handleCreatedSubject);
mySetText();
myWindowState = new PersistWindowState();
@@ -58,11 +81,25 @@ namespace BCG
};
}
event Action? titleInvalidated;
public string query_text
{
get { return myQueryTextBox.Text; }
set { myQueryTextBox.Text = value; }
}
/// <summary>
/// Clean up any resources being used.
/// </summary>
protected override void Dispose(bool disposing) {
if (disposing) {
Disposable.Dispose(ref titleSub);
components?.Dispose();
}
base.Dispose(disposing);
}
private ViewStream myGetAllTagsStream()
{
// TODO: Port PublishedTagsStream from edge (then we can uncomment impl below)
@@ -74,9 +111,10 @@ namespace BCG
private void mySetText()
{
ViewStream routes = new PubsubRoutesStream();
routes.onChange += (o) => { };
var rows = routes.rows;
titleInvalidated?.Invoke();
}
void refreshTitle(IBlueRowCollection rows) {
string route_txt = String.Empty;
foreach (IBlueRow r in rows)
{
@@ -144,8 +182,10 @@ namespace BCG
private void myHandleTableListChange(object o)
{
IBlueRowCollection rows = (o as DataPacket).newRows;
myUpdateTableList();
BeginInvoke(() => {
tagRows = ((IDataPacket)o).newRows;
myUpdateTableList();
});
}
@@ -334,18 +374,24 @@ namespace BCG
// this is the stream callback
private void myCallback(object o)
{
_stopwatch.Stop();
var timer = Stopwatch.StartNew();
DataPacket dp = o as DataPacket;
myCrono.Stop();
Log.Ui.diag($"Received callback for {dp.schema.tableName}");
if (o == null)
{
System.Windows.Forms.MessageBox.Show(this, "Received a Null Data packet",
"Invalid Data", MessageBoxButtons.OK, MessageBoxIcon.Error);
var dp = (IDataPacket)o;
Log.Ui.diag(dp.GetIncrementalIdString());
Volatile.Write(ref pendingData, dp);
}
private Stopwatch myCrono = new();
private DataStreamExpression? myExp;
private void myTimer_Tick(object sender, System.EventArgs e)
{
var dp = Interlocked.Exchange(ref pendingData, null);
if (dp is null) {
return;
}
Log.Ui.diag(dp.toIncrementalIDString());
_stopwatch.Stop();
var timer = Stopwatch.StartNew();
myCrono.Stop();
myToolStripStatusLabelTime.BackColor = Color.Black;
myToolStripStatusLabelRows.BackColor = Color.Black;
myToolStripStatusLabelTime.ForeColor = Color.White;
@@ -362,7 +408,7 @@ namespace BCG
{
myChangeStyle = false;
myDataGrid.Columns.Clear();
myDataGrid.Columns.AddRange(Array.ConvertAll(dp.schema.columnInfo, _column_factory));
myDataGrid.Columns.AddRange(Array.ConvertAll(dp.Schema.columnInfo, _column_factory));
}
myCrono.Restart();
// myDataGrid.CaptionText = myCrono.time.TotalMilliseconds + " ms ";
@@ -373,35 +419,13 @@ namespace BCG
var varNames = new List<string>(0);
var code = myExp?.print(9, varNames);
myPrintCode(dp.schema, varNames, code);
myPrintCode(dp.Schema, varNames, code);
myConsoleRichTextBox.Clear();
// this was was very very slow
//myConsoleRichTextBox.Text = BlueDataUtility.get_printed_rows(dp.newRows, (col) => 30);
timer.Stop();
Log.Gen.info(
$"DSQA MainForm.myCallback table: {dp.schema.tableName} rows: {dp.newRows.Count} time: {timer.Elapsed.TotalMilliseconds:0.00}ms");
}
private Stopwatch myCrono = new();
private DataStreamExpression? myExp;
private void myTimer_Tick(object sender, System.EventArgs e)
{
// try
// {
ViewStreamDatabase.instance.doWork();
MasterWorker.getInstance(false).doWork();
//}
// catch (Exception exc) {
// Log.Ui.warn(exc.ToString());
// myDataGrid.DataSource = null;
// //myTabControl.SelectedIndex = 1;
// myTabControl.SelectedTab = myErrorTabPage;
// myErrorTextBox.Text = exc.Message;
// myErrorTextBox.Text += "\n" + exc.StackTrace;
// }
$"DSQA MainForm.myCallback table: {dp.Schema.tableName} rows: {dp.newRows.Count} time: {timer.Elapsed.TotalMilliseconds:0.00}ms");
}
class StringWrapper
@@ -684,7 +708,7 @@ namespace BCG
private void myUpdateTableList()
{
IBlueRowCollection rows = myAllTagsStream.rows;
var rows = tagRows;
if (rows == null)
return;
@@ -742,20 +766,25 @@ namespace BCG
ViewStream s = new LoaderStream(@"P:\Dropbox\Data\spread_md_esoa_cme");
s = new MutableAppendStream(s, s);
//s = new MutableAppendStream(s, s);
List<IBlueRow> rows = new List<IBlueRow>();
foreach (IBlueRow r in s.rows)
rows.Add(r);
s.onChange += OnChange;
for (int i = 0; i < 100; i++)
{
timer.Restart();
rows.Sort(delegate (IBlueRow r1, IBlueRow r2)
void OnChange(object? obj) {
s.onChange -= OnChange;
//s = new MutableAppendStream(s, s);
var rowCollection = ((IDataPacket)obj!).newRows;
var rows = new List<IBlueRow>(rowCollection.Count);
rows.AddRange(rowCollection.Cast<IBlueRow>());
for (int i = 0; i < 100; i++)
{
return _sort_dicts_index(r1, r2, 5, true);
});
timer.Stop();
Log.Ui.diag($"nrows = {rows.Count} sorting time = {timer.Elapsed.TotalMilliseconds:0.00}ms");
timer.Restart();
rows.Sort(delegate (IBlueRow r1, IBlueRow r2)
{
return _sort_dicts_index(r1, r2, 5, true);
});
timer.Stop();
Log.Ui.diag($"nrows = {rows.Count} sorting time = {timer.Elapsed.TotalMilliseconds:0.00}ms");
}
}
}
@@ -1,59 +1,61 @@
using BCG;
using bts;
using bts.api.core;
using Bts.DataStream.Services;
using Bts.DataStreamCore.Services;
using Bts.Extensions.Hosting;
using Bts.PubSub.Services;
using Bts.DataStreamQueryAnalyzer;
using Bts.PubSub;
using CommandLine;
using Microsoft.Extensions.DependencyInjection;
using Microsoft.Extensions.Hosting;
using Spark.Api.MarketData;
using Spark.Api.Services;
using Spark.Core.Services;
using System;
using System.Threading;
using System.Threading.Tasks;
using System.Windows.Forms;
static class Program {
[STAThread]
static async Task Main(string[] args) {
await Parser.Default.ParseArguments<DataStreamQueryAnalyzerConfig>(args)
.MapResult(RunAsync, errs => Task.FromResult(1));
async Task<int> RunAsync(DataStreamQueryAnalyzerConfig cfg) {
try {
cfg.MergeWithConfigFile();
cfg.MergeWith(DataStreamQueryAnalyzerConfig.Default());
PubSubConfig.SetGlobalConfig(Log.notnull(cfg.PubSub));
var configLoader = new SparkConfigLoader(new SparkConfigLoaderOpts() { ConfigServer = cfg.Sparkd });
var serviceContext = new ServiceContext(configLoader);
var credentials = new SparkApiCredentials() {
User = cfg.User,
Password = cfg.Password
};
var loginService = new SparkdLoginService(serviceContext, credentials, configLoader);
var permissions = new UserDataPermissions(loginService);
var mdClientConfig = new MarketDataClientConfig() { HotPollInterval = TimeSpan.FromSeconds(0.5) };
var mdClient = new MarketDataClient(configLoader, loginService, permissions, mdClientConfig);
static async Task<int> Main(string[] args) {
Console.Write("Starting DataStreamQueryAnalyzer");
int exitCode = 0;
IHost? host = null;
try {
host = HostBuilderExtensions.CreateBtsBuilder(args)
.ConfigureServices(ConfigureServices)
.Build();
var mdClient = host.Services.GetService<IMarketDataClient>();
if (mdClient is not null) {
PrimitiveManager.SetMarketDataClient(mdClient);
using var vsd = new ViewStreamDatabase(new SubscriberCoreFactory());
ViewStreamDatabase.SetGlobalInstance(new ViewStreamDatabase(new SubscriberCoreFactory()));
Log.Gen.info("Starting DataStreamQueryAnalyzer");
var mainForm = new MainForm();
if (cfg.StreamFile is not null) {
mainForm.loadFile(cfg.StreamFile);
}
Application.Run(mainForm);
} catch (Exception ex) {
// Write the error to console first, in case the logging system is compromised.
