Class: Cotcube::Helpers::DataClient

Inherits:
Object
  • Object
show all
Defined in:
lib/cotcube-helpers/orderclient.rb,
lib/cotcube-helpers/data_client.rb

Overview

A proxyclient is a wrapper that allows communication with cotcube-orderproxy and cotcube-dataproxy. It fulfills registration and provides the opportunity to implement the logic to respond do events. (orderproxy and dataproxy are separate gems creating a layer between tws/ib-ruby and cotcube-based

applications)

NOTE: Whats here is a provisionally version

Constant Summary collapse

SECRETS_DEFAULT = 
{
  'dataproxy_mq_proto' => 'http',
  'dataproxy_mq_user' => 'guest',
  'dataproxy_mq_password' => 'guest',
  'dataproxy_mq_host' => 'localhost',
  'dataproxy_mq_port' => '15672',
  'dataproxy_mq_vhost' => '%2F'
}.freeze
SECRETS = 
SECRETS_DEFAULT.merge(
  lambda {
    begin
      YAML.safe_load(File.read(Cotcube::Helpers.init[:secrets_file]))
    rescue StandardError
      {}
    end
  }.call
)

Instance Attribute Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize(debug: false, contract:, serverport: 24001, serveraddr: '127.0.0.1', client:, bars: true, ticks: false, bar_size: 5, spawn_timeout: 15) ⇒ DataClient

The constructor takes a lot of arguments:



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# File 'lib/cotcube-helpers/orderclient.rb', line 18

def initialize
  @connection = Bunny.new(user: SECRETS['dataproxy_mq_user'],
                          password: SECRETS['dataproxy_mq_password'],
                          vhost: SECRETS['dataproxy_mq_vhost'])
  @connection.start

  @commands  = connection.create_channel
  @exchange  = commands.direct('dataproxy_commands')
  @requests  = {}
  @persistent = { depth: {}, realtimebars: {}, ticks: {} }
  @debug     = false
  setup_reply_queue
end

Instance Attribute Details

#account ⇒ Object (readonly)

rubocop:disable Metrics/ClassLength



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# File 'lib/cotcube-helpers/orderclient.rb', line 15

def 
  @account
end

#average ⇒ Object (readonly)

rubocop:disable Metrics/ClassLength



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# File 'lib/cotcube-helpers/orderclient.rb', line 15

def average
  @average
end

#condition ⇒ Object (readonly)

Returns the value of attribute condition.



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# File 'lib/cotcube-helpers/data_client.rb', line 178

def condition
  @condition
end

#lock ⇒ Object (readonly)

Returns the value of attribute lock.



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# File 'lib/cotcube-helpers/data_client.rb', line 178

def lock
  @lock
end

#multiplier ⇒ Object (readonly)

rubocop:disable Metrics/ClassLength



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# File 'lib/cotcube-helpers/orderclient.rb', line 15

def multiplier
  @multiplier
end

#power ⇒ Object (readonly)

rubocop:disable Metrics/ClassLength



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# File 'lib/cotcube-helpers/orderclient.rb', line 15

def power
  @power
end

#response ⇒ Object

Returns the value of attribute response.



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# File 'lib/cotcube-helpers/data_client.rb', line 177

def response
  @response
end

#ticksize ⇒ Object (readonly)

rubocop:disable Metrics/ClassLength



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# File 'lib/cotcube-helpers/orderclient.rb', line 15

def ticksize
  @ticksize
end

Instance Method Details

#command(command, timeout: 10) ⇒ Object Also known as: send_command

command acts a synchronizer: it sends the command and waits for the response

otherwise times out --- the counterpart here is the subscription within 
setup_reply_queue



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# File 'lib/cotcube-helpers/data_client.rb', line 47

def command(command, timeout: 10)
  command = { command: command.to_s } unless command.is_a? Hash
  command[:timestamp] ||= (Time.now.to_f * 1000).to_i
  request_id = Digest::SHA256.hexdigest(command.to_json)[..6]
  requests[request_id] = {
    request: command,
    id: request_id,
    lock: Mutex.new,
    condition: ConditionVariable.new
  }

  exchange.publish(command.to_json,
                   routing_key: 'dataproxy_commands',
                   correlation_id: request_id,
                   reply_to: reply_queue.name)