var error_msg = $"DataStreamPublisher threw exception:\n{ex}";
Console.Error.WriteLine(error_msg);
Console.Error.Flush();
bts.Log.Gen.error(error_msg);
return 1;
}
return 0;
await host.StartAsync();
var winFormsThread = new Thread(RunWinFormsApp);
winFormsThread.SetApartmentState(ApartmentState.STA);
winFormsThread.Start();
winFormsThread.Join();
} catch (Exception ex) {
Console.Error.Write($"DataStreamQueryAnalyzer crashed: {ex}");
exitCode = 1;
}
if (host is not null) {
await host.StopAsync();
}
return exitCode;
}
static void RunWinFormsApp() {
var win = new MainForm();
Application.Run(win);
}
static void ConfigureServices(HostBuilderContext context, IServiceCollection services) =>
services.AddSpark(context.Configuration.GetSection("Spark"))
.AddSparkApi(context.Configuration.GetSection("SparkApi"))
.AddMasterWorker(context.Configuration.GetSection("MasterWorker"))
.AddViewStreamDatabase()
.AddPubSubClient(context.Configuration.GetSection("PubSub"))
.AddPubTableBroker()
.AddRemoteQueryManager();
}
@@ -6,9 +6,9 @@
"Interval": "00:00:00.1"
},
"Spark": {
"ConfigServer": "http://127.0.0.1:8000/config"
},
"SparkApi": {
"IsEnabled": false,
"Credentials": {
"User": "bts",
"Password": ""
+16 -2
View File
@@ -37,9 +37,11 @@ Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnExpressions", "Bt
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.ColumnSortExpressions", "Bts.ColumnSortExpressions\Bts.ColumnSortExpressions.csproj", "{B038CB72-4E81-4AF1-976F-ED8655C2C3D6}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{5C528A65-E43C-48A2-8CA9-ED2D0E356A37}"
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Extensions.Hosting", "..\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj", "{5C528A65-E43C-48A2-8CA9-ED2D0E356A37}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Net", "Bts.Net\Bts.Net.csproj", "{496333E0-E11D-45EE-B0D6-BBAA824A120D}"
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.Net", "..\cs\Bts.Net\Bts.Net.csproj", "{496333E0-E11D-45EE-B0D6-BBAA824A120D}"
EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Bts.IO.Compression", "..\cs\Bts.IO.Compression\Bts.IO.Compression.csproj", "{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}"
EndProject
Global
GlobalSection(SolutionConfigurationPlatforms) = preSolution
@@ -279,6 +281,18 @@ Global
{496333E0-E11D-45EE-B0D6-BBAA824A120D}.Release|x64.Build.0 = Release|Any CPU
{496333E0-E11D-45EE-B0D6-BBAA824A120D}.Release|x86.ActiveCfg = Release|Any CPU
{496333E0-E11D-45EE-B0D6-BBAA824A120D}.Release|x86.Build.0 = Release|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Debug|Any CPU.Build.0 = Debug|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Debug|x64.ActiveCfg = Debug|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Debug|x64.Build.0 = Debug|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Debug|x86.ActiveCfg = Debug|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Debug|x86.Build.0 = Debug|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Release|Any CPU.ActiveCfg = Release|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Release|Any CPU.Build.0 = Release|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Release|x64.ActiveCfg = Release|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Release|x64.Build.0 = Release|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Release|x86.ActiveCfg = Release|Any CPU
{3BF059B0-51C0-44A8-8297-9B7464DC5BA3}.Release|x86.Build.0 = Release|Any CPU
EndGlobalSection
GlobalSection(SolutionProperties) = preSolution
HideSolutionNode = FALSE
@@ -0,0 +1,218 @@
// namespace Bts.DataStreamTests;
// using BCG;
// using BlueOrb.Operators.Core;
// [TestFixture]
// public class BarBuilderStreamTests {
// static readonly DateTime T0 = new(2026, 1, 1, 0, 0, 0, DateTimeKind.Utc);
// [Test]
// public void TimeBars_FromTrades_AcrossBoundary() {
// var schema = TradeSchema();
// var driver = new TestDriverStream(schema);
// var bars = new BarBuilderStream(driver, "TIME", 60, "trade_price", "trade_size");
// var rows = CaptureAddedRows(bars);
// var sent = new List<IBlueRow>();
// sent.Add(TradeRow(schema, 1, T0.AddSeconds(10), "BTCUSD", 100, 2));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(20), "BTCUSD", 101, 3));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 3, T0.AddMinutes(1).AddSeconds(5), "BTCUSD", 99, 1));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 4, T0.AddMinutes(2), "BTCUSD", 102, 1));
// driver.Reset(sent);
// Assert.That(rows.Count, Is.EqualTo(2));
// AssertBar(rows[0], 100, 101, 100, 101, 5, 2, 100.6, false);
// AssertBar(rows[1], 99, 99, 99, 99, 1, 1, 99, false);
// }
// [Test]
// public void TimeBars_FromBboMid_VolumeIsZero() {
// var schema = BboSchema();
// var driver = new TestDriverStream(schema);
// var bars = new BarBuilderStream(driver, "TIME", 60, "mid", "none");
// var rows = CaptureAddedRows(bars);
// var sent = new List<IBlueRow>();
// sent.Add(BboRow(schema, 1, T0.AddSeconds(0), "ETHUSD", 99, 101));
// driver.Reset(sent);
// sent.Add(BboRow(schema, 2, T0.AddSeconds(30), "ETHUSD", 101, 103));
// driver.Reset(sent);
// sent.Add(BboRow(schema, 3, T0.AddMinutes(1).AddSeconds(1), "ETHUSD", 100, 104));
// driver.Reset(sent);
// sent.Add(BboRow(schema, 4, T0.AddMinutes(2), "ETHUSD", 100, 102));
// driver.Reset(sent);
// Assert.That(rows.Count, Is.EqualTo(2));
// AssertBar(rows[0], 100, 102, 100, 102, 0, 2, 102, false);
// AssertBar(rows[1], 102, 102, 102, 102, 0, 1, 102, false);
// }
// [Test]
// public void TickBars_CloseExactlyOnNEvents() {
// var schema = TradeSchema();
// var driver = new TestDriverStream(schema);
// var bars = new BarBuilderStream(driver, "TICK", 3, "trade_price", "trade_size");
// var rows = CaptureAddedRows(bars);
// var sent = new List<IBlueRow>();
// sent.Add(TradeRow(schema, 1, T0, "NQ", 10, 1));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "NQ", 11, 1));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 3, T0.AddSeconds(2), "NQ", 9, 1));
// driver.Reset(sent);
// Assert.That(rows.Count, Is.EqualTo(1));
// AssertBar(rows[0], 10, 11, 9, 9, 3, 3, 10, false);
// }
// [Test]
// public void VolumeBars_CloseOnThreshold() {
// var schema = TradeSchema();
// var driver = new TestDriverStream(schema);
// var bars = new BarBuilderStream(driver, "VOLUME", 10, "trade_price", "trade_size");
// var rows = CaptureAddedRows(bars);
// var sent = new List<IBlueRow>();
// sent.Add(TradeRow(schema, 1, T0, "ES", 100, 3));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "ES", 120, 4));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 3, T0.AddSeconds(2), "ES", 110, 5));
// driver.Reset(sent);
// Assert.That(rows.Count, Is.EqualTo(1));
// AssertBar(rows[0], 100, 120, 100, 110, 12, 3, (100 * 3 + 120 * 4 + 110 * 5) / 12.0, false);
// }
// [Test]
// public void DollarBars_CloseOnThreshold() {
// var schema = TradeSchema();
// var driver = new TestDriverStream(schema);
// var bars = new BarBuilderStream(driver, "DOLLAR", 1000, "trade_price", "trade_size");
// var rows = CaptureAddedRows(bars);
// var sent = new List<IBlueRow>();
// sent.Add(TradeRow(schema, 1, T0, "CL", 100, 3));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "CL", 120, 4));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 3, T0.AddSeconds(2), "CL", 110, 3));
// driver.Reset(sent);
// Assert.That(rows.Count, Is.EqualTo(1));
// AssertBar(rows[0], 100, 120, 100, 110, 10, 3, 111, false);
// }
// [Test]
// public void Validation_VolumeOnBboOnly_Throws() {
// var schema = BboSchema();
// var driver = new TestDriverStream(schema);
// var bars = new BarBuilderStream(driver, "VOLUME", 10, "mid", "trade_size");
// var row = BboRow(schema, 1, T0, "BTCUSD", 99, 101);
// Assert.Throws<ArgumentException>(() => {
// using var _ = SubscribeNoOp(bars);
// driver.Reset(row);
// });
// }
// [Test]
// public void EmitForming_EmitsFormingAndFinal() {
// var schema = TradeSchema();
// var driver = new TestDriverStream(schema);
// var bars = new BarBuilderStream(driver, "TICK", 2, "trade_price", "trade_size", emit_forming: true);
// var rows = CaptureAddedRows(bars);
// var sent = new List<IBlueRow>();
// sent.Add(TradeRow(schema, 1, T0, "MNQ", 10, 1));
// driver.Reset(sent);
// sent.Add(TradeRow(schema, 2, T0.AddSeconds(1), "MNQ", 12, 1));
// driver.Reset(sent);
// Assert.That(rows.Count, Is.EqualTo(3));
// Assert.That(rows[0].get<bool>("is_forming"), Is.True);
// Assert.That(rows[1].get<bool>("is_forming"), Is.True);
// Assert.That(rows[2].get<bool>("is_forming"), Is.False);
// AssertBar(rows[2], 10, 12, 10, 12, 2, 2, 11, false);
// }
// static IDisposable SubscribeNoOp(ViewStream stream) {
// DataStream.ChangeDelegate d = _ => { };
// stream.onChange += d;
// return new Subscription(() => stream.onChange -= d);
// }
// static List<IBlueRow> CaptureAddedRows(ViewStream stream) {
// var rows = new List<IBlueRow>();
// stream.onChange += o => {
// var dp = (IDataPacket)o;
// foreach (IBlueRow r in dp.addedRows) {
// rows.Add(new BlueRow(r));
// }
// };
// return rows;
// }
// static BlueTableSchema TradeSchema() =>
// new(
// new[] {
// new ColumnInfo("id", 0, typeof(int)),
// new ColumnInfo("ts_event", 1, typeof(string)),
// new ColumnInfo("contract", 2, typeof(string)),
// new ColumnInfo("trade_price", 3, typeof(double)),
// new ColumnInfo("trade_size", 4, typeof(double)),
// },
// "trade_events"
// );
// static BlueTableSchema BboSchema() =>
// new(
// new[] {
// new ColumnInfo("id", 0, typeof(int)),
// new ColumnInfo("ts_event", 1, typeof(string)),
// new ColumnInfo("contract", 2, typeof(string)),
// new ColumnInfo("bid_price", 3, typeof(double)),
// new ColumnInfo("ask_price", 4, typeof(double)),
// },
// "bbo_events"
// );
// static IBlueRow TradeRow(IBlueTableSchema schema, int id, DateTime ts, string contract, double px, double sz) =>
// new BlueRow(schema, id, ts.ToString("O"), contract, px, sz);
// static IBlueRow BboRow(IBlueTableSchema schema, int id, DateTime ts, string contract, double bid, double ask) =>
// new BlueRow(schema, id, ts.ToString("O"), contract, bid, ask);
// static void AssertBar(
// IBlueRow r,
// double open,
// double high,
// double low,
// double close,
// double volume,
// int tradeCount,
// double vwap,
// bool isForming
// ) {
// Assert.That(r.get<double>("open"), Is.EqualTo(open).Within(1e-9));
// Assert.That(r.get<double>("high"), Is.EqualTo(high).Within(1e-9));
// Assert.That(r.get<double>("low"), Is.EqualTo(low).Within(1e-9));
// Assert.That(r.get<double>("close"), Is.EqualTo(close).Within(1e-9));
// Assert.That(r.get<double>("volume"), Is.EqualTo(volume).Within(1e-9));
// Assert.That(r.get<int>("trade_count"), Is.EqualTo(tradeCount));
// Assert.That(r.get<double>("vwap"), Is.EqualTo(vwap).Within(1e-9));
// Assert.That(r.get<bool>("is_forming"), Is.EqualTo(isForming));
// }
// sealed class Subscription : IDisposable {
// readonly Action _dispose;
// public Subscription(Action dispose) => _dispose = dispose;
// public void Dispose() => _dispose();
// }
// }
@@ -5,7 +5,7 @@ using BCG.Utilities.General;
using Bts.DataStreamCore;
using Spark.Core.Collections;
using global::Spark.Core.Collections;
public class TestDriverStream : ViewStream, IWorker {
readonly IBlueTableSchema schema;
@@ -17,11 +17,6 @@ public class PubSubTagHandlerFactoryConfig {
public static PubSubTagHandlerFactoryConfig Default() {
return new() {
Handlers = new() {
new() {
TagType = string.Empty,
Assembly = "DataStreamCore",
Class = "bts.PubsubServerStreamTagHandler",
},
new() {
TagType = DSTagManager.DataStreamTagType,
Assembly = "DataStreamCore",
@@ -36,7 +31,12 @@ public class PubSubTagHandlerFactoryConfig {
TagType = "System_Stats",
Assembly = "PubSub",
Class = "BCG.SystemStatsPublisher",
}
},
new() {
TagType = ".*",
Assembly = "DataStreamCore",
Class = "bts.PubsubServerGenericDataHandler",
},
}
};
}
@@ -1,273 +0,0 @@
<?xml version="1.0" ?>
<Project DefaultTargets="Build" ToolsVersion="15.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
<PropertyGroup>
<ProjectType>Local</ProjectType>
<ProductVersion>9.0.30729</ProductVersion>
<SchemaVersion>2.0</SchemaVersion>
<ProjectGuid>{41DBB1A3-1A4E-457D-BB2C-BFDE486E328B}</ProjectGuid>
<Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
<Platform Condition=" '$(Platform)' == '' ">x64</Platform>