  # wait for the signal to continue the execution
  #
  requests[request_id][:lock].synchronize do
    requests[request_id][:condition].wait(requests[request_id][:lock], timeout)
  end

  # if we reached timeout, we will return nil, just for explicity
  response = requests[request_id][:response].dup
  requests.delete(request_id)
  response
end

#exit_on_startup(msg = '') ⇒ Object 



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# File 'lib/cotcube-helpers/orderclient.rb', line 62

def exit_on_startup(msg = '')
  puts "Cannot startup client, exiting during startup: '#{msg}'"
  shutdown
  defined?(::IRB) ? (raise) : (exit 1)
end

#get_contracts(symbol:) ⇒ Object 



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# File 'lib/cotcube-helpers/data_client.rb', line 88

def get_contracts(symbol:)
  send_command({ command: :get_contracts, symbol: symbol })
end

#get_historical(contract:, interval:, duration: nil, before: nil, rth_only: false, based_on: :trades) ⇒ Object 



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# File 'lib/cotcube-helpers/data_client.rb', line 92

def get_historical(contract:, interval:, duration: nil, before: nil, rth_only: false, based_on: :trades)
  # rth.true? means data outside of rth is skipped
  rth_only = rth_only ? 1 : 0

  # interval most probably is given as ActiveSupport::Duration
  if interval.is_a? ActiveSupport::Duration
    interval = case interval
               when       1; :sec1 
               when       5; :sec5
               when      15; :sec15
               when      30; :sec30
               when      60; :min1
               when     120; :min2
               when     300; :min5
               when     900; :min15
               when    1800; :min30
               when    3600; :hour1
               when   86400; :day1
               else; interval
               end
  end

  default_durations = { sec1: '30_M',  sec5: '2_H', sec15: '6_H', sec30: '12_H',
                        min1:  '1_D',  min2: '2_D',  min5: '5_D', min15:  '1_W',
                        min30: '1_W', hour1: '1_W',  day1: '1_Y'                 }

  unless default_durations.keys.include? interval
    raise "Invalid interval '#{interval}', should be in '#{default_durations.keys}'."
  end

  # TODO: Check for valid duration specification
  puts 'WARNING in get_historical: param :before ignored' unless before.nil?
  duration ||= default_durations[interval]
  send_command({
                 command: :historical,
                 contract: contract,
                 interval: interval,
                 duration: duration,
                 based_on: based_on.to_s.upcase,
                 rth_only: rth_only,
                 before: nil
               }, timeout: 20)
end

#shutdown(close: true) ⇒ Object

#shutdown ends the @server_thread and –if :close is set– closes the current position attached to the client



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# File 'lib/cotcube-helpers/orderclient.rb', line 102

def shutdown(close: true)
  return if @shutdown
  @shutdown = true

  if @position.abs.positive? && close
    send_command({ command: 'order', action: 'create', type: 'market',
                   side: (@position.positive? ? 'sell' : 'buy'), size: @position.abs })
  end
  sleep 3
  result = send_command({ command: 'unregister' })
  puts "FINAL ACCOUNT: #{@account}"
  result['executions']&.each do |x|
    x.delete('msg_type')
    puts x.to_s
  end
  @server_thread.exit if @server_thread.respond_to? :exit
end

#spawn_server(execution_proc: nil, orderstate_proc: nil, tick_proc: nil, depth_proc: nil, order_proc: nil, bars_proc: nil) ⇒ Object 



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# File 'lib/cotcube-helpers/orderclient.rb', line 120

def spawn_server(
  execution_proc: nil,
  orderstate_proc: nil, 
  tick_proc: nil,
  depth_proc: nil, 
  order_proc: nil, 
  bars_proc: nil
)                                           # rubocop:disable Metrics/MethodLength