<ApplicationIcon>
</ApplicationIcon>
<AssemblyKeyContainerName>
</AssemblyKeyContainerName>
<AssemblyName>CompressionUtilities</AssemblyName>
<AssemblyOriginatorKeyFile>..\..\StrongNameKeys\Builder.snk</AssemblyOriginatorKeyFile>
<DefaultClientScript>JScript</DefaultClientScript>
<DefaultHTMLPageLayout>Grid</DefaultHTMLPageLayout>
<DefaultTargetSchema>IE50</DefaultTargetSchema>
<DelaySign>false</DelaySign>
<OutputType>Library</OutputType>
<RootNamespace>CompressionUtilities</RootNamespace>
<RunPostBuildEvent>OnBuildSuccess</RunPostBuildEvent>
<StartupObject>
</StartupObject>
<SignAssembly>false</SignAssembly>
<TargetFrameworkVersion>v4.0</TargetFrameworkVersion>
<ApplicationRevision>0</ApplicationRevision>
<ApplicationVersion>1.0.0.%2a</ApplicationVersion>
</PropertyGroup>
<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
<AllowUnsafeBlocks>false</AllowUnsafeBlocks>
<BaseAddress>285212672</BaseAddress>
<CheckForOverflowUnderflow>false</CheckForOverflowUnderflow>
<ConfigurationOverrideFile>
</ConfigurationOverrideFile>
<DefineConstants>DEBUG;TRACE</DefineConstants>
<DocumentationFile>
</DocumentationFile>
<DebugSymbols>true</DebugSymbols>
<FileAlignment>4096</FileAlignment>
<NoStdLib>false</NoStdLib>
<NoWarn>
</NoWarn>
<Optimize>false</Optimize>
<RegisterForComInterop>false</RegisterForComInterop>
<RemoveIntegerChecks>false</RemoveIntegerChecks>
<TreatWarningsAsErrors>true</TreatWarningsAsErrors>
<WarningLevel>4</WarningLevel>
<DebugType>full</DebugType>
<ErrorReport>prompt</ErrorReport>
<CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
</PropertyGroup>
<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
<AllowUnsafeBlocks>false</AllowUnsafeBlocks>
<BaseAddress>285212672</BaseAddress>
<CheckForOverflowUnderflow>false</CheckForOverflowUnderflow>
<ConfigurationOverrideFile>
</ConfigurationOverrideFile>
<DefineConstants>DEBUG;TRACE</DefineConstants>
<DocumentationFile>
</DocumentationFile>
<DebugSymbols>true</DebugSymbols>
<FileAlignment>4096</FileAlignment>
<NoStdLib>false</NoStdLib>
<NoWarn>
</NoWarn>
<Optimize>false</Optimize>
<RegisterForComInterop>false</RegisterForComInterop>
<RemoveIntegerChecks>false</RemoveIntegerChecks>
<TreatWarningsAsErrors>true</TreatWarningsAsErrors>
<WarningLevel>4</WarningLevel>
<DebugType>full</DebugType>
<ErrorReport>prompt</ErrorReport>
<DefineDebug>true</DefineDebug>
<CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
</PropertyGroup>
<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Test|AnyCPU' ">
<DebugSymbols>true</DebugSymbols>
<DefineConstants>DEBUG;TRACE</DefineConstants>
<BaseAddress>285212672</BaseAddress>
<DebugType>full</DebugType>
<PlatformTarget>x64</PlatformTarget>
<ErrorReport>prompt</ErrorReport>
<CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
</PropertyGroup>
<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|x64' ">
<DebugSymbols>true</DebugSymbols>
<DefineConstants>DEBUG;TRACE</DefineConstants>
<BaseAddress>285212672</BaseAddress>
<FileAlignment>4096</FileAlignment>
<DebugType>full</DebugType>
<PlatformTarget>x64</PlatformTarget>
<ErrorReport>prompt</ErrorReport>
<CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
</PropertyGroup>
<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|x64' ">
<DebugSymbols>true</DebugSymbols>
<DefineDebug>true</DefineDebug>
<DefineConstants>DEBUG;TRACE</DefineConstants>
<BaseAddress>285212672</BaseAddress>
<FileAlignment>4096</FileAlignment>
<DebugType>full</DebugType>
<PlatformTarget>x64</PlatformTarget>
<ErrorReport>prompt</ErrorReport>
<CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
</PropertyGroup>
<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Test|x64' ">
<DebugSymbols>true</DebugSymbols>
<DefineConstants>DEBUG;TRACE</DefineConstants>
<BaseAddress>285212672</BaseAddress>
<DebugType>full</DebugType>
<PlatformTarget>x64</PlatformTarget>
<ErrorReport>prompt</ErrorReport>
<CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
</PropertyGroup>
<ItemGroup>
<Reference Include="System">
<Name>System</Name>
</Reference>
<Reference Include="System.Core">
<RequiredTargetFramework>4.0</RequiredTargetFramework>
</Reference>
<Reference Include="System.Data">
<Name>System.Data</Name>
</Reference>
<Reference Include="System.Xml">
<Name>System.XML</Name>
</Reference>
</ItemGroup>
<ItemGroup>
<Compile Include="AssemblyInfo.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="BlueCompressUtilities\IBlueCompressor.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="BlueCompressUtilities\SharpZipCompressor.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\BZip2\BZip2.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\BZip2\BZip2Constants.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\BZip2\BZip2InputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\BZip2\BZip2OutputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Checksums\Adler32.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Checksums\Crc32.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Checksums\IChecksum.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Checksums\StrangeCrc.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\GZip\GZipConstants.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\GZip\GZipInputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\GZip\GZipOutputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Tar\InvalidHeaderException.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Tar\TarArchive.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Tar\TarBuffer.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Tar\TarEntry.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Tar\TarHeader.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Tar\TarInputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Tar\TarOutputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\ZipException.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\Deflater.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\DeflaterConstants.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\DeflaterEngine.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\DeflaterHuffman.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\DeflaterPending.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\Inflater.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\InflaterDynHeader.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\InflaterHuffmanTree.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\PendingBuffer.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\Streams\DeflaterOutputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\Streams\InflaterInputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\Streams\OutputWindow.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\Compression\Streams\StreamManipulator.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\ZipConstants.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\ZipEntry.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\ZipFile.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\ZipInputStream.cs">
<SubType>Code</SubType>
</Compile>
<Compile Include="SharpZipLib\Zip\ZipOutputStream.cs">
<SubType>Code</SubType>
</Compile>
</ItemGroup>
<ItemGroup>
<BootstrapperPackage Include="Microsoft.Net.Client.3.5">
<Visible>False</Visible>
<ProductName>.NET Framework 3.5 SP1 Client Profile</ProductName>
</BootstrapperPackage>
<BootstrapperPackage Include="Microsoft.Net.Framework.3.5.SP1">
<Visible>False</Visible>
<ProductName>.NET Framework 3.5 SP1</ProductName>
</BootstrapperPackage>
<BootstrapperPackage Include="Microsoft.Windows.Installer.3.1">
<Visible>False</Visible>
<ProductName>Windows Installer 3.1</ProductName>
</BootstrapperPackage>
</ItemGroup>
<Import Project="..\..\build\blue2.cs.targets"/>
<PropertyGroup>
<PreBuildEvent>
</PreBuildEvent>
<PostBuildEvent>
</PostBuildEvent>
</PropertyGroup>
</Project>
+4 -1
View File
@@ -4,17 +4,20 @@
<AllowUnsafeBlocks>true</AllowUnsafeBlocks>
<TargetFramework>net8.0</TargetFramework>
<Nullable>enable</Nullable>
<PackageId>Bts.PubSub</PackageId>
</PropertyGroup>
<Choose>
<When Condition="'$(UseProjectRefs)' == 'true'">
<ItemGroup>
<ProjectReference Include="..\..\cs\Bts.IO.Compression\Bts.IO.Compression.csproj" />
<ProjectReference Include="..\..\cs\Bts.Spark.Core\Bts.Spark.Core.csproj" />
<ProjectReference Include="..\Bts.Net\Bts.Net.csproj" />
<ProjectReference Include="..\..\cs\Bts.Net\Bts.Net.csproj" />
</ItemGroup>
</When>
<Otherwise>
<ItemGroup>
<PackageReference Include="Bts.IO.Compression" Version="$(SparkVersion)" />
<PackageReference Include="Bts.Spark.Core" Version="$(SparkVersion)" />
<PackageReference Include="Bts.Net" Version="$(SparkVersion)" />
</ItemGroup>
+9 -4
View File
@@ -43,10 +43,7 @@ namespace BCG {
#region constructors
public PublisherCore(IPubSubRouter? router = null, IPubSubTagHandlerFactory? tagHandlerFactory = null, IServiceProvider? serviceProvider = null) {
router ??= new PubSubRouter();
serviceProvider ??= PubSubServices.ServiceProvider;
tagHandlerFactory ??= new PubsubTagHandlerFactory(serviceProvider, PubSubTagHandlerFactoryConfig.Default());
public PublisherCore(IPubSubRouter router, IPubSubTagHandlerFactory tagHandlerFactory) {
_router = router;
_state = new(tagHandlerFactory);
Thread pump_thread = new Thread(new ThreadStart(_message_pump));
@@ -54,6 +51,14 @@ namespace BCG {
pump_thread.Start();
}
public static PublisherCore Create(IPubSubRouter? router = null, IPubSubTagHandlerFactory? tagHandlerFactory = null, IServiceProvider? serviceProvider = null) {
router ??= new PubSubRouter();
tagHandlerFactory ??= new PubsubTagHandlerFactory(
serviceProvider ?? PubSubServices.ServiceProvider,
PubSubConfig.Instance.TagHandlerFactory ?? PubSubTagHandlerFactoryConfig.Default());
return new(router, tagHandlerFactory);
}
public void Dispose() { }
#endregion
@@ -114,6 +114,7 @@ public static class PubSubServices {
PubSubConfig.SetGlobalConfig(configurationSection.Get<PubSubConfig>() ?? PubSubConfig.Default());
return services.AddGlobalServiceProvider()
.AddPubSubRouter(configurationSection.GetSection(nameof(PubSubConfig.Routing)))
.AddTagHandlerFactory(configurationSection.GetSection(nameof(PubSubConfig.TagHandlerFactory)))
.AddPublisherCore()
.AddSubscriberCore()
.AddManagedSubscriber();
@@ -1,10 +1,5 @@
using BCG;
using bts;
using System;
using System.IO;
using System.Runtime.Serialization;
namespace BCG {
public class TestPubItem : IPubItem {
@@ -24,7 +19,7 @@ namespace BCG {
}
public class TestPublisher {
TestPubItem _tbi = new TestPubItem();
IPublisherCore pcore = new PublisherCore();
IPublisherCore pcore = PublisherCore.Create();
bool _hit_key_to_send = false;
public TestPublisher(bool hit_key_to_send) {
_hit_key_to_send = hit_key_to_send;
@@ -50,4 +45,4 @@ namespace BCG {
}
}
}
}
}
@@ -6,10 +6,20 @@
<Nullable>enable</Nullable>
</PropertyGroup>
<ItemGroup>
<ProjectReference Include="..\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj" />
<ProjectReference Include="..\PubSub\PubSub.csproj" />
</ItemGroup>
<Choose>
<When Condition="'$(UseProjectRefs)' == 'true'">
<ItemGroup>
<ProjectReference Include="..\..\cs\Bts.Extensions.Hosting\Bts.Extensions.Hosting.csproj" />
<ProjectReference Include="..\PubSub\PubSub.csproj" />
</ItemGroup>
</When>
<Otherwise>
<ItemGroup>
<PackageReference Include="Bts.PubSub" Version="$(SparkVersion)" />
<PackageReference Include="Bts.Extensions.Hosting" Version="$(SparkVersion)" />
</ItemGroup>
</Otherwise>
</Choose>
<ItemGroup>
<ConfigurationProfile Include="appsettings.Development.json" />
@@ -80,7 +80,7 @@ r = TimeSeriesStream(r)
"left_sec", "left_venue","right_sec", "right_venue"
);
r = new NewProjectStream (r,
" spread_bid_qty spread_bid_price spread_bid_notional spread_ask_qty spread_ask_price spread_ask_notional left_qm right_qm left_bid_qty left_bid_price left_ask_qty left_ask_price right_bid_qty right_bid_price right_ask_qty right_ask_price left_sec_name right_sec_name left_cpp right_cpp left_venue right_venue ");
" spread_name spread_bid_qty spread_bid_price spread_bid_notional spread_ask_qty spread_ask_price spread_ask_notional left_qm right_qm left_bid_qty left_bid_price left_ask_qty left_ask_price right_bid_qty right_bid_price right_ask_qty right_ask_price left_sec_name right_sec_name left_cpp right_cpp left_venue right_venue ");