  %w[execution_proc orderstate_proc tick_proc depth_proc order_proc bars_proc].each {|var| eval("@#{var} = #{var}") }

  if @bars 
    @bars_proc ||= lambda {|msg| puts msg.inspect }
  end

  if @ticks
    @ticks_proc ||= lambda {|msg| puts msg.inspect }
  end

  if @shutdown
    puts "Cannot spawn server on proxyclient that has been already shut down."
    return
  end
  if @server_thread
    puts "Cannot spawn server more than once."
    return
  end

  @server_thread = Thread.new do                                      # rubocop:disable Metrics/BlockLength
    puts 'Spawning RECEIVER'
    server = TCPServer.open(@serveraddr, @client)
    loop do                                                           # rubocop:disable Metrics/BlockLength
      Thread.start(server.accept) do |client|                         # rubocop:disable Metrics/BlockLength
        while (response = client.gets)
          response = JSON.parse(response)

          case response['msg_type']

          when 'alert'
            case response['code']
            when 2104
              puts 'ALERT: data farm connection resumed   __ignored__'.light_black
            when 2108
              puts 'ALERT: data farm connection suspended __ignored__'.light_black
            when 2109
              # Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored
              # based on the order type and destination. PlaceOrder is now being processed.
              puts 'ALERT: outside_rth __ignored__'.light_black
            when 2100
              puts 'ALERT: Account_info unsubscribed __ignored__'.light_black
            when 202
              puts 'ALERT: order cancelled'
            else
              puts '-------------ALERT------------------------------'
              puts response.to_s
              puts '------------------------------------------------'
            end

          when 'tick'
            @tick_proc&.call(response)

          when 'depth'
            @depth_proc&.call(response)

          when 'realtimebar'
            @bars_proc&.call(response)

          else
            puts "ERROR:       #{response}"

          end
        end
      end
    rescue StandardError => e
      backtrace = e.backtrace.join("\r\n")
      puts "======= ERROR: '#{e.class}', MESSAGE: '#{e.message}'\n#{backtrace}"
    end
  end
  puts '@server_thread spawned'
end

#start_persistent(contract:, type: :realtimebars, local_id: 0, &block) ⇒ Object 



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# File 'lib/cotcube-helpers/data_client.rb', line 136

def start_persistent(contract:, type: :realtimebars, local_id: 0, &block)
  unless %i[depth ticks realtimebars].include? type.to_sym
    puts "ERROR: Inappropriate type in stop_realtimebars with #{type}"
    return false
  end

  local_key = "#{contract}_#{local_id}"

  channel = connection.create_channel
  exchange  = channel.fanout("dataproxy_#{type}_#{contract}")
  queue     = channel.queue('', exclusive: true, auto_delete: true)
  queue.bind(exchange)

  ib_contract = Cotcube::Helpers.get_ib_contract(contract)

  command = { command: type, contract: contract, con_id: ib_contract[:con_id],
              delivery: queue.name, exchange: exchange.name }

  block      ||= ->(bar) { puts bar.to_s }

  subscription = queue.subscribe do |_delivery_info, _properties, payload|
    block.call(JSON.parse(payload, symbolize_names: true))
  end
  persistent[type][local_key] = command.dup
  persistent[type][local_key][:queue] = queue
  persistent[type][local_key][:subscription] = subscription
  persistent[type][local_key][:channel] = channel
  send_command(command)
end

#stop ⇒ Object 



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# File 'lib/cotcube-helpers/data_client.rb', line 77

def stop
  %i[depth ticks realtimebars].each do |type|
    persistent[type].each do |local_key, obj|
      puts "Cancelling #{local_key}"
      obj[:subscription].cancel
    end
  end
  commands.close
  connection.close
end

#stop_persistent(contract:, local_id: 0, type: :realtimebars) ⇒ Object 



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# File 'lib/cotcube-helpers/data_client.rb', line 166

def stop_persistent(contract:, local_id: 0, type: :realtimebars)
  unless %i[depth ticks realtimebars].include? type.to_sym
    puts "ERROR: Inappropriate type in stop_realtimebars with #{type}"
    return false
  end
  local_key = "#{contract}_#{local_id}"
  p persistent[type][local_key][:subscription].cancel
  p persistent[type][local_key][:channel].close
  persistent[type].delete(local_key)
end