r = new MathStream (r,
"arb = Max( Abs(Min(0,spread_ask_notional)),spread_bid_notional )");
@@ -5,10 +5,9 @@ using BCG;
using bts.api;
using bts.md;
using Bts.DataStream;
using Bts.DataStreamCore;
using Spark.Api.MarketData;
using global::Spark.Api.MarketData;
public class BookSchemaBuilder {
public int NumLevels { get; set; } = 5;
@@ -215,8 +215,6 @@ namespace bts.BlueOrb {
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
@@ -1,10 +1,13 @@
namespace bts.BlueOrb {
using System;
using System.Security.Cryptography;
using BCG;
using BCG;
using Bts.DataStreamCore;
using Bts.PubSub;
using Bts.PubSub;
using IronPython.Runtime.Operations;
using Spark.Api.MarketData;
@@ -64,12 +67,22 @@ namespace bts.BlueOrb {
[LiveMarketDataStream]
[DataStreamUserRespresentation("SyntheticSpreadBBOStream")]
public class SyntheticSpreadBBOStream : ViewStream {
public SyntheticSpreadBBOStream(string leg_1, string venue_1,string leg_2, string venue_2, [MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) : this(leg_1, venue_1, leg_2, venue_2, 1, -1, 1, 1, mdClient, scheduler) { }
public SyntheticSpreadBBOStream(string leg_1, string venue_1, string leg_2, string venue_2, double pm1, double pm2, double cpp1, double cpp2, [MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) : this(new LiveBBOStream(mdClient, scheduler, venue_1,leg_1), new LiveBBOStream(mdClient, scheduler, venue_2,leg_2), pm1, pm2, cpp1, cpp2) { }
public SyntheticSpreadBBOStream(ViewStream bbo_leg_1, ViewStream bbo_leg_2, double pm1, double pm2, double cpp1, double cpp2) {
public SyntheticSpreadBBOStream(string leg_1, string venue_1, string leg_2, string venue_2,
[MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) :
this(leg_1, venue_1, leg_2, venue_2, 1, -1, 1, 1, mdClient, scheduler) { }
public SyntheticSpreadBBOStream(string leg_1, string venue_1, string leg_2, string venue_2,
double pm1, double pm2, double cpp1, double cpp2,
[MarketDataClientParam] IMarketDataClient mdClient, IWorkScheduler scheduler) :
this(
new LiveBBOStream(mdClient, scheduler, venue_1, leg_1),
new LiveBBOStream(mdClient, scheduler, venue_2, leg_2),
pm1, pm2, cpp1, cpp2,
leg_1,venue_1,leg_2,venue_2) { }
public SyntheticSpreadBBOStream(ViewStream bbo_leg_1, ViewStream bbo_leg_2, double pm1, double pm2,
double cpp1, double cpp2, string leg_1, string venue_1, string leg_2, string venue_2) {
ViewStream r;
double qm1 =1;
double qm2 = cpp1/cpp2;
double qm1 = 1;
double qm2 = cpp1 / cpp2;
bbo_leg_1 = new AddColumnsStream(bbo_leg_1,
"pm:" + pm1.ToString());
bbo_leg_1 = new AddColumnsStream(bbo_leg_1,
@@ -78,12 +91,14 @@ namespace bts.BlueOrb {
"pm:" + pm2.ToString());
bbo_leg_2 = new AddColumnsStream(bbo_leg_2,
"qm:" + qm2.ToString());
var name = leg_1.replace("$","") + "-" + (qm2==1?"":qm2.ToString())+leg_2.replace("$","");
r = new SimpleJoinStream(bbo_leg_1,
"",
bbo_leg_2,
"");
r = new AddColumnsStream(r,"spread_name:"+name);
r = new MathStream(r,
"""
$"""
spread_bid_price = left_bid_price*left_pm + right_ask_price*right_pm;
spread_ask_price = left_ask_price*left_pm + right_bid_price*right_pm;
spread_ask_qty = Min((left_ask_qty/left_qm),(right_bid_qty/right_qm));
@@ -99,7 +114,7 @@ namespace bts.BlueOrb {
+ (right_bid_price * spread_ask_qty * {cpp1} * right_pm);
""");
mySetRealSource(r);
@@ -2,7 +2,7 @@ namespace Bts.SharedStreams;
using bts.api;
using Spark.Api.Orders;
using global::Spark.Api.Orders;
public static class WellKnownColumns {
public static (string Name, Type Type) AskNotional => (WellKnownColumnNames.AskNotional, typeof(double));
@@ -76,33 +76,45 @@ public <#= propType #> <#= name #> <#= getter #>
#>
// Indexer by column name
public object? this[string col] => col switch {
<#
// Generate case statements for each column name
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
var key = columns[i].Item3;
#>
"<#= key #>" => <#= name #>,
<#
}
#>
_ => throw new KeyNotFoundException()
};
public object? this[string col] {
get {
switch (col) {
<#
// Generate case statements for each column name
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
var key = columns[i].Item3;
#>
case "<#= key #>":
return <#= name #>;
<#
}
#>
default:
throw new KeyNotFoundException();
}
}
}
// Indexer by column index
public object? this[int col] => col switch {
<#
// Generate case statements for each column index
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
#>
<#= i #> => <#= name #>,
<#
}
#>
_ => throw new IndexOutOfRangeException()
};
public object? this[int col] {
get {
switch (col) {
<#
// Generate case statements for each column name
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
#>
case <#= i #>:
return <#= name #>;
<#
}
#>
default:
throw new KeyNotFoundException();
}
}
}
public bool Equals(<#= TypeName #>? other) =>
other is not null
@@ -76,33 +76,45 @@ public <#= propType #> <#= name #> <#= getter #>
#>
// Indexer by column name
public readonly object? this[string col] => col switch {
<#
// Generate case statements for each column name
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
var key = columns[i].Item3;
#>
"<#= key #>" => <#= name #>,
<#
}
#>
_ => throw new KeyNotFoundException()
};
public readonly object? this[string col] {
get {
switch (col) {
<#
// Generate case statements for each column name
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
var key = columns[i].Item3;
#>
case "<#= key #>":
return <#= name #>;
<#
}
#>
default:
throw new KeyNotFoundException();
}
}
}
// Indexer by column index
public readonly object? this[int col] => col switch {
<#
// Generate case statements for each column index
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
#>
<#= i #> => <#= name #>,
<#
}
#>
_ => throw new IndexOutOfRangeException()
};
public readonly object? this[int col] {
get {
switch (col) {
<#
// Generate case statements for each column name
for (int i = 0; i < columns.Count; i++) {
var name = columns[i].Item1;
#>
case <#= i #>:
return <#= name #>;
<#
}
#>
default:
throw new KeyNotFoundException();
}
}
}
public bool Equals(<#= TypeName #> other) =>
<#
@@ -12,8 +12,8 @@ namespace bts {
/// server.
/// </summary>
// TODO: Use dependency injection to instantiate this stream, and others like it that depend on
// ISubscriberCore(Factory). Until then, hide it from DSQA.
[DataStreamUserRespresentation(/*"pss_state"*/ false)]
// ISubscriberCore(Factory).
[DataStreamUserRespresentation("pss_state")]
public class PubSubServerStateStream : ViewStream, IWorker {
private IDictionary<string, TagPubSubInfo> _tag_map = new Dictionary<string, TagPubSubInfo>();
private readonly string _tag = "System_AllSubscriptions";
@@ -21,6 +21,9 @@ namespace bts {
readonly ISubscriberCore _sub_core;
private ViewStreamDatabase _vsd;
public PubSubServerStateStream()
: this(new SubscriberCoreFactory(), ViewStreamDatabase.instance) { }
public PubSubServerStateStream(ISubscriberCoreFactory subscriberCoreFactory, ViewStreamDatabase vsd)
: this(subscriberCoreFactory.Create(), vsd) { }
@@ -77,7 +80,7 @@ namespace bts {
DeadPublishers = tsi.dead_publishers_as_string,
});
}
var dp = BlueDataUtility.build_dp_inc(bt, myLastValue as IDataPacket, true);
var dp = BlueDataUtility.build_dp_inc(bt, (myLastValue as IDataPacket)?.newRows, true);
if (dp.addedRows.Count + dp.deletedRows.Count > 0)
myFireEvent(dp);
@@ -1,81 +1,81 @@
namespace bts {
using BCG;
using BCG.Utilities.General;
namespace bts;
using Bts.PubSub;
using Bts.SharedStreams.Tables;
using BCG;
using BCG.Utilities.General;
// TODO: Use dependency injection to instantiate this stream, and others like it that depend on
// ISubscriberCore(Factory). Until then, hide it from DSQA.
[DataStreamUserRespresentation(/*"pss_hb"*/ false)]
public class PubsubHeartbeatStream : ViewStream, IWorker {
private ViewStreamDatabase _vsd;
readonly ISubscriberCore _subcore;
PubSubHeartbeatRow? _row = null;
using Bts.PubSub;
using Bts.SharedStreams.Tables;
public PubsubHeartbeatStream(ISubscriberCoreFactory subscriberCore, ViewStreamDatabase vsd)
: this(subscriberCore.Create(), vsd) { }
// TODO: Use dependency injection to instantiate this stream, and others like it that depend on
// ISubscriberCore(Factory).
[DataStreamUserRespresentation("pss_hb")]
public class PubsubHeartbeatStream : ViewStream, IWorker {
private ViewStreamDatabase _vsd;
readonly ISubscriberCore _subcore;
PubSubHeartbeatRow? _row = null;
PubsubHeartbeatStream(ISubscriberCore subscriberCore, ViewStreamDatabase vsd) {
_subcore = subscriberCore;
_vsd = vsd;
}
public PubsubHeartbeatStream()
: this(new SubscriberCoreFactory(), ViewStreamDatabase.instance) { }
static IBlueTableSchema _schema => PubSubHeartbeatRow.Schema;
public PubsubHeartbeatStream(ISubscriberCoreFactory subscriberCore, ViewStreamDatabase vsd)
: this(subscriberCore.Create(), vsd) { }
protected override void myOnFirstSubscriber() {
_subcore.subscribe("pss_hb");
_vsd.addWorker(this);
PubsubHeartbeatStream(ISubscriberCore subscriberCore, ViewStreamDatabase vsd) {
_subcore = subscriberCore;
_vsd = vsd;
}
}
static IBlueTableSchema _schema => PubSubHeartbeatRow.Schema;
protected override void myOnLastSubscriber() {
_vsd.removeWorker(this);
_subcore.unsubscribe("pss_hb");
protected override void myOnFirstSubscriber() {
_subcore.subscribe("pss_hb");
_vsd.addWorker(this);
}
}
protected override void myOnLastSubscriber() {
_vsd.removeWorker(this);
_subcore.unsubscribe("pss_hb");
}
public void doWork() {
var updates = _subcore.get_updates(TimeSpan.FromMilliseconds(1));
if (updates.Count() > 0) {
foreach (var m in updates) {
if (m.data != null && m.data.Length > 0) {
BinaryReader br = new BinaryReader(new MemoryStream(m.data));
Int64 hb_sent_time = br.ReadInt64();
Int64 hb_recv_time = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
// _row = _row == null ? new MutableBlueRow(_schema) : _row;
var now = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
_row = new() {
Id = 0,
SendTime = hb_sent_time,
RecvTime = hb_recv_time,
Latency = hb_recv_time - hb_sent_time,
RecvElapsed = now - hb_recv_time,
};
// TODO, add to table and fire
}
}
} else {
if (_row != null) {
var now = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
_row = new() {
Id = _row.Id,
SendTime = _row.SendTime,
RecvTime = _row.RecvTime,
Latency = _row.Latency,
RecvElapsed = now - _row.RecvTime,
};
// TODO, add to table and fire
}
// update the row
public void doWork() {
var updates = _subcore.get_updates(TimeSpan.FromMilliseconds(1));
if (updates.Count() > 0) {
foreach (var m in updates) {
if (m.data != null && m.data.Length > 0) {
BinaryReader br = new BinaryReader(new MemoryStream(m.data));
Int64 hb_sent_time = br.ReadInt64();
Int64 hb_recv_time = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
// _row = _row == null ? new MutableBlueRow(_schema) : _row;
var now = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
_row = new() {
Id = 0,
SendTime = hb_sent_time,
RecvTime = hb_recv_time,
Latency = hb_recv_time - hb_sent_time,
RecvElapsed = now - hb_recv_time,
};
// TODO, add to table and fire
}
if (_row != null) {
var bt = new BlueTable(_schema);
bt.addRow(_row);
var dp = BlueDataUtility.build_dp_inc(bt, myLastValue as IDataPacket, true);
myFireEvent(dp);
}
}
}
}
} else {
if (_row != null) {
var now = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
_row = new() {
Id = _row.Id,
SendTime = _row.SendTime,
RecvTime = _row.RecvTime,
Latency = _row.Latency,
RecvElapsed = now - _row.RecvTime,
};
// TODO, add to table and fire
}
// update the row
}
if (_row != null) {
var bt = new BlueTable(_schema);
bt.addRow(_row);
var dp = BlueDataUtility.build_dp_inc(bt, myLastValue as IDataPacket, true);
myFireEvent(dp);
}
}
}
+1 -1
View File
@@ -17,7 +17,7 @@
<ShowMissingItemTypes>false</ShowMissingItemTypes>
<Configuration Condition="'$(configuration)'==''">Debug</Configuration>
<EnablePreviewFeatures>true</EnablePreviewFeatures>
<LangVersion>11</LangVersion>
<LangVersion>12</LangVersion>
<UseProjectRefs Condition="'$(UseProjectRefs)' == ''">true</UseProjectRefs>
<SparkVersion Condition="'$(SparkVersion)' == ''">3.2.0-preview</SparkVersion>
<Version>$(SparkVersion)</Version>
+28
View File
@@ -187,4 +187,32 @@
Name="Test"
DependsOnTargets="Build"></Target>
<ItemGroup Condition="Exists('@(NativeWindowsAsset)')">
<Content Include="@(NativeWindowsAsset)">
<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
<TargetPath>%(FileName)%(Extension)</TargetPath>
<Pack>false</Pack>
</Content>
<Content Include="@(NativeWindowsAsset)">
<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
<TargetPath>runtimes/win-x64/native/%(FileName)%(Extension)</TargetPath>
<Pack>true</Pack>
<PackagePath>runtimes/win-x64/native</PackagePath>
</Content>
</ItemGroup>
<ItemGroup Condition="Exists('@(NativeLinuxAsset)')">
<Content Include="@(NativeLinuxAsset)">
<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
<TargetPath>%(FileName)%(Extension)</TargetPath>
<Pack>false</Pack>
</Content>
<Content Include="@(NativeLinuxAsset)">
<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
<TargetPath>runtimes/linux-x64/native/%(FileName)%(Extension)</TargetPath>
<Pack>true</Pack>
<PackagePath>runtimes/linux-x64/native</PackagePath>
</Content>
</ItemGroup>
</Project>
+5
View File
@@ -2,12 +2,14 @@ ARG IMAGE="sparkd"
ARG CONFIG_DIR="src/app_sparkd/configurations/dev"
ARG SOURCE_DIR="install/sparkd-release-gcc"
ARG PYTHON_REQUIREMENTS="requirements.txt"
ARG SPARKD_ENTRYPOINT="src/app_sparkd/sparkd-entrypoint.sh"
# sparkd_base
FROM bluetradingsystems/linux_dotnet8 AS sparkd_base
ARG CONFIG_DIR
ARG SOURCE_DIR
ARG PYTHON_REQUIREMENTS
ARG SPARKD_ENTRYPOINT
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
@@ -21,6 +23,7 @@ RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
COPY --chown=bts:bts "${CONFIG_DIR}" "/home/bts/.local/share/bts/sparkd/conf"
COPY --chown=bts:bts "${SPARKD_ENTRYPOINT}" "/home/bts/bin/sparkd-entrypoint.sh"
WORKDIR "/home/bts/bin"
# sparkd
@@ -35,6 +38,7 @@ COPY --chown=bts:bts "${MD_RECORDING_DIR}" "/home/bts/.local/share/bts/sparkd/da
FROM bluetradingsystems/linux_dotnet8 AS sparkd_symbols
ARG SOURCE_DIR
ARG PYTHON_REQUIREMENTS="requirements.txt"
ARG SPARKD_ENTRYPOINT
USER "root"
RUN apt-get update && apt-get install -y liblttng-ust-dev
@@ -47,6 +51,7 @@ RUN pip3 install -r "/home/bts/bin/requirements.txt"
USER "bts"
COPY --chown=bts:bts "${SOURCE_DIR}" "."
COPY --chown=bts:bts "${SPARKD_ENTRYPOINT}" "/home/bts/bin/sparkd-entrypoint.sh"
WORKDIR "/home/bts/bin"
# selected image
@@ -1 +1,2 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/bybit_dev
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/bybit_dev/requirements.txt
@@ -0,0 +1,14 @@
{
"currencies": [
"USDT"
],
"futures": [
"BNB",
"BTC",
"DUCK",
"ETH",
"PRIME",
"XRP",
"MILK"
]
}
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
+1
View File
@@ -1,2 +1,3 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/dev
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/dev/requirements.txt
SPARKD__SHM_SIZE=8gb
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -1 +1,2 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/py_dummy_md
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/gateio_dev/requirements.txt
@@ -0,0 +1,6 @@
{
"spots": [
"BTC",
"ETH"
]
}
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,3 @@
SPARKD__CONFIG_DIR=src/app_sparkd/configurations/okx_bin_sim
SPARKD__SHM_SIZE=1gb
SPARKD__PYTHON_REQUIREMENTS=src/app_sparkd/configurations/okx_bin_sim/requirements.txt
@@ -0,0 +1,5 @@
numpy==2.2.6
pybit==5.11.0
requests==2.31.0
websocket-client==1.8.0
websockets==15.0.1
@@ -0,0 +1,64 @@
JetFIX {
value {
connection {
name: "binance_usds_futures_1"
venue: VENUE_BINANCE_USDS_FUTURES
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
}
}
}
PublisherOptions {
value {
network_interface: "0.0.0.0"
heartbeat_ms: 5000
heartbeat_boot_seconds: 60
skip_options: true
hot_initial: 1024
hot_growth: 1024
cold_initial: 8192
cold_growth: 2048
channel_prefix: ""
disable_heartbeat: true
}
}
MarketDataConfig {
value {
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_FUTURE
symbols: @SymbolLists.list[Okx].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
}
}
}
@@ -0,0 +1,37 @@
SymbolLists {
value {
list {
key: "BinanceUsdsFutures"
symbol: "SOL"
symbol: "BNB"
symbol: "BTC"
symbol: "DOGE"
symbol: "EIGEN"
symbol: "ETH"
symbol: "XRP"
}
list {
key: "Okx"
symbol: "SOL"
symbol: "BNB"
symbol: "BTC"
symbol: "DOGE"
symbol: "EIGEN"
symbol: "ETH"
symbol: "XRP"
}
}
}
Symbols {
value {
venues {
name: "VENUE_BINANCE_USDS_FUTURES"
future: @SymbolLists.list[BinanceUsdsFutures].symbol
}
venues {
name: "VENUE_OKX"
future: @SymbolLists.list[Okx].symbol
}
}
}
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